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AI US Sector Rotation
(135065074)

Created by: Matroid_Evolved Matroid_Evolved
Started: 04/2021
Stocks
Last trade: 652 days ago
Trading style: Equity Momentum Sector Rotation

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 $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.

Trading Category: Equity
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
3.1%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(55.1%)
Max Drawdown
29
Num Trades
55.2%
Win Trades
1.2 : 1
Profit Factor
24.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                     (7.5%)(6.1%)+22.5%+11.4%+10.0%(21.7%)+42.5%+16.0%+15.8%+95.4%
2022(27.1%)+3.8%(7.6%)(17.9%)+5.5%(14.7%)+8.5%  -    -    -    -    -  (43.9%)
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.

Trading Record

This strategy has placed 60 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/29/22 14:56 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 275 128.64 7/7 15:59 132.79 5.88%
Trade id #140906319
Max drawdown($1,012)
Time7/5/22 0:00
Quant open275
Worst price124.96
Drawdown as % of equity-5.88%
 $1,136
Includes Typical Broker Commissions trade costs of $5.50
6/17/22 9:33 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 259 124.09 6/21 15:59 127.39 2.34%
Trade id #140794575
Max drawdown($385)
Time6/17/22 10:49
Quant open259
Worst price122.60
Drawdown as % of equity-2.34%
 $851
Includes Typical Broker Commissions trade costs of $5.18
6/6/22 12:12 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 290 139.23 6/15 15:59 128.69 23.82%
Trade id #140689669
Max drawdown($4,156)
Time6/13/22 0:00
Quant open274
Worst price124.82
Drawdown as % of equity-23.82%
 ($3,064)
Includes Typical Broker Commissions trade costs of $5.80
5/5/22 9:32 LCID LUCID GROUP INC LONG 50 19.59 6/14 9:33 16.33 1.74%
Trade id #140377706
Max drawdown($317)
Time5/12/22 0:00
Quant open50
Worst price13.25
Drawdown as % of equity-1.74%
 ($164)
Includes Typical Broker Commissions trade costs of $1.00
5/19/22 9:32 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 281 131.76 5/23 15:59 134.07 6.93%
Trade id #140529645
Max drawdown($1,327)
Time5/20/22 0:00
Quant open281
Worst price127.03
Drawdown as % of equity-6.93%
 $643
Includes Typical Broker Commissions trade costs of $5.62
5/6/22 9:32 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 299 140.62 5/13 15:59 135.85 19.86%
Trade id #140391441
Max drawdown($3,626)
Time5/12/22 0:00
Quant open291
Worst price128.43
Drawdown as % of equity-19.86%
 ($1,432)
Includes Typical Broker Commissions trade costs of $5.98
5/2/22 9:31 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 262 141.58 5/4 15:59 148.87 2.69%
Trade id #140331687
Max drawdown($503)
Time5/2/22 14:43
Quant open262
Worst price139.66
Drawdown as % of equity-2.69%
 $1,906
Includes Typical Broker Commissions trade costs of $5.24
4/28/22 16:55: Rescaled upward by +-14% of previous Model Account size
4/28/22 16:52: Rescaled upward by +-1.6% of previous Model Account size
4/22/22 9:33 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 280.294000000 147.71 4/28 16:44 147.92 12.15%
Trade id #140226510
Max drawdown($2,231)
Time4/26/22 0:00
Quant open280
Worst price139.75
Drawdown as % of equity-12.15%
 $53
Includes Typical Broker Commissions trade costs of $5.60
3/30/22 9:33 TECL DIREXION DAILY TECHNOLOGY BULL LONG 406.542000000 64.85 4/19 15:59 50.81 48.84%
Trade id #139964354
Max drawdown($8,542)
Time4/18/22 0:00
Quant open472
Worst price46.71
Drawdown as % of equity-48.84%
 ($5,718)
Includes Typical Broker Commissions trade costs of $8.13
3/21/22 13:09: Rescaled downward to 65% of previous Model Account size
3/21/22 13:04: Rescaled upward by +-60% of previous Model Account size
3/14/22 12:58 CEE CENTRAL AND EASTERN EUROPE FUND INC LONG 120.457000000 7.78 3/17 11:28 8.39 0.3%
Trade id #139775127
Max drawdown($71)
Time3/15/22 0:00
Quant open146
Worst price7.29
Drawdown as % of equity-0.30%
 $71
Includes Typical Broker Commissions trade costs of $2.40
3/11/22 9:31 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 181.890000000 147.60 3/15 19:46 146.14 5.88%
Trade id #139749143
Max drawdown($1,419)
Time3/14/22 0:00
Quant open204
Worst price140.98
Drawdown as % of equity-5.88%
 ($269)
Includes Typical Broker Commissions trade costs of $3.64
3/7/22 9:32 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 178.277000000 149.84 3/9 15:59 149.25 7.54%
Trade id #139675500
Max drawdown($1,802)
Time3/8/22 0:00
Quant open215
Worst price141.45
Drawdown as % of equity-7.54%
 ($110)
Includes Typical Broker Commissions trade costs of $3.56
3/2/22 9:32 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 161.413000000 151.88 3/2 15:59 154.32 0.76%
Trade id #139607632
Max drawdown($186)
Time3/2/22 10:27
Quant open193
Worst price150.92
Drawdown as % of equity-0.76%
 $392
Includes Typical Broker Commissions trade costs of $3.22
2/17/22 15:59 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 322.825000000 153.98 2/25 7:53 152.28 20.69%
Trade id #139440799
Max drawdown($4,766)
Time2/24/22 0:00
Quant open390
Worst price141.72
Drawdown as % of equity-20.69%
 ($554)
Includes Typical Broker Commissions trade costs of $6.46
2/17/22 15:59: Rescaled upward by +-11% of previous Model Account size
2/10/22 15:59 TECL DIREXION DAILY TECHNOLOGY BULL LONG 450.594000000 64.90 2/15 15:59 63.45 20.58%
Trade id #139345177
Max drawdown($4,737)
Time2/14/22 0:00
Quant open588
Worst price56.87
Drawdown as % of equity-20.58%
 ($662)
Includes Typical Broker Commissions trade costs of $9.00
2/3/22 15:59 TECL DIREXION DAILY TECHNOLOGY BULL LONG 367.694000000 64.10 2/9 15:59 70.37 3.6%
Trade id #139243970
Max drawdown($844)
Time2/4/22 0:00
Quant open492
Worst price62.38
Drawdown as % of equity-3.60%
 $2,299
Includes Typical Broker Commissions trade costs of $7.36
12/23/21 15:59 TECL DIREXION DAILY TECHNOLOGY BULL LONG 373.043000000 85.00 1/31/22 9:33 63.21 78.21%
Trade id #138691484
Max drawdown($17,371)
Time1/24/22 0:00
Quant open499
Worst price50.17
Drawdown as % of equity-78.21%
 ($8,135)
Includes Typical Broker Commissions trade costs of $7.46
12/16/21 15:59 TECL DIREXION DAILY TECHNOLOGY BULL LONG 381.066000000 79.46 12/21 15:59 80.64 10.47%
Trade id #138610841
Max drawdown($3,215)
Time12/20/21 0:00
Quant open510
Worst price73.15
Drawdown as % of equity-10.47%
 $442
Includes Typical Broker Commissions trade costs of $7.62
12/9/21 15:59 TECL DIREXION DAILY TECHNOLOGY BULL LONG 361.010000000 83.23 12/15 15:59 86.72 9.5%
Trade id #138529978
Max drawdown($2,905)
Time12/14/21 0:00
Quant open483
Worst price77.21
Drawdown as % of equity-9.50%
 $1,253
Includes Typical Broker Commissions trade costs of $7.22
12/3/21 16:00 XLK TECHNOLOGY SELECT SECTOR SPDR LONG 334.269000000 165.19 12/7 15:59 172.48 2.09%
Trade id #138456260
Max drawdown($578)
Time12/6/21 0:00
Quant open447
Worst price163.89
Drawdown as % of equity-2.09%
 $2,432
Includes Typical Broker Commissions trade costs of $6.68
11/2/21 13:20 TECL DIREXION DAILY TECHNOLOGY BULL LONG 350.313000000 72.81 11/29 15:59 82.34 2.06%
Trade id #138047340
Max drawdown($512)
Time11/3/21 0:00
Quant open471
Worst price71.72
Drawdown as % of equity-2.06%
 $3,329
Includes Typical Broker Commissions trade costs of $7.00
11/19/21 9:31 BABA ALIBABA GROUP HOLDING LIMITED LONG 9.359000000 143.25 11/26 12:53 132.97 0.55%
Trade id #138265192
Max drawdown($150)
Time11/24/21 0:00
Quant open11
Worst price131.22
Drawdown as % of equity-0.55%
 ($96)
Includes Typical Broker Commissions trade costs of $0.19
9/15/21 14:14 TQQQ PROSHARES ULTRAPRO QQQ LONG 240.673000000 140.89 11/2 13:17 158.47 45.06%
Trade id #137386486
Max drawdown($7,859)
Time10/4/21 0:00
Quant open323
Worst price116.47
Drawdown as % of equity-45.06%
 $4,225
Includes Typical Broker Commissions trade costs of $4.82
9/9/21 13:09 TECL DIREXION DAILY TECHNOLOGY BULL LONG 294.155000000 68.43 9/15 14:12 66.64 7.64%
Trade id #137309128
Max drawdown($1,628)
Time9/13/21 0:00
Quant open393
Worst price64.29
Drawdown as % of equity-7.64%
 ($532)
Includes Typical Broker Commissions trade costs of $5.88
8/23/21 11:23 TECL DIREXION DAILY TECHNOLOGY BULL LONG 381.066000000 66.73 9/9 12:53 68.19 2.51%
Trade id #137081355
Max drawdown($534)
Time8/27/21 0:00
Quant open466
Worst price65.30
Drawdown as % of equity-2.51%
 $550
Includes Typical Broker Commissions trade costs of $7.61
8/23/21 11:19: Rescaled upward by +-25% of previous Model Account size
4/15/21 12:34 TECL DIREXION DAILY TECHNOLOGY BULL LONG 371.038000000 51.29 8/23 11:15 65.52 42.6%
Trade id #135170534
Max drawdown($5,773)
Time5/12/21 0:00
Quant open471
Worst price38.99
Drawdown as % of equity-42.60%
 $5,273
Includes Typical Broker Commissions trade costs of $7.43
4/29/21 16:01 BABA ALIBABA GROUP HOLDING LIMITED LONG 6.685000000 234.18 5/3 15:33 231.16 0.28%
Trade id #135387401
Max drawdown($42)
Time5/3/21 9:38
Quant open11
Worst price230.41
Drawdown as % of equity-0.28%
 ($20)
Includes Typical Broker Commissions trade costs of $0.14
4/15/21 12:33: Rescaled downward to 12% of previous Model Account size
4/14/21 15:03 TECL DIREXION DAILY TECHNOLOGY BULL LONG 39.911000000 49.11 4/15 12:32 51.34 0.1%
Trade id #135152731
Max drawdown($16)
Time4/14/21 15:11
Quant open68
Worst price48.87
Drawdown as % of equity-0.10%
 $88
Includes Typical Broker Commissions trade costs of $0.80
4/14/21 14:55: Rescaled downward to 33% of previous Model Account size
4/12/21 9:32 TECL DIREXION DAILY TECHNOLOGY BULL LONG 14.098000000 49.85 4/14 14:54 49.14 0.02%
Trade id #135101401
Max drawdown($3)
Time4/12/21 10:44
Quant open1
Worst price48.64
Drawdown as % of equity-0.02%
 ($10)
Includes Typical Broker Commissions trade costs of $0.28
Next

Statistics

  • Strategy began
    4/8/2021
  • Suggested Minimum Cap
    $16,547
  • Strategy Age (days)
    1102.26
  • Age
    37 months ago
  • What it trades
    Stocks
  • # Trades
    29
  • # Profitable
    16
  • % Profitable
    55.20%
  • Avg trade duration
    14.7 days
  • Max peak-to-valley drawdown
    55.12%
  • drawdown period
    Dec 27, 2021 - June 13, 2022
  • Annual Return (Compounded)
    3.1%
  • Avg win
    $1,564
  • Avg loss
    $1,593
  • Model Account Values (Raw)
  • Cash
    $20,955
  • Margin Used
    $0
  • Buying Power
    $20,955
  • Ratios
  • W:L ratio
    1.21:1
  • Sharpe Ratio
    0.16
  • Sortino Ratio
    0.22
  • Calmar Ratio
    0.34
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -15.48%
  • Correlation to SP500
    0.37300
  • Return Percent SP500 (cumu) during strategy life
    22.31%
  • Return Statistics
  • Ann Return (w trading costs)
    3.1%
  • Slump
  • Current Slump as Pcnt Equity
    87.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.76%
  • 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)
    0.031%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    8.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    79.00%
  • Chance of 20% account loss
    55.50%
  • Chance of 30% account loss
    32.50%
  • Chance of 40% account loss
    15.50%
  • Chance of 60% account loss (Monte Carlo)
    1.00%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    5.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,593
  • Avg Win
    $1,564
  • Sum Trade PL (losers)
    $20,709.000
  • Age
  • Num Months filled monthly returns table
    37
  • Win / Loss
  • Sum Trade PL (winners)
    $25,032.000
  • # Winners
    16
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    84
  • Win / Loss
  • # Losers
    13
  • % Winners
    55.2%
  • Frequency
  • Avg Position Time (mins)
    21178.10
  • Avg Position Time (hrs)
    352.97
  • Avg Trade Length
    14.7 days
  • Last Trade Ago
    647
  • Leverage
  • Daily leverage (average)
    3.05
  • Daily leverage (max)
    6.78
  • Regression
  • Alpha
    0.00
  • Beta
    0.68
  • Treynor Index
    0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.13
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.08
  • MAE:Equity, average, winning trades
    0.09
  • MAE:Equity, average, losing trades
    0.18
  • Avg(MAE) / Avg(PL) - All trades
    17.701
  • 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
    0.20
  • Avg(MAE) / Avg(PL) - Winning trades
    1.117
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.345
  • Hold-and-Hope Ratio
    0.056
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26955
  • SD
    0.57645
  • Sharpe ratio (Glass type estimate)
    0.46760
  • Sharpe ratio (Hedges UMVUE)
    0.44661
  • df
    17.00000
  • t
    0.57269
  • p
    0.41269
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.14701
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06876
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.16072
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05394
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95862
  • Upside Potential Ratio
    2.81782
  • Upside part of mean
    0.79232
  • Downside part of mean
    -0.52277
  • Upside SD
    0.49074
  • Downside SD
    0.28118
  • N nonnegative terms
    8.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.09226
  • Mean of criterion
    0.26955
  • SD of predictor
    0.22287
  • SD of criterion
    0.57645
  • Covariance
    0.02530
  • r
    0.19694
  • b (slope, estimate of beta)
    0.50938
  • a (intercept, estimate of alpha)
    0.22256
  • Mean Square Error
    0.33937
  • DF error
    16.00000
  • t(b)
    0.80350
  • p(b)
    0.40153
  • t(a)
    0.46440
  • p(a)
    0.44234
  • Lowerbound of 95% confidence interval for beta
    -0.83454
  • Upperbound of 95% confidence interval for beta
    1.85329
  • Lowerbound of 95% confidence interval for alpha
    -0.79338
  • Upperbound of 95% confidence interval for alpha
    1.23849
  • Treynor index (mean / b)
    0.52917
  • Jensen alpha (a)
    0.22256
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12954
  • SD
    0.52723
  • Sharpe ratio (Glass type estimate)
    0.24570
  • Sharpe ratio (Hedges UMVUE)
    0.23467
  • df
    17.00000
  • t
    0.30092
  • p
    0.45370
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36026
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.84456
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36757
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83692
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.42051
  • Upside Potential Ratio
    2.25822
  • Upside part of mean
    0.69567
  • Downside part of mean
    -0.56612
  • Upside SD
    0.41113
  • Downside SD
    0.30806
  • N nonnegative terms
    8.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.06965
  • Mean of criterion
    0.12954
  • SD of predictor
    0.21395
  • SD of criterion
    0.52723
  • Covariance
    0.02070
  • r
    0.18355
  • b (slope, estimate of beta)
    0.45233
  • a (intercept, estimate of alpha)
    0.09804
  • Mean Square Error
    0.28540
  • DF error
    16.00000
  • t(b)
    0.74690
  • p(b)
    0.40822
  • t(a)
    0.22371
  • p(a)
    0.47208
  • Lowerbound of 95% confidence interval for beta
    -0.83151
  • Upperbound of 95% confidence interval for beta
    1.73617
  • Lowerbound of 95% confidence interval for alpha
    -0.83097
  • Upperbound of 95% confidence interval for alpha
    1.02704
  • Treynor index (mean / b)
    0.28639
  • Jensen alpha (a)
    0.09804
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21302
  • Expected Shortfall on VaR
    0.26036
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10770
  • Expected Shortfall on VaR
    0.19692
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.78045
  • Quartile 1
    0.92166
  • Median
    1.00000
  • Quartile 3
    1.06963
  • Maximum
    1.50815
  • Mean of quarter 1
    0.85626
  • Mean of quarter 2
    0.98945
  • Mean of quarter 3
    1.03727
  • Mean of quarter 4
    1.21160
  • Inter Quartile Range
    0.14797
  • 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
    0.05556
  • Mean of outliers high
    1.50815
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.15757
  • VaR(95%) (moments method)
    0.16259
  • Expected Shortfall (moments method)
    0.17094
  • Extreme Value Index (regression method)
    -0.26334
  • VaR(95%) (regression method)
    0.19956
  • Expected Shortfall (regression method)
    0.24095
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.13422
  • Quartile 1
    0.14811
  • Median
    0.16200
  • Quartile 3
    0.26645
  • Maximum
    0.37090
  • Mean of quarter 1
    0.13422
  • Mean of quarter 2
    0.16200
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.37090
  • Inter Quartile Range
    0.11834
  • 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)
    0.17760
  • Compounded annual return (geometric extrapolation)
    0.17052
  • Calmar ratio (compounded annual return / max draw down)
    0.45975
  • Compounded annual return / average of 25% largest draw downs
    0.45975
  • Compounded annual return / Expected Shortfall lognormal
    0.65494
  • 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
    0.20610
  • SD
    0.40016
  • Sharpe ratio (Glass type estimate)
    0.51505
  • Sharpe ratio (Hedges UMVUE)
    0.51409
  • df
    402.00000
  • t
    0.63878
  • p
    0.26166
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.06599
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09546
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.06663
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09481
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.70925
  • Upside Potential Ratio
    7.53664
  • Upside part of mean
    2.19010
  • Downside part of mean
    -1.98399
  • Upside SD
    0.27468
  • Downside SD
    0.29059
  • N nonnegative terms
    179.00000
  • N negative terms
    224.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    403.00000
  • Mean of predictor
    0.15969
  • Mean of criterion
    0.20610
  • SD of predictor
    0.22752
  • SD of criterion
    0.40016
  • Covariance
    0.03571
  • r
    0.39219
  • b (slope, estimate of beta)
    0.68978
  • a (intercept, estimate of alpha)
    0.09600
  • Mean Square Error
    0.13584
  • DF error
    401.00000
  • t(b)
    8.53771
  • p(b)
    -0.00000
  • t(a)
    0.32259
  • p(a)
    0.37359
  • Lowerbound of 95% confidence interval for beta
    0.53095
  • Upperbound of 95% confidence interval for beta
    0.84861
  • Lowerbound of 95% confidence interval for alpha
    -0.48880
  • Upperbound of 95% confidence interval for alpha
    0.68071
  • Treynor index (mean / b)
    0.29880
  • Jensen alpha (a)
    0.09595
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12563
  • SD
    0.40229
  • Sharpe ratio (Glass type estimate)
    0.31230
  • Sharpe ratio (Hedges UMVUE)
    0.31172
  • df
    402.00000
  • t
    0.38732
  • p
    0.34936
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.26833
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89261
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.26876
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89218
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.42019
  • Upside Potential Ratio
    7.20168
  • Upside part of mean
    2.15327
  • Downside part of mean
    -2.02763
  • Upside SD
    0.26851
  • Downside SD
    0.29900
  • N nonnegative terms
    179.00000
  • N negative terms
    224.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    403.00000
  • Mean of predictor
    0.13382
  • Mean of criterion
    0.12563
  • SD of predictor
    0.22752
  • SD of criterion
    0.40229
  • Covariance
    0.03606
  • r
    0.39402
  • b (slope, estimate of beta)
    0.69668
  • a (intercept, estimate of alpha)
    0.03241
  • Mean Square Error
    0.13705
  • DF error
    401.00000
  • t(b)
    8.58472
  • p(b)
    -0.00000
  • t(a)
    0.10849
  • p(a)
    0.45683
  • Lowerbound of 95% confidence interval for beta
    0.53714
  • Upperbound of 95% confidence interval for beta
    0.85623
  • Lowerbound of 95% confidence interval for alpha
    -0.55480
  • Upperbound of 95% confidence interval for alpha
    0.61961
  • Treynor index (mean / b)
    0.18033
  • Jensen alpha (a)
    0.03241
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03960
  • Expected Shortfall on VaR
    0.04948
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01845
  • Expected Shortfall on VaR
    0.03790
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    403.00000
  • Minimum
    0.91792
  • Quartile 1
    0.99482
  • Median
    1.00000
  • Quartile 3
    1.01127
  • Maximum
    1.09352
  • Mean of quarter 1
    0.97044
  • Mean of quarter 2
    0.99958
  • Mean of quarter 3
    1.00409
  • Mean of quarter 4
    1.02949
  • Inter Quartile Range
    0.01645
  • Number outliers low
    35.00000
  • Percentage of outliers low
    0.08685
  • Mean of outliers low
    0.94737
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.06700
  • Mean of outliers high
    1.05086
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.45959
  • VaR(95%) (moments method)
    0.01909
  • Expected Shortfall (moments method)
    0.02300
  • Extreme Value Index (regression method)
    -0.38972
  • VaR(95%) (regression method)
    0.02743
  • Expected Shortfall (regression method)
    0.03445
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00026
  • Quartile 1
    0.01311
  • Median
    0.03824
  • Quartile 3
    0.07723
  • Maximum
    0.48874
  • Mean of quarter 1
    0.00288
  • Mean of quarter 2
    0.02492
  • Mean of quarter 3
    0.05660
  • Mean of quarter 4
    0.26370
  • Inter Quartile Range
    0.06412
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.18750
  • Mean of outliers high
    0.32400
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -5.91866
  • VaR(95%) (moments method)
    0.20915
  • Expected Shortfall (moments method)
    0.20919
  • Extreme Value Index (regression method)
    -0.01192
  • VaR(95%) (regression method)
    0.23820
  • Expected Shortfall (regression method)
    0.33644
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17319
  • Compounded annual return (geometric extrapolation)
    0.16596
  • Calmar ratio (compounded annual return / max draw down)
    0.33956
  • Compounded annual return / average of 25% largest draw downs
    0.62933
  • Compounded annual return / Expected Shortfall lognormal
    3.35415
  • 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
    0.12939
  • SD
    0.27859
  • Sharpe ratio (Glass type estimate)
    0.46443
  • Sharpe ratio (Hedges UMVUE)
    0.46175
  • df
    130.00000
  • t
    0.32840
  • p
    0.48561
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.30880
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23597
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.31063
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.23412
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.61543
  • Upside Potential Ratio
    4.85057
  • Upside part of mean
    1.01978
  • Downside part of mean
    -0.89039
  • Upside SD
    0.18135
  • Downside SD
    0.21024
  • N nonnegative terms
    33.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.43002
  • Mean of criterion
    0.12939
  • SD of predictor
    0.33270
  • SD of criterion
    0.27859
  • Covariance
    0.02338
  • r
    0.25223
  • b (slope, estimate of beta)
    0.21122
  • a (intercept, estimate of alpha)
    0.03856
  • Mean Square Error
    0.07324
  • DF error
    129.00000
  • t(b)
    2.96053
  • p(b)
    0.34114
  • t(a)
    0.10043
  • p(a)
    0.49437
  • Lowerbound of 95% confidence interval for beta
    0.07006
  • Upperbound of 95% confidence interval for beta
    0.35237
  • Lowerbound of 95% confidence interval for alpha
    -0.72111
  • Upperbound of 95% confidence interval for alpha
    0.79823
  • Treynor index (mean / b)
    0.61258
  • Jensen alpha (a)
    0.03856
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09029
  • SD
    0.28168
  • Sharpe ratio (Glass type estimate)
    0.32053
  • Sharpe ratio (Hedges UMVUE)
    0.31868
  • df
    130.00000
  • t
    0.22665
  • p
    0.49006
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.45216
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09201
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.45340
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09075
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.41562
  • Upside Potential Ratio
    4.62017
  • Upside part of mean
    1.00366
  • Downside part of mean
    -0.91338
  • Upside SD
    0.17771
  • Downside SD
    0.21724
  • N nonnegative terms
    33.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.37478
  • Mean of criterion
    0.09029
  • SD of predictor
    0.33267
  • SD of criterion
    0.28168
  • Covariance
    0.02402
  • r
    0.25629
  • b (slope, estimate of beta)
    0.21700
  • a (intercept, estimate of alpha)
    0.00896
  • Mean Square Error
    0.07471
  • DF error
    129.00000
  • t(b)
    3.01145
  • p(b)
    0.33865
  • t(a)
    0.02312
  • p(a)
    0.49870
  • VAR (95 Confidence Intrvl)
    0.04000
  • Lowerbound of 95% confidence interval for beta
    0.07443
  • Upperbound of 95% confidence interval for beta
    0.35958
  • Lowerbound of 95% confidence interval for alpha
    -0.75769
  • Upperbound of 95% confidence interval for alpha
    0.77561
  • Treynor index (mean / b)
    0.41606
  • Jensen alpha (a)
    0.00896
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02788
  • Expected Shortfall on VaR
    0.03491
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00985
  • Expected Shortfall on VaR
    0.02175
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91884
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00009
  • Maximum
    1.06120
  • Mean of quarter 1
    0.98683
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01556
  • Inter Quartile Range
    0.00009
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.12977
  • Mean of outliers low
    0.97443
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.23664
  • Mean of outliers high
    1.01655
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08761
  • VaR(95%) (moments method)
    0.00272
  • Expected Shortfall (moments method)
    0.00545
  • Extreme Value Index (regression method)
    -0.05220
  • VaR(95%) (regression method)
    0.01202
  • Expected Shortfall (regression method)
    0.02385
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02455
  • Quartile 1
    0.07129
  • Median
    0.11803
  • Quartile 3
    0.16478
  • Maximum
    0.21152
  • Mean of quarter 1
    0.02455
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.21152
  • Inter Quartile Range
    0.09348
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -499368000
  • Max Equity Drawdown (num days)
    168
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.12176
  • Compounded annual return (geometric extrapolation)
    0.12546
  • Calmar ratio (compounded annual return / max draw down)
    0.59316
  • Compounded annual return / average of 25% largest draw downs
    0.59316
  • Compounded annual return / Expected Shortfall lognormal
    3.59421

Strategy Description

The Matroid Evolved US Sector Rotation Strategy takes sector rotation to the next level, using a data-driven approach that captures the undervalued sector with the highest relative value and momentum at any given point in time, Using value and momentum investing principles to determine which sector to invest in.

US equity market momentum is always driven by one particular sector. We found some important, robust, and explainable financial features to capture different growing sectors at different times. Despite some may worry there is sector risk, the result is that this sector rotation strategy successfully outperforms S&P500.

Trading Universe: 22 ETFs (11 Leveraged US Sector ETFs & 11 US Sector ETFs)
XLK - TECL,
XLB - UYM,
XLV - CURE,
XLC - UCOM,
XLF - FAS,
XLP - NEED,
XLI - DUSL,
XLU - UTSL,
XLY - WANT,
XLRE - DRN,
XLE - ERX

More details: www.matroidevolved.com/strategies
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2021-04-08
Suggested Minimum Capital
$15,000
# Trades
29
# Profitable
16
% Profitable
55.2%
Net Dividends
$83
Correlation S&P500
0.373
Sharpe Ratio
0.16
Sortino Ratio
0.22
Beta
0.68
Alpha
0.00
Leverage
3.05 Average
6.78 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.