Collective2 Collective2
Featured Strategy Income Trades Followed by live capital $64,500 Hypothetical

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Resilient Investments
(148705519)

Created by: FormulaicSystems FormulaicSystems
Started: 07/2024
Stocks
Last trade: 2 days ago

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 $75.00 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.

8.4%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(11.9%)
Max Drawdown
40
Num Trades
45.0%
Win Trades
1.3 : 1
Profit Factor
57.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                                          (4.2%)+3.5%(1.5%)(3.8%)+6.1%+3.1%+2.8%
2025+5.4%                                                                  +5.4%

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 24 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/2/25 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 333 78.61 1/6 15:59 83.87 n/a $1,744
Includes Typical Broker Commissions trade costs of $6.66
12/31/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 334 79.27 1/2/25 12:29 78.39 1.23%
Trade id #150449385
Max drawdown($320)
Time1/2/25 12:29
Quant open334
Worst price78.31
Drawdown as % of equity-1.23%
 ($301)
Includes Typical Broker Commissions trade costs of $6.68
12/30/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 165 81.21 12/31 12:32 79.50 1.19%
Trade id #150440017
Max drawdown($308)
Time12/31/24 12:32
Quant open165
Worst price79.34
Drawdown as % of equity-1.19%
 ($285)
Includes Typical Broker Commissions trade costs of $3.30
12/24/24 12:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 155 88.40 12/27 10:01 84.07 2.74%
Trade id #150401504
Max drawdown($730)
Time12/27/24 10:01
Quant open155
Worst price83.69
Drawdown as % of equity-2.74%
 ($674)
Includes Typical Broker Commissions trade costs of $3.10
12/19/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 331 81.00 12/20 15:59 83.04 3.18%
Trade id #150369093
Max drawdown($827)
Time12/20/24 9:50
Quant open331
Worst price78.50
Drawdown as % of equity-3.18%
 $668
Includes Typical Broker Commissions trade costs of $6.62
12/18/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 327 82.20 12/19 10:34 82.01 0.33%
Trade id #150358490
Max drawdown($86)
Time12/19/24 10:34
Quant open327
Worst price81.94
Drawdown as % of equity-0.33%
 ($69)
Includes Typical Broker Commissions trade costs of $6.54
12/13/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 298 89.38 12/18 14:06 90.01 n/a $182
Includes Typical Broker Commissions trade costs of $5.96
12/11/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 303 89.35 12/13 11:01 87.93 2.37%
Trade id #150304267
Max drawdown($626)
Time12/12/24 0:00
Quant open303
Worst price87.28
Drawdown as % of equity-2.37%
 ($436)
Includes Typical Broker Commissions trade costs of $6.06
12/9/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 158 85.60 12/10 14:36 85.00 0.38%
Trade id #150284030
Max drawdown($100)
Time12/10/24 14:36
Quant open158
Worst price84.96
Drawdown as % of equity-0.38%
 ($98)
Includes Typical Broker Commissions trade costs of $3.16
11/27/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 476 81.10 12/9 10:38 85.91 0.01%
Trade id #150198249
Max drawdown($3)
Time11/29/24 0:00
Quant open320
Worst price77.85
Drawdown as % of equity-0.01%
 $2,282
Includes Typical Broker Commissions trade costs of $9.52
11/25/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 316 78.60 11/27 10:15 78.83 0.57%
Trade id #150173343
Max drawdown($141)
Time11/27/24 10:15
Quant open157
Worst price77.70
Drawdown as % of equity-0.57%
 $67
Includes Typical Broker Commissions trade costs of $6.32
11/21/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 158 78.04 11/25 12:12 78.50 0.76%
Trade id #150147405
Max drawdown($183)
Time11/22/24 0:00
Quant open158
Worst price76.88
Drawdown as % of equity-0.76%
 $70
Includes Typical Broker Commissions trade costs of $3.16
11/20/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 322 77.14 11/21 9:36 76.85 0.4%
Trade id #150136752
Max drawdown($96)
Time11/21/24 9:36
Quant open322
Worst price76.84
Drawdown as % of equity-0.40%
 ($99)
Includes Typical Broker Commissions trade costs of $6.44
11/15/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 164 74.27 11/19 15:59 77.32 n/a $497
Includes Typical Broker Commissions trade costs of $3.28
11/14/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 321 80.13 11/15 10:10 75.92 5.44%
Trade id #150090412
Max drawdown($1,370)
Time11/15/24 10:10
Quant open321
Worst price75.86
Drawdown as % of equity-5.44%
 ($1,357)
Includes Typical Broker Commissions trade costs of $6.42
11/12/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 321 82.15 11/14 15:04 80.13 2.65%
Trade id #150069383
Max drawdown($674)
Time11/14/24 15:04
Quant open321
Worst price80.05
Drawdown as % of equity-2.65%
 ($654)
Includes Typical Broker Commissions trade costs of $6.42
10/31/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 343 70.24 11/11 13:02 77.16 n/a $2,365
Includes Typical Broker Commissions trade costs of $6.86
10/30/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 164 75.16 10/31 9:45 71.94 2.35%
Trade id #149909943
Max drawdown($555)
Time10/31/24 9:45
Quant open164
Worst price71.77
Drawdown as % of equity-2.35%
 ($531)
Includes Typical Broker Commissions trade costs of $3.28
10/29/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 326 76.87 10/30 15:55 75.06 2.59%
Trade id #149884956
Max drawdown($629)
Time10/30/24 15:55
Quant open326
Worst price74.94
Drawdown as % of equity-2.59%
 ($597)
Includes Typical Broker Commissions trade costs of $6.52
10/23/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 172 71.82 10/24 15:59 73.46 n/a $279
Includes Typical Broker Commissions trade costs of $3.44
10/21/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 335 75.08 10/23 11:27 74.09 2.2%
Trade id #149757549
Max drawdown($544)
Time10/22/24 0:00
Quant open335
Worst price73.45
Drawdown as % of equity-2.20%
 ($340)
Includes Typical Broker Commissions trade costs of $6.70
10/15/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 350 73.12 10/16 9:57 71.77 1.88%
Trade id #149667417
Max drawdown($476)
Time10/16/24 9:57
Quant open350
Worst price71.76
Drawdown as % of equity-1.88%
 ($480)
Includes Typical Broker Commissions trade costs of $7.00
10/7/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 514 71.67 10/15 10:29 74.69 n/a $1,544
Includes Typical Broker Commissions trade costs of $10.28
10/4/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 170 71.99 10/7 14:47 69.57 1.76%
Trade id #149584105
Max drawdown($424)
Time10/7/24 14:47
Quant open170
Worst price69.50
Drawdown as % of equity-1.76%
 ($414)
Includes Typical Broker Commissions trade costs of $3.40
10/1/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 350 69.53 10/4 9:57 70.07 1.66%
Trade id #149554617
Max drawdown($399)
Time10/3/24 0:00
Quant open350
Worst price68.39
Drawdown as % of equity-1.66%
 $182
Includes Typical Broker Commissions trade costs of $7.00
9/27/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 340 72.08 10/1 9:37 70.96 1.96%
Trade id #149528270
Max drawdown($478)
Time10/1/24 9:37
Quant open340
Worst price70.67
Drawdown as % of equity-1.96%
 ($387)
Includes Typical Broker Commissions trade costs of $6.80
9/26/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 341 73.30 9/27 11:19 72.19 1.54%
Trade id #149518702
Max drawdown($378)
Time9/27/24 11:19
Quant open341
Worst price72.19
Drawdown as % of equity-1.54%
 ($386)
Includes Typical Broker Commissions trade costs of $6.82
9/24/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 340 71.63 9/26 10:25 73.55 0.81%
Trade id #149497901
Max drawdown($194)
Time9/25/24 0:00
Quant open340
Worst price71.06
Drawdown as % of equity-0.81%
 $646
Includes Typical Broker Commissions trade costs of $6.80
9/18/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 180 65.54 9/24 10:23 69.66 n/a $738
Includes Typical Broker Commissions trade costs of $3.60
9/17/24 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 178 66.46 9/18 11:47 65.63 0.66%
Trade id #149423356
Max drawdown($154)
Time9/18/24 11:47
Quant open178
Worst price65.59
Drawdown as % of equity-0.66%
 ($152)
Includes Typical Broker Commissions trade costs of $3.56
Next

Statistics

  • Strategy began
    7/22/2024
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    177.18
  • Age
    177 days ago
  • What it trades
    Stocks
  • # Trades
    40
  • # Profitable
    18
  • % Profitable
    45.00%
  • Avg trade duration
    3.1 days
  • Max peak-to-valley drawdown
    11.91%
  • drawdown period
    Aug 22, 2024 - Sept 16, 2024
  • Cumul. Return
    8.4%
  • Avg win
    $799.50
  • Avg loss
    $523.05
  • Model Account Values (Raw)
  • Cash
    $17,503
  • Margin Used
    ($3,480)
  • Buying Power
    $21,000
  • Ratios
  • W:L ratio
    1.26:1
  • Sharpe Ratio
    0.61
  • Sortino Ratio
    1
  • Calmar Ratio
    2.63
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    3.36%
  • Correlation to SP500
    0.52790
  • Return Percent SP500 (cumu) during strategy life
    5.01%
  • Return Statistics
  • Ann Return (w trading costs)
    17.6%
  • Slump
  • Current Slump as Pcnt Equity
    0.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.14%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.084%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    25.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    34.50%
  • Chance of 20% account loss
    3.50%
  • 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
    100.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    931
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $523
  • Avg Win
    $800
  • Sum Trade PL (losers)
    $11,507.000
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $14,391.000
  • # Winners
    18
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    78
  • Win / Loss
  • # Losers
    22
  • % Winners
    45.0%
  • Frequency
  • Avg Position Time (mins)
    4522.12
  • Avg Position Time (hrs)
    75.37
  • Avg Trade Length
    3.1 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    2.28
  • Daily leverage (max)
    3.13
  • Regression
  • Alpha
    0.03
  • Beta
    0.93
  • Treynor Index
    0.06
  • 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)
    0.67
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -2.312
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.474
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.058
  • Hold-and-Hope Ratio
    -0.432
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25206
  • SD
    0.24013
  • Sharpe ratio (Glass type estimate)
    1.04966
  • Sharpe ratio (Hedges UMVUE)
    0.83751
  • df
    4.00000
  • t
    0.67756
  • p
    0.26761
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.12626
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.10671
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.25382
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.92884
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.20119
  • Upside Potential Ratio
    4.04110
  • Upside part of mean
    0.46275
  • Downside part of mean
    -0.21069
  • Upside SD
    0.19574
  • Downside SD
    0.11451
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.12646
  • Mean of criterion
    0.25206
  • SD of predictor
    0.02991
  • SD of criterion
    0.24013
  • Covariance
    -0.00301
  • r
    -0.41879
  • b (slope, estimate of beta)
    -3.36224
  • a (intercept, estimate of alpha)
    0.67724
  • Mean Square Error
    0.06340
  • DF error
    3.00000
  • t(b)
    -0.79879
  • p(b)
    0.75860
  • t(a)
    1.02626
  • p(a)
    0.19014
  • Lowerbound of 95% confidence interval for beta
    -16.75760
  • Upperbound of 95% confidence interval for beta
    10.03320
  • Lowerbound of 95% confidence interval for alpha
    -1.42289
  • Upperbound of 95% confidence interval for alpha
    2.77737
  • Treynor index (mean / b)
    -0.07497
  • Jensen alpha (a)
    0.67724
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22670
  • SD
    0.23585
  • Sharpe ratio (Glass type estimate)
    0.96122
  • Sharpe ratio (Hedges UMVUE)
    0.76694
  • df
    4.00000
  • t
    0.62046
  • p
    0.28428
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.19739
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.00995
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.31558
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.84946
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.91436
  • Upside Potential Ratio
    3.74716
  • Upside part of mean
    0.44375
  • Downside part of mean
    -0.21705
  • Upside SD
    0.18644
  • Downside SD
    0.11842
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.12516
  • Mean of criterion
    0.22670
  • SD of predictor
    0.02948
  • SD of criterion
    0.23585
  • Covariance
    -0.00282
  • r
    -0.40566
  • b (slope, estimate of beta)
    -3.24563
  • a (intercept, estimate of alpha)
    0.63292
  • Mean Square Error
    0.06196
  • DF error
    3.00000
  • t(b)
    -0.76871
  • p(b)
    0.75098
  • t(a)
    0.96749
  • p(a)
    0.20233
  • Lowerbound of 95% confidence interval for beta
    -16.68250
  • Upperbound of 95% confidence interval for beta
    10.19130
  • Lowerbound of 95% confidence interval for alpha
    -1.44899
  • Upperbound of 95% confidence interval for alpha
    2.71482
  • Treynor index (mean / b)
    -0.06985
  • Jensen alpha (a)
    0.63292
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08889
  • Expected Shortfall on VaR
    0.11417
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03545
  • Expected Shortfall on VaR
    0.06845
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.93006
  • Quartile 1
    0.98681
  • Median
    1.03326
  • Quartile 3
    1.05241
  • Maximum
    1.11413
  • Mean of quarter 1
    0.95844
  • Mean of quarter 2
    1.03326
  • Mean of quarter 3
    1.05241
  • Mean of quarter 4
    1.11413
  • Inter Quartile Range
    0.06560
  • 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 for a one-period unit investment (based on Ex
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.06994
  • Quartile 1
    0.06994
  • Median
    0.06994
  • Quartile 3
    0.06994
  • Maximum
    0.06994
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.26861
  • Compounded annual return (geometric extrapolation)
    0.28996
  • Calmar ratio (compounded annual return / max draw down)
    4.14580
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    2.53972
  • 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
    0.23868
  • SD
    0.25527
  • Sharpe ratio (Glass type estimate)
    0.93500
  • Sharpe ratio (Hedges UMVUE)
    0.92933
  • df
    124.00000
  • t
    0.64583
  • p
    0.47105
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.90671
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.77317
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.91057
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.76924
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.57134
  • Upside Potential Ratio
    9.72473
  • Upside part of mean
    1.47715
  • Downside part of mean
    -1.23847
  • Upside SD
    0.20442
  • Downside SD
    0.15190
  • N nonnegative terms
    53.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    125.00000
  • Mean of predictor
    0.08512
  • Mean of criterion
    0.23868
  • SD of predictor
    0.14623
  • SD of criterion
    0.25527
  • Covariance
    0.01977
  • r
    0.52969
  • b (slope, estimate of beta)
    0.92467
  • a (intercept, estimate of alpha)
    0.16000
  • Mean Square Error
    0.04726
  • DF error
    123.00000
  • t(b)
    6.92590
  • p(b)
    0.17930
  • t(a)
    0.50794
  • p(a)
    0.47088
  • Lowerbound of 95% confidence interval for beta
    0.66040
  • Upperbound of 95% confidence interval for beta
    1.18895
  • Lowerbound of 95% confidence interval for alpha
    -0.46344
  • Upperbound of 95% confidence interval for alpha
    0.78339
  • Treynor index (mean / b)
    0.25812
  • Jensen alpha (a)
    0.15997
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20656
  • SD
    0.25345
  • Sharpe ratio (Glass type estimate)
    0.81500
  • Sharpe ratio (Hedges UMVUE)
    0.81006
  • df
    124.00000
  • t
    0.56294
  • p
    0.47476
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.02589
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.65278
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.02928
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.64940
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.34074
  • Upside Potential Ratio
    9.45485
  • Upside part of mean
    1.45665
  • Downside part of mean
    -1.25009
  • Upside SD
    0.20037
  • Downside SD
    0.15406
  • N nonnegative terms
    53.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    125.00000
  • Mean of predictor
    0.07446
  • Mean of criterion
    0.20656
  • SD of predictor
    0.14659
  • SD of criterion
    0.25345
  • Covariance
    0.01975
  • r
    0.53159
  • b (slope, estimate of beta)
    0.91909
  • a (intercept, estimate of alpha)
    0.13812
  • Mean Square Error
    0.04646
  • DF error
    123.00000
  • t(b)
    6.96060
  • p(b)
    0.17827
  • t(a)
    0.44242
  • p(a)
    0.47463
  • Lowerbound of 95% confidence interval for beta
    0.65773
  • Upperbound of 95% confidence interval for beta
    1.18047
  • Lowerbound of 95% confidence interval for alpha
    -0.47987
  • Upperbound of 95% confidence interval for alpha
    0.75612
  • Treynor index (mean / b)
    0.22474
  • Jensen alpha (a)
    0.13812
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02466
  • Expected Shortfall on VaR
    0.03100
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01190
  • Expected Shortfall on VaR
    0.02249
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    125.00000
  • Minimum
    0.95088
  • Quartile 1
    0.99280
  • Median
    0.99979
  • Quartile 3
    1.00627
  • Maximum
    1.07416
  • Mean of quarter 1
    0.98459
  • Mean of quarter 2
    0.99710
  • Mean of quarter 3
    1.00195
  • Mean of quarter 4
    1.02096
  • Inter Quartile Range
    0.01347
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.04000
  • Mean of outliers low
    0.96533
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08800
  • Mean of outliers high
    1.03575
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30418
  • VaR(95%) (moments method)
    0.01669
  • Expected Shortfall (moments method)
    0.02745
  • Extreme Value Index (regression method)
    0.29612
  • VaR(95%) (regression method)
    0.01516
  • Expected Shortfall (regression method)
    0.02392
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00397
  • Quartile 1
    0.03852
  • Median
    0.05981
  • Quartile 3
    0.07429
  • Maximum
    0.10049
  • Mean of quarter 1
    0.01991
  • Mean of quarter 2
    0.04651
  • Mean of quarter 3
    0.07312
  • Mean of quarter 4
    0.08758
  • Inter Quartile Range
    0.03577
  • 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)
    0.24808
  • Compounded annual return (geometric extrapolation)
    0.26423
  • Calmar ratio (compounded annual return / max draw down)
    2.62955
  • Compounded annual return / average of 25% largest draw downs
    3.01692
  • Compounded annual return / Expected Shortfall lognormal
    8.52308
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.02500
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -381217000
  • Max Equity Drawdown (num days)
    25

Strategy Description

Dear Prospective Trader,

Thank you for checking out my strategy! I have recently reset and changed this strategy to trade the 3x leveraged ETF (TQQQ) tracking the Nasdaq-100 index. The strategy remains with same with the new leveraged ETF.

Resilient Investments is a 100% automated trading strategy that uses the 3x leveraged Nasdaq-100 ETF, TQQQ. A nearest-neighbor algorithm is used to predict the close-to-close change of the Nasdaq-100 index on a daily basis using historical time-series data. Just before market close, a prediction of the market’s next day return is performed to determine whether to increase, decrease, or remain at the current leverage points. The basic philosophy of the strategy (as with most machine learning techniques) is to “do what would’ve worked best, given historically similar conditions.” The optimization goal was to maximize daily Sharpe ratio performance while yielding a daily volatility that is twice the volatility of the Nasdaq-100 index.

The high volume ETF TQQQ (3x Nasdaq-100 Index) is used to achieve the desired leverage. By varying the total proportion of investment into this fund, the account leverage against the Nasdaq-100 index is varied from 0% to +300% in increments of 150%. This strategy was backtested and optimized using 20 years of Nasdaq-100 index data. The use of a long-term data set ensures a generalized approach is applied for the various market conditions of the future. All trades are performed using an automated system which interfaces with the Collective 2 API through MATLAB scripts.

A few important notes about this strategy:
* Automation is highly recommended since trade timing is important maintaining the accuracy to the strategy. Trades are placed 15-20 seconds before market close each day, so it is essential that the user employs an automated trading capability which can receive and immediately act upon the signals broadcasted through Collective2.
* This strategy places a maximum of one trade per day just before market close. Trades may be placed daily or the strategy may hold the current position for several days and not place a trade.
* Recent change: Sell stops are now employed on all open day positions.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2024-07-22
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 6.9%
Rank # 
#349
# Trades
40
# Profitable
18
% Profitable
45.0%
Net Dividends
$78
Correlation S&P500
0.528
Sharpe Ratio
0.61
Sortino Ratio
1.00
Beta
0.93
Alpha
0.03
Leverage
2.28 Average
3.13 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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subscribed on started simulation #SUBSCRIBEDDATE#

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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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.