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This is an archived track record. This track record was archived on 5/25/18 4:13 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Day Trader VXX
(105375934)

Created by: AvcBvc AvcBvc
Started: 04/2017
Stocks
Last trade: 1,543 days ago
Trading style: Equity Momentum

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 $79.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
7.5%
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.

(18.5%)
Max Drawdown
227
Num Trades
51.5%
Win Trades
1.1 : 1
Profit Factor
12.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                     +9.4%(7.3%)+2.1%(2.2%)(3.6%)+3.7%+1.5%(10.5%)+11.2%+2.2%
2018+8.7%+2.5%+7.1%(6.4%)(8.6%)  -    -    -    -    -    -    -  +2.0%
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -                          0.0

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 168 hours.

Trading Record

This strategy has placed 59 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1627 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/23/18 14:30 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 812 25.30 5/23 15:57 25.01 0.6%
Trade id #118075579
Max drawdown($243)
Time5/23/18 15:57
Quant open812
Worst price25.00
Drawdown as % of equity-0.60%
($240)
Includes Typical Broker Commissions trade costs of $5.00
5/17/18 14:30 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 830 24.75 5/17 15:58 24.69 0.12%
Trade id #117983230
Max drawdown($50)
Time5/17/18 15:58
Quant open0
Worst price24.69
Drawdown as % of equity-0.12%
($55)
Includes Typical Broker Commissions trade costs of $5.00
5/15/18 10:45 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,692 24.42 5/15 15:58 24.34 1.43%
Trade id #117941352
Max drawdown($590)
Time5/15/18 11:38
Quant open1,692
Worst price24.07
Drawdown as % of equity-1.43%
($145)
Includes Typical Broker Commissions trade costs of $10.00
5/14/18 14:15 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 898 23.15 5/14 15:58 22.84 0.72%
Trade id #117924606
Max drawdown($296)
Time5/14/18 15:58
Quant open898
Worst price22.82
Drawdown as % of equity-0.72%
($283)
Includes Typical Broker Commissions trade costs of $5.00
5/10/18 9:45 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,534 26.98 5/10 15:58 27.09 1.37%
Trade id #117873351
Max drawdown($567)
Time5/10/18 11:13
Quant open1,534
Worst price26.61
Drawdown as % of equity-1.37%
$159
Includes Typical Broker Commissions trade costs of $10.00
5/8/18 10:45 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,778 24.13 5/8 14:15 23.31 3.46%
Trade id #117839287
Max drawdown($1,458)
Time5/8/18 14:15
Quant open889
Worst price23.31
Drawdown as % of equity-3.46%
($1,468)
Includes Typical Broker Commissions trade costs of $10.00
5/3/18 9:45 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 811 26.59 5/3 15:57 26.20 1.24%
Trade id #117773606
Max drawdown($535)
Time5/3/18 10:39
Quant open811
Worst price25.93
Drawdown as % of equity-1.24%
($321)
Includes Typical Broker Commissions trade costs of $5.00
5/2/18 14:15 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,652 26.81 5/2 15:15 26.17 2.67%
Trade id #117760813
Max drawdown($1,172)
Time5/2/18 15:04
Quant open1,652
Worst price26.10
Drawdown as % of equity-2.67%
($1,067)
Includes Typical Broker Commissions trade costs of $10.00
4/30/18 10:45 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,812 24.09 4/30 15:58 24.41 0.87%
Trade id #117715268
Max drawdown($380)
Time4/30/18 13:21
Quant open1,812
Worst price23.88
Drawdown as % of equity-0.87%
$579
Includes Typical Broker Commissions trade costs of $10.00
4/25/18 10:45 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,854 23.98 4/25 11:30 23.52 2.15%
Trade id #117658149
Max drawdown($954)
Time4/25/18 11:26
Quant open1,854
Worst price23.47
Drawdown as % of equity-2.15%
($872)
Includes Typical Broker Commissions trade costs of $10.00
4/24/18 10:00 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,680 26.56 4/24 15:58 26.46 1.78%
Trade id #117637200
Max drawdown($788)
Time4/24/18 10:56
Quant open1,680
Worst price26.09
Drawdown as % of equity-1.78%
($178)
Includes Typical Broker Commissions trade costs of $10.00
4/23/18 10:45 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,860 23.90 4/23 15:58 23.98 0.48%
Trade id #117621064
Max drawdown($214)
Time4/23/18 12:38
Quant open933
Worst price23.64
Drawdown as % of equity-0.48%
$130
Includes Typical Broker Commissions trade costs of $10.00
4/20/18 10:45 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,928 23.35 4/20 15:58 23.09 2.01%
Trade id #117597138
Max drawdown($906)
Time4/20/18 11:32
Quant open1,928
Worst price22.88
Drawdown as % of equity-2.01%
($521)
Includes Typical Broker Commissions trade costs of $10.00
4/18/18 9:45 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,616 28.60 4/18 15:15 27.88 2.76%
Trade id #117559057
Max drawdown($1,260)
Time4/18/18 15:13
Quant open1,616
Worst price27.82
Drawdown as % of equity-2.76%
($1,182)
Includes Typical Broker Commissions trade costs of $10.00
4/13/18 9:45 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,702 27.02 4/13 15:58 27.18 0.2%
Trade id #117499933
Max drawdown($93)
Time4/13/18 9:49
Quant open1,702
Worst price26.96
Drawdown as % of equity-0.20%
$279
Includes Typical Broker Commissions trade costs of $10.00
4/11/18 9:45 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,716 26.73 4/11 15:58 26.82 1.48%
Trade id #117464474
Max drawdown($686)
Time4/11/18 14:14
Quant open1,716
Worst price26.33
Drawdown as % of equity-1.48%
$144
Includes Typical Broker Commissions trade costs of $10.00
4/10/18 10:15 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,822 25.05 4/10 15:58 25.11 0.34%
Trade id #117446703
Max drawdown($155)
Time4/10/18 10:35
Quant open913
Worst price24.83
Drawdown as % of equity-0.34%
$100
Includes Typical Broker Commissions trade costs of $10.00
4/3/18 14:00 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,763 25.81 4/3 15:58 25.87 0.14%
Trade id #117352103
Max drawdown($61)
Time4/3/18 14:02
Quant open884
Worst price25.68
Drawdown as % of equity-0.14%
$87
Includes Typical Broker Commissions trade costs of $10.00
4/3/18 10:45 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,792 26.18 4/3 13:15 25.48 2.98%
Trade id #117346812
Max drawdown($1,370)
Time4/3/18 13:12
Quant open1,792
Worst price25.41
Drawdown as % of equity-2.98%
($1,255)
Includes Typical Broker Commissions trade costs of $10.00
4/2/18 9:45 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,850 25.27 4/2 15:58 25.27 0.73%
Trade id #117323918
Max drawdown($343)
Time4/2/18 9:53
Quant open929
Worst price24.82
Drawdown as % of equity-0.73%
($9)
Includes Typical Broker Commissions trade costs of $10.00
3/29/18 15:00 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 964 24.22 3/29 15:58 24.33 0.37%
Trade id #117304106
Max drawdown($173)
Time3/29/18 15:36
Quant open964
Worst price24.04
Drawdown as % of equity-0.37%
$101
Includes Typical Broker Commissions trade costs of $5.00
3/28/18 10:45 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,738 26.84 3/28 15:58 26.89 0.34%
Trade id #117277585
Max drawdown($156)
Time3/28/18 12:53
Quant open1,738
Worst price26.75
Drawdown as % of equity-0.34%
$77
Includes Typical Broker Commissions trade costs of $10.00
3/27/18 13:30 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,834 25.15 3/27 15:58 25.41 0.68%
Trade id #117259049
Max drawdown($311)
Time3/27/18 13:40
Quant open1,834
Worst price24.98
Drawdown as % of equity-0.68%
$467
Includes Typical Broker Commissions trade costs of $10.00
3/27/18 10:45 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,844 25.58 3/27 12:30 25.01 2.31%
Trade id #117254119
Max drawdown($1,069)
Time3/27/18 12:29
Quant open1,844
Worst price25.00
Drawdown as % of equity-2.31%
($1,061)
Includes Typical Broker Commissions trade costs of $10.00
3/26/18 14:00 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 905 26.17 3/26 15:57 25.92 0.57%
Trade id #117235133
Max drawdown($271)
Time3/26/18 15:47
Quant open905
Worst price25.87
Drawdown as % of equity-0.57%
($231)
Includes Typical Broker Commissions trade costs of $5.00
3/23/18 9:45 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,876 24.56 3/23 15:51 25.26 0.2%
Trade id #117203871
Max drawdown($93)
Time3/23/18 9:48
Quant open1,876
Worst price24.51
Drawdown as % of equity-0.20%
$1,303
Includes Typical Broker Commissions trade costs of $10.00
3/21/18 10:45 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,906 23.24 3/21 15:58 24.20 2.65%
Trade id #117154561
Max drawdown($1,181)
Time3/21/18 14:04
Quant open1,906
Worst price22.62
Drawdown as % of equity-2.65%
$1,829
Includes Typical Broker Commissions trade costs of $10.00
3/20/18 10:45 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,532 29.00 3/20 15:58 28.91 1.33%
Trade id #117136658
Max drawdown($589)
Time3/20/18 11:03
Quant open1,532
Worst price28.62
Drawdown as % of equity-1.33%
($163)
Includes Typical Broker Commissions trade costs of $10.00
3/15/18 10:45 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 791 27.98 3/15 15:58 28.16 0.61%
Trade id #117062376
Max drawdown($271)
Time3/15/18 13:53
Quant open791
Worst price27.64
Drawdown as % of equity-0.61%
$137
Includes Typical Broker Commissions trade costs of $5.00
3/7/18 10:45 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,602 27.27 3/7 15:58 27.54 0.48%
Trade id #116906767
Max drawdown($209)
Time3/7/18 10:54
Quant open805
Worst price26.91
Drawdown as % of equity-0.48%
$431
Includes Typical Broker Commissions trade costs of $10.00

Statistics

  • Strategy began
    4/10/2017
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1950.06
  • Age
    65 months ago
  • What it trades
    Stocks
  • # Trades
    227
  • # Profitable
    117
  • % Profitable
    51.50%
  • Avg trade duration
    4.1 hours
  • Max peak-to-valley drawdown
    18.52%
  • drawdown period
    April 25, 2017 - Nov 16, 2017
  • Annual Return (Compounded)
    7.5%
  • Avg win
    $458.98
  • Avg loss
    $435.11
  • Model Account Values (Raw)
  • Cash
    $40,836
  • Margin Used
    $0
  • Buying Power
    $40,836
  • Ratios
  • W:L ratio
    1.12:1
  • Sharpe Ratio
    -0.05
  • Sortino Ratio
    -0.08
  • Calmar Ratio
    0.553
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -7.17%
  • Correlation to SP500
    0.00690
  • Return Percent SP500 (cumu) during strategy life
    81.58%
  • Return Statistics
  • Ann Return (w trading costs)
    7.5%
  • Slump
  • Current Slump as Pcnt Equity
    19.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.82%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.075%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    42.00%
  • Chance of 20% account loss
    8.00%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    93.81%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    871
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    475
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $435
  • Avg Win
    $459
  • Sum Trade PL (losers)
    $47,862.000
  • Age
  • Num Months filled monthly returns table
    65
  • Win / Loss
  • Sum Trade PL (winners)
    $53,701.000
  • # Winners
    117
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    110
  • % Winners
    51.5%
  • Frequency
  • Avg Position Time (mins)
    247.00
  • Avg Position Time (hrs)
    4.12
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    1542
  • Regression
  • Alpha
    -0.00
  • Beta
    0.00
  • Treynor Index
    -0.47
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    84.97
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    27.09
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.47
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    28.286
  • 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
    0.437
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.278
  • Hold-and-Hope Ratio
    0.035
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12256
  • SD
    0.24636
  • Sharpe ratio (Glass type estimate)
    0.49751
  • Sharpe ratio (Hedges UMVUE)
    0.46564
  • df
    12.00000
  • t
    0.51782
  • p
    0.42608
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.40593
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.38073
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.42662
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35790
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.88352
  • Upside Potential Ratio
    2.69343
  • Upside part of mean
    0.37364
  • Downside part of mean
    -0.25108
  • Upside SD
    0.19501
  • Downside SD
    0.13872
  • N nonnegative terms
    6.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.11041
  • Mean of criterion
    0.12256
  • SD of predictor
    0.08405
  • SD of criterion
    0.24636
  • Covariance
    0.00637
  • r
    0.30740
  • b (slope, estimate of beta)
    0.90099
  • a (intercept, estimate of alpha)
    0.02309
  • Mean Square Error
    0.05995
  • DF error
    11.00000
  • t(b)
    1.07139
  • p(b)
    0.15347
  • t(a)
    0.09128
  • p(a)
    0.46446
  • Lowerbound of 95% confidence interval for beta
    -0.94994
  • Upperbound of 95% confidence interval for beta
    2.75193
  • Lowerbound of 95% confidence interval for alpha
    -0.53356
  • Upperbound of 95% confidence interval for alpha
    0.57973
  • Treynor index (mean / b)
    0.13603
  • Jensen alpha (a)
    0.02309
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09471
  • SD
    0.24101
  • Sharpe ratio (Glass type estimate)
    0.39295
  • Sharpe ratio (Hedges UMVUE)
    0.36778
  • df
    12.00000
  • t
    0.40899
  • p
    0.44137
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.50451
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.27441
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.52103
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25659
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.65194
  • Upside Potential Ratio
    2.44661
  • Upside part of mean
    0.35541
  • Downside part of mean
    -0.26071
  • Upside SD
    0.18238
  • Downside SD
    0.14527
  • N nonnegative terms
    6.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.10641
  • Mean of criterion
    0.09471
  • SD of predictor
    0.08411
  • SD of criterion
    0.24101
  • Covariance
    0.00573
  • r
    0.28264
  • b (slope, estimate of beta)
    0.80987
  • a (intercept, estimate of alpha)
    0.00852
  • Mean Square Error
    0.05831
  • DF error
    11.00000
  • t(b)
    0.97724
  • p(b)
    0.17473
  • t(a)
    0.03435
  • p(a)
    0.48661
  • Lowerbound of 95% confidence interval for beta
    -1.01415
  • Upperbound of 95% confidence interval for beta
    2.63388
  • Lowerbound of 95% confidence interval for alpha
    -0.53773
  • Upperbound of 95% confidence interval for alpha
    0.55478
  • Treynor index (mean / b)
    0.11694
  • Jensen alpha (a)
    0.00852
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10107
  • Expected Shortfall on VaR
    0.12654
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05071
  • Expected Shortfall on VaR
    0.09466
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.89043
  • Quartile 1
    0.98457
  • Median
    0.99832
  • Quartile 3
    1.04238
  • Maximum
    1.17502
  • Mean of quarter 1
    0.93924
  • Mean of quarter 2
    0.99577
  • Mean of quarter 3
    1.04049
  • Mean of quarter 4
    1.09909
  • Inter Quartile Range
    0.05781
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.07692
  • Mean of outliers low
    0.89043
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    1.17502
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -7.38994
  • VaR(95%) (moments method)
    0.04226
  • Expected Shortfall (moments method)
    0.04226
  • Extreme Value Index (regression method)
    -0.77446
  • VaR(95%) (regression method)
    0.11468
  • Expected Shortfall (regression method)
    0.12984
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00168
  • Quartile 1
    0.01199
  • Median
    0.05300
  • Quartile 3
    0.09532
  • Maximum
    0.10957
  • Mean of quarter 1
    0.00168
  • Mean of quarter 2
    0.01543
  • Mean of quarter 3
    0.09057
  • Mean of quarter 4
    0.10957
  • Inter Quartile Range
    0.08333
  • 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)
    0.13113
  • Compounded annual return (geometric extrapolation)
    0.13045
  • Calmar ratio (compounded annual return / max draw down)
    1.19056
  • Compounded annual return / average of 25% largest draw downs
    1.19056
  • Compounded annual return / Expected Shortfall lognormal
    1.03089
  • 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
    0.10690
  • SD
    0.20845
  • Sharpe ratio (Glass type estimate)
    0.51285
  • Sharpe ratio (Hedges UMVUE)
    0.51152
  • df
    290.00000
  • t
    0.54049
  • p
    0.29464
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.34779
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.37263
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.34868
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.37173
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.81491
  • Upside Potential Ratio
    8.27789
  • Upside part of mean
    1.08594
  • Downside part of mean
    -0.97904
  • Upside SD
    0.16167
  • Downside SD
    0.13119
  • N nonnegative terms
    120.00000
  • N negative terms
    171.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    291.00000
  • Mean of predictor
    0.11198
  • Mean of criterion
    0.10690
  • SD of predictor
    0.11889
  • SD of criterion
    0.20845
  • Covariance
    0.00071
  • r
    0.02874
  • b (slope, estimate of beta)
    0.05040
  • a (intercept, estimate of alpha)
    0.05900
  • Mean Square Error
    0.04357
  • DF error
    289.00000
  • t(b)
    0.48885
  • p(b)
    0.31266
  • t(a)
    0.51042
  • p(a)
    0.30507
  • Lowerbound of 95% confidence interval for beta
    -0.15251
  • Upperbound of 95% confidence interval for beta
    0.25330
  • Lowerbound of 95% confidence interval for alpha
    -0.28921
  • Upperbound of 95% confidence interval for alpha
    0.49173
  • Treynor index (mean / b)
    2.12129
  • Jensen alpha (a)
    0.10126
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08542
  • SD
    0.20705
  • Sharpe ratio (Glass type estimate)
    0.41257
  • Sharpe ratio (Hedges UMVUE)
    0.41150
  • df
    290.00000
  • t
    0.43480
  • p
    0.33202
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.44780
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.27229
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.44854
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.27154
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.64242
  • Upside Potential Ratio
    8.07025
  • Upside part of mean
    1.07312
  • Downside part of mean
    -0.98770
  • Upside SD
    0.15834
  • Downside SD
    0.13297
  • N nonnegative terms
    120.00000
  • N negative terms
    171.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    291.00000
  • Mean of predictor
    0.10486
  • Mean of criterion
    0.08542
  • SD of predictor
    0.11944
  • SD of criterion
    0.20705
  • Covariance
    0.00074
  • r
    0.02990
  • b (slope, estimate of beta)
    0.05182
  • a (intercept, estimate of alpha)
    0.07999
  • Mean Square Error
    0.04298
  • DF error
    289.00000
  • t(b)
    0.50845
  • p(b)
    0.30576
  • t(a)
    0.40602
  • p(a)
    0.34251
  • Lowerbound of 95% confidence interval for beta
    -0.14879
  • Upperbound of 95% confidence interval for beta
    0.25243
  • Lowerbound of 95% confidence interval for alpha
    -0.30776
  • Upperbound of 95% confidence interval for alpha
    0.46774
  • Treynor index (mean / b)
    1.64835
  • Jensen alpha (a)
    0.07999
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02050
  • Expected Shortfall on VaR
    0.02571
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00948
  • Expected Shortfall on VaR
    0.01866
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    291.00000
  • Minimum
    0.94593
  • Quartile 1
    0.99602
  • Median
    1.00000
  • Quartile 3
    1.00490
  • Maximum
    1.08095
  • Mean of quarter 1
    0.98653
  • Mean of quarter 2
    0.99882
  • Mean of quarter 3
    1.00150
  • Mean of quarter 4
    1.01522
  • Inter Quartile Range
    0.00887
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.05842
  • Mean of outliers low
    0.97521
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.06529
  • Mean of outliers high
    1.03161
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.39069
  • VaR(95%) (moments method)
    0.01106
  • Expected Shortfall (moments method)
    0.01335
  • Extreme Value Index (regression method)
    -0.15477
  • VaR(95%) (regression method)
    0.01208
  • Expected Shortfall (regression method)
    0.01592
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00029
  • Quartile 1
    0.01109
  • Median
    0.02108
  • Quartile 3
    0.06655
  • Maximum
    0.13916
  • Mean of quarter 1
    0.00364
  • Mean of quarter 2
    0.01375
  • Mean of quarter 3
    0.03520
  • Mean of quarter 4
    0.13776
  • Inter Quartile Range
    0.05546
  • 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)
    0.12077
  • Compounded annual return (geometric extrapolation)
    0.12000
  • Calmar ratio (compounded annual return / max draw down)
    0.86235
  • Compounded annual return / average of 25% largest draw downs
    0.87112
  • Compounded annual return / Expected Shortfall lognormal
    4.66714
  • 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
    0.31629
  • SD
    0.15890
  • Sharpe ratio (Glass type estimate)
    1.99047
  • Sharpe ratio (Hedges UMVUE)
    1.97897
  • df
    130.00000
  • t
    1.40748
  • p
    0.43874
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79563
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.76906
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80326
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.76119
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.35855
  • Upside Potential Ratio
    10.60590
  • Upside part of mean
    0.99880
  • Downside part of mean
    -0.68251
  • Upside SD
    0.12872
  • Downside SD
    0.09417
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08160
  • Mean of criterion
    0.31629
  • SD of predictor
    0.16005
  • SD of criterion
    0.15890
  • Covariance
    -0.00007
  • r
    -0.00281
  • b (slope, estimate of beta)
    -0.00279
  • a (intercept, estimate of alpha)
    0.31651
  • Mean Square Error
    0.02544
  • DF error
    129.00000
  • t(b)
    -0.03193
  • p(b)
    0.50179
  • t(a)
    1.40237
  • p(a)
    0.42218
  • Lowerbound of 95% confidence interval for beta
    -0.17574
  • Upperbound of 95% confidence interval for beta
    0.17015
  • Lowerbound of 95% confidence interval for alpha
    -0.13004
  • Upperbound of 95% confidence interval for alpha
    0.76307
  • Treynor index (mean / b)
    -113.32800
  • Jensen alpha (a)
    0.31651
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30361
  • SD
    0.15826
  • Sharpe ratio (Glass type estimate)
    1.91843
  • Sharpe ratio (Hedges UMVUE)
    1.90734
  • df
    130.00000
  • t
    1.35654
  • p
    0.44093
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86680
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.69640
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87414
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.68883
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.19701
  • Upside Potential Ratio
    10.43020
  • Upside part of mean
    0.99053
  • Downside part of mean
    -0.68692
  • Upside SD
    0.12723
  • Downside SD
    0.09497
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06878
  • Mean of criterion
    0.30361
  • SD of predictor
    0.16091
  • SD of criterion
    0.15826
  • Covariance
    -0.00002
  • r
    -0.00079
  • b (slope, estimate of beta)
    -0.00078
  • a (intercept, estimate of alpha)
    0.30367
  • Mean Square Error
    0.02524
  • DF error
    129.00000
  • t(b)
    -0.00897
  • p(b)
    0.50050
  • t(a)
    1.35107
  • p(a)
    0.42498
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    -0.17211
  • Upperbound of 95% confidence interval for beta
    0.17055
  • Lowerbound of 95% confidence interval for alpha
    -0.14103
  • Upperbound of 95% confidence interval for alpha
    0.74836
  • Treynor index (mean / b)
    -390.68300
  • Jensen alpha (a)
    0.30367
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01481
  • Expected Shortfall on VaR
    0.01882
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00621
  • Expected Shortfall on VaR
    0.01254
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97399
  • Quartile 1
    0.99743
  • Median
    1.00000
  • Quartile 3
    1.00566
  • Maximum
    1.03553
  • Mean of quarter 1
    0.99041
  • Mean of quarter 2
    0.99947
  • Mean of quarter 3
    1.00216
  • Mean of quarter 4
    1.01323
  • Inter Quartile Range
    0.00822
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.98111
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.02653
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29062
  • VaR(95%) (moments method)
    0.00858
  • Expected Shortfall (moments method)
    0.01509
  • Extreme Value Index (regression method)
    -0.09250
  • VaR(95%) (regression method)
    0.01109
  • Expected Shortfall (regression method)
    0.01550
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00134
  • Quartile 1
    0.00972
  • Median
    0.01285
  • Quartile 3
    0.03520
  • Maximum
    0.13636
  • Mean of quarter 1
    0.00416
  • Mean of quarter 2
    0.01265
  • Mean of quarter 3
    0.02711
  • Mean of quarter 4
    0.08982
  • Inter Quartile Range
    0.02547
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.13636
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Max Equity Drawdown (num days)
    205
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.36058
  • Compounded annual return (geometric extrapolation)
    0.39308
  • Calmar ratio (compounded annual return / max draw down)
    2.88278
  • Compounded annual return / average of 25% largest draw downs
    4.37640
  • Compounded annual return / Expected Shortfall lognormal
    20.88300

Strategy Description

The system attempts to day-trade solid break-outs based on price action on NUGT/DUST.
No overnight Risk!!

Note:prior to december 2017, system was trading XIV/VXX as well. but this was continued on account of the late realization of an issue with that subsystem. (since there were no clients on the system, I was not really checking the system closely)
Hence to get a better picture of the system please download the list of trades and calculate the stat for only trades related to DUST/NUGT. you may find it interesting :)


(hint - more than 3500 USD loss came from the discontinued XIV/VXX subsystem. NUGT/DUST alone netted over $13000 profit as of 22/03/2018 since inception - please verify yourself)

Summary Statistics

Strategy began
2017-04-10
Suggested Minimum Capital
$35,000
# Trades
227
# Profitable
117
% Profitable
51.5%
Correlation S&P500
0.007
Sharpe Ratio
-0.05
Sortino Ratio
-0.08
Beta
0.00
Alpha
-0.00

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.
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  • "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

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