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C2Star Strategy RFFX C2Star Certified Hypothetical

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4QTiming NDX3x
(105498828)

Created by: 4QTiming 4QTiming
Started: 11/2016
Stocks
Last trade: 8 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 $100.00 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).
28.5%
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.

(42.8%)
Max Drawdown
252
Num Trades
40.5%
Win Trades
1.5 : 1
Profit Factor
53.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      +3.6%+10.4%+14.4%
2017+10.9%+7.4%(1.9%)(1.3%)+6.5%(1.3%)(1.2%)(0.5%)(2.6%)+6.5%(5%)+4.1%+22.3%
2018+16.7%+7.1%(10.1%)(6.9%)(10.1%)+1.1%+14.7%(4.9%)(7.6%)(15.1%)+16.1%(1.5%)(7%)
2019(7.1%)+3.0%+5.6%+18.8%(13.3%)+21.8%+3.4%(5.4%)(15.5%)(2.5%)+5.9%+1.0%+9.4%
2020(6.4%)+3.9%+19.1%(0.8%)(0.8%)(0.3%)+2.0%+42.0%+0.3%+18.0%+11.2%+16.4%+152.5%
2021(8.4%)+4.1%+1.2%+6.3%+3.3%+10.1%+1.6%+8.3%+3.0%+25.7%+6.9%(9.3%)+61.1%
2022(3.9%)(0.2%)+12.6%+0.2%+4.1%+23.4%+4.7%(0.2%)(12.5%)(10.2%)(0.2%)(7.5%)+5.4%
2023(4.3%)(6.2%)(3.2%)(2.4%)+3.5%(2.5%)                                    (14.5%)

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 217 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 125 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
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
1/6/23 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,720 17.66 1/10 10:44 17.76 0.11%
Trade id #143129895
Max drawdown($68)
Time1/6/23 16:00
Quant open2,720
Worst price17.63
Drawdown as % of equity-0.11%
 $292
Includes Typical Broker Commissions trade costs of $5.00
12/21/22 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,616 18.99 12/22 9:30 18.18 3.5%
Trade id #142959055
Max drawdown($2,191)
Time12/22/22 9:30
Quant open2,616
Worst price18.15
Drawdown as % of equity-3.50%
 ($2,111)
Includes Typical Broker Commissions trade costs of $5.00
12/13/22 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 3,086 22.38 12/14 14:00 22.35 1.26%
Trade id #142866537
Max drawdown($813)
Time12/14/22 14:00
Quant open3,086
Worst price22.11
Drawdown as % of equity-1.26%
 ($81)
Includes Typical Broker Commissions trade costs of $5.00
12/1/22 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,170 23.75 12/2 9:30 22.44 4.32%
Trade id #142740670
Max drawdown($2,842)
Time12/2/22 9:30
Quant open2,170
Worst price22.44
Drawdown as % of equity-4.32%
 ($2,844)
Includes Typical Broker Commissions trade costs of $5.00
10/14/22 15:58 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,288 64.62 10/17 9:30 59.78 10.08%
Trade id #142179168
Max drawdown($7,253)
Time10/17/22 9:30
Quant open1,288
Worst price58.99
Drawdown as % of equity-10.08%
 ($6,235)
Includes Typical Broker Commissions trade costs of $5.00
10/4/22 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,242 22.53 10/5 9:30 21.65 1.55%
Trade id #142036412
Max drawdown($1,136)
Time10/5/22 0:00
Quant open1,242
Worst price21.62
Drawdown as % of equity-1.55%
 ($1,099)
Includes Typical Broker Commissions trade costs of $5.00
9/22/22 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 3,894 22.49 9/23 9:59 21.17 6.86%
Trade id #141898131
Max drawdown($5,173)
Time9/23/22 9:59
Quant open3,894
Worst price21.16
Drawdown as % of equity-6.86%
 ($5,134)
Includes Typical Broker Commissions trade costs of $5.00
9/9/22 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 3,118 29.88 9/13 9:30 28.19 6.28%
Trade id #141729029
Max drawdown($5,480)
Time9/13/22 9:30
Quant open3,118
Worst price28.12
Drawdown as % of equity-6.28%
 ($5,259)
Includes Typical Broker Commissions trade costs of $5.00
8/24/22 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,918 32.72 8/26 10:30 32.83 0.17%
Trade id #141529157
Max drawdown($144)
Time8/26/22 10:30
Quant open1,918
Worst price32.64
Drawdown as % of equity-0.17%
 $213
Includes Typical Broker Commissions trade costs of $5.00
8/23/22 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,934 32.43 8/23 15:57 32.43 0.53%
Trade id #141505339
Max drawdown($444)
Time8/23/22 9:44
Quant open1,934
Worst price32.20
Drawdown as % of equity-0.53%
 ($2)
Includes Typical Broker Commissions trade costs of $5.00
8/10/22 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,730 36.57 8/17 10:54 36.78 1.86%
Trade id #141375636
Max drawdown($1,553)
Time8/11/22 0:00
Quant open1,730
Worst price35.67
Drawdown as % of equity-1.86%
 $362
Includes Typical Broker Commissions trade costs of $5.00
8/1/22 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,810 33.22 8/2 15:58 33.00 3.44%
Trade id #141259413
Max drawdown($2,844)
Time8/2/22 10:10
Quant open2,810
Worst price32.21
Drawdown as % of equity-3.44%
 ($620)
Includes Typical Broker Commissions trade costs of $5.00
7/27/22 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 3,050 30.75 7/28 9:30 30.62 0.66%
Trade id #141206664
Max drawdown($560)
Time7/28/22 0:00
Quant open3,050
Worst price30.57
Drawdown as % of equity-0.66%
 ($391)
Includes Typical Broker Commissions trade costs of $5.00
7/22/22 15:57 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,358 46.20 7/25 15:57 46.94 0.54%
Trade id #141155841
Max drawdown($447)
Time7/25/22 9:32
Quant open1,358
Worst price45.87
Drawdown as % of equity-0.54%
 $1,004
Includes Typical Broker Commissions trade costs of $5.00
7/19/22 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 3,132 28.54 7/22 11:37 29.60 0.41%
Trade id #141110346
Max drawdown($326)
Time7/20/22 0:00
Quant open3,132
Worst price28.44
Drawdown as % of equity-0.41%
 $3,312
Includes Typical Broker Commissions trade costs of $5.00
6/29/22 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,956 24.77 6/29 15:58 24.96 1.64%
Trade id #140900292
Max drawdown($1,310)
Time6/29/22 9:45
Quant open1,956
Worst price24.10
Drawdown as % of equity-1.64%
 $372
Includes Typical Broker Commissions trade costs of $5.00
6/17/22 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,715 22.08 6/17 15:58 22.77 0.93%
Trade id #140794365
Max drawdown($737)
Time6/17/22 10:36
Quant open1,715
Worst price21.65
Drawdown as % of equity-0.93%
 $1,187
Includes Typical Broker Commissions trade costs of $5.00
6/9/22 15:57 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,445 50.88 6/15 9:30 61.51 n/a $15,357
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    11/15/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2397.05
  • Age
    80 months ago
  • What it trades
    Stocks
  • # Trades
    252
  • # Profitable
    102
  • % Profitable
    40.50%
  • Avg trade duration
    4.2 days
  • Max peak-to-valley drawdown
    42.8%
  • drawdown period
    July 21, 2022 - May 09, 2023
  • Annual Return (Compounded)
    28.5%
  • Avg win
    $1,638
  • Avg loss
    $756.57
  • Model Account Values (Raw)
  • Cash
    $64,182
  • Margin Used
    $0
  • Buying Power
    $64,182
  • Ratios
  • W:L ratio
    1.48:1
  • Sharpe Ratio
    0.83
  • Sortino Ratio
    1.37
  • Calmar Ratio
    0.93
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    324.17%
  • Correlation to SP500
    0.13400
  • Return Percent SP500 (cumu) during strategy life
    96.93%
  • Return Statistics
  • Ann Return (w trading costs)
    28.5%
  • Slump
  • Current Slump as Pcnt Equity
    69.70%
  • Instruments
  • Percent Trades Futures
    0.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.14%
  • 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)
    0.285%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    32.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    37.00%
  • Chance of 20% account loss
    16.50%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    1.50%
  • 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)
    432
  • Popularity (Last 6 weeks)
    869
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    769
  • Popularity (7 days, Percentile 1000 scale)
    759
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $757
  • Avg Win
    $1,639
  • Sum Trade PL (losers)
    $113,485.000
  • Age
  • Num Months filled monthly returns table
    80
  • Win / Loss
  • Sum Trade PL (winners)
    $167,151.000
  • # Winners
    102
  • Num Months Winners
    43
  • Dividends
  • Dividends Received in Model Acct
    518
  • Win / Loss
  • # Losers
    150
  • % Winners
    40.5%
  • Frequency
  • Avg Position Time (mins)
    5995.65
  • Avg Position Time (hrs)
    99.93
  • Avg Trade Length
    4.2 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    3.30
  • Daily leverage (max)
    42.74
  • Regression
  • Alpha
    0.07
  • Beta
    0.19
  • Treynor Index
    0.40
  • 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)
    -0.49
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -23.781
  • 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
    0.284
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.193
  • Hold-and-Hope Ratio
    -0.042
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31296
  • SD
    0.31605
  • Sharpe ratio (Glass type estimate)
    0.99023
  • Sharpe ratio (Hedges UMVUE)
    0.98042
  • df
    76.00000
  • t
    2.50836
  • p
    0.00713
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.19757
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.77666
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19115
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76970
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.23147
  • Upside Potential Ratio
    4.03819
  • Upside part of mean
    0.56635
  • Downside part of mean
    -0.25339
  • Upside SD
    0.29510
  • Downside SD
    0.14025
  • N nonnegative terms
    39.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    0.08671
  • Mean of criterion
    0.31296
  • SD of predictor
    0.17535
  • SD of criterion
    0.31605
  • Covariance
    0.00437
  • r
    0.07877
  • b (slope, estimate of beta)
    0.14197
  • a (intercept, estimate of alpha)
    0.30065
  • Mean Square Error
    0.10059
  • DF error
    75.00000
  • t(b)
    0.68427
  • p(b)
    0.24796
  • t(a)
    2.37684
  • p(a)
    0.01001
  • Lowerbound of 95% confidence interval for beta
    -0.27135
  • Upperbound of 95% confidence interval for beta
    0.55529
  • Lowerbound of 95% confidence interval for alpha
    0.04867
  • Upperbound of 95% confidence interval for alpha
    0.55263
  • Treynor index (mean / b)
    2.20439
  • Jensen alpha (a)
    0.30065
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26330
  • SD
    0.29930
  • Sharpe ratio (Glass type estimate)
    0.87970
  • Sharpe ratio (Hedges UMVUE)
    0.87099
  • df
    76.00000
  • t
    2.22838
  • p
    0.01441
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09068
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66314
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08496
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.65702
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.78896
  • Upside Potential Ratio
    3.57774
  • Upside part of mean
    0.52657
  • Downside part of mean
    -0.26327
  • Upside SD
    0.26932
  • Downside SD
    0.14718
  • N nonnegative terms
    39.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    0.07088
  • Mean of criterion
    0.26330
  • SD of predictor
    0.17752
  • SD of criterion
    0.29930
  • Covariance
    0.00401
  • r
    0.07546
  • b (slope, estimate of beta)
    0.12723
  • a (intercept, estimate of alpha)
    0.25428
  • Mean Square Error
    0.09026
  • DF error
    75.00000
  • t(b)
    0.65539
  • p(b)
    0.25711
  • t(a)
    2.12968
  • p(a)
    0.01824
  • Lowerbound of 95% confidence interval for beta
    -0.25950
  • Upperbound of 95% confidence interval for beta
    0.51397
  • Lowerbound of 95% confidence interval for alpha
    0.01643
  • Upperbound of 95% confidence interval for alpha
    0.49213
  • Treynor index (mean / b)
    2.06940
  • Jensen alpha (a)
    0.25428
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11324
  • Expected Shortfall on VaR
    0.14425
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04855
  • Expected Shortfall on VaR
    0.09180
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    77.00000
  • Minimum
    0.85897
  • Quartile 1
    0.97290
  • Median
    1.00261
  • Quartile 3
    1.08819
  • Maximum
    1.28864
  • Mean of quarter 1
    0.93057
  • Mean of quarter 2
    0.99230
  • Mean of quarter 3
    1.04180
  • Mean of quarter 4
    1.15411
  • Inter Quartile Range
    0.11528
  • 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
    0.01299
  • Mean of outliers high
    1.28864
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.73985
  • VaR(95%) (moments method)
    0.06602
  • Expected Shortfall (moments method)
    0.07335
  • Extreme Value Index (regression method)
    -0.37494
  • VaR(95%) (regression method)
    0.06229
  • Expected Shortfall (regression method)
    0.07364
  • 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
    0.34727
  • Mean of quarter 1
    0.01729
  • Mean of quarter 2
    0.04359
  • Mean of quarter 3
    0.07956
  • Mean of quarter 4
    0.22146
  • 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
    0.29792
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.18223
  • VaR(95%) (moments method)
    0.23866
  • Expected Shortfall (moments method)
    0.24229
  • Extreme Value Index (regression method)
    -0.49924
  • VaR(95%) (regression method)
    0.34555
  • Expected Shortfall (regression method)
    0.40381
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.85386
  • Compounded annual return (geometric extrapolation)
    0.33804
  • Calmar ratio (compounded annual return / max draw down)
    0.97340
  • Compounded annual return / average of 25% largest draw downs
    1.52639
  • Compounded annual return / Expected Shortfall lognormal
    2.34348
  • 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
    0.28364
  • SD
    0.22354
  • Sharpe ratio (Glass type estimate)
    1.26890
  • Sharpe ratio (Hedges UMVUE)
    1.26834
  • df
    1698.00000
  • t
    3.23127
  • p
    0.46091
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49786
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.03956
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49749
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03918
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.14682
  • Upside Potential Ratio
    8.91236
  • Upside part of mean
    1.17753
  • Downside part of mean
    -0.89388
  • Upside SD
    0.18108
  • Downside SD
    0.13212
  • N nonnegative terms
    574.00000
  • N negative terms
    1125.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1699.00000
  • Mean of predictor
    0.09629
  • Mean of criterion
    0.28364
  • SD of predictor
    0.19789
  • SD of criterion
    0.22354
  • Covariance
    0.00567
  • r
    0.12807
  • b (slope, estimate of beta)
    0.14467
  • a (intercept, estimate of alpha)
    0.27000
  • Mean Square Error
    0.04918
  • DF error
    1697.00000
  • t(b)
    5.31972
  • p(b)
    0.41869
  • t(a)
    3.09577
  • p(a)
    0.45234
  • Lowerbound of 95% confidence interval for beta
    0.09133
  • Upperbound of 95% confidence interval for beta
    0.19801
  • Lowerbound of 95% confidence interval for alpha
    0.09883
  • Upperbound of 95% confidence interval for alpha
    0.44059
  • Treynor index (mean / b)
    1.96059
  • Jensen alpha (a)
    0.26971
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25879
  • SD
    0.22168
  • Sharpe ratio (Glass type estimate)
    1.16739
  • Sharpe ratio (Hedges UMVUE)
    1.16687
  • df
    1698.00000
  • t
    2.97277
  • p
    0.46402
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39657
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.93791
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39621
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93754
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.93049
  • Upside Potential Ratio
    8.66424
  • Upside part of mean
    1.16148
  • Downside part of mean
    -0.90269
  • Upside SD
    0.17720
  • Downside SD
    0.13405
  • N nonnegative terms
    574.00000
  • N negative terms
    1125.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1699.00000
  • Mean of predictor
    0.07660
  • Mean of criterion
    0.25879
  • SD of predictor
    0.19871
  • SD of criterion
    0.22168
  • Covariance
    0.00566
  • r
    0.12859
  • b (slope, estimate of beta)
    0.14345
  • a (intercept, estimate of alpha)
    0.24780
  • Mean Square Error
    0.04836
  • DF error
    1697.00000
  • t(b)
    5.34140
  • p(b)
    0.41837
  • t(a)
    2.86871
  • p(a)
    0.45581
  • Lowerbound of 95% confidence interval for beta
    0.09078
  • Upperbound of 95% confidence interval for beta
    0.19613
  • Lowerbound of 95% confidence interval for alpha
    0.07838
  • Upperbound of 95% confidence interval for alpha
    0.41723
  • Treynor index (mean / b)
    1.80398
  • Jensen alpha (a)
    0.24780
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02131
  • Expected Shortfall on VaR
    0.02688
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00927
  • Expected Shortfall on VaR
    0.01872
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1699.00000
  • Minimum
    0.92442
  • Quartile 1
    0.99724
  • Median
    1.00000
  • Quartile 3
    1.00408
  • Maximum
    1.11692
  • Mean of quarter 1
    0.98695
  • Mean of quarter 2
    0.99970
  • Mean of quarter 3
    1.00061
  • Mean of quarter 4
    1.01750
  • Inter Quartile Range
    0.00684
  • Number outliers low
    163.00000
  • Percentage of outliers low
    0.09594
  • Mean of outliers low
    0.97748
  • Number of outliers high
    195.00000
  • Percentage of outliers high
    0.11477
  • Mean of outliers high
    1.02783
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.01430
  • VaR(95%) (moments method)
    0.00866
  • Expected Shortfall (moments method)
    0.01223
  • Extreme Value Index (regression method)
    -0.00949
  • VaR(95%) (regression method)
    0.01225
  • Expected Shortfall (regression method)
    0.01804
  • 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
    0.35712
  • Mean of quarter 1
    0.00601
  • Mean of quarter 2
    0.02120
  • Mean of quarter 3
    0.04384
  • Mean of quarter 4
    0.13405
  • 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
    0.23695
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.33799
  • VaR(95%) (moments method)
    0.14270
  • Expected Shortfall (moments method)
    0.24893
  • Extreme Value Index (regression method)
    0.29285
  • VaR(95%) (regression method)
    0.16192
  • Expected Shortfall (regression method)
    0.27693
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.83555
  • Compounded annual return (geometric extrapolation)
    0.33202
  • Calmar ratio (compounded annual return / max draw down)
    0.92972
  • Compounded annual return / average of 25% largest draw downs
    2.47689
  • Compounded annual return / Expected Shortfall lognormal
    12.35120
  • 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
    -0.31011
  • SD
    0.12945
  • Sharpe ratio (Glass type estimate)
    -2.39567
  • Sharpe ratio (Hedges UMVUE)
    -2.38182
  • df
    130.00000
  • t
    -1.69399
  • p
    0.57348
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.17824
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.39588
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.16871
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.40506
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.13584
  • Upside Potential Ratio
    4.13792
  • Upside part of mean
    0.40921
  • Downside part of mean
    -0.71933
  • Upside SD
    0.08495
  • Downside SD
    0.09889
  • N nonnegative terms
    23.00000
  • N negative terms
    108.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14403
  • Mean of criterion
    -0.31011
  • SD of predictor
    0.15393
  • SD of criterion
    0.12945
  • Covariance
    0.00352
  • r
    0.17685
  • b (slope, estimate of beta)
    0.14872
  • a (intercept, estimate of alpha)
    -0.33154
  • Mean Square Error
    0.01636
  • DF error
    129.00000
  • t(b)
    2.04076
  • p(b)
    0.38800
  • t(a)
    -1.82984
  • p(a)
    0.60083
  • Lowerbound of 95% confidence interval for beta
    0.00454
  • Upperbound of 95% confidence interval for beta
    0.29291
  • Lowerbound of 95% confidence interval for alpha
    -0.69001
  • Upperbound of 95% confidence interval for alpha
    0.02694
  • Treynor index (mean / b)
    -2.08516
  • Jensen alpha (a)
    -0.33154
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.31858
  • SD
    0.12938
  • Sharpe ratio (Glass type estimate)
    -2.46230
  • Sharpe ratio (Hedges UMVUE)
    -2.44807
  • df
    130.00000
  • t
    -1.74111
  • p
    0.57548
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.24561
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.33023
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.23580
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33967
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.19279
  • Upside Potential Ratio
    4.06511
  • Upside part of mean
    0.40562
  • Downside part of mean
    -0.72420
  • Upside SD
    0.08392
  • Downside SD
    0.09978
  • N nonnegative terms
    23.00000
  • N negative terms
    108.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13224
  • Mean of criterion
    -0.31858
  • SD of predictor
    0.15383
  • SD of criterion
    0.12938
  • Covariance
    0.00353
  • r
    0.17735
  • b (slope, estimate of beta)
    0.14916
  • a (intercept, estimate of alpha)
    -0.33830
  • Mean Square Error
    0.01634
  • DF error
    129.00000
  • t(b)
    2.04674
  • p(b)
    0.38769
  • t(a)
    -1.86879
  • p(a)
    0.60290
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    0.00497
  • Upperbound of 95% confidence interval for beta
    0.29335
  • Lowerbound of 95% confidence interval for alpha
    -0.69647
  • Upperbound of 95% confidence interval for alpha
    0.01986
  • Treynor index (mean / b)
    -2.13583
  • Jensen alpha (a)
    -0.33830
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01426
  • Expected Shortfall on VaR
    0.01754
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00851
  • Expected Shortfall on VaR
    0.01633
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97366
  • Quartile 1
    0.99757
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03349
  • Mean of quarter 1
    0.98981
  • Mean of quarter 2
    0.99964
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00628
  • Inter Quartile Range
    0.00243
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.17557
  • Mean of outliers low
    0.98728
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.11450
  • Mean of outliers high
    1.01298
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.22068
  • VaR(95%) (moments method)
    0.00810
  • Expected Shortfall (moments method)
    0.01035
  • Extreme Value Index (regression method)
    -0.09761
  • VaR(95%) (regression method)
    0.01052
  • Expected Shortfall (regression method)
    0.01452
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00093
  • Quartile 1
    0.04136
  • Median
    0.08180
  • Quartile 3
    0.12223
  • Maximum
    0.16266
  • Mean of quarter 1
    0.00093
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.16266
  • Inter Quartile Range
    0.08087
  • 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?
    -338705000
  • Max Equity Drawdown (num days)
    292
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.27054
  • Compounded annual return (geometric extrapolation)
    -0.25224
  • Calmar ratio (compounded annual return / max draw down)
    -1.55070
  • Compounded annual return / average of 25% largest draw downs
    -1.55070
  • Compounded annual return / Expected Shortfall lognormal
    -14.37780

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 
#189
# Trades
252
# Profitable
102
% Profitable
40.5%
Net Dividends
$518
Correlation S&P500
0.134
Sharpe Ratio
0.83
Sortino Ratio
1.37
Beta
0.19
Alpha
0.07
Leverage
3.30 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.