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ETF Trend Trading
(116749021)

Created by: AlexanderG AlexanderG
Started: 02/2018
Stocks
Last trade: 5 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 $50.00 per month.

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).
-2.2%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(13.7%)
Max Drawdown
176
Num Trades
48.3%
Win Trades
1.0 : 1
Profit Factor
69.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018       +0.2%+1.2%+4.4%+3.4%+2.1%+0.2%(4.3%)+1.7%(3.8%)+4.6%(9.7%)(1.1%)
2019+1.0%(2.1%)                                                            (1.2%)

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 115 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/12/19 10:53 DGLD VELOCITYSHARES 3X INVERSE GOLD LONG 400 44.35 2/13 10:08 43.47 0.69%
Trade id #122477796
Max drawdown($352)
Time2/13/19 10:08
Quant open0
Worst price43.47
Drawdown as % of equity-0.69%
($360)
Includes Typical Broker Commissions trade costs of $8.00
2/8/19 9:30 DWT VELOCITYSHARES 3X INV CRUDE & S&P LONG 500 9.80 2/11 12:22 10.35 0.03%
Trade id #122429432
Max drawdown($15)
Time2/8/19 9:37
Quant open500
Worst price9.77
Drawdown as % of equity-0.03%
$265
Includes Typical Broker Commissions trade costs of $10.00
1/30/19 13:06 UWT VELOCITY SHS 3X LONG CRUDE OIL TO S&P/GSCI INDEX LONG 300 14.43 2/4 9:30 14.00 0.57%
Trade id #122273421
Max drawdown($294)
Time2/1/19 4:39
Quant open300
Worst price13.45
Drawdown as % of equity-0.57%
($135)
Includes Typical Broker Commissions trade costs of $6.00
1/11/19 15:44 UGLD VELOCITYSHARES 3X LONG GOLD ET LONG 200 94.55 2/1 9:30 103.36 0.42%
Trade id #121930373
Max drawdown($220)
Time1/24/19 8:34
Quant open200
Worst price93.45
Drawdown as % of equity-0.42%
$1,758
Includes Typical Broker Commissions trade costs of $4.00
1/22/19 13:20 UGAZ VELOCITYSHARES 3X LONG NATURAL LONG 50 45.50 2/1 9:30 35.62 1.04%
Trade id #122113923
Max drawdown($535)
Time2/1/19 9:20
Quant open50
Worst price34.79
Drawdown as % of equity-1.04%
($495)
Includes Typical Broker Commissions trade costs of $1.00
1/22/19 12:20 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 600 26.22 1/30 13:07 25.43 0.95%
Trade id #122112043
Max drawdown($492)
Time1/25/19 4:01
Quant open400
Worst price24.99
Drawdown as % of equity-0.95%
($486)
Includes Typical Broker Commissions trade costs of $12.00
1/22/19 9:30 DWT VELOCITYSHARES 3X INV CRUDE & S&P LONG 500 10.12 1/30 12:57 8.97 1.12%
Trade id #122105308
Max drawdown($578)
Time1/30/19 12:57
Quant open250
Worst price8.94
Drawdown as % of equity-1.12%
($588)
Includes Typical Broker Commissions trade costs of $10.00
1/10/19 11:34 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 200 27.83 1/17 14:48 26.00 0.7%
Trade id #121900505
Max drawdown($366)
Time1/17/19 14:48
Quant open0
Worst price26.00
Drawdown as % of equity-0.70%
($370)
Includes Typical Broker Commissions trade costs of $4.00
1/14/19 10:57 DWT VELOCITYSHARES 3X INV CRUDE & S&P LONG 500 10.82 1/17 14:44 10.15 0.64%
Trade id #121953971
Max drawdown($335)
Time1/17/19 14:44
Quant open0
Worst price10.15
Drawdown as % of equity-0.64%
($345)
Includes Typical Broker Commissions trade costs of $10.00
1/11/19 15:43 UGAZ VELOCITYSHARES 3X LONG NATURAL LONG 50 46.78 1/15 10:55 57.18 0.09%
Trade id #121930332
Max drawdown($45)
Time1/11/19 15:51
Quant open50
Worst price45.86
Drawdown as % of equity-0.09%
$519
Includes Typical Broker Commissions trade costs of $1.00
12/24/18 9:30 UWT VELOCITY SHS 3X LONG CRUDE OIL TO S&P/GSCI INDEX LONG 400 8.93 1/14/19 10:52 12.52 0.61%
Trade id #121641491
Max drawdown($308)
Time12/24/18 13:29
Quant open200
Worst price7.21
Drawdown as % of equity-0.61%
$1,426
Includes Typical Broker Commissions trade costs of $8.00
1/3/19 14:31 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 300 32.25 1/4 9:44 31.30 0.55%
Trade id #121770862
Max drawdown($285)
Time1/4/19 9:44
Quant open0
Worst price31.30
Drawdown as % of equity-0.55%
($291)
Includes Typical Broker Commissions trade costs of $6.00
12/24/18 9:31 MAG MAG SILVER CORP LONG 200 7.17 1/3/19 15:57 7.83 0.08%
Trade id #121641537
Max drawdown($40)
Time12/26/18 9:36
Quant open200
Worst price6.97
Drawdown as % of equity-0.08%
$128
Includes Typical Broker Commissions trade costs of $4.00
12/6/18 10:59 CCJ CAMECO LONG 230 11.50 1/3/19 14:59 11.25 0.41%
Trade id #121377830
Max drawdown($205)
Time12/24/18 10:09
Quant open230
Worst price10.61
Drawdown as % of equity-0.41%
($63)
Includes Typical Broker Commissions trade costs of $4.60
12/24/18 8:32 TTT PROSHARES ULTRAPRO SHORT 20+ Y LONG 400 26.06 1/3/19 14:59 24.12 1.51%
Trade id #121640939
Max drawdown($776)
Time1/3/19 14:59
Quant open0
Worst price24.12
Drawdown as % of equity-1.51%
($784)
Includes Typical Broker Commissions trade costs of $8.00
1/2/19 13:14 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 350 30.68 1/3 10:38 33.00 0.15%
Trade id #121748976
Max drawdown($77)
Time1/2/19 14:00
Quant open350
Worst price30.46
Drawdown as % of equity-0.15%
$805
Includes Typical Broker Commissions trade costs of $7.00
12/10/18 11:15 TTT PROSHARES ULTRAPRO SHORT 20+ Y LONG 280 27.24 12/20 9:30 25.23 1.11%
Trade id #121424870
Max drawdown($563)
Time12/20/18 9:30
Quant open0
Worst price25.23
Drawdown as % of equity-1.11%
($569)
Includes Typical Broker Commissions trade costs of $5.60
12/12/18 9:30 UWT VELOCITY SHS 3X LONG CRUDE OIL TO S&P/GSCI INDEX LONG 350 14.46 12/17 14:36 12.40 1.4%
Trade id #121460962
Max drawdown($721)
Time12/17/18 14:36
Quant open0
Worst price12.40
Drawdown as % of equity-1.40%
($728)
Includes Typical Broker Commissions trade costs of $7.00
12/12/18 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 280 40.55 12/17 9:32 36.59 2.13%
Trade id #121460946
Max drawdown($1,111)
Time12/17/18 9:32
Quant open280
Worst price36.58
Drawdown as % of equity-2.13%
($1,115)
Includes Typical Broker Commissions trade costs of $5.60
12/6/18 11:20 CLF CLEVELAND-CLIFFS INC LONG 300 8.75 12/14 9:30 8.02 0.41%
Trade id #121378597
Max drawdown($219)
Time12/14/18 9:30
Quant open0
Worst price8.02
Drawdown as % of equity-0.41%
($225)
Includes Typical Broker Commissions trade costs of $6.00
12/6/18 10:15 SPXL DIREXION DAILY S&P500 BULL 3X LONG 400 40.20 12/10 9:49 38.40 1.34%
Trade id #121375653
Max drawdown($718)
Time12/10/18 9:49
Quant open260
Worst price38.40
Drawdown as % of equity-1.34%
($726)
Includes Typical Broker Commissions trade costs of $8.00
12/6/18 9:40 DGAZ VELOCITYSHARES 3X INV NATURAL LONG 120 59.49 12/7 11:27 50.00 2.08%
Trade id #121374209
Max drawdown($1,139)
Time12/7/18 11:27
Quant open0
Worst price50.00
Drawdown as % of equity-2.08%
($1,141)
Includes Typical Broker Commissions trade costs of $2.40
11/9/18 11:35 UGLD VELOCITYSHARES 3X LONG GOLD ET LONG 160 81.36 12/6 15:00 86.31 0.5%
Trade id #120853956
Max drawdown($270)
Time11/14/18 9:06
Quant open130
Worst price78.91
Drawdown as % of equity-0.50%
$790
Includes Typical Broker Commissions trade costs of $3.20
11/19/18 10:27 RIG TRANSOCEAN LONG 250 9.74 12/6 9:48 8.70 0.51%
Trade id #121044854
Max drawdown($272)
Time11/23/18 8:47
Quant open250
Worst price8.65
Drawdown as % of equity-0.51%
($265)
Includes Typical Broker Commissions trade costs of $5.00
12/4/18 13:59 UWT VELOCITY SHS 3X LONG CRUDE OIL TO S&P/GSCI INDEX LONG 360 15.22 12/6 9:30 13.68 1.54%
Trade id #121340462
Max drawdown($864)
Time12/6/18 5:35
Quant open360
Worst price12.82
Drawdown as % of equity-1.54%
($561)
Includes Typical Broker Commissions trade costs of $7.20
12/3/18 12:38 DGAZ VELOCITYSHARES 3X INV NATURAL LONG 90 58.74 12/4 9:30 50.96 1.55%
Trade id #121314185
Max drawdown($876)
Time12/4/18 8:57
Quant open90
Worst price49.00
Drawdown as % of equity-1.55%
($702)
Includes Typical Broker Commissions trade costs of $1.80
10/9/18 10:36 AGQ1821L23 AGQ Dec21'18 23 call LONG 4 1.73 12/3 10:07 1.20 0.91%
Trade id #120253756
Max drawdown($510)
Time11/30/18 10:02
Quant open4
Worst price0.45
Drawdown as % of equity-0.91%
($216)
Includes Typical Broker Commissions trade costs of $5.60
11/26/18 13:12 CLF CLEVELAND-CLIFFS INC LONG 500 8.80 11/30 9:54 9.38 0.34%
Trade id #121170348
Max drawdown($190)
Time11/27/18 9:20
Quant open500
Worst price8.42
Drawdown as % of equity-0.34%
$280
Includes Typical Broker Commissions trade costs of $10.00
11/19/18 9:45 SPXL DIREXION DAILY S&P500 BULL 3X LONG 300 43.59 11/30 9:53 43.94 2.65%
Trade id #121043014
Max drawdown($1,403)
Time11/23/18 15:53
Quant open300
Worst price38.91
Drawdown as % of equity-2.65%
$99
Includes Typical Broker Commissions trade costs of $6.00
11/29/18 13:43 UGAZ VELOCITYSHARES 3X LONG NATURAL LONG 30 168.52 11/30 9:30 166.66 0.47%
Trade id #121253847
Max drawdown($261)
Time11/30/18 7:24
Quant open30
Worst price159.80
Drawdown as % of equity-0.47%
($57)
Includes Typical Broker Commissions trade costs of $0.60

Statistics

  • Strategy began
    2/27/2018
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    356.01
  • Age
    12 months ago
  • What it trades
    Stocks
  • # Trades
    176
  • # Profitable
    85
  • % Profitable
    48.30%
  • Avg trade duration
    17.1 days
  • Max peak-to-valley drawdown
    13.69%
  • drawdown period
    June 14, 2018 - Feb 18, 2019
  • Cumul. Return
    -2.2%
  • Avg win
    $378.13
  • Avg loss
    $349.64
  • Model Account Values (Raw)
  • Cash
    $37,635
  • Margin Used
    $0
  • Buying Power
    $36,928
  • Ratios
  • W:L ratio
    1.01:1
  • Sharpe Ratio
    0.108
  • Sortino Ratio
    0.169
  • Calmar Ratio
    0.05
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.11000
  • Return Statistics
  • Ann Return (w trading costs)
    -2.3%
  • Ann Return (Compnd, No Fees)
    0.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    24.00%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    727
  • C2 Score
    1.4
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $350
  • Avg Win
    $378
  • # Winners
    85
  • # Losers
    91
  • % Winners
    48.3%
  • Frequency
  • Avg Position Time (mins)
    24587.50
  • Avg Position Time (hrs)
    409.79
  • Avg Trade Length
    17.1 days
  • Last Trade Ago
    3
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04455
  • SD
    0.13806
  • Sharpe ratio (Glass type estimate)
    0.32270
  • Sharpe ratio (Hedges UMVUE)
    0.29777
  • df
    10.00000
  • t
    0.30896
  • p
    0.38184
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.73708
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.36668
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.75350
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.34904
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.43481
  • Upside Potential Ratio
    2.01124
  • Upside part of mean
    0.20608
  • Downside part of mean
    -0.16153
  • Upside SD
    0.08363
  • Downside SD
    0.10246
  • N nonnegative terms
    8.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    -0.00228
  • Mean of criterion
    0.04455
  • SD of predictor
    0.17279
  • SD of criterion
    0.13806
  • Covariance
    0.01393
  • r
    0.58388
  • b (slope, estimate of beta)
    0.46651
  • a (intercept, estimate of alpha)
    0.04562
  • Mean Square Error
    0.01396
  • DF error
    9.00000
  • t(b)
    2.15762
  • p(b)
    0.02965
  • t(a)
    0.36967
  • p(a)
    0.36009
  • Lowerbound of 95% confidence interval for beta
    -0.02260
  • Upperbound of 95% confidence interval for beta
    0.95563
  • Lowerbound of 95% confidence interval for alpha
    -0.23353
  • Upperbound of 95% confidence interval for alpha
    0.32477
  • Treynor index (mean / b)
    0.09550
  • Jensen alpha (a)
    0.04562
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03561
  • SD
    0.14070
  • Sharpe ratio (Glass type estimate)
    0.25306
  • Sharpe ratio (Hedges UMVUE)
    0.23351
  • df
    10.00000
  • t
    0.24229
  • p
    0.40673
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.80314
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.29695
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.81616
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.28319
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.33376
  • Upside Potential Ratio
    1.89970
  • Upside part of mean
    0.20267
  • Downside part of mean
    -0.16706
  • Upside SD
    0.08198
  • Downside SD
    0.10669
  • N nonnegative terms
    8.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    -0.01609
  • Mean of criterion
    0.03561
  • SD of predictor
    0.17503
  • SD of criterion
    0.14070
  • Covariance
    0.01478
  • r
    0.60020
  • b (slope, estimate of beta)
    0.48249
  • a (intercept, estimate of alpha)
    0.04337
  • Mean Square Error
    0.01407
  • DF error
    9.00000
  • t(b)
    2.25118
  • p(b)
    0.02545
  • t(a)
    0.34990
  • p(a)
    0.36723
  • Lowerbound of 95% confidence interval for beta
    -0.00235
  • Upperbound of 95% confidence interval for beta
    0.96733
  • Lowerbound of 95% confidence interval for alpha
    -0.23703
  • Upperbound of 95% confidence interval for alpha
    0.32377
  • Treynor index (mean / b)
    0.07380
  • Jensen alpha (a)
    0.04337
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06185
  • Expected Shortfall on VaR
    0.07753
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02002
  • Expected Shortfall on VaR
    0.04521
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.91155
  • Quartile 1
    0.98945
  • Median
    1.01043
  • Quartile 3
    1.02599
  • Maximum
    1.05011
  • Mean of quarter 1
    0.95064
  • Mean of quarter 2
    1.00871
  • Mean of quarter 3
    1.01814
  • Mean of quarter 4
    1.04217
  • Inter Quartile Range
    0.03654
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.91155
  • 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)
    0.14585
  • VaR(95%) (moments method)
    0.05338
  • Expected Shortfall (moments method)
    0.08019
  • Extreme Value Index (regression method)
    2.03277
  • VaR(95%) (regression method)
    0.10032
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.10526
  • Quartile 1
    0.10526
  • Median
    0.10526
  • Quartile 3
    0.10526
  • Maximum
    0.10526
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.03619
  • Compounded annual return (geometric extrapolation)
    0.03625
  • Calmar ratio (compounded annual return / max draw down)
    0.34438
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.46753
  • 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
    0.01348
  • SD
    0.12426
  • Sharpe ratio (Glass type estimate)
    0.10848
  • Sharpe ratio (Hedges UMVUE)
    0.10815
  • df
    251.00000
  • t
    0.10639
  • p
    0.45768
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.89008
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10691
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.89034
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10665
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.16862
  • Upside Potential Ratio
    9.18373
  • Upside part of mean
    0.73415
  • Downside part of mean
    -0.72067
  • Upside SD
    0.09481
  • Downside SD
    0.07994
  • N nonnegative terms
    121.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    252.00000
  • Mean of predictor
    0.02548
  • Mean of criterion
    0.01348
  • SD of predictor
    0.16573
  • SD of criterion
    0.12426
  • Covariance
    0.00236
  • r
    0.11451
  • b (slope, estimate of beta)
    0.08586
  • a (intercept, estimate of alpha)
    0.01100
  • Mean Square Error
    0.01530
  • DF error
    250.00000
  • t(b)
    1.82252
  • p(b)
    0.03479
  • t(a)
    0.08953
  • p(a)
    0.46437
  • Lowerbound of 95% confidence interval for beta
    -0.00692
  • Upperbound of 95% confidence interval for beta
    0.17864
  • Lowerbound of 95% confidence interval for alpha
    -0.23711
  • Upperbound of 95% confidence interval for alpha
    0.25969
  • Treynor index (mean / b)
    0.15700
  • Jensen alpha (a)
    0.01129
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00583
  • SD
    0.12377
  • Sharpe ratio (Glass type estimate)
    0.04711
  • Sharpe ratio (Hedges UMVUE)
    0.04697
  • df
    251.00000
  • t
    0.04620
  • p
    0.48159
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.95137
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04559
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.95151
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04545
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.07250
  • Upside Potential Ratio
    9.07377
  • Upside part of mean
    0.72972
  • Downside part of mean
    -0.72389
  • Upside SD
    0.09375
  • Downside SD
    0.08042
  • N nonnegative terms
    121.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    252.00000
  • Mean of predictor
    0.01180
  • Mean of criterion
    0.00583
  • SD of predictor
    0.16579
  • SD of criterion
    0.12377
  • Covariance
    0.00237
  • r
    0.11536
  • b (slope, estimate of beta)
    0.08612
  • a (intercept, estimate of alpha)
    0.00481
  • Mean Square Error
    0.01517
  • DF error
    250.00000
  • t(b)
    1.83624
  • p(b)
    0.03375
  • t(a)
    0.03833
  • p(a)
    0.48473
  • Lowerbound of 95% confidence interval for beta
    -0.00625
  • Upperbound of 95% confidence interval for beta
    0.17848
  • Lowerbound of 95% confidence interval for alpha
    -0.24257
  • Upperbound of 95% confidence interval for alpha
    0.25220
  • Treynor index (mean / b)
    0.06771
  • Jensen alpha (a)
    0.00481
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01248
  • Expected Shortfall on VaR
    0.01562
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00655
  • Expected Shortfall on VaR
    0.01179
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    252.00000
  • Minimum
    0.97751
  • Quartile 1
    0.99591
  • Median
    0.99954
  • Quartile 3
    1.00408
  • Maximum
    1.04907
  • Mean of quarter 1
    0.99127
  • Mean of quarter 2
    0.99774
  • Mean of quarter 3
    1.00178
  • Mean of quarter 4
    1.00942
  • Inter Quartile Range
    0.00817
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.01190
  • Mean of outliers low
    0.97987
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.01984
  • Mean of outliers high
    1.02652
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.30257
  • VaR(95%) (moments method)
    0.00871
  • Expected Shortfall (moments method)
    0.01043
  • Extreme Value Index (regression method)
    -0.05127
  • VaR(95%) (regression method)
    0.00821
  • Expected Shortfall (regression method)
    0.01054
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00014
  • Quartile 1
    0.00168
  • Median
    0.00542
  • Quartile 3
    0.01765
  • Maximum
    0.11692
  • Mean of quarter 1
    0.00075
  • Mean of quarter 2
    0.00394
  • Mean of quarter 3
    0.01570
  • Mean of quarter 4
    0.05639
  • Inter Quartile Range
    0.01597
  • 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
    0.09091
  • Mean of outliers high
    0.11692
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.41593
  • VaR(95%) (moments method)
    0.04971
  • Expected Shortfall (moments method)
    0.06294
  • Extreme Value Index (regression method)
    1.29284
  • VaR(95%) (regression method)
    0.12567
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00585
  • Compounded annual return (geometric extrapolation)
    0.00585
  • Calmar ratio (compounded annual return / max draw down)
    0.05002
  • Compounded annual return / average of 25% largest draw downs
    0.10371
  • Compounded annual return / Expected Shortfall lognormal
    0.37432
  • 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
    -0.19118
  • SD
    0.14156
  • Sharpe ratio (Glass type estimate)
    -1.35050
  • Sharpe ratio (Hedges UMVUE)
    -1.34269
  • df
    130.00000
  • t
    -0.95495
  • p
    0.54173
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.12462
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.42871
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.11930
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.43392
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.96533
  • Upside Potential Ratio
    7.56463
  • Upside part of mean
    0.73585
  • Downside part of mean
    -0.92702
  • Upside SD
    0.10278
  • Downside SD
    0.09727
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.01244
  • Mean of criterion
    -0.19118
  • SD of predictor
    0.19124
  • SD of criterion
    0.14156
  • Covariance
    0.00573
  • r
    0.21156
  • b (slope, estimate of beta)
    0.15660
  • a (intercept, estimate of alpha)
    -0.18923
  • Mean Square Error
    0.01929
  • DF error
    129.00000
  • t(b)
    2.45850
  • p(b)
    0.36633
  • t(a)
    -0.96337
  • p(a)
    0.55374
  • Lowerbound of 95% confidence interval for beta
    0.03057
  • Upperbound of 95% confidence interval for beta
    0.28263
  • Lowerbound of 95% confidence interval for alpha
    -0.57786
  • Upperbound of 95% confidence interval for alpha
    0.19940
  • Treynor index (mean / b)
    -1.22079
  • Jensen alpha (a)
    -0.18923
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.20113
  • SD
    0.14092
  • Sharpe ratio (Glass type estimate)
    -1.42731
  • Sharpe ratio (Hedges UMVUE)
    -1.41906
  • df
    130.00000
  • t
    -1.00926
  • p
    0.54409
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.20188
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35258
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.19623
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35811
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.05390
  • Upside Potential Ratio
    7.46123
  • Upside part of mean
    0.73067
  • Downside part of mean
    -0.93180
  • Upside SD
    0.10135
  • Downside SD
    0.09793
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.03058
  • Mean of criterion
    -0.20113
  • SD of predictor
    0.19123
  • SD of criterion
    0.14092
  • Covariance
    0.00573
  • r
    0.21272
  • b (slope, estimate of beta)
    0.15675
  • a (intercept, estimate of alpha)
    -0.19634
  • Mean Square Error
    0.01911
  • DF error
    129.00000
  • t(b)
    2.47257
  • p(b)
    0.36561
  • t(a)
    -1.00435
  • p(a)
    0.55600
  • Lowerbound of 95% confidence interval for beta
    0.03132
  • Upperbound of 95% confidence interval for beta
    0.28218
  • Lowerbound of 95% confidence interval for alpha
    -0.58312
  • Upperbound of 95% confidence interval for alpha
    0.19044
  • Treynor index (mean / b)
    -1.28316
  • Jensen alpha (a)
    -0.19634
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01497
  • Expected Shortfall on VaR
    0.01855
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00884
  • Expected Shortfall on VaR
    0.01510
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97751
  • Quartile 1
    0.99465
  • Median
    0.99863
  • Quartile 3
    1.00401
  • Maximum
    1.04907
  • Mean of quarter 1
    0.98928
  • Mean of quarter 2
    0.99692
  • Mean of quarter 3
    1.00133
  • Mean of quarter 4
    1.00961
  • Inter Quartile Range
    0.00936
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97882
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.03477
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.31077
  • VaR(95%) (moments method)
    0.01103
  • Expected Shortfall (moments method)
    0.01310
  • Extreme Value Index (regression method)
    -0.18763
  • VaR(95%) (regression method)
    0.01081
  • Expected Shortfall (regression method)
    0.01321
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.05900
  • Quartile 1
    0.07214
  • Median
    0.08527
  • Quartile 3
    0.09841
  • Maximum
    0.11154
  • Mean of quarter 1
    0.05900
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.11154
  • Inter Quartile Range
    0.02627
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.19135
  • Compounded annual return (geometric extrapolation)
    -0.18220
  • Calmar ratio (compounded annual return / max draw down)
    -1.63342
  • Compounded annual return / average of 25% largest draw downs
    -1.63342
  • Compounded annual return / Expected Shortfall lognormal
    -9.82396

Strategy Description

This strategy combines trend following and reversal swing trading approaches on multiple low correlated markets. (stock indices, metals, energies, bonds, single stock picks)
Therefore the strategy is uncorrelated to the stock market and can be used well for diversification alongside Index ETFs like SPY. The suggested portfolio mix is 50%/50% to acquire the best risk-adjusted return.

Trading decisions are based on market sentiment, technical analysis and macro economics. This is a discretional strategy and can be traded manually by subscribers. However, trading signals can be issued throughout the US trading day so in case of manual trading you need to have access to your trading desk during the day.

Since 01.05.2018 this strategy is IRA compatible. Long Trades are entered via long ETFs/stocks and long Calls. Short trades are entered via inverse ETFs and long Puts.

We only trade liquid ETFs, stocks and options so slippage should not be of any concern. The number of subscribers is limited as well to avoid liquidity problems in the long run.

The markets we trade are:
- natural gas (UGAZ / DGAZ)
- crude oil (UWT/ DWT)
- Gold and Silver (GLD, UGLD / SLV, AGQ)
- S&p500 and Sector ETFs (SPXL / SPXS etc.)
- US Bonds (TMF / TTT)
- single stock picks

A reasonable risk- and moneymanagement is applied to protect downside risk and stabilize long term returns. Our goal is to achieve above market returns while maintining low drawdowns and close to zero correlation to the S&P500. This is a goal only and of course there is no guarantee for future profits.

Summary Statistics

Strategy began
2018-02-27
Suggested Minimum Capital
$50,000
# Trades
176
# Profitable
85
% Profitable
48.3%
Net Dividends
Correlation S&P500
0.110
Sharpe Ratio
0.108

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.