Collective2 Collective2
Featured Strategy C2Star App SuperBands +43.2% Cumul. Return since July 5, 2019 Hypothetical

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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 06/01/2019
Most recent certification approved 6/6/19 9:49 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 67%
# trading signals issued by system since certification 134
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 134
Percent signals followed since 06/01/2019 100%
This information was last updated 2/27/20 15:46 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 06/01/2019, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Patience is a Virtue
(123937705)

Created by: InteractiveAssets InteractiveAssets
Started: 06/2019
Stocks
Last trade: 10 days ago
Trading style: Equity Trend-following Sector Rotation

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 $20.00 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.
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
51.1%
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.

(14.2%)
Max Drawdown
17
Num Trades
70.6%
Win Trades
5.9 : 1
Profit Factor
77.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                   +17.4%(0.4%)+3.6%(7.6%)+1.8%+1.0%+7.4%+23.5%
2020+9.9%+11.3%                                                            +22.4%

Model Account Details

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

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

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

Trading Record

This strategy has placed 145 trades in real-life brokerage accounts.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/5/19 15:52 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 659 22.15 8/6 15:48 20.01 2.84%
Trade id #124776054
Max drawdown($1,678)
Time8/5/19 15:52
Quant open659
Worst price19.60
Drawdown as % of equity-2.84%
 ($1,416)
Includes Typical Broker Commissions trade costs of $5.00
6/4/19 15:19 ZIV VELOCITYSHARES DAILY INVERSE V LONG 303 71.84 8/2 15:45 71.93 0.07%
Trade id #123937927
Max drawdown($35)
Time6/4/19 15:19
Quant open234
Worst price71.17
Drawdown as % of equity-0.07%
 $21
Includes Typical Broker Commissions trade costs of $6.06
6/28/19 15:47 TQQQ PROSHARES ULTRAPRO QQQ LONG 512 63.83 7/31 15:50 66.35 0.04%
Trade id #124272063
Max drawdown($21)
Time6/28/19 15:47
Quant open218
Worst price61.27
Drawdown as % of equity-0.04%
 $1,281
Includes Typical Broker Commissions trade costs of $10.24
6/4/19 15:18 UPRO PROSHARES ULTRAPRO S&P500 LONG 267 52.92 6/28 15:45 54.90 0%
Trade id #123937922
Max drawdown($2)
Time6/4/19 15:18
Quant open35
Worst price46.78
Drawdown as % of equity-0.00%
 $522
Includes Typical Broker Commissions trade costs of $5.34
Next

Statistics

  • Strategy began
    6/4/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    268.94
  • Age
    9 months ago
  • What it trades
    Stocks
  • # Trades
    17
  • # Profitable
    12
  • % Profitable
    70.60%
  • Avg trade duration
    97.7 days
  • Max peak-to-valley drawdown
    14.19%
  • drawdown period
    July 10, 2019 - Oct 02, 2019
  • Cumul. Return
    51.1%
  • Avg win
    $685.75
  • Avg loss
    $286.00
  • Model Account Values (Raw)
  • Cash
    $24,265
  • Margin Used
    $0
  • Buying Power
    $49,453
  • Ratios
  • W:L ratio
    5.87:1
  • Sharpe Ratio
    2.26
  • Sortino Ratio
    3.74
  • Calmar Ratio
    5.607
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    47.02%
  • Correlation to SP500
    0.28870
  • Return Percent SP500 (cumu) during strategy life
    6.26%
  • Return Statistics
  • Ann Return (w trading costs)
    74.2%
  • Slump
  • Current Slump as Pcnt Equity
    0.03%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.03%
  • Return Statistics
  • Return Pcnt Since TOS Status
    51.080%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.511%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    76.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    15.50%
  • Chance of 20% account loss
    0.50%
  • 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)
    867
  • Popularity (Last 6 weeks)
    962
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    243
  • Popularity (7 days, Percentile 1000 scale)
    941
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    67%
  • Win / Loss
  • Avg Loss
    $546
  • Avg Win
    $2,160
  • Sum Trade PL (losers)
    $2,183.000
  • AUM
  • AUM (AutoTrader num accounts)
    9
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $28,081.000
  • # Winners
    13
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    83
  • AUM
  • AUM (AutoTrader live capital)
    530393
  • Win / Loss
  • # Losers
    4
  • % Winners
    76.5%
  • Frequency
  • Avg Position Time (mins)
    140626.00
  • Avg Position Time (hrs)
    2343.76
  • Avg Trade Length
    97.7 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.77
  • Daily leverage (max)
    2.34
  • Regression
  • Alpha
    0.12
  • Beta
    0.37
  • Treynor Index
    0.35
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -4540.12
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.210
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.365
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.766
  • Hold-and-Hope Ratio
    2.588
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54464
  • SD
    0.35730
  • Sharpe ratio (Glass type estimate)
    1.52434
  • Sharpe ratio (Hedges UMVUE)
    1.35393
  • df
    7.00000
  • t
    1.24462
  • p
    0.12666
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04855
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.00142
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14911
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.85696
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.83831
  • Upside Potential Ratio
    5.59468
  • Upside part of mean
    0.79387
  • Downside part of mean
    -0.24922
  • Upside SD
    0.34101
  • Downside SD
    0.14190
  • N nonnegative terms
    5.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.24812
  • Mean of criterion
    0.54464
  • SD of predictor
    0.13319
  • SD of criterion
    0.35730
  • Covariance
    0.03575
  • r
    0.75126
  • b (slope, estimate of beta)
    2.01530
  • a (intercept, estimate of alpha)
    0.04460
  • Mean Square Error
    0.06488
  • DF error
    6.00000
  • t(b)
    2.78812
  • p(b)
    0.01583
  • t(a)
    0.12396
  • p(a)
    0.45270
  • Lowerbound of 95% confidence interval for beta
    0.24661
  • Upperbound of 95% confidence interval for beta
    3.78398
  • Lowerbound of 95% confidence interval for alpha
    -0.83590
  • Upperbound of 95% confidence interval for alpha
    0.92511
  • Treynor index (mean / b)
    0.27025
  • Jensen alpha (a)
    0.04460
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48056
  • SD
    0.34116
  • Sharpe ratio (Glass type estimate)
    1.40861
  • Sharpe ratio (Hedges UMVUE)
    1.25113
  • df
    7.00000
  • t
    1.15012
  • p
    0.14393
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.14350
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.87080
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.23718
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.73944
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.22788
  • Upside Potential Ratio
    4.96999
  • Upside part of mean
    0.73991
  • Downside part of mean
    -0.25936
  • Upside SD
    0.31451
  • Downside SD
    0.14888
  • N nonnegative terms
    5.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.23746
  • Mean of criterion
    0.48056
  • SD of predictor
    0.13214
  • SD of criterion
    0.34116
  • Covariance
    0.03339
  • r
    0.74073
  • b (slope, estimate of beta)
    1.91243
  • a (intercept, estimate of alpha)
    0.02642
  • Mean Square Error
    0.06128
  • DF error
    6.00000
  • t(b)
    2.70082
  • p(b)
    0.01777
  • t(a)
    0.07622
  • p(a)
    0.47086
  • Lowerbound of 95% confidence interval for beta
    0.17977
  • Upperbound of 95% confidence interval for beta
    3.64509
  • Lowerbound of 95% confidence interval for alpha
    -0.82191
  • Upperbound of 95% confidence interval for alpha
    0.87476
  • Treynor index (mean / b)
    0.25128
  • Jensen alpha (a)
    0.02642
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11480
  • Expected Shortfall on VaR
    0.14993
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03986
  • Expected Shortfall on VaR
    0.08000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.89564
  • Quartile 1
    0.97844
  • Median
    1.04678
  • Quartile 3
    1.10444
  • Maximum
    1.21295
  • Mean of quarter 1
    0.92827
  • Mean of quarter 2
    1.00173
  • Mean of quarter 3
    1.08304
  • Mean of quarter 4
    1.17782
  • Inter Quartile Range
    0.12599
  • 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
    2.00000
  • Minimum
    0.01571
  • Quartile 1
    0.03787
  • Median
    0.06003
  • Quartile 3
    0.08219
  • Maximum
    0.10436
  • Mean of quarter 1
    0.01571
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.10436
  • Inter Quartile Range
    0.04432
  • 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)
    0.60526
  • Compounded annual return (geometric extrapolation)
    0.66273
  • Calmar ratio (compounded annual return / max draw down)
    6.35067
  • Compounded annual return / average of 25% largest draw downs
    6.35067
  • Compounded annual return / Expected Shortfall lognormal
    4.42023
  • 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
    0.53173
  • SD
    0.17531
  • Sharpe ratio (Glass type estimate)
    3.03313
  • Sharpe ratio (Hedges UMVUE)
    3.02114
  • df
    190.00000
  • t
    2.58975
  • p
    0.40768
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.71360
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.34490
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.70561
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.33668
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.28830
  • Upside Potential Ratio
    13.72990
  • Upside part of mean
    1.38051
  • Downside part of mean
    -0.84879
  • Upside SD
    0.14677
  • Downside SD
    0.10055
  • N nonnegative terms
    109.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    191.00000
  • Mean of predictor
    0.03754
  • Mean of criterion
    0.53173
  • SD of predictor
    0.14221
  • SD of criterion
    0.17531
  • Covariance
    0.00530
  • r
    0.21274
  • b (slope, estimate of beta)
    0.26226
  • a (intercept, estimate of alpha)
    0.52200
  • Mean Square Error
    0.02950
  • DF error
    189.00000
  • t(b)
    2.99324
  • p(b)
    0.36559
  • t(a)
    2.59415
  • p(a)
    0.38264
  • Lowerbound of 95% confidence interval for beta
    0.08943
  • Upperbound of 95% confidence interval for beta
    0.43509
  • Lowerbound of 95% confidence interval for alpha
    0.12504
  • Upperbound of 95% confidence interval for alpha
    0.91873
  • Treynor index (mean / b)
    2.02750
  • Jensen alpha (a)
    0.52189
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51596
  • SD
    0.17456
  • Sharpe ratio (Glass type estimate)
    2.95581
  • Sharpe ratio (Hedges UMVUE)
    2.94413
  • df
    190.00000
  • t
    2.52373
  • p
    0.40995
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.63738
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.26666
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.62960
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.25866
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.09429
  • Upside Potential Ratio
    13.52430
  • Upside part of mean
    1.36976
  • Downside part of mean
    -0.85380
  • Upside SD
    0.14515
  • Downside SD
    0.10128
  • N nonnegative terms
    109.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    191.00000
  • Mean of predictor
    0.02737
  • Mean of criterion
    0.51596
  • SD of predictor
    0.14328
  • SD of criterion
    0.17456
  • Covariance
    0.00531
  • r
    0.21245
  • b (slope, estimate of beta)
    0.25884
  • a (intercept, estimate of alpha)
    0.50887
  • Mean Square Error
    0.02925
  • DF error
    189.00000
  • t(b)
    2.98899
  • p(b)
    0.36577
  • t(a)
    2.54033
  • p(a)
    0.38496
  • Lowerbound of 95% confidence interval for beta
    0.08802
  • Upperbound of 95% confidence interval for beta
    0.42966
  • Lowerbound of 95% confidence interval for alpha
    0.11373
  • Upperbound of 95% confidence interval for alpha
    0.90402
  • Treynor index (mean / b)
    1.99337
  • Jensen alpha (a)
    0.50887
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01565
  • Expected Shortfall on VaR
    0.02006
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00683
  • Expected Shortfall on VaR
    0.01318
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    191.00000
  • Minimum
    0.97885
  • Quartile 1
    0.99483
  • Median
    1.00207
  • Quartile 3
    1.00879
  • Maximum
    1.04736
  • Mean of quarter 1
    0.98889
  • Mean of quarter 2
    0.99872
  • Mean of quarter 3
    1.00517
  • Mean of quarter 4
    1.01582
  • Inter Quartile Range
    0.01396
  • 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
    0.01047
  • Mean of outliers high
    1.04141
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.24846
  • VaR(95%) (moments method)
    0.01106
  • Expected Shortfall (moments method)
    0.01346
  • Extreme Value Index (regression method)
    -0.44458
  • VaR(95%) (regression method)
    0.01182
  • Expected Shortfall (regression method)
    0.01378
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00089
  • Quartile 1
    0.00504
  • Median
    0.00909
  • Quartile 3
    0.02331
  • Maximum
    0.12888
  • Mean of quarter 1
    0.00181
  • Mean of quarter 2
    0.00668
  • Mean of quarter 3
    0.01589
  • Mean of quarter 4
    0.06882
  • Inter Quartile Range
    0.01827
  • 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
    0.08333
  • Mean of outliers high
    0.12888
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.52178
  • VaR(95%) (moments method)
    0.06883
  • Expected Shortfall (moments method)
    0.08430
  • Extreme Value Index (regression method)
    1.10367
  • VaR(95%) (regression method)
    0.12529
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.66746
  • Compounded annual return (geometric extrapolation)
    0.72265
  • Calmar ratio (compounded annual return / max draw down)
    5.60694
  • Compounded annual return / average of 25% largest draw downs
    10.50040
  • Compounded annual return / Expected Shortfall lognormal
    36.01850
  • 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
    0.40087
  • SD
    0.16501
  • Sharpe ratio (Glass type estimate)
    2.42936
  • Sharpe ratio (Hedges UMVUE)
    2.41532
  • df
    130.00000
  • t
    1.71782
  • p
    0.42551
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.36262
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.21224
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37199
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.20263
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.95118
  • Upside Potential Ratio
    12.35100
  • Upside part of mean
    1.25308
  • Downside part of mean
    -0.85221
  • Upside SD
    0.13168
  • Downside SD
    0.10146
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.01570
  • Mean of criterion
    0.40087
  • SD of predictor
    0.13736
  • SD of criterion
    0.16501
  • Covariance
    0.00671
  • r
    0.29625
  • b (slope, estimate of beta)
    0.35589
  • a (intercept, estimate of alpha)
    0.39528
  • Mean Square Error
    0.02503
  • DF error
    129.00000
  • t(b)
    3.52285
  • p(b)
    0.31420
  • t(a)
    1.76660
  • p(a)
    0.40254
  • Lowerbound of 95% confidence interval for beta
    0.15601
  • Upperbound of 95% confidence interval for beta
    0.55576
  • Lowerbound of 95% confidence interval for alpha
    -0.04742
  • Upperbound of 95% confidence interval for alpha
    0.83798
  • Treynor index (mean / b)
    1.12639
  • Jensen alpha (a)
    0.39528
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38707
  • SD
    0.16462
  • Sharpe ratio (Glass type estimate)
    2.35132
  • Sharpe ratio (Hedges UMVUE)
    2.33773
  • df
    130.00000
  • t
    1.66263
  • p
    0.42785
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43955
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.13334
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44860
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.12406
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.78750
  • Upside Potential Ratio
    12.17640
  • Upside part of mean
    1.24438
  • Downside part of mean
    -0.85732
  • Upside SD
    0.13046
  • Downside SD
    0.10220
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.00623
  • Mean of criterion
    0.38707
  • SD of predictor
    0.13857
  • SD of criterion
    0.16462
  • Covariance
    0.00674
  • r
    0.29549
  • b (slope, estimate of beta)
    0.35103
  • a (intercept, estimate of alpha)
    0.38488
  • Mean Square Error
    0.02492
  • DF error
    129.00000
  • t(b)
    3.51297
  • p(b)
    0.31466
  • t(a)
    1.72384
  • p(a)
    0.40483
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    0.15333
  • Upperbound of 95% confidence interval for beta
    0.54873
  • Lowerbound of 95% confidence interval for alpha
    -0.05686
  • Upperbound of 95% confidence interval for alpha
    0.82662
  • Treynor index (mean / b)
    1.10267
  • Jensen alpha (a)
    0.38488
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01514
  • Expected Shortfall on VaR
    0.01930
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00683
  • Expected Shortfall on VaR
    0.01324
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97885
  • Quartile 1
    0.99481
  • Median
    1.00190
  • Quartile 3
    1.00799
  • Maximum
    1.03547
  • Mean of quarter 1
    0.98873
  • Mean of quarter 2
    0.99881
  • Mean of quarter 3
    1.00478
  • Mean of quarter 4
    1.01432
  • Inter Quartile Range
    0.01318
  • 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
    0.00763
  • Mean of outliers high
    1.03547
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.39647
  • VaR(95%) (moments method)
    0.01129
  • Expected Shortfall (moments method)
    0.01326
  • Extreme Value Index (regression method)
    -0.48661
  • VaR(95%) (regression method)
    0.01328
  • Expected Shortfall (regression method)
    0.01551
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00055
  • Quartile 1
    0.00596
  • Median
    0.01072
  • Quartile 3
    0.01997
  • Maximum
    0.11657
  • Mean of quarter 1
    0.00245
  • Mean of quarter 2
    0.00699
  • Mean of quarter 3
    0.01482
  • Mean of quarter 4
    0.06201
  • Inter Quartile Range
    0.01401
  • 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
    0.20000
  • Mean of outliers high
    0.08237
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.30259
  • VaR(95%) (moments method)
    0.05812
  • Expected Shortfall (moments method)
    0.05922
  • Extreme Value Index (regression method)
    0.34601
  • VaR(95%) (regression method)
    0.12920
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.25781
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -262973000
  • Max Equity Drawdown (num days)
    84
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.46116
  • Compounded annual return (geometric extrapolation)
    0.51433
  • Calmar ratio (compounded annual return / max draw down)
    4.41223
  • Compounded annual return / average of 25% largest draw downs
    8.29464
  • Compounded annual return / Expected Shortfall lognormal
    26.64280

Strategy Description

I am not an expert. I work in a field completely separate from finance but consider trading my second job. I have been quite active in my investments over the past 5 years, with little financial or emotional benefit. Looking back, had I simply put all my savings into a low cost index fund such as VTI I would have done much better over this period. Hindsight is 20/20 though. Fortunately, I believe I learned lessons that will help me reap great benefits in the future. Plus I learned these lessons while fresh out of college and with small amounts of money. Only now am I getting to the point that I have a significant amount of money to invest.

For this strategy, which is a blend of many, I have created a Google sheet that automatically sends orders to Collective2 once a day at about 15 minutes before close. I have connected margin and IRA accounts of my own so that they auto trade this strategy with the full balance of the accounts. These accounts make up about 65% of my net worth at the moment. I monitor the Google sheet and my Collective2 account as frequently as possible to prevent any errors, but I know they are still possible. For example, Google finance could provide bad data, C2 could go down, the Google system could have a problem etc.. Every day I have have alarms set on my phone and watch to remind me to quickly log into my Interactive Brokers app and Google Sheet 10 minutes before market close to make sure that my accounts are in sync and in appropriate positions based on my algorithm. If it didn't do it correctly I would quickly jump on the C2 WebTrader to adjust positions.

Despite these safeguards, there are still many ways in which things could go wrong, and I may not be able to check and fix it before market close. Therefore, I have decided to limit the percent of my net worth I will tie directly to this system. Any new savings from my job or other income, now get managed using ThinkorSwim, which allow me to make a similar automated strategy using their software.

Though I have done a lot to make sure the order entry system runs smoothly, there is no guarantee it will go smoothly. With all that being said let me cover some basic points about the investing philosophy of this strategy.

1. Certain asset classes tend to go up overtime.
2. Investing in those asset classes with cheap leverage tends to produce higher total returns.
3. Asset diversification is even more important than normal when leverage is present to moderate drawdowns.
4. Multi-decade backtested indicators can help reduce drawdowns and improve returns.
5. Tight stops hinder results. Stops should be used but loose enough to only trigger during flashcrashes like that of 1987.
6. Losses should have absolute caps. Trades that using margin or futures can cause losses greater than the original cost basis and should not be used.
7. Trading should be kept to a minimum when possible to reduce costs and whipsaw.
8. To improve my odds of success in the long term I very rarely buy assets that don't have a long term history of appreciating. As of right now the only asset I buy that I would consider depreciating is TVIX, which I very rarely buy as a hedge during tumultuous times.
9. Patience is crucial to success. Large wins can come after long periods of low or negative growth.
10. Drawdowns are a necessary occurrence of realistic investment strategies. I highly expect to have a drawdown of at the least 35% at some point in the future. You should seriously consider this before subscribing.
11. Joining trades in progress is the best option. If I knew it wasn't a good time to buy, I wouldn't hold those positions.
12. For several reasons including privacy I often hold several positions with just 1 share. I do apologize if you find that annoying but it solves several problems for me.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2019-06-04
Suggested Minimum Capital
$15,000
# Trades
17
# Profitable
12
% Profitable
70.6%
Net Dividends
$83
Correlation S&P500
0.289
Sharpe Ratio
2.26
Sortino Ratio
3.74
Beta
0.37
Alpha
0.12
Leverage
1.77 Average
2.34 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

#PERSONNAME#
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.