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These are hypothetical performance results that have certain inherent limitations. Learn more

ETF Swinger
(141085790)

Created by: NorthwoodsTrader NorthwoodsTrader
Started: 07/2022
Stocks
Last trade: 5 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 $150.00 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.

-28.4%
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.

(44.1%)
Max Drawdown
109
Num Trades
42.2%
Win Trades
0.9 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          (0.6%)+3.9%(19%)+14.7%(27.3%)+2.6%(28.4%)

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 96 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/30/22 14:00 TZA DIREXION DAILY SMALL CAP BEAR LONG 744 30.54 12/1 9:30 28.75 6.59%
Trade id #142723328
Max drawdown($1,380)
Time12/1/22 9:30
Quant open744
Worst price28.68
Drawdown as % of equity-6.59%
($1,333)
Includes Typical Broker Commissions trade costs of $5.00
11/30/22 13:57 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 502 45.24 11/30 15:32 42.19 5.42%
Trade id #142723127
Max drawdown($1,551)
Time11/30/22 15:32
Quant open502
Worst price42.15
Drawdown as % of equity-5.42%
($1,536)
Includes Typical Broker Commissions trade costs of $5.00
11/30/22 9:30 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 1,137 19.98 11/30 15:32 18.08 7.52%
Trade id #142718148
Max drawdown($2,153)
Time11/30/22 15:32
Quant open1,137
Worst price18.08
Drawdown as % of equity-7.52%
($2,160)
Includes Typical Broker Commissions trade costs of $5.00
11/30/22 9:30 FNGD MICROSECTORS FANG -3X LEVERAGED ETNS DUE 1/8/38 LONG 396 57.22 11/30 15:32 47.41 13.66%
Trade id #142718078
Max drawdown($3,911)
Time11/30/22 15:32
Quant open396
Worst price47.34
Drawdown as % of equity-13.66%
($3,893)
Includes Typical Broker Commissions trade costs of $7.92
11/28/22 14:10 LABU DIREXION DAILY S&P BIOTECH BULL LONG 3,530 6.58 11/29 9:30 6.55 1.68%
Trade id #142698502
Max drawdown($493)
Time11/28/22 15:50
Quant open3,530
Worst price6.44
Drawdown as % of equity-1.68%
($111)
Includes Typical Broker Commissions trade costs of $5.00
11/28/22 14:08 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,090 21.30 11/28 15:36 21.13 0.86%
Trade id #142698468
Max drawdown($261)
Time11/28/22 15:31
Quant open1,090
Worst price21.06
Drawdown as % of equity-0.86%
($190)
Includes Typical Broker Commissions trade costs of $5.00
11/28/22 15:13 FNGU MICROSECTORS FANG+ 3X LEVERAGED ETN LONG 479 48.41 11/28 15:36 48.31 0.43%
Trade id #142699144
Max drawdown($129)
Time11/28/22 15:30
Quant open479
Worst price48.14
Drawdown as % of equity-0.43%
($58)
Includes Typical Broker Commissions trade costs of $9.58
11/28/22 13:56 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 631 36.80 11/28 15:36 36.24 1.48%
Trade id #142698290
Max drawdown($448)
Time11/28/22 15:31
Quant open631
Worst price36.09
Drawdown as % of equity-1.48%
($362)
Includes Typical Broker Commissions trade costs of $5.00
11/23/22 10:33 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 546 43.79 11/24 14:06 43.59 0.3%
Trade id #142659839
Max drawdown($93)
Time11/23/22 15:19
Quant open546
Worst price43.62
Drawdown as % of equity-0.30%
($115)
Includes Typical Broker Commissions trade costs of $5.00
11/23/22 10:07 FNGD MICROSECTORS FANG -3X LEVERAGED ETNS DUE 1/8/38 LONG 426 56.08 11/24 14:06 54.11 2.04%
Trade id #142659071
Max drawdown($630)
Time11/23/22 15:19
Quant open426
Worst price54.60
Drawdown as % of equity-2.04%
($848)
Includes Typical Broker Commissions trade costs of $8.52
11/21/22 12:24 LABU DIREXION DAILY S&P BIOTECH BULL LONG 3,704 6.59 11/22 9:30 6.67 0.77%
Trade id #142634761
Max drawdown($240)
Time11/21/22 14:37
Quant open3,704
Worst price6.53
Drawdown as % of equity-0.77%
$273
Includes Typical Broker Commissions trade costs of $5.00
11/21/22 9:30 FNGU MICROSECTORS FANG+ 3X LEVERAGED ETN LONG 477 49.86 11/22 9:30 47.80 3.69%
Trade id #142630387
Max drawdown($1,149)
Time11/21/22 13:05
Quant open477
Worst price47.45
Drawdown as % of equity-3.69%
($993)
Includes Typical Broker Commissions trade costs of $9.54
11/16/22 9:54 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 616 38.35 11/17 9:30 36.40 4.08%
Trade id #142584167
Max drawdown($1,287)
Time11/17/22 9:30
Quant open616
Worst price36.26
Drawdown as % of equity-4.08%
($1,205)
Includes Typical Broker Commissions trade costs of $5.00
11/16/22 9:30 FNGD MICROSECTORS FANG -3X LEVERAGED ETNS DUE 1/8/38 LONG 427 53.61 11/17 9:30 58.96 0.1%
Trade id #142583175
Max drawdown($29)
Time11/16/22 9:34
Quant open427
Worst price53.54
Drawdown as % of equity-0.10%
$2,275
Includes Typical Broker Commissions trade costs of $8.54
11/14/22 12:39 FNGD MICROSECTORS FANG -3X LEVERAGED ETNS DUE 1/8/38 LONG 429 56.21 11/15 13:40 54.68 8.06%
Trade id #142557977
Max drawdown($2,715)
Time11/15/22 0:00
Quant open429
Worst price49.88
Drawdown as % of equity-8.06%
($665)
Includes Typical Broker Commissions trade costs of $8.58
11/14/22 10:23 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 1,427 16.89 11/15 9:42 16.90 2.44%
Trade id #142555226
Max drawdown($820)
Time11/15/22 0:00
Quant open1,427
Worst price16.32
Drawdown as % of equity-2.44%
$2
Includes Typical Broker Commissions trade costs of $5.00
11/10/22 9:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 851 32.44 11/11 9:30 29.94 8.76%
Trade id #142517871
Max drawdown($2,808)
Time11/11/22 0:00
Quant open851
Worst price29.14
Drawdown as % of equity-8.76%
($2,133)
Includes Typical Broker Commissions trade costs of $5.00
11/10/22 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 503 51.58 11/10 11:27 50.11 2.43%
Trade id #142517868
Max drawdown($895)
Time11/10/22 10:02
Quant open503
Worst price49.80
Drawdown as % of equity-2.43%
($744)
Includes Typical Broker Commissions trade costs of $5.00
11/10/22 9:30 FNGD MICROSECTORS FANG -3X LEVERAGED ETNS DUE 1/8/38 LONG 360 72.81 11/10 11:27 68.86 4.38%
Trade id #142517866
Max drawdown($1,614)
Time11/10/22 11:22
Quant open360
Worst price68.33
Drawdown as % of equity-4.38%
($1,431)
Includes Typical Broker Commissions trade costs of $7.20
11/10/22 9:30 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 1,280 20.81 11/10 11:27 20.24 3.51%
Trade id #142517862
Max drawdown($1,292)
Time11/10/22 10:00
Quant open1,280
Worst price19.80
Drawdown as % of equity-3.51%
($735)
Includes Typical Broker Commissions trade costs of $5.00
11/8/22 10:09 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 1,255 20.97 11/9 9:30 22.07 0.97%
Trade id #142482261
Max drawdown($338)
Time11/8/22 11:39
Quant open1,255
Worst price20.70
Drawdown as % of equity-0.97%
$1,376
Includes Typical Broker Commissions trade costs of $5.00
11/8/22 12:42 FNGD MICROSECTORS FANG -3X LEVERAGED ETNS DUE 1/8/38 LONG 340 77.43 11/9 9:30 82.50 0.37%
Trade id #142486219
Max drawdown($125)
Time11/8/22 13:04
Quant open340
Worst price77.06
Drawdown as % of equity-0.37%
$1,717
Includes Typical Broker Commissions trade costs of $6.80
11/8/22 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 462 56.63 11/8 11:39 54.36 3.04%
Trade id #142480936
Max drawdown($1,062)
Time11/8/22 11:39
Quant open462
Worst price54.33
Drawdown as % of equity-3.04%
($1,058)
Includes Typical Broker Commissions trade costs of $9.24
11/8/22 11:32 TZA DIREXION DAILY SMALL CAP BEAR LONG 800 32.93 11/8 11:39 32.83 0.25%
Trade id #142484360
Max drawdown($88)
Time11/8/22 11:39
Quant open800
Worst price32.82
Drawdown as % of equity-0.25%
($85)
Includes Typical Broker Commissions trade costs of $5.00
11/4/22 13:09 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,340 16.89 11/7 9:30 18.17 0.19%
Trade id #142445827
Max drawdown($60)
Time11/4/22 14:06
Quant open1,340
Worst price16.85
Drawdown as % of equity-0.19%
$1,703
Includes Typical Broker Commissions trade costs of $5.00
11/4/22 9:30 TZA DIREXION DAILY SMALL CAP BEAR LONG 657 34.48 11/7 9:30 33.99 1.19%
Trade id #142439615
Max drawdown($417)
Time11/7/22 9:30
Quant open657
Worst price33.84
Drawdown as % of equity-1.19%
($324)
Includes Typical Broker Commissions trade costs of $5.00
11/4/22 9:30 FNGD MICROSECTORS FANG -3X LEVERAGED ETNS DUE 1/8/38 LONG 275 78.21 11/4 14:39 85.12 n/a $1,895
Includes Typical Broker Commissions trade costs of $5.50
11/4/22 9:44 LABU DIREXION DAILY S&P BIOTECH BULL LONG 3,339 6.78 11/4 11:23 7.06 1.76%
Trade id #142440562
Max drawdown($601)
Time11/4/22 10:07
Quant open3,339
Worst price6.60
Drawdown as % of equity-1.76%
$930
Includes Typical Broker Commissions trade costs of $5.00
11/4/22 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 392 57.72 11/4 11:23 59.84 n/a $823
Includes Typical Broker Commissions trade costs of $7.84
11/1/22 14:50 FNGU MICROSECTORS FANG+ 3X LEVERAGED ETN LONG 483 45.20 11/2 9:30 45.21 3.23%
Trade id #142400296
Max drawdown($965)
Time11/2/22 0:00
Quant open483
Worst price43.20
Drawdown as % of equity-3.23%
($5)
Includes Typical Broker Commissions trade costs of $9.66

Statistics

  • Strategy began
    7/17/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    141.31
  • Age
    141 days ago
  • What it trades
    Stocks
  • # Trades
    109
  • # Profitable
    46
  • % Profitable
    42.20%
  • Avg trade duration
    18.9 hours
  • Max peak-to-valley drawdown
    44.09%
  • drawdown period
    Nov 09, 2022 - Dec 05, 2022
  • Cumul. Return
    -28.4%
  • Avg win
    $925.13
  • Avg loss
    $786.68
  • Model Account Values (Raw)
  • Cash
    $14,141
  • Margin Used
    $0
  • Buying Power
    $14,906
  • Ratios
  • W:L ratio
    0.86:1
  • Sharpe Ratio
    -0.89
  • Sortino Ratio
    -1.08
  • Calmar Ratio
    -1.223
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -31.90%
  • Correlation to SP500
    -0.04620
  • Return Percent SP500 (cumu) during strategy life
    3.51%
  • Return Statistics
  • Ann Return (w trading costs)
    -56.9%
  • Slump
  • Current Slump as Pcnt Equity
    71.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.19%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.284%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -49.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    69.50%
  • Chance of 40% account loss
    26.00%
  • 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
    93.27%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    11.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    416
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    324
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $787
  • Avg Win
    $925
  • Sum Trade PL (losers)
    $49,561.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $42,556.000
  • # Winners
    46
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    63
  • % Winners
    42.2%
  • Frequency
  • Avg Position Time (mins)
    1136.28
  • Avg Position Time (hrs)
    18.94
  • Avg Trade Length
    0.8 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    3.87
  • Daily leverage (max)
    17.22
  • Regression
  • Alpha
    -0.18
  • Beta
    -0.12
  • Treynor Index
    1.56
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.12
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -6.530
  • 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
    0.14
  • Avg(MAE) / Avg(PL) - Winning trades
    0.475
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.434
  • Hold-and-Hope Ratio
    -0.153
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54705
  • SD
    0.93763
  • Sharpe ratio (Glass type estimate)
    0.58344
  • Sharpe ratio (Hedges UMVUE)
    0.42218
  • df
    3.00000
  • t
    0.33685
  • p
    0.37921
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.88531
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.96223
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.98935
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.83370
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.22374
  • Upside Potential Ratio
    3.15914
  • Upside part of mean
    1.41223
  • Downside part of mean
    -0.86518
  • Upside SD
    0.69604
  • Downside SD
    0.44703
  • 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
    0.11168
  • Mean of criterion
    0.54705
  • SD of predictor
    0.33058
  • SD of criterion
    0.93763
  • Covariance
    0.18076
  • r
    0.58316
  • b (slope, estimate of beta)
    1.65403
  • a (intercept, estimate of alpha)
    0.36232
  • Mean Square Error
    0.87026
  • DF error
    2.00000
  • t(b)
    1.01522
  • p(b)
    0.20842
  • t(a)
    0.22283
  • p(a)
    0.42218
  • Lowerbound of 95% confidence interval for beta
    -5.35600
  • Upperbound of 95% confidence interval for beta
    8.66406
  • Lowerbound of 95% confidence interval for alpha
    -6.63379
  • Upperbound of 95% confidence interval for alpha
    7.35844
  • Treynor index (mean / b)
    0.33074
  • Jensen alpha (a)
    0.36232
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23217
  • SD
    0.89921
  • Sharpe ratio (Glass type estimate)
    0.25819
  • Sharpe ratio (Hedges UMVUE)
    0.18683
  • df
    3.00000
  • t
    0.14907
  • p
    0.44548
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.16244
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63847
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.21122
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.58487
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.45160
  • Upside Potential Ratio
    2.36441
  • Upside part of mean
    1.21553
  • Downside part of mean
    -0.98336
  • Upside SD
    0.58875
  • Downside SD
    0.51409
  • 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
    0.07065
  • Mean of criterion
    0.23217
  • SD of predictor
    0.32808
  • SD of criterion
    0.89921
  • Covariance
    0.17272
  • r
    0.58547
  • b (slope, estimate of beta)
    1.60468
  • a (intercept, estimate of alpha)
    0.11880
  • Mean Square Error
    0.79711
  • DF error
    2.00000
  • t(b)
    1.02133
  • p(b)
    0.20726
  • t(a)
    0.07663
  • p(a)
    0.47295
  • Lowerbound of 95% confidence interval for beta
    -5.15547
  • Upperbound of 95% confidence interval for beta
    8.36482
  • Lowerbound of 95% confidence interval for alpha
    -6.55192
  • Upperbound of 95% confidence interval for alpha
    6.78952
  • Treynor index (mean / b)
    0.14468
  • Jensen alpha (a)
    0.11880
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.33477
  • Expected Shortfall on VaR
    0.40049
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.16800
  • Expected Shortfall on VaR
    0.30321
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.74627
  • Quartile 1
    0.91406
  • Median
    1.02425
  • Quartile 3
    1.15810
  • Maximum
    1.39690
  • Mean of quarter 1
    0.74627
  • Mean of quarter 2
    0.96999
  • Mean of quarter 3
    1.07850
  • Mean of quarter 4
    1.39690
  • Inter Quartile Range
    0.24404
  • 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
    0.27612
  • Quartile 1
    0.27612
  • Median
    0.27612
  • Quartile 3
    0.27612
  • Maximum
    0.27612
  • 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)
    0.27168
  • Compounded annual return (geometric extrapolation)
    0.29703
  • Calmar ratio (compounded annual return / max draw down)
    1.07570
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.74165
  • 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
    -0.52713
  • SD
    0.60469
  • Sharpe ratio (Glass type estimate)
    -0.87174
  • Sharpe ratio (Hedges UMVUE)
    -0.86518
  • df
    100.00000
  • t
    -0.54125
  • p
    0.70523
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.02867
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.28942
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.02419
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29383
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.07123
  • Upside Potential Ratio
    5.14662
  • Upside part of mean
    2.53256
  • Downside part of mean
    -3.05969
  • Upside SD
    0.34778
  • Downside SD
    0.49208
  • N nonnegative terms
    41.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    101.00000
  • Mean of predictor
    0.11390
  • Mean of criterion
    -0.52713
  • SD of predictor
    0.24852
  • SD of criterion
    0.60469
  • Covariance
    -0.00546
  • r
    -0.03636
  • b (slope, estimate of beta)
    -0.08847
  • a (intercept, estimate of alpha)
    -0.51700
  • Mean Square Error
    0.36886
  • DF error
    99.00000
  • t(b)
    -0.36200
  • p(b)
    0.64094
  • t(a)
    -0.52838
  • p(a)
    0.70079
  • Lowerbound of 95% confidence interval for beta
    -0.57338
  • Upperbound of 95% confidence interval for beta
    0.39645
  • Lowerbound of 95% confidence interval for alpha
    -2.45877
  • Upperbound of 95% confidence interval for alpha
    1.42466
  • Treynor index (mean / b)
    5.95855
  • Jensen alpha (a)
    -0.51706
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.71761
  • SD
    0.62707
  • Sharpe ratio (Glass type estimate)
    -1.14438
  • Sharpe ratio (Hedges UMVUE)
    -1.13577
  • df
    100.00000
  • t
    -0.71053
  • p
    0.76048
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.30227
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01916
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.29643
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02488
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.36015
  • Upside Potential Ratio
    4.69021
  • Upside part of mean
    2.47453
  • Downside part of mean
    -3.19213
  • Upside SD
    0.33606
  • Downside SD
    0.52759
  • N nonnegative terms
    41.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    101.00000
  • Mean of predictor
    0.08342
  • Mean of criterion
    -0.71761
  • SD of predictor
    0.24779
  • SD of criterion
    0.62707
  • Covariance
    -0.00610
  • r
    -0.03928
  • b (slope, estimate of beta)
    -0.09941
  • a (intercept, estimate of alpha)
    -0.70931
  • Mean Square Error
    0.39658
  • DF error
    99.00000
  • t(b)
    -0.39116
  • p(b)
    0.65174
  • t(a)
    -0.69918
  • p(a)
    0.75696
  • Lowerbound of 95% confidence interval for beta
    -0.60370
  • Upperbound of 95% confidence interval for beta
    0.40487
  • Lowerbound of 95% confidence interval for alpha
    -2.72229
  • Upperbound of 95% confidence interval for alpha
    1.30366
  • Treynor index (mean / b)
    7.21843
  • Jensen alpha (a)
    -0.70931
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06430
  • Expected Shortfall on VaR
    0.07923
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02953
  • Expected Shortfall on VaR
    0.06202
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    101.00000
  • Minimum
    0.80080
  • Quartile 1
    0.99268
  • Median
    1.00000
  • Quartile 3
    1.01282
  • Maximum
    1.12259
  • Mean of quarter 1
    0.95652
  • Mean of quarter 2
    0.99830
  • Mean of quarter 3
    1.00373
  • Mean of quarter 4
    1.03550
  • Inter Quartile Range
    0.02014
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.12871
  • Mean of outliers low
    0.93031
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.06931
  • Mean of outliers high
    1.06533
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11185
  • VaR(95%) (moments method)
    0.02654
  • Expected Shortfall (moments method)
    0.04132
  • Extreme Value Index (regression method)
    -0.11607
  • VaR(95%) (regression method)
    0.04305
  • Expected Shortfall (regression method)
    0.06091
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01084
  • Quartile 1
    0.05693
  • Median
    0.22235
  • Quartile 3
    0.38115
  • Maximum
    0.40736
  • Mean of quarter 1
    0.01084
  • Mean of quarter 2
    0.07229
  • Mean of quarter 3
    0.37241
  • Mean of quarter 4
    0.40736
  • Inter Quartile Range
    0.32422
  • 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)
    -0.60563
  • Compounded annual return (geometric extrapolation)
    -0.49827
  • Calmar ratio (compounded annual return / max draw down)
    -1.22317
  • Compounded annual return / average of 25% largest draw downs
    -1.22317
  • Compounded annual return / Expected Shortfall lognormal
    -6.28882
  • 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)
    0.06400
  • 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?
    -325416000
  • Max Equity Drawdown (num days)
    26

Strategy Description

Do you enjoy making money but would prefer only one ETF to trade a at a time to minimize your efforts and maximize returns? I developed the ETF Swinger trading strategy to single out a specific ETF and then optimized to meet a specific price target to buy at limit. If the stock never goes low enough to meet this buy target, there is simply no trade. Once the trade is initiated there is a certain profit target assigned for it to sell. This strategy has been back-tested & optimized (through walk forward analysis) to single out which ETF to target along with the entry and exit points to provide a positive return for the last 10 years. The goal of this strategy is to minimize trading efforts to one ETF and maximize returns.

Subscribe now and come beat the market with me!

Summary Statistics

Strategy began
2022-07-17
Suggested Minimum Capital
$35,000
# Trades
109
# Profitable
46
% Profitable
42.2%
Correlation S&P500
-0.046
Sharpe Ratio
-0.89
Sortino Ratio
-1.08
Beta
-0.12
Alpha
-0.18
Leverage
3.87 Average
17.22 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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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.