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Featured Strategy Easiest Followed by live capital $451,000 Hypothetical

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ETF SentimentMagic US 3L
(124531246)

Created by: Boosting_Alpha_BV Boosting_Alpha_BV
Started: 07/2019
Stocks
Last trade: 1,464 days ago
Trading style: Equity Hedged Equity
Subscriptions not currently available.

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 $49.00 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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
113.5%
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.

(87.1%)
Max Drawdown
76
Num Trades
46.1%
Win Trades
16.1 : 1
Profit Factor
53.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                          (4%)+7.5%(0.4%)(2.7%)(7.2%)(5.3%)(12.1%)
2020+3.1%(7.7%)+16.5%(41.8%)(10.1%)(7.6%)(23.6%)(58.8%)+38.2%+612.6%+168.7%(10.1%)+301.7%
2021+9.1%+104.2%(3.9%)+3.1%+28.6%+9.7%(43.9%)(8.3%)+42.9%+50.7%(29.3%)+1.6%+147.8%
2022+74.9%+29.1%+28.2%(5%)+40.5%(40.4%)+3.7%+53.1%(34%)+63.2%+8.5%(23%)+228.7%
2023+8.8%(19.1%)(7.1%)+0.2%(14.7%)(12.5%)+42.1%+9.1%+6.1%(7.5%)(8.8%)+7.6%(8.7%)
2024(19.6%)+28.3%+28.4%+7.5%                                                +42.6%

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 48 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1685 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/21/20 10:00 TYD DIREXION DAILY 7-10 YR TRSY BU SHORT 2 68.72 4/21 15:46 69.42 0.01%
Trade id #128672681
Max drawdown($1)
Time4/21/20 11:57
Quant open2
Worst price69.41
Drawdown as % of equity-0.01%
 ($1)
Includes Typical Broker Commissions trade costs of $0.04
4/21/20 10:00 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS SHORT 11 46.91 4/21 13:45 46.87 0.04%
Trade id #128672679
Max drawdown($7)
Time4/21/20 11:42
Quant open11
Worst price47.56
Drawdown as % of equity-0.04%
 $0
Includes Typical Broker Commissions trade costs of $0.22
4/15/20 10:00 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS SHORT 10 43.92 4/17 10:08 46.12 0.13%
Trade id #128576102
Max drawdown($23)
Time4/17/20 9:48
Quant open10
Worst price46.22
Drawdown as % of equity-0.13%
 ($22)
Includes Typical Broker Commissions trade costs of $0.20
4/14/20 10:02 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 1 41.32 4/14 12:58 41.69 0%
Trade id #128554996
Max drawdown($0)
Time4/14/20 10:19
Quant open1
Worst price41.06
Drawdown as % of equity-0.00%
 $0
Includes Typical Broker Commissions trade costs of $0.02
4/9/20 10:02 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 198 41.50 4/9 11:13 41.83 0.33%
Trade id #128495831
Max drawdown($63)
Time4/9/20 10:58
Quant open198
Worst price41.18
Drawdown as % of equity-0.33%
 $61
Includes Typical Broker Commissions trade costs of $3.96
4/7/20 10:02 TYD DIREXION DAILY 7-10 YR TRSY BU LONG 163 66.47 4/9 11:13 65.74 0.43%
Trade id #128452451
Max drawdown($88)
Time4/7/20 10:11
Quant open82
Worst price65.50
Drawdown as % of equity-0.43%
 ($121)
Includes Typical Broker Commissions trade costs of $3.26
4/7/20 10:02 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 192 42.33 4/7 10:40 41.97 0.49%
Trade id #128452447
Max drawdown($101)
Time4/7/20 10:21
Quant open192
Worst price41.80
Drawdown as % of equity-0.49%
 ($73)
Includes Typical Broker Commissions trade costs of $3.84
4/2/20 13:35 AGQ PROSHARES ULTRA SILVER SHORT 300 19.48 4/7 9:54 22.18 3.67%
Trade id #128381631
Max drawdown($846)
Time4/7/20 9:31
Quant open300
Worst price22.30
Drawdown as % of equity-3.67%
 ($816)
Includes Typical Broker Commissions trade costs of $6.00
3/23/20 10:00 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS SHORT 26 38.50 4/6 14:08 44.18 0.75%
Trade id #128190775
Max drawdown($204)
Time4/3/20 0:00
Quant open26
Worst price46.38
Drawdown as % of equity-0.75%
 ($149)
Includes Typical Broker Commissions trade costs of $0.52
4/1/20 15:14 TVIX VELOCITYSHARES DAILY 2X VIX SH SHORT 5 369.00 4/2 13:31 349.44 0.16%
Trade id #128364868
Max drawdown($44)
Time4/1/20 15:41
Quant open5
Worst price377.94
Drawdown as % of equity-0.16%
 $98
Includes Typical Broker Commissions trade costs of $0.10
3/24/20 14:48 AGQ PROSHARES ULTRA SILVER SHORT 500 18.61 4/1 14:21 18.05 3.89%
Trade id #128227515
Max drawdown($1,015)
Time3/26/20 0:00
Quant open500
Worst price20.64
Drawdown as % of equity-3.89%
 $268
Includes Typical Broker Commissions trade costs of $10.00
3/27/20 10:00 TYD DIREXION DAILY 7-10 YR TRSY BU SHORT 4 66.25 3/27 12:43 66.44 0.01%
Trade id #128285087
Max drawdown($1)
Time3/27/20 11:03
Quant open4
Worst price66.65
Drawdown as % of equity-0.01%
 ($1)
Includes Typical Broker Commissions trade costs of $0.08
3/24/20 13:51 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,000 8.49 3/24 15:04 8.68 1.33%
Trade id #128226245
Max drawdown($370)
Time3/24/20 14:05
Quant open1,000
Worst price8.12
Drawdown as % of equity-1.33%
 $165
Includes Typical Broker Commissions trade costs of $20.00
3/16/20 13:15 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 850 29.95 3/24 14:30 31.00 13.18%
Trade id #128068880
Max drawdown($3,511)
Time3/18/20 0:00
Quant open650
Worst price24.02
Drawdown as % of equity-13.18%
 $875
Includes Typical Broker Commissions trade costs of $17.00
3/24/20 10:00 SPXL DIREXION DAILY S&P500 BULL 3X SHORT 500 21.29 3/24 14:25 21.01 0.8%
Trade id #128218749
Max drawdown($215)
Time3/24/20 12:40
Quant open118
Worst price22.33
Drawdown as % of equity-0.80%
 $129
Includes Typical Broker Commissions trade costs of $10.00
3/20/20 11:13 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 3,200 6.91 3/24 13:36 8.20 1.59%
Trade id #128160492
Max drawdown($342)
Time3/20/20 14:45
Quant open700
Worst price5.23
Drawdown as % of equity-1.59%
 $4,085
Includes Typical Broker Commissions trade costs of $50.00
3/23/20 10:02 SPXL DIREXION DAILY S&P500 BULL 3X LONG 145 18.38 3/24 9:37 20.82 1.18%
Trade id #128190849
Max drawdown($271)
Time3/23/20 11:47
Quant open145
Worst price16.51
Drawdown as % of equity-1.18%
 $351
Includes Typical Broker Commissions trade costs of $2.90
3/23/20 10:00 TYD DIREXION DAILY 7-10 YR TRSY BU SHORT 8 63.51 3/23 14:04 66.96 0.11%
Trade id #128190778
Max drawdown($25)
Time3/23/20 14:03
Quant open8
Worst price66.67
Drawdown as % of equity-0.11%
 ($28)
Includes Typical Broker Commissions trade costs of $0.16
3/19/20 10:02 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 47 31.09 3/20 14:38 36.22 0.36%
Trade id #128137724
Max drawdown($70)
Time3/19/20 11:41
Quant open47
Worst price29.59
Drawdown as % of equity-0.36%
 $240
Includes Typical Broker Commissions trade costs of $0.94
3/20/20 10:00 SPXL DIREXION DAILY S&P500 BULL 3X SHORT 89 21.91 3/20 14:38 20.47 0.61%
Trade id #128158710
Max drawdown($135)
Time3/20/20 10:59
Quant open89
Worst price23.43
Drawdown as % of equity-0.61%
 $126
Includes Typical Broker Commissions trade costs of $1.78
2/26/20 10:02 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 2,260 9.94 3/19 11:16 9.31 40.75%
Trade id #127720304
Max drawdown($7,697)
Time3/16/20 0:00
Quant open1,051
Worst price5.20
Drawdown as % of equity-40.75%
 ($1,454)
Includes Typical Broker Commissions trade costs of $40.20
3/19/20 10:02 TYD DIREXION DAILY 7-10 YR TRSY BU LONG 5 60.00 3/19 11:03 58.42 0.04%
Trade id #128137730
Max drawdown($7)
Time3/19/20 10:11
Quant open5
Worst price58.42
Drawdown as % of equity-0.04%
 ($8)
Includes Typical Broker Commissions trade costs of $0.10
3/19/20 10:02 SPXL DIREXION DAILY S&P500 BULL 3X LONG 79 21.20 3/19 10:19 22.28 n/a $83
Includes Typical Broker Commissions trade costs of $1.58
3/18/20 10:00 SPXL DIREXION DAILY S&P500 BULL 3X SHORT 47 22.56 3/18 13:24 20.31 0.21%
Trade id #128111633
Max drawdown($53)
Time3/18/20 10:08
Quant open47
Worst price23.69
Drawdown as % of equity-0.21%
 $105
Includes Typical Broker Commissions trade costs of $0.94
2/26/20 10:02 SPXL DIREXION DAILY S&P500 BULL 3X LONG 794 34.59 3/16 14:40 31.54 35.29%
Trade id #127720302
Max drawdown($5,944)
Time3/16/20 10:05
Quant open528
Worst price23.33
Drawdown as % of equity-35.29%
 ($2,435)
Includes Typical Broker Commissions trade costs of $13.10
3/5/20 14:39 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 400 20.91 3/16 9:56 29.93 0.16%
Trade id #127875321
Max drawdown($36)
Time3/5/20 14:42
Quant open400
Worst price20.82
Drawdown as % of equity-0.16%
 $3,600
Includes Typical Broker Commissions trade costs of $8.00
2/25/20 14:34 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 393 36.93 3/13 12:07 41.96 2.67%
Trade id #127704907
Max drawdown($522)
Time2/26/20 0:00
Quant open360
Worst price34.43
Drawdown as % of equity-2.67%
 $1,966
Includes Typical Broker Commissions trade costs of $7.86
2/25/20 14:31 TYD DIREXION DAILY 7-10 YR TRSY BU LONG 346 58.87 3/12 10:11 61.04 1.02%
Trade id #127704870
Max drawdown($199)
Time2/26/20 0:00
Quant open200
Worst price57.78
Drawdown as % of equity-1.02%
 $744
Includes Typical Broker Commissions trade costs of $6.92
2/25/20 10:02 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 250 39.22 2/25 14:31 37.17 2.49%
Trade id #127697270
Max drawdown($517)
Time2/25/20 14:27
Quant open250
Worst price37.15
Drawdown as % of equity-2.49%
 ($518)
Includes Typical Broker Commissions trade costs of $5.00
2/4/20 10:48 SPXL DIREXION DAILY S&P500 BULL 3X LONG 276 69.39 2/25 14:31 61.64 11.19%
Trade id #127355917
Max drawdown($2,321)
Time2/25/20 14:31
Quant open224
Worst price59.03
Drawdown as % of equity-11.19%
 ($2,146)
Includes Typical Broker Commissions trade costs of $5.52
Next

Statistics

  • Strategy began
    7/19/2019
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    1739.64
  • Age
    58 months ago
  • What it trades
    Stocks
  • # Trades
    76
  • # Profitable
    35
  • % Profitable
    46.10%
  • Avg trade duration
    67.5 days
  • Max peak-to-valley drawdown
    87.11%
  • drawdown period
    April 03, 2020 - Aug 31, 2020
  • Annual Return (Compounded)
    113.5%
  • Avg win
    $27,789
  • Avg loss
    $1,470
  • Model Account Values (Raw)
  • Cash
    $22,035
  • Margin Used
    $13,450
  • Buying Power
    $923,449
  • Ratios
  • W:L ratio
    16.13:1
  • Sharpe Ratio
    0.54
  • Sortino Ratio
    3.49
  • Calmar Ratio
    13.811
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    3573.70%
  • Correlation to SP500
    0.03720
  • Return Percent SP500 (cumu) during strategy life
    70.38%
  • Return Statistics
  • Ann Return (w trading costs)
    113.5%
  • Slump
  • Current Slump as Pcnt Equity
    23.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.38%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.135%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    113.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    85.00%
  • Chance of 20% account loss
    18.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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
    69.08%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    447
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,470
  • Avg Win
    $27,790
  • Sum Trade PL (losers)
    $60,281.000
  • Age
  • Num Months filled monthly returns table
    58
  • Win / Loss
  • Sum Trade PL (winners)
    $972,635.000
  • # Winners
    35
  • Num Months Winners
    31
  • Dividends
  • Dividends Received in Model Acct
    -501
  • Win / Loss
  • # Losers
    41
  • % Winners
    46.0%
  • Frequency
  • Avg Position Time (mins)
    97154.00
  • Avg Position Time (hrs)
    1619.23
  • Avg Trade Length
    67.5 days
  • Last Trade Ago
    1462
  • Leverage
  • Daily leverage (average)
    3.31
  • Daily leverage (max)
    16.18
  • Regression
  • Alpha
    0.64
  • Beta
    0.65
  • Treynor Index
    1.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -2.18
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    0.108
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.012
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.569
  • Hold-and-Hope Ratio
    14.008
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    8.25571
  • SD
    7.57050
  • Sharpe ratio (Glass type estimate)
    1.09051
  • Sharpe ratio (Hedges UMVUE)
    1.03844
  • df
    16.00000
  • t
    1.29797
  • p
    0.34568
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61434
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.76326
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64710
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72399
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.04120
  • Upside Potential Ratio
    16.67550
  • Upside part of mean
    9.15274
  • Downside part of mean
    -0.89702
  • Upside SD
    7.70192
  • Downside SD
    0.54887
  • N nonnegative terms
    8.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.36831
  • Mean of criterion
    8.25571
  • SD of predictor
    0.36712
  • SD of criterion
    7.57050
  • Covariance
    0.38904
  • r
    0.13998
  • b (slope, estimate of beta)
    2.88662
  • a (intercept, estimate of alpha)
    7.19254
  • Mean Square Error
    59.93540
  • DF error
    15.00000
  • t(b)
    0.54754
  • p(b)
    0.41118
  • t(a)
    1.05959
  • p(a)
    0.33398
  • Lowerbound of 95% confidence interval for beta
    -8.35042
  • Upperbound of 95% confidence interval for beta
    14.12370
  • Lowerbound of 95% confidence interval for alpha
    -7.27586
  • Upperbound of 95% confidence interval for alpha
    21.66090
  • Treynor index (mean / b)
    2.85999
  • Jensen alpha (a)
    7.19254
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.30287
  • SD
    2.37571
  • Sharpe ratio (Glass type estimate)
    0.96934
  • Sharpe ratio (Hedges UMVUE)
    0.92306
  • df
    16.00000
  • t
    1.15375
  • p
    0.36143
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72512
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.63496
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75441
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.60053
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.20094
  • Upside Potential Ratio
    4.74405
  • Upside part of mean
    3.41305
  • Downside part of mean
    -1.11018
  • Upside SD
    2.28831
  • Downside SD
    0.71944
  • N nonnegative terms
    8.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.29525
  • Mean of criterion
    2.30287
  • SD of predictor
    0.38808
  • SD of criterion
    2.37571
  • Covariance
    -0.01866
  • r
    -0.02024
  • b (slope, estimate of beta)
    -0.12392
  • a (intercept, estimate of alpha)
    2.33946
  • Mean Square Error
    6.01782
  • DF error
    15.00000
  • t(b)
    -0.07842
  • p(b)
    0.51289
  • t(a)
    1.10708
  • p(a)
    0.32726
  • Lowerbound of 95% confidence interval for beta
    -3.49222
  • Upperbound of 95% confidence interval for beta
    3.24437
  • Lowerbound of 95% confidence interval for alpha
    -2.16469
  • Upperbound of 95% confidence interval for alpha
    6.84361
  • Treynor index (mean / b)
    -18.58310
  • Jensen alpha (a)
    2.33946
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.60786
  • Expected Shortfall on VaR
    0.69695
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.17800
  • Expected Shortfall on VaR
    0.35151
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.51085
  • Quartile 1
    0.94352
  • Median
    1.00142
  • Quartile 3
    1.13006
  • Maximum
    9.78676
  • Mean of quarter 1
    0.77210
  • Mean of quarter 2
    0.97242
  • Mean of quarter 3
    1.07974
  • Mean of quarter 4
    4.16651
  • Inter Quartile Range
    0.18654
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.11765
  • Mean of outliers low
    0.56203
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.17647
  • Mean of outliers high
    5.15155
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37800
  • VaR(95%) (moments method)
    0.21136
  • Expected Shortfall (moments method)
    0.42378
  • Extreme Value Index (regression method)
    0.20122
  • VaR(95%) (regression method)
    0.33363
  • Expected Shortfall (regression method)
    0.57287
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.05069
  • Quartile 1
    0.09801
  • Median
    0.12342
  • Quartile 3
    0.26781
  • Maximum
    0.67206
  • Mean of quarter 1
    0.05069
  • Mean of quarter 2
    0.11378
  • Mean of quarter 3
    0.13306
  • Mean of quarter 4
    0.67206
  • Inter Quartile Range
    0.16980
  • 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
    0.25000
  • Mean of outliers high
    0.67206
  • 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)
    18.46960
  • Compounded annual return (geometric extrapolation)
    9.28598
  • Calmar ratio (compounded annual return / max draw down)
    13.81720
  • Compounded annual return / average of 25% largest draw downs
    13.81720
  • Compounded annual return / Expected Shortfall lognormal
    13.32360
  • 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
    6.90702
  • SD
    5.37381
  • Sharpe ratio (Glass type estimate)
    1.28531
  • Sharpe ratio (Hedges UMVUE)
    1.28276
  • df
    378.00000
  • t
    1.54588
  • p
    0.06148
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34769
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.91664
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34940
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.91491
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.04356
  • Upside Potential Ratio
    13.30680
  • Upside part of mean
    13.04880
  • Downside part of mean
    -6.14183
  • Upside SD
    5.29359
  • Downside SD
    0.98061
  • N nonnegative terms
    198.00000
  • N negative terms
    181.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    379.00000
  • Mean of predictor
    0.43672
  • Mean of criterion
    6.90702
  • SD of predictor
    0.37774
  • SD of criterion
    5.37381
  • Covariance
    0.00302
  • r
    0.00149
  • b (slope, estimate of beta)
    0.02120
  • a (intercept, estimate of alpha)
    6.89800
  • Mean Square Error
    28.95440
  • DF error
    377.00000
  • t(b)
    0.02893
  • p(b)
    0.48847
  • t(a)
    1.53784
  • p(a)
    0.06246
  • Lowerbound of 95% confidence interval for beta
    -1.41947
  • Upperbound of 95% confidence interval for beta
    1.46186
  • Lowerbound of 95% confidence interval for alpha
    -1.92168
  • Upperbound of 95% confidence interval for alpha
    15.71720
  • Treynor index (mean / b)
    325.85900
  • Jensen alpha (a)
    6.89776
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.49090
  • SD
    2.39120
  • Sharpe ratio (Glass type estimate)
    1.04170
  • Sharpe ratio (Hedges UMVUE)
    1.03963
  • df
    378.00000
  • t
    1.25288
  • p
    0.10551
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59025
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.67231
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59165
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67090
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.09643
  • Upside Potential Ratio
    7.78331
  • Upside part of mean
    9.24786
  • Downside part of mean
    -6.75696
  • Upside SD
    2.07718
  • Downside SD
    1.18817
  • N nonnegative terms
    198.00000
  • N negative terms
    181.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    379.00000
  • Mean of predictor
    0.36494
  • Mean of criterion
    2.49090
  • SD of predictor
    0.37905
  • SD of criterion
    2.39120
  • Covariance
    0.01730
  • r
    0.01908
  • b (slope, estimate of beta)
    0.12038
  • a (intercept, estimate of alpha)
    2.44697
  • Mean Square Error
    5.73091
  • DF error
    377.00000
  • t(b)
    0.37059
  • p(b)
    0.35557
  • t(a)
    1.22721
  • p(a)
    0.11026
  • Lowerbound of 95% confidence interval for beta
    -0.51833
  • Upperbound of 95% confidence interval for beta
    0.75910
  • Lowerbound of 95% confidence interval for alpha
    -1.47366
  • Upperbound of 95% confidence interval for alpha
    6.36761
  • Treynor index (mean / b)
    20.69170
  • Jensen alpha (a)
    2.44697
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20823
  • Expected Shortfall on VaR
    0.25454
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05132
  • Expected Shortfall on VaR
    0.11071
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    379.00000
  • Minimum
    0.43675
  • Quartile 1
    0.98145
  • Median
    1.00107
  • Quartile 3
    1.02075
  • Maximum
    7.06887
  • Mean of quarter 1
    0.91239
  • Mean of quarter 2
    0.99436
  • Mean of quarter 3
    1.00913
  • Mean of quarter 4
    1.18982
  • Inter Quartile Range
    0.03930
  • Number outliers low
    41.00000
  • Percentage of outliers low
    0.10818
  • Mean of outliers low
    0.84686
  • Number of outliers high
    45.00000
  • Percentage of outliers high
    0.11873
  • Mean of outliers high
    1.35174
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59068
  • VaR(95%) (moments method)
    0.07915
  • Expected Shortfall (moments method)
    0.22208
  • Extreme Value Index (regression method)
    0.22712
  • VaR(95%) (regression method)
    0.07727
  • Expected Shortfall (regression method)
    0.13362
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00879
  • Quartile 1
    0.05559
  • Median
    0.13909
  • Quartile 3
    0.30946
  • Maximum
    0.82644
  • Mean of quarter 1
    0.03395
  • Mean of quarter 2
    0.10589
  • Mean of quarter 3
    0.23463
  • Mean of quarter 4
    0.59653
  • Inter Quartile Range
    0.25387
  • 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
    0.06250
  • Mean of outliers high
    0.82644
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -6.20064
  • VaR(95%) (moments method)
    0.61799
  • Expected Shortfall (moments method)
    0.61805
  • Extreme Value Index (regression method)
    -0.88811
  • VaR(95%) (regression method)
    0.79307
  • Expected Shortfall (regression method)
    0.86173
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    25.73690
  • Compounded annual return (geometric extrapolation)
    11.41380
  • Calmar ratio (compounded annual return / max draw down)
    13.81090
  • Compounded annual return / average of 25% largest draw downs
    19.13380
  • Compounded annual return / Expected Shortfall lognormal
    44.84180
  • 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
    21.76820
  • SD
    9.00928
  • Sharpe ratio (Glass type estimate)
    2.41620
  • Sharpe ratio (Hedges UMVUE)
    2.40223
  • df
    130.00000
  • t
    1.70851
  • p
    0.42590
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37562
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.19891
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38491
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.18937
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.09260
  • Upside Potential Ratio
    22.17090
  • Upside part of mean
    31.97740
  • Downside part of mean
    -10.20920
  • Upside SD
    8.95968
  • Downside SD
    1.44231
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.03074
  • Mean of criterion
    21.76820
  • SD of predictor
    0.42122
  • SD of criterion
    9.00928
  • Covariance
    0.04400
  • r
    0.01159
  • b (slope, estimate of beta)
    0.24799
  • a (intercept, estimate of alpha)
    21.51260
  • Mean Square Error
    81.78530
  • DF error
    129.00000
  • t(b)
    0.13170
  • p(b)
    0.49262
  • t(a)
    1.66301
  • p(a)
    0.40809
  • Lowerbound of 95% confidence interval for beta
    -3.47765
  • Upperbound of 95% confidence interval for beta
    3.97364
  • Lowerbound of 95% confidence interval for alpha
    -4.08145
  • Upperbound of 95% confidence interval for alpha
    47.10660
  • Treynor index (mean / b)
    87.77710
  • Jensen alpha (a)
    21.51260
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    9.71706
  • SD
    3.85736
  • Sharpe ratio (Glass type estimate)
    2.51909
  • Sharpe ratio (Hedges UMVUE)
    2.50453
  • df
    130.00000
  • t
    1.78127
  • p
    0.42282
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27431
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.30303
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28394
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.29301
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.38178
  • Upside Potential Ratio
    11.80610
  • Upside part of mean
    21.31640
  • Downside part of mean
    -11.59930
  • Upside SD
    3.44471
  • Downside SD
    1.80555
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.94096
  • Mean of criterion
    9.71706
  • SD of predictor
    0.42075
  • SD of criterion
    3.85736
  • Covariance
    0.11266
  • r
    0.06941
  • b (slope, estimate of beta)
    0.63638
  • a (intercept, estimate of alpha)
    9.11826
  • Mean Square Error
    14.92230
  • DF error
    129.00000
  • t(b)
    0.79030
  • p(b)
    0.45585
  • t(a)
    1.65326
  • p(a)
    0.40862
  • VAR (95 Confidence Intrvl)
    0.20800
  • Lowerbound of 95% confidence interval for beta
    -0.95679
  • Upperbound of 95% confidence interval for beta
    2.22954
  • Lowerbound of 95% confidence interval for alpha
    -1.79394
  • Upperbound of 95% confidence interval for alpha
    20.03050
  • Treynor index (mean / b)
    15.26940
  • Jensen alpha (a)
    9.11826
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.29875
  • Expected Shortfall on VaR
    0.36283
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08006
  • Expected Shortfall on VaR
    0.16847
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.43675
  • Quartile 1
    0.94826
  • Median
    1.02388
  • Quartile 3
    1.09314
  • Maximum
    7.06887
  • Mean of quarter 1
    0.85552
  • Mean of quarter 2
    0.99452
  • Mean of quarter 3
    1.05730
  • Mean of quarter 4
    1.42464
  • Inter Quartile Range
    0.14489
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.51143
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    2.21176
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.11657
  • VaR(95%) (moments method)
    0.12657
  • Expected Shortfall (moments method)
    0.16497
  • Extreme Value Index (regression method)
    0.19208
  • VaR(95%) (regression method)
    0.12597
  • Expected Shortfall (regression method)
    0.19220
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.04469
  • Quartile 1
    0.11679
  • Median
    0.14250
  • Quartile 3
    0.34409
  • Maximum
    0.63454
  • Mean of quarter 1
    0.07054
  • Mean of quarter 2
    0.12596
  • Mean of quarter 3
    0.22389
  • Mean of quarter 4
    0.51989
  • Inter Quartile Range
    0.22729
  • 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)
    -35.24880
  • VaR(95%) (moments method)
    0.54862
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.51473
  • VaR(95%) (regression method)
    0.80123
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.80571
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -400371000
  • Max Equity Drawdown (num days)
    150
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    259.29000
  • Compounded annual return (geometric extrapolation)
    17067.20000
  • Calmar ratio (compounded annual return / max draw down)
    26897.00000
  • Compounded annual return / average of 25% largest draw downs
    32828.50000
  • Compounded annual return / Expected Shortfall lognormal
    47039.20000

Strategy Description

We use 3 times leveraged ETF's that are based on the Nasdaq index, S&P500 index, Gold and Treasuries. All ETF's are listed on ARCA.

The algorithm distinguishes between 6 different market regimes being Super Bull, Bull, Bear and 3 more stable market regimes. Based on the identified market regime, it will invest in a specific combination of ETF's / indextrackers.

Backtests have shown the following results over a 15-year period:
- We target an average return of 80-85% per annum
- The algorithm is performing the best in trending markets, either upwards or downwards. In more stable markets, the performance is also good, but it does have more difficulty in accurately predicting the direction of the market then (which is logical, hedge funds will also show worse results in those years).
- Over the full 15 year period, the algorithm is showing profitability in every single year. This is quite unique for a strategy.
- The max drawdown over the full 15 year period is comparable to the drawdown you would have had with a buy-and-hold strategy on the (unleveraged) S&P500 index over this period.
- The algorithm is designed to trade daily, It will adjust the predicted market sentiment once per month, unless there is a reason to do it earlier. Daily rebalancing is done to increase the returns and lower risks, Its intent is not to react too much to daily noise, but focus on the monthly horizon.
- The algorithm only uses Long positions.
- Our professional team is monitoring the performance of all of our algorithms daily.

This strategy has been designed to be suitable for investment amounts from 5K upwards to very big volumes. The ETF's we are using have a very big liquidity so we hardly have any impact on the market with our volumes.

A PDF with backtesting results from 2004 to July 2019 is available upon request. We have tried our utmost best to avoid overtraining (design and validation on different periods, long period of paper trading etcetera).

Backtesting data is always hypothetical and it has not been verified by C2.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2019-07-19
Suggested Minimum Capital
$30,000
# Trades
76
# Profitable
35
% Profitable
46.1%
Net Dividends
($501)
Correlation S&P500
0.037
Sharpe Ratio
0.54
Sortino Ratio
3.49
Beta
0.65
Alpha
0.64
Leverage
3.31 Average
16.18 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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