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Adaptive Global Macro
(123035684)

Created by: elumna elumna
Started: 03/2019
Stocks
Last trade: 18 days ago
Trading style: Futures Macro / Fundamental

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $100.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Futures
Macro / Fundamental
Category: Equity

Macro / Fundamental

Predicts large-scale events related to national economies, history, and international relations. The strategy typically employs forecasts and analysis of interest rate trends, international trade and payments, political changes, government policies, inter-government relations, and other broad systemic factors.
14.0%
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.

(10.0%)
Max Drawdown
29
Num Trades
51.7%
Win Trades
1.7 : 1
Profit Factor
58.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019              +1.4%(1.2%)+2.8%+7.3%+1.2%+7.1%(2.8%)+1.7%(1%)(0.8%)+16.4%
2020(6.4%)+4.7%                                                            (2.1%)

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 17 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/2/20 15:33 UPV PROSHARES ULTRA FTSE EUROPE LONG 314 56.20 1/31 14:53 51.75 1.16%
Trade id #126839013
Max drawdown($1,282)
Time1/31/20 9:54
Quant open314
Worst price52.12
Drawdown as % of equity-1.16%
($1,403)
Includes Typical Broker Commissions trade costs of $6.28
1/2/20 15:32 UBR PROSHARES ULTRA MSCI BRAZIL LONG 251 94.36 1/31 14:53 76.02 4.12%
Trade id #126838958
Max drawdown($4,504)
Time1/31/20 14:03
Quant open251
Worst price76.41
Drawdown as % of equity-4.12%
($4,608)
Includes Typical Broker Commissions trade costs of $5.02
1/2/20 15:32 EZJ PROSHARES ULTRA MSCI JAPAN LONG 1,049 38.88 1/31 14:53 36.03 1.65%
Trade id #126838951
Max drawdown($1,907)
Time1/27/20 0:00
Quant open1,049
Worst price37.06
Drawdown as % of equity-1.65%
($2,995)
Includes Typical Broker Commissions trade costs of $5.00
1/2/20 15:31 SSO PROSHARES ULTRA S&P500 LONG 55 152.74 1/31 14:53 150.83 0.16%
Trade id #126838945
Max drawdown($185)
Time1/6/20 0:00
Quant open55
Worst price149.37
Drawdown as % of equity-0.16%
($106)
Includes Typical Broker Commissions trade costs of $1.10
11/29/19 11:05 EURL DIREXION DAILY FTSE EUROPE BUL LONG 212 30.43 1/2/20 15:29 34.75 0.31%
Trade id #126420347
Max drawdown($360)
Time12/3/19 0:00
Quant open212
Worst price28.73
Drawdown as % of equity-0.31%
$912
Includes Typical Broker Commissions trade costs of $4.24
11/29/19 11:03 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,237 28.48 1/2/20 15:29 26.72 2.87%
Trade id #126420324
Max drawdown($3,352)
Time12/31/19 0:00
Quant open1,237
Worst price25.77
Drawdown as % of equity-2.87%
($2,182)
Includes Typical Broker Commissions trade costs of $5.00
11/6/19 13:45 TYD DIREXION DAILY 7-10 YR TRSY BU LONG 240 52.79 1/2/20 15:29 51.41 0.42%
Trade id #126097762
Max drawdown($485)
Time12/24/19 0:00
Quant open230
Worst price50.68
Drawdown as % of equity-0.42%
($335)
Includes Typical Broker Commissions trade costs of $4.80
11/1/19 15:20 JPNL DIREXION DAILY JAPAN BULL 3X LONG 349 62.61 1/2/20 15:29 64.41 0.22%
Trade id #126044295
Max drawdown($258)
Time12/3/19 0:00
Quant open209
Worst price61.37
Drawdown as % of equity-0.22%
$622
Includes Typical Broker Commissions trade costs of $6.98
11/1/19 15:10 SPXL DIREXION DAILY S&P500 BULL 3X LONG 500 56.59 1/2/20 15:29 66.00 0.05%
Trade id #126044172
Max drawdown($60)
Time11/1/19 15:26
Quant open500
Worst price56.47
Drawdown as % of equity-0.05%
$4,696
Includes Typical Broker Commissions trade costs of $10.00
11/1/19 15:32 UGLD VELOCITYSHARES 3X LONG GOLD ET LONG 267 141.75 11/29 10:59 126.82 4.31%
Trade id #126044492
Max drawdown($4,950)
Time11/12/19 0:00
Quant open267
Worst price123.21
Drawdown as % of equity-4.31%
($3,991)
Includes Typical Broker Commissions trade costs of $5.34
9/30/19 15:52 UST PROSHARES ULTRA 7-10 YEAR TREA LONG 391 64.78 11/1 15:09 64.47 0.53%
Trade id #125561384
Max drawdown($621)
Time10/28/19 0:00
Quant open391
Worst price63.19
Drawdown as % of equity-0.53%
($127)
Includes Typical Broker Commissions trade costs of $7.82
9/30/19 15:51 UBT PROSHARES ULTRA 20+ YEAR TREAS LONG 285 105.32 11/1 15:09 101.88 2.12%
Trade id #125561352
Max drawdown($2,462)
Time10/28/19 0:00
Quant open285
Worst price96.68
Drawdown as % of equity-2.12%
($986)
Includes Typical Broker Commissions trade costs of $5.70
9/30/19 15:48 URE PROSHARES ULTRA REAL ESTATE LONG 60 87.74 11/1 15:08 87.78 0.19%
Trade id #125561312
Max drawdown($218)
Time10/2/19 0:00
Quant open60
Worst price84.10
Drawdown as % of equity-0.19%
$1
Includes Typical Broker Commissions trade costs of $1.20
9/30/19 15:47 UGL PROSHARES ULTRA GOLD LONG 179 46.95 11/1 15:08 48.98 0.11%
Trade id #125561263
Max drawdown($123)
Time10/1/19 0:00
Quant open179
Worst price46.26
Drawdown as % of equity-0.11%
$359
Includes Typical Broker Commissions trade costs of $3.58
9/30/19 15:43 EZJ PROSHARES ULTRA MSCI JAPAN LONG 1,007 34.60 11/1 15:08 37.48 1.19%
Trade id #125561105
Max drawdown($1,379)
Time10/3/19 0:00
Quant open1,007
Worst price33.23
Drawdown as % of equity-1.19%
$2,895
Includes Typical Broker Commissions trade costs of $5.00
8/30/19 15:35 TYD DIREXION DAILY 7-10 YR TRSY BU LONG 899 56.54 9/30 15:49 53.93 4%
Trade id #125167449
Max drawdown($4,611)
Time9/13/19 0:00
Quant open899
Worst price51.41
Drawdown as % of equity-4.00%
($2,354)
Includes Typical Broker Commissions trade costs of $5.00
8/30/19 15:29 SPXL DIREXION DAILY S&P500 BULL 3X LONG 518 49.59 9/30 15:39 52.29 0.69%
Trade id #125167273
Max drawdown($827)
Time9/3/19 0:00
Quant open518
Worst price47.99
Drawdown as % of equity-0.69%
$1,395
Includes Typical Broker Commissions trade costs of $5.00
8/30/19 15:30 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 713 33.79 9/30 15:38 30.59 4.29%
Trade id #125167318
Max drawdown($4,955)
Time9/13/19 0:00
Quant open713
Worst price26.84
Drawdown as % of equity-4.29%
($2,287)
Includes Typical Broker Commissions trade costs of $5.00
4/30/19 15:48 SSO PROSHARES ULTRA S&P500 LONG 345 114.21 8/30 15:27 124.43 1.78%
Trade id #123482350
Max drawdown($1,839)
Time6/3/19 0:00
Quant open345
Worst price108.88
Drawdown as % of equity-1.78%
$3,519
Includes Typical Broker Commissions trade costs of $6.90
7/31/19 15:45 UST PROSHARES ULTRA 7-10 YEAR TREA LONG 911 61.84 8/30 15:27 66.60 n/a $4,331
Includes Typical Broker Commissions trade costs of $5.00
5/31/19 14:49 UBT PROSHARES ULTRA 20+ YEAR TREAS LONG 835 90.42 8/30 15:27 97.58 2.67%
Trade id #123893585
Max drawdown($2,968)
Time7/11/19 0:00
Quant open835
Worst price86.87
Drawdown as % of equity-2.67%
$5,963
Includes Typical Broker Commissions trade costs of $9.92
5/31/19 14:49 UGL PROSHARES ULTRA GOLD LONG 303 37.74 6/28 14:28 43.73 0.03%
Trade id #123893578
Max drawdown($26)
Time5/31/19 14:49
Quant open303
Worst price37.65
Drawdown as % of equity-0.03%
$1,809
Includes Typical Broker Commissions trade costs of $6.06
3/22/19 15:36 UST PROSHARES ULTRA 7-10 YEAR TREA LONG 1,496 57.89 5/31 14:46 60.63 1.86%
Trade id #123040958
Max drawdown($1,839)
Time4/17/19 9:57
Quant open1,244
Worst price56.49
Drawdown as % of equity-1.86%
$4,092
Includes Typical Broker Commissions trade costs of $10.02
3/22/19 15:38 EFO PROSHARES ULTRA MSCI EAFE LONG 358 36.35 5/31 14:46 36.80 0.3%
Trade id #123040972
Max drawdown($309)
Time5/31/19 10:06
Quant open155
Worst price34.35
Drawdown as % of equity-0.30%
$154
Includes Typical Broker Commissions trade costs of $7.16
3/22/19 15:34 UBT PROSHARES ULTRA 20+ YEAR TREAS LONG 644 80.81 4/30 15:45 81.18 0.99%
Trade id #123040910
Max drawdown($973)
Time4/16/19 15:45
Quant open275
Worst price77.27
Drawdown as % of equity-0.99%
$231
Includes Typical Broker Commissions trade costs of $8.94

Statistics

  • Strategy began
    3/22/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    332.91
  • Age
    11 months ago
  • What it trades
    Stocks
  • # Trades
    29
  • # Profitable
    15
  • % Profitable
    51.70%
  • Avg trade duration
    40.2 days
  • Max peak-to-valley drawdown
    10.02%
  • drawdown period
    Sept 05, 2019 - Feb 04, 2020
  • Cumul. Return
    14.0%
  • Avg win
    $2,465
  • Avg loss
    $1,599
  • Model Account Values (Raw)
  • Cash
    $27,589
  • Margin Used
    $0
  • Buying Power
    $32,435
  • Ratios
  • W:L ratio
    1.72:1
  • Sharpe Ratio
    1.11
  • Sortino Ratio
    1.51
  • Calmar Ratio
    2.006
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -6.74%
  • Correlation to SP500
    0.11010
  • Return Percent SP500 (cumu) during strategy life
    20.69%
  • Return Statistics
  • Ann Return (w trading costs)
    15.3%
  • Slump
  • Current Slump as Pcnt Equity
    0.06%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.50%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.140%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    733
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    751
  • Popularity (7 days, Percentile 1000 scale)
    423
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,599
  • Avg Win
    $2,466
  • Sum Trade PL (losers)
    $22,389.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $36,986.000
  • # Winners
    15
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    707
  • AUM
  • AUM (AutoTrader live capital)
    115148
  • Win / Loss
  • # Losers
    14
  • % Winners
    51.7%
  • Frequency
  • Avg Position Time (mins)
    57951.10
  • Avg Position Time (hrs)
    965.85
  • Avg Trade Length
    40.2 days
  • Last Trade Ago
    18
  • Leverage
  • Daily leverage (average)
    2.11
  • Daily leverage (max)
    3.04
  • Regression
  • Alpha
    0.03
  • Beta
    0.09
  • Treynor Index
    0.40
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    26.44
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    79.87
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.20
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    4.826
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.374
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.460
  • Hold-and-Hope Ratio
    0.227
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10132
  • SD
    0.15773
  • Sharpe ratio (Glass type estimate)
    0.64236
  • Sharpe ratio (Hedges UMVUE)
    0.58704
  • df
    9.00000
  • t
    0.58639
  • p
    0.28601
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.54165
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79205
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.57705
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.75113
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.28005
  • Upside Potential Ratio
    2.93537
  • Upside part of mean
    0.23234
  • Downside part of mean
    -0.13102
  • Upside SD
    0.13031
  • Downside SD
    0.07915
  • N nonnegative terms
    5.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.17429
  • Mean of criterion
    0.10132
  • SD of predictor
    0.10152
  • SD of criterion
    0.15773
  • Covariance
    -0.00250
  • r
    -0.15636
  • b (slope, estimate of beta)
    -0.24293
  • a (intercept, estimate of alpha)
    0.14366
  • Mean Square Error
    0.02730
  • DF error
    8.00000
  • t(b)
    -0.44776
  • p(b)
    0.66690
  • t(a)
    0.70345
  • p(a)
    0.25087
  • Lowerbound of 95% confidence interval for beta
    -1.49408
  • Upperbound of 95% confidence interval for beta
    1.00821
  • Lowerbound of 95% confidence interval for alpha
    -0.32728
  • Upperbound of 95% confidence interval for alpha
    0.61459
  • Treynor index (mean / b)
    -0.41706
  • Jensen alpha (a)
    0.14366
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08982
  • SD
    0.15481
  • Sharpe ratio (Glass type estimate)
    0.58017
  • Sharpe ratio (Hedges UMVUE)
    0.53021
  • df
    9.00000
  • t
    0.52963
  • p
    0.30459
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59861
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.72785
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63075
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.69117
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10396
  • Upside Potential Ratio
    2.75047
  • Upside part of mean
    0.22378
  • Downside part of mean
    -0.13396
  • Upside SD
    0.12499
  • Downside SD
    0.08136
  • N nonnegative terms
    5.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.16808
  • Mean of criterion
    0.08982
  • SD of predictor
    0.10112
  • SD of criterion
    0.15481
  • Covariance
    -0.00262
  • r
    -0.16706
  • b (slope, estimate of beta)
    -0.25577
  • a (intercept, estimate of alpha)
    0.13281
  • Mean Square Error
    0.02621
  • DF error
    8.00000
  • t(b)
    -0.47925
  • p(b)
    0.67771
  • t(a)
    0.66824
  • p(a)
    0.26139
  • Lowerbound of 95% confidence interval for beta
    -1.48648
  • Upperbound of 95% confidence interval for beta
    0.97493
  • Lowerbound of 95% confidence interval for alpha
    -0.32550
  • Upperbound of 95% confidence interval for alpha
    0.59111
  • Treynor index (mean / b)
    -0.35116
  • Jensen alpha (a)
    0.13281
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06389
  • Expected Shortfall on VaR
    0.08109
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02511
  • Expected Shortfall on VaR
    0.04966
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.93702
  • Quartile 1
    0.99338
  • Median
    1.00282
  • Quartile 3
    1.02011
  • Maximum
    1.09317
  • Mean of quarter 1
    0.96737
  • Mean of quarter 2
    1.00017
  • Mean of quarter 3
    1.00610
  • Mean of quarter 4
    1.06435
  • Inter Quartile Range
    0.02673
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.93702
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    1.08444
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.45742
  • VaR(95%) (moments method)
    0.02477
  • Expected Shortfall (moments method)
    0.02480
  • Extreme Value Index (regression method)
    0.02833
  • VaR(95%) (regression method)
    0.07009
  • Expected Shortfall (regression method)
    0.10836
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00849
  • Quartile 1
    0.02725
  • Median
    0.04601
  • Quartile 3
    0.06477
  • Maximum
    0.08353
  • Mean of quarter 1
    0.00849
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08353
  • Inter Quartile Range
    0.03752
  • 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)
    0.12369
  • Compounded annual return (geometric extrapolation)
    0.12494
  • Calmar ratio (compounded annual return / max draw down)
    1.49572
  • Compounded annual return / average of 25% largest draw downs
    1.49572
  • Compounded annual return / Expected Shortfall lognormal
    1.54078
  • 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
    0.14150
  • SD
    0.09944
  • Sharpe ratio (Glass type estimate)
    1.42293
  • Sharpe ratio (Hedges UMVUE)
    1.41823
  • df
    227.00000
  • t
    1.32740
  • p
    0.09286
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68369
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.52650
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68684
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.52330
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95482
  • Upside Potential Ratio
    8.81115
  • Upside part of mean
    0.63779
  • Downside part of mean
    -0.49629
  • Upside SD
    0.06843
  • Downside SD
    0.07238
  • N nonnegative terms
    129.00000
  • N negative terms
    99.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    228.00000
  • Mean of predictor
    0.19581
  • Mean of criterion
    0.14150
  • SD of predictor
    0.12273
  • SD of criterion
    0.09944
  • Covariance
    0.00118
  • r
    0.09658
  • b (slope, estimate of beta)
    0.07826
  • a (intercept, estimate of alpha)
    0.12600
  • Mean Square Error
    0.00984
  • DF error
    226.00000
  • t(b)
    1.45873
  • p(b)
    0.07301
  • t(a)
    1.18084
  • p(a)
    0.11945
  • Lowerbound of 95% confidence interval for beta
    -0.02746
  • Upperbound of 95% confidence interval for beta
    0.18397
  • Lowerbound of 95% confidence interval for alpha
    -0.08438
  • Upperbound of 95% confidence interval for alpha
    0.33673
  • Treynor index (mean / b)
    1.80815
  • Jensen alpha (a)
    0.12618
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13651
  • SD
    0.09966
  • Sharpe ratio (Glass type estimate)
    1.36973
  • Sharpe ratio (Hedges UMVUE)
    1.36520
  • df
    227.00000
  • t
    1.27776
  • p
    0.10132
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73653
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.47307
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73958
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.46997
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.87062
  • Upside Potential Ratio
    8.70694
  • Upside part of mean
    0.63540
  • Downside part of mean
    -0.49889
  • Upside SD
    0.06808
  • Downside SD
    0.07298
  • N nonnegative terms
    129.00000
  • N negative terms
    99.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    228.00000
  • Mean of predictor
    0.18819
  • Mean of criterion
    0.13651
  • SD of predictor
    0.12312
  • SD of criterion
    0.09966
  • Covariance
    0.00119
  • r
    0.09690
  • b (slope, estimate of beta)
    0.07844
  • a (intercept, estimate of alpha)
    0.12175
  • Mean Square Error
    0.00988
  • DF error
    226.00000
  • t(b)
    1.46367
  • p(b)
    0.07234
  • t(a)
    1.13737
  • p(a)
    0.12829
  • Lowerbound of 95% confidence interval for beta
    -0.02716
  • Upperbound of 95% confidence interval for beta
    0.18404
  • Lowerbound of 95% confidence interval for alpha
    -0.08918
  • Upperbound of 95% confidence interval for alpha
    0.33268
  • Treynor index (mean / b)
    1.74029
  • Jensen alpha (a)
    0.12175
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00956
  • Expected Shortfall on VaR
    0.01210
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00392
  • Expected Shortfall on VaR
    0.00833
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    228.00000
  • Minimum
    0.96955
  • Quartile 1
    0.99811
  • Median
    1.00086
  • Quartile 3
    1.00390
  • Maximum
    1.01916
  • Mean of quarter 1
    0.99312
  • Mean of quarter 2
    0.99962
  • Mean of quarter 3
    1.00232
  • Mean of quarter 4
    1.00752
  • Inter Quartile Range
    0.00578
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.03947
  • Mean of outliers low
    0.98251
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.02193
  • Mean of outliers high
    1.01577
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37132
  • VaR(95%) (moments method)
    0.00624
  • Expected Shortfall (moments method)
    0.01197
  • Extreme Value Index (regression method)
    0.19216
  • VaR(95%) (regression method)
    0.00600
  • Expected Shortfall (regression method)
    0.00968
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00016
  • Quartile 1
    0.00155
  • Median
    0.00573
  • Quartile 3
    0.02641
  • Maximum
    0.08907
  • Mean of quarter 1
    0.00091
  • Mean of quarter 2
    0.00473
  • Mean of quarter 3
    0.01795
  • Mean of quarter 4
    0.06456
  • Inter Quartile Range
    0.02486
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.08907
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.76891
  • VaR(95%) (moments method)
    0.06024
  • Expected Shortfall (moments method)
    0.06709
  • Extreme Value Index (regression method)
    0.84533
  • VaR(95%) (regression method)
    0.10769
  • Expected Shortfall (regression method)
    0.67717
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17676
  • Compounded annual return (geometric extrapolation)
    0.17871
  • Calmar ratio (compounded annual return / max draw down)
    2.00627
  • Compounded annual return / average of 25% largest draw downs
    2.76796
  • Compounded annual return / Expected Shortfall lognormal
    14.76540
  • 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
    -0.05908
  • SD
    0.10577
  • Sharpe ratio (Glass type estimate)
    -0.55854
  • Sharpe ratio (Hedges UMVUE)
    -0.55531
  • df
    130.00000
  • t
    -0.39495
  • p
    0.51731
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.33022
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21506
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.32794
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21731
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.68407
  • Upside Potential Ratio
    6.62965
  • Upside part of mean
    0.57257
  • Downside part of mean
    -0.63165
  • Upside SD
    0.06047
  • Downside SD
    0.08636
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26740
  • Mean of criterion
    -0.05908
  • SD of predictor
    0.11677
  • SD of criterion
    0.10577
  • Covariance
    0.00291
  • r
    0.23554
  • b (slope, estimate of beta)
    0.21336
  • a (intercept, estimate of alpha)
    -0.11613
  • Mean Square Error
    0.01065
  • DF error
    129.00000
  • t(b)
    2.75263
  • p(b)
    0.35145
  • t(a)
    -0.78784
  • p(a)
    0.54402
  • Lowerbound of 95% confidence interval for beta
    0.06000
  • Upperbound of 95% confidence interval for beta
    0.36672
  • Lowerbound of 95% confidence interval for alpha
    -0.40778
  • Upperbound of 95% confidence interval for alpha
    0.17551
  • Treynor index (mean / b)
    -0.27690
  • Jensen alpha (a)
    -0.11613
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06466
  • SD
    0.10624
  • Sharpe ratio (Glass type estimate)
    -0.60867
  • Sharpe ratio (Hedges UMVUE)
    -0.60515
  • df
    130.00000
  • t
    -0.43039
  • p
    0.51886
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.38037
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16522
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.37793
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.16764
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.74222
  • Upside Potential Ratio
    6.55048
  • Upside part of mean
    0.57069
  • Downside part of mean
    -0.63536
  • Upside SD
    0.06022
  • Downside SD
    0.08712
  • N nonnegative terms
    72.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26045
  • Mean of criterion
    -0.06466
  • SD of predictor
    0.11714
  • SD of criterion
    0.10624
  • Covariance
    0.00294
  • r
    0.23612
  • b (slope, estimate of beta)
    0.21414
  • a (intercept, estimate of alpha)
    -0.12044
  • Mean Square Error
    0.01074
  • DF error
    129.00000
  • t(b)
    2.75990
  • p(b)
    0.35109
  • t(a)
    -0.81405
  • p(a)
    0.54547
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    0.06063
  • Upperbound of 95% confidence interval for beta
    0.36766
  • Lowerbound of 95% confidence interval for alpha
    -0.41315
  • Upperbound of 95% confidence interval for alpha
    0.17228
  • Treynor index (mean / b)
    -0.30197
  • Jensen alpha (a)
    -0.12044
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01098
  • Expected Shortfall on VaR
    0.01369
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00515
  • Expected Shortfall on VaR
    0.01061
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96955
  • Quartile 1
    0.99709
  • Median
    1.00080
  • Quartile 3
    1.00358
  • Maximum
    1.01478
  • Mean of quarter 1
    0.99137
  • Mean of quarter 2
    0.99935
  • Mean of quarter 3
    1.00213
  • Mean of quarter 4
    1.00674
  • Inter Quartile Range
    0.00649
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98179
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.01425
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15781
  • VaR(95%) (moments method)
    0.00786
  • Expected Shortfall (moments method)
    0.01197
  • Extreme Value Index (regression method)
    0.31494
  • VaR(95%) (regression method)
    0.00837
  • Expected Shortfall (regression method)
    0.01458
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00103
  • Quartile 1
    0.00338
  • Median
    0.00573
  • Quartile 3
    0.04740
  • Maximum
    0.08907
  • Mean of quarter 1
    0.00103
  • Mean of quarter 2
    0.00573
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08907
  • Inter Quartile Range
    0.04402
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -265714000
  • Max Equity Drawdown (num days)
    152
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.03642
  • Compounded annual return (geometric extrapolation)
    -0.03609
  • Calmar ratio (compounded annual return / max draw down)
    -0.40517
  • Compounded annual return / average of 25% largest draw downs
    -0.40517
  • Compounded annual return / Expected Shortfall lognormal
    -2.63662

Strategy Description

CORE PRINCIPLE
The strategy is based on the core idea that capital flows from an asset class to another, and such shifts in capital allocation occur according to the perceived economic conditions. The strategy employs proprietary quantitative tools to detect such shifts in probabilistic terms and creating a portfolio weight scheme that maximize the probability of being allocated in the strong assets in which capital is flowing. This compounds with a rigorous systematic risk management procedure that aims to deliver stable return over time, with little or no correlation to the market.

INVESTMENT PROCEDURE
Phase 1 - Information Processing
After having processed all relevant market informations, the model estimates the probabilities for each asset class to be the most performing.
Phase 2 - Weighting Scheme
A rigorous risk management procedure outputs the weights that maximize the chance of stable growth, given the probabilities estimated in Phase 1.
Phase 3 - Exposure
A self-learning system elaborates the relevant informations to estimate the current market conditions and the probabilities of tail events to unfold in the future. Such probabilities are then assembled into a market risk score, according to which portfolio exposure may be set in a range 0%-200% to improve the performances in
risk-off periods and reduce losses in risk-on phases.

PORTFOLIO MANAGEMENT
Traded Instruments
The model trades asset class ETFs, which include Domestic/International-Developed/Emerging Equities, Government/Corporate-ShortTerm/LongTerm-AAA/BB Bonds, Energy/Agriculture/Raw Materials Commodities, Gold and precious metals, Currencies. To gain exposure grater than 100% levered ETFs may be traded.
Trade Frequency
The average holding period is 1 month, the model trades about 4/5 ETFs per month. During period of extreme volatility holding frequency may shorten, resulting in a faster adapting allocation.

PERFORMANCE
In the backtest period (1985-2018), 91.2% of the trailing 12 month periods exhibited positive cumulative returns, the extent of the worst loss recorded has been 16%, and its length before recovery 17 months.
What you should expect from this strategy: mild losses in the range 4%-11% on average (range of 90% of the historical losses 1985-2018) and fast recovery time (90% of historical losses were recovered within 12 months).
The average historical return has been around 15% p.a., net of trading commissions.
-----------
"Backtesting data is hypothetical and it has not been verified by C2."

Summary Statistics

Strategy began
2019-03-22
Suggested Minimum Capital
$15,000
# Trades
29
# Profitable
15
% Profitable
51.7%
Net Dividends
Correlation S&P500
0.110
Sharpe Ratio
1.11
Sortino Ratio
1.51
Beta
0.09
Alpha
0.03
Leverage
2.11 Average
3.04 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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