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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more
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SPY 2X Pro
(136699379)

Created by: GSPTrader GSPTrader
Started: 07/2021
Stocks
Last trade: 856 days ago
Trading style: Equity Non-hedged Equity

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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
1.7%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(5.0%)
Max Drawdown
92
Num Trades
46.7%
Win Trades
1.2 : 1
Profit Factor
8.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                          (1%)+1.4%(1.4%)+3.1%+1.1%(2.6%)+0.5%
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 168 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/29/21 10:17 SPY SPDR S&P 500 SHORT 200 476.18 12/29 12:00 476.59 0.5%
Trade id #138741781
Max drawdown($254)
Time12/29/21 10:43
Quant open200
Worst price477.45
Drawdown as % of equity-0.50%
 ($86)
Includes Typical Broker Commissions trade costs of $4.00
12/28/21 11:26 SPY SPDR S&P 500 SHORT 200 477.39 12/28 13:00 476.62 0.31%
Trade id #138730023
Max drawdown($154)
Time12/28/21 11:56
Quant open200
Worst price478.16
Drawdown as % of equity-0.31%
 $150
Includes Typical Broker Commissions trade costs of $4.00
12/21/21 9:30 SPY SPDR S&P 500 LONG 200 458.53 12/21 11:01 457.49 0.88%
Trade id #138650856
Max drawdown($444)
Time12/21/21 10:38
Quant open200
Worst price456.31
Drawdown as % of equity-0.88%
 ($212)
Includes Typical Broker Commissions trade costs of $4.00
12/17/21 15:56 SPY SPDR S&P 500 SHORT 200 460.19 12/17 15:59 460.55 0.15%
Trade id #138624216
Max drawdown($78)
Time12/17/21 15:59
Quant open200
Worst price460.58
Drawdown as % of equity-0.15%
 ($76)
Includes Typical Broker Commissions trade costs of $4.00
12/17/21 9:35 SPY SPDR S&P 500 SHORT 185 461.32 12/17 12:03 460.65 1.25%
Trade id #138617343
Max drawdown($632)
Time12/17/21 11:13
Quant open185
Worst price464.74
Drawdown as % of equity-1.25%
 $120
Includes Typical Broker Commissions trade costs of $3.70
12/16/21 10:01 SPY SPDR S&P 500 SHORT 185 470.77 12/16 11:52 469.98 0.54%
Trade id #138603253
Max drawdown($281)
Time12/16/21 10:30
Quant open185
Worst price472.29
Drawdown as % of equity-0.54%
 $142
Includes Typical Broker Commissions trade costs of $3.70
12/15/21 14:00 SPY SPDR S&P 500 SHORT 200 461.31 12/15 15:37 470.05 3.38%
Trade id #138592584
Max drawdown($1,762)
Time12/15/21 15:36
Quant open200
Worst price470.12
Drawdown as % of equity-3.38%
 ($1,752)
Includes Typical Broker Commissions trade costs of $4.00
12/15/21 9:45 SPY SPDR S&P 500 SHORT 215 462.06 12/15 10:57 461.87 0.37%
Trade id #138588194
Max drawdown($195)
Time12/15/21 10:43
Quant open215
Worst price462.97
Drawdown as % of equity-0.37%
 $37
Includes Typical Broker Commissions trade costs of $4.30
12/13/21 15:54 SPY SPDR S&P 500 SHORT 210 466.88 12/14 10:57 461.30 0.01%
Trade id #138564567
Max drawdown($4)
Time12/13/21 15:58
Quant open210
Worst price466.90
Drawdown as % of equity-0.01%
 $1,168
Includes Typical Broker Commissions trade costs of $4.20
12/10/21 11:14 SPY SPDR S&P 500 SHORT 210 466.93 12/10 12:06 468.73 0.82%
Trade id #138538662
Max drawdown($422)
Time12/10/21 11:50
Quant open210
Worst price468.94
Drawdown as % of equity-0.82%
 ($382)
Includes Typical Broker Commissions trade costs of $4.20
12/10/21 9:30 SPY SPDR S&P 500 LONG 200 469.20 12/10 10:59 468.01 0.71%
Trade id #138536223
Max drawdown($368)
Time12/10/21 10:50
Quant open200
Worst price467.36
Drawdown as % of equity-0.71%
 ($242)
Includes Typical Broker Commissions trade costs of $4.00
12/9/21 9:30 SPY SPDR S&P 500 SHORT 210 468.17 12/9 11:00 467.99 0.37%
Trade id #138522106
Max drawdown($189)
Time12/9/21 9:38
Quant open210
Worst price469.07
Drawdown as % of equity-0.37%
 $34
Includes Typical Broker Commissions trade costs of $4.20
12/7/21 15:37 SPY SPDR S&P 500 SHORT 215 466.83 12/8 11:28 467.81 1.02%
Trade id #138497308
Max drawdown($527)
Time12/8/21 9:52
Quant open215
Worst price469.29
Drawdown as % of equity-1.02%
 ($215)
Includes Typical Broker Commissions trade costs of $4.30
12/1/21 15:55 SPY SPDR S&P 500 SHORT 220 452.42 12/3 11:09 451.95 3.06%
Trade id #138420937
Max drawdown($1,552)
Time12/3/21 9:32
Quant open200
Worst price460.30
Drawdown as % of equity-3.06%
 $99
Includes Typical Broker Commissions trade costs of $4.40
11/30/21 9:30 SPY SPDR S&P 500 SHORT 200 462.05 11/30 11:07 458.12 0.77%
Trade id #138391217
Max drawdown($396)
Time11/30/21 10:35
Quant open200
Worst price464.03
Drawdown as % of equity-0.77%
 $782
Includes Typical Broker Commissions trade costs of $4.00
11/29/21 9:55 SPY SPDR S&P 500 SHORT 200 463.25 11/29 12:19 465.31 0.85%
Trade id #138375337
Max drawdown($436)
Time11/29/21 12:19
Quant open200
Worst price465.43
Drawdown as % of equity-0.85%
 ($416)
Includes Typical Broker Commissions trade costs of $4.00
11/26/21 9:30 SPY SPDR S&P 500 SHORT 200 462.44 11/26 11:01 459.53 0.57%
Trade id #138351318
Max drawdown($292)
Time11/26/21 9:35
Quant open200
Worst price463.90
Drawdown as % of equity-0.57%
 $578
Includes Typical Broker Commissions trade costs of $4.00
11/22/21 9:30 SPY SPDR S&P 500 LONG 200 471.92 11/22 11:53 470.79 0.56%
Trade id #138291316
Max drawdown($288)
Time11/22/21 11:53
Quant open200
Worst price470.48
Drawdown as % of equity-0.56%
 ($230)
Includes Typical Broker Commissions trade costs of $4.00
11/19/21 9:37 SPY SPDR S&P 500 SHORT 200 469.30 11/19 15:59 468.92 0.64%
Trade id #138265577
Max drawdown($328)
Time11/19/21 12:38
Quant open200
Worst price470.94
Drawdown as % of equity-0.64%
 $72
Includes Typical Broker Commissions trade costs of $4.00
11/18/21 14:25 SPY SPDR S&P 500 SHORT 200 468.90 11/18 15:59 469.52 0.43%
Trade id #138250153
Max drawdown($222)
Time11/18/21 15:48
Quant open200
Worst price470.01
Drawdown as % of equity-0.43%
 ($128)
Includes Typical Broker Commissions trade costs of $4.00
11/16/21 10:28 SPY SPDR S&P 500 SHORT 210 468.34 11/16 15:59 469.12 0.88%
Trade id #138211784
Max drawdown($450)
Time11/16/21 14:04
Quant open210
Worst price470.49
Drawdown as % of equity-0.88%
 ($168)
Includes Typical Broker Commissions trade costs of $4.20
11/15/21 14:05 SPY SPDR S&P 500 SHORT 200 466.88 11/15 15:59 467.08 0.25%
Trade id #138201387
Max drawdown($128)
Time11/15/21 15:59
Quant open200
Worst price467.52
Drawdown as % of equity-0.25%
 ($44)
Includes Typical Broker Commissions trade costs of $4.00
11/15/21 10:15 SPY SPDR S&P 500 SHORT 200 467.64 11/15 13:17 467.51 0.17%
Trade id #138196459
Max drawdown($86)
Time11/15/21 11:16
Quant open200
Worst price468.07
Drawdown as % of equity-0.17%
 $22
Includes Typical Broker Commissions trade costs of $4.00
11/11/21 15:21 SPY SPDR S&P 500 SHORT 200 464.06 11/12 15:20 467.01 1.27%
Trade id #138166114
Max drawdown($662)
Time11/12/21 12:00
Quant open200
Worst price467.37
Drawdown as % of equity-1.27%
 ($594)
Includes Typical Broker Commissions trade costs of $4.00
11/11/21 10:25 SPY SPDR S&P 500 SHORT 200 464.49 11/11 12:23 464.14 0.23%
Trade id #138160899
Max drawdown($121)
Time11/11/21 11:39
Quant open200
Worst price465.10
Drawdown as % of equity-0.23%
 $66
Includes Typical Broker Commissions trade costs of $4.00
11/10/21 9:30 SPY SPDR S&P 500 SHORT 210 465.61 11/10 15:59 464.07 0.73%
Trade id #138142148
Max drawdown($371)
Time11/10/21 10:20
Quant open210
Worst price467.38
Drawdown as % of equity-0.73%
 $319
Includes Typical Broker Commissions trade costs of $4.20
11/9/21 9:31 SPY SPDR S&P 500 SHORT 200 469.32 11/9 15:59 467.36 0.1%
Trade id #138127272
Max drawdown($50)
Time11/9/21 9:34
Quant open200
Worst price469.57
Drawdown as % of equity-0.10%
 $388
Includes Typical Broker Commissions trade costs of $4.00
11/8/21 9:56 SPY SPDR S&P 500 SHORT 210 469.25 11/8 15:59 468.96 0.22%
Trade id #138113904
Max drawdown($111)
Time11/8/21 10:26
Quant open210
Worst price469.78
Drawdown as % of equity-0.22%
 $57
Includes Typical Broker Commissions trade costs of $4.20
11/4/21 10:10 SPY SPDR S&P 500 SHORT 200 466.41 11/4 13:00 465.92 0.23%
Trade id #138074467
Max drawdown($118)
Time11/4/21 10:49
Quant open200
Worst price467.00
Drawdown as % of equity-0.23%
 $94
Includes Typical Broker Commissions trade costs of $4.00
11/3/21 10:05 SPY SPDR S&P 500 SHORT 200 460.85 11/3 13:01 461.22 0.28%
Trade id #138057984
Max drawdown($142)
Time11/3/21 10:48
Quant open200
Worst price461.56
Drawdown as % of equity-0.28%
 ($78)
Includes Typical Broker Commissions trade costs of $4.00
Next

Statistics

  • Strategy began
    7/27/2021
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1006.76
  • Age
    34 months ago
  • What it trades
    Stocks
  • # Trades
    92
  • # Profitable
    43
  • % Profitable
    46.70%
  • Avg trade duration
    4.2 hours
  • Max peak-to-valley drawdown
    5.01%
  • drawdown period
    Oct 11, 2021 - Dec 28, 2021
  • Cumul. Return
    0.8%
  • Avg win
    $249.19
  • Avg loss
    $187.29
  • Model Account Values (Raw)
  • Cash
    $51,541
  • Margin Used
    $0
  • Buying Power
    $51,541
  • Ratios
  • W:L ratio
    1.17:1
  • Sharpe Ratio
    -0.34
  • Sortino Ratio
    -0.53
  • Calmar Ratio
    1.179
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -6.55%
  • Correlation to SP500
    -0.06320
  • Return Percent SP500 (cumu) during strategy life
    16.35%
  • Return Statistics
  • Ann Return (w trading costs)
    1.7%
  • Slump
  • Current Slump as Pcnt Equity
    5.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.92%
  • 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)
    0.008%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • 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
    15.03%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $187
  • Avg Win
    $249
  • Sum Trade PL (losers)
    $9,177.000
  • Age
  • Num Months filled monthly returns table
    34
  • Win / Loss
  • Sum Trade PL (winners)
    $10,715.000
  • # Winners
    43
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    49
  • % Winners
    46.7%
  • Frequency
  • Avg Position Time (mins)
    249.68
  • Avg Position Time (hrs)
    4.16
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    852
  • Leverage
  • Daily leverage (average)
    1.71
  • Daily leverage (max)
    2.00
  • Regression
  • Alpha
    -0.00
  • Beta
    -0.01
  • Treynor Index
    0.29
  • 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)
    -0.52
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -407.311
  • 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
    0.712
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.377
  • Hold-and-Hope Ratio
    -0.002
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05013
  • SD
    0.08964
  • Sharpe ratio (Glass type estimate)
    0.55927
  • Sharpe ratio (Hedges UMVUE)
    0.44624
  • df
    4.00000
  • t
    0.36101
  • p
    0.36817
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.53301
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.58566
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.60583
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.49830
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.40972
  • Upside Potential Ratio
    3.98974
  • Upside part of mean
    0.14188
  • Downside part of mean
    -0.09175
  • Upside SD
    0.07330
  • Downside SD
    0.03556
  • N nonnegative terms
    2.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.17842
  • Mean of criterion
    0.05013
  • SD of predictor
    0.05033
  • SD of criterion
    0.08964
  • Covariance
    0.00113
  • r
    0.25057
  • b (slope, estimate of beta)
    0.44629
  • a (intercept, estimate of alpha)
    -0.02950
  • Mean Square Error
    0.01004
  • DF error
    3.00000
  • t(b)
    0.44830
  • p(b)
    0.34217
  • t(a)
    -0.12504
  • p(a)
    0.54580
  • Lowerbound of 95% confidence interval for beta
    -2.72193
  • Upperbound of 95% confidence interval for beta
    3.61451
  • Lowerbound of 95% confidence interval for alpha
    -0.78023
  • Upperbound of 95% confidence interval for alpha
    0.72123
  • Treynor index (mean / b)
    0.11233
  • Jensen alpha (a)
    -0.02950
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04678
  • SD
    0.08821
  • Sharpe ratio (Glass type estimate)
    0.53033
  • Sharpe ratio (Hedges UMVUE)
    0.42314
  • df
    4.00000
  • t
    0.34232
  • p
    0.37467
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.55801
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.55605
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.62735
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.47363
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.30895
  • Upside Potential Ratio
    3.88804
  • Upside part of mean
    0.13895
  • Downside part of mean
    -0.09217
  • Upside SD
    0.07162
  • Downside SD
    0.03574
  • N nonnegative terms
    2.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.17572
  • Mean of criterion
    0.04678
  • SD of predictor
    0.04972
  • SD of criterion
    0.08821
  • Covariance
    0.00111
  • r
    0.25261
  • b (slope, estimate of beta)
    0.44816
  • a (intercept, estimate of alpha)
    -0.03197
  • Mean Square Error
    0.00971
  • DF error
    3.00000
  • t(b)
    0.45221
  • p(b)
    0.34091
  • t(a)
    -0.13804
  • p(a)
    0.55053
  • Lowerbound of 95% confidence interval for beta
    -2.70578
  • Upperbound of 95% confidence interval for beta
    3.60210
  • Lowerbound of 95% confidence interval for alpha
    -0.76899
  • Upperbound of 95% confidence interval for alpha
    0.70505
  • Treynor index (mean / b)
    0.10438
  • Jensen alpha (a)
    -0.03197
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03727
  • Expected Shortfall on VaR
    0.04742
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01838
  • Expected Shortfall on VaR
    0.02402
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.98632
  • Quartile 1
    0.98777
  • Median
    0.99467
  • Quartile 3
    1.01621
  • Maximum
    1.04756
  • Mean of quarter 1
    0.98704
  • Mean of quarter 2
    0.99467
  • Mean of quarter 3
    1.01621
  • Mean of quarter 4
    1.04756
  • Inter Quartile Range
    0.02844
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01223
  • Quartile 1
    0.01391
  • Median
    0.01559
  • Quartile 3
    0.01726
  • Maximum
    0.01894
  • Mean of quarter 1
    0.01223
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.01894
  • Inter Quartile Range
    0.00336
  • 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)
    0.07586
  • Compounded annual return (geometric extrapolation)
    0.07755
  • Calmar ratio (compounded annual return / max draw down)
    4.09383
  • Compounded annual return / average of 25% largest draw downs
    4.09383
  • Compounded annual return / Expected Shortfall lognormal
    1.63531
  • 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
    0.04526
  • SD
    0.08198
  • Sharpe ratio (Glass type estimate)
    0.55205
  • Sharpe ratio (Hedges UMVUE)
    0.54863
  • df
    121.00000
  • t
    0.37671
  • p
    0.47822
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.32205
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.42409
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.32443
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.42168
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.87275
  • Upside Potential Ratio
    7.58113
  • Upside part of mean
    0.39313
  • Downside part of mean
    -0.34787
  • Upside SD
    0.06312
  • Downside SD
    0.05186
  • N nonnegative terms
    47.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    122.00000
  • Mean of predictor
    0.13231
  • Mean of criterion
    0.04526
  • SD of predictor
    0.12762
  • SD of criterion
    0.08198
  • Covariance
    -0.00158
  • r
    -0.15133
  • b (slope, estimate of beta)
    -0.09722
  • a (intercept, estimate of alpha)
    0.02000
  • Mean Square Error
    0.00662
  • DF error
    120.00000
  • t(b)
    -1.67710
  • p(b)
    0.57567
  • t(a)
    0.48638
  • p(a)
    0.47782
  • Lowerbound of 95% confidence interval for beta
    -0.21199
  • Upperbound of 95% confidence interval for beta
    0.01755
  • Lowerbound of 95% confidence interval for alpha
    -0.17847
  • Upperbound of 95% confidence interval for alpha
    0.29472
  • Treynor index (mean / b)
    -0.46554
  • Jensen alpha (a)
    0.05812
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04192
  • SD
    0.08185
  • Sharpe ratio (Glass type estimate)
    0.51223
  • Sharpe ratio (Hedges UMVUE)
    0.50905
  • df
    121.00000
  • t
    0.34954
  • p
    0.47978
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.36176
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.38415
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.36389
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.38199
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.80314
  • Upside Potential Ratio
    7.49254
  • Upside part of mean
    0.39112
  • Downside part of mean
    -0.34919
  • Upside SD
    0.06266
  • Downside SD
    0.05220
  • N nonnegative terms
    47.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    122.00000
  • Mean of predictor
    0.12418
  • Mean of criterion
    0.04192
  • SD of predictor
    0.12772
  • SD of criterion
    0.08185
  • Covariance
    -0.00159
  • r
    -0.15175
  • b (slope, estimate of beta)
    -0.09725
  • a (intercept, estimate of alpha)
    0.05400
  • Mean Square Error
    0.00660
  • DF error
    120.00000
  • t(b)
    -1.68186
  • p(b)
    0.57588
  • t(a)
    0.45279
  • p(a)
    0.47935
  • Lowerbound of 95% confidence interval for beta
    -0.21173
  • Upperbound of 95% confidence interval for beta
    0.01723
  • Lowerbound of 95% confidence interval for alpha
    -0.18213
  • Upperbound of 95% confidence interval for alpha
    0.29013
  • Treynor index (mean / b)
    -0.43111
  • Jensen alpha (a)
    0.05400
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00812
  • Expected Shortfall on VaR
    0.01022
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00344
  • Expected Shortfall on VaR
    0.00703
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    122.00000
  • Minimum
    0.97951
  • Quartile 1
    0.99887
  • Median
    1.00000
  • Quartile 3
    1.00128
  • Maximum
    1.02328
  • Mean of quarter 1
    0.99538
  • Mean of quarter 2
    0.99964
  • Mean of quarter 3
    1.00037
  • Mean of quarter 4
    1.00572
  • Inter Quartile Range
    0.00241
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.08197
  • Mean of outliers low
    0.99120
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.09016
  • Mean of outliers high
    1.01169
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25807
  • VaR(95%) (moments method)
    0.00374
  • Expected Shortfall (moments method)
    0.00643
  • Extreme Value Index (regression method)
    0.37196
  • VaR(95%) (regression method)
    0.00395
  • Expected Shortfall (regression method)
    0.00763
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00039
  • Quartile 1
    0.00095
  • Median
    0.00442
  • Quartile 3
    0.01004
  • Maximum
    0.03767
  • Mean of quarter 1
    0.00058
  • Mean of quarter 2
    0.00228
  • Mean of quarter 3
    0.00630
  • Mean of quarter 4
    0.02795
  • Inter Quartile Range
    0.00910
  • 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
    0.12500
  • Mean of outliers high
    0.03767
  • 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)
    0.07098
  • Compounded annual return (geometric extrapolation)
    0.07233
  • Calmar ratio (compounded annual return / max draw down)
    1.92024
  • Compounded annual return / average of 25% largest draw downs
    2.58787
  • Compounded annual return / Expected Shortfall lognormal
    7.07998
  • 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)
    0.00600
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -318979000
  • Max Equity Drawdown (num days)
    78

Strategy Description

SPY 2X Pro is a systematic strategy designed to take advantage of the moves in short term SPY ETF. Multiple risk controls are used to determine position size and control drawdowns. When there are no high probability directional trades, the system will be out of the market. Because of the number of short term trades, transaction costs will be significant. The program trades frequently, entering and exiting the trades on a daily basis. Stop orders, limit orders, or market orders may be used to enter or exit markets at the discretion of the manager.

The account will be traded with an initial size of $50,000. Thereafter, the positions will be based on the account size shown on the Hypothetical Performance Chart. The account positions are based on 50% margining. Some brokerage firms allow day trading at lower margin requirements. Scaling at greater than or less than 100% may result in performance different from the model. Because this account takes short positions, it is not suitable for IRA accounts. ACCOUNT EQUITY MUST BE MAINTAINED ABOVE $25,000 TO AVOID PATTERN DAY TRADE REGULATIONS.

Leveraged trading involves high risk. Actual results are not guaranteed and may vary from expectations
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2021-07-27
Suggested Minimum Capital
$35,000
# Trades
92
# Profitable
43
% Profitable
46.7%
Correlation S&P500
-0.063
Sharpe Ratio
-0.34
Sortino Ratio
-0.53
Beta
-0.01
Alpha
-0.00
Leverage
1.71 Average
2.00 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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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.