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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: Yesterday

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.

4.2%
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.

(25.4%)
Max Drawdown
23
Num Trades
30.4%
Win Trades
1.2 : 1
Profit Factor
50.0%
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%(0.7%)+4.8%

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.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/1/22 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
11/4/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 1,148 32.64 11/10 15:59 35.48 3.9%
Trade id #142448407
Max drawdown($956)
Time11/9/22 0:00
Quant open760
Worst price31.38
Drawdown as % of equity-3.90%
$3,252
Includes Typical Broker Commissions trade costs of $12.75
11/1/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 765 34.55 11/2 15:59 31.99 8.49%
Trade id #142401403
Max drawdown($2,050)
Time11/2/22 15:59
Quant open765
Worst price31.87
Drawdown as % of equity-8.49%
($1,963)
Includes Typical Broker Commissions trade costs of $5.00
10/27/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 739 33.31 10/28 15:59 35.77 0.09%
Trade id #142350762
Max drawdown($22)
Time10/28/22 0:00
Quant open739
Worst price33.28
Drawdown as % of equity-0.09%
$1,813
Includes Typical Broker Commissions trade costs of $5.00
10/18/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 398 31.21 10/19 15:59 30.60 2.24%
Trade id #142217192
Max drawdown($537)
Time10/19/22 13:05
Quant open398
Worst price29.86
Drawdown as % of equity-2.24%
($251)
Includes Typical Broker Commissions trade costs of $7.96
10/7/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 1,231 29.03 10/13 15:59 29.74 11.47%
Trade id #142090536
Max drawdown($2,565)
Time10/13/22 9:33
Quant open829
Worst price25.94
Drawdown as % of equity-11.47%
$858
Includes Typical Broker Commissions trade costs of $13.22
9/26/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 798 30.29 9/27 15:59 30.05 3%
Trade id #141935896
Max drawdown($694)
Time9/27/22 13:56
Quant open798
Worst price29.42
Drawdown as % of equity-3.00%
($197)
Includes Typical Broker Commissions trade costs of $5.00
9/21/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 735 33.84 9/22 15:59 32.91 3.66%
Trade id #141883683
Max drawdown($863)
Time9/22/22 11:23
Quant open735
Worst price32.66
Drawdown as % of equity-3.66%
($689)
Includes Typical Broker Commissions trade costs of $5.00
9/19/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 343 36.84 9/20 15:59 35.59 2.88%
Trade id #141856476
Max drawdown($699)
Time9/20/22 13:59
Quant open343
Worst price34.80
Drawdown as % of equity-2.88%
($436)
Includes Typical Broker Commissions trade costs of $6.86
9/15/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 700 36.99 9/16 15:59 36.13 5.24%
Trade id #141822113
Max drawdown($1,330)
Time9/16/22 9:59
Quant open700
Worst price35.09
Drawdown as % of equity-5.24%
($607)
Includes Typical Broker Commissions trade costs of $5.00
9/8/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 314 40.28 9/9 15:59 42.16 n/a $584
Includes Typical Broker Commissions trade costs of $6.28
8/30/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 640 39.89 9/7 15:59 39.50 8.11%
Trade id #141596880
Max drawdown($1,945)
Time9/6/22 0:00
Quant open640
Worst price36.85
Drawdown as % of equity-8.11%
($255)
Includes Typical Broker Commissions trade costs of $5.00
8/23/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 594 44.49 8/29 15:59 43.00 4.41%
Trade id #141514319
Max drawdown($1,121)
Time8/29/22 10:56
Quant open298
Worst price40.73
Drawdown as % of equity-4.41%
($894)
Includes Typical Broker Commissions trade costs of $8.44
8/15/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 852 49.98 8/22 15:59 47.73 6.01%
Trade id #141424744
Max drawdown($1,569)
Time8/22/22 15:45
Quant open286
Worst price44.49
Drawdown as % of equity-6.01%
($1,932)
Includes Typical Broker Commissions trade costs of $13.92
8/10/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 292 47.25 8/12 15:59 49.62 0.27%
Trade id #141375886
Max drawdown($73)
Time8/11/22 0:00
Quant open292
Worst price47.00
Drawdown as % of equity-0.27%
$686
Includes Typical Broker Commissions trade costs of $5.84
8/4/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 613 45.39 8/8 15:59 45.06 3.22%
Trade id #141309759
Max drawdown($894)
Time8/5/22 0:00
Quant open613
Worst price43.93
Drawdown as % of equity-3.22%
($207)
Includes Typical Broker Commissions trade costs of $5.00
7/29/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 308 44.81 8/3 15:59 45.58 1.9%
Trade id #141236443
Max drawdown($520)
Time8/2/22 0:00
Quant open308
Worst price43.12
Drawdown as % of equity-1.90%
$231
Includes Typical Broker Commissions trade costs of $6.16
7/15/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 999 37.15 7/27 15:59 40.84 1.73%
Trade id #141078760
Max drawdown($411)
Time7/18/22 0:00
Quant open324
Worst price35.63
Drawdown as % of equity-1.73%
$3,667
Includes Typical Broker Commissions trade costs of $15.82
7/12/22 9:31 UPRO PROSHARES ULTRAPRO S&P 500 LONG 675 36.59 7/14 15:59 35.10 7.11%
Trade id #141031976
Max drawdown($1,728)
Time7/13/22 0:00
Quant open675
Worst price34.03
Drawdown as % of equity-7.11%
($1,014)
Includes Typical Broker Commissions trade costs of $9.25

Statistics

  • Strategy began
    7/8/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    150.58
  • Age
    151 days ago
  • What it trades
    Stocks
  • # Trades
    23
  • # Profitable
    7
  • % Profitable
    30.40%
  • Avg trade duration
    3.3 days
  • Max peak-to-valley drawdown
    25.43%
  • drawdown period
    Aug 16, 2022 - Oct 13, 2022
  • Cumul. Return
    4.2%
  • Avg win
    $1,593
  • Avg loss
    $562.44
  • Model Account Values (Raw)
  • Cash
    $6,848
  • Margin Used
    $0
  • Buying Power
    $6,776
  • Ratios
  • W:L ratio
    1.24:1
  • Sharpe Ratio
    0.38
  • Sortino Ratio
    0.65
  • Calmar Ratio
    1.205
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1.62%
  • Correlation to SP500
    0.53190
  • Return Percent SP500 (cumu) during strategy life
    2.55%
  • Return Statistics
  • Ann Return (w trading costs)
    10.2%
  • Slump
  • Current Slump as Pcnt Equity
    9.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.74%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.042%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    22.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    49.00%
  • Chance of 20% account loss
    13.00%
  • 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
  • C2 Score
    297
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $562
  • Avg Win
    $1,594
  • Sum Trade PL (losers)
    $8,999.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $11,156.000
  • # Winners
    7
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    16
  • % Winners
    30.4%
  • Frequency
  • Avg Position Time (mins)
    4684.50
  • Avg Position Time (hrs)
    78.08
  • Avg Trade Length
    3.3 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    2.38
  • Daily leverage (max)
    3.27
  • Regression
  • Alpha
    0.03
  • Beta
    0.66
  • Treynor Index
    0.06
  • 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)
    -1.92
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    12.418
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.431
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.770
  • Hold-and-Hope Ratio
    0.081
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06486
  • SD
    0.33515
  • Sharpe ratio (Glass type estimate)
    0.19352
  • Sharpe ratio (Hedges UMVUE)
    0.14003
  • df
    3.00000
  • t
    0.11173
  • p
    0.45905
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.21959
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.57635
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.25657
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.53663
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.34054
  • Upside Potential Ratio
    2.76792
  • Upside part of mean
    0.52715
  • Downside part of mean
    -0.46229
  • Upside SD
    0.21982
  • Downside SD
    0.19045
  • N nonnegative terms
    2.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.05667
  • Mean of criterion
    0.06486
  • SD of predictor
    0.26286
  • SD of criterion
    0.33515
  • Covariance
    0.07718
  • r
    0.87610
  • b (slope, estimate of beta)
    1.11702
  • a (intercept, estimate of alpha)
    0.12816
  • Mean Square Error
    0.03916
  • DF error
    2.00000
  • t(b)
    2.56983
  • p(b)
    0.06195
  • t(a)
    0.37292
  • p(a)
    0.37251
  • Lowerbound of 95% confidence interval for beta
    -0.75320
  • Upperbound of 95% confidence interval for beta
    2.98724
  • Lowerbound of 95% confidence interval for alpha
    -1.35048
  • Upperbound of 95% confidence interval for alpha
    1.60679
  • Treynor index (mean / b)
    0.05806
  • Jensen alpha (a)
    0.12816
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02300
  • SD
    0.33281
  • Sharpe ratio (Glass type estimate)
    0.06912
  • Sharpe ratio (Hedges UMVUE)
    0.05002
  • df
    3.00000
  • t
    0.03991
  • p
    0.48534
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.33148
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.45894
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.34498
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.44501
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.11617
  • Upside Potential Ratio
    2.54176
  • Upside part of mean
    0.50329
  • Downside part of mean
    -0.48029
  • Upside SD
    0.20954
  • Downside SD
    0.19801
  • N nonnegative terms
    2.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.08325
  • Mean of criterion
    0.02300
  • SD of predictor
    0.26757
  • SD of criterion
    0.33281
  • Covariance
    0.07703
  • r
    0.86501
  • b (slope, estimate of beta)
    1.07591
  • a (intercept, estimate of alpha)
    0.11257
  • Mean Square Error
    0.04183
  • DF error
    2.00000
  • t(b)
    2.43810
  • p(b)
    0.06749
  • t(a)
    0.31609
  • p(a)
    0.39094
  • Lowerbound of 95% confidence interval for beta
    -0.82281
  • Upperbound of 95% confidence interval for beta
    2.97462
  • Lowerbound of 95% confidence interval for alpha
    -1.41974
  • Upperbound of 95% confidence interval for alpha
    1.64488
  • Treynor index (mean / b)
    0.02138
  • Jensen alpha (a)
    0.11257
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14453
  • Expected Shortfall on VaR
    0.17768
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08894
  • Expected Shortfall on VaR
    0.12906
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.91486
  • Quartile 1
    0.93049
  • Median
    1.00380
  • Quartile 3
    1.08104
  • Maximum
    1.10848
  • Mean of quarter 1
    0.91486
  • Mean of quarter 2
    0.93570
  • Mean of quarter 3
    1.07189
  • Mean of quarter 4
    1.10848
  • Inter Quartile Range
    0.15055
  • 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
    0.14397
  • 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)
    0.05135
  • Compounded annual return (geometric extrapolation)
    0.05223
  • Calmar ratio (compounded annual return / max draw down)
    0.36278
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.29394
  • 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
    0.21914
  • SD
    0.30065
  • Sharpe ratio (Glass type estimate)
    0.72890
  • Sharpe ratio (Hedges UMVUE)
    0.72373
  • df
    106.00000
  • t
    0.46581
  • p
    0.47740
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.34124
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.79580
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.34476
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.79223
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.22929
  • Upside Potential Ratio
    9.20950
  • Upside part of mean
    1.64174
  • Downside part of mean
    -1.42260
  • Upside SD
    0.24072
  • Downside SD
    0.17827
  • N nonnegative terms
    39.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    107.00000
  • Mean of predictor
    0.06337
  • Mean of criterion
    0.21914
  • SD of predictor
    0.24495
  • SD of criterion
    0.30065
  • Covariance
    0.03841
  • r
    0.52156
  • b (slope, estimate of beta)
    0.64014
  • a (intercept, estimate of alpha)
    0.17900
  • Mean Square Error
    0.06643
  • DF error
    105.00000
  • t(b)
    6.26380
  • p(b)
    0.18370
  • t(a)
    0.44272
  • p(a)
    0.47253
  • Lowerbound of 95% confidence interval for beta
    0.43751
  • Upperbound of 95% confidence interval for beta
    0.84278
  • Lowerbound of 95% confidence interval for alpha
    -0.62120
  • Upperbound of 95% confidence interval for alpha
    0.97835
  • Treynor index (mean / b)
    0.34233
  • Jensen alpha (a)
    0.17858
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17483
  • SD
    0.29793
  • Sharpe ratio (Glass type estimate)
    0.58680
  • Sharpe ratio (Hedges UMVUE)
    0.58264
  • df
    106.00000
  • t
    0.37500
  • p
    0.48180
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.48250
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.65344
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.48531
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.65059
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.96600
  • Upside Potential Ratio
    8.91527
  • Upside part of mean
    1.61349
  • Downside part of mean
    -1.43866
  • Upside SD
    0.23515
  • Downside SD
    0.18098
  • N nonnegative terms
    39.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    107.00000
  • Mean of predictor
    0.03377
  • Mean of criterion
    0.17483
  • SD of predictor
    0.24421
  • SD of criterion
    0.29793
  • Covariance
    0.03763
  • r
    0.51716
  • b (slope, estimate of beta)
    0.63093
  • a (intercept, estimate of alpha)
    0.15352
  • Mean Square Error
    0.06564
  • DF error
    105.00000
  • t(b)
    6.19161
  • p(b)
    0.18610
  • t(a)
    0.38292
  • p(a)
    0.47623
  • Lowerbound of 95% confidence interval for beta
    0.42888
  • Upperbound of 95% confidence interval for beta
    0.83298
  • Lowerbound of 95% confidence interval for alpha
    -0.64145
  • Upperbound of 95% confidence interval for alpha
    0.94849
  • Treynor index (mean / b)
    0.27709
  • Jensen alpha (a)
    0.15352
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02917
  • Expected Shortfall on VaR
    0.03659
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01448
  • Expected Shortfall on VaR
    0.02735
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    107.00000
  • Minimum
    0.94839
  • Quartile 1
    0.99243
  • Median
    1.00000
  • Quartile 3
    1.00608
  • Maximum
    1.07872
  • Mean of quarter 1
    0.98097
  • Mean of quarter 2
    0.99778
  • Mean of quarter 3
    1.00120
  • Mean of quarter 4
    1.02383
  • Inter Quartile Range
    0.01365
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.04673
  • Mean of outliers low
    0.96387
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.09346
  • Mean of outliers high
    1.04313
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.13679
  • VaR(95%) (moments method)
    0.01767
  • Expected Shortfall (moments method)
    0.02270
  • Extreme Value Index (regression method)
    -0.16927
  • VaR(95%) (regression method)
    0.02087
  • Expected Shortfall (regression method)
    0.02702
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00881
  • Quartile 1
    0.01036
  • Median
    0.01686
  • Quartile 3
    0.04411
  • Maximum
    0.18651
  • Mean of quarter 1
    0.00958
  • Mean of quarter 2
    0.01686
  • Mean of quarter 3
    0.04411
  • Mean of quarter 4
    0.18651
  • Inter Quartile Range
    0.03376
  • 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
    0.18651
  • 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)
    0.21136
  • Compounded annual return (geometric extrapolation)
    0.22475
  • Calmar ratio (compounded annual return / max draw down)
    1.20498
  • Compounded annual return / average of 25% largest draw downs
    1.20498
  • Compounded annual return / Expected Shortfall lognormal
    6.14225
  • 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)
    0.02900
  • 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
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -324896000
  • Max Equity Drawdown (num days)
    58

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
23
# Profitable
7
% Profitable
30.4%
Correlation S&P500
0.532
Sharpe Ratio
0.38
Sortino Ratio
0.65
Beta
0.66
Alpha
0.03
Leverage
2.38 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.