Collective2 Collective2
Featured Strategy Quant AI pro +16.8% Cumul. Return since Dec 2, 2024 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 09/26/2019
Most recent certification approved 9/27/19 15:59 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 10%
# trading signals issued by system since certification 283
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 278
Percent signals followed since 09/26/2019 98.2%
This information was last updated 12/3/24 10:25 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 09/26/2019, 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. 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.

SPODD500
(124270346)

Created by: ArbiTomsen ArbiTomsen
Started: 06/2019
Stocks
Last trade: 999 days ago
Trading style: Equity Trend-following

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $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.
-2.3%
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.

(41.7%)
Max Drawdown
157
Num Trades
58.0%
Win Trades
1.0 : 1
Profit Factor
29.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                   (0.3%)+2.3%+4.8%+4.0%+2.3%+4.3%+5.7%+25.2%
2020(0.6%)+6.3%(8.1%)+2.1%(4.7%)+1.5%(0.7%)(1.1%)(1.7%)+0.8%+6.6%  -  (0.4%)
2021+0.5%+3.7%+0.5%+3.0%(8.2%)(4.1%)+0.9%(4.6%)(7.9%)+1.2%+3.0%+8.5%(4.6%)
2022(11.4%)+0.2%(16.5%)  -    -    -    -    -    -    -    -    -  (25.9%)
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0

Model Account Details

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

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

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 295 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/1/22 15:58 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,500 21.23 3/29 15:20 16.57 15.87%
Trade id #139599747
Max drawdown($7,017)
Time3/29/22 15:13
Quant open1,500
Worst price16.55
Drawdown as % of equity-15.87%
 ($7,000)
Includes Typical Broker Commissions trade costs of $5.00
2/28/22 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 300 108.51 3/1 15:58 103.70 3.91%
Trade id #139580348
Max drawdown($2,007)
Time3/1/22 15:50
Quant open300
Worst price101.82
Drawdown as % of equity-3.91%
 ($1,450)
Includes Typical Broker Commissions trade costs of $6.00
2/25/22 9:45 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,500 21.32 2/28 15:58 20.33 3.55%
Trade id #139545574
Max drawdown($1,890)
Time2/28/22 11:34
Quant open1,500
Worst price20.05
Drawdown as % of equity-3.55%
 ($1,483)
Includes Typical Broker Commissions trade costs of $5.00
2/17/22 15:57 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,478 20.38 2/22 15:58 21.49 0.68%
Trade id #139440620
Max drawdown($354)
Time2/18/22 0:00
Quant open1,478
Worst price20.14
Drawdown as % of equity-0.68%
 $1,647
Includes Typical Broker Commissions trade costs of $5.00
1/24/22 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 270 112.99 1/25 15:58 108.95 4.94%
Trade id #139080953
Max drawdown($2,593)
Time1/25/22 10:06
Quant open270
Worst price103.38
Drawdown as % of equity-4.94%
 ($1,096)
Includes Typical Broker Commissions trade costs of $5.40
1/14/22 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 230 134.05 1/18 15:58 126.49 3.41%
Trade id #138963323
Max drawdown($1,889)
Time1/18/22 15:55
Quant open230
Worst price125.83
Drawdown as % of equity-3.41%
 ($1,743)
Includes Typical Broker Commissions trade costs of $4.60
1/4/22 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 342 146.03 1/6 10:12 134.91 6.49%
Trade id #138817911
Max drawdown($3,857)
Time1/6/22 10:12
Quant open342
Worst price134.75
Drawdown as % of equity-6.49%
 ($3,810)
Includes Typical Broker Commissions trade costs of $6.84
12/22/21 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 460 137.10 12/23 15:58 140.13 0.03%
Trade id #138671509
Max drawdown($18)
Time12/22/21 16:00
Quant open460
Worst price137.06
Drawdown as % of equity-0.03%
 $1,385
Includes Typical Broker Commissions trade costs of $9.20
12/16/21 15:58 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 3,472 17.54 12/17 15:58 18.05 n/a $1,790
Includes Typical Broker Commissions trade costs of $5.00
12/15/21 14:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 462 132.73 12/16 15:17 134.42 0.26%
Trade id #138593230
Max drawdown($143)
Time12/15/21 14:33
Quant open462
Worst price132.42
Drawdown as % of equity-0.26%
 $773
Includes Typical Broker Commissions trade costs of $9.24
11/29/21 15:58 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,624 17.94 12/1 15:58 19.57 0.01%
Trade id #138382774
Max drawdown($5)
Time12/1/21 11:25
Quant open1,624
Worst price17.93
Drawdown as % of equity-0.01%
 $2,653
Includes Typical Broker Commissions trade costs of $5.00
10/6/21 15:58 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,553 22.23 10/8 15:58 21.75 2.98%
Trade id #137699149
Max drawdown($1,615)
Time10/7/21 0:00
Quant open1,553
Worst price21.19
Drawdown as % of equity-2.98%
 ($758)
Includes Typical Broker Commissions trade costs of $5.00
10/4/21 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 328 106.29 10/6 15:57 111.09 0.52%
Trade id #137657191
Max drawdown($282)
Time10/6/21 10:06
Quant open328
Worst price105.43
Drawdown as % of equity-0.52%
 $1,568
Includes Typical Broker Commissions trade costs of $6.56
9/21/21 12:59 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,171 22.32 9/23 10:25 21.07 4.99%
Trade id #137465029
Max drawdown($2,713)
Time9/23/21 10:25
Quant open2,171
Worst price21.07
Drawdown as % of equity-4.99%
 ($2,708)
Includes Typical Broker Commissions trade costs of $5.00
9/15/21 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 438 120.75 9/17 15:57 116.97 3.35%
Trade id #137388575
Max drawdown($1,896)
Time9/17/21 13:53
Quant open438
Worst price116.42
Drawdown as % of equity-3.35%
 ($1,662)
Includes Typical Broker Commissions trade costs of $8.76
8/30/21 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 479 124.56 8/31 15:58 124.28 0.88%
Trade id #137182188
Max drawdown($507)
Time8/31/21 9:55
Quant open479
Worst price123.50
Drawdown as % of equity-0.88%
 ($142)
Includes Typical Broker Commissions trade costs of $9.58
8/27/21 15:58 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,400 20.49 8/30 15:57 20.18 1.7%
Trade id #137155667
Max drawdown($984)
Time8/30/21 11:14
Quant open2,400
Worst price20.08
Drawdown as % of equity-1.70%
 ($737)
Includes Typical Broker Commissions trade costs of $5.00
8/13/21 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 427 119.37 8/20 15:58 117.73 5.69%
Trade id #136962009
Max drawdown($3,214)
Time8/19/21 0:00
Quant open427
Worst price111.84
Drawdown as % of equity-5.69%
 ($708)
Includes Typical Broker Commissions trade costs of $8.54
8/10/21 15:58 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,400 21.64 8/12 15:58 21.23 1.66%
Trade id #136908313
Max drawdown($984)
Time8/12/21 15:40
Quant open2,400
Worst price21.23
Drawdown as % of equity-1.66%
 ($977)
Includes Typical Broker Commissions trade costs of $5.00
7/27/21 15:58 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,315 22.20 7/28 15:58 22.16 0.85%
Trade id #136703101
Max drawdown($509)
Time7/28/21 14:51
Quant open2,315
Worst price21.98
Drawdown as % of equity-0.85%
 ($86)
Includes Typical Broker Commissions trade costs of $5.00
7/20/21 15:58 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,250 23.41 7/23 14:19 22.07 5.06%
Trade id #136598632
Max drawdown($3,105)
Time7/23/21 13:26
Quant open2,250
Worst price22.04
Drawdown as % of equity-5.06%
 ($3,043)
Includes Typical Broker Commissions trade costs of $5.00
7/19/21 15:57 SPXL DIREXION DAILY S&P500 BULL 3X LONG 510 103.23 7/20 15:57 108.54 n/a $2,704
Includes Typical Broker Commissions trade costs of $5.00
7/14/21 15:58 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,300 22.75 7/15 15:58 22.98 n/a $524
Includes Typical Broker Commissions trade costs of $5.00
7/12/21 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 460 113.21 7/14 15:57 112.47 1.28%
Trade id #136457190
Max drawdown($768)
Time7/14/21 11:58
Quant open460
Worst price111.54
Drawdown as % of equity-1.28%
 ($348)
Includes Typical Broker Commissions trade costs of $9.20
7/6/21 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 500 110.11 7/9 15:58 112.03 3.46%
Trade id #136350201
Max drawdown($2,070)
Time7/8/21 0:00
Quant open500
Worst price105.97
Drawdown as % of equity-3.46%
 $951
Includes Typical Broker Commissions trade costs of $10.00
6/22/21 11:06 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,088 25.18 6/25 15:58 24.34 3.18%
Trade id #136161074
Max drawdown($1,900)
Time6/25/21 15:52
Quant open2,088
Worst price24.27
Drawdown as % of equity-3.18%
 ($1,769)
Includes Typical Broker Commissions trade costs of $5.00
6/14/21 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 82 103.42 6/17 15:58 101.40 0.54%
Trade id #136052781
Max drawdown($330)
Time6/17/21 12:30
Quant open82
Worst price99.38
Drawdown as % of equity-0.54%
 ($167)
Includes Typical Broker Commissions trade costs of $1.64
6/8/21 15:58 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,070 25.41 6/10 14:58 25.16 1.32%
Trade id #135971345
Max drawdown($817)
Time6/10/21 10:01
Quant open2,070
Worst price25.02
Drawdown as % of equity-1.32%
 ($525)
Includes Typical Broker Commissions trade costs of $5.00
5/28/21 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 560 100.10 6/2 15:58 100.17 0.6%
Trade id #135828547
Max drawdown($368)
Time6/1/21 0:00
Quant open560
Worst price99.44
Drawdown as % of equity-0.60%
 $38
Includes Typical Broker Commissions trade costs of $5.00
5/26/21 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 533 99.08 5/27 15:58 99.89 n/a $428
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    6/28/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    2003.4
  • Age
    67 months ago
  • What it trades
    Stocks
  • # Trades
    157
  • # Profitable
    91
  • % Profitable
    58.00%
  • Avg trade duration
    2.4 days
  • Max peak-to-valley drawdown
    41.69%
  • drawdown period
    March 11, 2020 - March 29, 2022
  • Annual Return (Compounded)
    -2.3%
  • Avg win
    $840.32
  • Avg loss
    $1,159
  • Model Account Values (Raw)
  • Cash
    $50,385
  • Margin Used
    $0
  • Buying Power
    $50,385
  • Ratios
  • W:L ratio
    1.01:1
  • Sharpe Ratio
    -0.28
  • Sortino Ratio
    -0.38
  • Calmar Ratio
    0.005
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -113.45%
  • Correlation to SP500
    0.11430
  • Return Percent SP500 (cumu) during strategy life
    101.61%
  • Return Statistics
  • Ann Return (w trading costs)
    -2.3%
  • Slump
  • Current Slump as Pcnt Equity
    71.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.87%
  • Return Statistics
  • Return Pcnt Since TOS Status
    -11.960%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.023%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    73.00%
  • Chance of 20% account loss
    28.00%
  • Chance of 30% account loss
    4.50%
  • Chance of 40% account loss
    1.00%
  • 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
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    333
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    10%
  • Win / Loss
  • Avg Loss
    $1,160
  • Avg Win
    $840
  • Sum Trade PL (losers)
    $76,530.000
  • Age
  • Num Months filled monthly returns table
    67
  • Win / Loss
  • Sum Trade PL (winners)
    $76,469.000
  • # Winners
    91
  • Num Months Winners
    21
  • Dividends
  • Dividends Received in Model Acct
    451
  • AUM
  • AUM (AutoTrader live capital)
    4945
  • Win / Loss
  • # Losers
    66
  • % Winners
    58.0%
  • Frequency
  • Avg Position Time (mins)
    3409.12
  • Avg Position Time (hrs)
    56.82
  • Avg Trade Length
    2.4 days
  • Last Trade Ago
    998
  • Leverage
  • Daily leverage (average)
    1.77
  • Daily leverage (max)
    3.81
  • Regression
  • Alpha
    -0.01
  • Beta
    0.06
  • Treynor Index
    -0.17
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.33
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -4.456
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.327
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.366
  • Hold-and-Hope Ratio
    -0.224
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01607
  • SD
    0.14261
  • Sharpe ratio (Glass type estimate)
    -0.11271
  • Sharpe ratio (Hedges UMVUE)
    -0.11122
  • df
    57.00000
  • t
    -0.24779
  • p
    0.59741
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00399
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.77950
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.00296
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78052
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.14564
  • Upside Potential Ratio
    1.21154
  • Upside part of mean
    0.13372
  • Downside part of mean
    -0.14979
  • Upside SD
    0.08847
  • Downside SD
    0.11037
  • N nonnegative terms
    18.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    58.00000
  • Mean of predictor
    0.13774
  • Mean of criterion
    -0.01607
  • SD of predictor
    0.17636
  • SD of criterion
    0.14261
  • Covariance
    0.00556
  • r
    0.22118
  • b (slope, estimate of beta)
    0.17884
  • a (intercept, estimate of alpha)
    -0.04071
  • Mean Square Error
    0.01969
  • DF error
    56.00000
  • t(b)
    1.69717
  • p(b)
    0.04761
  • t(a)
    -0.62193
  • p(a)
    0.73174
  • Lowerbound of 95% confidence interval for beta
    -0.03225
  • Upperbound of 95% confidence interval for beta
    0.38994
  • Lowerbound of 95% confidence interval for alpha
    -0.17182
  • Upperbound of 95% confidence interval for alpha
    0.09041
  • Treynor index (mean / b)
    -0.08987
  • Jensen alpha (a)
    -0.04071
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02634
  • SD
    0.14595
  • Sharpe ratio (Glass type estimate)
    -0.18045
  • Sharpe ratio (Hedges UMVUE)
    -0.17806
  • df
    57.00000
  • t
    -0.39671
  • p
    0.65347
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.07178
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.71243
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.07017
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71404
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.22448
  • Upside Potential Ratio
    1.10549
  • Upside part of mean
    0.12970
  • Downside part of mean
    -0.15604
  • Upside SD
    0.08501
  • Downside SD
    0.11732
  • N nonnegative terms
    18.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    58.00000
  • Mean of predictor
    0.12130
  • Mean of criterion
    -0.02634
  • SD of predictor
    0.17815
  • SD of criterion
    0.14595
  • Covariance
    0.00637
  • r
    0.24516
  • b (slope, estimate of beta)
    0.20085
  • a (intercept, estimate of alpha)
    -0.05070
  • Mean Square Error
    0.02038
  • DF error
    56.00000
  • t(b)
    1.89237
  • p(b)
    0.03181
  • t(a)
    -0.76589
  • p(a)
    0.77652
  • Lowerbound of 95% confidence interval for beta
    -0.01177
  • Upperbound of 95% confidence interval for beta
    0.41347
  • Lowerbound of 95% confidence interval for alpha
    -0.18331
  • Upperbound of 95% confidence interval for alpha
    0.08191
  • Treynor index (mean / b)
    -0.13112
  • Jensen alpha (a)
    -0.05070
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06900
  • Expected Shortfall on VaR
    0.08514
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03472
  • Expected Shortfall on VaR
    0.07126
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    58.00000
  • Minimum
    0.84998
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.01486
  • Maximum
    1.12457
  • Mean of quarter 1
    0.95787
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00121
  • Mean of quarter 4
    1.04482
  • Inter Quartile Range
    0.01486
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.15517
  • Mean of outliers low
    0.93407
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.13793
  • Mean of outliers high
    1.06194
  • 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)
    -0.24180
  • VaR(95%) (regression method)
    0.05228
  • Expected Shortfall (regression method)
    0.07342
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01032
  • Quartile 1
    0.08017
  • Median
    0.15002
  • Quartile 3
    0.22690
  • Maximum
    0.30377
  • Mean of quarter 1
    0.01032
  • Mean of quarter 2
    0.15002
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.30377
  • Inter Quartile Range
    0.14673
  • 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)
    0.00158
  • Compounded annual return (geometric extrapolation)
    0.00157
  • Calmar ratio (compounded annual return / max draw down)
    0.00517
  • Compounded annual return / average of 25% largest draw downs
    0.00517
  • Compounded annual return / Expected Shortfall lognormal
    0.01846
  • 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
    -0.02043
  • SD
    0.10841
  • Sharpe ratio (Glass type estimate)
    -0.18844
  • Sharpe ratio (Hedges UMVUE)
    -0.18832
  • df
    1268.00000
  • t
    -0.41471
  • p
    0.50582
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.07901
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.70219
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.07892
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.70227
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.25519
  • Upside Potential Ratio
    4.04000
  • Upside part of mean
    0.32342
  • Downside part of mean
    -0.34385
  • Upside SD
    0.07305
  • Downside SD
    0.08005
  • N nonnegative terms
    224.00000
  • N negative terms
    1045.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1269.00000
  • Mean of predictor
    0.13918
  • Mean of criterion
    -0.02043
  • SD of predictor
    0.21063
  • SD of criterion
    0.10841
  • Covariance
    0.00317
  • r
    0.13866
  • b (slope, estimate of beta)
    0.07137
  • a (intercept, estimate of alpha)
    -0.03000
  • Mean Square Error
    0.01154
  • DF error
    1267.00000
  • t(b)
    4.98366
  • p(b)
    0.41201
  • t(a)
    -0.62160
  • p(a)
    0.51111
  • Lowerbound of 95% confidence interval for beta
    0.04327
  • Upperbound of 95% confidence interval for beta
    0.09946
  • Lowerbound of 95% confidence interval for alpha
    -0.12619
  • Upperbound of 95% confidence interval for alpha
    0.06546
  • Treynor index (mean / b)
    -0.28624
  • Jensen alpha (a)
    -0.03036
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02634
  • SD
    0.10899
  • Sharpe ratio (Glass type estimate)
    -0.24168
  • Sharpe ratio (Hedges UMVUE)
    -0.24154
  • df
    1268.00000
  • t
    -0.53189
  • p
    0.50747
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.13228
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.64896
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.13216
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.64908
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.32274
  • Upside Potential Ratio
    3.93024
  • Upside part of mean
    0.32076
  • Downside part of mean
    -0.34710
  • Upside SD
    0.07218
  • Downside SD
    0.08161
  • N nonnegative terms
    224.00000
  • N negative terms
    1045.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1269.00000
  • Mean of predictor
    0.11686
  • Mean of criterion
    -0.02634
  • SD of predictor
    0.21149
  • SD of criterion
    0.10899
  • Covariance
    0.00346
  • r
    0.15006
  • b (slope, estimate of beta)
    0.07733
  • a (intercept, estimate of alpha)
    -0.03538
  • Mean Square Error
    0.01162
  • DF error
    1267.00000
  • t(b)
    5.40265
  • p(b)
    0.40483
  • t(a)
    -0.72184
  • p(a)
    0.51291
  • Lowerbound of 95% confidence interval for beta
    0.04925
  • Upperbound of 95% confidence interval for beta
    0.10541
  • Lowerbound of 95% confidence interval for alpha
    -0.13152
  • Upperbound of 95% confidence interval for alpha
    0.06077
  • Treynor index (mean / b)
    -0.34061
  • Jensen alpha (a)
    -0.03538
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01111
  • Expected Shortfall on VaR
    0.01389
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00405
  • Expected Shortfall on VaR
    0.00884
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1269.00000
  • Minimum
    0.92633
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.04435
  • Mean of quarter 1
    0.99511
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00502
  • Inter Quartile Range
    0.00000
  • Number outliers low
    231.00000
  • Percentage of outliers low
    0.18203
  • Mean of outliers low
    0.99327
  • Number of outliers high
    228.00000
  • Percentage of outliers high
    0.17967
  • Mean of outliers high
    1.00698
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40664
  • VaR(95%) (moments method)
    0.00306
  • Expected Shortfall (moments method)
    0.00738
  • Extreme Value Index (regression method)
    0.17804
  • VaR(95%) (regression method)
    0.00504
  • Expected Shortfall (regression method)
    0.01043
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00041
  • Quartile 1
    0.00294
  • Median
    0.00643
  • Quartile 3
    0.01940
  • Maximum
    0.34773
  • Mean of quarter 1
    0.00120
  • Mean of quarter 2
    0.00417
  • Mean of quarter 3
    0.01565
  • Mean of quarter 4
    0.09692
  • Inter Quartile Range
    0.01646
  • 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
    0.05000
  • Mean of outliers high
    0.34773
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.90169
  • VaR(95%) (moments method)
    0.08732
  • Expected Shortfall (moments method)
    0.94963
  • Extreme Value Index (regression method)
    1.50178
  • VaR(95%) (regression method)
    0.06502
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00157
  • Compounded annual return (geometric extrapolation)
    0.00157
  • Calmar ratio (compounded annual return / max draw down)
    0.00451
  • Compounded annual return / average of 25% largest draw downs
    0.01618
  • Compounded annual return / Expected Shortfall lognormal
    0.11292
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13755
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.14066
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12765
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.14101
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6855810000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -40664799999999994879390202724352.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -337990000
  • Max Equity Drawdown (num days)
    748
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

This system is designed for non-marginable accounts such as IRA's and Cash accounts. It works well with traditional mutual funds that trade end of day at NAV too (when traded manually). The goal is to provide a low cost trading system that will eliminate the need for margin, and eliminates the need for expensive auto trade fees while still providing good returns and limited exposure to the market volatility by being in a trade less than 40% of open trading days.
Buys: We adjust equity employed to purchase long or short position in the S&P 500 (3X) without using margin. We are selective and intentional when we place a trade. Trades are placed to execute near the end of the day. Due to C2 limitations a MOC (market on close order) is unavailable so we will use the parked order system to execute at or near the close of the market (15.57 or 15:58 EST). We will try and give you at least 2 hours to place your parked order for those not on auto trade.
Sales: For most of the sales we will close the position the following day at the close of the market but occasionally will hold a trade as long as the odds hold up for as many as 4 consecutive days. We will give you plenty of notice as to when we expect to close a trade. By holding consecutive probability trades, this will help keep brokerage commissions low rather than churning in and out of a position.
Methodology: Our system uses an algorithm that calculates the odds that the S&P will close up or down on the following day. When the odds show a significant chance that the market will close up or down the following day, we place a trade in the direction of that signal the day before. Stops: We recognize the market doesn't always behave in predictable patterns, so in the event the market drifts in the opposite direction of our trade, we monitor the position and if necessary we place a stop at 4.5% of the trade. We do not place stops as soon as we open a trade due to gaps which often backfill. Remember the market can gap down or up and a stop is no way to eliminate market gaps and can even cause you to sell as soon as the market opens at the worst possible price. When a trade gaps against us, we monitor the situation and place stops to prevent additional capital erosion. Sometimes the market may gap in the opposite direction of our trade and then recover throughout the day.
Risks: Overnight Risk, Leveraged ETF risks which are unique, General market directional risks, order execution risks, in the event of catastrophic moves you should refer to the SPXL and or SPXS prospectus' to identify how they handle payouts.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2019-06-28
Suggested Minimum Capital
$15,000
# Trades
157
# Profitable
91
% Profitable
58.0%
Net Dividends
$451
Correlation S&P500
0.114
Sharpe Ratio
-0.28
Sortino Ratio
-0.38
Beta
0.06
Alpha
-0.01
Leverage
1.77 Average
3.81 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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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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This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.