Collective2 Collective2
Featured Strategy Income Trades Followed by live capital $89,600 Hypothetical

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This is an archived track record. This track record was archived on 2/14/22 12:24 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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BORING
(137647895)

Created by: ETFCapital ETFCapital
Started: 10/2021
Stocks
Last trade: 1,005 days ago

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 $120.00 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.

-97.2%
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.

(84.8%)
Max Drawdown
62
Num Trades
43.5%
Win Trades
0.7 : 1
Profit Factor
5.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                               +30.5%+26.2%(13.3%)+42.7%
2022(12.6%)(80.6%)  -    -    -    -    -    -    -    -    -    -  (83.1%)
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -        0.0

Model Account Details

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

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

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

Trading Record

This strategy has placed 109 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1043 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/11/22 13:07 YINN2218B9.5 YINN Feb18'22 9.5 call LONG 615 0.35 2/14 12:24 0.10 33.38%
Trade id #139359320
Max drawdown($6,765)
Time2/11/22 13:52
Quant open615
Worst price0.24
Drawdown as % of equity-33.38%
 ($16,236)
Includes Typical Broker Commissions trade costs of $861.00
2/8/22 9:55 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 500 39.69 2/9 10:23 36.86 7.84%
Trade id #139301805
Max drawdown($1,670)
Time2/9/22 0:00
Quant open500
Worst price36.35
Drawdown as % of equity-7.84%
 ($1,425)
Includes Typical Broker Commissions trade costs of $10.00
1/24/22 15:16 TQQQ PROSHARES ULTRAPRO QQQ LONG 381 58.37 2/8 9:30 56.80 3.15%
Trade id #139079931
Max drawdown($684)
Time1/28/22 0:00
Quant open140
Worst price50.10
Drawdown as % of equity-3.15%
 ($605)
Includes Typical Broker Commissions trade costs of $7.62
1/19/22 12:53 USO UNITED STATES OIL LONG 132 61.67 2/3 11:14 62.78 1.75%
Trade id #139014166
Max drawdown($377)
Time1/24/22 0:00
Quant open132
Worst price58.81
Drawdown as % of equity-1.75%
 $144
Includes Typical Broker Commissions trade costs of $2.64
1/19/22 12:51 GRN IPATH SERIES B CARBON ETN LONG 250 32.05 2/3 11:14 37.15 0.32%
Trade id #139014139
Max drawdown($72)
Time1/19/22 15:59
Quant open250
Worst price31.76
Drawdown as % of equity-0.32%
 $1,270
Includes Typical Broker Commissions trade costs of $5.00
1/20/22 10:55 TQQQ PROSHARES ULTRAPRO QQQ LONG 125 67.89 1/21 15:07 57.16 6.22%
Trade id #139029557
Max drawdown($1,351)
Time1/21/22 15:07
Quant open125
Worst price57.08
Drawdown as % of equity-6.22%
 ($1,344)
Includes Typical Broker Commissions trade costs of $2.50
1/7/22 13:04 TQQQ PROSHARES ULTRAPRO QQQ LONG 380 72.73 1/19 12:44 67.43 12.7%
Trade id #138867867
Max drawdown($2,861)
Time1/19/22 11:25
Quant open380
Worst price65.20
Drawdown as % of equity-12.70%
 ($2,022)
Includes Typical Broker Commissions trade costs of $7.60
12/23/21 13:05 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 305 84.53 1/6/22 9:30 79.17 6.53%
Trade id #138689126
Max drawdown($1,785)
Time1/5/22 0:00
Quant open305
Worst price78.67
Drawdown as % of equity-6.53%
 ($1,639)
Includes Typical Broker Commissions trade costs of $6.10
12/23/21 14:01 TQQQ PROSHARES ULTRAPRO QQQ LONG 55 166.58 12/23 15:45 166.74 0.2%
Trade id #138689808
Max drawdown($54)
Time12/23/21 15:34
Quant open55
Worst price165.59
Drawdown as % of equity-0.20%
 $8
Includes Typical Broker Commissions trade costs of $1.10
12/22/21 13:42 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 480 29.10 12/23 12:47 28.32 1.62%
Trade id #138669510
Max drawdown($447)
Time12/23/21 10:10
Quant open480
Worst price28.16
Drawdown as % of equity-1.62%
 ($382)
Includes Typical Broker Commissions trade costs of $9.60
12/22/21 11:44 JDST DIREXION DAILY JR GOLD BEAR 2X LONG 1,100 11.55 12/23 12:47 11.02 2.29%
Trade id #138667139
Max drawdown($632)
Time12/23/21 12:41
Quant open1,100
Worst price10.98
Drawdown as % of equity-2.29%
 ($591)
Includes Typical Broker Commissions trade costs of $5.00
12/22/21 11:45 EDC DIREXION DAILY EMRG MKTS BULL LONG 140 71.79 12/22 13:32 71.77 0.05%
Trade id #138667157
Max drawdown($12)
Time12/22/21 12:42
Quant open140
Worst price71.70
Drawdown as % of equity-0.05%
 ($6)
Includes Typical Broker Commissions trade costs of $2.80
12/21/21 14:09 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 600 28.48 12/22 9:30 29.15 0.4%
Trade id #138656406
Max drawdown($108)
Time12/21/21 14:19
Quant open600
Worst price28.30
Drawdown as % of equity-0.40%
 $397
Includes Typical Broker Commissions trade costs of $5.00
12/21/21 14:28 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 790 15.70 12/22 9:30 15.70 1.93%
Trade id #138656522
Max drawdown($529)
Time12/22/21 0:00
Quant open790
Worst price15.03
Drawdown as % of equity-1.93%
 ($5)
Includes Typical Broker Commissions trade costs of $5.00
12/21/21 13:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,000 6.42 12/21 14:28 6.39 0.26%
Trade id #138656261
Max drawdown($70)
Time12/21/21 14:05
Quant open2,000
Worst price6.39
Drawdown as % of equity-0.26%
 ($65)
Includes Typical Broker Commissions trade costs of $5.00
12/20/21 15:43 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 90 55.18 12/21 11:39 56.83 n/a $147
Includes Typical Broker Commissions trade costs of $1.80
12/20/21 14:35 USO UNITED STATES OIL LONG 60 49.73 12/21 11:39 51.14 n/a $84
Includes Typical Broker Commissions trade costs of $1.20
12/20/21 14:35 GRN IPATH SERIES B CARBON ETN LONG 100 31.93 12/21 11:39 31.12 0.3%
Trade id #138643849
Max drawdown($80)
Time12/21/21 11:38
Quant open100
Worst price31.12
Drawdown as % of equity-0.30%
 ($83)
Includes Typical Broker Commissions trade costs of $2.00
12/20/21 12:01 TQQQ PROSHARES ULTRAPRO QQQ LONG 55 145.46 12/21 11:33 146.76 0.11%
Trade id #138642090
Max drawdown($30)
Time12/20/21 13:04
Quant open20
Worst price142.90
Drawdown as % of equity-0.11%
 $71
Includes Typical Broker Commissions trade costs of $1.10
12/17/21 14:56 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 3,900 6.52 12/20 11:54 6.93 1.07%
Trade id #138623427
Max drawdown($273)
Time12/17/21 15:02
Quant open3,900
Worst price6.45
Drawdown as % of equity-1.07%
 $1,610
Includes Typical Broker Commissions trade costs of $7.50
12/17/21 11:31 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 3,800 6.46 12/17 13:12 6.58 n/a $451
Includes Typical Broker Commissions trade costs of $5.00
12/17/21 10:49 TQQQ PROSHARES ULTRAPRO QQQ LONG 177 153.33 12/17 11:21 154.93 0.33%
Trade id #138619476
Max drawdown($81)
Time12/17/21 11:04
Quant open177
Worst price152.87
Drawdown as % of equity-0.33%
 $279
Includes Typical Broker Commissions trade costs of $3.54
12/16/21 11:41 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 4,000 6.35 12/17 10:45 6.55 0.5%
Trade id #138605434
Max drawdown($120)
Time12/16/21 11:47
Quant open4,000
Worst price6.32
Drawdown as % of equity-0.50%
 $795
Includes Typical Broker Commissions trade costs of $5.00
12/16/21 9:30 YINN DIREXION DAILY FTSE CHINA BULL LONG 2,500 8.85 12/16 11:05 8.62 2.45%
Trade id #138601765
Max drawdown($625)
Time12/16/21 11:05
Quant open2,500
Worst price8.60
Drawdown as % of equity-2.45%
 ($575)
Includes Typical Broker Commissions trade costs of $5.00
12/13/21 14:24 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 4,000 6.21 12/15 14:55 6.37 0.67%
Trade id #138563165
Max drawdown($160)
Time12/13/21 15:03
Quant open4,000
Worst price6.17
Drawdown as % of equity-0.67%
 $635
Includes Typical Broker Commissions trade costs of $5.00
12/10/21 9:30 RETL DIREXION DAILY RETAIL BULL 3X LONG 750 36.82 12/13 14:23 34.84 9.32%
Trade id #138535981
Max drawdown($2,226)
Time12/13/21 12:02
Quant open750
Worst price33.85
Drawdown as % of equity-9.32%
 ($1,494)
Includes Typical Broker Commissions trade costs of $10.00
12/10/21 9:30 UCO PROSHARES ULTRA BLOOMBERG CRUD LONG 90 80.12 12/13 11:37 79.71 0.56%
Trade id #138536011
Max drawdown($142)
Time12/13/21 9:46
Quant open90
Worst price78.54
Drawdown as % of equity-0.56%
 ($39)
Includes Typical Broker Commissions trade costs of $1.80
12/10/21 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 76 84.24 12/13 10:43 78.88 1.72%
Trade id #138535986
Max drawdown($438)
Time12/13/21 10:34
Quant open76
Worst price78.47
Drawdown as % of equity-1.72%
 ($409)
Includes Typical Broker Commissions trade costs of $1.52
12/7/21 11:07 YINN DIREXION DAILY FTSE CHINA BULL LONG 1,300 9.64 12/10 11:53 9.74 0.8%
Trade id #138492521
Max drawdown($201)
Time12/8/21 0:00
Quant open1,300
Worst price9.49
Drawdown as % of equity-0.80%
 $114
Includes Typical Broker Commissions trade costs of $7.50
12/7/21 10:55 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 460 55.76 12/10 9:30 56.98 0.34%
Trade id #138492219
Max drawdown($85)
Time12/7/21 15:52
Quant open230
Worst price55.39
Drawdown as % of equity-0.34%
 $550
Includes Typical Broker Commissions trade costs of $9.20
Next

Statistics

  • Strategy began
    10/4/2021
  • Suggested Minimum Cap
    $18,750
  • Strategy Age (days)
    1129.25
  • Age
    38 months ago
  • What it trades
    Stocks
  • # Trades
    62
  • # Profitable
    27
  • % Profitable
    43.50%
  • Avg trade duration
    2.7 days
  • Max peak-to-valley drawdown
    84.82%
  • drawdown period
    Nov 29, 2021 - Feb 14, 2022
  • Cumul. Return
    -73.9%
  • Avg win
    $931.67
  • Avg loss
    $1,072
  • Model Account Values (Raw)
  • Cash
    $6,376
  • Margin Used
    $0
  • Buying Power
    $6,376
  • Ratios
  • W:L ratio
    0.67:1
  • Sharpe Ratio
    -0.73
  • Sortino Ratio
    -0.78
  • Calmar Ratio
    -0.984
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -76.67%
  • Correlation to SP500
    0.04510
  • Return Percent SP500 (cumu) during strategy life
    36.51%
  • Return Statistics
  • Ann Return (w trading costs)
    -97.2%
  • Slump
  • Current Slump as Pcnt Equity
    611.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.95%
  • 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)
    -0.739%
  • Instruments
  • Percent Trades Options
    0.12%
  • Percent Trades Stocks
    0.88%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -29.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    56.50%
  • Chance of 40% account loss
    25.50%
  • 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
    0.62%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    3.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    839
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    396
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,072
  • Avg Win
    $932
  • Sum Trade PL (losers)
    $37,527.000
  • Age
  • Num Months filled monthly returns table
    38
  • Win / Loss
  • Sum Trade PL (winners)
    $25,155.000
  • # Winners
    27
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    35
  • % Winners
    43.5%
  • Frequency
  • Avg Position Time (mins)
    3831.73
  • Avg Position Time (hrs)
    63.86
  • Avg Trade Length
    2.7 days
  • Last Trade Ago
    996
  • Leverage
  • Daily leverage (average)
    2.82
  • Daily leverage (max)
    13.08
  • Regression
  • Alpha
    -0.10
  • Beta
    0.11
  • Treynor Index
    -0.91
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.09
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    -4.005
  • 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
    0.416
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.229
  • Hold-and-Hope Ratio
    -0.247
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.00619
  • SD
    0.70754
  • Sharpe ratio (Glass type estimate)
    1.42211
  • Sharpe ratio (Hedges UMVUE)
    1.02904
  • df
    3.00000
  • t
    0.82105
  • p
    0.23589
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.24157
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.88565
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.46415
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.52222
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.48573
  • Upside Potential Ratio
    6.21779
  • Upside part of mean
    1.39471
  • Downside part of mean
    -0.38851
  • Upside SD
    0.63993
  • Downside SD
    0.22431
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.18551
  • Mean of criterion
    1.00619
  • SD of predictor
    0.21360
  • SD of criterion
    0.70754
  • Covariance
    0.10747
  • r
    0.71108
  • b (slope, estimate of beta)
    2.35534
  • a (intercept, estimate of alpha)
    0.56924
  • Mean Square Error
    0.37122
  • DF error
    2.00000
  • t(b)
    1.43024
  • p(b)
    0.14446
  • t(a)
    0.51814
  • p(a)
    0.32799
  • Lowerbound of 95% confidence interval for beta
    -4.73033
  • Upperbound of 95% confidence interval for beta
    9.44102
  • Lowerbound of 95% confidence interval for alpha
    -4.15782
  • Upperbound of 95% confidence interval for alpha
    5.29630
  • Treynor index (mean / b)
    0.42719
  • Jensen alpha (a)
    0.56924
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.80872
  • SD
    0.64015
  • Sharpe ratio (Glass type estimate)
    1.26333
  • Sharpe ratio (Hedges UMVUE)
    0.91415
  • df
    3.00000
  • t
    0.72939
  • p
    0.25928
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.35627
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.70105
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.55851
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.38681
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.37494
  • Upside Potential Ratio
    5.10699
  • Upside part of mean
    1.22376
  • Downside part of mean
    -0.41504
  • Upside SD
    0.55175
  • Downside SD
    0.23963
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.16716
  • Mean of criterion
    0.80872
  • SD of predictor
    0.20976
  • SD of criterion
    0.64015
  • Covariance
    0.09487
  • r
    0.70649
  • b (slope, estimate of beta)
    2.15603
  • a (intercept, estimate of alpha)
    0.44831
  • Mean Square Error
    0.30788
  • DF error
    2.00000
  • t(b)
    1.41174
  • p(b)
    0.14676
  • t(a)
    0.45084
  • p(a)
    0.34813
  • Lowerbound of 95% confidence interval for beta
    -4.41506
  • Upperbound of 95% confidence interval for beta
    8.72713
  • Lowerbound of 95% confidence interval for alpha
    -3.83021
  • Upperbound of 95% confidence interval for alpha
    4.72683
  • Treynor index (mean / b)
    0.37510
  • Jensen alpha (a)
    0.44831
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21067
  • Expected Shortfall on VaR
    0.26765
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04597
  • Expected Shortfall on VaR
    0.10133
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.87282
  • Quartile 1
    0.97477
  • Median
    1.05755
  • Quartile 3
    1.16895
  • Maximum
    1.35679
  • Mean of quarter 1
    0.87282
  • Mean of quarter 2
    1.00876
  • Mean of quarter 3
    1.10634
  • Mean of quarter 4
    1.35679
  • Inter Quartile Range
    0.19418
  • 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
    1.00000
  • Minimum
    0.12718
  • Quartile 1
    0.12718
  • Median
    0.12718
  • Quartile 3
    0.12718
  • Maximum
    0.12718
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.96493
  • Compounded annual return (geometric extrapolation)
    1.30857
  • Calmar ratio (compounded annual return / max draw down)
    10.28940
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    4.88900
  • 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
    -0.87326
  • SD
    0.80190
  • Sharpe ratio (Glass type estimate)
    -1.08898
  • Sharpe ratio (Hedges UMVUE)
    -1.08027
  • df
    94.00000
  • t
    -0.65574
  • p
    0.74320
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.34477
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17246
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.33882
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17828
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.28481
  • Upside Potential Ratio
    4.91978
  • Upside part of mean
    3.34386
  • Downside part of mean
    -4.21712
  • Upside SD
    0.42098
  • Downside SD
    0.67968
  • N nonnegative terms
    50.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    95.00000
  • Mean of predictor
    0.05958
  • Mean of criterion
    -0.87326
  • SD of predictor
    0.16018
  • SD of criterion
    0.80190
  • Covariance
    0.02148
  • r
    0.16725
  • b (slope, estimate of beta)
    0.83730
  • a (intercept, estimate of alpha)
    -1.25100
  • Mean Square Error
    0.63178
  • DF error
    93.00000
  • t(b)
    1.63595
  • p(b)
    0.05262
  • t(a)
    -0.69917
  • p(a)
    0.75690
  • Lowerbound of 95% confidence interval for beta
    -0.17906
  • Upperbound of 95% confidence interval for beta
    1.85365
  • Lowerbound of 95% confidence interval for alpha
    -3.54509
  • Upperbound of 95% confidence interval for alpha
    1.69880
  • Treynor index (mean / b)
    -1.04295
  • Jensen alpha (a)
    -0.92314
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.22969
  • SD
    0.87156
  • Sharpe ratio (Glass type estimate)
    -1.41090
  • Sharpe ratio (Hedges UMVUE)
    -1.39962
  • df
    94.00000
  • t
    -0.84959
  • p
    0.80114
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.66837
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.85390
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.66065
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.86142
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.59269
  • Upside Potential Ratio
    4.22278
  • Upside part of mean
    3.26033
  • Downside part of mean
    -4.49001
  • Upside SD
    0.40160
  • Downside SD
    0.77208
  • N nonnegative terms
    50.00000
  • N negative terms
    45.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    95.00000
  • Mean of predictor
    0.04686
  • Mean of criterion
    -1.22969
  • SD of predictor
    0.16035
  • SD of criterion
    0.87156
  • Covariance
    0.02366
  • r
    0.16928
  • b (slope, estimate of beta)
    0.92007
  • a (intercept, estimate of alpha)
    -1.27280
  • Mean Square Error
    0.74578
  • DF error
    93.00000
  • t(b)
    1.65633
  • p(b)
    0.05051
  • t(a)
    -0.88735
  • p(a)
    0.81141
  • Lowerbound of 95% confidence interval for beta
    -0.18302
  • Upperbound of 95% confidence interval for beta
    2.02316
  • Lowerbound of 95% confidence interval for alpha
    -4.12121
  • Upperbound of 95% confidence interval for alpha
    1.57561
  • Treynor index (mean / b)
    -1.33651
  • Jensen alpha (a)
    -1.27280
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08904
  • Expected Shortfall on VaR
    0.10913
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03501
  • Expected Shortfall on VaR
    0.07583
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    95.00000
  • Minimum
    0.70274
  • Quartile 1
    0.98143
  • Median
    1.00413
  • Quartile 3
    1.01655
  • Maximum
    1.16926
  • Mean of quarter 1
    0.94462
  • Mean of quarter 2
    0.99226
  • Mean of quarter 3
    1.01098
  • Mean of quarter 4
    1.03983
  • Inter Quartile Range
    0.03512
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02105
  • Mean of outliers low
    0.74770
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.03158
  • Mean of outliers high
    1.10520
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33999
  • VaR(95%) (moments method)
    0.05223
  • Expected Shortfall (moments method)
    0.09330
  • Extreme Value Index (regression method)
    0.41668
  • VaR(95%) (regression method)
    0.04711
  • Expected Shortfall (regression method)
    0.08800
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00329
  • Quartile 1
    0.01231
  • Median
    0.03474
  • Quartile 3
    0.10000
  • Maximum
    0.62196
  • Mean of quarter 1
    0.00780
  • Mean of quarter 2
    0.03474
  • Mean of quarter 3
    0.10000
  • Mean of quarter 4
    0.62196
  • Inter Quartile Range
    0.08768
  • 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
    0.20000
  • Mean of outliers high
    0.62196
  • 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)
    -0.97416
  • Compounded annual return (geometric extrapolation)
    -0.69934
  • Calmar ratio (compounded annual return / max draw down)
    -1.12441
  • Compounded annual return / average of 25% largest draw downs
    -1.12441
  • Compounded annual return / Expected Shortfall lognormal
    -6.40804
  • 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)
    0.10100
  • 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?
    -302704000
  • Max Equity Drawdown (num days)
    77

Strategy Description

PROVIDES BROADCASTS AS TO WHAT PERCEIVED STAGE IN THE SWING TRADE WE ARE IN BASED ON PROPRIETARY INDICATORS.

PROVEN TRACK RECORD AVERTING A BEAR MARKET AS DEMONSTRATED WITH MY OTHER SUCCESSFUL SYSTEM TQQQSQQQ WHICH HANDLED THE MAJOR DECLINE OF FEBRUARY 20 WITH EASE

STRATEGY HAS BEEN FURTHER OPTIMIZED SINCE STARTING TQQQSQQQ

YOU CAN TRADE WITH AS LITTLE AS 5,000

IRA FRIENDLY

Trading is risky, you may lose money doing so.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2021-10-04
Suggested Minimum Capital
$25,000
# Trades
62
# Profitable
27
% Profitable
43.5%
Correlation S&P500
0.045
Sharpe Ratio
-0.73
Sortino Ratio
-0.78
Beta
0.11
Alpha
-0.10
Leverage
2.82 Average
13.08 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.