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This is an archived track record. This track record was archived on 5/24/23 2:15 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Resilient Investments
(141007331)

Created by: FormulaicSystems FormulaicSystems
Started: 07/2022
Stocks
Last trade: 397 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 $125.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

4.4%
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.

(25.4%)
Max Drawdown
48
Num Trades
43.8%
Win Trades
1.2 : 1
Profit Factor
25.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          +10.0%(10.7%)(4.5%)+9.6%+2.6%(9.1%)(4%)
2023+1.5%+1.5%+8.0%(2%)(0.8%)  -    -    -    -    -    -    -  +8.2%
2024  -    -    -    -    -    -                                      0.0

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/23/23 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 358 39.05 5/24 2:15 39.01 n/a ($21)
Includes Typical Broker Commissions trade costs of $7.16
5/18/23 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 349 40.59 5/22 15:59 40.33 0.85%
Trade id #144668464
Max drawdown($219)
Time5/22/23 10:09
Quant open349
Worst price39.96
Drawdown as % of equity-0.85%
($98)
Includes Typical Broker Commissions trade costs of $6.98
5/12/23 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 737 38.48 5/16 15:59 38.06 1.22%
Trade id #144603108
Max drawdown($320)
Time5/16/23 15:59
Quant open737
Worst price38.05
Drawdown as % of equity-1.22%
($323)
Includes Typical Broker Commissions trade costs of $9.87
5/4/23 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 733 36.80 5/5 15:59 38.76 n/a $1,432
Includes Typical Broker Commissions trade costs of $5.00
4/28/23 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 700 39.94 5/2 15:59 38.49 6.32%
Trade id #144475147
Max drawdown($1,648)
Time5/2/23 11:33
Quant open700
Worst price37.59
Drawdown as % of equity-6.32%
($1,020)
Includes Typical Broker Commissions trade costs of $5.00
4/26/23 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 719 36.89 4/27 15:59 38.90 n/a $1,440
Includes Typical Broker Commissions trade costs of $5.00
4/20/23 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 710 39.01 4/25 15:59 37.30 4.93%
Trade id #144378810
Max drawdown($1,228)
Time4/25/23 15:50
Quant open710
Worst price37.28
Drawdown as % of equity-4.93%
($1,224)
Includes Typical Broker Commissions trade costs of $9.60
4/13/23 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 350 39.51 4/19 15:59 39.67 1.31%
Trade id #144291187
Max drawdown($339)
Time4/14/23 0:00
Quant open350
Worst price38.54
Drawdown as % of equity-1.31%
$49
Includes Typical Broker Commissions trade costs of $7.00
4/11/23 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 728 38.47 4/12 15:59 38.00 1.66%
Trade id #144262278
Max drawdown($429)
Time4/12/23 15:55
Quant open728
Worst price37.88
Drawdown as % of equity-1.66%
($347)
Includes Typical Broker Commissions trade costs of $5.00
4/5/23 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 730 38.04 4/6 15:59 38.38 1.71%
Trade id #144201437
Max drawdown($443)
Time4/6/23 9:48
Quant open730
Worst price37.43
Drawdown as % of equity-1.71%
$243
Includes Typical Broker Commissions trade costs of $5.00
4/3/23 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 726 39.03 4/4 15:59 38.27 3.05%
Trade id #144160430
Max drawdown($798)
Time4/4/23 12:20
Quant open726
Worst price37.93
Drawdown as % of equity-3.05%
($557)
Includes Typical Broker Commissions trade costs of $5.00
3/30/23 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 735 37.02 3/31 15:59 38.56 n/a $1,127
Includes Typical Broker Commissions trade costs of $5.00
3/24/23 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 776 34.88 3/27 15:59 35.03 n/a $111
Includes Typical Broker Commissions trade costs of $5.00
3/16/23 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 383 34.90 3/21 15:59 35.87 2.46%
Trade id #143937013
Max drawdown($616)
Time3/17/23 0:00
Quant open383
Worst price33.29
Drawdown as % of equity-2.46%
$364
Includes Typical Broker Commissions trade costs of $7.66
3/7/23 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 383 35.74 3/14 15:59 33.90 7.04%
Trade id #143807539
Max drawdown($1,727)
Time3/13/23 0:00
Quant open383
Worst price31.23
Drawdown as % of equity-7.04%
($713)
Includes Typical Broker Commissions trade costs of $7.66
3/2/23 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 733 35.64 3/3 15:59 37.38 n/a $1,270
Includes Typical Broker Commissions trade costs of $5.00
2/6/23 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 324 39.59 2/7 15:59 41.15 0.94%
Trade id #143479524
Max drawdown($230)
Time2/7/23 13:35
Quant open324
Worst price38.88
Drawdown as % of equity-0.94%
$499
Includes Typical Broker Commissions trade costs of $6.48
1/27/23 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 332 38.57 1/31 15:59 38.67 2%
Trade id #143370742
Max drawdown($478)
Time1/31/23 10:10
Quant open332
Worst price37.13
Drawdown as % of equity-2.00%
$26
Includes Typical Broker Commissions trade costs of $6.64
1/24/23 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 339 37.19 1/26 15:59 38.29 2.78%
Trade id #143325306
Max drawdown($664)
Time1/25/23 0:00
Quant open339
Worst price35.23
Drawdown as % of equity-2.78%
$366
Includes Typical Broker Commissions trade costs of $6.78
1/12/23 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 358 36.41 1/19 15:59 34.02 4.1%
Trade id #143200828
Max drawdown($980)
Time1/19/23 11:47
Quant open358
Worst price33.67
Drawdown as % of equity-4.10%
($863)
Includes Typical Broker Commissions trade costs of $7.16
1/6/23 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 729 34.03 1/11 15:59 36.03 1.39%
Trade id #143130038
Max drawdown($324)
Time1/10/23 0:00
Quant open729
Worst price33.59
Drawdown as % of equity-1.39%
$1,445
Includes Typical Broker Commissions trade costs of $9.79
1/4/23 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 379 33.09 1/5 15:59 31.91 2.16%
Trade id #143096195
Max drawdown($506)
Time1/5/23 11:26
Quant open379
Worst price31.75
Drawdown as % of equity-2.16%
($455)
Includes Typical Broker Commissions trade costs of $7.58
12/27/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 382 32.58 12/29 15:59 32.96 2%
Trade id #143011762
Max drawdown($477)
Time12/28/22 0:00
Quant open382
Worst price31.33
Drawdown as % of equity-2.00%
$137
Includes Typical Broker Commissions trade costs of $7.64
12/20/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 743 32.62 12/23 15:59 33.48 2.64%
Trade id #142945792
Max drawdown($640)
Time12/22/22 0:00
Quant open370
Worst price30.89
Drawdown as % of equity-2.64%
$631
Includes Typical Broker Commissions trade costs of $9.93
12/14/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 346 37.46 12/19 15:59 32.55 8.06%
Trade id #142881899
Max drawdown($1,864)
Time12/19/22 14:51
Quant open346
Worst price32.07
Drawdown as % of equity-8.06%
($1,706)
Includes Typical Broker Commissions trade costs of $6.92
12/5/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 721 37.69 12/6 15:59 35.99 6.87%
Trade id #142775219
Max drawdown($1,694)
Time12/6/22 14:38
Quant open721
Worst price35.34
Drawdown as % of equity-6.87%
($1,231)
Includes Typical Broker Commissions trade costs of $5.00
12/1/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 683 39.93 12/2 15:59 39.77 4.04%
Trade id #142740764
Max drawdown($1,064)
Time12/2/22 9:30
Quant open683
Worst price38.37
Drawdown as % of equity-4.04%
($114)
Includes Typical Broker Commissions trade costs of $5.00
11/28/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 744 36.87 11/29 15:59 36.63 2.28%
Trade id #142699874
Max drawdown($610)
Time11/29/22 11:20
Quant open744
Worst price36.05
Drawdown as % of equity-2.28%
($184)
Includes Typical Broker Commissions trade costs of $5.00
11/23/22 9:30 UPRO PROSHARES ULTRAPRO S&P 500 LONG 726 37.86 11/28 9:30 37.70 0.45%
Trade id #142657906
Max drawdown($123)
Time11/28/22 9:30
Quant open726
Worst price37.69
Drawdown as % of equity-0.45%
($121)
Includes Typical Broker Commissions trade costs of $5.00
11/16/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 376 36.84 11/17 15:59 36.43 2.17%
Trade id #142590473
Max drawdown($570)
Time11/17/22 10:00
Quant open376
Worst price35.32
Drawdown as % of equity-2.17%
($162)
Includes Typical Broker Commissions trade costs of $7.52

Statistics

  • Strategy began
    7/8/2022
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    714.09
  • Age
    24 months ago
  • What it trades
    Stocks
  • # Trades
    48
  • # Profitable
    21
  • % Profitable
    43.80%
  • Avg trade duration
    3.1 days
  • Max peak-to-valley drawdown
    25.43%
  • drawdown period
    Aug 16, 2022 - Oct 13, 2022
  • Cumul. Return
    3.9%
  • Avg win
    $970.90
  • Avg loss
    $644.48
  • Model Account Values (Raw)
  • Cash
    $28,039
  • Margin Used
    $0
  • Buying Power
    $28,039
  • Ratios
  • W:L ratio
    1.17:1
  • Sharpe Ratio
    0.09
  • Sortino Ratio
    0.14
  • Calmar Ratio
    0.655
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -2.45%
  • Correlation to SP500
    0.42530
  • Return Percent SP500 (cumu) during strategy life
    40.14%
  • Return Statistics
  • Ann Return (w trading costs)
    4.4%
  • Slump
  • Current Slump as Pcnt Equity
    10.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.94%
  • 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)
    0.039%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    55.50%
  • Chance of 20% account loss
    17.00%
  • 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
    100.00%
  • 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
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $644
  • Avg Win
    $971
  • Sum Trade PL (losers)
    $17,401.000
  • Age
  • Num Months filled monthly returns table
    24
  • Win / Loss
  • Sum Trade PL (winners)
    $20,389.000
  • # Winners
    21
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    50
  • Win / Loss
  • # Losers
    27
  • % Winners
    43.8%
  • Frequency
  • Avg Position Time (mins)
    4520.90
  • Avg Position Time (hrs)
    75.35
  • Avg Trade Length
    3.1 days
  • Last Trade Ago
    395
  • Leverage
  • Daily leverage (average)
    2.22
  • Daily leverage (max)
    3.27
  • Regression
  • Alpha
    -0.02
  • Beta
    0.43
  • Treynor Index
    0.01
  • 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)
    -0.62
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -12.024
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.609
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.566
  • Hold-and-Hope Ratio
    -0.083
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15200
  • SD
    0.21130
  • Sharpe ratio (Glass type estimate)
    0.71934
  • Sharpe ratio (Hedges UMVUE)
    0.65739
  • df
    9.00000
  • t
    0.65667
  • p
    0.26391
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47165
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.87200
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51101
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.82579
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.17276
  • Upside Potential Ratio
    3.00393
  • Upside part of mean
    0.38932
  • Downside part of mean
    -0.23733
  • Upside SD
    0.15909
  • Downside SD
    0.12960
  • N nonnegative terms
    7.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.06053
  • Mean of criterion
    0.15200
  • SD of predictor
    0.19559
  • SD of criterion
    0.21130
  • Covariance
    0.03120
  • r
    0.75508
  • b (slope, estimate of beta)
    0.81573
  • a (intercept, estimate of alpha)
    0.10262
  • Mean Square Error
    0.02159
  • DF error
    8.00000
  • t(b)
    3.25740
  • p(b)
    0.00579
  • t(a)
    0.63475
  • p(a)
    0.27166
  • Lowerbound of 95% confidence interval for beta
    0.23825
  • Upperbound of 95% confidence interval for beta
    1.39322
  • Lowerbound of 95% confidence interval for alpha
    -0.27020
  • Upperbound of 95% confidence interval for alpha
    0.47545
  • Treynor index (mean / b)
    0.18633
  • Jensen alpha (a)
    0.10262
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13088
  • SD
    0.21066
  • Sharpe ratio (Glass type estimate)
    0.62131
  • Sharpe ratio (Hedges UMVUE)
    0.56780
  • df
    9.00000
  • t
    0.56717
  • p
    0.29223
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.56095
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77021
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.59520
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.73079
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.97379
  • Upside Potential Ratio
    2.80093
  • Upside part of mean
    0.37646
  • Downside part of mean
    -0.24558
  • Upside SD
    0.15265
  • Downside SD
    0.13441
  • N nonnegative terms
    7.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.04287
  • Mean of criterion
    0.13088
  • SD of predictor
    0.19761
  • SD of criterion
    0.21066
  • Covariance
    0.03123
  • r
    0.75021
  • b (slope, estimate of beta)
    0.79976
  • a (intercept, estimate of alpha)
    0.09660
  • Mean Square Error
    0.02183
  • DF error
    8.00000
  • t(b)
    3.20918
  • p(b)
    0.00622
  • t(a)
    0.59560
  • p(a)
    0.28395
  • Lowerbound of 95% confidence interval for beta
    0.22508
  • Upperbound of 95% confidence interval for beta
    1.37443
  • Lowerbound of 95% confidence interval for alpha
    -0.27741
  • Upperbound of 95% confidence interval for alpha
    0.47061
  • Treynor index (mean / b)
    0.16365
  • Jensen alpha (a)
    0.09660
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08526
  • Expected Shortfall on VaR
    0.10799
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03275
  • Expected Shortfall on VaR
    0.06698
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.91486
  • Quartile 1
    0.97444
  • Median
    1.02701
  • Quartile 3
    1.04671
  • Maximum
    1.10848
  • Mean of quarter 1
    0.93640
  • Mean of quarter 2
    1.02222
  • Mean of quarter 3
    1.03238
  • Mean of quarter 4
    1.07718
  • Inter Quartile Range
    0.07228
  • 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)
    -7.50617
  • VaR(95%) (moments method)
    0.06861
  • Expected Shortfall (moments method)
    0.06861
  • Extreme Value Index (regression method)
    -1.13870
  • VaR(95%) (regression method)
    0.09604
  • Expected Shortfall (regression method)
    0.10097
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.14397
  • Quartile 1
    0.14397
  • Median
    0.14397
  • Quartile 3
    0.14397
  • Maximum
    0.14397
  • 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)
    0.16978
  • Compounded annual return (geometric extrapolation)
    0.17209
  • Calmar ratio (compounded annual return / max draw down)
    1.19537
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    1.59360
  • 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
    0.13912
  • SD
    0.25354
  • Sharpe ratio (Glass type estimate)
    0.54871
  • Sharpe ratio (Hedges UMVUE)
    0.54686
  • df
    222.00000
  • t
    0.50623
  • p
    0.30660
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.57692
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.67321
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.57820
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67191
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.88098
  • Upside Potential Ratio
    8.33224
  • Upside part of mean
    1.31581
  • Downside part of mean
    -1.17669
  • Upside SD
    0.19782
  • Downside SD
    0.15792
  • N nonnegative terms
    84.00000
  • N negative terms
    139.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    223.00000
  • Mean of predictor
    0.06498
  • Mean of criterion
    0.13912
  • SD of predictor
    0.20546
  • SD of criterion
    0.25354
  • Covariance
    0.02716
  • r
    0.52136
  • b (slope, estimate of beta)
    0.64339
  • a (intercept, estimate of alpha)
    -0.01700
  • Mean Square Error
    0.04702
  • DF error
    221.00000
  • t(b)
    9.08279
  • p(b)
    -0.00000
  • t(a)
    0.41394
  • p(a)
    0.33966
  • Lowerbound of 95% confidence interval for beta
    0.50379
  • Upperbound of 95% confidence interval for beta
    0.78299
  • Lowerbound of 95% confidence interval for alpha
    -0.36599
  • Upperbound of 95% confidence interval for alpha
    0.56062
  • Treynor index (mean / b)
    0.21624
  • Jensen alpha (a)
    0.09731
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10737
  • SD
    0.25188
  • Sharpe ratio (Glass type estimate)
    0.42627
  • Sharpe ratio (Hedges UMVUE)
    0.42483
  • df
    222.00000
  • t
    0.39327
  • p
    0.34725
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.69897
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.55067
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.69998
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54965
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.67032
  • Upside Potential Ratio
    8.09503
  • Upside part of mean
    1.29664
  • Downside part of mean
    -1.18927
  • Upside SD
    0.19377
  • Downside SD
    0.16018
  • N nonnegative terms
    84.00000
  • N negative terms
    139.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    223.00000
  • Mean of predictor
    0.04403
  • Mean of criterion
    0.10737
  • SD of predictor
    0.20499
  • SD of criterion
    0.25188
  • Covariance
    0.02678
  • r
    0.51868
  • b (slope, estimate of beta)
    0.63732
  • a (intercept, estimate of alpha)
    0.07931
  • Mean Square Error
    0.04659
  • DF error
    221.00000
  • t(b)
    9.01870
  • p(b)
    -0.00000
  • t(a)
    0.33898
  • p(a)
    0.36747
  • Lowerbound of 95% confidence interval for beta
    0.49805
  • Upperbound of 95% confidence interval for beta
    0.77658
  • Lowerbound of 95% confidence interval for alpha
    -0.38179
  • Upperbound of 95% confidence interval for alpha
    0.54041
  • Treynor index (mean / b)
    0.16847
  • Jensen alpha (a)
    0.07931
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02487
  • Expected Shortfall on VaR
    0.03118
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01181
  • Expected Shortfall on VaR
    0.02311
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    223.00000
  • Minimum
    0.94839
  • Quartile 1
    0.99522
  • Median
    1.00000
  • Quartile 3
    1.00461
  • Maximum
    1.07872
  • Mean of quarter 1
    0.98348
  • Mean of quarter 2
    0.99890
  • Mean of quarter 3
    1.00089
  • Mean of quarter 4
    1.01928
  • Inter Quartile Range
    0.00939
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.08520
  • Mean of outliers low
    0.97168
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.09417
  • Mean of outliers high
    1.03512
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.22135
  • VaR(95%) (moments method)
    0.01340
  • Expected Shortfall (moments method)
    0.01706
  • Extreme Value Index (regression method)
    -0.13211
  • VaR(95%) (regression method)
    0.01607
  • Expected Shortfall (regression method)
    0.02160
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00881
  • Quartile 1
    0.01198
  • Median
    0.01695
  • Quartile 3
    0.03735
  • Maximum
    0.18651
  • Mean of quarter 1
    0.00958
  • Mean of quarter 2
    0.01686
  • Mean of quarter 3
    0.01704
  • Mean of quarter 4
    0.11531
  • Inter Quartile Range
    0.02536
  • 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
    0.16667
  • Mean of outliers high
    0.18651
  • 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)
    0.14337
  • Compounded annual return (geometric extrapolation)
    0.14485
  • Calmar ratio (compounded annual return / max draw down)
    0.77664
  • Compounded annual return / average of 25% largest draw downs
    1.25617
  • Compounded annual return / Expected Shortfall lognormal
    4.64639
  • 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
    0.00987
  • SD
    0.19559
  • Sharpe ratio (Glass type estimate)
    0.05044
  • Sharpe ratio (Hedges UMVUE)
    0.05015
  • df
    130.00000
  • t
    0.03567
  • p
    0.49844
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.72137
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.82226
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.72166
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.82196
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.07353
  • Upside Potential Ratio
    7.21551
  • Upside part of mean
    0.96822
  • Downside part of mean
    -0.95835
  • Upside SD
    0.14128
  • Downside SD
    0.13419
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06106
  • Mean of criterion
    0.00987
  • SD of predictor
    0.16402
  • SD of criterion
    0.19559
  • Covariance
    0.01562
  • r
    0.48680
  • b (slope, estimate of beta)
    0.58049
  • a (intercept, estimate of alpha)
    -0.02558
  • Mean Square Error
    0.02942
  • DF error
    129.00000
  • t(b)
    6.32954
  • p(b)
    0.20281
  • t(a)
    -0.10544
  • p(a)
    0.50591
  • Lowerbound of 95% confidence interval for beta
    0.39904
  • Upperbound of 95% confidence interval for beta
    0.76194
  • Lowerbound of 95% confidence interval for alpha
    -0.50562
  • Upperbound of 95% confidence interval for alpha
    0.45445
  • Treynor index (mean / b)
    0.01700
  • Jensen alpha (a)
    -0.02558
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00908
  • SD
    0.19535
  • Sharpe ratio (Glass type estimate)
    -0.04650
  • Sharpe ratio (Hedges UMVUE)
    -0.04623
  • df
    130.00000
  • t
    -0.03288
  • p
    0.50144
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.81831
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.72532
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.81804
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72558
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.06687
  • Upside Potential Ratio
    7.05446
  • Upside part of mean
    0.95832
  • Downside part of mean
    -0.96740
  • Upside SD
    0.13935
  • Downside SD
    0.13585
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04773
  • Mean of criterion
    -0.00908
  • SD of predictor
    0.16380
  • SD of criterion
    0.19535
  • Covariance
    0.01562
  • r
    0.48805
  • b (slope, estimate of beta)
    0.58208
  • a (intercept, estimate of alpha)
    -0.03687
  • Mean Square Error
    0.02930
  • DF error
    129.00000
  • t(b)
    6.35097
  • p(b)
    0.20211
  • t(a)
    -0.15227
  • p(a)
    0.50853
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    0.40074
  • Upperbound of 95% confidence interval for beta
    0.76342
  • Lowerbound of 95% confidence interval for alpha
    -0.51588
  • Upperbound of 95% confidence interval for alpha
    0.44215
  • Treynor index (mean / b)
    -0.01561
  • Jensen alpha (a)
    -0.03687
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01969
  • Expected Shortfall on VaR
    0.02461
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00955
  • Expected Shortfall on VaR
    0.01904
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96381
  • Quartile 1
    0.99699
  • Median
    1.00000
  • Quartile 3
    1.00362
  • Maximum
    1.04267
  • Mean of quarter 1
    0.98622
  • Mean of quarter 2
    0.99952
  • Mean of quarter 3
    1.00060
  • Mean of quarter 4
    1.01425
  • Inter Quartile Range
    0.00663
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.11450
  • Mean of outliers low
    0.97853
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.02452
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.39181
  • VaR(95%) (moments method)
    0.01005
  • Expected Shortfall (moments method)
    0.01228
  • Extreme Value Index (regression method)
    -0.23831
  • VaR(95%) (regression method)
    0.01489
  • Expected Shortfall (regression method)
    0.01970
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00996
  • Quartile 1
    0.01527
  • Median
    0.04035
  • Quartile 3
    0.08286
  • Maximum
    0.14048
  • Mean of quarter 1
    0.00996
  • Mean of quarter 2
    0.01704
  • Mean of quarter 3
    0.06366
  • Mean of quarter 4
    0.14048
  • Inter Quartile Range
    0.06759
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -323807000
  • Max Equity Drawdown (num days)
    58
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01891
  • Compounded annual return (geometric extrapolation)
    0.01900
  • Calmar ratio (compounded annual return / max draw down)
    0.13527
  • Compounded annual return / average of 25% largest draw downs
    0.13527
  • Compounded annual return / Expected Shortfall lognormal
    0.77207

Strategy Description

Dear Prospective Trader,

Thank you for checking out my strategy!

Resilient Investments is a 100% automated trading strategy that uses the 3x leveraged S&P 500 ETF, UPRO. A nearest-neighbor algorithm is used to predict the close-to-close change of the S&P 500 index on a daily basis using historical time-series data. Just before market close, a prediction of the market’s next day returns is performed to determine whether to increase, decrease, or remain at the current leverage points. The basic philosophy of the strategy (as with most machine learning techniques) is to “do what would’ve worked best, given historically similar conditions.” The optimization goal was to maximize daily Sharpe ratio performance while yielding a daily volatility that is twice the volatility of the S&P 500 index.

The high volume ETF UPRO (3x S&P 500 Index) is used to achieve the desired leverage. By varying the total proportion of investment into this fund, the account leverage against the S&P 500 index is varied from 0% to +300% in increments of 150%. This strategy was backtested and optimized using almost 30 years of S&P 500 index data. The use of a long-term data set ensures a generalized approach is applied for the various market conditions of the future. All trades are performed using an automated system which interfaces with the Collective 2 API through MATLAB scripts.

A few important notes about this strategy:
* Automation is highly recommended since trade timing is important maintaining the accuracy to the strategy. Trades are placed 15-20 seconds before market close each day, so it is essential that the user employs an automated trading capability which can receive and act upon the signals broadcasted through Collective2.
* No stops/limits are employed.
* This strategy places a maximum of one trade per day just before market close. Trades may be placed daily or the strategy may hold the current position for several days and not place a trade.

Summary Statistics

Strategy began
2022-07-08
Suggested Minimum Capital
$15,000
# Trades
48
# Profitable
21
% Profitable
43.8%
Net Dividends
Correlation S&P500
0.425
Sharpe Ratio
0.09
Sortino Ratio
0.14
Beta
0.43
Alpha
-0.02
Leverage
2.22 Average
3.27 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.