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

Dual QM18
(106187009)

Created by: GonzaloLoayza2 GonzaloLoayza2
Started: 10/2016
Stocks
Last trade: 15 days ago
Trading style: Equity Hedged Equity Trend-following

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
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.
11.3%
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.

(51.0%)
Max Drawdown
171
Num Trades
50.3%
Win Trades
1.3 : 1
Profit Factor
63.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                               +0.9%+9.6%+8.9%+20.5%
2017+6.9%(1.4%)+2.8%(0.1%)+6.7%(1.3%)+8.0%+0.6%+1.1%+13.2%(2%)(7.6%)+28.5%
2018+10.2%+2.4%(4.2%)+0.1%+3.2%+1.5%(3.7%)+6.9%+3.0%(13.1%)+1.2%(6.9%)(1.6%)
2019+5.1%+3.9%+0.8%+2.6%(0.9%)+6.4%+1.2%+7.7%(10.3%)+1.7%+3.2%+1.7%+24.2%
2020+7.9%(6.2%)+22.4%+8.3%+1.2%+4.0%+12.3%+0.2%(3.3%)(7.4%)+8.2%+2.3%+57.6%
2021(4.2%)(7.8%)(3.4%)+8.6%(0.7%)+6.5%+6.2%+4.3%(10.4%)+12.8%+2.5%+2.4%+15.3%
2022(10.9%)(6.8%)(6.6%)(23.3%)(2.2%)(11.5%)+7.3%(1%)                        (45.4%)

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 53 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 408 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/27/22 12:19 SSO PROSHARES ULTRA S&P 500 LONG 101 49.46 7/29 11:02 52.55 0.07%
Trade id #141202243
Max drawdown($33)
Time7/27/22 14:08
Quant open101
Worst price49.13
Drawdown as % of equity-0.07%
$310
Includes Typical Broker Commissions trade costs of $2.02
7/27/22 12:18 QLD PROSHARES ULTRA QQQ LONG 104 48.04 7/29 11:02 51.13 0.09%
Trade id #141202229
Max drawdown($43)
Time7/27/22 14:08
Quant open104
Worst price47.62
Drawdown as % of equity-0.09%
$319
Includes Typical Broker Commissions trade costs of $2.08
7/25/22 11:20 SDS PROSHARES ULTRASHORT S&P500 LONG 131 45.78 7/27 12:13 45.29 0.15%
Trade id #141168600
Max drawdown($68)
Time7/27/22 11:57
Quant open131
Worst price45.26
Drawdown as % of equity-0.15%
($67)
Includes Typical Broker Commissions trade costs of $2.62
7/25/22 11:18 QID PROSHARES ULTRASHORT QQQ LONG 264 22.74 7/27 12:13 22.14 0.35%
Trade id #141168574
Max drawdown($163)
Time7/27/22 12:13
Quant open264
Worst price22.12
Drawdown as % of equity-0.35%
($163)
Includes Typical Broker Commissions trade costs of $5.28
5/3/22 10:43 QLD PROSHARES ULTRA QQQ LONG 278 54.60 7/25 11:17 46.91 10.19%
Trade id #140348380
Max drawdown($4,549)
Time6/16/22 0:00
Quant open278
Worst price38.23
Drawdown as % of equity-10.19%
($2,144)
Includes Typical Broker Commissions trade costs of $5.56
5/3/22 10:42 SSO PROSHARES ULTRA S&P 500 LONG 322 54.95 7/25 11:17 48.86 9.69%
Trade id #140348372
Max drawdown($4,324)
Time6/17/22 0:00
Quant open322
Worst price41.52
Drawdown as % of equity-9.69%
($1,967)
Includes Typical Broker Commissions trade costs of $6.44
3/31/22 15:09 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,509 19.62 5/3 10:41 14.27 18.12%
Trade id #139984589
Max drawdown($9,250)
Time5/2/22 0:00
Quant open1,509
Worst price13.49
Drawdown as % of equity-18.12%
($8,078)
Includes Typical Broker Commissions trade costs of $5.00
3/31/22 15:08 QLD PROSHARES ULTRA QQQ LONG 208 73.69 5/3 10:41 54.60 8.84%
Trade id #139984582
Max drawdown($4,513)
Time5/2/22 0:00
Quant open208
Worst price51.99
Drawdown as % of equity-8.84%
($3,975)
Includes Typical Broker Commissions trade costs of $4.16
3/31/22 15:08 SSO PROSHARES ULTRA S&P 500 LONG 644 61.09 5/3 10:41 55.02 9.31%
Trade id #139984570
Max drawdown($4,752)
Time5/2/22 0:00
Quant open322
Worst price52.37
Drawdown as % of equity-9.31%
($3,918)
Includes Typical Broker Commissions trade costs of $8.94
3/1/22 13:40 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,631 24.40 3/31 15:07 19.62 17.02%
Trade id #139597473
Max drawdown($11,072)
Time3/25/22 0:00
Quant open1,631
Worst price17.61
Drawdown as % of equity-17.02%
($7,801)
Includes Typical Broker Commissions trade costs of $5.00
3/1/22 13:39 QLD PROSHARES ULTRA QQQ LONG 192 64.64 3/31 15:07 73.78 2.79%
Trade id #139597467
Max drawdown($1,768)
Time3/14/22 0:00
Quant open192
Worst price55.43
Drawdown as % of equity-2.79%
$1,751
Includes Typical Broker Commissions trade costs of $3.84
3/1/22 13:39 SSO PROSHARES ULTRA S&P 500 LONG 317 59.21 3/31 15:07 67.18 1.86%
Trade id #139597450
Max drawdown($1,242)
Time3/8/22 0:00
Quant open317
Worst price55.29
Drawdown as % of equity-1.86%
$2,520
Includes Typical Broker Commissions trade costs of $6.34
1/31/22 14:59 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,311 25.01 3/1 13:38 24.32 7.58%
Trade id #139179104
Max drawdown($5,335)
Time2/16/22 0:00
Quant open1,311
Worst price20.94
Drawdown as % of equity-7.58%
($910)
Includes Typical Broker Commissions trade costs of $5.00
1/31/22 14:59 QLD PROSHARES ULTRA QQQ LONG 248 72.84 3/1 13:38 64.60 6.26%
Trade id #139179092
Max drawdown($4,146)
Time2/24/22 0:00
Quant open248
Worst price56.12
Drawdown as % of equity-6.26%
($2,049)
Includes Typical Broker Commissions trade costs of $4.96
1/31/22 14:58 SSO PROSHARES ULTRA S&P 500 LONG 376 64.90 3/1 13:38 59.21 6.06%
Trade id #139179082
Max drawdown($4,011)
Time2/24/22 0:00
Quant open376
Worst price54.23
Drawdown as % of equity-6.06%
($2,147)
Includes Typical Broker Commissions trade costs of $7.52
1/3/22 14:00 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,558 26.39 1/31 14:58 24.99 5.3%
Trade id #138795371
Max drawdown($4,222)
Time1/18/22 0:00
Quant open1,558
Worst price23.68
Drawdown as % of equity-5.30%
($2,186)
Includes Typical Broker Commissions trade costs of $5.00
1/3/22 13:59 QLD PROSHARES ULTRA QQQ LONG 221 90.54 1/31 14:57 72.95 8.25%
Trade id #138795366
Max drawdown($6,225)
Time1/24/22 0:00
Quant open221
Worst price62.37
Drawdown as % of equity-8.25%
($3,891)
Includes Typical Broker Commissions trade costs of $4.42
1/3/22 13:59 SSO PROSHARES ULTRA S&P 500 LONG 342 73.73 1/31 14:57 64.96 7.48%
Trade id #138795358
Max drawdown($5,649)
Time1/24/22 0:00
Quant open342
Worst price57.21
Drawdown as % of equity-7.48%
($3,006)
Includes Typical Broker Commissions trade costs of $6.84
11/30/21 15:23 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 641 30.29 1/3/22 13:58 26.39 2.94%
Trade id #138401341
Max drawdown($2,512)
Time1/3/22 13:35
Quant open641
Worst price26.37
Drawdown as % of equity-2.94%
($2,505)
Includes Typical Broker Commissions trade costs of $5.00
11/30/21 15:22 QLD PROSHARES ULTRA QQQ LONG 356 87.62 1/3/22 13:58 90.49 3.14%
Trade id #138401335
Max drawdown($2,595)
Time12/20/21 0:00
Quant open356
Worst price80.33
Drawdown as % of equity-3.14%
$1,015
Includes Typical Broker Commissions trade costs of $7.12
11/30/21 15:22 SSO PROSHARES ULTRA S&P 500 LONG 249 135.30 1/3/22 13:58 147.44 1.46%
Trade id #138401321
Max drawdown($1,227)
Time12/3/21 0:00
Quant open249
Worst price130.37
Drawdown as % of equity-1.46%
$3,018
Includes Typical Broker Commissions trade costs of $4.98
10/29/21 15:34 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 848 28.19 11/30 15:21 30.27 1.94%
Trade id #138010954
Max drawdown($1,628)
Time11/23/21 0:00
Quant open848
Worst price26.27
Drawdown as % of equity-1.94%
$1,759
Includes Typical Broker Commissions trade costs of $5.00
10/29/21 15:34 QLD PROSHARES ULTRA QQQ LONG 315 83.98 11/30 15:21 87.63 0.07%
Trade id #138010952
Max drawdown($59)
Time11/1/21 0:00
Quant open315
Worst price83.79
Drawdown as % of equity-0.07%
$1,144
Includes Typical Broker Commissions trade costs of $6.30
10/29/21 15:33 SSO PROSHARES ULTRA S&P 500 LONG 214 136.26 11/30 15:21 135.35 0.44%
Trade id #138010939
Max drawdown($365)
Time11/30/21 12:11
Quant open214
Worst price134.55
Drawdown as % of equity-0.44%
($199)
Includes Typical Broker Commissions trade costs of $4.28
9/30/21 15:12 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 812 26.16 10/29 15:32 28.16 1.51%
Trade id #137606324
Max drawdown($1,100)
Time10/11/21 0:00
Quant open812
Worst price24.80
Drawdown as % of equity-1.51%
$1,619
Includes Typical Broker Commissions trade costs of $5.00
9/30/21 15:12 QLD PROSHARES ULTRA QQQ LONG 347 74.09 10/29 15:32 83.97 2.04%
Trade id #137606297
Max drawdown($1,512)
Time10/4/21 0:00
Quant open347
Worst price69.73
Drawdown as % of equity-2.04%
$3,421
Includes Typical Broker Commissions trade costs of $6.94
9/30/21 15:10 SSO PROSHARES ULTRA S&P 500 LONG 226 122.03 10/29 15:32 136.23 1.16%
Trade id #137606236
Max drawdown($861)
Time10/4/21 0:00
Quant open226
Worst price118.22
Drawdown as % of equity-1.16%
$3,204
Includes Typical Broker Commissions trade costs of $4.52
8/31/21 15:49 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 731 28.93 9/30 15:10 26.17 2.86%
Trade id #137198985
Max drawdown($2,207)
Time9/28/21 0:00
Quant open731
Worst price25.91
Drawdown as % of equity-2.86%
($2,023)
Includes Typical Broker Commissions trade costs of $5.00
8/31/21 15:49 QLD PROSHARES ULTRA QQQ LONG 355 82.24 9/30 15:09 73.87 4.52%
Trade id #137198981
Max drawdown($3,326)
Time9/30/21 12:30
Quant open355
Worst price72.87
Drawdown as % of equity-4.52%
($2,978)
Includes Typical Broker Commissions trade costs of $7.10
8/31/21 15:48 SSO PROSHARES ULTRA S&P 500 LONG 230 132.35 9/30 15:09 121.72 3.66%
Trade id #137198972
Max drawdown($2,886)
Time9/20/21 0:00
Quant open230
Worst price119.80
Drawdown as % of equity-3.66%
($2,450)
Includes Typical Broker Commissions trade costs of $4.60

Statistics

  • Strategy began
    10/3/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2139.83
  • Age
    71 months ago
  • What it trades
    Stocks
  • # Trades
    171
  • # Profitable
    86
  • % Profitable
    50.30%
  • Avg trade duration
    55.4 days
  • Max peak-to-valley drawdown
    51%
  • drawdown period
    Dec 28, 2021 - June 20, 2022
  • Annual Return (Compounded)
    11.3%
  • Avg win
    $1,406
  • Avg loss
    $1,081
  • Model Account Values (Raw)
  • Cash
    $54,226
  • Margin Used
    $0
  • Buying Power
    $54,256
  • Ratios
  • W:L ratio
    1.33:1
  • Sharpe Ratio
    0.45
  • Sortino Ratio
    0.62
  • Calmar Ratio
    0.327
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -10.33%
  • Correlation to SP500
    0.38080
  • Return Percent SP500 (cumu) during strategy life
    98.05%
  • Return Statistics
  • Ann Return (w trading costs)
    11.3%
  • Slump
  • Current Slump as Pcnt Equity
    87.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.11%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.113%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    14.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    53.50%
  • Chance of 20% account loss
    24.00%
  • Chance of 30% account loss
    7.50%
  • Chance of 40% account loss
    0.50%
  • 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
    0.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    700
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    882
  • Popularity (7 days, Percentile 1000 scale)
    392
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,081
  • Avg Win
    $1,407
  • Sum Trade PL (losers)
    $91,926.000
  • Age
  • Num Months filled monthly returns table
    71
  • Win / Loss
  • Sum Trade PL (winners)
    $120,961.000
  • # Winners
    86
  • Num Months Winners
    45
  • Dividends
  • Dividends Received in Model Acct
    1458
  • Win / Loss
  • # Losers
    85
  • % Winners
    50.3%
  • Frequency
  • Avg Position Time (mins)
    79728.60
  • Avg Position Time (hrs)
    1328.81
  • Avg Trade Length
    55.4 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.59
  • Daily leverage (max)
    4.01
  • Regression
  • Alpha
    0.02
  • Beta
    0.40
  • Treynor Index
    0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    17.25
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    71.61
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.54
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    6.245
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.293
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.581
  • Hold-and-Hope Ratio
    0.161
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14390
  • SD
    0.23644
  • Sharpe ratio (Glass type estimate)
    0.60862
  • Sharpe ratio (Hedges UMVUE)
    0.60179
  • df
    67.00000
  • t
    1.44882
  • p
    0.07603
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22335
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.43614
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22784
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.43142
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.91156
  • Upside Potential Ratio
    2.44953
  • Upside part of mean
    0.38669
  • Downside part of mean
    -0.24279
  • Upside SD
    0.17857
  • Downside SD
    0.15786
  • N nonnegative terms
    42.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    68.00000
  • Mean of predictor
    0.10426
  • Mean of criterion
    0.14390
  • SD of predictor
    0.21292
  • SD of criterion
    0.23644
  • Covariance
    0.02016
  • r
    0.40050
  • b (slope, estimate of beta)
    0.44474
  • a (intercept, estimate of alpha)
    0.09754
  • Mean Square Error
    0.04765
  • DF error
    66.00000
  • t(b)
    3.55088
  • p(b)
    0.00036
  • t(a)
    1.05305
  • p(a)
    0.14808
  • Lowerbound of 95% confidence interval for beta
    0.19467
  • Upperbound of 95% confidence interval for beta
    0.69480
  • Lowerbound of 95% confidence interval for alpha
    -0.08739
  • Upperbound of 95% confidence interval for alpha
    0.28246
  • Treynor index (mean / b)
    0.32357
  • Jensen alpha (a)
    0.09754
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11487
  • SD
    0.24037
  • Sharpe ratio (Glass type estimate)
    0.47787
  • Sharpe ratio (Hedges UMVUE)
    0.47250
  • df
    67.00000
  • t
    1.13756
  • p
    0.12968
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35119
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.30341
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35473
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.29973
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.67287
  • Upside Potential Ratio
    2.17263
  • Upside part of mean
    0.37089
  • Downside part of mean
    -0.25603
  • Upside SD
    0.16996
  • Downside SD
    0.17071
  • N nonnegative terms
    42.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    68.00000
  • Mean of predictor
    0.07903
  • Mean of criterion
    0.11487
  • SD of predictor
    0.23084
  • SD of criterion
    0.24037
  • Covariance
    0.02016
  • r
    0.36328
  • b (slope, estimate of beta)
    0.37828
  • a (intercept, estimate of alpha)
    0.08497
  • Mean Square Error
    0.05091
  • DF error
    66.00000
  • t(b)
    3.16770
  • p(b)
    0.00116
  • t(a)
    0.89201
  • p(a)
    0.18782
  • Lowerbound of 95% confidence interval for beta
    0.13986
  • Upperbound of 95% confidence interval for beta
    0.61671
  • Lowerbound of 95% confidence interval for alpha
    -0.10522
  • Upperbound of 95% confidence interval for alpha
    0.27515
  • Treynor index (mean / b)
    0.30365
  • Jensen alpha (a)
    0.08497
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09928
  • Expected Shortfall on VaR
    0.12474
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03855
  • Expected Shortfall on VaR
    0.08214
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    68.00000
  • Minimum
    0.77494
  • Quartile 1
    0.98044
  • Median
    1.01574
  • Quartile 3
    1.05012
  • Maximum
    1.13452
  • Mean of quarter 1
    0.92725
  • Mean of quarter 2
    0.99980
  • Mean of quarter 3
    1.03285
  • Mean of quarter 4
    1.09738
  • Inter Quartile Range
    0.06968
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.04412
  • Mean of outliers low
    0.83644
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.06271
  • VaR(95%) (moments method)
    0.06117
  • Expected Shortfall (moments method)
    0.08844
  • Extreme Value Index (regression method)
    0.01090
  • VaR(95%) (regression method)
    0.07986
  • Expected Shortfall (regression method)
    0.11595
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.01492
  • Quartile 1
    0.03446
  • Median
    0.09018
  • Quartile 3
    0.10954
  • Maximum
    0.40590
  • Mean of quarter 1
    0.02427
  • Mean of quarter 2
    0.08637
  • Mean of quarter 3
    0.10249
  • Mean of quarter 4
    0.27361
  • Inter Quartile Range
    0.07508
  • 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
    0.11111
  • Mean of outliers high
    0.40590
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.18253
  • VaR(95%) (moments method)
    0.25646
  • Expected Shortfall (moments method)
    0.39410
  • Extreme Value Index (regression method)
    2.05685
  • VaR(95%) (regression method)
    0.63129
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21984
  • Compounded annual return (geometric extrapolation)
    0.15347
  • Calmar ratio (compounded annual return / max draw down)
    0.37810
  • Compounded annual return / average of 25% largest draw downs
    0.56089
  • Compounded annual return / Expected Shortfall lognormal
    1.23035
  • 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
    0.12962
  • SD
    0.18891
  • Sharpe ratio (Glass type estimate)
    0.68616
  • Sharpe ratio (Hedges UMVUE)
    0.68582
  • df
    1499.00000
  • t
    1.64180
  • p
    0.47304
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13344
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.50555
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13368
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50531
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95118
  • Upside Potential Ratio
    8.62204
  • Upside part of mean
    1.17499
  • Downside part of mean
    -1.04537
  • Upside SD
    0.13098
  • Downside SD
    0.13628
  • N nonnegative terms
    848.00000
  • N negative terms
    652.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1500.00000
  • Mean of predictor
    0.11132
  • Mean of criterion
    0.12962
  • SD of predictor
    0.19869
  • SD of criterion
    0.18891
  • Covariance
    0.01428
  • r
    0.38035
  • b (slope, estimate of beta)
    0.36165
  • a (intercept, estimate of alpha)
    0.08900
  • Mean Square Error
    0.03055
  • DF error
    1498.00000
  • t(b)
    15.91760
  • p(b)
    0.30982
  • t(a)
    1.22271
  • p(a)
    0.48421
  • Lowerbound of 95% confidence interval for beta
    0.31708
  • Upperbound of 95% confidence interval for beta
    0.40621
  • Lowerbound of 95% confidence interval for alpha
    -0.05400
  • Upperbound of 95% confidence interval for alpha
    0.23273
  • Treynor index (mean / b)
    0.35843
  • Jensen alpha (a)
    0.08936
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11171
  • SD
    0.18928
  • Sharpe ratio (Glass type estimate)
    0.59019
  • Sharpe ratio (Hedges UMVUE)
    0.58989
  • df
    1499.00000
  • t
    1.41216
  • p
    0.47680
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22930
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.40950
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22951
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.40929
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.80882
  • Upside Potential Ratio
    8.44536
  • Upside part of mean
    1.16642
  • Downside part of mean
    -1.05471
  • Upside SD
    0.12952
  • Downside SD
    0.13811
  • N nonnegative terms
    848.00000
  • N negative terms
    652.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1500.00000
  • Mean of predictor
    0.09145
  • Mean of criterion
    0.11171
  • SD of predictor
    0.19967
  • SD of criterion
    0.18928
  • Covariance
    0.01432
  • r
    0.37883
  • b (slope, estimate of beta)
    0.35911
  • a (intercept, estimate of alpha)
    0.07887
  • Mean Square Error
    0.03071
  • DF error
    1498.00000
  • t(b)
    15.84310
  • p(b)
    0.31058
  • t(a)
    1.07653
  • p(a)
    0.48610
  • Lowerbound of 95% confidence interval for beta
    0.31465
  • Upperbound of 95% confidence interval for beta
    0.40357
  • Lowerbound of 95% confidence interval for alpha
    -0.06484
  • Upperbound of 95% confidence interval for alpha
    0.22258
  • Treynor index (mean / b)
    0.31107
  • Jensen alpha (a)
    0.07887
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01863
  • Expected Shortfall on VaR
    0.02341
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00837
  • Expected Shortfall on VaR
    0.01697
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1500.00000
  • Minimum
    0.93256
  • Quartile 1
    0.99473
  • Median
    1.00139
  • Quartile 3
    1.00687
  • Maximum
    1.06964
  • Mean of quarter 1
    0.98600
  • Mean of quarter 2
    0.99840
  • Mean of quarter 3
    1.00404
  • Mean of quarter 4
    1.01396
  • Inter Quartile Range
    0.01214
  • Number outliers low
    50.00000
  • Percentage of outliers low
    0.03333
  • Mean of outliers low
    0.96816
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.01600
  • Mean of outliers high
    1.03278
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13696
  • VaR(95%) (moments method)
    0.01307
  • Expected Shortfall (moments method)
    0.01934
  • Extreme Value Index (regression method)
    0.03755
  • VaR(95%) (regression method)
    0.01363
  • Expected Shortfall (regression method)
    0.01920
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    56.00000
  • Minimum
    0.00043
  • Quartile 1
    0.00628
  • Median
    0.01293
  • Quartile 3
    0.06048
  • Maximum
    0.45776
  • Mean of quarter 1
    0.00293
  • Mean of quarter 2
    0.00945
  • Mean of quarter 3
    0.03745
  • Mean of quarter 4
    0.14359
  • Inter Quartile Range
    0.05420
  • 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
    0.08929
  • Mean of outliers high
    0.22977
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00755
  • VaR(95%) (moments method)
    0.13302
  • Expected Shortfall (moments method)
    0.18040
  • Extreme Value Index (regression method)
    -0.95555
  • VaR(95%) (regression method)
    0.13873
  • Expected Shortfall (regression method)
    0.14931
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21380
  • Compounded annual return (geometric extrapolation)
    0.14983
  • Calmar ratio (compounded annual return / max draw down)
    0.32731
  • Compounded annual return / average of 25% largest draw downs
    1.04347
  • Compounded annual return / Expected Shortfall lognormal
    6.40130
  • 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
    -0.82749
  • SD
    0.27148
  • Sharpe ratio (Glass type estimate)
    -3.04805
  • Sharpe ratio (Hedges UMVUE)
    -3.03044
  • df
    130.00000
  • t
    -2.15530
  • p
    0.59287
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.83879
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.24599
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.82661
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.23426
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.76692
  • Upside Potential Ratio
    5.80228
  • Upside part of mean
    1.27461
  • Downside part of mean
    -2.10210
  • Upside SD
    0.16582
  • Downside SD
    0.21967
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08225
  • Mean of criterion
    -0.82749
  • SD of predictor
    0.27665
  • SD of criterion
    0.27148
  • Covariance
    0.05008
  • r
    0.66677
  • b (slope, estimate of beta)
    0.65432
  • a (intercept, estimate of alpha)
    -0.77367
  • Mean Square Error
    0.04125
  • DF error
    129.00000
  • t(b)
    10.16150
  • p(b)
    0.10950
  • t(a)
    -2.69302
  • p(a)
    0.64556
  • Lowerbound of 95% confidence interval for beta
    0.52692
  • Upperbound of 95% confidence interval for beta
    0.78172
  • Lowerbound of 95% confidence interval for alpha
    -1.34208
  • Upperbound of 95% confidence interval for alpha
    -0.20527
  • Treynor index (mean / b)
    -1.26466
  • Jensen alpha (a)
    -0.77367
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.86547
  • SD
    0.27213
  • Sharpe ratio (Glass type estimate)
    -3.18035
  • Sharpe ratio (Hedges UMVUE)
    -3.16197
  • df
    130.00000
  • t
    -2.24885
  • p
    0.59675
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.97301
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.37587
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.96029
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36364
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.88119
  • Upside Potential Ratio
    5.65500
  • Upside part of mean
    1.26102
  • Downside part of mean
    -2.12649
  • Upside SD
    0.16317
  • Downside SD
    0.22299
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12040
  • Mean of criterion
    -0.86547
  • SD of predictor
    0.27753
  • SD of criterion
    0.27213
  • Covariance
    0.05018
  • r
    0.66442
  • b (slope, estimate of beta)
    0.65148
  • a (intercept, estimate of alpha)
    -0.78704
  • Mean Square Error
    0.04168
  • DF error
    129.00000
  • t(b)
    10.09730
  • p(b)
    0.11062
  • t(a)
    -2.72481
  • p(a)
    0.64716
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    0.52383
  • Upperbound of 95% confidence interval for beta
    0.77914
  • Lowerbound of 95% confidence interval for alpha
    -1.35851
  • Upperbound of 95% confidence interval for alpha
    -0.21556
  • Treynor index (mean / b)
    -1.32846
  • Jensen alpha (a)
    -0.78704
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03048
  • Expected Shortfall on VaR
    0.03725
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02049
  • Expected Shortfall on VaR
    0.03467
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94844
  • Quartile 1
    0.98824
  • Median
    0.99690
  • Quartile 3
    1.00708
  • Maximum
    1.06295
  • Mean of quarter 1
    0.97594
  • Mean of quarter 2
    0.99277
  • Mean of quarter 3
    1.00188
  • Mean of quarter 4
    1.01736
  • Inter Quartile Range
    0.01884
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.95452
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.06295
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.34402
  • VaR(95%) (moments method)
    0.02484
  • Expected Shortfall (moments method)
    0.02925
  • Extreme Value Index (regression method)
    -0.12028
  • VaR(95%) (regression method)
    0.02357
  • Expected Shortfall (regression method)
    0.02922
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04178
  • Quartile 1
    0.13067
  • Median
    0.21955
  • Quartile 3
    0.30843
  • Maximum
    0.39732
  • Mean of quarter 1
    0.04178
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.39732
  • Inter Quartile Range
    0.17777
  • 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?
    -342306000
  • Max Equity Drawdown (num days)
    174
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.68431
  • Compounded annual return (geometric extrapolation)
    -0.56724
  • Calmar ratio (compounded annual return / max draw down)
    -1.42767
  • Compounded annual return / average of 25% largest draw downs
    -1.42767
  • Compounded annual return / Expected Shortfall lognormal
    -15.22730

Strategy Description

Dual QM18 is a Adaptive Asset Allocation (AAA) Strategy.

*Adaptive Asset Allocation (AAA) is based on the Nobel Prize winning portfolio theory of Markowitz (1952).
*AAA combines asset’s momentum, volatilities, and cross-correlations for building diversified investment portfolios.
*In a tactical application AAA exploits momentum for crash detection and results in consistent returns at mitigated risk levels.
*In up-trending markets capital is allocated into offensive assets, like stocks, some ETFs, REITs, and commodities, while during market sell-offs especially intermediate US-treasuries are in vogue or ETFs and Stocks with low correlation.

This strategy opens the possibility of capturing high returns in the short term of High Quality Stocks. Through the use of Stocks and some ETFs with a low correlation between them, we seek to identify market anomalies with a Low ratio: Risk / Reward.

Through a quantitative methodology called "Adaptive Asset Allocation" (AAA), this strategy allows to adapt each month, both the composition of the portfolio and the size of each position. In this way, it seeks to maximize profitability over the medium term and control portfolio volatility.

The system has been backtested from 2010 and in this testing has produced consistently profitable results. Based on this backtesting staking levels are set to target an average return of around 100% every three years.
Backtesting data is hypothetical and it has not been verified by C2.

My system generates around 50 trades a year. This is not a high frequency system, we would expect 4 trades per month on average . This is a purely mechanical system with no discretionary elements. If you wish to receive the results of the Back Testing applied to this strategy, feel free to request them.

I invite you to see an additional strategy that has been recording similar results: https://collective2.com/details/106804598

Summary Statistics

Strategy began
2016-10-03
Suggested Minimum Capital
$15,000
Rank at C2 
#92
# Trades
171
# Profitable
86
% Profitable
50.3%
Net Dividends
Correlation S&P500
0.381
Sharpe Ratio
0.45
Sortino Ratio
0.62
Beta
0.40
Alpha
0.02
Leverage
1.59 Average
4.01 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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