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

Fuzzy Maths
(135830827)

Created by: JerryCaesar JerryCaesar
Started: 05/2021
Stocks
Last trade: 2 days ago
Trading style: Equity Trend-following Momentum

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 $125.00 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.
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).
8.9%
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.

(10.3%)
Max Drawdown
177
Num Trades
38.4%
Win Trades
1.4 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                            (0.3%)+1.3%+7.5%+1.7%(0.6%)(4.5%)+2.1%+0.5%+7.5%
2022+2.3%(3.4%)(0.4%)+1.5%+2.3%+0.5%(0.6%)                              +2.1%

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 24 hours.

Trading Record

This strategy has placed 38 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 88 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/28/22 13:38 OILU MICROSECTORS OIL & GAS EXP & PROD 3X LEVERAGED ETF LONG 106 43.40 6/29 11:02 42.23 0.65%
Trade id #140891849
Max drawdown($360)
Time6/29/22 0:00
Quant open106
Worst price40.00
Drawdown as % of equity-0.65%
($126)
Includes Typical Broker Commissions trade costs of $2.12
6/17/22 10:20 KLNE DIREXION DAILY GLOBAL CLEAN ENERGY BULL 2X SHARES LONG 313 14.60 6/29 9:59 15.16 n/a $170
Includes Typical Broker Commissions trade costs of $6.26
6/17/22 10:19 UBT PROSHARES ULTRA 20+ YEAR TREAS LONG 150 30.80 6/27 9:30 30.56 0.23%
Trade id #140796263
Max drawdown($126)
Time6/21/22 0:00
Quant open150
Worst price29.96
Drawdown as % of equity-0.23%
($39)
Includes Typical Broker Commissions trade costs of $3.00
6/22/22 10:23 HIBS DIREXION DAILY S&P 500 HIGH BETA BEAR 3X SHARES LONG 333 12.65 6/24 9:30 11.93 0.47%
Trade id #140831084
Max drawdown($259)
Time6/24/22 9:30
Quant open333
Worst price11.87
Drawdown as % of equity-0.47%
($247)
Includes Typical Broker Commissions trade costs of $6.66
6/17/22 10:15 PILL DIREXION DAILY PHARMA & MEDICAL BULL 3X LONG 500 8.87 6/22 9:30 8.94 0.14%
Trade id #140796151
Max drawdown($75)
Time6/17/22 10:36
Quant open500
Worst price8.72
Drawdown as % of equity-0.14%
$25
Includes Typical Broker Commissions trade costs of $10.00
6/17/22 10:00 SILX ETFMG PRIME 2X DAILY JUNIOR SIL LONG 1,400 3.00 6/21 15:47 3.13 0.18%
Trade id #140795766
Max drawdown($98)
Time6/17/22 11:03
Quant open1,400
Worst price2.93
Drawdown as % of equity-0.18%
$177
Includes Typical Broker Commissions trade costs of $5.00
6/16/22 15:32 JNUG DIREXION DAILY JR GOLD BULL 2X LONG 100 46.09 6/17 9:30 45.51 0.47%
Trade id #140789685
Max drawdown($259)
Time6/17/22 0:00
Quant open100
Worst price43.50
Drawdown as % of equity-0.47%
($60)
Includes Typical Broker Commissions trade costs of $2.00
6/16/22 13:46 NRGU MICROSECTORS US BIG OIL INDEX 3X LEVERAGED ETN LONG 10 460.00 6/16 14:07 443.35 0.34%
Trade id #140788542
Max drawdown($186)
Time6/16/22 14:07
Quant open10
Worst price441.33
Drawdown as % of equity-0.34%
($167)
Includes Typical Broker Commissions trade costs of $0.20
6/13/22 9:59 JNUG DIREXION DAILY JR GOLD BULL 2X LONG 100 47.64 6/13 15:26 45.53 0.41%
Trade id #140749353
Max drawdown($224)
Time6/13/22 15:26
Quant open100
Worst price45.40
Drawdown as % of equity-0.41%
($213)
Includes Typical Broker Commissions trade costs of $2.00
6/9/22 13:11 HIBS DIREXION DAILY S&P 500 HIGH BETA BEAR 3X SHARES LONG 500 9.06 6/10 13:50 10.66 n/a $790
Includes Typical Broker Commissions trade costs of $10.00
6/6/22 13:35 FXP PROSHARES ULTRASHORT FTSE CHIN LONG 130 35.27 6/7 15:01 34.38 0.21%
Trade id #140690732
Max drawdown($115)
Time6/7/22 15:01
Quant open130
Worst price34.38
Drawdown as % of equity-0.21%
($119)
Includes Typical Broker Commissions trade costs of $2.60
6/3/22 15:37 FAZ DIREXION DAILY FINANCIAL BEAR LONG 200 22.44 6/6 10:00 21.60 0.33%
Trade id #140675514
Max drawdown($182)
Time6/6/22 10:00
Quant open200
Worst price21.53
Drawdown as % of equity-0.33%
($172)
Includes Typical Broker Commissions trade costs of $4.00
6/2/22 15:18 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 333 13.13 6/6 9:50 12.70 0.32%
Trade id #140665991
Max drawdown($174)
Time6/6/22 9:50
Quant open333
Worst price12.61
Drawdown as % of equity-0.32%
($150)
Includes Typical Broker Commissions trade costs of $6.66
5/25/22 9:31 RXL PROSHARES ULTRA HEALTH CARE LONG 50 90.10 5/31 10:03 92.25 n/a $107
Includes Typical Broker Commissions trade costs of $1.00
5/25/22 12:18 UBT PROSHARES ULTRA 20+ YEAR TREAS LONG 130 35.11 5/27 14:50 34.88 0.15%
Trade id #140596261
Max drawdown($84)
Time5/26/22 0:00
Quant open130
Worst price34.46
Drawdown as % of equity-0.15%
($33)
Includes Typical Broker Commissions trade costs of $2.60
5/25/22 12:15 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 230 18.70 5/25 15:02 18.05 0.27%
Trade id #140596240
Max drawdown($148)
Time5/25/22 15:02
Quant open230
Worst price18.05
Drawdown as % of equity-0.27%
($153)
Includes Typical Broker Commissions trade costs of $4.60
5/18/22 15:24 JNUG DIREXION DAILY JR GOLD BULL 2X LONG 100 46.64 5/25 10:20 52.26 0.08%
Trade id #140522408
Max drawdown($46)
Time5/18/22 15:59
Quant open100
Worst price46.18
Drawdown as % of equity-0.08%
$560
Includes Typical Broker Commissions trade costs of $2.00
5/17/22 15:59 WEBS DIREXION DAILY DOW JONES INTERNET BEAR 3X SHARES LONG 99 43.31 5/20 13:53 51.05 n/a $764
Includes Typical Broker Commissions trade costs of $1.98
5/19/22 10:04 DRV DIREXION DAILY REAL ES BEAR 3X LONG 88 50.00 5/19 10:21 49.26 0.14%
Trade id #140530670
Max drawdown($74)
Time5/19/22 10:21
Quant open88
Worst price49.15
Drawdown as % of equity-0.14%
($67)
Includes Typical Broker Commissions trade costs of $1.76
5/16/22 15:23 DFEN DIREXION DAILY AEROSPACE & DEFENSE BULL 3X LONG 270 15.70 5/18 12:02 15.88 0.13%
Trade id #140493382
Max drawdown($70)
Time5/16/22 15:48
Quant open270
Worst price15.44
Drawdown as % of equity-0.13%
$44
Includes Typical Broker Commissions trade costs of $5.40
5/16/22 11:36 OILU MICROSECTORS OIL & GAS EXP & PROD 3X LEVERAGED ETF LONG 70 61.15 5/18 11:06 62.50 n/a $94
Includes Typical Broker Commissions trade costs of $1.40
5/11/22 14:23 FAZ DIREXION DAILY FINANCIAL BEAR LONG 166 26.44 5/13 12:09 25.70 0.23%
Trade id #140443830
Max drawdown($122)
Time5/13/22 12:09
Quant open166
Worst price25.70
Drawdown as % of equity-0.23%
($126)
Includes Typical Broker Commissions trade costs of $3.32
5/2/22 10:24 DRV DIREXION DAILY REAL ES BEAR 3X LONG 111 38.58 5/13 9:29 48.60 0.16%
Trade id #140333289
Max drawdown($86)
Time5/5/22 0:00
Quant open111
Worst price37.80
Drawdown as % of equity-0.16%
$1,110
Includes Typical Broker Commissions trade costs of $2.22
5/11/22 15:38 GDXU MICROSECTORS GOLD MINERS 3X LEVERAGED ETN LONG 500 8.60 5/12 9:30 8.01 1.59%
Trade id #140444607
Max drawdown($867)
Time5/12/22 0:00
Quant open500
Worst price6.87
Drawdown as % of equity-1.59%
($305)
Includes Typical Broker Commissions trade costs of $10.00
5/5/22 14:36 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 80 55.65 5/6 15:21 54.85 0.13%
Trade id #140383767
Max drawdown($68)
Time5/6/22 15:21
Quant open80
Worst price54.80
Drawdown as % of equity-0.13%
($66)
Includes Typical Broker Commissions trade costs of $1.60
4/21/22 10:22 SRTY PROSHARES ULTRAPRO SHORT RUSSELL LONG 93 48.76 5/3 11:20 59.52 0.05%
Trade id #140212428
Max drawdown($24)
Time4/21/22 10:29
Quant open93
Worst price48.50
Drawdown as % of equity-0.05%
$999
Includes Typical Broker Commissions trade costs of $1.86
4/29/22 12:05 SILX ETFMG PRIME 2X DAILY JUNIOR SIL LONG 800 4.56 5/2 9:35 4.14 0.63%
Trade id #140315625
Max drawdown($336)
Time5/2/22 9:35
Quant open800
Worst price4.14
Drawdown as % of equity-0.63%
($341)
Includes Typical Broker Commissions trade costs of $5.00
4/27/22 13:28 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 88 51.95 4/27 14:11 50.78 0.19%
Trade id #140287852
Max drawdown($104)
Time4/27/22 14:11
Quant open88
Worst price50.77
Drawdown as % of equity-0.19%
($105)
Includes Typical Broker Commissions trade costs of $1.76
4/20/22 13:38 BZQ PROSHARES ULTRASHORT MSCI BRAZ LONG 444 9.66 4/27 13:58 11.90 0.08%
Trade id #140200631
Max drawdown($39)
Time4/21/22 0:00
Quant open444
Worst price9.57
Drawdown as % of equity-0.08%
$986
Includes Typical Broker Commissions trade costs of $8.88
4/25/22 9:31 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 300 15.09 4/27 10:52 15.03 0.06%
Trade id #140248597
Max drawdown($33)
Time4/27/22 10:52
Quant open300
Worst price14.98
Drawdown as % of equity-0.06%
($24)
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    5/29/2021
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    398.69
  • Age
    13 months ago
  • What it trades
    Stocks
  • # Trades
    177
  • # Profitable
    68
  • % Profitable
    38.40%
  • Avg trade duration
    4.9 days
  • Max peak-to-valley drawdown
    10.3%
  • drawdown period
    Sept 20, 2021 - May 04, 2022
  • Annual Return (Compounded)
    8.9%
  • Avg win
    $381.68
  • Avg loss
    $166.03
  • Model Account Values (Raw)
  • Cash
    $57,870
  • Margin Used
    $0
  • Buying Power
    $57,870
  • Ratios
  • W:L ratio
    1.43:1
  • Sharpe Ratio
    0.71
  • Sortino Ratio
    1.22
  • Calmar Ratio
    2.875
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    18.81%
  • Correlation to SP500
    -0.16730
  • Return Percent SP500 (cumu) during strategy life
    -9.01%
  • Verified
  • C2Star
    2
  • Return Statistics
  • Ann Return (w trading costs)
    8.9%
  • Slump
  • Current Slump as Pcnt Equity
    1.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.71%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.089%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    14.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    14.50%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    n/a
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    598
  • Popularity (Last 6 weeks)
    866
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    259
  • Popularity (7 days, Percentile 1000 scale)
    708
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $166
  • Avg Win
    $382
  • Sum Trade PL (losers)
    $18,097.000
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $25,954.000
  • # Winners
    68
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    12
  • Win / Loss
  • # Losers
    109
  • % Winners
    38.4%
  • Frequency
  • Avg Position Time (mins)
    6991.87
  • Avg Position Time (hrs)
    116.53
  • Avg Trade Length
    4.9 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.52
  • Daily leverage (max)
    1.48
  • Regression
  • Alpha
    0.02
  • Beta
    -0.08
  • Treynor Index
    -0.27
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.65
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    10.052
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.214
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.182
  • Hold-and-Hope Ratio
    0.099
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11385
  • SD
    0.09876
  • Sharpe ratio (Glass type estimate)
    1.15281
  • Sharpe ratio (Hedges UMVUE)
    1.07896
  • df
    12.00000
  • t
    1.19988
  • p
    0.33635
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80715
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.06797
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85295
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.01088
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.37862
  • Upside Potential Ratio
    3.95052
  • Upside part of mean
    0.18909
  • Downside part of mean
    -0.07524
  • Upside SD
    0.08828
  • Downside SD
    0.04787
  • N nonnegative terms
    9.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    -0.10329
  • Mean of criterion
    0.11385
  • SD of predictor
    0.15657
  • SD of criterion
    0.09876
  • Covariance
    -0.00162
  • r
    -0.10494
  • b (slope, estimate of beta)
    -0.06619
  • a (intercept, estimate of alpha)
    0.10702
  • Mean Square Error
    0.01052
  • DF error
    11.00000
  • t(b)
    -0.34997
  • p(b)
    0.63352
  • t(a)
    1.06509
  • p(a)
    0.15483
  • Lowerbound of 95% confidence interval for beta
    -0.48248
  • Upperbound of 95% confidence interval for beta
    0.35009
  • Lowerbound of 95% confidence interval for alpha
    -0.11413
  • Upperbound of 95% confidence interval for alpha
    0.32817
  • Treynor index (mean / b)
    -1.72008
  • Jensen alpha (a)
    0.10702
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10869
  • SD
    0.09715
  • Sharpe ratio (Glass type estimate)
    1.11879
  • Sharpe ratio (Hedges UMVUE)
    1.04712
  • df
    12.00000
  • t
    1.16447
  • p
    0.34068
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83741
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.03139
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.88199
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.97623
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.23560
  • Upside Potential Ratio
    3.80365
  • Upside part of mean
    0.18492
  • Downside part of mean
    -0.07623
  • Upside SD
    0.08563
  • Downside SD
    0.04862
  • N nonnegative terms
    9.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    -0.11506
  • Mean of criterion
    0.10869
  • SD of predictor
    0.15870
  • SD of criterion
    0.09715
  • Covariance
    -0.00167
  • r
    -0.10803
  • b (slope, estimate of beta)
    -0.06613
  • a (intercept, estimate of alpha)
    0.10108
  • Mean Square Error
    0.01018
  • DF error
    11.00000
  • t(b)
    -0.36040
  • p(b)
    0.63731
  • t(a)
    1.01905
  • p(a)
    0.16503
  • Lowerbound of 95% confidence interval for beta
    -0.46999
  • Upperbound of 95% confidence interval for beta
    0.33773
  • Lowerbound of 95% confidence interval for alpha
    -0.11723
  • Upperbound of 95% confidence interval for alpha
    0.31939
  • Treynor index (mean / b)
    -1.64354
  • Jensen alpha (a)
    0.10108
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03639
  • Expected Shortfall on VaR
    0.04757
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01023
  • Expected Shortfall on VaR
    0.02252
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.96183
  • Quartile 1
    0.99595
  • Median
    1.01728
  • Quartile 3
    1.02408
  • Maximum
    1.07780
  • Mean of quarter 1
    0.98195
  • Mean of quarter 2
    1.00858
  • Mean of quarter 3
    1.02172
  • Mean of quarter 4
    1.04496
  • Inter Quartile Range
    0.02813
  • 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
    1.07780
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.61906
  • VaR(95%) (moments method)
    0.01873
  • Expected Shortfall (moments method)
    0.05769
  • Extreme Value Index (regression method)
    1.11592
  • VaR(95%) (regression method)
    0.02907
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02985
  • Quartile 1
    0.03290
  • Median
    0.03596
  • Quartile 3
    0.03901
  • Maximum
    0.04207
  • Mean of quarter 1
    0.02985
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04207
  • Inter Quartile Range
    0.00611
  • 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)
    0.14722
  • Compounded annual return (geometric extrapolation)
    0.14636
  • Calmar ratio (compounded annual return / max draw down)
    3.47914
  • Compounded annual return / average of 25% largest draw downs
    3.47914
  • Compounded annual return / Expected Shortfall lognormal
    3.07699
  • 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
    0.11208
  • SD
    0.08325
  • Sharpe ratio (Glass type estimate)
    1.34631
  • Sharpe ratio (Hedges UMVUE)
    1.34274
  • df
    283.00000
  • t
    1.40169
  • p
    0.08105
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54065
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23092
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54303
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22850
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.39367
  • Upside Potential Ratio
    11.11430
  • Upside part of mean
    0.52040
  • Downside part of mean
    -0.40832
  • Upside SD
    0.06900
  • Downside SD
    0.04682
  • N nonnegative terms
    134.00000
  • N negative terms
    150.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    284.00000
  • Mean of predictor
    -0.09651
  • Mean of criterion
    0.11208
  • SD of predictor
    0.19222
  • SD of criterion
    0.08325
  • Covariance
    -0.00261
  • r
    -0.16335
  • b (slope, estimate of beta)
    -0.07075
  • a (intercept, estimate of alpha)
    0.10500
  • Mean Square Error
    0.00677
  • DF error
    282.00000
  • t(b)
    -2.78050
  • p(b)
    0.99710
  • t(a)
    1.33122
  • p(a)
    0.09210
  • Lowerbound of 95% confidence interval for beta
    -0.12083
  • Upperbound of 95% confidence interval for beta
    -0.02066
  • Lowerbound of 95% confidence interval for alpha
    -0.05038
  • Upperbound of 95% confidence interval for alpha
    0.26088
  • Treynor index (mean / b)
    -1.58419
  • Jensen alpha (a)
    0.10525
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10861
  • SD
    0.08295
  • Sharpe ratio (Glass type estimate)
    1.30923
  • Sharpe ratio (Hedges UMVUE)
    1.30576
  • df
    283.00000
  • t
    1.36309
  • p
    0.08697
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57749
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.19372
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57983
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.19135
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.31094
  • Upside Potential Ratio
    11.02180
  • Upside part of mean
    0.51799
  • Downside part of mean
    -0.40938
  • Upside SD
    0.06851
  • Downside SD
    0.04700
  • N nonnegative terms
    134.00000
  • N negative terms
    150.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    284.00000
  • Mean of predictor
    -0.11501
  • Mean of criterion
    0.10861
  • SD of predictor
    0.19284
  • SD of criterion
    0.08295
  • Covariance
    -0.00261
  • r
    -0.16339
  • b (slope, estimate of beta)
    -0.07029
  • a (intercept, estimate of alpha)
    0.10052
  • Mean Square Error
    0.00672
  • DF error
    282.00000
  • t(b)
    -2.78116
  • p(b)
    0.99711
  • t(a)
    1.27569
  • p(a)
    0.10156
  • Lowerbound of 95% confidence interval for beta
    -0.12003
  • Upperbound of 95% confidence interval for beta
    -0.02054
  • Lowerbound of 95% confidence interval for alpha
    -0.05459
  • Upperbound of 95% confidence interval for alpha
    0.25563
  • Treynor index (mean / b)
    -1.54522
  • Jensen alpha (a)
    0.10052
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00798
  • Expected Shortfall on VaR
    0.01010
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00374
  • Expected Shortfall on VaR
    0.00687
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    284.00000
  • Minimum
    0.98500
  • Quartile 1
    0.99765
  • Median
    1.00000
  • Quartile 3
    1.00229
  • Maximum
    1.03063
  • Mean of quarter 1
    0.99509
  • Mean of quarter 2
    0.99889
  • Mean of quarter 3
    1.00097
  • Mean of quarter 4
    1.00718
  • Inter Quartile Range
    0.00464
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.01761
  • Mean of outliers low
    0.98820
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.05282
  • Mean of outliers high
    1.01395
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04843
  • VaR(95%) (moments method)
    0.00480
  • Expected Shortfall (moments method)
    0.00620
  • Extreme Value Index (regression method)
    0.10339
  • VaR(95%) (regression method)
    0.00471
  • Expected Shortfall (regression method)
    0.00648
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00100
  • Quartile 1
    0.00624
  • Median
    0.00800
  • Quartile 3
    0.00988
  • Maximum
    0.05088
  • Mean of quarter 1
    0.00324
  • Mean of quarter 2
    0.00709
  • Mean of quarter 3
    0.00883
  • Mean of quarter 4
    0.03747
  • Inter Quartile Range
    0.00364
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.05057
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -29450.60000
  • VaR(95%) (moments method)
    0.02821
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -6.96232
  • VaR(95%) (regression method)
    0.19965
  • Expected Shortfall (regression method)
    0.19966
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.14713
  • Compounded annual return (geometric extrapolation)
    0.14627
  • Calmar ratio (compounded annual return / max draw down)
    2.87491
  • Compounded annual return / average of 25% largest draw downs
    3.90354
  • Compounded annual return / Expected Shortfall lognormal
    14.47710
  • 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
    0.06543
  • SD
    0.07700
  • Sharpe ratio (Glass type estimate)
    0.84976
  • Sharpe ratio (Hedges UMVUE)
    0.84485
  • df
    130.00000
  • t
    0.60087
  • p
    0.47369
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.92554
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.62192
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.92886
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.61856
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.39701
  • Upside Potential Ratio
    10.52320
  • Upside part of mean
    0.49285
  • Downside part of mean
    -0.42742
  • Upside SD
    0.06088
  • Downside SD
    0.04683
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.44158
  • Mean of criterion
    0.06543
  • SD of predictor
    0.24949
  • SD of criterion
    0.07700
  • Covariance
    -0.00306
  • r
    -0.15914
  • b (slope, estimate of beta)
    -0.04911
  • a (intercept, estimate of alpha)
    0.04374
  • Mean Square Error
    0.00582
  • DF error
    129.00000
  • t(b)
    -1.83086
  • p(b)
    0.60089
  • t(a)
    0.40290
  • p(a)
    0.47744
  • Lowerbound of 95% confidence interval for beta
    -0.10219
  • Upperbound of 95% confidence interval for beta
    0.00396
  • Lowerbound of 95% confidence interval for alpha
    -0.17106
  • Upperbound of 95% confidence interval for alpha
    0.25854
  • Treynor index (mean / b)
    -1.33217
  • Jensen alpha (a)
    0.04374
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06248
  • SD
    0.07687
  • Sharpe ratio (Glass type estimate)
    0.81281
  • Sharpe ratio (Hedges UMVUE)
    0.80811
  • df
    130.00000
  • t
    0.57474
  • p
    0.47483
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.96221
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.58493
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.96543
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.58166
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.32932
  • Upside Potential Ratio
    10.44570
  • Upside part of mean
    0.49096
  • Downside part of mean
    -0.42848
  • Upside SD
    0.06058
  • Downside SD
    0.04700
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.47297
  • Mean of criterion
    0.06248
  • SD of predictor
    0.25039
  • SD of criterion
    0.07687
  • Covariance
    -0.00307
  • r
    -0.15960
  • b (slope, estimate of beta)
    -0.04900
  • a (intercept, estimate of alpha)
    0.03931
  • Mean Square Error
    0.00580
  • DF error
    129.00000
  • t(b)
    -1.83619
  • p(b)
    0.60117
  • t(a)
    0.36238
  • p(a)
    0.47970
  • VAR (95 Confidence Intrvl)
    0.00800
  • Lowerbound of 95% confidence interval for beta
    -0.10179
  • Upperbound of 95% confidence interval for beta
    0.00380
  • Lowerbound of 95% confidence interval for alpha
    -0.17530
  • Upperbound of 95% confidence interval for alpha
    0.25391
  • Treynor index (mean / b)
    -1.27521
  • Jensen alpha (a)
    0.03931
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00754
  • Expected Shortfall on VaR
    0.00951
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00408
  • Expected Shortfall on VaR
    0.00719
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98722
  • Quartile 1
    0.99746
  • Median
    0.99963
  • Quartile 3
    1.00253
  • Maximum
    1.01650
  • Mean of quarter 1
    0.99516
  • Mean of quarter 2
    0.99862
  • Mean of quarter 3
    1.00094
  • Mean of quarter 4
    1.00672
  • Inter Quartile Range
    0.00507
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.98722
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.01357
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19253
  • VaR(95%) (moments method)
    0.00518
  • Expected Shortfall (moments method)
    0.00755
  • Extreme Value Index (regression method)
    0.11708
  • VaR(95%) (regression method)
    0.00452
  • Expected Shortfall (regression method)
    0.00604
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00193
  • Quartile 1
    0.00856
  • Median
    0.00941
  • Quartile 3
    0.01128
  • Maximum
    0.05025
  • Mean of quarter 1
    0.00524
  • Mean of quarter 2
    0.00941
  • Mean of quarter 3
    0.01128
  • Mean of quarter 4
    0.05025
  • Inter Quartile Range
    0.00272
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.00193
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.05025
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -349974000
  • Max Equity Drawdown (num days)
    226
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09246
  • Compounded annual return (geometric extrapolation)
    0.09460
  • Calmar ratio (compounded annual return / max draw down)
    1.88240
  • Compounded annual return / average of 25% largest draw downs
    1.88240
  • Compounded annual return / Expected Shortfall lognormal
    9.94696

Strategy Description

This system invests in ETF’s only, both broad market (i.e. Russell 2000, S&P500), as well as narrowly focused (i.e. industry, geography). Most positions will be in inverse or levered ETF’s. No short positions (short exposure is obtained via inverse ETF’s).

The strategy is entirely quantitative and technical. Positions are entered and exited based on their own individual analysis and characteristics and are not intended to hedge other positions or diversify the portfolio. No fundamental preconceived notions or news-driven decisions are employed.

IRA compatible (since there are no short positions) but a margin account is necessary because of the use of levered ETF’s.

Trades are not devised to be intraday unless a stop-loss level is reached, and the position is closed out.

Summary Statistics

Strategy began
2021-05-29
Suggested Minimum Capital
$15,000
# Trades
177
# Profitable
68
% Profitable
38.4%
Net Dividends
Correlation S&P500
-0.167
Sharpe Ratio
0.71
Sortino Ratio
1.22
Beta
-0.08
Alpha
0.02
Leverage
0.52 Average
1.48 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.