finantic XLI Strategy
(133135599)
Subscription terms. Subscriptions to this system cost $100.00 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.
Hedged Equity
Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2021  +0.7%  (5.6%)  +0.5%  +1.7%  (2.7%)          (5.4%) 
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.
Started  $100,000  
Buy Power  $96,447  
Cash  $96,447  
Equity  $0  
Cumulative $  ($3,552)  
Includes dividends and cashsettled expirations:  $219  Itemized 
Total System Equity  $96,447  
Margined  $0  
Open P/L  $0 
Trading Record
Statistics

Strategy began1/2/2021

Suggested Minimum Cap$100,000

Strategy Age (days)268.09

Age9 months ago

What it tradesStocks

# Trades264

# Profitable164

% Profitable62.10%

Avg trade duration5.7 days

Max peaktovalley drawdown13.66%

drawdown periodFeb 10, 2021  March 09, 2021

Cumul. Return5.4%

Avg win$220.34

Avg loss$399.07
 Model Account Values (Raw)

Cash$96,447

Margin Used$0

Buying Power$96,447
 Ratios

W:L ratio0.92:1

Sharpe Ratio0.77

Sortino Ratio1.03

Calmar Ratio0.608
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)23.86%

Correlation to SP5000.25310

Return Percent SP500 (cumu) during strategy life18.29%
 Return Statistics

Ann Return (w trading costs)7.2%
 Slump

Current Slump as Pcnt Equity10.50%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.85%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.054%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)4.8%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss33.50%

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/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 Automated99.54%
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)459

Popularity (Last 6 weeks)518
 Trading Style

Any stock shorts? 0/11
 Popularity

Popularity (7 days, Percentile 1000 scale)290
 Management

No Subs Allowed Flag (1: no subs)0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$399

Avg Win$220

Sum Trade PL (losers)$39,907.000
 Age

Num Months filled monthly returns table9
 Win / Loss

Sum Trade PL (winners)$36,135.000

# Winners164

Num Months Winners3
 Dividends

Dividends Received in Model Acct219
 Win / Loss

# Losers100

% Winners62.1%
 Frequency

Avg Position Time (mins)8186.93

Avg Position Time (hrs)136.45

Avg Trade Length5.7 days

Last Trade Ago140
 Leverage

Daily leverage (average)1.62

Daily leverage (max)2.05
 Regression

Alpha0.04

Beta0.21

Treynor Index0.12
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.00

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.48

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.00

Avg(MAE) / Avg(PL)  All trades8.972

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 strat0.01

Avg(MAE) / Avg(PL)  Winning trades0.550

Avg(MAE) / Avg(PL)  Losing trades1.129

HoldandHope Ratio0.111
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.09643

SD0.20492

Sharpe ratio (Glass type estimate)0.47058

Sharpe ratio (Hedges UMVUE)0.37547

df4.00000

t0.30376

p0.61177

Lowerbound of 95% confidence interval for Sharpe Ratio3.49532

Upperbound of 95% confidence interval for Sharpe Ratio2.60995

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.42296

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.67202
 Statistics related to Sortino ratio

Sortino ratio0.61705

Upside Potential Ratio1.27200

Upside part of mean0.19879

Downside part of mean0.29523

Upside SD0.09973

Downside SD0.15628

N nonnegative terms2.00000

N negative terms3.00000
 Statistics related to linear regression on benchmark

N of observations5.00000

Mean of predictor0.37964

Mean of criterion0.09643

SD of predictor0.07710

SD of criterion0.20492

Covariance0.01423

r0.90048

b (slope, estimate of beta)2.39326

a (intercept, estimate of alpha)1.00501

Mean Square Error0.01059

DF error3.00000

t(b)3.58641

p(b)0.01856

t(a)3.35758

p(a)0.97809

Lowerbound of 95% confidence interval for beta0.26957

Upperbound of 95% confidence interval for beta4.51695

Lowerbound of 95% confidence interval for alpha1.95759

Upperbound of 95% confidence interval for alpha0.05242

Treynor index (mean / b)0.04029

Jensen alpha (a)1.00501
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.11399

SD0.20972

Sharpe ratio (Glass type estimate)0.54351

Sharpe ratio (Hedges UMVUE)0.43366

df4.00000

t0.35084

p0.62830

Lowerbound of 95% confidence interval for Sharpe Ratio3.56948

Upperbound of 95% confidence interval for Sharpe Ratio2.54663

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.48486

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.61753
 Statistics related to Sortino ratio

Sortino ratio0.69510

Upside Potential Ratio1.18034

Upside part of mean0.19356

Downside part of mean0.30754

Upside SD0.09684

Downside SD0.16398

N nonnegative terms2.00000

N negative terms3.00000
 Statistics related to linear regression on benchmark

N of observations5.00000

Mean of predictor0.37067

Mean of criterion0.11399

SD of predictor0.07476

SD of criterion0.20972

Covariance0.01413

r0.90144

b (slope, estimate of beta)2.52866

a (intercept, estimate of alpha)1.05128

Mean Square Error0.01099

DF error3.00000

t(b)3.60661

p(b)0.01830

t(a)3.43044

p(a)0.97924

Lowerbound of 95% confidence interval for beta0.29739

Upperbound of 95% confidence interval for beta4.75993

Lowerbound of 95% confidence interval for alpha2.02657

Upperbound of 95% confidence interval for alpha0.07600

Treynor index (mean / b)0.04508

Jensen alpha (a)1.05128
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.10334

Expected Shortfall on VaR0.12552
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.06359

Expected Shortfall on VaR0.11396
 ORDER STATISTICS
 Quartiles of return rates

Number of observations5.00000

Minimum0.90300

Quartile 10.98662

Median0.99436

Quartile 31.02485

Maximum1.06263

Mean of quarter 10.94481

Mean of quarter 20.99436

Mean of quarter 31.02485

Mean of quarter 41.06263

Inter Quartile Range0.03823

Number outliers low1.00000

Percentage of outliers low0.20000

Mean of outliers low0.90300

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod 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 observations1.00000

Minimum0.09700

Quartile 10.09700

Median0.09700

Quartile 30.09700

Maximum0.09700

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.08455

Compounded annual return (geometric extrapolation)0.08248

Calmar ratio (compounded annual return / max draw down)0.85027

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal0.65708

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.09895

SD0.12083

Sharpe ratio (Glass type estimate)0.81891

Sharpe ratio (Hedges UMVUE)0.81374

df119.00000

t0.55421

p0.53229

Lowerbound of 95% confidence interval for Sharpe Ratio3.71513

Upperbound of 95% confidence interval for Sharpe Ratio2.08067

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.71165

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.08417
 Statistics related to Sortino ratio

Sortino ratio1.09522

Upside Potential Ratio6.53250

Upside part of mean0.59019

Downside part of mean0.68914

Upside SD0.07971

Downside SD0.09035

N nonnegative terms45.00000

N negative terms75.00000
 Statistics related to linear regression on benchmark

N of observations120.00000

Mean of predictor0.38579

Mean of criterion0.09895

SD of predictor0.15013

SD of criterion0.12083

Covariance0.00486

r0.26817

b (slope, estimate of beta)0.21584

a (intercept, estimate of alpha)0.18200

Mean Square Error0.01366

DF error118.00000

t(b)3.02386

p(b)0.36591

t(a)1.04178

p(a)0.54773

Lowerbound of 95% confidence interval for beta0.07449

Upperbound of 95% confidence interval for beta0.35719

Lowerbound of 95% confidence interval for alpha0.52859

Upperbound of 95% confidence interval for alpha0.16415

Treynor index (mean / b)0.45844

Jensen alpha (a)0.18222
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.10621

SD0.12102

Sharpe ratio (Glass type estimate)0.87764

Sharpe ratio (Hedges UMVUE)0.87209

df119.00000

t0.59396

p0.53459

Lowerbound of 95% confidence interval for Sharpe Ratio3.77407

Upperbound of 95% confidence interval for Sharpe Ratio2.02235

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.77027

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.02609
 Statistics related to Sortino ratio

Sortino ratio1.16562

Upside Potential Ratio6.44172

Upside part of mean0.58698

Downside part of mean0.69320

Upside SD0.07915

Downside SD0.09112

N nonnegative terms45.00000

N negative terms75.00000
 Statistics related to linear regression on benchmark

N of observations120.00000

Mean of predictor0.37429

Mean of criterion0.10621

SD of predictor0.15024

SD of criterion0.12102

Covariance0.00488

r0.26824

b (slope, estimate of beta)0.21608

a (intercept, estimate of alpha)0.18709

Mean Square Error0.01371

DF error118.00000

t(b)3.02468

p(b)0.36588

t(a)1.06876

p(a)0.54896

Lowerbound of 95% confidence interval for beta0.07461

Upperbound of 95% confidence interval for beta0.35755

Lowerbound of 95% confidence interval for alpha0.53374

Upperbound of 95% confidence interval for alpha0.15956

Treynor index (mean / b)0.49155

Jensen alpha (a)0.18709
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01262

Expected Shortfall on VaR0.01570
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00693

Expected Shortfall on VaR0.01342
 ORDER STATISTICS
 Quartiles of return rates

Number of observations120.00000

Minimum0.97437

Quartile 10.99606

Median1.00000

Quartile 31.00274

Maximum1.02429

Mean of quarter 10.99082

Mean of quarter 20.99892

Mean of quarter 31.00052

Mean of quarter 41.00865

Inter Quartile Range0.00667

Number outliers low4.00000

Percentage of outliers low0.03333

Mean of outliers low0.97790

Number of outliers high4.00000

Percentage of outliers high0.03333

Mean of outliers high1.01770
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.32929

VaR(95%) (moments method)0.00972

Expected Shortfall (moments method)0.01668

Extreme Value Index (regression method)0.10333

VaR(95%) (regression method)0.00929

Expected Shortfall (regression method)0.01331
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.00172

Quartile 10.00423

Median0.00852

Quartile 30.03992

Maximum0.12380

Mean of quarter 10.00172

Mean of quarter 20.00507

Mean of quarter 30.01196

Mean of quarter 40.12380

Inter Quartile Range0.03569

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.25000

Mean of outliers high0.12380
 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)0.07692

Compounded annual return (geometric extrapolation)0.07532

Calmar ratio (compounded annual return / max draw down)0.60840

Compounded annual return / average of 25% largest draw downs0.60840

Compounded annual return / Expected Shortfall lognormal4.79757
 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)0.01300
 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 Negativen/a

Strat Max DD how much worse than SP500 max DD during strat life?402207000

Max Equity Drawdown (num days)27
Strategy Description
There are only market orders submitted a few hours before markets open.
Long positions for stocks only.
There is one ETF short position.
Hold time is at least two days.
Position sizes are variable but limited to 30% of available capital.
A single order size is limited to 15% of available capital.
<b>XLI</b> is an ETF: Industrial Select Sector SPDR Fund
XLI tracks a marketcapweighted index of industrialsector stocks drawn from the S&P 500.
We use advanced indicators, advanced statistical methods and machine learning to identify high probability trades.
Driven by Quantacula (see www.quantacula.com)
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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.