This system has earned TradesOwnStrategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a reallife, funded brokerage account.
TradesOwnStrategy (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
198
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account
198
Percent signals followed since 06/01/2019
100%
This information was last updated
5/26/20 15:59 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife 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
underor overcompensated 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)
This system has earned TradesOwnStrategy (TOS) Certification. This means that the manager of this system trades his own strategy in a reallife, funded brokerage account.
TradesOwnStrategy (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  198 
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account  198 
Percent signals followed since 06/01/2019  100% 
This information was last updated  5/26/20 15:59 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife 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 underor overcompensated 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.
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.
Trendfollowing
Tries to take advantage of long, medium or shortterm moves that seem to play out in various markets. Typically, trendfollowing analysis is backward looking; that is, it attempts to recognize and profit from alreadyestablished trends.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.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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2019  +17.2%  (0.6%)  +3.4%  (7.8%)  +1.6%  +0.8%  +7.3%  +22.0%  
2020  +9.7%  +9.3%  +30.1%  +8.5%  (2.1%)  +65.8% 
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.
Started  $50,000  
Buy Power  $64,324  
Cash  $1  
Equity  $1  
Cumulative $  $52,949  
Includes dividends and cashsettled expirations:  $168  Itemized 
Total System Equity  $102,949  
Margined  $1  
Open P/L  $31,094  
Data has been delayed by 168 hours for nonsubscribers 
System developer has asked us to delay this information by 168 hours.
Trading Record
Statistics

Strategy began6/4/2019

Suggested Minimum Cap$15,000

Strategy Age (days)358.5

Age12 months ago

What it tradesStocks

# Trades21

# Profitable15

% Profitable71.40%

Avg trade duration107.0 days

Max peaktovalley drawdown19.62%

drawdown periodMarch 09, 2020  March 13, 2020

Cumul. Return102.3%

Avg win$2,337

Avg loss$545.00
 Model Account Values (Raw)

Cash$36,306

Margin Used$0

Buying Power$64,324
 Ratios

W:L ratio10.82:1

Sharpe Ratio2.26

Sortino Ratio4.12

Calmar Ratio7.284
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)93.95%

Correlation to SP5000.18300

Return Percent SP500 (cumu) during strategy life8.31%
 Return Statistics

Ann Return (w trading costs)103.6%
 Slump

Current Slump as Pcnt Equity0.06%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.06%
 Return Statistics

Return Pcnt Since TOS Status105.560%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)1.023%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)108.2%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss15.50%

Chance of 20% account loss0.50%

Chance of 30% account lossn/a

Chance of 40% account lossn/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 Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 90% account loss (Monte Carlo)n/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)888

Popularity (Last 6 weeks)991
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score921

Popularity (7 days, Percentile 1000 scale)963
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent67%
 Win / Loss

Avg Loss$545

Avg Win$3,737

Sum Trade PL (losers)$3,270.000
 AUM

AUM (AutoTrader num accounts)15
 Age

Num Months filled monthly returns table12
 Win / Loss

Sum Trade PL (winners)$56,050.000

# Winners15

Num Months Winners9
 Dividends

Dividends Received in Model Acct169
 AUM

AUM (AutoTrader live capital)1540490
 Win / Loss

# Losers6

% Winners71.4%
 Frequency

Avg Position Time (mins)154014.00

Avg Position Time (hrs)2566.90

Avg Trade Length107.0 days

Last Trade Ago0
 Leverage

Daily leverage (average)1.65

Daily leverage (max)2.34
 Regression

Alpha0.21

Beta0.15

Treynor Index1.34
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)5.18

MAE:Equity, average, winning trades0.01

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  All trades0.738

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 strat0.02

Avg(MAE) / Avg(PL)  Winning trades0.418

Avg(MAE) / Avg(PL)  Losing trades2.640

HoldandHope Ratio2.320
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.88335

SD0.36620

Sharpe ratio (Glass type estimate)2.41223

Sharpe ratio (Hedges UMVUE)2.22587

df10.00000

t2.30953

p0.02177

Lowerbound of 95% confidence interval for Sharpe Ratio0.06758

Upperbound of 95% confidence interval for Sharpe Ratio4.66273

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.04179

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.49354
 Statistics related to Sortino ratio

Sortino ratio7.29981

Upside Potential Ratio8.79765

Upside part of mean1.06460

Downside part of mean0.18125

Upside SD0.41508

Downside SD0.12101

N nonnegative terms8.00000

N negative terms3.00000
 Statistics related to linear regression on benchmark

N of observations11.00000

Mean of predictor0.03381

Mean of criterion0.88335

SD of predictor0.25533

SD of criterion0.36620

Covariance0.01751

r0.18725

b (slope, estimate of beta)0.26855

a (intercept, estimate of alpha)0.89243

Mean Square Error0.14377

DF error9.00000

t(b)0.57186

p(b)0.70929

t(a)2.25159

p(a)0.02544

Lowerbound of 95% confidence interval for beta1.33089

Upperbound of 95% confidence interval for beta0.79378

Lowerbound of 95% confidence interval for alpha0.00419

Upperbound of 95% confidence interval for alpha1.78905

Treynor index (mean / b)3.28931

Jensen alpha (a)0.89243
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.79687

SD0.34491

Sharpe ratio (Glass type estimate)2.31036

Sharpe ratio (Hedges UMVUE)2.13188

df10.00000

t2.21201

p0.02569

Lowerbound of 95% confidence interval for Sharpe Ratio0.01336

Upperbound of 95% confidence interval for Sharpe Ratio4.54240

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.11837

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.38213
 Statistics related to Sortino ratio

Sortino ratio6.27639

Upside Potential Ratio7.76207

Upside part of mean0.98549

Downside part of mean0.18862

Upside SD0.38072

Downside SD0.12696

N nonnegative terms8.00000

N negative terms3.00000
 Statistics related to linear regression on benchmark

N of observations11.00000

Mean of predictor0.00200

Mean of criterion0.79687

SD of predictor0.26929

SD of criterion0.34491

Covariance0.01760

r0.18944

b (slope, estimate of beta)0.24263

a (intercept, estimate of alpha)0.79735

Mean Square Error0.12744

DF error9.00000

t(b)0.57880

p(b)0.71154

t(a)2.13849

p(a)0.03059

Lowerbound of 95% confidence interval for beta1.19093

Upperbound of 95% confidence interval for beta0.70567

Lowerbound of 95% confidence interval for alpha0.04611

Upperbound of 95% confidence interval for alpha1.64081

Treynor index (mean / b)3.28424

Jensen alpha (a)0.79735
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.09278

Expected Shortfall on VaR0.12916
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02223

Expected Shortfall on VaR0.05126
 ORDER STATISTICS
 Quartiles of return rates

Number of observations11.00000

Minimum0.89564

Quartile 11.00173

Median1.07439

Quartile 31.15996

Maximum1.21850

Mean of quarter 10.94695

Mean of quarter 21.05049

Mean of quarter 31.11719

Mean of quarter 41.20289

Inter Quartile Range0.15823

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)2.18004

VaR(95%) (moments method)0.04593

Expected Shortfall (moments method)0.04725

Extreme Value Index (regression method)0.48036

VaR(95%) (regression method)0.10920

Expected Shortfall (regression method)0.26971
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.01571

Quartile 10.03787

Median0.06003

Quartile 30.08219

Maximum0.10436

Mean of quarter 10.01571

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.10436

Inter Quartile Range0.04432

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)1.23254

Compounded annual return (geometric extrapolation)1.28136

Calmar ratio (compounded annual return / max draw down)12.27870

Compounded annual return / average of 25% largest draw downs12.27870

Compounded annual return / Expected Shortfall lognormal9.92055

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.74680

SD0.25777

Sharpe ratio (Glass type estimate)2.89720

Sharpe ratio (Hedges UMVUE)2.88864

df254.00000

t2.85823

p0.00231

Lowerbound of 95% confidence interval for Sharpe Ratio0.89186

Upperbound of 95% confidence interval for Sharpe Ratio4.89698

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.88614

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.89114
 Statistics related to Sortino ratio

Sortino ratio5.27681

Upside Potential Ratio12.78410

Upside part of mean1.80927

Downside part of mean1.06247

Upside SD0.21973

Downside SD0.14153

N nonnegative terms145.00000

N negative terms110.00000
 Statistics related to linear regression on benchmark

N of observations255.00000

Mean of predictor0.10892

Mean of criterion0.74680

SD of predictor0.33031

SD of criterion0.25777

Covariance0.01462

r0.17175

b (slope, estimate of beta)0.13403

a (intercept, estimate of alpha)0.76100

Mean Square Error0.06474

DF error253.00000

t(b)2.77299

p(b)0.99702

t(a)2.95162

p(a)0.00173

Lowerbound of 95% confidence interval for beta0.22922

Upperbound of 95% confidence interval for beta0.03884

Lowerbound of 95% confidence interval for alpha0.25338

Upperbound of 95% confidence interval for alpha1.26942

Treynor index (mean / b)5.57195

Jensen alpha (a)0.76140
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.71308

SD0.25517

Sharpe ratio (Glass type estimate)2.79451

Sharpe ratio (Hedges UMVUE)2.78625

df254.00000

t2.75692

p0.00313

Lowerbound of 95% confidence interval for Sharpe Ratio0.79033

Upperbound of 95% confidence interval for Sharpe Ratio4.79331

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.78485

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.78765
 Statistics related to Sortino ratio

Sortino ratio4.96595

Upside Potential Ratio12.43530

Upside part of mean1.78564

Downside part of mean1.07256

Upside SD0.21489

Downside SD0.14359

N nonnegative terms145.00000

N negative terms110.00000
 Statistics related to linear regression on benchmark

N of observations255.00000

Mean of predictor0.05408

Mean of criterion0.71308

SD of predictor0.33265

SD of criterion0.25517

Covariance0.01435

r0.16901

b (slope, estimate of beta)0.12964

a (intercept, estimate of alpha)0.72009

Mean Square Error0.06350

DF error253.00000

t(b)2.72745

p(b)0.99659

t(a)2.81895

p(a)0.00260

Lowerbound of 95% confidence interval for beta0.22325

Upperbound of 95% confidence interval for beta0.03603

Lowerbound of 95% confidence interval for alpha0.21702

Upperbound of 95% confidence interval for alpha1.22317

Treynor index (mean / b)5.50040

Jensen alpha (a)0.72009
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02294

Expected Shortfall on VaR0.02934
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00844

Expected Shortfall on VaR0.01731
 ORDER STATISTICS
 Quartiles of return rates

Number of observations255.00000

Minimum0.95042

Quartile 10.99460

Median1.00219

Quartile 31.00982

Maximum1.09412

Mean of quarter 10.98581

Mean of quarter 20.99856

Mean of quarter 31.00567

Mean of quarter 41.02183

Inter Quartile Range0.01521

Number outliers low5.00000

Percentage of outliers low0.01961

Mean of outliers low0.95807

Number of outliers high10.00000

Percentage of outliers high0.03922

Mean of outliers high1.05093
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.22456

VaR(95%) (moments method)0.01387

Expected Shortfall (moments method)0.02191

Extreme Value Index (regression method)0.07162

VaR(95%) (regression method)0.01424

Expected Shortfall (regression method)0.02044
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations21.00000

Minimum0.00089

Quartile 10.00628

Median0.01445

Quartile 30.03740

Maximum0.15074

Mean of quarter 10.00374

Mean of quarter 20.00979

Mean of quarter 30.02477

Mean of quarter 40.08630

Inter Quartile Range0.03112

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.09524

Mean of outliers high0.13981
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.22167

VaR(95%) (moments method)0.08664

Expected Shortfall (moments method)0.13460

Extreme Value Index (regression method)0.18686

VaR(95%) (regression method)0.09159

Expected Shortfall (regression method)0.13742
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.08590

Compounded annual return (geometric extrapolation)1.09801

Calmar ratio (compounded annual return / max draw down)7.28438

Compounded annual return / average of 25% largest draw downs12.72390

Compounded annual return / Expected Shortfall lognormal37.42350

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

Mean1.22713

SD0.31249

Sharpe ratio (Glass type estimate)3.92688

Sharpe ratio (Hedges UMVUE)3.90418

df130.00000

t2.77672

p0.38169

Lowerbound of 95% confidence interval for Sharpe Ratio1.10705

Upperbound of 95% confidence interval for Sharpe Ratio6.73213

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.09204

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.71631
 Statistics related to Sortino ratio

Sortino ratio7.32841

Upside Potential Ratio14.09500

Upside part of mean2.36018

Downside part of mean1.13305

Upside SD0.27316

Downside SD0.16745

N nonnegative terms84.00000

N negative terms47.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.00768

Mean of criterion1.22713

SD of predictor0.44428

SD of criterion0.31249

Covariance0.03274

r0.23581

b (slope, estimate of beta)0.16587

a (intercept, estimate of alpha)1.22840

Mean Square Error0.09294

DF error129.00000

t(b)2.75604

p(b)0.64872

t(a)2.84924

p(a)0.34664

Lowerbound of 95% confidence interval for beta0.28494

Upperbound of 95% confidence interval for beta0.04679

Lowerbound of 95% confidence interval for alpha0.37539

Upperbound of 95% confidence interval for alpha2.08141

Treynor index (mean / b)7.39832

Jensen alpha (a)1.22840
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.17657

SD0.30896

Sharpe ratio (Glass type estimate)3.80820

Sharpe ratio (Hedges UMVUE)3.78619

df130.00000

t2.69281

p0.38507

Lowerbound of 95% confidence interval for Sharpe Ratio0.99104

Upperbound of 95% confidence interval for Sharpe Ratio6.61130

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.97644

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.59594
 Statistics related to Sortino ratio

Sortino ratio6.90577

Upside Potential Ratio13.63960

Upside part of mean2.32384

Downside part of mean1.14727

Upside SD0.26642

Downside SD0.17037

N nonnegative terms84.00000

N negative terms47.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.09113

Mean of criterion1.17657

SD of predictor0.44746

SD of criterion0.30896

Covariance0.03204

r0.23180

b (slope, estimate of beta)0.16005

a (intercept, estimate of alpha)1.16198

Mean Square Error0.09103

DF error129.00000

t(b)2.70641

p(b)0.64623

t(a)2.72313

p(a)0.35293

VAR (95 Confidence Intrvl)0.02300

Lowerbound of 95% confidence interval for beta0.27705

Upperbound of 95% confidence interval for beta0.04304

Lowerbound of 95% confidence interval for alpha0.31773

Upperbound of 95% confidence interval for alpha2.00624

Treynor index (mean / b)7.35140

Jensen alpha (a)1.16198
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02655

Expected Shortfall on VaR0.03426
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00781

Expected Shortfall on VaR0.01721
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.95042

Quartile 10.99564

Median1.00399

Quartile 31.01169

Maximum1.09412

Mean of quarter 10.98372

Mean of quarter 21.00046

Mean of quarter 31.00782

Mean of quarter 41.02726

Inter Quartile Range0.01605

Number outliers low5.00000

Percentage of outliers low0.03817

Mean of outliers low0.95807

Number of outliers high7.00000

Percentage of outliers high0.05344

Mean of outliers high1.05637
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.38660

VaR(95%) (moments method)0.01537

Expected Shortfall (moments method)0.02989

Extreme Value Index (regression method)0.11596

VaR(95%) (regression method)0.01550

Expected Shortfall (regression method)0.02374
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations18.00000

Minimum0.00013

Quartile 10.00636

Median0.01526

Quartile 30.03727

Maximum0.15074

Mean of quarter 10.00246

Mean of quarter 20.00965

Mean of quarter 30.02348

Mean of quarter 40.06800

Inter Quartile Range0.03091

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.05556

Mean of outliers high0.15074
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.35378

VaR(95%) (moments method)0.07953

Expected Shortfall (moments method)0.13578

Extreme Value Index (regression method)0.98880

VaR(95%) (regression method)0.08419

Last 4 Months  Pcnt Negative0.25%

Expected Shortfall (regression method)5.20642

Strat Max DD how much worse than SP500 max DD during strat life?251216000

Max Equity Drawdown (num days)4
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.65240

Compounded annual return (geometric extrapolation)2.33501

Calmar ratio (compounded annual return / max draw down)15.49090

Compounded annual return / average of 25% largest draw downs34.33960

Compounded annual return / Expected Shortfall lognormal68.16450
Strategy Description
I am not an expert and work in a field separate from finance. However, I consider trading my second job. I have been very active in my investments over the past 5 years, with little financial or emotional benefit. Looking back, had I put all my savings into a lowcost index fund such as VTI I would have done much better over this period. Hindsight is 20/20. Fortunately, I believe I learned lessons that will help me reap great benefits in the future. Also, I learned these lessons while fresh out of college while investing small amounts of money. Only around the time I started this strategy did I have a significant amount of money to invest.
Patience is a Virtue is a blend of many different strategies I have come up with. To manage it I created a Google sheet that automatically sends orders to Collective2 once a day at about 15 minutes before close. I have connected my margin account and the Roth IRA accounts for my wife and myself so that they auto trade this strategy with the full balance of the accounts. These accounts make up about 71% of my net worth now. I monitor the Google sheet and my Collective2 account as frequently as possible to prevent any errors, but I know they are still possible. Every weekday I have alarms set on my phone and wrist 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 did not 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 markets 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. Here are 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. Multidecade backtested indicators can help reduce drawdowns, improve returns, and reduce leverage decay.
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 longterm 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.
13. For an overview of my thoughts on potential (not guaranteed or verified) future returns please see the post in the forums here: https://forums.collective2.com/t/patienceisavirtue/13676/72
14. Never FOMO into a strategy. Join a strategy that has a solid trading philosophy that makes sense, low leverage use, and a good track record.
15. There are currently no discounts or special offers. Please see this post for why https://forums.collective2.com/t/patienceisavirtue/13676/74
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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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