Collective2 Collective2
Featured Strategy Cryptoverse +51.0% Annual Return (Compounded) since Jun 13, 2022 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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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 09/21/2020
Most recent certification approved 9/21/20 9:56 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 2,036
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 2,035
Percent signals followed since 09/21/2020 100%
This information was last updated 12/22/24 1:59 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 09/21/2020, 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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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)

Powered by BrokerTransmit.
Read important disclosures.

Created by: PatienceToInvest_com PatienceToInvest_com
Started: 06/2019
Stocks
Last trade: 9 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 $125.00 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.
29.4%
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.

(53.8%)
Max Drawdown
257
Num Trades
43.6%
Win Trades
1.6 : 1
Profit Factor
56.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                   +17.1%(0.6%)+3.4%(7.9%)+1.6%+0.7%+7.2%+21.5%
2020+9.6%+9.4%+30.2%+8.5%(0.7%)+4.3%+15.3%+18.3%(17.6%)+5.8%+20.2%+15.4%+189.5%
2021(1.1%)+7.9%+7.4%+7.1%(6.8%)+2.3%+2.8%+9.1%(12%)+15.2%(0.3%)(2.8%)+29.0%
2022(13.4%)(4%)(2.4%)(14%)(8.4%)(2.1%)(0.4%)(9.2%)+0.7%(0.5%)(0.5%)(6.3%)(47.1%)
2023+6.9%(4.7%)+5.2%+6.5%+9.1%+22.6%+7.3%(7.8%)(9.9%)+1.2%+11.6%+12.2%+72.5%
2024(1.1%)+13.0%+2.2%(17.5%)+8.7%+6.6%+0.1%(2.5%)(7.4%)(9.9%)+15.0%(0.9%)+1.4%

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 2,309 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/26/24 15:47 IBIT ISHARES BITCOIN TRUST LONG 148 52.15 11/27 15:45 55.11 0.05%
Trade id #150189078
Max drawdown($83)
Time11/26/24 15:59
Quant open148
Worst price51.58
Drawdown as % of equity-0.05%
 $435
Includes Typical Broker Commissions trade costs of $2.96
9/3/24 15:49 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 2,973 53.29 11/22 15:17 52.35 4.79%
Trade id #149239044
Max drawdown($6,901)
Time11/6/24 0:00
Quant open713
Worst price43.80
Drawdown as % of equity-4.79%
 ($2,854)
Includes Typical Broker Commissions trade costs of $42.45
11/11/24 15:51 IBIT ISHARES BITCOIN TRUST LONG 286 50.88 11/19 15:45 52.57 0.14%
Trade id #150059415
Max drawdown($209)
Time11/12/24 0:00
Quant open155
Worst price48.52
Drawdown as % of equity-0.14%
 $479
Includes Typical Broker Commissions trade costs of $5.72
10/30/24 15:47 BTGD STKD BITCOIN & GOLD ETF LONG 814 22.31 11/15 15:53 25.88 1.07%
Trade id #149909354
Max drawdown($1,476)
Time11/4/24 0:00
Quant open814
Worst price20.50
Drawdown as % of equity-1.07%
 $2,890
Includes Typical Broker Commissions trade costs of $12.57
11/13/24 15:47 TQQQ PROSHARES ULTRAPRO QQQ LONG 241 82.24 11/15 15:53 75.51 0.79%
Trade id #150080236
Max drawdown($1,210)
Time11/15/24 9:30
Quant open241
Worst price77.22
Drawdown as % of equity-0.79%
 ($1,628)
Includes Typical Broker Commissions trade costs of $4.82
10/25/24 15:47 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,533 76.78 11/11 15:45 77.06 2.2%
Trade id #149844234
Max drawdown($3,205)
Time10/31/24 0:00
Quant open503
Worst price69.43
Drawdown as % of equity-2.20%
 $404
Includes Typical Broker Commissions trade costs of $28.13
11/6/24 15:47 IBIT ISHARES BITCOIN TRUST LONG 171 43.23 11/7 15:45 43.55 0.09%
Trade id #150015697
Max drawdown($129)
Time11/7/24 9:48
Quant open171
Worst price42.47
Drawdown as % of equity-0.09%
 $51
Includes Typical Broker Commissions trade costs of $3.42
7/17/24 15:53 UPRO PROSHARES ULTRAPRO S&P 500 LONG 4,923 79.67 11/7 15:45 81.94 5.18%
Trade id #148674543
Max drawdown($8,718)
Time8/5/24 0:00
Quant open561
Worst price61.71
Drawdown as % of equity-5.18%
 $11,088
Includes Typical Broker Commissions trade costs of $94.36
8/9/24 9:31 BITO PROSHARES BITCOIN STRATEGY ETF LONG 599 19.24 10/30 15:45 20.48 0.09%
Trade id #148875376
Max drawdown($137)
Time9/6/24 0:00
Quant open39
Worst price16.11
Drawdown as % of equity-0.09%
 $733
Includes Typical Broker Commissions trade costs of $8.49
4/11/24 15:53 GLD SPDR GOLD SHARES LONG 336 220.19 10/30 15:45 230.27 0.51%
Trade id #147878688
Max drawdown($838)
Time6/7/24 0:00
Quant open109
Worst price211.54
Drawdown as % of equity-0.51%
 $3,377
Includes Typical Broker Commissions trade costs of $6.72
10/22/24 15:47 TQQQ PROSHARES ULTRAPRO QQQ LONG 262 75.48 10/23 15:45 71.80 0.59%
Trade id #149799119
Max drawdown($860)
Time10/23/24 14:04
Quant open175
Worst price70.56
Drawdown as % of equity-0.59%
 ($970)
Includes Typical Broker Commissions trade costs of $5.24
10/8/24 15:48 TQQQ PROSHARES ULTRAPRO QQQ LONG 495 72.79 10/16 15:45 73.31 0.25%
Trade id #149609619
Max drawdown($360)
Time10/9/24 0:00
Quant open495
Worst price72.06
Drawdown as % of equity-0.25%
 $247
Includes Typical Broker Commissions trade costs of $9.90
10/4/24 15:47 TQQQ PROSHARES ULTRAPRO QQQ LONG 256 71.71 10/7 15:45 69.44 0.36%
Trade id #149583768
Max drawdown($517)
Time10/7/24 14:46
Quant open255
Worst price69.69
Drawdown as % of equity-0.36%
 ($586)
Includes Typical Broker Commissions trade costs of $5.12
9/25/24 15:47 TQQQ PROSHARES ULTRAPRO QQQ LONG 253 71.51 9/27 15:45 71.93 0.02%
Trade id #149507456
Max drawdown($30)
Time9/27/24 14:31
Quant open253
Worst price71.39
Drawdown as % of equity-0.02%
 $101
Includes Typical Broker Commissions trade costs of $5.06
9/10/24 15:47 TQQQ PROSHARES ULTRAPRO QQQ LONG 370 61.43 9/16 15:45 64.19 0.57%
Trade id #149350138
Max drawdown($860)
Time9/11/24 0:00
Quant open291
Worst price57.77
Drawdown as % of equity-0.57%
 $1,015
Includes Typical Broker Commissions trade costs of $7.40
9/4/24 15:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 289 61.59 9/6 15:46 58.55 0.43%
Trade id #149254632
Max drawdown($649)
Time9/6/24 10:40
Quant open194
Worst price58.24
Drawdown as % of equity-0.43%
 ($884)
Includes Typical Broker Commissions trade costs of $5.78
8/14/24 15:48 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,887 30.62 9/3 15:47 24.89 7.35%
Trade id #148919954
Max drawdown($11,045)
Time9/3/24 15:47
Quant open1,887
Worst price24.77
Drawdown as % of equity-7.35%
 ($10,820)
Includes Typical Broker Commissions trade costs of $5.00
11/30/23 15:49 TQQQ PROSHARES ULTRAPRO QQQ LONG 5,174 54.71 9/3/24 15:47 57.61 1.43%
Trade id #146582007
Max drawdown($2,001)
Time12/4/23 0:00
Quant open1,204
Worst price41.73
Drawdown as % of equity-1.43%
 $14,881
Includes Typical Broker Commissions trade costs of $84.79
8/6/24 15:49 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 959 56.94 8/14 15:46 58.33 2.5%
Trade id #148849143
Max drawdown($3,571)
Time8/8/24 0:00
Quant open959
Worst price53.22
Drawdown as % of equity-2.50%
 $1,320
Includes Typical Broker Commissions trade costs of $5.00
8/5/24 15:51 UVIX VS TRUST - 2X LONG VIX FUTURES ETF LONG 1,632 18.80 8/6 15:46 7.98 11.12%
Trade id #148835688
Max drawdown($18,124)
Time8/6/24 13:39
Quant open1,632
Worst price7.69
Drawdown as % of equity-11.12%
 ($17,656)
Includes Typical Broker Commissions trade costs of $9.08
7/18/24 15:57 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 2,060 51.13 8/5 15:46 56.24 1.49%
Trade id #148685133
Max drawdown($2,541)
Time7/24/24 0:00
Quant open868
Worst price47.83
Drawdown as % of equity-1.49%
 $10,488
Includes Typical Broker Commissions trade costs of $22.72
8/2/24 15:48 BITO PROSHARES BITCOIN STRATEGY ETF LONG 609 20.35 8/5 15:46 17.24 1.52%
Trade id #148811993
Max drawdown($2,557)
Time8/5/24 9:30
Quant open609
Worst price16.15
Drawdown as % of equity-1.52%
 ($1,898)
Includes Typical Broker Commissions trade costs of $5.00
10/13/23 15:49 BITO PROSHARES BITCOIN STRATEGY ETF LONG 4,733 20.80 8/1/24 15:51 24.54 0.05%
Trade id #146126899
Max drawdown($90)
Time8/1/24 15:51
Quant open530
Worst price20.63
Drawdown as % of equity-0.05%
 $17,644
Includes Typical Broker Commissions trade costs of $75.73
5/31/24 15:53 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,396 46.08 7/17 15:51 48.01 1.41%
Trade id #148304852
Max drawdown($2,240)
Time6/4/24 0:00
Quant open1,309
Worst price44.28
Drawdown as % of equity-1.41%
 $2,691
Includes Typical Broker Commissions trade costs of $6.10
5/31/24 15:53 UPRO PROSHARES ULTRAPRO S&P 500 LONG 284 69.56 6/4 15:51 70.58 0.07%
Trade id #148304842
Max drawdown($109)
Time6/4/24 12:08
Quant open284
Worst price69.17
Drawdown as % of equity-0.07%
 $285
Includes Typical Broker Commissions trade costs of $5.68
5/29/24 15:53 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 450 44.97 5/31 15:51 46.95 0.02%
Trade id #148282787
Max drawdown($29)
Time5/29/24 15:59
Quant open450
Worst price44.90
Drawdown as % of equity-0.02%
 $882
Includes Typical Broker Commissions trade costs of $9.00
5/24/24 15:53 UPRO PROSHARES ULTRAPRO S&P 500 LONG 291 71.01 5/30 15:51 68.08 0.57%
Trade id #148253969
Max drawdown($908)
Time5/30/24 15:49
Quant open291
Worst price67.89
Drawdown as % of equity-0.57%
 ($858)
Includes Typical Broker Commissions trade costs of $5.82
5/15/24 15:53 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 1,332 46.11 5/29 15:51 44.41 1.84%
Trade id #148178515
Max drawdown($3,020)
Time5/29/24 9:37
Quant open1,332
Worst price43.84
Drawdown as % of equity-1.84%
 ($2,264)
Includes Typical Broker Commissions trade costs of $5.00
3/11/24 15:50 UPRO PROSHARES ULTRAPRO S&P 500 LONG 1,533 63.87 5/23 15:51 66.98 1.53%
Trade id #147595587
Max drawdown($2,279)
Time4/19/24 0:00
Quant open306
Worst price58.74
Drawdown as % of equity-1.53%
 $4,728
Includes Typical Broker Commissions trade costs of $27.25
5/13/24 15:53 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 418 47.33 5/15 15:51 50.05 0.01%
Trade id #148157617
Max drawdown($8)
Time5/13/24 15:56
Quant open418
Worst price47.31
Drawdown as % of equity-0.01%
 $1,127
Includes Typical Broker Commissions trade costs of $8.36
Next

Statistics

  • Strategy began
    6/4/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2027.41
  • Age
    68 months ago
  • What it trades
    Stocks
  • # Trades
    257
  • # Profitable
    112
  • % Profitable
    43.60%
  • Avg trade duration
    34.5 days
  • Max peak-to-valley drawdown
    53.83%
  • drawdown period
    Nov 22, 2021 - Dec 22, 2022
  • Annual Return (Compounded)
    29.4%
  • Avg win
    $2,990
  • Avg loss
    $1,483
  • Model Account Values (Raw)
  • Cash
    $75,072
  • Margin Used
    $0
  • Buying Power
    $84,332
  • Ratios
  • W:L ratio
    1.62:1
  • Sharpe Ratio
    0.84
  • Sortino Ratio
    1.19
  • Calmar Ratio
    0.632
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    208.24%
  • Correlation to SP500
    0.26380
  • Return Percent SP500 (cumu) during strategy life
    111.57%
  • Return Statistics
  • Ann Return (w trading costs)
    29.4%
  • Slump
  • Current Slump as Pcnt Equity
    18.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.56%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    143.940%
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.294%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.99%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    31.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    50.50%
  • Chance of 20% account loss
    22.00%
  • Chance of 30% account loss
    10.50%
  • Chance of 40% account loss
    4.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    862
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    474
  • Popularity (7 days, Percentile 1000 scale)
    636
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $1,483
  • Avg Win
    $2,991
  • Sum Trade PL (losers)
    $215,086.000
  • Age
  • Num Months filled monthly returns table
    67
  • Win / Loss
  • Sum Trade PL (winners)
    $334,977.000
  • # Winners
    112
  • Num Months Winners
    38
  • Dividends
  • Dividends Received in Model Acct
    13059
  • AUM
  • AUM (AutoTrader live capital)
    355038
  • Win / Loss
  • # Losers
    145
  • % Winners
    43.6%
  • Frequency
  • Avg Position Time (mins)
    49712.10
  • Avg Position Time (hrs)
    828.53
  • Avg Trade Length
    34.5 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.45
  • Daily leverage (max)
    3.62
  • Regression
  • Alpha
    0.06
  • Beta
    0.35
  • Treynor Index
    0.22
  • 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)
    -0.11
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.934
  • 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
    0.266
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.205
  • Hold-and-Hope Ratio
    0.295
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28636
  • SD
    0.30650
  • Sharpe ratio (Glass type estimate)
    0.93428
  • Sharpe ratio (Hedges UMVUE)
    0.92345
  • df
    65.00000
  • t
    2.19107
  • p
    0.01602
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.07986
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78178
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.07278
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77413
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.87972
  • Upside Potential Ratio
    3.61866
  • Upside part of mean
    0.55127
  • Downside part of mean
    -0.26491
  • Upside SD
    0.27595
  • Downside SD
    0.15234
  • N nonnegative terms
    35.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    66.00000
  • Mean of predictor
    0.12252
  • Mean of criterion
    0.28636
  • SD of predictor
    0.17523
  • SD of criterion
    0.30650
  • Covariance
    0.01753
  • r
    0.32641
  • b (slope, estimate of beta)
    0.57095
  • a (intercept, estimate of alpha)
    0.21640
  • Mean Square Error
    0.08525
  • DF error
    64.00000
  • t(b)
    2.76263
  • p(b)
    0.00374
  • t(a)
    1.70335
  • p(a)
    0.04668
  • Lowerbound of 95% confidence interval for beta
    0.15808
  • Upperbound of 95% confidence interval for beta
    0.98382
  • Lowerbound of 95% confidence interval for alpha
    -0.03740
  • Upperbound of 95% confidence interval for alpha
    0.47021
  • Treynor index (mean / b)
    0.50155
  • Jensen alpha (a)
    0.21640
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23903
  • SD
    0.29574
  • Sharpe ratio (Glass type estimate)
    0.80825
  • Sharpe ratio (Hedges UMVUE)
    0.79889
  • df
    65.00000
  • t
    1.89552
  • p
    0.03124
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04191
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.65239
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04805
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64583
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.48390
  • Upside Potential Ratio
    3.20209
  • Upside part of mean
    0.51581
  • Downside part of mean
    -0.27677
  • Upside SD
    0.25485
  • Downside SD
    0.16109
  • N nonnegative terms
    35.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    66.00000
  • Mean of predictor
    0.10638
  • Mean of criterion
    0.23903
  • SD of predictor
    0.17753
  • SD of criterion
    0.29574
  • Covariance
    0.01735
  • r
    0.33041
  • b (slope, estimate of beta)
    0.55041
  • a (intercept, estimate of alpha)
    0.18048
  • Mean Square Error
    0.07913
  • DF error
    64.00000
  • t(b)
    2.80053
  • p(b)
    0.00337
  • t(a)
    1.48232
  • p(a)
    0.07158
  • Lowerbound of 95% confidence interval for beta
    0.15778
  • Upperbound of 95% confidence interval for beta
    0.94304
  • Lowerbound of 95% confidence interval for alpha
    -0.06276
  • Upperbound of 95% confidence interval for alpha
    0.42372
  • Treynor index (mean / b)
    0.43428
  • Jensen alpha (a)
    0.18048
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11353
  • Expected Shortfall on VaR
    0.14417
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04903
  • Expected Shortfall on VaR
    0.09543
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    66.00000
  • Minimum
    0.84267
  • Quartile 1
    0.97958
  • Median
    1.01062
  • Quartile 3
    1.07228
  • Maximum
    1.24247
  • Mean of quarter 1
    0.92556
  • Mean of quarter 2
    0.99317
  • Mean of quarter 3
    1.03843
  • Mean of quarter 4
    1.14639
  • Inter Quartile Range
    0.09270
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.04545
  • Mean of outliers high
    1.22464
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.84340
  • VaR(95%) (moments method)
    0.06087
  • Expected Shortfall (moments method)
    0.06742
  • Extreme Value Index (regression method)
    -0.36308
  • VaR(95%) (regression method)
    0.07693
  • Expected Shortfall (regression method)
    0.09549
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.01571
  • Quartile 1
    0.04158
  • Median
    0.07903
  • Quartile 3
    0.09905
  • Maximum
    0.45093
  • Mean of quarter 1
    0.02309
  • Mean of quarter 2
    0.07491
  • Mean of quarter 3
    0.08315
  • Mean of quarter 4
    0.27764
  • Inter Quartile Range
    0.05747
  • 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
    0.16667
  • Mean of outliers high
    0.45093
  • 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)
    0.60751
  • Compounded annual return (geometric extrapolation)
    0.30596
  • Calmar ratio (compounded annual return / max draw down)
    0.67852
  • Compounded annual return / average of 25% largest draw downs
    1.10203
  • Compounded annual return / Expected Shortfall lognormal
    2.12222
  • 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
    0.27556
  • SD
    0.26017
  • Sharpe ratio (Glass type estimate)
    1.05912
  • Sharpe ratio (Hedges UMVUE)
    1.05857
  • df
    1441.00000
  • t
    2.48471
  • p
    0.45845
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.22261
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89528
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22223
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89490
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.49898
  • Upside Potential Ratio
    8.81482
  • Upside part of mean
    1.62042
  • Downside part of mean
    -1.34486
  • Upside SD
    0.18477
  • Downside SD
    0.18383
  • N nonnegative terms
    811.00000
  • N negative terms
    631.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1442.00000
  • Mean of predictor
    0.12974
  • Mean of criterion
    0.27556
  • SD of predictor
    0.20668
  • SD of criterion
    0.26017
  • Covariance
    0.01438
  • r
    0.26733
  • b (slope, estimate of beta)
    0.33652
  • a (intercept, estimate of alpha)
    0.23200
  • Mean Square Error
    0.06290
  • DF error
    1440.00000
  • t(b)
    10.52750
  • p(b)
    0.36634
  • t(a)
    2.16761
  • p(a)
    0.47149
  • Lowerbound of 95% confidence interval for beta
    0.27381
  • Upperbound of 95% confidence interval for beta
    0.39922
  • Lowerbound of 95% confidence interval for alpha
    0.02204
  • Upperbound of 95% confidence interval for alpha
    0.44175
  • Treynor index (mean / b)
    0.81885
  • Jensen alpha (a)
    0.23189
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24149
  • SD
    0.26076
  • Sharpe ratio (Glass type estimate)
    0.92610
  • Sharpe ratio (Hedges UMVUE)
    0.92562
  • df
    1441.00000
  • t
    2.17266
  • p
    0.46364
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.08982
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76207
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08950
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76175
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.28952
  • Upside Potential Ratio
    8.56261
  • Upside part of mean
    1.60352
  • Downside part of mean
    -1.36203
  • Upside SD
    0.18193
  • Downside SD
    0.18727
  • N nonnegative terms
    811.00000
  • N negative terms
    631.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1442.00000
  • Mean of predictor
    0.10825
  • Mean of criterion
    0.24149
  • SD of predictor
    0.20755
  • SD of criterion
    0.26076
  • Covariance
    0.01451
  • r
    0.26813
  • b (slope, estimate of beta)
    0.33686
  • a (intercept, estimate of alpha)
    0.20502
  • Mean Square Error
    0.06315
  • DF error
    1440.00000
  • t(b)
    10.56140
  • p(b)
    0.36594
  • t(a)
    1.91304
  • p(a)
    0.47483
  • Lowerbound of 95% confidence interval for beta
    0.27429
  • Upperbound of 95% confidence interval for beta
    0.39943
  • Lowerbound of 95% confidence interval for alpha
    -0.00521
  • Upperbound of 95% confidence interval for alpha
    0.41525
  • Treynor index (mean / b)
    0.71688
  • Jensen alpha (a)
    0.20502
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02525
  • Expected Shortfall on VaR
    0.03177
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01076
  • Expected Shortfall on VaR
    0.02225
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1442.00000
  • Minimum
    0.93610
  • Quartile 1
    0.99406
  • Median
    1.00135
  • Quartile 3
    1.00940
  • Maximum
    1.09412
  • Mean of quarter 1
    0.98157
  • Mean of quarter 2
    0.99828
  • Mean of quarter 3
    1.00510
  • Mean of quarter 4
    1.01968
  • Inter Quartile Range
    0.01534
  • Number outliers low
    61.00000
  • Percentage of outliers low
    0.04230
  • Mean of outliers low
    0.95760
  • Number of outliers high
    40.00000
  • Percentage of outliers high
    0.02774
  • Mean of outliers high
    1.04217
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25278
  • VaR(95%) (moments method)
    0.01698
  • Expected Shortfall (moments method)
    0.02816
  • Extreme Value Index (regression method)
    -0.00336
  • VaR(95%) (regression method)
    0.01716
  • Expected Shortfall (regression method)
    0.02409
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    51.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00778
  • Median
    0.01972
  • Quartile 3
    0.04493
  • Maximum
    0.48952
  • Mean of quarter 1
    0.00327
  • Mean of quarter 2
    0.01289
  • Mean of quarter 3
    0.03451
  • Mean of quarter 4
    0.14881
  • Inter Quartile Range
    0.03715
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.15686
  • Mean of outliers high
    0.20561
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.32651
  • VaR(95%) (moments method)
    0.13845
  • Expected Shortfall (moments method)
    0.25237
  • Extreme Value Index (regression method)
    0.38789
  • VaR(95%) (regression method)
    0.15240
  • Expected Shortfall (regression method)
    0.29872
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.61863
  • Compounded annual return (geometric extrapolation)
    0.30917
  • Calmar ratio (compounded annual return / max draw down)
    0.63158
  • Compounded annual return / average of 25% largest draw downs
    2.07758
  • Compounded annual return / Expected Shortfall lognormal
    9.73028
  • 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
    -0.17609
  • SD
    0.26871
  • Sharpe ratio (Glass type estimate)
    -0.65529
  • Sharpe ratio (Hedges UMVUE)
    -0.65151
  • df
    130.00000
  • t
    -0.46336
  • p
    0.52030
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.42704
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11886
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.42444
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12143
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.78635
  • Upside Potential Ratio
    6.59429
  • Upside part of mean
    1.47664
  • Downside part of mean
    -1.65273
  • Upside SD
    0.14707
  • Downside SD
    0.22393
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14272
  • Mean of criterion
    -0.17609
  • SD of predictor
    0.14146
  • SD of criterion
    0.26871
  • Covariance
    0.02199
  • r
    0.57859
  • b (slope, estimate of beta)
    1.09908
  • a (intercept, estimate of alpha)
    -0.33295
  • Mean Square Error
    0.04841
  • DF error
    129.00000
  • t(b)
    8.05716
  • p(b)
    0.15339
  • t(a)
    -1.06799
  • p(a)
    0.55951
  • Lowerbound of 95% confidence interval for beta
    0.82919
  • Upperbound of 95% confidence interval for beta
    1.36897
  • Lowerbound of 95% confidence interval for alpha
    -0.94977
  • Upperbound of 95% confidence interval for alpha
    0.28387
  • Treynor index (mean / b)
    -0.16021
  • Jensen alpha (a)
    -0.33295
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.21258
  • SD
    0.27214
  • Sharpe ratio (Glass type estimate)
    -0.78113
  • Sharpe ratio (Hedges UMVUE)
    -0.77661
  • df
    130.00000
  • t
    -0.55234
  • p
    0.52419
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.55311
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99375
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.55003
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99680
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.92845
  • Upside Potential Ratio
    6.40204
  • Upside part of mean
    1.46580
  • Downside part of mean
    -1.67837
  • Upside SD
    0.14576
  • Downside SD
    0.22896
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13271
  • Mean of criterion
    -0.21258
  • SD of predictor
    0.14181
  • SD of criterion
    0.27214
  • Covariance
    0.02219
  • r
    0.57490
  • b (slope, estimate of beta)
    1.10325
  • a (intercept, estimate of alpha)
    -0.35899
  • Mean Square Error
    0.04997
  • DF error
    129.00000
  • t(b)
    7.98017
  • p(b)
    0.15531
  • t(a)
    -1.13370
  • p(a)
    0.56313
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    0.82972
  • Upperbound of 95% confidence interval for beta
    1.37678
  • Lowerbound of 95% confidence interval for alpha
    -0.98550
  • Upperbound of 95% confidence interval for alpha
    0.26752
  • Treynor index (mean / b)
    -0.19268
  • Jensen alpha (a)
    -0.35899
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02806
  • Expected Shortfall on VaR
    0.03485
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01364
  • Expected Shortfall on VaR
    0.02792
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93634
  • Quartile 1
    0.99412
  • Median
    1.00168
  • Quartile 3
    1.01023
  • Maximum
    1.02990
  • Mean of quarter 1
    0.97795
  • Mean of quarter 2
    0.99739
  • Mean of quarter 3
    1.00642
  • Mean of quarter 4
    1.01619
  • Inter Quartile Range
    0.01611
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.94983
  • 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)
    0.15973
  • VaR(95%) (moments method)
    0.01803
  • Expected Shortfall (moments method)
    0.02820
  • Extreme Value Index (regression method)
    -0.08386
  • VaR(95%) (regression method)
    0.02476
  • Expected Shortfall (regression method)
    0.03477
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00380
  • Quartile 1
    0.00737
  • Median
    0.01095
  • Quartile 3
    0.11660
  • Maximum
    0.22225
  • Mean of quarter 1
    0.00380
  • Mean of quarter 2
    0.01095
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.22225
  • Inter Quartile Range
    0.10923
  • 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?
    -413851000
  • Max Equity Drawdown (num days)
    395
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.17640
  • Compounded annual return (geometric extrapolation)
    -0.16862
  • Calmar ratio (compounded annual return / max draw down)
    -0.75869
  • Compounded annual return / average of 25% largest draw downs
    -0.75869
  • Compounded annual return / Expected Shortfall lognormal
    -4.83844

Strategy Description

In addition to this description, you can go to PatienceToInvest.com to see a video describing my investment philosophy. You can also ask questions there anytime.

I believe the logic behind this strategy is very sound. In short, invest in a diversified basket of historically appreciating assets with leverage and use various algorithmic trading signals to reduce leverage at various times in an effort to reduce drawdowns.

I use a mix of short, medium, and long-term signals to algorithmically determine entries and exits. I mostly buy things that have a long-term history of going up in value. On rare occasions like March of 2020, there are certain metrics that can trigger bets on inverse volatility. For example, in March of 2020 I did buy TVIX which has a long-term history of going down in value but does great in times of turmoil.

To be very clear, I expect to have high drawdowns when compared to investing in something like a balanced mutual fund. However, I do not expect to have drawdowns nearly as big as just buying and holding leveraged funds.

I have a Roth IRA at Interactive Brokers and this strategy reads the trades I make in it. For context, I have about 30 years before I plan to use the money in this Roth IRA. Like any REASONABLE investor, I know I won't make money every day, week, month, or year - especially if I want to target HIGH long-term growth - patience is needed! This strategy is very risky and volatile especially on a daily time frame. For example, September 3rd, 2020 it dropped by almost 11% in a single day.

Stops are generally not the primary way the system is designed to exit trades. However, the algorithm places stops with each position. I do this because you just never know what will happen. If price changes way faster than the signals can capture it, I don’t want to hold on to a 3X leveraged ETF during a day where the overall market drops 20% in a single day like it did in 1987! Because I use BrokerTransmit (AKA my strategy literally just copies my real brokerage account) you are not able to see stop orders until they trigger. On your end a stop triggered would just look like a market sell order. If it makes you feel more secure you could certainly instruct C2 to place stops on each position for you. I would not put them too tight though. For example, if you were to use a 1% stop you would probably experience too much whipsaw on these investments. Leveraged ETFs need more space to move when swing trading. Perhaps 10% would work well.

While I hope you follow, please consider the risks and your willingness to remain consistent. By jumping in and out I believe you will decrease your odds of success dramatically. Therefore, I suggest you only follow with money that you will feel comfortable remaining consistent with.

Good luck!
patiencetoinvest.com
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2019-06-04
Suggested Minimum Capital
$15,000
# Trades
257
# Profitable
112
% Profitable
43.6%
Net Dividends
$13,059
Correlation S&P500
0.264
Sharpe Ratio
0.84
Sortino Ratio
1.19
Beta
0.35
Alpha
0.06
Leverage
1.45 Average
3.62 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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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.