Collective2 Collective2
Featured Strategy Cryptoverse Followed by live capital $3.04 million Hypothetical

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This is an archived track record. This track record was archived on 5/23/20 0:55 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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VIXRIDE
(127234431)

Created by: ETFCapital ETFCapital
Started: 01/2020
Stocks
Last trade: 1,674 days ago

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 $95.00 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.

-47.9%
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.

(36.0%)
Max Drawdown
115
Num Trades
37.4%
Win Trades
0.9 : 1
Profit Factor
3.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020(3%)+6.1%(3.9%)(28.4%)+13.5%  -    -    -    -    -    -    -  (19.6%)
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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 168 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/22/20 11:10 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 200 42.07 5/23 0:55 42.01 0.16%
Trade id #129151818
Max drawdown($64)
Time5/22/20 12:12
Quant open200
Worst price41.75
Drawdown as % of equity-0.16%
 ($16)
Includes Typical Broker Commissions trade costs of $4.00
5/20/20 14:32 VSTM VERASTEM LONG 900 1.91 5/23 0:55 1.86 0.19%
Trade id #129113929
Max drawdown($79)
Time5/22/20 11:15
Quant open900
Worst price1.82
Drawdown as % of equity-0.19%
 ($50)
Includes Typical Broker Commissions trade costs of $5.00
5/7/20 14:46 TORC RESTORBIO INC. COMMON STOCK LONG 1,000 1.72 5/23 0:55 2.10 0.15%
Trade id #128912518
Max drawdown($59)
Time5/8/20 0:00
Quant open1,000
Worst price1.66
Drawdown as % of equity-0.15%
 $375
Includes Typical Broker Commissions trade costs of $5.00
5/7/20 13:55 TRIL TRILLIUM THERAPEUTICS INC. COM LONG 7,800 6.00 5/23 0:55 6.20 5.43%
Trade id #128911614
Max drawdown($2,330)
Time5/14/20 0:00
Quant open4,300
Worst price5.31
Drawdown as % of equity-5.43%
 $1,496
Includes Typical Broker Commissions trade costs of $17.50
5/7/20 13:55 GNPX GENPREX INC. COMMON STOCK LONG 9,000 3.23 5/23 0:55 3.05 5.63%
Trade id #128911608
Max drawdown($2,455)
Time5/20/20 0:00
Quant open5,800
Worst price2.81
Drawdown as % of equity-5.63%
 ($1,656)
Includes Typical Broker Commissions trade costs of $15.50
5/6/20 9:30 VSTM VERASTEM LONG 20,000 1.88 5/7 13:54 1.83 3.7%
Trade id #128888104
Max drawdown($1,500)
Time5/7/20 0:00
Quant open20,000
Worst price1.80
Drawdown as % of equity-3.70%
 ($908)
Includes Typical Broker Commissions trade costs of $7.50
5/5/20 15:51 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 4,000 7.51 5/6 9:30 7.40 1.89%
Trade id #128878965
Max drawdown($800)
Time5/6/20 0:00
Quant open4,000
Worst price7.31
Drawdown as % of equity-1.89%
 ($445)
Includes Typical Broker Commissions trade costs of $5.00
5/4/20 15:51 BNO UNITED STATES BRENT OIL LONG 6,000 7.33 5/6 9:30 8.04 0.32%
Trade id #128861441
Max drawdown($120)
Time5/4/20 15:54
Quant open6,000
Worst price7.31
Drawdown as % of equity-0.32%
 $4,218
Includes Typical Broker Commissions trade costs of $12.50
5/5/20 11:33 DGLD VELOCITYSHARES 3X INVERSE GOLD LONG 1,000 17.66 5/5 15:50 17.26 0.98%
Trade id #128874504
Max drawdown($409)
Time5/5/20 14:40
Quant open1,000
Worst price17.25
Drawdown as % of equity-0.98%
 ($405)
Includes Typical Broker Commissions trade costs of $5.00
5/4/20 15:04 UGAZ LONG 1,000 31.33 5/4 15:39 31.03 0.76%
Trade id #128860584
Max drawdown($289)
Time5/4/20 15:21
Quant open850
Worst price30.99
Drawdown as % of equity-0.76%
 ($304)
Includes Typical Broker Commissions trade costs of $6.50
5/4/20 15:05 FAZ DIREXION DAILY FINANCIAL BEAR LONG 500 26.62 5/4 15:38 26.18 0.72%
Trade id #128860602
Max drawdown($275)
Time5/4/20 15:37
Quant open500
Worst price26.07
Drawdown as % of equity-0.72%
 ($230)
Includes Typical Broker Commissions trade costs of $10.00
5/4/20 12:21 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 2,600 7.86 5/4 14:24 7.79 0.87%
Trade id #128858273
Max drawdown($337)
Time5/4/20 12:28
Quant open2,600
Worst price7.73
Drawdown as % of equity-0.87%
 ($190)
Includes Typical Broker Commissions trade costs of $7.50
5/4/20 11:56 DRV DIREXION DAILY REAL ES BEAR 3X LONG 2,000 24.29 5/4 14:24 24.07 1.07%
Trade id #128857864
Max drawdown($414)
Time5/4/20 14:13
Quant open900
Worst price23.83
Drawdown as % of equity-1.07%
 ($444)
Includes Typical Broker Commissions trade costs of $9.50
5/1/20 10:54 JNUG DIREXION DAILY JR GOLD BULL 2X LONG 410 76.05 5/4 10:48 82.19 0.26%
Trade id #128829914
Max drawdown($95)
Time5/1/20 10:57
Quant open340
Worst price75.00
Drawdown as % of equity-0.26%
 $2,511
Includes Typical Broker Commissions trade costs of $8.20
5/1/20 10:54 SCO PROSHARES ULTRASHORT BLOOMBERG LONG 500 49.31 5/4 10:48 48.33 3.23%
Trade id #128829908
Max drawdown($1,215)
Time5/1/20 14:28
Quant open500
Worst price46.88
Drawdown as % of equity-3.23%
 ($499)
Includes Typical Broker Commissions trade costs of $10.00
4/30/20 13:28 DSLV VELOCITYSHARES 3X INVERSE SILV LONG 2,600 18.43 5/1 10:53 18.45 4.33%
Trade id #128809212
Max drawdown($1,548)
Time4/30/20 15:23
Quant open2,400
Worst price17.78
Drawdown as % of equity-4.33%
 $61
Includes Typical Broker Commissions trade costs of $13.00
4/23/20 11:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 72 64.17 4/30 13:29 67.67 0.44%
Trade id #128712059
Max drawdown($176)
Time4/23/20 14:11
Quant open72
Worst price61.72
Drawdown as % of equity-0.44%
 $251
Includes Typical Broker Commissions trade costs of $1.44
4/24/20 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 300 31.68 4/30 13:29 32.83 n/a $337
Includes Typical Broker Commissions trade costs of $6.00
4/28/20 14:36 XOP SPDR S&P OIL & GAS EXPLORATION LONG 600 48.79 4/30 13:29 52.65 0.77%
Trade id #128774759
Max drawdown($270)
Time4/28/20 15:55
Quant open600
Worst price48.34
Drawdown as % of equity-0.77%
 $2,309
Includes Typical Broker Commissions trade costs of $8.50
4/30/20 10:34 JNUG DIREXION DAILY JR GOLD BULL 2X LONG 400 83.13 4/30 11:46 81.59 2.15%
Trade id #128805081
Max drawdown($809)
Time4/30/20 11:45
Quant open400
Worst price81.11
Drawdown as % of equity-2.15%
 ($625)
Includes Typical Broker Commissions trade costs of $8.00
4/28/20 14:37 UNG UNITED STATES NATURAL GAS LONG 2,000 13.22 4/30 10:30 12.97 1.84%
Trade id #128774769
Max drawdown($690)
Time4/30/20 9:46
Quant open2,000
Worst price12.88
Drawdown as % of equity-1.84%
 ($518)
Includes Typical Broker Commissions trade costs of $7.50
4/27/20 13:42 UGLD VELOCITYSHARES 3X LONG GOLD ET LONG 140 187.47 4/28 11:29 185.10 2.55%
Trade id #128756397
Max drawdown($914)
Time4/28/20 0:00
Quant open140
Worst price180.94
Drawdown as % of equity-2.55%
 ($335)
Includes Typical Broker Commissions trade costs of $2.80
4/27/20 11:51 DGAZ VELOCITYSHARES 3X INV NATURAL LONG 140 244.22 4/27 13:25 226.41 7.85%
Trade id #128754438
Max drawdown($2,797)
Time4/27/20 13:25
Quant open115
Worst price219.89
Drawdown as % of equity-7.85%
 ($2,496)
Includes Typical Broker Commissions trade costs of $2.80
4/22/20 15:41 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 800 45.72 4/27 11:30 45.45 1.18%
Trade id #128695481
Max drawdown($451)
Time4/27/20 11:25
Quant open350
Worst price44.43
Drawdown as % of equity-1.18%
 ($234)
Includes Typical Broker Commissions trade costs of $16.00
4/23/20 11:54 UGLD VELOCITYSHARES 3X LONG GOLD ET LONG 53 196.99 4/27 11:30 190.90 0.84%
Trade id #128712063
Max drawdown($335)
Time4/24/20 0:00
Quant open38
Worst price188.15
Drawdown as % of equity-0.84%
 ($324)
Includes Typical Broker Commissions trade costs of $1.06
4/24/20 15:44 BZQ PROSHARES ULTRASHORT MSCI BRAZ LONG 500 36.45 4/27 9:31 33.90 3.27%
Trade id #128734228
Max drawdown($1,317)
Time4/27/20 9:31
Quant open500
Worst price33.82
Drawdown as % of equity-3.27%
 ($1,285)
Includes Typical Broker Commissions trade costs of $10.00
4/23/20 14:34 GUSH DIREXION DAILY S&P OIL GAS EXPL BULL 2X LONG 400 30.62 4/24 14:34 30.72 1.74%
Trade id #128714899
Max drawdown($692)
Time4/24/20 0:00
Quant open400
Worst price28.89
Drawdown as % of equity-1.74%
 $32
Includes Typical Broker Commissions trade costs of $8.00
4/22/20 15:39 ERY DIREXION DAILY ENERGY BEAR 2X LONG 200 78.50 4/23 11:52 71.74 4.04%
Trade id #128695448
Max drawdown($1,708)
Time4/23/20 0:00
Quant open200
Worst price69.96
Drawdown as % of equity-4.04%
 ($1,356)
Includes Typical Broker Commissions trade costs of $4.00
4/22/20 15:38 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 118 267.39 4/23 11:52 257.99 4.36%
Trade id #128695429
Max drawdown($1,844)
Time4/23/20 0:00
Quant open108
Worst price250.31
Drawdown as % of equity-4.36%
 ($1,111)
Includes Typical Broker Commissions trade costs of $2.36
4/21/20 13:27 ERY DIREXION DAILY ENERGY BEAR 2X LONG 400 85.69 4/22 13:23 80.11 7.93%
Trade id #128677753
Max drawdown($4,004)
Time4/22/20 0:00
Quant open400
Worst price75.68
Drawdown as % of equity-7.93%
 ($2,240)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    1/27/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1787.39
  • Age
    60 months ago
  • What it trades
    Stocks
  • # Trades
    115
  • # Profitable
    43
  • % Profitable
    37.40%
  • Avg trade duration
    1.6 days
  • Max peak-to-valley drawdown
    36.04%
  • drawdown period
    March 26, 2020 - April 29, 2020
  • Cumul. Return
    -19.3%
  • Avg win
    $1,571
  • Avg loss
    $1,056
  • Model Account Values (Raw)
  • Cash
    $41,485
  • Margin Used
    $0
  • Buying Power
    $41,485
  • Ratios
  • W:L ratio
    0.89:1
  • Sharpe Ratio
    -0.22
  • Sortino Ratio
    -0.31
  • Calmar Ratio
    -0.563
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -10.38%
  • Correlation to SP500
    0.08300
  • Return Percent SP500 (cumu) during strategy life
    82.85%
  • Return Statistics
  • Ann Return (w trading costs)
    -47.9%
  • Slump
  • Current Slump as Pcnt Equity
    36.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.97%
  • 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)
    -0.193%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -3.7%
  • Automation
  • Percentage Signals Automated
    1.53%
  • Popularity
  • Popularity (Today)
    359
  • Popularity (Last 6 weeks)
    870
  • 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
    $1,056
  • Avg Win
    $1,571
  • Sum Trade PL (losers)
    $76,060.000
  • Age
  • Num Months filled monthly returns table
    60
  • Win / Loss
  • Sum Trade PL (winners)
    $67,559.000
  • # Winners
    43
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    -18
  • Win / Loss
  • # Losers
    72
  • % Winners
    37.4%
  • Frequency
  • Avg Position Time (mins)
    2244.83
  • Avg Position Time (hrs)
    37.41
  • Avg Trade Length
    1.6 days
  • Last Trade Ago
    1671
  • Leverage
  • Daily leverage (average)
    2.40
  • Daily leverage (max)
    7.58
  • Regression
  • Alpha
    -0.02
  • Beta
    0.07
  • Treynor Index
    -0.18
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.04
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -3.152
  • 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
    0.467
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.360
  • Hold-and-Hope Ratio
    -0.317
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.01905
  • SD
    0.66648
  • Sharpe ratio (Glass type estimate)
    -1.52900
  • Sharpe ratio (Hedges UMVUE)
    -0.86265
  • df
    2.00000
  • t
    -0.76450
  • p
    0.73777
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.53768
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77997
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.87270
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14740
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.68022
  • Upside Potential Ratio
    0.40156
  • Upside part of mean
    0.24355
  • Downside part of mean
    -1.26260
  • Upside SD
    0.12177
  • Downside SD
    0.60650
  • 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
    -0.38817
  • Mean of criterion
    -1.01905
  • SD of predictor
    0.53932
  • SD of criterion
    0.66648
  • Covariance
    -0.28003
  • r
    -0.77905
  • b (slope, estimate of beta)
    -0.96274
  • a (intercept, estimate of alpha)
    -1.39276
  • Mean Square Error
    0.34921
  • DF error
    1.00000
  • t(b)
    -1.24258
  • p(b)
    0.78430
  • t(a)
    -1.14203
  • p(a)
    0.77107
  • Lowerbound of 95% confidence interval for beta
    -10.80730
  • Upperbound of 95% confidence interval for beta
    8.88184
  • Lowerbound of 95% confidence interval for alpha
    -16.88860
  • Upperbound of 95% confidence interval for alpha
    14.10310
  • Treynor index (mean / b)
    1.05850
  • Jensen alpha (a)
    -1.39276
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.25836
  • SD
    0.77827
  • Sharpe ratio (Glass type estimate)
    -1.61686
  • Sharpe ratio (Hedges UMVUE)
    -0.91222
  • df
    2.00000
  • t
    -0.80843
  • p
    0.74814
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.64682
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.72553
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.93278
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.10835
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.74204
  • Upside Potential Ratio
    0.32729
  • Upside part of mean
    0.23642
  • Downside part of mean
    -1.49478
  • Upside SD
    0.11821
  • Downside SD
    0.72235
  • 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
    -0.49875
  • Mean of criterion
    -1.25836
  • SD of predictor
    0.55981
  • SD of criterion
    0.77827
  • Covariance
    -0.33534
  • r
    -0.76967
  • b (slope, estimate of beta)
    -1.07003
  • a (intercept, estimate of alpha)
    -1.79204
  • Mean Square Error
    0.49378
  • DF error
    1.00000
  • t(b)
    -1.20556
  • p(b)
    0.77958
  • t(a)
    -1.21621
  • p(a)
    0.78096
  • Lowerbound of 95% confidence interval for beta
    -12.34780
  • Upperbound of 95% confidence interval for beta
    10.20780
  • Lowerbound of 95% confidence interval for alpha
    -20.51410
  • Upperbound of 95% confidence interval for alpha
    16.93000
  • Treynor index (mean / b)
    1.17600
  • Jensen alpha (a)
    -1.79204
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.37775
  • Expected Shortfall on VaR
    0.43161
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.28640
  • Expected Shortfall on VaR
    0.47115
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.69701
  • Quartile 1
    0.84218
  • Median
    0.98734
  • Quartile 3
    1.02411
  • Maximum
    1.06089
  • Mean of quarter 1
    0.69701
  • Mean of quarter 2
    0.98734
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.06089
  • Inter Quartile Range
    0.18194
  • 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
    0.31181
  • Quartile 1
    0.31181
  • Median
    0.31181
  • Quartile 3
    0.31181
  • Maximum
    0.31181
  • 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)
    -1.07965
  • Compounded annual return (geometric extrapolation)
    -0.71588
  • Calmar ratio (compounded annual return / max draw down)
    -2.29586
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.65864
  • 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
    -0.31441
  • SD
    0.68604
  • Sharpe ratio (Glass type estimate)
    -0.45830
  • Sharpe ratio (Hedges UMVUE)
    -0.45414
  • df
    83.00000
  • t
    -0.25950
  • p
    0.60205
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.91914
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.00518
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.91629
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.00800
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.65392
  • Upside Potential Ratio
    7.47236
  • Upside part of mean
    3.59279
  • Downside part of mean
    -3.90720
  • Upside SD
    0.48399
  • Downside SD
    0.48081
  • N nonnegative terms
    44.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    84.00000
  • Mean of predictor
    -0.13860
  • Mean of criterion
    -0.31441
  • SD of predictor
    0.55138
  • SD of criterion
    0.68604
  • Covariance
    0.04306
  • r
    0.11384
  • b (slope, estimate of beta)
    0.14164
  • a (intercept, estimate of alpha)
    -0.19900
  • Mean Square Error
    0.47022
  • DF error
    82.00000
  • t(b)
    1.03756
  • p(b)
    0.15126
  • t(a)
    -0.24338
  • p(a)
    0.59584
  • Lowerbound of 95% confidence interval for beta
    -0.12992
  • Upperbound of 95% confidence interval for beta
    0.41320
  • Lowerbound of 95% confidence interval for alpha
    -2.70424
  • Upperbound of 95% confidence interval for alpha
    2.11468
  • Treynor index (mean / b)
    -2.21983
  • Jensen alpha (a)
    -0.29478
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.54692
  • SD
    0.68552
  • Sharpe ratio (Glass type estimate)
    -0.79781
  • Sharpe ratio (Hedges UMVUE)
    -0.79058
  • df
    83.00000
  • t
    -0.45174
  • p
    0.67368
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.25904
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.66813
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.25413
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67296
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.09162
  • Upside Potential Ratio
    6.95066
  • Upside part of mean
    3.48237
  • Downside part of mean
    -4.02929
  • Upside SD
    0.46311
  • Downside SD
    0.50101
  • N nonnegative terms
    44.00000
  • N negative terms
    40.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    84.00000
  • Mean of predictor
    -0.29020
  • Mean of criterion
    -0.54692
  • SD of predictor
    0.55519
  • SD of criterion
    0.68552
  • Covariance
    0.03985
  • r
    0.10469
  • b (slope, estimate of beta)
    0.12927
  • a (intercept, estimate of alpha)
    -0.50940
  • Mean Square Error
    0.47046
  • DF error
    82.00000
  • t(b)
    0.95327
  • p(b)
    0.17163
  • t(a)
    -0.42030
  • p(a)
    0.66232
  • Lowerbound of 95% confidence interval for beta
    -0.14049
  • Upperbound of 95% confidence interval for beta
    0.39903
  • Lowerbound of 95% confidence interval for alpha
    -2.92044
  • Upperbound of 95% confidence interval for alpha
    1.90164
  • Treynor index (mean / b)
    -4.23088
  • Jensen alpha (a)
    -0.50940
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06924
  • Expected Shortfall on VaR
    0.08545
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03341
  • Expected Shortfall on VaR
    0.06489
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    84.00000
  • Minimum
    0.86421
  • Quartile 1
    0.98117
  • Median
    1.00000
  • Quartile 3
    1.01454
  • Maximum
    1.13696
  • Mean of quarter 1
    0.94690
  • Mean of quarter 2
    0.99344
  • Mean of quarter 3
    1.00595
  • Mean of quarter 4
    1.04890
  • Inter Quartile Range
    0.03337
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.05952
  • Mean of outliers low
    0.91254
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.04762
  • Mean of outliers high
    1.10307
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.15405
  • VaR(95%) (moments method)
    0.04793
  • Expected Shortfall (moments method)
    0.05097
  • Extreme Value Index (regression method)
    -0.17130
  • VaR(95%) (regression method)
    0.04527
  • Expected Shortfall (regression method)
    0.05738
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00042
  • Quartile 1
    0.04796
  • Median
    0.06688
  • Quartile 3
    0.22570
  • Maximum
    0.32860
  • Mean of quarter 1
    0.02419
  • Mean of quarter 2
    0.06688
  • Mean of quarter 3
    0.22570
  • Mean of quarter 4
    0.32860
  • Inter Quartile Range
    0.17774
  • 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)
    -0.50165
  • Compounded annual return (geometric extrapolation)
    -0.42127
  • Calmar ratio (compounded annual return / max draw down)
    -1.28202
  • Compounded annual return / average of 25% largest draw downs
    -1.28202
  • Compounded annual return / Expected Shortfall lognormal
    -4.92996
  • 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)
    0.04100
  • 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?
    -256469000
  • Max Equity Drawdown (num days)
    34

Strategy Description

ETFEXTREME TRADES ETFS AND STOCKS LONG AND SHORT
Trading is risky, you may lose money doing so.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-01-27
Suggested Minimum Capital
$35,000
# Trades
115
# Profitable
43
% Profitable
37.4%
Net Dividends
($18)
Correlation S&P500
0.083
Sharpe Ratio
-0.22
Sortino Ratio
-0.31
Beta
0.07
Alpha
-0.02
Leverage
2.40 Average
7.58 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

#PERSONNAME#
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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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.