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These are hypothetical performance results that have certain inherent limitations. Learn more

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 02/05/2021
Most recent certification approved 3/19/21 9:30 ET
Trades at broker Interactive Brokers (Server 3)
Scaling percentage used 300%
# trading signals issued by system since certification 66
# trading signals executed in manager's Interactive Brokers (Server 3) account 59
Percent signals followed since 02/05/2021 89.4%
This information was last updated 6/11/21 9:30 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 02/05/2021, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Juicy x 3
(130471728)

Created by: mdub mdub
Started: 08/2020
Stocks
Last trade: 2 days ago
Trading style: Equity Trend-following Sector: Technology

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 $69.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
31.3%
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.

(25.5%)
Max Drawdown
105
Num Trades
58.1%
Win Trades
1.4 : 1
Profit Factor
63.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                 +23.1%(11.5%)(7.6%)+9.7%+7.8%+19.1%
2021(6.6%)(1.4%)+6.9%+5.1%+5.2%+1.3%                                    +10.2%

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 48 hours.

Trading Record

This strategy has placed 170 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/17/21 9:30 FAS DIREXION DAILY FINANCIAL BULL LONG 70 120.32 6/10 9:30 121.77 3.23%
Trade id #135643908
Max drawdown($770)
Time5/19/21 0:00
Quant open70
Worst price109.32
Drawdown as % of equity-3.23%
$101
Includes Typical Broker Commissions trade costs of $1.40
5/5/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 77 102.07 5/27 9:30 102.40 4.64%
Trade id #135458220
Max drawdown($1,135)
Time5/12/21 0:00
Quant open77
Worst price87.32
Drawdown as % of equity-4.64%
$23
Includes Typical Broker Commissions trade costs of $1.54
4/26/21 9:30 FAS DIREXION DAILY FINANCIAL BULL LONG 79 102.90 5/12 9:30 117.39 0.14%
Trade id #135316282
Max drawdown($34)
Time4/26/21 15:30
Quant open79
Worst price102.46
Drawdown as % of equity-0.14%
$1,143
Includes Typical Broker Commissions trade costs of $1.58
5/6/21 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 73 97.63 5/12 9:30 94.10 1.22%
Trade id #135481998
Max drawdown($308)
Time5/11/21 0:00
Quant open73
Worst price93.41
Drawdown as % of equity-1.22%
($259)
Includes Typical Broker Commissions trade costs of $1.46
4/22/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 69 108.49 4/29 9:30 112.00 1.31%
Trade id #135265643
Max drawdown($313)
Time4/22/21 14:02
Quant open69
Worst price103.94
Drawdown as % of equity-1.31%
$241
Includes Typical Broker Commissions trade costs of $1.38
4/22/21 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 71 97.85 4/29 9:30 100.89 1%
Trade id #135265658
Max drawdown($241)
Time4/22/21 14:02
Quant open71
Worst price94.45
Drawdown as % of equity-1.00%
$215
Includes Typical Broker Commissions trade costs of $1.42
4/21/21 9:30 FAZ DIREXION DAILY FINANCIAL BEAR LONG 260 33.00 4/22 9:30 31.33 1.89%
Trade id #135247308
Max drawdown($457)
Time4/21/21 16:00
Quant open260
Worst price31.24
Drawdown as % of equity-1.89%
($439)
Includes Typical Broker Commissions trade costs of $5.20
4/16/21 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 72 98.91 4/20 9:30 96.48 0.74%
Trade id #135183498
Max drawdown($182)
Time4/19/21 0:00
Quant open72
Worst price96.37
Drawdown as % of equity-0.74%
($176)
Includes Typical Broker Commissions trade costs of $1.44
4/16/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 70 111.73 4/20 9:30 108.12 1.4%
Trade id #135183520
Max drawdown($348)
Time4/19/21 0:00
Quant open70
Worst price106.75
Drawdown as % of equity-1.40%
($254)
Includes Typical Broker Commissions trade costs of $1.40
4/12/21 9:30 FAS DIREXION DAILY FINANCIAL BULL LONG 85 99.87 4/15 9:30 101.01 1.18%
Trade id #135101201
Max drawdown($291)
Time4/13/21 0:00
Quant open85
Worst price96.44
Drawdown as % of equity-1.18%
$95
Includes Typical Broker Commissions trade costs of $1.70
3/25/21 9:30 FAS DIREXION DAILY FINANCIAL BULL LONG 87 84.56 4/8 9:30 96.09 0.67%
Trade id #134856616
Max drawdown($150)
Time3/25/21 9:55
Quant open87
Worst price82.83
Drawdown as % of equity-0.67%
$1,001
Includes Typical Broker Commissions trade costs of $1.74
3/26/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 77 84.68 4/7 9:30 100.99 0.39%
Trade id #134880045
Max drawdown($88)
Time3/26/21 14:50
Quant open77
Worst price83.53
Drawdown as % of equity-0.39%
$1,254
Includes Typical Broker Commissions trade costs of $1.54
3/26/21 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 85 81.61 3/31 9:30 84.32 0.15%
Trade id #134880047
Max drawdown($34)
Time3/26/21 14:50
Quant open85
Worst price81.20
Drawdown as % of equity-0.15%
$228
Includes Typical Broker Commissions trade costs of $1.70
3/23/21 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 87 82.28 3/25 9:30 78.56 1.5%
Trade id #134796908
Max drawdown($347)
Time3/25/21 9:30
Quant open87
Worst price78.29
Drawdown as % of equity-1.50%
($326)
Includes Typical Broker Commissions trade costs of $1.74
3/23/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 79 91.91 3/25 9:30 83.54 2.97%
Trade id #134796900
Max drawdown($686)
Time3/25/21 9:30
Quant open79
Worst price83.22
Drawdown as % of equity-2.97%
($663)
Includes Typical Broker Commissions trade costs of $1.58
3/22/21 9:30 FAZ DIREXION DAILY FINANCIAL BEAR LONG 207 35.49 3/24 9:30 36.81 0.15%
Trade id #134760948
Max drawdown($34)
Time3/22/21 9:51
Quant open207
Worst price35.32
Drawdown as % of equity-0.15%
$269
Includes Typical Broker Commissions trade costs of $4.14
3/16/21 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 96 84.85 3/19 9:30 81.07 1.62%
Trade id #134644441
Max drawdown($389)
Time3/18/21 0:00
Quant open96
Worst price80.79
Drawdown as % of equity-1.62%
($365)
Includes Typical Broker Commissions trade costs of $1.92
3/5/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 80 81.77 3/19 9:30 85.27 2.52%
Trade id #134442860
Max drawdown($539)
Time3/5/21 11:28
Quant open80
Worst price75.03
Drawdown as % of equity-2.52%
$278
Includes Typical Broker Commissions trade costs of $1.60
3/8/21 9:30 FAS DIREXION DAILY FINANCIAL BULL LONG 55 88.74 3/16 9:30 93.52 0.75%
Trade id #134480822
Max drawdown($163)
Time3/9/21 0:00
Quant open55
Worst price85.77
Drawdown as % of equity-0.75%
$262
Includes Typical Broker Commissions trade costs of $1.10
3/5/21 9:35 SPXL DIREXION DAILY S&P500 BULL 3X LONG 109 74.10 3/12 9:30 81.67 1.95%
Trade id #134443387
Max drawdown($417)
Time3/5/21 11:28
Quant open109
Worst price70.27
Drawdown as % of equity-1.95%
$823
Includes Typical Broker Commissions trade costs of $2.18
3/2/21 9:30 FAS DIREXION DAILY FINANCIAL BULL LONG 58 85.06 3/5 9:30 85.88 1.64%
Trade id #134361105
Max drawdown($361)
Time3/4/21 0:00
Quant open58
Worst price78.82
Drawdown as % of equity-1.64%
$47
Includes Typical Broker Commissions trade costs of $1.16
2/25/21 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 87 81.35 2/26 9:30 77.20 2.36%
Trade id #134276434
Max drawdown($534)
Time2/25/21 15:38
Quant open87
Worst price75.21
Drawdown as % of equity-2.36%
($363)
Includes Typical Broker Commissions trade costs of $1.74
2/25/21 10:31 FAS DIREXION DAILY FINANCIAL BULL LONG 99 87.11 2/26 9:30 81.43 4.63%
Trade id #134280487
Max drawdown($1,022)
Time2/26/21 0:00
Quant open99
Worst price76.78
Drawdown as % of equity-4.63%
($564)
Includes Typical Broker Commissions trade costs of $1.98
2/23/21 9:30 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 108 59.75 2/25 12:58 54.66 2.42%
Trade id #134220959
Max drawdown($562)
Time2/25/21 12:58
Quant open108
Worst price54.54
Drawdown as % of equity-2.42%
($552)
Includes Typical Broker Commissions trade costs of $2.16
2/22/21 9:30 FAS DIREXION DAILY FINANCIAL BULL LONG 102 78.17 2/24 9:32 83.80 n/a $572
Includes Typical Broker Commissions trade costs of $2.04
2/19/21 10:11 TQQQ PROSHARES ULTRAPRO QQQ LONG 68 106.22 2/22 11:07 98.15 2.41%
Trade id #134159865
Max drawdown($558)
Time2/22/21 11:07
Quant open68
Worst price98.00
Drawdown as % of equity-2.41%
($550)
Includes Typical Broker Commissions trade costs of $1.36
2/18/21 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 88 80.82 2/22 9:30 79.47 0.6%
Trade id #134130556
Max drawdown($141)
Time2/22/21 9:30
Quant open88
Worst price79.21
Drawdown as % of equity-0.60%
($121)
Includes Typical Broker Commissions trade costs of $1.76
2/17/21 9:30 FAS DIREXION DAILY FINANCIAL BULL LONG 105 76.11 2/18 10:27 75.52 0.37%
Trade id #134105781
Max drawdown($90)
Time2/17/21 9:38
Quant open105
Worst price75.25
Drawdown as % of equity-0.37%
($64)
Includes Typical Broker Commissions trade costs of $2.10
2/5/21 9:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 70 104.21 2/18 10:06 103.36 0.29%
Trade id #133871159
Max drawdown($70)
Time2/18/21 10:06
Quant open70
Worst price103.20
Drawdown as % of equity-0.29%
($61)
Includes Typical Broker Commissions trade costs of $1.40
2/9/21 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 90 80.94 2/17 9:38 80.72 0.51%
Trade id #133937820
Max drawdown($120)
Time2/10/21 0:00
Quant open90
Worst price79.60
Drawdown as % of equity-0.51%
($22)
Includes Typical Broker Commissions trade costs of $1.80

Statistics

  • Strategy began
    8/5/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    311.04
  • Age
    10 months ago
  • What it trades
    Stocks
  • # Trades
    105
  • # Profitable
    61
  • % Profitable
    58.10%
  • Avg trade duration
    4.8 days
  • Max peak-to-valley drawdown
    25.53%
  • drawdown period
    Sept 02, 2020 - Nov 10, 2020
  • Cumul. Return
    31.3%
  • Avg win
    $433.64
  • Avg loss
    $428.23
  • Model Account Values (Raw)
  • Cash
    $23,200
  • Margin Used
    $0
  • Buying Power
    $24,344
  • Ratios
  • W:L ratio
    1.40:1
  • Sharpe Ratio
    1.08
  • Sortino Ratio
    1.49
  • Calmar Ratio
    2.127
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    3.66%
  • Correlation to SP500
    0.44220
  • Return Percent SP500 (cumu) during strategy life
    27.64%
  • Return Statistics
  • Ann Return (w trading costs)
    37.1%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    16.870%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.313%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    45.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    42.50%
  • Chance of 20% account loss
    8.50%
  • Chance of 30% account loss
    1.50%
  • 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
    51.59%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    500
  • Popularity (Last 6 weeks)
    954
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    778
  • Popularity (7 days, Percentile 1000 scale)
    939
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    300%
  • Win / Loss
  • Avg Loss
    $428
  • Avg Win
    $434
  • Sum Trade PL (losers)
    $18,842.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $26,452.000
  • # Winners
    61
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    10
  • AUM
  • AUM (AutoTrader live capital)
    82144
  • Win / Loss
  • # Losers
    44
  • % Winners
    58.1%
  • Frequency
  • Avg Position Time (mins)
    6862.98
  • Avg Position Time (hrs)
    114.38
  • Avg Trade Length
    4.8 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.89
  • Daily leverage (max)
    3.13
  • Regression
  • Alpha
    0.04
  • Beta
    0.74
  • Treynor Index
    0.13
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.98
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    7.054
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.533
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.200
  • Hold-and-Hope Ratio
    0.146
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37512
  • SD
    0.24332
  • Sharpe ratio (Glass type estimate)
    1.54168
  • Sharpe ratio (Hedges UMVUE)
    1.40890
  • df
    9.00000
  • t
    1.40736
  • p
    0.09645
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.75506
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.76250
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83461
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.65242
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.59555
  • Upside Potential Ratio
    4.85693
  • Upside part of mean
    0.50672
  • Downside part of mean
    -0.13160
  • Upside SD
    0.23265
  • Downside SD
    0.10433
  • N nonnegative terms
    7.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.26372
  • Mean of criterion
    0.37512
  • SD of predictor
    0.08700
  • SD of criterion
    0.24332
  • Covariance
    0.00495
  • r
    0.23379
  • b (slope, estimate of beta)
    0.65385
  • a (intercept, estimate of alpha)
    0.20269
  • Mean Square Error
    0.06297
  • DF error
    8.00000
  • t(b)
    0.68010
  • p(b)
    0.25782
  • t(a)
    0.54201
  • p(a)
    0.30129
  • Lowerbound of 95% confidence interval for beta
    -1.56315
  • Upperbound of 95% confidence interval for beta
    2.87086
  • Lowerbound of 95% confidence interval for alpha
    -0.65966
  • Upperbound of 95% confidence interval for alpha
    1.06503
  • Treynor index (mean / b)
    0.57371
  • Jensen alpha (a)
    0.20269
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34366
  • SD
    0.23509
  • Sharpe ratio (Glass type estimate)
    1.46185
  • Sharpe ratio (Hedges UMVUE)
    1.33595
  • df
    9.00000
  • t
    1.33448
  • p
    0.10741
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82231
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.67322
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89803
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.56992
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.14507
  • Upside Potential Ratio
    4.39952
  • Upside part of mean
    0.48073
  • Downside part of mean
    -0.13707
  • Upside SD
    0.21827
  • Downside SD
    0.10927
  • N nonnegative terms
    7.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.25700
  • Mean of criterion
    0.34366
  • SD of predictor
    0.08525
  • SD of criterion
    0.23509
  • Covariance
    0.00435
  • r
    0.21691
  • b (slope, estimate of beta)
    0.59817
  • a (intercept, estimate of alpha)
    0.18993
  • Mean Square Error
    0.05925
  • DF error
    8.00000
  • t(b)
    0.62848
  • p(b)
    0.27360
  • t(a)
    0.52488
  • p(a)
    0.30695
  • Lowerbound of 95% confidence interval for beta
    -1.59664
  • Upperbound of 95% confidence interval for beta
    2.79299
  • Lowerbound of 95% confidence interval for alpha
    -0.64449
  • Upperbound of 95% confidence interval for alpha
    1.02435
  • Treynor index (mean / b)
    0.57452
  • Jensen alpha (a)
    0.18993
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07964
  • Expected Shortfall on VaR
    0.10509
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01695
  • Expected Shortfall on VaR
    0.04038
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.90773
  • Quartile 1
    0.99990
  • Median
    1.01754
  • Quartile 3
    1.06733
  • Maximum
    1.16625
  • Mean of quarter 1
    0.96577
  • Mean of quarter 2
    1.00997
  • Mean of quarter 3
    1.03818
  • Mean of quarter 4
    1.11409
  • Inter Quartile Range
    0.06744
  • 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)
    1.25193
  • VaR(95%) (moments method)
    0.02821
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    3.42243
  • VaR(95%) (regression method)
    0.19500
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01039
  • Quartile 1
    0.03086
  • Median
    0.05133
  • Quartile 3
    0.07180
  • Maximum
    0.09227
  • Mean of quarter 1
    0.01039
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09227
  • Inter Quartile Range
    0.04094
  • 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)
    0.43552
  • Compounded annual return (geometric extrapolation)
    0.45000
  • Calmar ratio (compounded annual return / max draw down)
    4.87693
  • Compounded annual return / average of 25% largest draw downs
    4.87693
  • Compounded annual return / Expected Shortfall lognormal
    4.28216
  • 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
    0.38721
  • SD
    0.25303
  • Sharpe ratio (Glass type estimate)
    1.53034
  • Sharpe ratio (Hedges UMVUE)
    1.52509
  • df
    219.00000
  • t
    1.40233
  • p
    0.08112
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61507
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.67229
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.61855
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.66874
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.14054
  • Upside Potential Ratio
    9.47146
  • Upside part of mean
    1.71335
  • Downside part of mean
    -1.32613
  • Upside SD
    0.17771
  • Downside SD
    0.18090
  • N nonnegative terms
    121.00000
  • N negative terms
    99.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    220.00000
  • Mean of predictor
    0.27529
  • Mean of criterion
    0.38721
  • SD of predictor
    0.15779
  • SD of criterion
    0.25303
  • Covariance
    0.01796
  • r
    0.44985
  • b (slope, estimate of beta)
    0.72135
  • a (intercept, estimate of alpha)
    0.18900
  • Mean Square Error
    0.05130
  • DF error
    218.00000
  • t(b)
    7.43685
  • p(b)
    0.00000
  • t(a)
    0.75877
  • p(a)
    0.22440
  • Lowerbound of 95% confidence interval for beta
    0.53018
  • Upperbound of 95% confidence interval for beta
    0.91252
  • Lowerbound of 95% confidence interval for alpha
    -0.30135
  • Upperbound of 95% confidence interval for alpha
    0.67863
  • Treynor index (mean / b)
    0.53679
  • Jensen alpha (a)
    0.18864
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35491
  • SD
    0.25394
  • Sharpe ratio (Glass type estimate)
    1.39762
  • Sharpe ratio (Hedges UMVUE)
    1.39283
  • df
    219.00000
  • t
    1.28071
  • p
    0.10083
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74685
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.53892
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75003
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.53568
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.93034
  • Upside Potential Ratio
    9.23334
  • Upside part of mean
    1.69761
  • Downside part of mean
    -1.34271
  • Upside SD
    0.17569
  • Downside SD
    0.18386
  • N nonnegative terms
    121.00000
  • N negative terms
    99.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    220.00000
  • Mean of predictor
    0.26269
  • Mean of criterion
    0.35491
  • SD of predictor
    0.15815
  • SD of criterion
    0.25394
  • Covariance
    0.01809
  • r
    0.45055
  • b (slope, estimate of beta)
    0.72344
  • a (intercept, estimate of alpha)
    0.16486
  • Mean Square Error
    0.05163
  • DF error
    218.00000
  • t(b)
    7.45139
  • p(b)
    0.00000
  • t(a)
    0.66138
  • p(a)
    0.25453
  • Lowerbound of 95% confidence interval for beta
    0.53209
  • Upperbound of 95% confidence interval for beta
    0.91479
  • Lowerbound of 95% confidence interval for alpha
    -0.32643
  • Upperbound of 95% confidence interval for alpha
    0.65616
  • Treynor index (mean / b)
    0.49058
  • Jensen alpha (a)
    0.16486
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02415
  • Expected Shortfall on VaR
    0.03051
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01081
  • Expected Shortfall on VaR
    0.02225
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    220.00000
  • Minimum
    0.94799
  • Quartile 1
    0.99453
  • Median
    1.00195
  • Quartile 3
    1.01120
  • Maximum
    1.03726
  • Mean of quarter 1
    0.98093
  • Mean of quarter 2
    0.99921
  • Mean of quarter 3
    1.00636
  • Mean of quarter 4
    1.01984
  • Inter Quartile Range
    0.01667
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.03636
  • Mean of outliers low
    0.96005
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00455
  • Mean of outliers high
    1.03726
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.25718
  • VaR(95%) (moments method)
    0.01542
  • Expected Shortfall (moments method)
    0.01942
  • Extreme Value Index (regression method)
    -0.17735
  • VaR(95%) (regression method)
    0.01771
  • Expected Shortfall (regression method)
    0.02329
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00230
  • Quartile 1
    0.00557
  • Median
    0.00655
  • Quartile 3
    0.06798
  • Maximum
    0.21930
  • Mean of quarter 1
    0.00384
  • Mean of quarter 2
    0.00617
  • Mean of quarter 3
    0.00693
  • Mean of quarter 4
    0.15382
  • Inter Quartile Range
    0.06241
  • 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
    0.16667
  • Mean of outliers high
    0.21930
  • 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)
    0.45150
  • Compounded annual return (geometric extrapolation)
    0.46640
  • Calmar ratio (compounded annual return / max draw down)
    2.12680
  • Compounded annual return / average of 25% largest draw downs
    3.03224
  • Compounded annual return / Expected Shortfall lognormal
    15.28510
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29990
  • SD
    0.21141
  • Sharpe ratio (Glass type estimate)
    1.41859
  • Sharpe ratio (Hedges UMVUE)
    1.41039
  • df
    130.00000
  • t
    1.00310
  • p
    0.45618
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36123
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.19310
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36671
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.18750
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.01798
  • Upside Potential Ratio
    9.71414
  • Upside part of mean
    1.44367
  • Downside part of mean
    -1.14377
  • Upside SD
    0.15036
  • Downside SD
    0.14861
  • 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
    0.25603
  • Mean of criterion
    0.29990
  • SD of predictor
    0.13494
  • SD of criterion
    0.21141
  • Covariance
    0.01376
  • r
    0.48239
  • b (slope, estimate of beta)
    0.75575
  • a (intercept, estimate of alpha)
    0.10641
  • Mean Square Error
    0.03456
  • DF error
    129.00000
  • t(b)
    6.25471
  • p(b)
    0.20527
  • t(a)
    0.40197
  • p(a)
    0.47749
  • Lowerbound of 95% confidence interval for beta
    0.51669
  • Upperbound of 95% confidence interval for beta
    0.99481
  • Lowerbound of 95% confidence interval for alpha
    -0.41734
  • Upperbound of 95% confidence interval for alpha
    0.63016
  • Treynor index (mean / b)
    0.39683
  • Jensen alpha (a)
    0.10641
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27749
  • SD
    0.21179
  • Sharpe ratio (Glass type estimate)
    1.31021
  • Sharpe ratio (Hedges UMVUE)
    1.30263
  • df
    130.00000
  • t
    0.92646
  • p
    0.45951
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.46859
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.08417
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47369
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07896
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.84405
  • Upside Potential Ratio
    9.51875
  • Upside part of mean
    1.43236
  • Downside part of mean
    -1.15487
  • Upside SD
    0.14887
  • Downside SD
    0.15048
  • 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
    0.24684
  • Mean of criterion
    0.27749
  • SD of predictor
    0.13501
  • SD of criterion
    0.21179
  • Covariance
    0.01381
  • r
    0.48301
  • b (slope, estimate of beta)
    0.75770
  • a (intercept, estimate of alpha)
    0.09045
  • Mean Square Error
    0.03466
  • DF error
    129.00000
  • t(b)
    6.26529
  • p(b)
    0.20492
  • t(a)
    0.34139
  • p(a)
    0.48088
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    0.51843
  • Upperbound of 95% confidence interval for beta
    0.99697
  • Lowerbound of 95% confidence interval for alpha
    -0.43378
  • Upperbound of 95% confidence interval for alpha
    0.61469
  • Treynor index (mean / b)
    0.36623
  • Jensen alpha (a)
    0.09045
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02025
  • Expected Shortfall on VaR
    0.02559
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00906
  • Expected Shortfall on VaR
    0.01839
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96154
  • Quartile 1
    0.99455
  • Median
    1.00192
  • Quartile 3
    1.00956
  • Maximum
    1.03145
  • Mean of quarter 1
    0.98408
  • Mean of quarter 2
    0.99907
  • Mean of quarter 3
    1.00536
  • Mean of quarter 4
    1.01662
  • Inter Quartile Range
    0.01501
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.96652
  • 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)
    -0.44080
  • VaR(95%) (moments method)
    0.01420
  • Expected Shortfall (moments method)
    0.01682
  • Extreme Value Index (regression method)
    -0.14447
  • VaR(95%) (regression method)
    0.01370
  • Expected Shortfall (regression method)
    0.01765
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00053
  • Quartile 1
    0.00480
  • Median
    0.01864
  • Quartile 3
    0.03945
  • Maximum
    0.09167
  • Mean of quarter 1
    0.00196
  • Mean of quarter 2
    0.01006
  • Mean of quarter 3
    0.03178
  • Mean of quarter 4
    0.07829
  • Inter Quartile Range
    0.03465
  • 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
    0.07692
  • Mean of outliers high
    0.09167
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.82722
  • VaR(95%) (moments method)
    0.07422
  • Expected Shortfall (moments method)
    0.07456
  • Extreme Value Index (regression method)
    -2.60077
  • VaR(95%) (regression method)
    0.10396
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.10447
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -307821000
  • Max Equity Drawdown (num days)
    69
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.32995
  • Compounded annual return (geometric extrapolation)
    0.35716
  • Calmar ratio (compounded annual return / max draw down)
    3.89615
  • Compounded annual return / average of 25% largest draw downs
    4.56193
  • Compounded annual return / Expected Shortfall lognormal
    13.95950

Strategy Description

This strategy trades in 3 different leveraged ETF's. Signals are provided before the open each day. So this is a good strategy for IRA investors, or those who only want to manage trades once a day. System and signals are 100% algorithmic.

**New Subscribers should typically enter open positions, but it is ultimately up to you.
2 Year Back tested Results as of 8/25/2020

All Trades
Starting Capital $100,000.00
Ending Capital $762,187.44
Net Profit $662,187.44
Net Profit % 662.19%
Annualized Gain % 176.65%
Exposure 50.90%
Total Commission $0.00
Return on Cash $0.00
Margin Interest Paid $0.00
Dividends Received $0.00

Number of Trades 125
Average Profit $5,297.50
Average Profit % 5.38%
Average Bars Held 6.78

Winning Trades 88
Win Rate 70.40%
Gross Profit $978,106.24
Average Profit $11,114.84
Average Profit % 10.84%
Average Bars Held 7.67
Max Consecutive Winners 11

Losing Trades 37
Loss Rate 29.60%
Gross Loss ($315,918.80)
Average Loss ($8,538.35)
Average Loss % -7.60%
Average Bars Held 4.68
Max Consecutive Losses 4

Maximum Drawdown ($57,100.29)
Maximum Drawdown Date 7/7/2020
Maximum Drawdown % -11.81%
Maximum Drawdown % Date 9/3/2019

Sharpe Ratio 2.7
Profit Factor 3.1
Recovery Factor 11.6
Payoff Ratio 1.43
Profit / Total Bars $1,316.48

*Short Trades: This system will never go short. This was the first system I published on c2 and while setting up auto trading I tested broker connect as well as subscriber auto-trade. During that testing/configuration I made a mistake and caused the one short trade you see in the record.

Summary Statistics

Strategy began
2020-08-05
Suggested Minimum Capital
$15,000
Rank at C2 
#162
# Trades
105
# Profitable
61
% Profitable
58.1%
Net Dividends
Correlation S&P500
0.442
Sharpe Ratio
1.08
Sortino Ratio
1.49
Beta
0.74
Alpha
0.04
Leverage
1.89 Average
3.13 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.