Collective2 Collective2
Featured Strategy Quant AI pro +16.8% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

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

Trades-Own-Strategy (TOS) Certification Details
Certification process started 06/05/2023
Most recent certification approved 6/5/23 9:31 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 43
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 43
Percent signals followed since 06/05/2023 100%
This information was last updated 12/21/24 6:51 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 06/05/2023, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

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

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

Alpha Hedge AI Algo
(137412784)

Powered by BrokerTransmit.
Read important disclosures.

Created by: ZuriqueCapital ZuriqueCapital
Started: 09/2021
Stocks
Last trade: 109 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 $80.00 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).
11.9%
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.

(21.7%)
Max Drawdown
28
Num Trades
57.1%
Win Trades
4.3 : 1
Profit Factor
55.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                          -    -    -    -  (0.2%)
2022  -  (0.2%)+0.9%+1.6%(2.7%)+3.7%+0.2%+5.5%+6.6%+1.5%(8.7%)(2.2%)+5.5%
2023+2.4%(2.6%)+4.2%+1.1%+0.9%+3.5%+3.0%(3.7%)(3.8%)+1.9%  -  +7.0%+14.3%
2024+0.4%+14.5%+6.2%(13.2%)+7.3%+6.3%(0.8%)(4.1%)+1.7%(1.3%)+6.1%(2.2%)+19.8%

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

This strategy has placed 43 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/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/4/23 9:51 TQQQ PROSHARES ULTRAPRO QQQ LONG 206 42.65 8/5/24 9:30 48.98 0.34%
Trade id #146604914
Max drawdown($189)
Time12/4/23 10:53
Quant open206
Worst price41.73
Drawdown as % of equity-0.34%
 $1,300
Includes Typical Broker Commissions trade costs of $4.12
6/5/23 9:37 BITO PROSHARES BITCOIN STRATEGY ETF LONG 763 17.64 5/2/24 9:31 21.82 1.45%
Trade id #144832065
Max drawdown($821)
Time9/1/23 0:00
Quant open411
Worst price12.99
Drawdown as % of equity-1.45%
 $3,175
Includes Typical Broker Commissions trade costs of $11.56
12/4/23 9:40 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 157 53.55 5/1/24 9:32 44.80 2.67%
Trade id #146604605
Max drawdown($1,710)
Time4/25/24 0:00
Quant open157
Worst price42.66
Drawdown as % of equity-2.67%
 ($1,377)
Includes Typical Broker Commissions trade costs of $3.14
1/2/24 9:36 FXE CURRENCYSHARES EURO TRUST LONG 66 101.10 5/1 9:31 98.55 0.33%
Trade id #146862307
Max drawdown($211)
Time4/16/24 0:00
Quant open66
Worst price97.89
Drawdown as % of equity-0.33%
 ($169)
Includes Typical Broker Commissions trade costs of $1.32
11/6/23 9:34 SGOL ABRDN PHYSICAL GOLD SHARES ETF LONG 719 19.39 1/2/24 9:34 19.78 0.61%
Trade id #146345289
Max drawdown($356)
Time12/11/23 0:00
Quant open719
Worst price18.90
Drawdown as % of equity-0.61%
 $267
Includes Typical Broker Commissions trade costs of $9.69
9/5/23 9:45 USDU WISDOMTREE BLOOMBERG US DOLLAR LONG 245 27.24 12/26 10:17 25.48 0.76%
Trade id #145735989
Max drawdown($460)
Time12/22/23 0:00
Quant open210
Worst price25.05
Drawdown as % of equity-0.76%
 ($437)
Includes Typical Broker Commissions trade costs of $4.90
8/7/23 9:34 TTT PROSHARES ULTRAPRO SHORT 20+ Y LONG 30 79.66 11/3 9:30 90.93 0.16%
Trade id #145457849
Max drawdown($96)
Time8/8/23 0:00
Quant open30
Worst price76.46
Drawdown as % of equity-0.16%
 $337
Includes Typical Broker Commissions trade costs of $0.60
6/5/23 9:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 202 36.97 11/1 10:14 35.94 1.56%
Trade id #144831804
Max drawdown($877)
Time10/26/23 0:00
Quant open135
Worst price30.47
Drawdown as % of equity-1.56%
 ($212)
Includes Typical Broker Commissions trade costs of $4.04
7/3/23 9:38 DDM PROSHARES ULTRA DOW30 LONG 104 67.28 10/2 9:32 63.88 0.78%
Trade id #145099051
Max drawdown($429)
Time9/27/23 0:00
Quant open94
Worst price62.71
Drawdown as % of equity-0.78%
 ($355)
Includes Typical Broker Commissions trade costs of $2.08
7/3/23 9:36 SPXL DIREXION DAILY S&P500 BULL 3X LONG 110 89.89 10/2 9:32 79.37 2.57%
Trade id #145099027
Max drawdown($1,409)
Time9/27/23 0:00
Quant open98
Worst price75.51
Drawdown as % of equity-2.57%
 ($1,159)
Includes Typical Broker Commissions trade costs of $2.20
6/5/23 9:32 SGOL ABRDN PHYSICAL GOLD SHARES ETF LONG 238 18.62 9/27 10:51 18.03 0.25%
Trade id #144831949
Max drawdown($140)
Time8/17/23 0:00
Quant open238
Worst price18.03
Drawdown as % of equity-0.25%
 ($145)
Includes Typical Broker Commissions trade costs of $4.76
4/3/23 9:36 USFR WISDOMTREE FLOATING RATE TREASURY FUND LONG 582 50.28 6/1 13:49 50.33 0.06%
Trade id #144153216
Max drawdown($34)
Time4/24/23 0:00
Quant open582
Worst price50.22
Drawdown as % of equity-0.06%
 $24
Includes Typical Broker Commissions trade costs of $5.00
4/3/23 9:35 BITO PROSHARES BITCOIN STRATEGY ETF LONG 347 16.84 6/1 13:49 15.09 1.22%
Trade id #144153163
Max drawdown($667)
Time5/12/23 0:00
Quant open347
Worst price14.92
Drawdown as % of equity-1.22%
 ($614)
Includes Typical Broker Commissions trade costs of $6.94
4/3/23 9:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 235 27.84 6/1 13:49 36.03 1.15%
Trade id #144153123
Max drawdown($627)
Time4/25/23 0:00
Quant open235
Worst price25.17
Drawdown as % of equity-1.15%
 $1,920
Includes Typical Broker Commissions trade costs of $4.70
4/3/23 9:34 DDM PROSHARES ULTRA DOW30 LONG 95 64.10 6/1 13:49 62.76 0.58%
Trade id #144153101
Max drawdown($314)
Time5/25/23 0:00
Quant open95
Worst price60.79
Drawdown as % of equity-0.58%
 ($129)
Includes Typical Broker Commissions trade costs of $1.90
4/3/23 9:33 SGOL ABRDN PHYSICAL GOLD SHARES ETF LONG 322 18.91 6/1 13:49 18.92 0.21%
Trade id #144153085
Max drawdown($112)
Time5/25/23 0:00
Quant open322
Worst price18.56
Drawdown as % of equity-0.21%
 ($3)
Includes Typical Broker Commissions trade costs of $6.44
3/24/23 9:41: Rescaled downward to 20% of previous Model Account size
3/13/23 9:30 SGOL ABRDN PHYSICAL GOLD SHARES ETF LONG 756.400000000 18.20 3/24 9:38 19.11 0.06%
Trade id #143874848
Max drawdown($30)
Time3/14/23 0:00
Quant open756
Worst price18.16
Drawdown as % of equity-0.06%
 $683
Includes Typical Broker Commissions trade costs of $5.00
3/6/23 9:43 USFR WISDOMTREE FLOATING RATE TREASURY FUND LONG 1,163.600000000 50.32 3/24 9:38 50.39 0.02%
Trade id #143785339
Max drawdown($11)
Time3/6/23 9:46
Quant open1,164
Worst price50.31
Drawdown as % of equity-0.02%
 $76
Includes Typical Broker Commissions trade costs of $5.00
2/6/23 9:40 BITO PROSHARES BITCOIN STRATEGY ETF LONG 759.800000000 14.28 3/24 9:38 17.15 3.3%
Trade id #143469416
Max drawdown($1,623)
Time3/10/23 0:00
Quant open735
Worst price12.06
Drawdown as % of equity-3.30%
 $2,179
Includes Typical Broker Commissions trade costs of $5.25
12/5/22 9:38 DDM PROSHARES ULTRA DOW30 LONG 274.600000000 68.55 3/24/23 9:38 59.53 5.46%
Trade id #142767682
Max drawdown($2,802)
Time3/15/23 0:00
Quant open244
Worst price57.05
Drawdown as % of equity-5.46%
 ($2,481)
Includes Typical Broker Commissions trade costs of $5.50
1/3/23 9:33 UGL PROSHARES ULTRA GOLD LONG 72.600000000 56.62 1/25 14:47 62.33 0.04%
Trade id #143071431
Max drawdown($19)
Time1/5/23 0:00
Quant open15
Worst price55.30
Drawdown as % of equity-0.04%
 $414
Includes Typical Broker Commissions trade costs of $1.46
2/4/22 9:31 PST PROSHARES ULTRASHORT 7-10 YEAR LONG 832.400000000 21.52 11/16 13:01 21.38 0.05%
Trade id #139251625
Max drawdown($27)
Time11/16/22 13:01
Quant open166
Worst price21.35
Drawdown as % of equity-0.05%
 ($121)
Includes Typical Broker Commissions trade costs of $8.09
5/3/22 11:18 UUP INVESCO DB USD INDEX BULLISH FUND ETF LONG 2,334.400000000 28.38 11/11 9:30 29.50 0.23%
Trade id #140349090
Max drawdown($115)
Time5/27/22 0:00
Quant open231
Worst price27.12
Drawdown as % of equity-0.23%
 $2,602
Includes Typical Broker Commissions trade costs of $16.04
5/3/22 11:20 EUO PROSHARES ULTRASHORT EURO LONG 1,290 32.80 11/10 9:30 32.52 0.27%
Trade id #140349133
Max drawdown($136)
Time6/3/22 0:00
Quant open102
Worst price28.75
Drawdown as % of equity-0.27%
 ($375)
Includes Typical Broker Commissions trade costs of $9.33
5/31/22 9:41 TTT PROSHARES ULTRAPRO SHORT 20+ Y LONG 70.800000000 65.10 10/26 9:35 91.07 0.09%
Trade id #140634752
Max drawdown($47)
Time8/2/22 0:00
Quant open7
Worst price48.51
Drawdown as % of equity-0.09%
 $1,838
Includes Typical Broker Commissions trade costs of $1.42
2/4/22 9:30 TBX PROSHARES SHORT 7-10 YEAR TREA LONG 922.800000000 26.21 8/16 13:44 26.47 0.05%
Trade id #139251452
Max drawdown($24)
Time3/1/22 0:00
Quant open49
Worst price24.53
Drawdown as % of equity-0.05%
 $224
Includes Typical Broker Commissions trade costs of $11.73
Next

Statistics

  • Strategy began
    9/17/2021
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1190.82
  • Age
    40 months ago
  • What it trades
    Stocks
  • # Trades
    28
  • # Profitable
    16
  • % Profitable
    57.10%
  • Avg trade duration
    142.1 days
  • Max peak-to-valley drawdown
    21.69%
  • drawdown period
    Nov 03, 2022 - Jan 16, 2023
  • Annual Return (Compounded)
    11.8%
  • Avg win
    $1,635
  • Avg loss
    $626.67
  • Model Account Values (Raw)
  • Cash
    $30,847
  • Margin Used
    $0
  • Buying Power
    $41,892
  • Ratios
  • W:L ratio
    4.33:1
  • Sharpe Ratio
    0.66
  • Sortino Ratio
    0.92
  • Calmar Ratio
    0.836
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    10.44%
  • Correlation to SP500
    0.18410
  • Return Percent SP500 (cumu) during strategy life
    33.79%
  • Return Statistics
  • Ann Return (w trading costs)
    11.8%
  • Slump
  • Current Slump as Pcnt Equity
    7.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.14%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.118%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    13.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    37.00%
  • Chance of 20% account loss
    5.00%
  • Chance of 30% account loss
    1.00%
  • 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)
    0
  • Popularity (Last 6 weeks)
    561
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    451
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $627
  • Avg Win
    $1,636
  • Sum Trade PL (losers)
    $7,520.000
  • Age
  • Num Months filled monthly returns table
    40
  • Win / Loss
  • Sum Trade PL (winners)
    $26,169.000
  • # Winners
    16
  • Num Months Winners
    22
  • Dividends
  • Dividends Received in Model Acct
    6427
  • AUM
  • AUM (AutoTrader live capital)
    74919
  • Win / Loss
  • # Losers
    12
  • % Winners
    57.1%
  • Frequency
  • Avg Position Time (mins)
    204567.00
  • Avg Position Time (hrs)
    3409.45
  • Avg Trade Length
    142.1 days
  • Last Trade Ago
    109
  • Leverage
  • Daily leverage (average)
    1.37
  • Daily leverage (max)
    2.42
  • Regression
  • Alpha
    0.02
  • Beta
    0.14
  • Treynor Index
    0.20
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.99
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.811
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.197
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.222
  • Hold-and-Hope Ratio
    1.332
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11515
  • SD
    0.14451
  • Sharpe ratio (Glass type estimate)
    0.79685
  • Sharpe ratio (Hedges UMVUE)
    0.78056
  • df
    37.00000
  • t
    1.41800
  • p
    0.08228
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32452
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90779
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33510
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89623
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.27367
  • Upside Potential Ratio
    2.55473
  • Upside part of mean
    0.23098
  • Downside part of mean
    -0.11582
  • Upside SD
    0.11517
  • Downside SD
    0.09041
  • N nonnegative terms
    23.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.08116
  • Mean of criterion
    0.11515
  • SD of predictor
    0.15555
  • SD of criterion
    0.14451
  • Covariance
    0.00302
  • r
    0.13443
  • b (slope, estimate of beta)
    0.12489
  • a (intercept, estimate of alpha)
    0.10502
  • Mean Square Error
    0.02108
  • DF error
    36.00000
  • t(b)
    0.81399
  • p(b)
    0.21050
  • t(a)
    1.27253
  • p(a)
    0.10567
  • Lowerbound of 95% confidence interval for beta
    -0.18628
  • Upperbound of 95% confidence interval for beta
    0.43607
  • Lowerbound of 95% confidence interval for alpha
    -0.06235
  • Upperbound of 95% confidence interval for alpha
    0.27239
  • Treynor index (mean / b)
    0.92202
  • Jensen alpha (a)
    0.10502
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10425
  • SD
    0.14460
  • Sharpe ratio (Glass type estimate)
    0.72095
  • Sharpe ratio (Hedges UMVUE)
    0.70622
  • df
    37.00000
  • t
    1.28294
  • p
    0.10375
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39727
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82972
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40687
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81932
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10161
  • Upside Potential Ratio
    2.36849
  • Upside part of mean
    0.22414
  • Downside part of mean
    -0.11989
  • Upside SD
    0.11095
  • Downside SD
    0.09463
  • N nonnegative terms
    23.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.06881
  • Mean of criterion
    0.10425
  • SD of predictor
    0.15735
  • SD of criterion
    0.14460
  • Covariance
    0.00297
  • r
    0.13050
  • b (slope, estimate of beta)
    0.11993
  • a (intercept, estimate of alpha)
    0.09600
  • Mean Square Error
    0.02112
  • DF error
    36.00000
  • t(b)
    0.78973
  • p(b)
    0.21743
  • t(a)
    1.16586
  • p(a)
    0.12567
  • Lowerbound of 95% confidence interval for beta
    -0.18805
  • Upperbound of 95% confidence interval for beta
    0.42791
  • Lowerbound of 95% confidence interval for alpha
    -0.07100
  • Upperbound of 95% confidence interval for alpha
    0.26299
  • Treynor index (mean / b)
    0.86929
  • Jensen alpha (a)
    0.09600
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05821
  • Expected Shortfall on VaR
    0.07438
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01841
  • Expected Shortfall on VaR
    0.04143
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    38.00000
  • Minimum
    0.89784
  • Quartile 1
    1.00000
  • Median
    1.00787
  • Quartile 3
    1.03068
  • Maximum
    1.10320
  • Mean of quarter 1
    0.96659
  • Mean of quarter 2
    1.00207
  • Mean of quarter 3
    1.01877
  • Mean of quarter 4
    1.05996
  • Inter Quartile Range
    0.03068
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.05263
  • Mean of outliers low
    0.89896
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05263
  • Mean of outliers high
    1.09930
  • 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)
    -0.37051
  • VaR(95%) (regression method)
    0.03578
  • Expected Shortfall (regression method)
    0.04740
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01228
  • Quartile 1
    0.03774
  • Median
    0.07420
  • Quartile 3
    0.10590
  • Maximum
    0.11713
  • Mean of quarter 1
    0.01228
  • Mean of quarter 2
    0.04623
  • Mean of quarter 3
    0.10216
  • Mean of quarter 4
    0.11713
  • Inter Quartile Range
    0.06816
  • 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)
    0.16411
  • Compounded annual return (geometric extrapolation)
    0.14129
  • Calmar ratio (compounded annual return / max draw down)
    1.20626
  • Compounded annual return / average of 25% largest draw downs
    1.20626
  • Compounded annual return / Expected Shortfall lognormal
    1.89943
  • 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
    0.10628
  • SD
    0.12770
  • Sharpe ratio (Glass type estimate)
    0.83225
  • Sharpe ratio (Hedges UMVUE)
    0.83151
  • df
    847.00000
  • t
    1.49727
  • p
    0.06735
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25813
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92218
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.25864
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92166
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.17609
  • Upside Potential Ratio
    7.86816
  • Upside part of mean
    0.71102
  • Downside part of mean
    -0.60474
  • Upside SD
    0.09036
  • Downside SD
    0.09037
  • N nonnegative terms
    402.00000
  • N negative terms
    446.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    848.00000
  • Mean of predictor
    0.07703
  • Mean of criterion
    0.10628
  • SD of predictor
    0.17315
  • SD of criterion
    0.12770
  • Covariance
    0.00378
  • r
    0.17092
  • b (slope, estimate of beta)
    0.12606
  • a (intercept, estimate of alpha)
    0.09700
  • Mean Square Error
    0.01585
  • DF error
    846.00000
  • t(b)
    5.04561
  • p(b)
    0.00000
  • t(a)
    1.37945
  • p(a)
    0.08406
  • Lowerbound of 95% confidence interval for beta
    0.07702
  • Upperbound of 95% confidence interval for beta
    0.17509
  • Lowerbound of 95% confidence interval for alpha
    -0.04084
  • Upperbound of 95% confidence interval for alpha
    0.23397
  • Treynor index (mean / b)
    0.84312
  • Jensen alpha (a)
    0.09657
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09809
  • SD
    0.12790
  • Sharpe ratio (Glass type estimate)
    0.76695
  • Sharpe ratio (Hedges UMVUE)
    0.76627
  • df
    847.00000
  • t
    1.37979
  • p
    0.08401
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32332
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.85677
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32377
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.85631
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.07402
  • Upside Potential Ratio
    7.74026
  • Upside part of mean
    0.70691
  • Downside part of mean
    -0.60882
  • Upside SD
    0.08963
  • Downside SD
    0.09133
  • N nonnegative terms
    402.00000
  • N negative terms
    446.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    848.00000
  • Mean of predictor
    0.06203
  • Mean of criterion
    0.09809
  • SD of predictor
    0.17329
  • SD of criterion
    0.12790
  • Covariance
    0.00381
  • r
    0.17208
  • b (slope, estimate of beta)
    0.12701
  • a (intercept, estimate of alpha)
    0.09021
  • Mean Square Error
    0.01589
  • DF error
    846.00000
  • t(b)
    5.08105
  • p(b)
    0.00000
  • t(a)
    1.28712
  • p(a)
    0.09920
  • Lowerbound of 95% confidence interval for beta
    0.07794
  • Upperbound of 95% confidence interval for beta
    0.17607
  • Lowerbound of 95% confidence interval for alpha
    -0.04736
  • Upperbound of 95% confidence interval for alpha
    0.22778
  • Treynor index (mean / b)
    0.77232
  • Jensen alpha (a)
    0.09021
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01254
  • Expected Shortfall on VaR
    0.01579
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00542
  • Expected Shortfall on VaR
    0.01129
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    848.00000
  • Minimum
    0.95692
  • Quartile 1
    0.99793
  • Median
    1.00000
  • Quartile 3
    1.00367
  • Maximum
    1.03222
  • Mean of quarter 1
    0.99145
  • Mean of quarter 2
    0.99954
  • Mean of quarter 3
    1.00151
  • Mean of quarter 4
    1.00955
  • Inter Quartile Range
    0.00574
  • Number outliers low
    56.00000
  • Percentage of outliers low
    0.06604
  • Mean of outliers low
    0.98210
  • Number of outliers high
    55.00000
  • Percentage of outliers high
    0.06486
  • Mean of outliers high
    1.01755
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33218
  • VaR(95%) (moments method)
    0.00716
  • Expected Shortfall (moments method)
    0.01327
  • Extreme Value Index (regression method)
    0.12298
  • VaR(95%) (regression method)
    0.00750
  • Expected Shortfall (regression method)
    0.01174
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    33.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00296
  • Median
    0.01144
  • Quartile 3
    0.03934
  • Maximum
    0.16066
  • Mean of quarter 1
    0.00141
  • Mean of quarter 2
    0.00566
  • Mean of quarter 3
    0.02524
  • Mean of quarter 4
    0.08802
  • Inter Quartile Range
    0.03638
  • 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
    0.09091
  • Mean of outliers high
    0.15367
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.49590
  • VaR(95%) (moments method)
    0.09968
  • Expected Shortfall (moments method)
    0.20902
  • Extreme Value Index (regression method)
    -0.31019
  • VaR(95%) (regression method)
    0.07781
  • Expected Shortfall (regression method)
    0.09127
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15557
  • Compounded annual return (geometric extrapolation)
    0.13428
  • Calmar ratio (compounded annual return / max draw down)
    0.83580
  • Compounded annual return / average of 25% largest draw downs
    1.52555
  • Compounded annual return / Expected Shortfall lognormal
    8.50205
  • 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
    -0.03005
  • SD
    0.14386
  • Sharpe ratio (Glass type estimate)
    -0.20890
  • Sharpe ratio (Hedges UMVUE)
    -0.20770
  • df
    130.00000
  • t
    -0.14772
  • p
    0.50648
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.98047
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.56338
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.97962
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.56422
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.25330
  • Upside Potential Ratio
    6.43248
  • Upside part of mean
    0.76316
  • Downside part of mean
    -0.79321
  • Upside SD
    0.08040
  • Downside SD
    0.11864
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14272
  • Mean of criterion
    -0.03005
  • SD of predictor
    0.14146
  • SD of criterion
    0.14386
  • Covariance
    0.01610
  • r
    0.79117
  • b (slope, estimate of beta)
    0.80457
  • a (intercept, estimate of alpha)
    -0.14488
  • Mean Square Error
    0.00780
  • DF error
    129.00000
  • t(b)
    14.69280
  • p(b)
    0.05545
  • t(a)
    -1.15768
  • p(a)
    0.56444
  • Lowerbound of 95% confidence interval for beta
    0.69623
  • Upperbound of 95% confidence interval for beta
    0.91292
  • Lowerbound of 95% confidence interval for alpha
    -0.39249
  • Upperbound of 95% confidence interval for alpha
    0.10273
  • Treynor index (mean / b)
    -0.03735
  • Jensen alpha (a)
    -0.14488
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04042
  • SD
    0.14488
  • Sharpe ratio (Glass type estimate)
    -0.27896
  • Sharpe ratio (Hedges UMVUE)
    -0.27735
  • df
    130.00000
  • t
    -0.19725
  • p
    0.50865
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.05049
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49354
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.04936
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49466
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.33620
  • Upside Potential Ratio
    6.32096
  • Upside part of mean
    0.75987
  • Downside part of mean
    -0.80029
  • Upside SD
    0.07991
  • Downside SD
    0.12022
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13271
  • Mean of criterion
    -0.04042
  • SD of predictor
    0.14181
  • SD of criterion
    0.14488
  • Covariance
    0.01625
  • r
    0.79116
  • b (slope, estimate of beta)
    0.80830
  • a (intercept, estimate of alpha)
    -0.14769
  • Mean Square Error
    0.00791
  • DF error
    129.00000
  • t(b)
    14.69200
  • p(b)
    0.05545
  • t(a)
    -1.17201
  • p(a)
    0.56523
  • VAR (95 Confidence Intrvl)
    0.01300
  • Lowerbound of 95% confidence interval for beta
    0.69945
  • Upperbound of 95% confidence interval for beta
    0.91715
  • Lowerbound of 95% confidence interval for alpha
    -0.39700
  • Upperbound of 95% confidence interval for alpha
    0.10163
  • Treynor index (mean / b)
    -0.05000
  • Jensen alpha (a)
    -0.14769
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01477
  • Expected Shortfall on VaR
    0.01844
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00618
  • Expected Shortfall on VaR
    0.01328
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95692
  • Quartile 1
    0.99765
  • Median
    1.00116
  • Quartile 3
    1.00473
  • Maximum
    1.02275
  • Mean of quarter 1
    0.98897
  • Mean of quarter 2
    0.99941
  • Mean of quarter 3
    1.00317
  • Mean of quarter 4
    1.00852
  • Inter Quartile Range
    0.00708
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.97828
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02104
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56981
  • VaR(95%) (moments method)
    0.00996
  • Expected Shortfall (moments method)
    0.02684
  • Extreme Value Index (regression method)
    0.45785
  • VaR(95%) (regression method)
    0.00997
  • Expected Shortfall (regression method)
    0.02227
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01223
  • Quartile 1
    0.04791
  • Median
    0.08359
  • Quartile 3
    0.11926
  • Maximum
    0.15494
  • Mean of quarter 1
    0.01223
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.15494
  • Inter Quartile Range
    0.07136
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -370318000
  • Max Equity Drawdown (num days)
    74
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01247
  • Compounded annual return (geometric extrapolation)
    -0.01243
  • Calmar ratio (compounded annual return / max draw down)
    -0.08023
  • Compounded annual return / average of 25% largest draw downs
    -0.08023
  • Compounded annual return / Expected Shortfall lognormal
    -0.67416

Strategy Description

What to expect:

Every Month, we run scans over S&P 500 index. Depending on the market cycle analysis, according to our proprietary system, we hold either 1 Alpha position, or 1 Hedge position in the portfolio.

The system only does long positions.

We trade ETFs.

FAQ:

Does this system need to be auto-traded?

No. All signals will be sent on the first Monday of the month, giving you time to enter the positions manually.

Do you short stocks?

No. We only take long positions.

Do you use leverage?

No. However, but we can trade leveraged ETFs.

Do you use stops?

Yes, just after the long position is filled, we put the stop order.

How has the system performed during backtesting?

The system had 23% CAGR in 15.6 years, with an average position length of 17 months.

Where can I get more information?

You can find more information through the Wall Street Insider Report: https://www.wallstreetinsiderreport.com
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2021-09-17
Suggested Minimum Capital
$15,000
# Trades
28
# Profitable
16
% Profitable
57.1%
Net Dividends
$6,427
Correlation S&P500
0.184
Sharpe Ratio
0.66
Sortino Ratio
0.92
Beta
0.14
Alpha
0.02
Leverage
1.37 Average
2.42 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.