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These are hypothetical performance results that have certain inherent limitations. Learn more

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 11/14/2023
Most recent certification approved 11/14/23 9:32 ET
Trades at broker Interactive Brokers (server 2 / Stocks, Option, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 104
# trading signals executed in manager's Interactive Brokers (server 2 / Stocks, Option, Futures) account 104
Percent signals followed since 11/14/2023 100%
This information was last updated 2/25/24 10:07 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 11/14/2023, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

S2Prox0
(142985669)

Created by: S2Pro S2Pro
Started: 12/2022
Stocks
Last trade: 2 days ago
Trading style: Equity Non-hedged Equity Trend-following

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $149.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
88.6%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(23.5%)
Max Drawdown
50
Num Trades
68.0%
Win Trades
2.5 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                             (0.2%)(0.2%)
2023+5.2%(0.9%)+9.0%(6.2%)+37.7%(4.4%)+6.9%(9%)(10.8%)+0.6%+12.1%+33.7%+83.8%
2024+7.6%+7.3%                                                            +15.4%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 20 hours.

Trading Record

This strategy has placed 104 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/20/24 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 424 36.39 2/23 9:31 41.58 2.6%
Trade id #147384620
Max drawdown($763)
Time2/21/24 0:00
Quant open422
Worst price34.58
Drawdown as % of equity-2.60%
$2,194
Includes Typical Broker Commissions trade costs of $8.48
2/16/24 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 213 38.33 2/20 9:45 36.22 1.99%
Trade id #147359948
Max drawdown($593)
Time2/20/24 9:41
Quant open213
Worst price35.54
Drawdown as % of equity-1.99%
($453)
Includes Typical Broker Commissions trade costs of $4.26
2/14/24 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 1,247 4.29 2/16 15:59 4.38 0.69%
Trade id #147338840
Max drawdown($206)
Time2/16/24 9:36
Quant open1,179
Worst price4.12
Drawdown as % of equity-0.69%
$101
Includes Typical Broker Commissions trade costs of $5.68
2/12/24 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 417 38.96 2/14 11:02 37.94 5.01%
Trade id #147294521
Max drawdown($1,518)
Time2/13/24 0:00
Quant open376
Worst price35.16
Drawdown as % of equity-5.01%
($432)
Includes Typical Broker Commissions trade costs of $8.34
2/7/24 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 3,571 4.83 2/12 15:59 4.40 4.26%
Trade id #147252374
Max drawdown($1,320)
Time2/9/24 0:00
Quant open2,423
Worst price4.28
Drawdown as % of equity-4.26%
($1,541)
Includes Typical Broker Commissions trade costs of $10.00
2/6/24 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 702 33.82 2/7 9:32 34.19 n/a $255
Includes Typical Broker Commissions trade costs of $5.00
2/5/24 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 3,754 4.87 2/6 15:59 5.04 0.49%
Trade id #147232679
Max drawdown($150)
Time2/6/24 9:30
Quant open3,754
Worst price4.83
Drawdown as % of equity-0.49%
$652
Includes Typical Broker Commissions trade costs of $5.00
2/1/24 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 901 32.45 2/5 10:30 33.99 0.85%
Trade id #147198093
Max drawdown($251)
Time2/2/24 0:00
Quant open901
Worst price32.17
Drawdown as % of equity-0.85%
$1,379
Includes Typical Broker Commissions trade costs of $6.72
1/31/24 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 954 32.11 2/1 9:31 32.29 0.05%
Trade id #147186419
Max drawdown($15)
Time2/1/24 9:31
Quant open954
Worst price32.09
Drawdown as % of equity-0.05%
$168
Includes Typical Broker Commissions trade costs of $5.00
1/30/24 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 799 33.55 1/31 9:32 31.69 5.22%
Trade id #147172222
Max drawdown($1,609)
Time1/31/24 9:32
Quant open799
Worst price31.53
Drawdown as % of equity-5.22%
($1,484)
Includes Typical Broker Commissions trade costs of $5.00
1/29/24 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 4,088 4.91 1/30 15:59 5.11 0.27%
Trade id #147153179
Max drawdown($80)
Time1/30/24 9:33
Quant open4,088
Worst price4.89
Drawdown as % of equity-0.27%
$821
Includes Typical Broker Commissions trade costs of $5.00
1/26/24 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 747 34.01 1/29 9:31 34.11 0.14%
Trade id #147138566
Max drawdown($42)
Time1/29/24 9:31
Quant open747
Worst price33.95
Drawdown as % of equity-0.14%
$70
Includes Typical Broker Commissions trade costs of $5.00
1/24/24 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 3,460 4.63 1/26 15:59 5.05 3.05%
Trade id #147119797
Max drawdown($869)
Time1/25/24 0:00
Quant open3,343
Worst price4.37
Drawdown as % of equity-3.05%
$1,459
Includes Typical Broker Commissions trade costs of $6.17
1/22/24 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 650 35.27 1/23 9:55 35.28 2.39%
Trade id #147091416
Max drawdown($682)
Time1/23/24 9:35
Quant open650
Worst price34.22
Drawdown as % of equity-2.39%
$2
Includes Typical Broker Commissions trade costs of $5.00
1/19/24 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 697 34.86 1/22 9:46 35.29 n/a $293
Includes Typical Broker Commissions trade costs of $5.00
1/17/24 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 456 28.44 1/19 9:33 31.64 n/a $1,450
Includes Typical Broker Commissions trade costs of $9.12
1/16/24 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 400 29.23 1/17 9:32 27.58 2.41%
Trade id #147018517
Max drawdown($678)
Time1/17/24 9:32
Quant open400
Worst price27.53
Drawdown as % of equity-2.41%
($665)
Includes Typical Broker Commissions trade costs of $8.00
1/12/24 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 527 28.07 1/16 9:31 28.17 0.37%
Trade id #146990307
Max drawdown($102)
Time1/16/24 9:30
Quant open527
Worst price27.87
Drawdown as % of equity-0.37%
$50
Includes Typical Broker Commissions trade costs of $5.00
1/11/24 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 480 28.52 1/12 9:31 28.52 0.13%
Trade id #146980293
Max drawdown($36)
Time1/12/24 9:31
Quant open480
Worst price28.45
Drawdown as % of equity-0.13%
($12)
Includes Typical Broker Commissions trade costs of $9.60
1/5/24 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,048 26.00 1/11 9:49 28.36 n/a $2,458
Includes Typical Broker Commissions trade costs of $7.86
1/3/24 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,021 26.20 1/5 9:31 25.65 5.33%
Trade id #146897075
Max drawdown($1,399)
Time1/4/24 0:00
Quant open986
Worst price24.80
Drawdown as % of equity-5.33%
($563)
Includes Typical Broker Commissions trade costs of $5.35
12/28/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 467 32.02 1/3/24 9:38 27.79 7.51%
Trade id #146836602
Max drawdown($2,008)
Time1/3/24 9:30
Quant open344
Worst price26.18
Drawdown as % of equity-7.51%
($1,984)
Includes Typical Broker Commissions trade costs of $9.34
12/21/23 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 2,334 6.03 12/28 15:59 5.66 3.44%
Trade id #146780760
Max drawdown($993)
Time12/26/23 0:00
Quant open2,259
Worst price5.59
Drawdown as % of equity-3.44%
($869)
Includes Typical Broker Commissions trade costs of $10.75
12/20/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 860 28.11 12/21 15:59 30.27 n/a $1,861
Includes Typical Broker Commissions trade costs of $5.00
12/14/23 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 2,759 6.21 12/20 15:59 6.56 2.87%
Trade id #146706734
Max drawdown($755)
Time12/15/23 0:00
Quant open2,651
Worst price5.93
Drawdown as % of equity-2.87%
$958
Includes Typical Broker Commissions trade costs of $9.38
12/6/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,479 23.94 12/14 15:59 27.73 n/a $5,597
Includes Typical Broker Commissions trade costs of $13.46
11/30/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 718 22.65 12/6 10:06 22.43 4.14%
Trade id #146582488
Max drawdown($876)
Time12/4/23 0:00
Quant open645
Worst price21.29
Drawdown as % of equity-4.14%
($172)
Includes Typical Broker Commissions trade costs of $14.36
11/29/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 378 23.23 11/30 9:32 23.27 0.1%
Trade id #146570316
Max drawdown($20)
Time11/30/23 9:32
Quant open378
Worst price23.18
Drawdown as % of equity-0.10%
$6
Includes Typical Broker Commissions trade costs of $7.56
11/22/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 541 23.00 11/29 15:28 23.21 2.29%
Trade id #146516632
Max drawdown($475)
Time11/28/23 0:00
Quant open462
Worst price21.97
Drawdown as % of equity-2.29%
$107
Includes Typical Broker Commissions trade costs of $10.82
11/21/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 463 22.84 11/22 10:01 23.08 n/a $103
Includes Typical Broker Commissions trade costs of $9.26

Statistics

  • Strategy began
    12/23/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    428.88
  • Age
    14 months ago
  • What it trades
    Stocks
  • # Trades
    50
  • # Profitable
    34
  • % Profitable
    68.00%
  • Avg trade duration
    8.4 days
  • Max peak-to-valley drawdown
    23.45%
  • drawdown period
    May 25, 2023 - Sept 26, 2023
  • Annual Return (Compounded)
    88.5%
  • Avg win
    $892.29
  • Avg loss
    $761.12
  • Model Account Values (Raw)
  • Cash
    $29,416
  • Margin Used
    $0
  • Buying Power
    $29,420
  • Ratios
  • W:L ratio
    2.50:1
  • Sharpe Ratio
    1.62
  • Sortino Ratio
    3.02
  • Calmar Ratio
    4.909
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    79.35%
  • Correlation to SP500
    0.31270
  • Return Percent SP500 (cumu) during strategy life
    32.35%
  • Return Statistics
  • Ann Return (w trading costs)
    88.5%
  • Slump
  • Current Slump as Pcnt Equity
    1.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.885%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    97.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.00%
  • Chance of 20% account loss
    4.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    963
  • Popularity (Last 6 weeks)
    990
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    983
  • Popularity (7 days, Percentile 1000 scale)
    975
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $761
  • Avg Win
    $892
  • Sum Trade PL (losers)
    $12,178.000
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $30,338.000
  • # Winners
    34
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    126
  • AUM
  • AUM (AutoTrader live capital)
    49245
  • Win / Loss
  • # Losers
    16
  • % Winners
    68.0%
  • Frequency
  • Avg Position Time (mins)
    12059.00
  • Avg Position Time (hrs)
    200.98
  • Avg Trade Length
    8.4 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.48
  • Daily leverage (max)
    3.25
  • Regression
  • Alpha
    0.13
  • Beta
    0.85
  • Treynor Index
    0.22
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.02
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    3.598
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.420
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.163
  • Hold-and-Hope Ratio
    0.278
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.80132
  • SD
    0.55446
  • Sharpe ratio (Glass type estimate)
    1.44522
  • Sharpe ratio (Hedges UMVUE)
    1.35264
  • df
    12.00000
  • t
    1.50423
  • p
    0.30085
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55001
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.38600
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60665
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.31193
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.21476
  • Upside Potential Ratio
    7.09488
  • Upside part of mean
    1.09022
  • Downside part of mean
    -0.28891
  • Upside SD
    0.56007
  • Downside SD
    0.15366
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.21083
  • Mean of criterion
    0.80132
  • SD of predictor
    0.12851
  • SD of criterion
    0.55446
  • Covariance
    0.02478
  • r
    0.34779
  • b (slope, estimate of beta)
    1.50061
  • a (intercept, estimate of alpha)
    0.48494
  • Mean Square Error
    0.29481
  • DF error
    11.00000
  • t(b)
    1.23030
  • p(b)
    0.12212
  • t(a)
    0.83381
  • p(a)
    0.21106
  • Lowerbound of 95% confidence interval for beta
    -1.18396
  • Upperbound of 95% confidence interval for beta
    4.18518
  • Lowerbound of 95% confidence interval for alpha
    -0.79515
  • Upperbound of 95% confidence interval for alpha
    1.76504
  • Treynor index (mean / b)
    0.53400
  • Jensen alpha (a)
    0.48494
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66076
  • SD
    0.48440
  • Sharpe ratio (Glass type estimate)
    1.36407
  • Sharpe ratio (Hedges UMVUE)
    1.27669
  • df
    12.00000
  • t
    1.41977
  • p
    0.31038
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.62080
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.29706
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67442
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22781
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.10801
  • Upside Potential Ratio
    5.97788
  • Upside part of mean
    0.96152
  • Downside part of mean
    -0.30076
  • Upside SD
    0.47656
  • Downside SD
    0.16085
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.20119
  • Mean of criterion
    0.66076
  • SD of predictor
    0.12599
  • SD of criterion
    0.48440
  • Covariance
    0.02293
  • r
    0.37567
  • b (slope, estimate of beta)
    1.44431
  • a (intercept, estimate of alpha)
    0.37017
  • Mean Square Error
    0.21985
  • DF error
    11.00000
  • t(b)
    1.34442
  • p(b)
    0.10294
  • t(a)
    0.74086
  • p(a)
    0.23715
  • Lowerbound of 95% confidence interval for beta
    -0.92021
  • Upperbound of 95% confidence interval for beta
    3.80883
  • Lowerbound of 95% confidence interval for alpha
    -0.72957
  • Upperbound of 95% confidence interval for alpha
    1.46991
  • Treynor index (mean / b)
    0.45749
  • Jensen alpha (a)
    0.37017
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16050
  • Expected Shortfall on VaR
    0.20710
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04755
  • Expected Shortfall on VaR
    0.09116
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.89486
  • Quartile 1
    0.96814
  • Median
    1.05488
  • Quartile 3
    1.09213
  • Maximum
    1.43287
  • Mean of quarter 1
    0.92821
  • Mean of quarter 2
    1.02637
  • Mean of quarter 3
    1.07141
  • Mean of quarter 4
    1.29739
  • Inter Quartile Range
    0.12399
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    1.39458
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -5.31062
  • VaR(95%) (moments method)
    0.06785
  • Expected Shortfall (moments method)
    0.06786
  • Extreme Value Index (regression method)
    -1.73643
  • VaR(95%) (regression method)
    0.11995
  • Expected Shortfall (regression method)
    0.12280
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01420
  • Quartile 1
    0.02303
  • Median
    0.03186
  • Quartile 3
    0.10999
  • Maximum
    0.18812
  • Mean of quarter 1
    0.01420
  • Mean of quarter 2
    0.03186
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.18812
  • Inter Quartile Range
    0.08696
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.02338
  • Compounded annual return (geometric extrapolation)
    0.99106
  • Calmar ratio (compounded annual return / max draw down)
    5.26834
  • Compounded annual return / average of 25% largest draw downs
    5.26834
  • Compounded annual return / Expected Shortfall lognormal
    4.78539
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72343
  • SD
    0.34687
  • Sharpe ratio (Glass type estimate)
    2.08558
  • Sharpe ratio (Hedges UMVUE)
    2.08040
  • df
    302.00000
  • t
    2.24284
  • p
    0.01282
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25379
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.91402
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25032
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.91048
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.93862
  • Upside Potential Ratio
    12.35910
  • Upside part of mean
    2.27005
  • Downside part of mean
    -1.54663
  • Upside SD
    0.29696
  • Downside SD
    0.18368
  • N nonnegative terms
    163.00000
  • N negative terms
    140.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    303.00000
  • Mean of predictor
    0.22303
  • Mean of criterion
    0.72343
  • SD of predictor
    0.13021
  • SD of criterion
    0.34687
  • Covariance
    0.01403
  • r
    0.31073
  • b (slope, estimate of beta)
    0.82773
  • a (intercept, estimate of alpha)
    0.53900
  • Mean Square Error
    0.10906
  • DF error
    301.00000
  • t(b)
    5.67167
  • p(b)
    0.00000
  • t(a)
    1.74481
  • p(a)
    0.04102
  • Lowerbound of 95% confidence interval for beta
    0.54054
  • Upperbound of 95% confidence interval for beta
    1.11493
  • Lowerbound of 95% confidence interval for alpha
    -0.06889
  • Upperbound of 95% confidence interval for alpha
    1.14652
  • Treynor index (mean / b)
    0.87399
  • Jensen alpha (a)
    0.53882
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66390
  • SD
    0.34088
  • Sharpe ratio (Glass type estimate)
    1.94760
  • Sharpe ratio (Hedges UMVUE)
    1.94276
  • df
    302.00000
  • t
    2.09446
  • p
    0.01853
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11689
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.77518
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11365
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.77188
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.56153
  • Upside Potential Ratio
    11.94990
  • Upside part of mean
    2.22756
  • Downside part of mean
    -1.56366
  • Upside SD
    0.28766
  • Downside SD
    0.18641
  • N nonnegative terms
    163.00000
  • N negative terms
    140.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    303.00000
  • Mean of predictor
    0.21448
  • Mean of criterion
    0.66390
  • SD of predictor
    0.13008
  • SD of criterion
    0.34088
  • Covariance
    0.01381
  • r
    0.31143
  • b (slope, estimate of beta)
    0.81608
  • a (intercept, estimate of alpha)
    0.48886
  • Mean Square Error
    0.10528
  • DF error
    301.00000
  • t(b)
    5.68583
  • p(b)
    0.00000
  • t(a)
    1.61192
  • p(a)
    0.05401
  • Lowerbound of 95% confidence interval for beta
    0.53363
  • Upperbound of 95% confidence interval for beta
    1.09853
  • Lowerbound of 95% confidence interval for alpha
    -0.10795
  • Upperbound of 95% confidence interval for alpha
    1.08568
  • Treynor index (mean / b)
    0.81352
  • Jensen alpha (a)
    0.48886
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03160
  • Expected Shortfall on VaR
    0.04005
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01303
  • Expected Shortfall on VaR
    0.02491
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    303.00000
  • Minimum
    0.94161
  • Quartile 1
    0.99232
  • Median
    1.00086
  • Quartile 3
    1.01129
  • Maximum
    1.12397
  • Mean of quarter 1
    0.98001
  • Mean of quarter 2
    0.99675
  • Mean of quarter 3
    1.00584
  • Mean of quarter 4
    1.02892
  • Inter Quartile Range
    0.01898
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.01650
  • Mean of outliers low
    0.95325
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.03300
  • Mean of outliers high
    1.07604
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.68459
  • VaR(95%) (moments method)
    0.01864
  • Expected Shortfall (moments method)
    0.02087
  • Extreme Value Index (regression method)
    -0.46037
  • VaR(95%) (regression method)
    0.01900
  • Expected Shortfall (regression method)
    0.02224
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00055
  • Quartile 1
    0.00725
  • Median
    0.02283
  • Quartile 3
    0.10514
  • Maximum
    0.20318
  • Mean of quarter 1
    0.00469
  • Mean of quarter 2
    0.01765
  • Mean of quarter 3
    0.07019
  • Mean of quarter 4
    0.13992
  • Inter Quartile Range
    0.09789
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.27393
  • VaR(95%) (moments method)
    0.15607
  • Expected Shortfall (moments method)
    0.21165
  • Extreme Value Index (regression method)
    1.70763
  • VaR(95%) (regression method)
    0.16049
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.05983
  • Compounded annual return (geometric extrapolation)
    0.99731
  • Calmar ratio (compounded annual return / max draw down)
    4.90859
  • Compounded annual return / average of 25% largest draw downs
    7.12747
  • Compounded annual return / Expected Shortfall lognormal
    24.90100
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.05148
  • SD
    0.34795
  • Sharpe ratio (Glass type estimate)
    3.02190
  • Sharpe ratio (Hedges UMVUE)
    3.00443
  • df
    130.00000
  • t
    2.13681
  • p
    0.40790
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22026
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.81222
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20867
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.80019
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.56942
  • Upside Potential Ratio
    15.26700
  • Upside part of mean
    2.44358
  • Downside part of mean
    -1.39210
  • Upside SD
    0.31424
  • Downside SD
    0.16006
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.27627
  • Mean of criterion
    1.05148
  • SD of predictor
    0.12270
  • SD of criterion
    0.34795
  • Covariance
    0.02195
  • r
    0.51409
  • b (slope, estimate of beta)
    1.45779
  • a (intercept, estimate of alpha)
    0.64874
  • Mean Square Error
    0.08976
  • DF error
    129.00000
  • t(b)
    6.80737
  • p(b)
    0.18777
  • t(a)
    1.51639
  • p(a)
    0.41600
  • Lowerbound of 95% confidence interval for beta
    1.03409
  • Upperbound of 95% confidence interval for beta
    1.88149
  • Lowerbound of 95% confidence interval for alpha
    -0.19771
  • Upperbound of 95% confidence interval for alpha
    1.49519
  • Treynor index (mean / b)
    0.72128
  • Jensen alpha (a)
    0.64874
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.99096
  • SD
    0.34097
  • Sharpe ratio (Glass type estimate)
    2.90633
  • Sharpe ratio (Hedges UMVUE)
    2.88953
  • df
    130.00000
  • t
    2.05508
  • p
    0.41131
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10675
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.69508
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09556
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.68350
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.12434
  • Upside Potential Ratio
    14.80720
  • Upside part of mean
    2.39591
  • Downside part of mean
    -1.40495
  • Upside SD
    0.30486
  • Downside SD
    0.16181
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26864
  • Mean of criterion
    0.99096
  • SD of predictor
    0.12262
  • SD of criterion
    0.34097
  • Covariance
    0.02167
  • r
    0.51824
  • b (slope, estimate of beta)
    1.44103
  • a (intercept, estimate of alpha)
    0.60385
  • Mean Square Error
    0.08569
  • DF error
    129.00000
  • t(b)
    6.88250
  • p(b)
    0.18550
  • t(a)
    1.44534
  • p(a)
    0.41985
  • VAR (95 Confidence Intrvl)
    0.03200
  • Lowerbound of 95% confidence interval for beta
    1.02678
  • Upperbound of 95% confidence interval for beta
    1.85529
  • Lowerbound of 95% confidence interval for alpha
    -0.22276
  • Upperbound of 95% confidence interval for alpha
    1.43046
  • Treynor index (mean / b)
    0.68768
  • Jensen alpha (a)
    0.60385
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03040
  • Expected Shortfall on VaR
    0.03886
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01134
  • Expected Shortfall on VaR
    0.02144
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96959
  • Quartile 1
    0.99232
  • Median
    1.00145
  • Quartile 3
    1.01094
  • Maximum
    1.09873
  • Mean of quarter 1
    0.98195
  • Mean of quarter 2
    0.99738
  • Mean of quarter 3
    1.00596
  • Mean of quarter 4
    1.03125
  • Inter Quartile Range
    0.01862
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.07248
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.28775
  • VaR(95%) (moments method)
    0.01733
  • Expected Shortfall (moments method)
    0.01814
  • Extreme Value Index (regression method)
    -1.01246
  • VaR(95%) (regression method)
    0.01795
  • Expected Shortfall (regression method)
    0.01921
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00055
  • Quartile 1
    0.00742
  • Median
    0.02157
  • Quartile 3
    0.06913
  • Maximum
    0.13371
  • Mean of quarter 1
    0.00457
  • Mean of quarter 2
    0.01131
  • Mean of quarter 3
    0.03335
  • Mean of quarter 4
    0.10766
  • Inter Quartile Range
    0.06171
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -6.13171
  • VaR(95%) (moments method)
    0.11480
  • Expected Shortfall (moments method)
    0.11481
  • Extreme Value Index (regression method)
    -0.71440
  • VaR(95%) (regression method)
    0.11507
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.12138
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -345444000
  • Max Equity Drawdown (num days)
    124
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.32870
  • Compounded annual return (geometric extrapolation)
    1.77006
  • Calmar ratio (compounded annual return / max draw down)
    13.23830
  • Compounded annual return / average of 25% largest draw downs
    16.44110
  • Compounded annual return / Expected Shortfall lognormal
    45.54620

Strategy Description

Innovative Trading Strategy: Introducing a groundbreaking trading system that uses the inherent decay loss in leveraged ETFs, making investment outcomes more predictable in volatile markets.

Focus on Leveraged ETFs: Starting with an exploration of the significant decay loss issues in leveraged ETFs, the paper lays the foundation for the proposed trading strategy.


S2Pro Series: A History of Success in backtest (Not real trading): Highlighting the S2Pro series' performance, with S2Pro3 delivering a maximum annual return of 300% in 2008 and a steady minimum return of 1.2% in 2016.

Correlation Between Volatility and Returns: The S2Pro series thrives on market volatility, showing little correlation with the overall market's annual returns.

Exceptional Long-Term Performance: The latest S2Pro7 product boasts a staggering cumulative return of over 200,000 times the initial investment, based on 22 years of market data backtest.

Automated Trading with IBKR's API: The integration of IBKR's powerful API enables fully automated quantitative trading, adjusting strategies daily based on closing prices, thus freeing investors from manual trading efforts.

Ease of Investment: Investing in S2Pro products is as straightforward as investing in conventional ETFs, offering hassle-free participation for investors.

Flexibility and Adaptability: The underlying mathematical model of the S2Pro series is versatile, applicable to various ETFs like SOXX, SPY, and QQQ, promising substantial returns.

Optimistic Forecast for 2023: Predicting significant market volatility in 2023, the S2Pro7 strategy is projected to yield at least a 40% return, independent of general market trends.

Summary Statistics

Strategy began
2022-12-23
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 1.7%
Rank # 
#14
# Trades
50
# Profitable
34
% Profitable
68.0%
Net Dividends
Correlation S&P500
0.313
Sharpe Ratio
1.62
Sortino Ratio
3.02
Beta
0.85
Alpha
0.13
Leverage
1.48 Average
3.25 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.