Collective2 Collective2
Featured Strategy S2Prox0 +53.2% Annual Return (Compounded) since Dec 23, 2022 Hypothetical

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Trend Trader IRA
(117100241)

Created by: Trend_Trader Trend_Trader
Started: 03/2018
Stocks, Options
Last trade: 1,944 days ago
Trading style: 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 $99.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
-7.7%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(46.2%)
Max Drawdown
143
Num Trades
71.3%
Win Trades
0.4 : 1
Profit Factor
6.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018              +1.2%+4.6%(1.4%)(3.3%)+3.7%+0.1%+7.0%(16.1%)(2.7%)(33.3%)(38.8%)
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

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.

Trading Record

This strategy has placed 276 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2102 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/10/18 10:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,300 62.61 12/24 11:50 43.34 76.48%
Trade id #119779630
Max drawdown($50,258)
Time12/24/18 9:58
Quant open1,580
Worst price30.80
Drawdown as % of equity-76.48%
 ($44,325)
Includes Typical Broker Commissions trade costs of $10.00
7/18/18 14:36 ERX DIREXION DAILY ENERGY BULL 2X LONG 55 36.46 9/10 10:22 33.16 0.27%
Trade id #119002399
Max drawdown($284)
Time8/16/18 4:01
Quant open55
Worst price31.29
Drawdown as % of equity-0.27%
 ($183)
Includes Typical Broker Commissions trade costs of $1.10
6/20/18 15:44 WB WEIBO CORPORATION AMERICAN DEP LONG 50 104.01 9/10 10:22 71.30 1.61%
Trade id #118547556
Max drawdown($1,693)
Time8/15/18 9:34
Quant open50
Worst price70.13
Drawdown as % of equity-1.61%
 ($1,636)
Includes Typical Broker Commissions trade costs of $1.00
8/18/18 9:37 EWJ ISHARES MSCI JAPAN INDEX SHORT 1,100 59.00 9/10 10:21 56.86 n/a $2,349
Includes Typical Broker Commissions trade costs of $5.00
7/12/18 15:49 UCO PROSHARES ULTRA BLOOMBERG CRUD LONG 165 30.20 8/30 14:25 32.50 0.48%
Trade id #118903490
Max drawdown($501)
Time8/15/18 11:28
Quant open165
Worst price27.16
Drawdown as % of equity-0.48%
 $377
Includes Typical Broker Commissions trade costs of $3.30
8/18/18 9:36 USO UNITED STATES OIL LONG 1,100 13.00 8/30 14:24 14.74 n/a $1,909
Includes Typical Broker Commissions trade costs of $5.00
7/16/18 15:29 EWJ1817T59 EWJ Aug17'18 59 put LONG 11 1.28 8/18 9:37 0.00 1.34%
Trade id #118961954
Max drawdown($1,406)
Time8/18/18 9:37
Quant open0
Worst price0.00
Drawdown as % of equity-1.34%
 ($1,414)
Includes Typical Broker Commissions trade costs of $7.70
7/12/18 15:50 USO1817H13 USO Aug17'18 13 call LONG 11 1.22 8/18 9:36 0.00 1.28%
Trade id #118903528
Max drawdown($1,339)
Time8/18/18 9:36
Quant open0
Worst price0.00
Drawdown as % of equity-1.28%
 ($1,347)
Includes Typical Broker Commissions trade costs of $7.70
6/14/18 15:52 UDOW PROSHARES ULTRAPRO DOW30 LONG 109 91.68 7/16 15:20 92.76 1.08%
Trade id #118442421
Max drawdown($1,070)
Time6/28/18 9:49
Quant open109
Worst price81.86
Drawdown as % of equity-1.08%
 $116
Includes Typical Broker Commissions trade costs of $2.18
7/12/18 15:52 EWZ1817T34 EWZ Aug17'18 34 put LONG 3 1.62 7/16 10:22 1.34 0.11%
Trade id #118903596
Max drawdown($114)
Time7/13/18 15:52
Quant open3
Worst price1.24
Drawdown as % of equity-0.11%
 ($88)
Includes Typical Broker Commissions trade costs of $4.20
6/18/18 11:11 CAT CATERPILLAR LONG 34 149.40 7/13 15:11 140.88 0.56%
Trade id #118483844
Max drawdown($568)
Time6/28/18 9:37
Quant open34
Worst price132.68
Drawdown as % of equity-0.56%
 ($291)
Includes Typical Broker Commissions trade costs of $0.68
7/12/18 15:51 EWZ1817H34 EWZ Aug17'18 34 call LONG 3 1.06 7/12 15:53 1.06 n/a ($4)
Includes Typical Broker Commissions trade costs of $4.20
6/20/18 15:22 TEVA1817H23 TEVA Aug17'18 23 call LONG 2 2.31 7/12 15:45 1.68 0.13%
Trade id #118546836
Max drawdown($140)
Time7/11/18 9:50
Quant open2
Worst price1.61
Drawdown as % of equity-0.13%
 ($129)
Includes Typical Broker Commissions trade costs of $2.80
6/12/18 13:25 MCD MCDONALD'S LONG 36 166.71 7/12 15:42 159.10 0.42%
Trade id #118394676
Max drawdown($418)
Time6/28/18 10:52
Quant open36
Worst price155.10
Drawdown as % of equity-0.42%
 ($275)
Includes Typical Broker Commissions trade costs of $0.72
6/19/18 15:32 INTC1817H52.5 INTC Aug17'18 52.5 call LONG 2 2.55 7/12 15:41 1.66 0.43%
Trade id #118520014
Max drawdown($430)
Time6/28/18 9:31
Quant open2
Worst price0.40
Drawdown as % of equity-0.43%
 ($181)
Includes Typical Broker Commissions trade costs of $2.80
6/20/18 15:41 BAC1817H27 BAC Aug17'18 27 call LONG 2 2.75 7/12 15:40 2.04 0.28%
Trade id #118547458
Max drawdown($286)
Time7/6/18 9:35
Quant open2
Worst price1.32
Drawdown as % of equity-0.28%
 ($144)
Includes Typical Broker Commissions trade costs of $2.80
6/13/18 15:47 FAS DIREXION DAILY FINANCIAL BULL LONG 70 67.95 7/12 15:36 67.14 0.48%
Trade id #118425577
Max drawdown($480)
Time6/28/18 10:39
Quant open70
Worst price61.09
Drawdown as % of equity-0.48%
 ($58)
Includes Typical Broker Commissions trade costs of $1.40
6/15/18 15:51 ADBE ADOBE INC LONG 20 251.50 7/12 15:35 254.25 0.31%
Trade id #118463677
Max drawdown($312)
Time6/25/18 14:54
Quant open20
Worst price235.87
Drawdown as % of equity-0.31%
 $55
Includes Typical Broker Commissions trade costs of $0.40
6/19/18 15:43 AAPL1820G195 AAPL Jul20'18 195 call LONG 5 1.00 7/12 15:35 0.48 0.38%
Trade id #118520343
Max drawdown($399)
Time7/11/18 14:12
Quant open5
Worst price0.20
Drawdown as % of equity-0.38%
 ($268)
Includes Typical Broker Commissions trade costs of $7.00
6/15/18 15:40 OSK OSHKOSH LONG 70 72.23 7/12 15:35 71.58 0.31%
Trade id #118463381
Max drawdown($304)
Time6/28/18 9:52
Quant open70
Worst price67.88
Drawdown as % of equity-0.31%
 ($47)
Includes Typical Broker Commissions trade costs of $1.40
6/19/18 15:14 SPXL DIREXION DAILY S&P500 BULL 3X LONG 43 46.68 7/12 15:35 48.22 0.15%
Trade id #118519503
Max drawdown($153)
Time6/28/18 10:38
Quant open43
Worst price43.11
Drawdown as % of equity-0.15%
 $65
Includes Typical Broker Commissions trade costs of $0.86
6/8/18 14:26 WM WASTE MANAGEMENT LONG 72 83.41 7/12 15:34 84.28 0.24%
Trade id #118340749
Max drawdown($248)
Time6/27/18 15:17
Quant open72
Worst price79.96
Drawdown as % of equity-0.24%
 $62
Includes Typical Broker Commissions trade costs of $1.44
6/18/18 14:55 DIA1820G250 DIA Jul20'18 250 call LONG 35 1.21 7/12 15:31 1.09 3.22%
Trade id #118490484
Max drawdown($3,260)
Time7/6/18 9:32
Quant open35
Worst price0.28
Drawdown as % of equity-3.22%
 ($489)
Includes Typical Broker Commissions trade costs of $49.00
6/14/18 15:57 PYPL PAYPAL HOLDINGS CORP LONG 58 85.60 7/12 15:28 88.84 0.32%
Trade id #118442569
Max drawdown($322)
Time6/28/18 9:03
Quant open58
Worst price80.04
Drawdown as % of equity-0.32%
 $187
Includes Typical Broker Commissions trade costs of $1.16
6/14/18 13:07 CELG CELGENE LONG 64 78.40 7/12 15:27 85.16 0.14%
Trade id #118439744
Max drawdown($135)
Time6/28/18 10:38
Quant open64
Worst price76.28
Drawdown as % of equity-0.14%
 $432
Includes Typical Broker Commissions trade costs of $1.28
6/20/18 15:39 APRN BLUE APRON HOLDINGS INC. CLASS A LONG 1,500 3.38 7/12 15:26 3.97 0.41%
Trade id #118547402
Max drawdown($418)
Time6/27/18 9:32
Quant open1,500
Worst price3.10
Drawdown as % of equity-0.41%
 $884
Includes Typical Broker Commissions trade costs of $5.00
6/19/18 15:18 SMH1820G107 SMH Jul20'18 107 call LONG 2 3.20 6/20 14:52 3.76 0.01%
Trade id #118519568
Max drawdown($10)
Time6/19/18 15:21
Quant open2
Worst price3.15
Drawdown as % of equity-0.01%
 $109
Includes Typical Broker Commissions trade costs of $2.80
6/19/18 15:24 IBB1820G111 IBB Jul20'18 111 call LONG 2 2.75 6/20 14:50 3.90 n/a $228
Includes Typical Broker Commissions trade costs of $2.80
6/13/18 12:53 APA APA CORP LONG 115 43.50 6/20 14:43 45.30 0.29%
Trade id #118416533
Max drawdown($310)
Time6/18/18 8:01
Quant open115
Worst price40.80
Drawdown as % of equity-0.29%
 $205
Includes Typical Broker Commissions trade costs of $2.30
6/18/18 11:13 AEP AMERICAN ELECTRIC POWER LONG 77 65.30 6/19 14:49 66.58 0.02%
Trade id #118483892
Max drawdown($19)
Time6/18/18 12:24
Quant open77
Worst price65.04
Drawdown as % of equity-0.02%
 $97
Includes Typical Broker Commissions trade costs of $1.54
Next

Statistics

  • Strategy began
    3/16/2018
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    2224.81
  • Age
    74 months ago
  • What it trades
    Stocks, Options
  • # Trades
    143
  • # Profitable
    102
  • % Profitable
    71.30%
  • Avg trade duration
    8.2 days
  • Max peak-to-valley drawdown
    46.18%
  • drawdown period
    Oct 01, 2018 - Dec 24, 2018
  • Annual Return (Compounded)
    -7.7%
  • Avg win
    $221.40
  • Avg loss
    $1,440
  • Model Account Values (Raw)
  • Cash
    $63,533
  • Margin Used
    $0
  • Buying Power
    $63,533
  • Ratios
  • W:L ratio
    0.38:1
  • Sharpe Ratio
    -0.69
  • Sortino Ratio
    -0.85
  • Calmar Ratio
    -0.553
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -121.32%
  • Correlation to SP500
    0.17670
  • Return Percent SP500 (cumu) during strategy life
    80.49%
  • Return Statistics
  • Ann Return (w trading costs)
    -7.7%
  • Slump
  • Current Slump as Pcnt Equity
    85.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.91%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.077%
  • Instruments
  • Percent Trades Options
    0.50%
  • Percent Trades Stocks
    0.50%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -7.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    57.00%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • 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
    3.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,441
  • Avg Win
    $221
  • Sum Trade PL (losers)
    $59,076.000
  • Age
  • Num Months filled monthly returns table
    74
  • Win / Loss
  • Sum Trade PL (winners)
    $22,583.000
  • # Winners
    102
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    27
  • Win / Loss
  • # Losers
    41
  • % Winners
    71.3%
  • Frequency
  • Avg Position Time (mins)
    11828.60
  • Avg Position Time (hrs)
    197.14
  • Avg Trade Length
    8.2 days
  • Last Trade Ago
    1942
  • Regression
  • Alpha
    -0.03
  • Beta
    0.10
  • Treynor Index
    -0.25
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    37.66
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    54.59
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.13
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -2.009
  • 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
    0.814
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.232
  • Hold-and-Hope Ratio
    -0.498
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.28109
  • SD
    0.24007
  • Sharpe ratio (Glass type estimate)
    -1.17087
  • Sharpe ratio (Hedges UMVUE)
    -1.12128
  • df
    18.00000
  • t
    -1.47331
  • p
    0.66402
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.75890
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.44760
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.72138
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47883
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.19261
  • Upside Potential Ratio
    0.39275
  • Upside part of mean
    0.09257
  • Downside part of mean
    -0.37365
  • Upside SD
    0.07505
  • Downside SD
    0.23569
  • N nonnegative terms
    3.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.49985
  • Mean of criterion
    -0.28109
  • SD of predictor
    0.55189
  • SD of criterion
    0.24007
  • Covariance
    0.01266
  • r
    0.09553
  • b (slope, estimate of beta)
    0.04155
  • a (intercept, estimate of alpha)
    -0.30186
  • Mean Square Error
    0.06047
  • DF error
    17.00000
  • t(b)
    0.39567
  • p(b)
    0.43928
  • t(a)
    -1.49178
  • p(a)
    0.71234
  • Lowerbound of 95% confidence interval for beta
    -0.18002
  • Upperbound of 95% confidence interval for beta
    0.26312
  • Lowerbound of 95% confidence interval for alpha
    -0.72877
  • Upperbound of 95% confidence interval for alpha
    0.12506
  • Treynor index (mean / b)
    -6.76460
  • Jensen alpha (a)
    -0.30186
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.31436
  • SD
    0.25878
  • Sharpe ratio (Glass type estimate)
    -1.21477
  • Sharpe ratio (Hedges UMVUE)
    -1.16332
  • df
    18.00000
  • t
    -1.52855
  • p
    0.66948
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.80570
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.40763
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.76662
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.43999
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.21983
  • Upside Potential Ratio
    0.34793
  • Upside part of mean
    0.08966
  • Downside part of mean
    -0.40402
  • Upside SD
    0.07256
  • Downside SD
    0.25771
  • N nonnegative terms
    3.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.36231
  • Mean of criterion
    -0.31436
  • SD of predictor
    0.51367
  • SD of criterion
    0.25878
  • Covariance
    0.01127
  • r
    0.08477
  • b (slope, estimate of beta)
    0.04271
  • a (intercept, estimate of alpha)
    -0.32983
  • Mean Square Error
    0.07040
  • DF error
    17.00000
  • t(b)
    0.35078
  • p(b)
    0.44610
  • t(a)
    -1.53109
  • p(a)
    0.71706
  • Lowerbound of 95% confidence interval for beta
    -0.21416
  • Upperbound of 95% confidence interval for beta
    0.29957
  • Lowerbound of 95% confidence interval for alpha
    -0.78433
  • Upperbound of 95% confidence interval for alpha
    0.12467
  • Treynor index (mean / b)
    -7.36108
  • Jensen alpha (a)
    -0.32983
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13849
  • Expected Shortfall on VaR
    0.16465
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09769
  • Expected Shortfall on VaR
    0.18560
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.81301
  • Quartile 1
    0.98503
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.06996
  • Mean of quarter 1
    0.89199
  • Mean of quarter 2
    0.99713
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.03071
  • Inter Quartile Range
    0.01497
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.15790
  • Mean of outliers low
    0.83288
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10526
  • Mean of outliers high
    1.06827
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.39007
  • VaR(95%) (moments method)
    0.07651
  • Expected Shortfall (moments method)
    0.16415
  • Extreme Value Index (regression method)
    -0.63671
  • VaR(95%) (regression method)
    0.04879
  • Expected Shortfall (regression method)
    0.05556
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04032
  • Quartile 1
    0.13763
  • Median
    0.23494
  • Quartile 3
    0.33225
  • Maximum
    0.42956
  • Mean of quarter 1
    0.04032
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.42956
  • Inter Quartile Range
    0.19462
  • 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)
    -0.23029
  • Compounded annual return (geometric extrapolation)
    -0.24908
  • Calmar ratio (compounded annual return / max draw down)
    -0.57985
  • Compounded annual return / average of 25% largest draw downs
    -0.57985
  • Compounded annual return / Expected Shortfall lognormal
    -1.51273
  • 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
    -0.28702
  • SD
    0.22256
  • Sharpe ratio (Glass type estimate)
    -1.28960
  • Sharpe ratio (Hedges UMVUE)
    -1.28728
  • df
    417.00000
  • t
    -1.62890
  • p
    0.94795
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.84302
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.26533
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.84145
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26688
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.58613
  • Upside Potential Ratio
    3.58486
  • Upside part of mean
    0.64870
  • Downside part of mean
    -0.93572
  • Upside SD
    0.13033
  • Downside SD
    0.18096
  • N nonnegative terms
    103.00000
  • N negative terms
    315.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    418.00000
  • Mean of predictor
    0.43860
  • Mean of criterion
    -0.28702
  • SD of predictor
    0.36379
  • SD of criterion
    0.22256
  • Covariance
    0.01502
  • r
    0.18555
  • b (slope, estimate of beta)
    0.11352
  • a (intercept, estimate of alpha)
    -0.33700
  • Mean Square Error
    0.04794
  • DF error
    416.00000
  • t(b)
    3.85132
  • p(b)
    0.00007
  • t(a)
    -1.93752
  • p(a)
    0.97332
  • Lowerbound of 95% confidence interval for beta
    0.05558
  • Upperbound of 95% confidence interval for beta
    0.17146
  • Lowerbound of 95% confidence interval for alpha
    -0.67851
  • Upperbound of 95% confidence interval for alpha
    0.00489
  • Treynor index (mean / b)
    -2.52840
  • Jensen alpha (a)
    -0.33681
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.31219
  • SD
    0.22475
  • Sharpe ratio (Glass type estimate)
    -1.38907
  • Sharpe ratio (Hedges UMVUE)
    -1.38657
  • df
    417.00000
  • t
    -1.75453
  • p
    0.95996
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.94285
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.16630
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.94113
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16799
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.68317
  • Upside Potential Ratio
    3.45244
  • Upside part of mean
    0.64035
  • Downside part of mean
    -0.95253
  • Upside SD
    0.12791
  • Downside SD
    0.18548
  • N nonnegative terms
    103.00000
  • N negative terms
    315.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    418.00000
  • Mean of predictor
    0.37213
  • Mean of criterion
    -0.31219
  • SD of predictor
    0.36445
  • SD of criterion
    0.22475
  • Covariance
    0.01528
  • r
    0.18656
  • b (slope, estimate of beta)
    0.11504
  • a (intercept, estimate of alpha)
    -0.35500
  • Mean Square Error
    0.04887
  • DF error
    416.00000
  • t(b)
    3.87301
  • p(b)
    0.00006
  • t(a)
    -2.02432
  • p(a)
    0.97821
  • Lowerbound of 95% confidence interval for beta
    0.05666
  • Upperbound of 95% confidence interval for beta
    0.17344
  • Lowerbound of 95% confidence interval for alpha
    -0.69972
  • Upperbound of 95% confidence interval for alpha
    -0.01028
  • Treynor index (mean / b)
    -2.71361
  • Jensen alpha (a)
    -0.35500
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02374
  • Expected Shortfall on VaR
    0.02938
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01044
  • Expected Shortfall on VaR
    0.02233
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    418.00000
  • Minimum
    0.91618
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.06411
  • Mean of quarter 1
    0.98610
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00996
  • Inter Quartile Range
    0.00000
  • Number outliers low
    98.00000
  • Percentage of outliers low
    0.23445
  • Mean of outliers low
    0.98511
  • Number of outliers high
    104.00000
  • Percentage of outliers high
    0.24880
  • Mean of outliers high
    1.01006
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.01007
  • VaR(95%) (moments method)
    0.00790
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.24538
  • VaR(95%) (regression method)
    0.01093
  • Expected Shortfall (regression method)
    0.02188
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00084
  • Quartile 1
    0.00183
  • Median
    0.00437
  • Quartile 3
    0.01127
  • Maximum
    0.44743
  • Mean of quarter 1
    0.00133
  • Mean of quarter 2
    0.00304
  • Mean of quarter 3
    0.00610
  • Mean of quarter 4
    0.13939
  • Inter Quartile Range
    0.00943
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.13333
  • Mean of outliers high
    0.26470
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.47591
  • VaR(95%) (moments method)
    0.12512
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    4.59823
  • VaR(95%) (regression method)
    0.41413
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.22855
  • Compounded annual return (geometric extrapolation)
    -0.24744
  • Calmar ratio (compounded annual return / max draw down)
    -0.55303
  • Compounded annual return / average of 25% largest draw downs
    -1.77525
  • Compounded annual return / Expected Shortfall lognormal
    -8.42263
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.96010
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40758
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.87596
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40784
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6806490000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    109829000000000002091303194066944.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 for a one-period unit investment (based on Ex
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -418904000
  • Max Equity Drawdown (num days)
    84
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

This is a trend following strategy based on technical analysis and indicators. We trade only very liquid ETFs and there should be very low slippage problems. System can be traded manually. Most signals will be generated within the last 1 hour before markets close (3 pm-4 pm EST)
Strategy is fully compatible with IRA. Long positions are entered via long ETFs or long Call options. Short positions are opened via inverse ETFs or long Put options. Strategy was designed to work during all types of markets bull/bear/sideways.
We personally trade this strategy in our own IRA accounts but cannot obtain TOS because we have a different brokerage. Disciplined position sizing and strict risk management (stop loss, profit targets) are always in place. To avoid risk and over-leverage, at least 50% of the portfolio will always be in cash.
This strategy can be replicated with an account size of as small as $20k. 2-3 Trades per week should be expected. However, please note that C2 puts second/third entries to the same position as 1 trade so trade number may seem vary. Check autotrade data for accurate trade history.
The objective of the strategy is to get 2%-3% average monthly portfolio growth with minimal risk and drawdown, but, as always, this is a hypothetical goal and nothing can be guaranteed.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2018-03-16
Suggested Minimum Capital
$25,000
# Trades
143
# Profitable
102
% Profitable
71.3%
Net Dividends
$27
Correlation S&P500
0.177
Sharpe Ratio
-0.69
Sortino Ratio
-0.85
Beta
0.10
Alpha
-0.03

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.