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Featured Strategy Algo V Day Trading Followed by live capital $7,000 Hypothetical

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ETF Trend Trading
(116749021)

Created by: Aaa123 Aaa123
Started: 02/2018
Stocks
Last trade: 1,982 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. You can subscribe to this system for free.

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).
4.9%
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.

(22.9%)
Max Drawdown
185
Num Trades
48.1%
Win Trades
1.7 : 1
Profit Factor
61.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018       +0.2%+1.2%+4.4%+3.5%+2.1%+0.2%(4.3%)+1.8%(3.7%)+4.6%(9.6%)(0.7%)
2019+1.0%(2.1%)(3.2%)+0.3%+0.3%+5.1%+0.7%+5.7%(1.2%)(0.1%)+0.5%+0.4%+7.2%
2020+4.2%+1.2%(0.4%)+4.6%+0.5%+1.1%+4.8%(0.7%)(0.5%)(0.7%)+1.2%+1.3%+17.7%
2021(1.6%)(3%)(0.7%)+3.0%+1.3%+0.9%+3.2%+1.0%(1.8%)+1.8%+0.5%+1.4%+6.0%
2022(4.7%)(0.6%)+0.1%(6.3%)(0.6%)(5.5%)+2.7%(1.3%)(3.5%)(3.2%)+6.7%(1.2%)(16.7%)
2023+2.8%(3.3%)+2.6%+2.0%(0.8%)+2.4%+0.2%(1.4%)(4.7%)(0.1%)+6.2%+3.2%+9.0%
2024+0.1%+2.3%+2.0%(1%)+2.4%+2.6%+1.1%+2.9%+2.3%(0.2%)(0.7%)      +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 115 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2264 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/24/19 9:30 VXXB1918D40 VXXB Apr18'19 40 call LONG 4 3.60 4/19 8:05 0.00 2.96%
Trade id #122154515
Max drawdown($1,440)
Time4/19/19 8:05
Quant open0
Worst price0.00
Drawdown as % of equity-2.96%
 ($1,443)
Includes Typical Broker Commissions trade costs of $3.40
3/12/19 13:42 TTT PROSHARES ULTRAPRO SHORT 20+ Y LONG 300 25.00 3/22 9:53 23.40 0.98%
Trade id #122882311
Max drawdown($480)
Time3/22/19 9:53
Quant open0
Worst price23.40
Drawdown as % of equity-0.98%
 ($486)
Includes Typical Broker Commissions trade costs of $6.00
3/6/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 400 22.03 3/18 9:52 21.50 0.43%
Trade id #122802182
Max drawdown($212)
Time3/18/19 9:52
Quant open200
Worst price21.00
Drawdown as % of equity-0.43%
 ($220)
Includes Typical Broker Commissions trade costs of $8.00
1/31/19 9:35 TTT PROSHARES ULTRAPRO SHORT 20+ Y LONG 300 25.50 3/8 9:31 25.54 0.55%
Trade id #122289579
Max drawdown($282)
Time2/13/19 9:31
Quant open300
Worst price24.56
Drawdown as % of equity-0.55%
 $6
Includes Typical Broker Commissions trade costs of $6.00
2/25/19 9:30 UWT VELOCITY SHS 3X LONG CRUDE OIL TO S&P/GSCI INDEX LONG 200 15.15 3/8 9:30 14.16 0.51%
Trade id #122666339
Max drawdown($258)
Time3/8/19 9:13
Quant open200
Worst price13.86
Drawdown as % of equity-0.51%
 ($202)
Includes Typical Broker Commissions trade costs of $4.00
2/25/19 9:30 UGAZ LONG 100 33.50 3/6 15:10 35.68 0.36%
Trade id #122666332
Max drawdown($180)
Time2/27/19 9:01
Quant open100
Worst price31.70
Drawdown as % of equity-0.36%
 $216
Includes Typical Broker Commissions trade costs of $2.00
2/12/19 11:56 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 250 23.20 3/4 9:30 21.44 0.89%
Trade id #122480517
Max drawdown($442)
Time3/4/19 9:07
Quant open250
Worst price21.43
Drawdown as % of equity-0.89%
 ($445)
Includes Typical Broker Commissions trade costs of $5.00
2/27/19 12:35 UGLD VELOCITYSHARES 3X LONG GOLD ET LONG 200 101.79 3/1 9:30 98.96 1.29%
Trade id #122717779
Max drawdown($648)
Time3/1/19 9:25
Quant open200
Worst price98.55
Drawdown as % of equity-1.29%
 ($570)
Includes Typical Broker Commissions trade costs of $4.00
2/13/19 9:31 DWT VELOCITYSHARES 3X INV CRUDE & S&P LONG 400 9.34 2/20 10:29 8.10 0.99%
Trade id #122499908
Max drawdown($496)
Time2/20/19 10:29
Quant open0
Worst price8.10
Drawdown as % of equity-0.99%
 ($504)
Includes Typical Broker Commissions trade costs of $8.00
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 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 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
Next

Statistics

  • Strategy began
    2/27/2018
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    2442.85
  • Age
    82 months ago
  • What it trades
    Stocks
  • # Trades
    185
  • # Profitable
    89
  • % Profitable
    48.10%
  • Avg trade duration
    61.5 days
  • Max peak-to-valley drawdown
    22.9%
  • drawdown period
    Jan 01, 2022 - Oct 20, 2022
  • Annual Return (Compounded)
    4.9%
  • Avg win
    $624.44
  • Avg loss
    $413.14
  • Model Account Values (Raw)
  • Cash
    $29,816
  • Margin Used
    $0
  • Buying Power
    $47,403
  • Ratios
  • W:L ratio
    1.65:1
  • Sharpe Ratio
    0.29
  • Sortino Ratio
    0.43
  • Calmar Ratio
    0.715
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -70.11%
  • Correlation to SP500
    0.50600
  • Return Percent SP500 (cumu) during strategy life
    117.60%
  • Return Statistics
  • Ann Return (w trading costs)
    4.9%
  • Slump
  • Current Slump as Pcnt Equity
    0.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    30.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.049%
  • Instruments
  • Percent Trades Options
    0.15%
  • Percent Trades Stocks
    0.85%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    5.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    17.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $414
  • Avg Win
    $620
  • Sum Trade PL (losers)
    $39,741.000
  • Age
  • Num Months filled monthly returns table
    82
  • Win / Loss
  • Sum Trade PL (winners)
    $55,189.000
  • # Winners
    89
  • Num Months Winners
    50
  • Dividends
  • Dividends Received in Model Acct
    4958
  • Win / Loss
  • # Losers
    96
  • % Winners
    48.1%
  • Frequency
  • Avg Position Time (mins)
    88495.90
  • Avg Position Time (hrs)
    1474.93
  • Avg Trade Length
    61.5 days
  • Last Trade Ago
    2027
  • Leverage
  • Daily leverage (average)
    1.33
  • Daily leverage (max)
    2.72
  • Regression
  • Alpha
    0.00
  • Beta
    0.26
  • Treynor Index
    0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    51.30
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    22.85
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.38
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    4.479
  • 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
    0.368
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.141
  • Hold-and-Hope Ratio
    0.281
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14400
  • SD
    0.20739
  • Sharpe ratio (Glass type estimate)
    0.69436
  • Sharpe ratio (Hedges UMVUE)
    0.67486
  • df
    27.00000
  • t
    1.06064
  • p
    0.14912
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60814
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.98440
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.62080
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97052
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.05373
  • Upside Potential Ratio
    2.48276
  • Upside part of mean
    0.33930
  • Downside part of mean
    -0.19529
  • Upside SD
    0.15661
  • Downside SD
    0.13666
  • N nonnegative terms
    20.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.32506
  • Mean of criterion
    0.14400
  • SD of predictor
    0.27206
  • SD of criterion
    0.20739
  • Covariance
    0.03568
  • r
    0.63236
  • b (slope, estimate of beta)
    0.48205
  • a (intercept, estimate of alpha)
    -0.01269
  • Mean Square Error
    0.02681
  • DF error
    26.00000
  • t(b)
    4.16223
  • p(b)
    0.00015
  • t(a)
    -0.11174
  • p(a)
    0.54406
  • Lowerbound of 95% confidence interval for beta
    0.24399
  • Upperbound of 95% confidence interval for beta
    0.72011
  • Lowerbound of 95% confidence interval for alpha
    -0.24621
  • Upperbound of 95% confidence interval for alpha
    0.22082
  • Treynor index (mean / b)
    0.29873
  • Jensen alpha (a)
    -0.01269
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12196
  • SD
    0.20997
  • Sharpe ratio (Glass type estimate)
    0.58083
  • Sharpe ratio (Hedges UMVUE)
    0.56452
  • df
    27.00000
  • t
    0.88723
  • p
    0.19139
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71676
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.86789
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72738
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.85642
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.83163
  • Upside Potential Ratio
    2.23004
  • Upside part of mean
    0.32704
  • Downside part of mean
    -0.20508
  • Upside SD
    0.14915
  • Downside SD
    0.14665
  • N nonnegative terms
    20.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.28601
  • Mean of criterion
    0.12196
  • SD of predictor
    0.26632
  • SD of criterion
    0.20997
  • Covariance
    0.03590
  • r
    0.64207
  • b (slope, estimate of beta)
    0.50623
  • a (intercept, estimate of alpha)
    -0.02283
  • Mean Square Error
    0.02691
  • DF error
    26.00000
  • t(b)
    4.27043
  • p(b)
    0.00012
  • t(a)
    -0.20272
  • p(a)
    0.57953
  • Lowerbound of 95% confidence interval for beta
    0.26256
  • Upperbound of 95% confidence interval for beta
    0.74989
  • Lowerbound of 95% confidence interval for alpha
    -0.25431
  • Upperbound of 95% confidence interval for alpha
    0.20865
  • Treynor index (mean / b)
    0.24092
  • Jensen alpha (a)
    -0.02283
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08565
  • Expected Shortfall on VaR
    0.10829
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02465
  • Expected Shortfall on VaR
    0.05719
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    28.00000
  • Minimum
    0.83235
  • Quartile 1
    0.97472
  • Median
    1.01814
  • Quartile 3
    1.04479
  • Maximum
    1.14415
  • Mean of quarter 1
    0.94112
  • Mean of quarter 2
    1.00390
  • Mean of quarter 3
    1.03337
  • Mean of quarter 4
    1.07893
  • Inter Quartile Range
    0.07007
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03571
  • Mean of outliers low
    0.83235
  • 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)
    0.66964
  • VaR(95%) (moments method)
    0.06817
  • Expected Shortfall (moments method)
    0.20406
  • Extreme Value Index (regression method)
    2.06405
  • VaR(95%) (regression method)
    0.05345
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03409
  • Quartile 1
    0.08806
  • Median
    0.14202
  • Quartile 3
    0.16590
  • Maximum
    0.18978
  • Mean of quarter 1
    0.03409
  • Mean of quarter 2
    0.14202
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.18978
  • Inter Quartile Range
    0.07785
  • 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)
    0.17941
  • Compounded annual return (geometric extrapolation)
    0.16168
  • Calmar ratio (compounded annual return / max draw down)
    0.85191
  • Compounded annual return / average of 25% largest draw downs
    0.85191
  • Compounded annual return / Expected Shortfall lognormal
    1.49300
  • 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
    0.13493
  • SD
    0.16707
  • Sharpe ratio (Glass type estimate)
    0.80764
  • Sharpe ratio (Hedges UMVUE)
    0.80665
  • df
    611.00000
  • t
    1.23436
  • p
    0.10877
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47587
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09053
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47655
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.08984
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.19252
  • Upside Potential Ratio
    8.15307
  • Upside part of mean
    0.92253
  • Downside part of mean
    -0.78760
  • Upside SD
    0.12302
  • Downside SD
    0.11315
  • N nonnegative terms
    314.00000
  • N negative terms
    298.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    612.00000
  • Mean of predictor
    0.34483
  • Mean of criterion
    0.13493
  • SD of predictor
    0.31891
  • SD of criterion
    0.16707
  • Covariance
    0.02869
  • r
    0.53841
  • b (slope, estimate of beta)
    0.28207
  • a (intercept, estimate of alpha)
    0.03800
  • Mean Square Error
    0.01985
  • DF error
    610.00000
  • t(b)
    15.78030
  • p(b)
    0.00000
  • t(a)
    0.40768
  • p(a)
    0.34183
  • Lowerbound of 95% confidence interval for beta
    0.24697
  • Upperbound of 95% confidence interval for beta
    0.31717
  • Lowerbound of 95% confidence interval for alpha
    -0.14379
  • Upperbound of 95% confidence interval for alpha
    0.21913
  • Treynor index (mean / b)
    0.47837
  • Jensen alpha (a)
    0.03767
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12094
  • SD
    0.16724
  • Sharpe ratio (Glass type estimate)
    0.72315
  • Sharpe ratio (Hedges UMVUE)
    0.72226
  • df
    611.00000
  • t
    1.10522
  • p
    0.13475
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56015
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00593
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56078
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.00529
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.05062
  • Upside Potential Ratio
    7.94865
  • Upside part of mean
    0.91500
  • Downside part of mean
    -0.79406
  • Upside SD
    0.12136
  • Downside SD
    0.11511
  • N nonnegative terms
    314.00000
  • N negative terms
    298.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    612.00000
  • Mean of predictor
    0.29319
  • Mean of criterion
    0.12094
  • SD of predictor
    0.32217
  • SD of criterion
    0.16724
  • Covariance
    0.02940
  • r
    0.54562
  • b (slope, estimate of beta)
    0.28324
  • a (intercept, estimate of alpha)
    0.03790
  • Mean Square Error
    0.01968
  • DF error
    610.00000
  • t(b)
    16.08020
  • p(b)
    0.00000
  • t(a)
    0.41230
  • p(a)
    0.34013
  • Lowerbound of 95% confidence interval for beta
    0.24864
  • Upperbound of 95% confidence interval for beta
    0.31783
  • Lowerbound of 95% confidence interval for alpha
    -0.14263
  • Upperbound of 95% confidence interval for alpha
    0.21842
  • Treynor index (mean / b)
    0.42700
  • Jensen alpha (a)
    0.03790
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01640
  • Expected Shortfall on VaR
    0.02063
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00673
  • Expected Shortfall on VaR
    0.01398
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    612.00000
  • Minimum
    0.92191
  • Quartile 1
    0.99648
  • Median
    1.00024
  • Quartile 3
    1.00436
  • Maximum
    1.04958
  • Mean of quarter 1
    0.98958
  • Mean of quarter 2
    0.99861
  • Mean of quarter 3
    1.00216
  • Mean of quarter 4
    1.01213
  • Inter Quartile Range
    0.00787
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.03268
  • Mean of outliers low
    0.97229
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.04902
  • Mean of outliers high
    1.02665
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32137
  • VaR(95%) (moments method)
    0.00999
  • Expected Shortfall (moments method)
    0.01759
  • Extreme Value Index (regression method)
    0.25145
  • VaR(95%) (regression method)
    0.00914
  • Expected Shortfall (regression method)
    0.01481
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00014
  • Quartile 1
    0.00209
  • Median
    0.00949
  • Quartile 3
    0.02192
  • Maximum
    0.22438
  • Mean of quarter 1
    0.00111
  • Mean of quarter 2
    0.00511
  • Mean of quarter 3
    0.01405
  • Mean of quarter 4
    0.11347
  • Inter Quartile Range
    0.01982
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.13321
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.19382
  • VaR(95%) (moments method)
    0.09436
  • Expected Shortfall (moments method)
    0.09642
  • Extreme Value Index (regression method)
    -0.11295
  • VaR(95%) (regression method)
    0.16505
  • Expected Shortfall (regression method)
    0.23377
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17800
  • Compounded annual return (geometric extrapolation)
    0.16050
  • Calmar ratio (compounded annual return / max draw down)
    0.71530
  • Compounded annual return / average of 25% largest draw downs
    1.41441
  • Compounded annual return / Expected Shortfall lognormal
    7.78056
  • 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
    0.32643
  • SD
    0.25748
  • Sharpe ratio (Glass type estimate)
    1.26775
  • Sharpe ratio (Hedges UMVUE)
    1.26042
  • df
    130.00000
  • t
    0.89644
  • p
    0.46081
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.51075
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.04142
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51561
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.03646
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95706
  • Upside Potential Ratio
    10.05990
  • Upside part of mean
    1.67792
  • Downside part of mean
    -1.35149
  • Upside SD
    0.19590
  • Downside SD
    0.16679
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.89887
  • Mean of criterion
    0.32643
  • SD of predictor
    0.44410
  • SD of criterion
    0.25748
  • Covariance
    0.09164
  • r
    0.80144
  • b (slope, estimate of beta)
    0.46466
  • a (intercept, estimate of alpha)
    -0.09124
  • Mean Square Error
    0.02390
  • DF error
    129.00000
  • t(b)
    15.21980
  • p(b)
    0.05150
  • t(a)
    -0.41411
  • p(a)
    0.52319
  • Lowerbound of 95% confidence interval for beta
    0.40426
  • Upperbound of 95% confidence interval for beta
    0.52507
  • Lowerbound of 95% confidence interval for alpha
    -0.52719
  • Upperbound of 95% confidence interval for alpha
    0.34470
  • Treynor index (mean / b)
    0.70250
  • Jensen alpha (a)
    -0.09124
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29341
  • SD
    0.25695
  • Sharpe ratio (Glass type estimate)
    1.14189
  • Sharpe ratio (Hedges UMVUE)
    1.13529
  • df
    130.00000
  • t
    0.80744
  • p
    0.46468
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.63556
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.91500
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63994
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.91053
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.73404
  • Upside Potential Ratio
    9.80412
  • Upside part of mean
    1.65894
  • Downside part of mean
    -1.36552
  • Upside SD
    0.19292
  • Downside SD
    0.16921
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.79925
  • Mean of criterion
    0.29341
  • SD of predictor
    0.44535
  • SD of criterion
    0.25695
  • Covariance
    0.09186
  • r
    0.80271
  • b (slope, estimate of beta)
    0.46313
  • a (intercept, estimate of alpha)
    -0.07675
  • Mean Square Error
    0.02366
  • DF error
    129.00000
  • t(b)
    15.28730
  • p(b)
    0.05101
  • t(a)
    -0.35060
  • p(a)
    0.51964
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    0.40319
  • Upperbound of 95% confidence interval for beta
    0.52307
  • Lowerbound of 95% confidence interval for alpha
    -0.50984
  • Upperbound of 95% confidence interval for alpha
    0.35635
  • Treynor index (mean / b)
    0.63354
  • Jensen alpha (a)
    -0.07675
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02468
  • Expected Shortfall on VaR
    0.03111
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01197
  • Expected Shortfall on VaR
    0.02310
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95477
  • Quartile 1
    0.99294
  • Median
    1.00000
  • Quartile 3
    1.00860
  • Maximum
    1.04958
  • Mean of quarter 1
    0.98255
  • Mean of quarter 2
    0.99718
  • Mean of quarter 3
    1.00457
  • Mean of quarter 4
    1.02121
  • Inter Quartile Range
    0.01566
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.96291
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.04470
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.03372
  • VaR(95%) (moments method)
    0.01623
  • Expected Shortfall (moments method)
    0.02232
  • Extreme Value Index (regression method)
    0.05187
  • VaR(95%) (regression method)
    0.01482
  • Expected Shortfall (regression method)
    0.02005
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00174
  • Quartile 1
    0.00239
  • Median
    0.00767
  • Quartile 3
    0.01093
  • Maximum
    0.22438
  • Mean of quarter 1
    0.00191
  • Mean of quarter 2
    0.00498
  • Mean of quarter 3
    0.00949
  • Mean of quarter 4
    0.08283
  • Inter Quartile Range
    0.00855
  • 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
    0.10000
  • Mean of outliers high
    0.22438
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.46533
  • VaR(95%) (moments method)
    0.09074
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    6.00947
  • VaR(95%) (regression method)
    1.28985
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -358763000
  • Max Equity Drawdown (num days)
    292
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.34857
  • Compounded annual return (geometric extrapolation)
    0.37895
  • Calmar ratio (compounded annual return / max draw down)
    1.68889
  • Compounded annual return / average of 25% largest draw downs
    4.57503
  • Compounded annual return / Expected Shortfall lognormal
    12.17960

Strategy Description

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2018-02-27
Suggested Minimum Capital
$25,000
# Trades
185
# Profitable
89
% Profitable
48.1%
Net Dividends
$5,023
Correlation S&P500
0.506
Sharpe Ratio
0.29
Sortino Ratio
0.43
Beta
0.26
Alpha
0.00
Leverage
1.33 Average
2.72 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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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.