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C2Star Strategy Momentum Mastery RTS C2Star: in evaluation Hypothetical

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This is an archived track record. This track record was archived on 3/13/20 11:55 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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Liftoff
(126389647)

Created by: v1Trader v1Trader
Started: 11/2019
Stocks
Last trade: 2,288 days ago
Trading style: Equity Short-term Reversal

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
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
-62.9%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(36.1%)
Max Drawdown
232
Num Trades
63.8%
Win Trades
0.4 : 1
Profit Factor
1.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                      (0.2%)+5.6%+5.4%
2020(7.5%)(8.9%)(16.7%)  -    -    -    -    -    -    -    -    -  (29.8%)
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2025  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2026  -    -    -    -    -    -                                      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 168 hours.

Trading Record

This strategy has placed 157 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 2311 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/13/20 9:49 RNG RINGCENTRAL INC. SHORT 5 181.83 3/13 9:50 181.17 n/a $3
Includes Typical Broker Commissions trade costs of $0.10
3/12/20 9:30 CYBR CYBERARK SOFTWARE LTD. ORDINAR LONG 27 79.42 3/13 9:50 81.92 0.12%
Trade id #128000924
Max drawdown($44)
Time3/12/20 9:51
Quant open27
Worst price77.79
Drawdown as % of equity-0.12%
 $67
Includes Typical Broker Commissions trade costs of $0.54
3/12/20 9:30 BIB PROSHARES ULTRA NASDAQ BIOTECH LONG 101 41.95 3/13 9:50 41.41 0.8%
Trade id #128001024
Max drawdown($288)
Time3/12/20 16:00
Quant open101
Worst price39.09
Drawdown as % of equity-0.80%
 ($57)
Includes Typical Broker Commissions trade costs of $2.02
3/10/20 11:24 VEEV VEEVA SYSTEMS INC LONG 17 139.00 3/13 9:50 138.46 0.31%
Trade id #127946722
Max drawdown($129)
Time3/12/20 0:00
Quant open17
Worst price131.41
Drawdown as % of equity-0.31%
 ($9)
Includes Typical Broker Commissions trade costs of $0.34
3/12/20 9:30 KEX KIRBY LONG 52 42.50 3/13 9:50 40.69 0.6%
Trade id #128000999
Max drawdown($216)
Time3/12/20 10:37
Quant open52
Worst price38.34
Drawdown as % of equity-0.60%
 ($95)
Includes Typical Broker Commissions trade costs of $1.04
3/11/20 9:30 SOXL DIREXION DAILY SEMICONDUCTOR BULL 3X ETF LONG 27 160.79 3/13 9:50 111.90 3.82%
Trade id #127970998
Max drawdown($1,586)
Time3/12/20 0:00
Quant open27
Worst price102.02
Drawdown as % of equity-3.82%
 ($1,321)
Includes Typical Broker Commissions trade costs of $0.54
3/10/20 11:30 UHS UNIVERSAL HEALTH SERVICES LONG 20 114.43 3/13 9:50 102.79 0.79%
Trade id #127947091
Max drawdown($328)
Time3/12/20 0:00
Quant open20
Worst price98.02
Drawdown as % of equity-0.79%
 ($233)
Includes Typical Broker Commissions trade costs of $0.40
3/10/20 9:57 TAL TAL EDUCATION GROUP LONG 43 54.65 3/13 9:50 53.58 0.52%
Trade id #127943070
Max drawdown($217)
Time3/12/20 0:00
Quant open43
Worst price49.60
Drawdown as % of equity-0.52%
 ($47)
Includes Typical Broker Commissions trade costs of $0.86
3/10/20 9:32 TMUS T-MOBILE US INC. COMMON STOCK LONG 15 81.98 3/13 9:49 79.44 0.2%
Trade id #127941288
Max drawdown($83)
Time3/12/20 0:00
Quant open15
Worst price76.41
Drawdown as % of equity-0.20%
 ($38)
Includes Typical Broker Commissions trade costs of $0.30
3/10/20 9:32 MSFT MICROSOFT LONG 7 158.16 3/13 9:49 144.80 0.33%
Trade id #127941284
Max drawdown($137)
Time3/12/20 0:00
Quant open7
Worst price138.58
Drawdown as % of equity-0.33%
 ($94)
Includes Typical Broker Commissions trade costs of $0.14
3/10/20 9:32 MKL MARKEL GROUP INC LONG 1 1115.97 3/13 9:49 984.05 0.43%
Trade id #127941281
Max drawdown($179)
Time3/12/20 0:00
Quant open1
Worst price936.82
Drawdown as % of equity-0.43%
 ($132)
Includes Typical Broker Commissions trade costs of $0.02
3/10/20 9:31 ENTG ENTEGRIS LONG 24 50.29 3/13 9:49 44.47 0.46%
Trade id #127941276
Max drawdown($190)
Time3/12/20 0:00
Quant open24
Worst price42.36
Drawdown as % of equity-0.46%
 ($140)
Includes Typical Broker Commissions trade costs of $0.48
3/10/20 9:31 NFLX NETFLIX LONG 3 356.43 3/13 9:49 321.30 0.35%
Trade id #127941273
Max drawdown($147)
Time3/12/20 0:00
Quant open3
Worst price307.32
Drawdown as % of equity-0.35%
 ($105)
Includes Typical Broker Commissions trade costs of $0.06
3/10/20 9:31 RNG RINGCENTRAL INC. LONG 5 211.66 3/13 9:49 181.87 0.39%
Trade id #127941271
Max drawdown($160)
Time3/12/20 0:00
Quant open5
Worst price179.54
Drawdown as % of equity-0.39%
 ($149)
Includes Typical Broker Commissions trade costs of $0.10
3/9/20 9:31 BDX BECTON DICKINSON LONG 10 231.05 3/13 9:49 223.13 0.25%
Trade id #127918192
Max drawdown($105)
Time3/12/20 0:00
Quant open10
Worst price220.54
Drawdown as % of equity-0.25%
 ($79)
Includes Typical Broker Commissions trade costs of $0.20
3/9/20 9:30 MELI MERCADOLIBRE LONG 5 554.96 3/13 9:49 558.19 0.4%
Trade id #127918104
Max drawdown($165)
Time3/12/20 0:00
Quant open2
Worst price472.25
Drawdown as % of equity-0.40%
 $16
Includes Typical Broker Commissions trade costs of $0.10
3/9/20 9:30 ROK ROCKWELL AUTOMATION LONG 13 156.42 3/13 9:49 158.19 0.36%
Trade id #127918119
Max drawdown($148)
Time3/12/20 0:00
Quant open13
Worst price144.97
Drawdown as % of equity-0.36%
 $23
Includes Typical Broker Commissions trade costs of $0.26
3/9/20 9:30 ADBE ADOBE INC LONG 10 313.74 3/13 9:49 314.79 0.52%
Trade id #127916536
Max drawdown($215)
Time3/12/20 0:00
Quant open7
Worst price283.00
Drawdown as % of equity-0.52%
 $10
Includes Typical Broker Commissions trade costs of $0.20
3/3/20 9:30 PLCE CHILDRENS PLACE INC. LONG 44 54.12 3/13 9:48 35.94 2.25%
Trade id #127823786
Max drawdown($933)
Time3/12/20 0:00
Quant open44
Worst price32.90
Drawdown as % of equity-2.25%
 ($801)
Includes Typical Broker Commissions trade costs of $0.88
3/2/20 9:36 SPXL DIREXION DAILY S&P 500 BULL 3X ETF LONG 95 50.25 3/13 9:48 30.16 5.37%
Trade id #127802825
Max drawdown($2,231)
Time3/12/20 0:00
Quant open95
Worst price26.76
Drawdown as % of equity-5.37%
 ($1,911)
Includes Typical Broker Commissions trade costs of $1.90
3/3/20 9:30 BURL BURLINGTON STORES INC LONG 26 209.60 3/12 9:31 181.96 1.85%
Trade id #127823759
Max drawdown($769)
Time3/12/20 9:31
Quant open26
Worst price180.00
Drawdown as % of equity-1.85%
 ($720)
Includes Typical Broker Commissions trade costs of $0.52
3/10/20 9:30 MASI MASIMO LONG 13 172.97 3/11 14:33 182.65 0.02%
Trade id #127941016
Max drawdown($10)
Time3/10/20 11:37
Quant open13
Worst price172.20
Drawdown as % of equity-0.02%
 $126
Includes Typical Broker Commissions trade costs of $0.26
3/10/20 9:31 FIS FIDELITY NATIONAL INFO LONG 9 134.99 3/11 9:32 136.53 0.08%
Trade id #127941268
Max drawdown($33)
Time3/10/20 11:37
Quant open9
Worst price131.24
Drawdown as % of equity-0.08%
 $14
Includes Typical Broker Commissions trade costs of $0.18
3/9/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 124 61.53 3/10 9:31 67.98 0.16%
Trade id #127917996
Max drawdown($65)
Time3/9/20 9:51
Quant open124
Worst price61.00
Drawdown as % of equity-0.16%
 $798
Includes Typical Broker Commissions trade costs of $2.48
3/2/20 10:05 TQQQ PROSHARES ULTRAPRO QQQ LONG 169 80.32 3/6 9:31 72.73 2.75%
Trade id #127803663
Max drawdown($1,300)
Time3/6/20 9:30
Quant open169
Worst price72.62
Drawdown as % of equity-2.75%
 ($1,285)
Includes Typical Broker Commissions trade costs of $3.38
3/2/20 10:02 CASY CASEY'S GENERAL STORES LONG 14 162.88 3/4 9:31 167.32 0.07%
Trade id #127803568
Max drawdown($30)
Time3/2/20 15:01
Quant open14
Worst price160.68
Drawdown as % of equity-0.07%
 $62
Includes Typical Broker Commissions trade costs of $0.28
3/2/20 10:09 COO THE COOPER COMPANIES INC. LONG 7 324.15 3/3 9:31 335.21 n/a $77
Includes Typical Broker Commissions trade costs of $0.14
3/2/20 9:36 MDT MEDTRONIC PLC LONG 23 100.62 3/3 9:30 103.19 0.09%
Trade id #127802824
Max drawdown($42)
Time3/3/20 0:00
Quant open23
Worst price98.79
Drawdown as % of equity-0.09%
 $59
Includes Typical Broker Commissions trade costs of $0.46
3/2/20 10:08 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 8 272.59 3/3 9:30 284.65 0.03%
Trade id #127803736
Max drawdown($11)
Time3/2/20 10:32
Quant open8
Worst price271.15
Drawdown as % of equity-0.03%
 $97
Includes Typical Broker Commissions trade costs of $0.16
3/2/20 10:17 MELI MERCADOLIBRE LONG 3 616.03 3/3 9:30 649.99 0.02%
Trade id #127803969
Max drawdown($7)
Time3/2/20 10:33
Quant open3
Worst price613.39
Drawdown as % of equity-0.02%
 $102
Includes Typical Broker Commissions trade costs of $0.06

Statistics

  • Strategy began
    11/27/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    2390.93
  • Age
    80 months ago
  • What it trades
    Stocks
  • # Trades
    232
  • # Profitable
    148
  • % Profitable
    63.80%
  • Avg trade duration
    5.2 days
  • Max peak-to-valley drawdown
    36.11%
  • drawdown period
    Jan 17, 2020 - March 13, 2020
  • Cumul. Return
    -25.8%
  • Avg win
    $64.80
  • Avg loss
    $264.37
  • Model Account Values (Raw)
  • Cash
    $37,490
  • Margin Used
    $0
  • Buying Power
    $37,490
  • Ratios
  • W:L ratio
    0.44:1
  • Sharpe Ratio
    -0.63
  • Sortino Ratio
    -0.68
  • Calmar Ratio
    -0.694
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -6.42%
  • Correlation to SP500
    0.25930
  • Return Percent SP500 (cumu) during strategy life
    135.29%
  • Return Statistics
  • Ann Return (w trading costs)
    -62.9%
  • Slump
  • Current Slump as Pcnt Equity
    46.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • 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)
    -0.258%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -4.3%
  • Automation
  • Percentage Signals Automated
    92.03%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    656
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    345
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $264
  • Avg Win
    $65
  • Sum Trade PL (losers)
    $22,207.000
  • Age
  • Num Months filled monthly returns table
    80
  • Win / Loss
  • Sum Trade PL (winners)
    $9,591.000
  • # Winners
    148
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    104
  • Win / Loss
  • # Losers
    84
  • % Winners
    63.8%
  • Frequency
  • Avg Position Time (mins)
    7466.78
  • Avg Position Time (hrs)
    124.45
  • Avg Trade Length
    5.2 days
  • Last Trade Ago
    2284
  • Leverage
  • Daily leverage (average)
    1.13
  • Daily leverage (max)
    2.81
  • Regression
  • Alpha
    -0.02
  • Beta
    0.11
  • Treynor Index
    -0.15
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.51
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -2.974
  • 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
    0.830
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.427
  • Hold-and-Hope Ratio
    -0.336
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.28088
  • SD
    0.24967
  • Sharpe ratio (Glass type estimate)
    -1.12503
  • Sharpe ratio (Hedges UMVUE)
    -0.63473
  • df
    2.00000
  • t
    -0.56251
  • p
    0.68480
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.05794
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.04393
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.60370
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.33424
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.48464
  • Upside Potential Ratio
    1.17416
  • Upside part of mean
    0.22214
  • Downside part of mean
    -0.50302
  • Upside SD
    0.11107
  • Downside SD
    0.18919
  • N nonnegative terms
    1.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    -0.10030
  • Mean of criterion
    -0.28088
  • SD of predictor
    0.15867
  • SD of criterion
    0.24967
  • Covariance
    0.03024
  • r
    0.76340
  • b (slope, estimate of beta)
    1.20119
  • a (intercept, estimate of alpha)
    -0.16040
  • Mean Square Error
    0.05201
  • DF error
    1.00000
  • t(b)
    1.18186
  • p(b)
    0.22353
  • t(a)
    -0.34319
  • p(a)
    0.60523
  • Lowerbound of 95% confidence interval for beta
    -11.71280
  • Upperbound of 95% confidence interval for beta
    14.11520
  • Lowerbound of 95% confidence interval for alpha
    -6.09905
  • Upperbound of 95% confidence interval for alpha
    5.77825
  • Treynor index (mean / b)
    -0.23383
  • Jensen alpha (a)
    -0.16040
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.30494
  • SD
    0.25245
  • Sharpe ratio (Glass type estimate)
    -1.20793
  • Sharpe ratio (Hedges UMVUE)
    -0.68150
  • df
    2.00000
  • t
    -0.60397
  • p
    0.69638
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.15340
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.98784
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.65792
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.29491
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.55203
  • Upside Potential Ratio
    1.09783
  • Upside part of mean
    0.21570
  • Downside part of mean
    -0.52064
  • Upside SD
    0.10785
  • Downside SD
    0.19648
  • N nonnegative terms
    1.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    -0.10914
  • Mean of criterion
    -0.30494
  • SD of predictor
    0.16187
  • SD of criterion
    0.25245
  • Covariance
    0.03163
  • r
    0.77415
  • b (slope, estimate of beta)
    1.20735
  • a (intercept, estimate of alpha)
    -0.17317
  • Mean Square Error
    0.05107
  • DF error
    1.00000
  • t(b)
    1.22299
  • p(b)
    0.21818
  • t(a)
    -0.37269
  • p(a)
    0.61355
  • Lowerbound of 95% confidence interval for beta
    -11.33640
  • Upperbound of 95% confidence interval for beta
    13.75110
  • Lowerbound of 95% confidence interval for alpha
    -6.07709
  • Upperbound of 95% confidence interval for alpha
    5.73075
  • Treynor index (mean / b)
    -0.25257
  • Jensen alpha (a)
    -0.17317
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13522
  • Expected Shortfall on VaR
    0.16085
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10109
  • Expected Shortfall on VaR
    0.12499
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.91663
  • Quartile 1
    0.93945
  • Median
    0.96227
  • Quartile 3
    1.01007
  • Maximum
    1.05786
  • Mean of quarter 1
    0.91663
  • Mean of quarter 2
    0.96227
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.05786
  • Inter Quartile Range
    0.07061
  • 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
    1.00000
  • Minimum
    0.11795
  • Quartile 1
    0.11795
  • Median
    0.11795
  • Quartile 3
    0.11795
  • Maximum
    0.11795
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.26766
  • Compounded annual return (geometric extrapolation)
    -0.24197
  • Calmar ratio (compounded annual return / max draw down)
    -2.05143
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.50429
  • 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
    -1.11905
  • SD
    0.37945
  • Sharpe ratio (Glass type estimate)
    -2.94910
  • Sharpe ratio (Hedges UMVUE)
    -2.91911
  • df
    74.00000
  • t
    -1.57786
  • p
    0.94057
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.63317
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.75452
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.61244
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.77421
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.20079
  • Upside Potential Ratio
    2.85699
  • Upside part of mean
    0.99885
  • Downside part of mean
    -2.11790
  • Upside SD
    0.15689
  • Downside SD
    0.34962
  • N nonnegative terms
    37.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    75.00000
  • Mean of predictor
    -0.72009
  • Mean of criterion
    -1.11905
  • SD of predictor
    0.33822
  • SD of criterion
    0.37945
  • Covariance
    0.08416
  • r
    0.65576
  • b (slope, estimate of beta)
    0.73571
  • a (intercept, estimate of alpha)
    -0.35700
  • Mean Square Error
    0.08319
  • DF error
    73.00000
  • t(b)
    7.42129
  • p(b)
    0.00000
  • t(a)
    -1.08362
  • p(a)
    0.85895
  • Lowerbound of 95% confidence interval for beta
    0.53813
  • Upperbound of 95% confidence interval for beta
    0.93329
  • Lowerbound of 95% confidence interval for alpha
    -1.67306
  • Upperbound of 95% confidence interval for alpha
    0.49451
  • Treynor index (mean / b)
    -1.52105
  • Jensen alpha (a)
    -0.58927
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.19623
  • SD
    0.39421
  • Sharpe ratio (Glass type estimate)
    -3.03452
  • Sharpe ratio (Hedges UMVUE)
    -3.00366
  • df
    74.00000
  • t
    -1.62357
  • p
    0.94564
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.72017
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.67110
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.69875
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.69142
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.25255
  • Upside Potential Ratio
    2.68312
  • Upside part of mean
    0.98681
  • Downside part of mean
    -2.18304
  • Upside SD
    0.15338
  • Downside SD
    0.36778
  • N nonnegative terms
    37.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    75.00000
  • Mean of predictor
    -0.77912
  • Mean of criterion
    -1.19623
  • SD of predictor
    0.34534
  • SD of criterion
    0.39421
  • Covariance
    0.09041
  • r
    0.66414
  • b (slope, estimate of beta)
    0.75813
  • a (intercept, estimate of alpha)
    -0.60557
  • Mean Square Error
    0.08805
  • DF error
    73.00000
  • t(b)
    7.59003
  • p(b)
    0.00000
  • t(a)
    -1.08131
  • p(a)
    0.85844
  • Lowerbound of 95% confidence interval for beta
    0.55906
  • Upperbound of 95% confidence interval for beta
    0.95720
  • Lowerbound of 95% confidence interval for alpha
    -1.72170
  • Upperbound of 95% confidence interval for alpha
    0.51057
  • Treynor index (mean / b)
    -1.57788
  • Jensen alpha (a)
    -0.60557
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04364
  • Expected Shortfall on VaR
    0.05329
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01837
  • Expected Shortfall on VaR
    0.03968
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    75.00000
  • Minimum
    0.86232
  • Quartile 1
    0.99611
  • Median
    1.00001
  • Quartile 3
    1.00494
  • Maximum
    1.06310
  • Mean of quarter 1
    0.96986
  • Mean of quarter 2
    0.99844
  • Mean of quarter 3
    1.00221
  • Mean of quarter 4
    1.01316
  • Inter Quartile Range
    0.00883
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.14667
  • Mean of outliers low
    0.95446
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.02667
  • Mean of outliers high
    1.05111
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09462
  • VaR(95%) (moments method)
    0.01532
  • Expected Shortfall (moments method)
    0.02398
  • Extreme Value Index (regression method)
    0.09926
  • VaR(95%) (regression method)
    0.03242
  • Expected Shortfall (regression method)
    0.05371
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00046
  • Quartile 1
    0.00127
  • Median
    0.00272
  • Quartile 3
    0.00481
  • Maximum
    0.33946
  • Mean of quarter 1
    0.00071
  • Mean of quarter 2
    0.00191
  • Mean of quarter 3
    0.00375
  • Mean of quarter 4
    0.17258
  • Inter Quartile Range
    0.00354
  • 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
    0.12500
  • Mean of outliers high
    0.33946
  • 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)
    -0.99303
  • Compounded annual return (geometric extrapolation)
    -0.68911
  • Calmar ratio (compounded annual return / max draw down)
    -2.03004
  • Compounded annual return / average of 25% largest draw downs
    -3.99291
  • Compounded annual return / Expected Shortfall lognormal
    -12.93180
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.02200
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -253121000
  • Max Equity Drawdown (num days)
    56

Strategy Description

Trading long-only swings with leveraged index ETFs. Informed by algorithms and macro news, trading manually. May day trade at times, so not likely appropriate for an IRA.
Trade this strategy at Tradier

Summary Statistics

Strategy began
2019-11-27
Suggested Minimum Capital
$15,000
# Trades
232
# Profitable
148
% Profitable
63.8%
Net Dividends
$103
Correlation S&P500
0.259
Sharpe Ratio
-0.63
Sortino Ratio
-0.68
Beta
0.11
Alpha
-0.02
Leverage
1.13 Average
2.81 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

subscribed on started simulation

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.