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C2Star Strategy Furry Logic C2Star: in evaluation Hypothetical

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4QTiming NDX3x
(105498828)

Created by: 4QTiming 4QTiming
Started: 11/2016
Stocks
Last trade: 11 days ago
Trading style: Equity Trend-following Short-term Reversal

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 $120.00 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
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.
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
25.5%
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.

(46.6%)
Max Drawdown
270
Num Trades
40.0%
Win Trades
1.4 : 1
Profit Factor
52.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      +3.4%+10.2%+14.0%
2017+10.8%+7.2%(2.1%)(1.4%)+6.4%(1.5%)(1.3%)(0.6%)(2.8%)+6.5%(5.3%)+4.0%+20.3%
2018+16.9%+7.1%(10.4%)(7.2%)(10.5%)+1.0%+15.0%(5.1%)(8%)(15.8%)+16.6%(1.7%)(8.9%)
2019(7.6%)+3.0%+5.7%+19.5%(14%)+22.6%+3.4%(5.7%)(16.3%)(2.9%)+6.1%+0.9%+7.7%
2020(6.9%)+4.0%+20.1%(1%)(1%)(0.4%)+2.0%+44.4%+0.3%+18.7%+11.6%+16.9%+159.6%
2021(8.7%)+4.1%+1.1%+6.5%+3.4%+10.4%+1.6%+8.5%+3.0%+26.3%+7.0%(9.5%)+62.2%
2022(4%)(0.3%)+12.9%+0.2%+4.1%+23.9%+4.8%(0.2%)(12.8%)(10.4%)(0.2%)(7.7%)+5.1%
2023(4.5%)(6.4%)(3.3%)(2.6%)+3.6%+3.5%(0.1%)(4.3%)(8.1%)(1.2%)+7.7%(0.4%)(15.9%)

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 96 hours.

Trading Record

This strategy has placed 223 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 117 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/9/23 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 800 38.22 11/30 12:00 42.90 0.02%
Trade id #146391185
Max drawdown($8)
Time11/9/23 16:00
Quant open800
Worst price38.21
Drawdown as % of equity-0.02%
 $3,739
Includes Typical Broker Commissions trade costs of $5.00
10/5/23 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 430 35.60 10/6 9:30 34.71 0.87%
Trade id #146047670
Max drawdown($408)
Time10/6/23 9:30
Quant open430
Worst price34.65
Drawdown as % of equity-0.87%
 ($392)
Includes Typical Broker Commissions trade costs of $8.60
9/19/23 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 790 39.63 9/20 15:33 38.12 2.51%
Trade id #145872159
Max drawdown($1,208)
Time9/20/23 15:33
Quant open790
Worst price38.10
Drawdown as % of equity-2.51%
 ($1,198)
Includes Typical Broker Commissions trade costs of $5.00
9/14/23 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,514 41.91 9/15 9:46 40.73 3.63%
Trade id #145830878
Max drawdown($1,816)
Time9/15/23 9:46
Quant open1,514
Worst price40.71
Drawdown as % of equity-3.63%
 ($1,792)
Includes Typical Broker Commissions trade costs of $5.00
9/8/23 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,580 40.45 9/12 15:15 40.48 0.12%
Trade id #145775218
Max drawdown($63)
Time9/12/23 15:15
Quant open1,580
Worst price40.41
Drawdown as % of equity-0.12%
 $42
Includes Typical Broker Commissions trade costs of $5.00
8/31/23 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,011 42.49 9/6 10:06 41.26 2.47%
Trade id #145705626
Max drawdown($1,268)
Time9/6/23 10:06
Quant open1,011
Worst price41.23
Drawdown as % of equity-2.47%
 ($1,249)
Includes Typical Broker Commissions trade costs of $5.00
8/21/23 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,650 38.22 8/24 10:16 39.23 1.49%
Trade id #145596666
Max drawdown($742)
Time8/22/23 0:00
Quant open1,650
Worst price37.77
Drawdown as % of equity-1.49%
 $1,662
Includes Typical Broker Commissions trade costs of $5.00
8/14/23 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,608 40.34 8/15 13:42 39.42 4.57%
Trade id #145525969
Max drawdown($2,346)
Time8/15/23 0:00
Quant open1,608
Worst price38.88
Drawdown as % of equity-4.57%
 ($1,481)
Includes Typical Broker Commissions trade costs of $5.00
8/8/23 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,610 41.09 8/9 10:54 40.09 3.11%
Trade id #145475857
Max drawdown($1,647)
Time8/9/23 10:54
Quant open1,610
Worst price40.06
Drawdown as % of equity-3.11%
 ($1,605)
Includes Typical Broker Commissions trade costs of $5.00
8/4/23 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,530 41.09 8/8 9:49 40.65 1.56%
Trade id #145446568
Max drawdown($864)
Time8/8/23 9:49
Quant open1,530
Worst price40.52
Drawdown as % of equity-1.56%
 ($669)
Includes Typical Broker Commissions trade costs of $5.00
7/28/23 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,483 45.20 7/31 15:58 45.13 1.02%
Trade id #145361715
Max drawdown($563)
Time7/31/23 15:48
Quant open1,483
Worst price44.82
Drawdown as % of equity-1.02%
 ($109)
Includes Typical Broker Commissions trade costs of $5.00
7/25/23 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,560 43.77 7/26 10:57 42.67 3.07%
Trade id #145320938
Max drawdown($1,731)
Time7/26/23 10:57
Quant open1,560
Worst price42.66
Drawdown as % of equity-3.07%
 ($1,721)
Includes Typical Broker Commissions trade costs of $5.00
7/12/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,100 41.83 7/20 10:20 44.69 1.4%
Trade id #145183110
Max drawdown($747)
Time7/12/23 11:57
Quant open1,100
Worst price41.15
Drawdown as % of equity-1.40%
 $3,141
Includes Typical Broker Commissions trade costs of $5.00
6/28/23 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,110 39.25 7/6 9:30 39.93 1.2%
Trade id #145058570
Max drawdown($643)
Time6/29/23 0:00
Quant open1,110
Worst price38.67
Drawdown as % of equity-1.20%
 $750
Includes Typical Broker Commissions trade costs of $5.00
6/26/23 15:58 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 3,230 20.83 6/27 11:44 20.21 6.95%
Trade id #145035898
Max drawdown($3,843)
Time6/27/23 0:00
Quant open3,230
Worst price19.64
Drawdown as % of equity-6.95%
 ($2,008)
Includes Typical Broker Commissions trade costs of $5.00
6/22/23 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,724 40.13 6/23 9:30 38.83 4.01%
Trade id #145009163
Max drawdown($2,310)
Time6/23/23 9:30
Quant open1,724
Worst price38.79
Drawdown as % of equity-4.01%
 ($2,246)
Includes Typical Broker Commissions trade costs of $5.00
6/9/23 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,740 36.59 6/20 10:21 39.85 n/a $5,667
Includes Typical Broker Commissions trade costs of $5.00
6/5/23 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,740 36.93 6/7 10:35 36.42 2.2%
Trade id #144838887
Max drawdown($1,165)
Time6/6/23 0:00
Quant open1,740
Worst price36.26
Drawdown as % of equity-2.20%
 ($892)
Includes Typical Broker Commissions trade costs of $5.00
5/26/23 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,870 35.08 6/1 9:35 34.50 2.32%
Trade id #144761719
Max drawdown($1,271)
Time5/31/23 0:00
Quant open1,870
Worst price34.40
Drawdown as % of equity-2.32%
 ($1,090)
Includes Typical Broker Commissions trade costs of $5.00
5/5/23 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,490 28.22 5/24 9:30 30.28 1.2%
Trade id #144543909
Max drawdown($618)
Time5/9/23 0:00
Quant open1,490
Worst price27.80
Drawdown as % of equity-1.20%
 $3,064
Includes Typical Broker Commissions trade costs of $5.00
4/28/23 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,130 28.22 5/2 10:10 27.81 0.9%
Trade id #144475008
Max drawdown($463)
Time5/2/23 10:10
Quant open1,130
Worst price27.81
Drawdown as % of equity-0.90%
 ($468)
Includes Typical Broker Commissions trade costs of $5.00
3/30/23 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 780 26.93 4/5 10:44 26.73 0.37%
Trade id #144120384
Max drawdown($195)
Time4/5/23 10:44
Quant open780
Worst price26.68
Drawdown as % of equity-0.37%
 ($161)
Includes Typical Broker Commissions trade costs of $5.00
3/21/23 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,660 25.84 3/22 15:52 25.16 2.43%
Trade id #143986385
Max drawdown($1,278)
Time3/22/23 15:52
Quant open1,660
Worst price25.07
Drawdown as % of equity-2.43%
 ($1,134)
Includes Typical Broker Commissions trade costs of $5.00
3/17/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,175 24.93 3/20 9:31 24.30 1.84%
Trade id #143943122
Max drawdown($975)
Time3/17/23 11:43
Quant open1,175
Worst price24.10
Drawdown as % of equity-1.84%
 ($739)
Includes Typical Broker Commissions trade costs of $5.00
3/7/23 15:57 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,166 38.02 3/8 15:57 37.47 1.83%
Trade id #143807288
Max drawdown($979)
Time3/8/23 11:52
Quant open1,166
Worst price37.18
Drawdown as % of equity-1.83%
 ($646)
Includes Typical Broker Commissions trade costs of $5.00
3/7/23 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 562 23.56 3/7 10:07 22.90 0.71%
Trade id #143798044
Max drawdown($387)
Time3/7/23 10:07
Quant open562
Worst price22.87
Drawdown as % of equity-0.71%
 ($376)
Includes Typical Broker Commissions trade costs of $5.00
2/2/23 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,020 26.86 2/3 9:30 25.13 6.04%
Trade id #143437498
Max drawdown($3,529)
Time2/3/23 9:30
Quant open2,020
Worst price25.11
Drawdown as % of equity-6.04%
 ($3,488)
Includes Typical Broker Commissions trade costs of $5.00
1/27/23 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,020 23.39 1/30 9:30 22.53 2.98%
Trade id #143370676
Max drawdown($1,787)
Time1/30/23 9:30
Quant open2,020
Worst price22.50
Drawdown as % of equity-2.98%
 ($1,728)
Includes Typical Broker Commissions trade costs of $5.00
1/20/23 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,375 20.41 1/25 9:30 20.49 0.11%
Trade id #143288165
Max drawdown($64)
Time1/23/23 0:00
Quant open2,375
Worst price20.38
Drawdown as % of equity-0.11%
 $193
Includes Typical Broker Commissions trade costs of $5.00
1/12/23 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,480 19.66 1/13 9:30 19.16 2.09%
Trade id #143200666
Max drawdown($1,277)
Time1/13/23 9:30
Quant open2,480
Worst price19.15
Drawdown as % of equity-2.09%
 ($1,261)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    11/15/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2582.16
  • Age
    86 months ago
  • What it trades
    Stocks
  • # Trades
    270
  • # Profitable
    108
  • % Profitable
    40.00%
  • Avg trade duration
    4.2 days
  • Max peak-to-valley drawdown
    46.59%
  • drawdown period
    July 21, 2022 - Nov 09, 2023
  • Annual Return (Compounded)
    25.5%
  • Avg win
    $1,686
  • Avg loss
    $789.90
  • Model Account Values (Raw)
  • Cash
    $8,344
  • Margin Used
    $0
  • Buying Power
    $8,276
  • Ratios
  • W:L ratio
    1.43:1
  • Sharpe Ratio
    0.74
  • Sortino Ratio
    1.23
  • Calmar Ratio
    0.821
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    288.95%
  • Correlation to SP500
    0.14310
  • Return Percent SP500 (cumu) during strategy life
    111.17%
  • Return Statistics
  • Ann Return (w trading costs)
    25.5%
  • Slump
  • Current Slump as Pcnt Equity
    74.00%
  • Instruments
  • Percent Trades Futures
    0.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.20%
  • Return Statistics
  • Return Pcnt Since TOS Status
    -7.270%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.255%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    30.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    43.50%
  • Chance of 20% account loss
    15.50%
  • Chance of 30% account loss
    4.50%
  • Chance of 40% account loss
    2.00%
  • 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)
    634
  • Popularity (Last 6 weeks)
    849
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    822
  • Popularity (7 days, Percentile 1000 scale)
    719
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $790
  • Avg Win
    $1,687
  • Sum Trade PL (losers)
    $127,963.000
  • Age
  • Num Months filled monthly returns table
    86
  • Win / Loss
  • Sum Trade PL (winners)
    $182,182.000
  • # Winners
    108
  • Num Months Winners
    45
  • Dividends
  • Dividends Received in Model Acct
    628
  • Win / Loss
  • # Losers
    162
  • % Winners
    40.0%
  • Frequency
  • Avg Position Time (mins)
    5999.45
  • Avg Position Time (hrs)
    99.99
  • Avg Trade Length
    4.2 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    3.27
  • Daily leverage (max)
    42.74
  • Regression
  • Alpha
    0.06
  • Beta
    0.21
  • Treynor Index
    0.33
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    7.98
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    35.36
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.52
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -15.465
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.280
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.199
  • Hold-and-Hope Ratio
    -0.065
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29067
  • SD
    0.31119
  • Sharpe ratio (Glass type estimate)
    0.93405
  • Sharpe ratio (Hedges UMVUE)
    0.92549
  • df
    82.00000
  • t
    2.45652
  • p
    0.00807
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.17253
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.69011
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16690
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68407
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.06608
  • Upside Potential Ratio
    3.91010
  • Upside part of mean
    0.55010
  • Downside part of mean
    -0.25943
  • Upside SD
    0.28796
  • Downside SD
    0.14069
  • N nonnegative terms
    42.00000
  • N negative terms
    41.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    83.00000
  • Mean of predictor
    0.09228
  • Mean of criterion
    0.29067
  • SD of predictor
    0.17225
  • SD of criterion
    0.31119
  • Covariance
    0.00580
  • r
    0.10823
  • b (slope, estimate of beta)
    0.19553
  • a (intercept, estimate of alpha)
    0.27263
  • Mean Square Error
    0.09689
  • DF error
    81.00000
  • t(b)
    0.97984
  • p(b)
    0.16504
  • t(a)
    2.27610
  • p(a)
    0.01274
  • Lowerbound of 95% confidence interval for beta
    -0.20152
  • Upperbound of 95% confidence interval for beta
    0.59258
  • Lowerbound of 95% confidence interval for alpha
    0.03431
  • Upperbound of 95% confidence interval for alpha
    0.51095
  • Treynor index (mean / b)
    1.48658
  • Jensen alpha (a)
    0.27263
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24279
  • SD
    0.29516
  • Sharpe ratio (Glass type estimate)
    0.82257
  • Sharpe ratio (Hedges UMVUE)
    0.81502
  • df
    82.00000
  • t
    2.16333
  • p
    0.01671
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06437
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57592
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05941
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57064
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.64632
  • Upside Potential Ratio
    3.47275
  • Upside part of mean
    0.51213
  • Downside part of mean
    -0.26935
  • Upside SD
    0.26312
  • Downside SD
    0.14747
  • N nonnegative terms
    42.00000
  • N negative terms
    41.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    83.00000
  • Mean of predictor
    0.07694
  • Mean of criterion
    0.24279
  • SD of predictor
    0.17420
  • SD of criterion
    0.29516
  • Covariance
    0.00541
  • r
    0.10526
  • b (slope, estimate of beta)
    0.17835
  • a (intercept, estimate of alpha)
    0.22906
  • Mean Square Error
    0.08722
  • DF error
    81.00000
  • t(b)
    0.95263
  • p(b)
    0.17181
  • t(a)
    2.02332
  • p(a)
    0.02317
  • Lowerbound of 95% confidence interval for beta
    -0.19416
  • Upperbound of 95% confidence interval for beta
    0.55086
  • Lowerbound of 95% confidence interval for alpha
    0.00381
  • Upperbound of 95% confidence interval for alpha
    0.45432
  • Treynor index (mean / b)
    1.36130
  • Jensen alpha (a)
    0.22906
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11300
  • Expected Shortfall on VaR
    0.14361
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04982
  • Expected Shortfall on VaR
    0.09303
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    83.00000
  • Minimum
    0.85897
  • Quartile 1
    0.96725
  • Median
    1.00261
  • Quartile 3
    1.08079
  • Maximum
    1.28864
  • Mean of quarter 1
    0.92895
  • Mean of quarter 2
    0.99027
  • Mean of quarter 3
    1.03881
  • Mean of quarter 4
    1.14875
  • Inter Quartile Range
    0.11354
  • 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
    0.02410
  • Mean of outliers high
    1.27270
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.24493
  • VaR(95%) (moments method)
    0.07200
  • Expected Shortfall (moments method)
    0.08770
  • Extreme Value Index (regression method)
    -0.19053
  • VaR(95%) (regression method)
    0.06274
  • Expected Shortfall (regression method)
    0.07533
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.01227
  • Quartile 1
    0.02615
  • Median
    0.06086
  • Quartile 3
    0.11183
  • Maximum
    0.37171
  • Mean of quarter 1
    0.01729
  • Mean of quarter 2
    0.04359
  • Mean of quarter 3
    0.07956
  • Mean of quarter 4
    0.22757
  • Inter Quartile Range
    0.08567
  • 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
    0.14286
  • Mean of outliers high
    0.31013
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.75168
  • VaR(95%) (moments method)
    0.24692
  • Expected Shortfall (moments method)
    0.25393
  • Extreme Value Index (regression method)
    -0.28525
  • VaR(95%) (regression method)
    0.36079
  • Expected Shortfall (regression method)
    0.44921
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.79565
  • Compounded annual return (geometric extrapolation)
    0.31087
  • Calmar ratio (compounded annual return / max draw down)
    0.83634
  • Compounded annual return / average of 25% largest draw downs
    1.36606
  • Compounded annual return / Expected Shortfall lognormal
    2.16475
  • 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
    0.26376
  • SD
    0.21978
  • Sharpe ratio (Glass type estimate)
    1.20007
  • Sharpe ratio (Hedges UMVUE)
    1.19957
  • df
    1829.00000
  • t
    3.17161
  • p
    0.45296
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45730
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94255
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45695
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.94220
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.02872
  • Upside Potential Ratio
    8.83326
  • Upside part of mean
    1.14842
  • Downside part of mean
    -0.88466
  • Upside SD
    0.17788
  • Downside SD
    0.13001
  • N nonnegative terms
    611.00000
  • N negative terms
    1219.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1830.00000
  • Mean of predictor
    0.09788
  • Mean of criterion
    0.26376
  • SD of predictor
    0.19320
  • SD of criterion
    0.21978
  • Covariance
    0.00585
  • r
    0.13783
  • b (slope, estimate of beta)
    0.15680
  • a (intercept, estimate of alpha)
    0.24800
  • Mean Square Error
    0.04741
  • DF error
    1828.00000
  • t(b)
    5.94987
  • p(b)
    0.43108
  • t(a)
    3.01354
  • p(a)
    0.46485
  • Lowerbound of 95% confidence interval for beta
    0.10511
  • Upperbound of 95% confidence interval for beta
    0.20849
  • Lowerbound of 95% confidence interval for alpha
    0.08674
  • Upperbound of 95% confidence interval for alpha
    0.41008
  • Treynor index (mean / b)
    1.68213
  • Jensen alpha (a)
    0.24841
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23974
  • SD
    0.21799
  • Sharpe ratio (Glass type estimate)
    1.09980
  • Sharpe ratio (Hedges UMVUE)
    1.09935
  • df
    1829.00000
  • t
    2.90663
  • p
    0.45687
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35720
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.84213
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35689
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.84181
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.81796
  • Upside Potential Ratio
    8.59101
  • Upside part of mean
    1.13292
  • Downside part of mean
    -0.89318
  • Upside SD
    0.17413
  • Downside SD
    0.13187
  • N nonnegative terms
    611.00000
  • N negative terms
    1219.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1830.00000
  • Mean of predictor
    0.07911
  • Mean of criterion
    0.23974
  • SD of predictor
    0.19398
  • SD of criterion
    0.21799
  • Covariance
    0.00585
  • r
    0.13827
  • b (slope, estimate of beta)
    0.15538
  • a (intercept, estimate of alpha)
    0.22745
  • Mean Square Error
    0.04663
  • DF error
    1828.00000
  • t(b)
    5.96896
  • p(b)
    0.43087
  • t(a)
    2.78270
  • p(a)
    0.46753
  • Lowerbound of 95% confidence interval for beta
    0.10433
  • Upperbound of 95% confidence interval for beta
    0.20643
  • Lowerbound of 95% confidence interval for alpha
    0.06714
  • Upperbound of 95% confidence interval for alpha
    0.38776
  • Treynor index (mean / b)
    1.54294
  • Jensen alpha (a)
    0.22745
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02101
  • Expected Shortfall on VaR
    0.02649
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00921
  • Expected Shortfall on VaR
    0.01855
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1830.00000
  • Minimum
    0.92442
  • Quartile 1
    0.99723
  • Median
    1.00000
  • Quartile 3
    1.00355
  • Maximum
    1.11692
  • Mean of quarter 1
    0.98710
  • Mean of quarter 2
    0.99969
  • Mean of quarter 3
    1.00051
  • Mean of quarter 4
    1.01715
  • Inter Quartile Range
    0.00632
  • Number outliers low
    188.00000
  • Percentage of outliers low
    0.10273
  • Mean of outliers low
    0.97861
  • Number of outliers high
    237.00000
  • Percentage of outliers high
    0.12951
  • Mean of outliers high
    1.02586
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04235
  • VaR(95%) (moments method)
    0.00866
  • Expected Shortfall (moments method)
    0.01206
  • Extreme Value Index (regression method)
    -0.01976
  • VaR(95%) (regression method)
    0.01211
  • Expected Shortfall (regression method)
    0.01770
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    59.00000
  • Minimum
    0.00031
  • Quartile 1
    0.00876
  • Median
    0.03155
  • Quartile 3
    0.05726
  • Maximum
    0.37368
  • Mean of quarter 1
    0.00601
  • Mean of quarter 2
    0.02120
  • Mean of quarter 3
    0.04384
  • Mean of quarter 4
    0.13515
  • Inter Quartile Range
    0.04850
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.08475
  • Mean of outliers high
    0.24027
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.35478
  • VaR(95%) (moments method)
    0.14430
  • Expected Shortfall (moments method)
    0.25669
  • Extreme Value Index (regression method)
    0.36004
  • VaR(95%) (regression method)
    0.16387
  • Expected Shortfall (regression method)
    0.29988
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.78524
  • Compounded annual return (geometric extrapolation)
    0.30689
  • Calmar ratio (compounded annual return / max draw down)
    0.82126
  • Compounded annual return / average of 25% largest draw downs
    2.27069
  • Compounded annual return / Expected Shortfall lognormal
    11.58320
  • 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
    0.00474
  • SD
    0.16336
  • Sharpe ratio (Glass type estimate)
    0.02903
  • Sharpe ratio (Hedges UMVUE)
    0.02886
  • df
    130.00000
  • t
    0.02052
  • p
    0.49910
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.74278
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.80084
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.74295
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.80067
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.04808
  • Upside Potential Ratio
    7.80755
  • Upside part of mean
    0.77004
  • Downside part of mean
    -0.76530
  • Upside SD
    0.12944
  • Downside SD
    0.09863
  • N nonnegative terms
    36.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11622
  • Mean of criterion
    0.00474
  • SD of predictor
    0.11693
  • SD of criterion
    0.16336
  • Covariance
    0.00839
  • r
    0.43914
  • b (slope, estimate of beta)
    0.61352
  • a (intercept, estimate of alpha)
    -0.06656
  • Mean Square Error
    0.02171
  • DF error
    129.00000
  • t(b)
    5.55167
  • p(b)
    0.22970
  • t(a)
    -0.31886
  • p(a)
    0.51786
  • Lowerbound of 95% confidence interval for beta
    0.39487
  • Upperbound of 95% confidence interval for beta
    0.83217
  • Lowerbound of 95% confidence interval for alpha
    -0.47958
  • Upperbound of 95% confidence interval for alpha
    0.34646
  • Treynor index (mean / b)
    0.00773
  • Jensen alpha (a)
    -0.06656
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00840
  • SD
    0.16247
  • Sharpe ratio (Glass type estimate)
    -0.05172
  • Sharpe ratio (Hedges UMVUE)
    -0.05142
  • df
    130.00000
  • t
    -0.03657
  • p
    0.50160
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.82353
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.72010
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.82323
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72040
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.08456
  • Upside Potential Ratio
    7.66590
  • Upside part of mean
    0.76172
  • Downside part of mean
    -0.77013
  • Upside SD
    0.12776
  • Downside SD
    0.09937
  • N nonnegative terms
    36.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10941
  • Mean of criterion
    -0.00840
  • SD of predictor
    0.11689
  • SD of criterion
    0.16247
  • Covariance
    0.00833
  • r
    0.43842
  • b (slope, estimate of beta)
    0.60940
  • a (intercept, estimate of alpha)
    -0.07507
  • Mean Square Error
    0.02149
  • DF error
    129.00000
  • t(b)
    5.54038
  • p(b)
    0.23011
  • t(a)
    -0.36153
  • p(a)
    0.52025
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    0.39178
  • Upperbound of 95% confidence interval for beta
    0.82702
  • Lowerbound of 95% confidence interval for alpha
    -0.48592
  • Upperbound of 95% confidence interval for alpha
    0.33578
  • Treynor index (mean / b)
    -0.01379
  • Jensen alpha (a)
    -0.07507
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01641
  • Expected Shortfall on VaR
    0.02052
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00841
  • Expected Shortfall on VaR
    0.01587
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97528
  • Quartile 1
    0.99721
  • Median
    1.00000
  • Quartile 3
    1.00031
  • Maximum
    1.04048
  • Mean of quarter 1
    0.98908
  • Mean of quarter 2
    0.99963
  • Mean of quarter 3
    1.00002
  • Mean of quarter 4
    1.01177
  • Inter Quartile Range
    0.00311
  • Number outliers low
    25.00000
  • Percentage of outliers low
    0.19084
  • Mean of outliers low
    0.98686
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.15267
  • Mean of outliers high
    1.01843
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.72083
  • VaR(95%) (moments method)
    0.00877
  • Expected Shortfall (moments method)
    0.00991
  • Extreme Value Index (regression method)
    -0.41562
  • VaR(95%) (regression method)
    0.00857
  • Expected Shortfall (regression method)
    0.01029
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.15506
  • Quartile 1
    0.15506
  • Median
    0.15506
  • Quartile 3
    0.15506
  • Maximum
    0.15506
  • 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
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -345137000
  • Max Equity Drawdown (num days)
    476
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01960
  • Compounded annual return (geometric extrapolation)
    0.01970
  • Calmar ratio (compounded annual return / max draw down)
    0.12702
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.96003

Strategy Description

The strategy is based on a model that has evolved over ten years utilizing market trends and swings. All trades will have an associated stop loss value. Strategy does not do 'short' trades, so can easily be used for IRA accounts.

There are typically 2-5 trades/mo, but can vary from 0-10 /mo depending on market activity. The strategy can be manually followed easily. Trades will be executed prior to market close and occasionally at next day market open. Best returns are achieved if trades are executed when trades are broadcast and prior to market close. Returns are marginally impacted if this is not possible and trades are executed at next market open.

Send email to [email protected] to request 10yr back tested hypothetical trading performance.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2016-11-15
Suggested Minimum Capital
$15,000
Rank at C2 
#136
# Trades
270
# Profitable
108
% Profitable
40.0%
Net Dividends
$627
Correlation S&P500
0.143
Sharpe Ratio
0.74
Sortino Ratio
1.23
Beta
0.21
Alpha
0.06
Leverage
3.27 Average
42.74 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

#PERSONNAME#
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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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.