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C2Star Strategy gandalf Rank on Leaderboard #6 Hypothetical

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ETF Pairs Trading
(142447715)

Created by: ClickCapital ClickCapital
Started: 11/2022
Stocks
Last trade: 9 days ago
Trading style: Equity Pairs Trading / Relative Value

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 $60.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Pairs Trading / Relative Value
Category: Equity

Pairs Trading / Relative Value

Seeks to exploit differences in the price or rate of the same or similar securities. The relative value fund trades on gaps, rather than the price of a specific security alone
-6.9%
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.

(9.8%)
Max Drawdown
62
Num Trades
41.9%
Win Trades
0.9 : 1
Profit Factor
20.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                      +1.5%(6%)(4.6%)
2023(0.5%)(1.4%)(0.5%)                                                      (2.4%)

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 168 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
3/6/23 15:00 IBUY AMPLIFY ONLINE RETAIL ETF SHORT 185 44.35 3/13 15:23 40.98 0.22%
Trade id #143791158
Max drawdown($90)
Time3/7/23 0:00
Quant open185
Worst price44.84
Drawdown as % of equity-0.22%
 $619
Includes Typical Broker Commissions trade costs of $3.70
3/6/23 14:59 ONLN PROSHARES ONLINE RETAIL ETF LONG 273 30.84 3/13 15:23 29.11 1.85%
Trade id #143791110
Max drawdown($786)
Time3/13/23 9:44
Quant open273
Worst price27.96
Drawdown as % of equity-1.85%
 ($477)
Includes Typical Broker Commissions trade costs of $5.46
2/10/23 15:42 KBWP INVESCO KBW PROPERTY & CASUALTY INSURANCE ETF SHORT 95 90.67 3/10 15:35 84.44 0.23%
Trade id #143545453
Max drawdown($95)
Time2/14/23 0:00
Quant open95
Worst price91.68
Drawdown as % of equity-0.23%
 $590
Includes Typical Broker Commissions trade costs of $1.90
2/10/23 15:42 IAK ISHARES DOW JONES US INSURANCE LONG 92 94.06 3/10 15:35 87.07 1.55%
Trade id #143545451
Max drawdown($655)
Time3/10/23 13:54
Quant open92
Worst price86.93
Drawdown as % of equity-1.55%
 ($645)
Includes Typical Broker Commissions trade costs of $1.84
1/27/23 15:24 SPYG SPDR S&P 500 GROWTH ETF LONG 160 53.82 3/10 15:34 51.51 0.94%
Trade id #143370293
Max drawdown($397)
Time3/10/23 13:52
Quant open160
Worst price51.34
Drawdown as % of equity-0.94%
 ($373)
Includes Typical Broker Commissions trade costs of $3.20
1/27/23 15:22 SCHG SCHWAB U.S. LARGE-CAP GROWTH E SHORT 140 61.47 3/10 15:34 59.17 0.97%
Trade id #143370282
Max drawdown($411)
Time2/2/23 0:00
Quant open140
Worst price64.41
Drawdown as % of equity-0.97%
 $319
Includes Typical Broker Commissions trade costs of $2.80
2/10/23 15:42 FMAT FIDELITY MSCI MATERIALS IND LONG 187 46.41 3/10 15:34 44.30 1.03%
Trade id #143545447
Max drawdown($435)
Time3/10/23 13:53
Quant open187
Worst price44.08
Drawdown as % of equity-1.03%
 ($399)
Includes Typical Broker Commissions trade costs of $3.74
1/6/23 14:58 INFL HORIZON KINETICS INFLATION BENEFICIARIES ETF LONG 275 31.17 3/10 15:34 29.48 1.13%
Trade id #143129192
Max drawdown($478)
Time3/10/23 13:54
Quant open275
Worst price29.43
Drawdown as % of equity-1.13%
 ($471)
Includes Typical Broker Commissions trade costs of $5.50
1/6/23 14:58 FXZ FIRST TRUST MATERIALS ALPHADEX SHORT 132 64.70 3/10 15:26 64.83 2.48%
Trade id #143129187
Max drawdown($1,042)
Time2/3/23 0:00
Quant open132
Worst price72.60
Drawdown as % of equity-2.48%
 ($20)
Includes Typical Broker Commissions trade costs of $2.64
2/10/23 15:41 PYZ INVESCO DWA BASIC MATERIALS MOMENTUM ETF SHORT 98 88.94 3/10 15:26 83.77 0.98%
Trade id #143545438
Max drawdown($410)
Time3/3/23 0:00
Quant open98
Worst price93.13
Drawdown as % of equity-0.98%
 $505
Includes Typical Broker Commissions trade costs of $1.96
2/2/23 15:47 FXO FIRST TRUST FINANCIALS ALPHADE SHORT 170 46.34 3/6 14:46 44.24 0.16%
Trade id #143437159
Max drawdown($68)
Time2/3/23 0:00
Quant open170
Worst price46.74
Drawdown as % of equity-0.16%
 $354
Includes Typical Broker Commissions trade costs of $3.40
2/2/23 15:37 XLF FINANCIAL SELECT SECTOR SPDR LONG 232 36.59 3/6 14:46 36.02 0.87%
Trade id #143437018
Max drawdown($366)
Time3/2/23 0:00
Quant open232
Worst price35.01
Drawdown as % of equity-0.87%
 ($137)
Includes Typical Broker Commissions trade costs of $4.64
1/11/23 14:52 EWH ISHARES MSCI HONG KONG INDEX LONG 393 21.96 2/10 15:34 21.41 0.53%
Trade id #143182747
Max drawdown($224)
Time2/8/23 0:00
Quant open393
Worst price21.39
Drawdown as % of equity-0.53%
 ($224)
Includes Typical Broker Commissions trade costs of $7.86
1/11/23 14:52 FXI ISHARES FTSE CHINA 25 INDEX FU SHORT 270 31.99 2/10 15:34 30.03 0.88%
Trade id #143182739
Max drawdown($373)
Time1/27/23 0:00
Quant open270
Worst price33.38
Drawdown as % of equity-0.88%
 $524
Includes Typical Broker Commissions trade costs of $5.40
1/25/23 15:52 EWC ISHARES MSCI CANADA INDEX SHORT 243 35.20 2/10 15:34 35.49 0.45%
Trade id #143341492
Max drawdown($189)
Time2/2/23 0:00
Quant open243
Worst price35.98
Drawdown as % of equity-0.45%
 ($75)
Includes Typical Broker Commissions trade costs of $4.86
1/25/23 15:51 EWA ISHARES MSCI AUSTRALIA INDEX LONG 345 24.84 2/10 15:34 24.14 0.63%
Trade id #143341487
Max drawdown($267)
Time2/7/23 0:00
Quant open345
Worst price24.07
Drawdown as % of equity-0.63%
 ($249)
Includes Typical Broker Commissions trade costs of $6.90
1/25/23 15:53 SPY SPDR S&P 500 SHORT 21 399.49 2/2 15:35 415.77 0.94%
Trade id #143341507
Max drawdown($395)
Time2/2/23 14:01
Quant open21
Worst price418.31
Drawdown as % of equity-0.94%
 ($342)
Includes Typical Broker Commissions trade costs of $0.42
1/25/23 15:52 EWJ ISHARES MSCI JAPAN INDEX LONG 146 58.71 2/2 15:35 58.64 0.26%
Trade id #143341501
Max drawdown($112)
Time2/1/23 0:00
Quant open146
Worst price57.94
Drawdown as % of equity-0.26%
 ($13)
Includes Typical Broker Commissions trade costs of $2.92
11/21/22 15:17 ICLN ISHARES GLOBAL CLEAN ENERGY ET SHORT 442 20.36 1/27/23 14:29 20.62 1.27%
Trade id #142636936
Max drawdown($550)
Time1/18/23 0:00
Quant open442
Worst price21.61
Drawdown as % of equity-1.27%
 ($124)
Includes Typical Broker Commissions trade costs of $8.84
11/21/22 15:16 ACES ALPS CLEAN ENERGY ETF LONG 167 53.80 1/27/23 14:29 53.10 3.9%
Trade id #142636930
Max drawdown($1,683)
Time1/6/23 0:00
Quant open167
Worst price43.72
Drawdown as % of equity-3.90%
 ($120)
Includes Typical Broker Commissions trade costs of $3.34
1/10/23 15:12 KRE SPDR S&P REGIONAL BANKING ETF LONG 144 59.55 1/25 15:45 60.05 0.75%
Trade id #143167558
Max drawdown($326)
Time1/19/23 0:00
Quant open144
Worst price57.28
Drawdown as % of equity-0.75%
 $69
Includes Typical Broker Commissions trade costs of $2.88
1/10/23 15:12 IAT ISHARES DOW JONES US REGIONAL SHORT 174 49.41 1/25 15:45 51.07 0.71%
Trade id #143167555
Max drawdown($306)
Time1/23/23 0:00
Quant open174
Worst price51.17
Drawdown as % of equity-0.71%
 ($292)
Includes Typical Broker Commissions trade costs of $3.48
12/12/22 15:15 MSOS ADVISORSHARES PURE US CANNABIS ETF LONG 895 9.54 1/25/23 15:45 6.45 6.64%
Trade id #142850313
Max drawdown($2,846)
Time12/28/22 0:00
Quant open895
Worst price6.36
Drawdown as % of equity-6.64%
 ($2,771)
Includes Typical Broker Commissions trade costs of $5.00
12/12/22 15:14 MJ ETFMG ALTERNATIVE HARVEST ETF SHORT 1,663 5.10 1/25/23 15:45 4.46 0.82%
Trade id #142850291
Max drawdown($365)
Time12/13/22 0:00
Quant open1,663
Worst price5.32
Drawdown as % of equity-0.82%
 $1,059
Includes Typical Broker Commissions trade costs of $5.00
12/22/22 15:41 METV ROUNDHILL BALL METAVERSE ETF LONG 1,195 7.11 1/11/23 14:50 7.83 0.54%
Trade id #142975691
Max drawdown($233)
Time12/28/22 0:00
Quant open1,195
Worst price6.92
Drawdown as % of equity-0.54%
 $855
Includes Typical Broker Commissions trade costs of $5.00
12/22/22 15:41 FMET FIDELITY METAVERSE ETF SHORT 432 19.67 1/11/23 14:50 21.17 1.41%
Trade id #142975684
Max drawdown($604)
Time1/9/23 0:00
Quant open432
Worst price21.07
Drawdown as % of equity-1.41%
 ($657)
Includes Typical Broker Commissions trade costs of $8.64
12/22/22 15:43 IYT ISHARES TRANSPORTATION AVERAGE ETF SHORT 40 214.03 1/10/23 15:11 225.38 1.11%
Trade id #142975729
Max drawdown($477)
Time1/10/23 14:34
Quant open40
Worst price225.96
Drawdown as % of equity-1.11%
 ($455)
Includes Typical Broker Commissions trade costs of $0.80
12/22/22 15:43 XTN SPDR S&P TRANSPORTATION LONG 128 66.56 1/10/23 15:10 71.73 0.23%
Trade id #142975715
Max drawdown($97)
Time12/28/22 0:00
Quant open128
Worst price65.80
Drawdown as % of equity-0.23%
 $659
Includes Typical Broker Commissions trade costs of $2.56
12/22/22 15:42 PFF ISHARES S&P U.S. PREFERRED STO LONG 277 30.72 1/6/23 14:57 31.95 0.3%
Trade id #142975703
Max drawdown($130)
Time12/30/22 0:00
Quant open277
Worst price30.25
Drawdown as % of equity-0.30%
 $335
Includes Typical Broker Commissions trade costs of $5.54
12/22/22 15:42 FPE FIRST TR PFD SECS & INCOME ETF SHORT 500 16.99 1/6/23 14:57 17.36 0.43%
Trade id #142975709
Max drawdown($182)
Time1/6/23 14:56
Quant open500
Worst price17.36
Drawdown as % of equity-0.43%
 ($195)
Includes Typical Broker Commissions trade costs of $10.00
Next

Statistics

  • Strategy began
    11/4/2022
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    138.15
  • Age
    138 days ago
  • What it trades
    Stocks
  • # Trades
    62
  • # Profitable
    26
  • % Profitable
    41.90%
  • Avg trade duration
    20.9 days
  • Max peak-to-valley drawdown
    9.81%
  • drawdown period
    Nov 16, 2022 - Feb 20, 2023
  • Cumul. Return
    -6.9%
  • Avg win
    $490.69
  • Avg loss
    $415.28
  • Model Account Values (Raw)
  • Cash
    $64,810
  • Margin Used
    $64,620
  • Buying Power
    ($496)
  • Ratios
  • W:L ratio
    0.87:1
  • Sharpe Ratio
    -2.13
  • Sortino Ratio
    -2.6
  • Calmar Ratio
    -1.745
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -11.31%
  • Correlation to SP500
    -0.05860
  • Return Percent SP500 (cumu) during strategy life
    4.41%
  • Return Statistics
  • Ann Return (w trading costs)
    -16.8%
  • Slump
  • Current Slump as Pcnt Equity
    9.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.91%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.069%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -13.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    17.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    376
  • Popularity (Last 6 weeks)
    623
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    280
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $415
  • Avg Win
    $491
  • Sum Trade PL (losers)
    $14,950.000
  • Age
  • Num Months filled monthly returns table
    5
  • Win / Loss
  • Sum Trade PL (winners)
    $12,758.000
  • # Winners
    26
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    -184
  • Win / Loss
  • # Losers
    36
  • % Winners
    41.9%
  • Frequency
  • Avg Position Time (mins)
    30014.70
  • Avg Position Time (hrs)
    500.25
  • Avg Trade Length
    20.8 days
  • Last Trade Ago
    9
  • Leverage
  • Daily leverage (average)
    1.92
  • Daily leverage (max)
    2.09
  • Regression
  • Alpha
    -0.05
  • Beta
    -0.02
  • Treynor Index
    2.36
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -3.96
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -11.833
  • 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
    0.312
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.598
  • Hold-and-Hope Ratio
    -0.080
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.17508
  • SD
    0.08197
  • Sharpe ratio (Glass type estimate)
    -2.13576
  • Sharpe ratio (Hedges UMVUE)
    -1.54544
  • df
    3.00000
  • t
    -1.23308
  • p
    0.84732
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.76869
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76110
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.15840
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06752
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.03305
  • Upside Potential Ratio
    0.26856
  • Upside part of mean
    0.02313
  • Downside part of mean
    -0.19820
  • Upside SD
    0.01335
  • Downside SD
    0.08612
  • N nonnegative terms
    1.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.15421
  • Mean of criterion
    -0.17508
  • SD of predictor
    0.19514
  • SD of criterion
    0.08197
  • Covariance
    0.00694
  • r
    0.43404
  • b (slope, estimate of beta)
    0.18233
  • a (intercept, estimate of alpha)
    -0.20319
  • Mean Square Error
    0.00818
  • DF error
    2.00000
  • t(b)
    0.68134
  • p(b)
    0.28298
  • t(a)
    -1.25425
  • p(a)
    0.83176
  • Lowerbound of 95% confidence interval for beta
    -0.96907
  • Upperbound of 95% confidence interval for beta
    1.33373
  • Lowerbound of 95% confidence interval for alpha
    -0.90024
  • Upperbound of 95% confidence interval for alpha
    0.49385
  • Treynor index (mean / b)
    -0.96023
  • Jensen alpha (a)
    -0.20319
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.17856
  • SD
    0.08358
  • Sharpe ratio (Glass type estimate)
    -2.13651
  • Sharpe ratio (Hedges UMVUE)
    -1.54598
  • df
    3.00000
  • t
    -1.23351
  • p
    0.84739
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.76957
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76063
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.15909
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06713
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.03230
  • Upside Potential Ratio
    0.26161
  • Upside part of mean
    0.02299
  • Downside part of mean
    -0.20155
  • Upside SD
    0.01327
  • Downside SD
    0.08786
  • N nonnegative terms
    1.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.13907
  • Mean of criterion
    -0.17856
  • SD of predictor
    0.19159
  • SD of criterion
    0.08358
  • Covariance
    0.00709
  • r
    0.44282
  • b (slope, estimate of beta)
    0.19316
  • a (intercept, estimate of alpha)
    -0.20543
  • Mean Square Error
    0.00842
  • DF error
    2.00000
  • t(b)
    0.69845
  • p(b)
    0.27859
  • t(a)
    -1.25604
  • p(a)
    0.83203
  • Lowerbound of 95% confidence interval for beta
    -0.99678
  • Upperbound of 95% confidence interval for beta
    1.38311
  • Lowerbound of 95% confidence interval for alpha
    -0.90912
  • Upperbound of 95% confidence interval for alpha
    0.49827
  • Treynor index (mean / b)
    -0.92441
  • Jensen alpha (a)
    -0.20543
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05310
  • Expected Shortfall on VaR
    0.06256
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04630
  • Expected Shortfall on VaR
    0.06824
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.95512
  • Quartile 1
    0.97916
  • Median
    0.99290
  • Quartile 3
    1.00148
  • Maximum
    1.01004
  • Mean of quarter 1
    0.95512
  • Mean of quarter 2
    0.98717
  • Mean of quarter 3
    0.99863
  • Mean of quarter 4
    1.01004
  • Inter Quartile Range
    0.02232
  • 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
    0.05843
  • Quartile 1
    0.05843
  • Median
    0.05843
  • Quartile 3
    0.05843
  • Maximum
    0.05843
  • 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)
    -0.14694
  • Compounded annual return (geometric extrapolation)
    -0.13986
  • Calmar ratio (compounded annual return / max draw down)
    -2.39359
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -2.23542
  • 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
    -0.16010
  • SD
    0.07228
  • Sharpe ratio (Glass type estimate)
    -2.21497
  • Sharpe ratio (Hedges UMVUE)
    -2.19780
  • df
    97.00000
  • t
    -1.35466
  • p
    0.91066
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.42911
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.01035
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.41737
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.02178
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.76581
  • Upside Potential Ratio
    6.32102
  • Upside part of mean
    0.36590
  • Downside part of mean
    -0.52600
  • Upside SD
    0.04380
  • Downside SD
    0.05789
  • N nonnegative terms
    44.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    98.00000
  • Mean of predictor
    0.10685
  • Mean of criterion
    -0.16010
  • SD of predictor
    0.19804
  • SD of criterion
    0.07228
  • Covariance
    -0.00150
  • r
    -0.10470
  • b (slope, estimate of beta)
    -0.03821
  • a (intercept, estimate of alpha)
    -0.15600
  • Mean Square Error
    0.00522
  • DF error
    96.00000
  • t(b)
    -1.03151
  • p(b)
    0.84755
  • t(a)
    -1.31981
  • p(a)
    0.90498
  • Lowerbound of 95% confidence interval for beta
    -0.11175
  • Upperbound of 95% confidence interval for beta
    0.03532
  • Lowerbound of 95% confidence interval for alpha
    -0.39067
  • Upperbound of 95% confidence interval for alpha
    0.07863
  • Treynor index (mean / b)
    4.18973
  • Jensen alpha (a)
    -0.15602
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.16272
  • SD
    0.07237
  • Sharpe ratio (Glass type estimate)
    -2.24860
  • Sharpe ratio (Hedges UMVUE)
    -2.23117
  • df
    97.00000
  • t
    -1.37523
  • p
    0.91388
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.46320
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.97735
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.45120
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98886
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.79919
  • Upside Potential Ratio
    6.27713
  • Upside part of mean
    0.36490
  • Downside part of mean
    -0.52763
  • Upside SD
    0.04365
  • Downside SD
    0.05813
  • N nonnegative terms
    44.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    98.00000
  • Mean of predictor
    0.08756
  • Mean of criterion
    -0.16272
  • SD of predictor
    0.19692
  • SD of criterion
    0.07237
  • Covariance
    -0.00153
  • r
    -0.10718
  • b (slope, estimate of beta)
    -0.03939
  • a (intercept, estimate of alpha)
    -0.15927
  • Mean Square Error
    0.00523
  • DF error
    96.00000
  • t(b)
    -1.05624
  • p(b)
    0.85325
  • t(a)
    -1.34637
  • p(a)
    0.90932
  • Lowerbound of 95% confidence interval for beta
    -0.11341
  • Upperbound of 95% confidence interval for beta
    0.03463
  • Lowerbound of 95% confidence interval for alpha
    -0.39410
  • Upperbound of 95% confidence interval for alpha
    0.07555
  • Treynor index (mean / b)
    4.13122
  • Jensen alpha (a)
    -0.15927
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00794
  • Expected Shortfall on VaR
    0.00979
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00495
  • Expected Shortfall on VaR
    0.00879
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    98.00000
  • Minimum
    0.98486
  • Quartile 1
    0.99705
  • Median
    0.99953
  • Quartile 3
    1.00216
  • Maximum
    1.01093
  • Mean of quarter 1
    0.99391
  • Mean of quarter 2
    0.99842
  • Mean of quarter 3
    1.00080
  • Mean of quarter 4
    1.00486
  • Inter Quartile Range
    0.00511
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01020
  • Mean of outliers low
    0.98486
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01020
  • Mean of outliers high
    1.01093
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08294
  • VaR(95%) (moments method)
    0.00621
  • Expected Shortfall (moments method)
    0.00856
  • Extreme Value Index (regression method)
    0.07704
  • VaR(95%) (regression method)
    0.00631
  • Expected Shortfall (regression method)
    0.00867
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00340
  • Quartile 1
    0.00347
  • Median
    0.00359
  • Quartile 3
    0.02084
  • Maximum
    0.07226
  • Mean of quarter 1
    0.00340
  • Mean of quarter 2
    0.00349
  • Mean of quarter 3
    0.00370
  • Mean of quarter 4
    0.07226
  • Inter Quartile Range
    0.01737
  • 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
    0.25000
  • Mean of outliers high
    0.07226
  • 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)
    -0.13147
  • Compounded annual return (geometric extrapolation)
    -0.12612
  • Calmar ratio (compounded annual return / max draw down)
    -1.74541
  • Compounded annual return / average of 25% largest draw downs
    -1.74541
  • Compounded annual return / Expected Shortfall lognormal
    -12.87840
  • 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)
    0.00800
  • 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
    1.00%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -326465000
  • Max Equity Drawdown (num days)
    96

Strategy Description

Welcome potential new subscriber,

Markets have changed a lot since peaking in early 2022, volatility has increased, there have been large moves down in former favourite risk assets. Record inflation, higher interest rates, disrupted supply chains, heightened geo-political tensions. The environment has changed. No longer are long-only strategies delivering great returns as they have done for the past 14 years. This new market environment now favors a long/short equity strategy, which favors a "kangaroo market", one that hops, bounces, spikes, turns, go sideways, down, up.. the increased volatility allows a market neutral strategy to generate good risk-adjusted returns whilst long-only strategies will continue to struggle in this new environment.

However with tail risk still very much present in single name stocks, it's still too risky to hold mean reversion positions in them. With ETFs, we can remove that idiosyncratic risk and thus reduce portfolio volatility.

With our strategy here on C2, we trade liquid ETF pairs, for example SPY (S&P 500 Index) vs MDY (Midcap Index). Using our own unique proprietary tools & indicators we keep updated a watchlist of co-integrated ETF pairs that have a history of mean reverting price behaviour. Our tools also tell us the best spots and times to enter and exit pairs, we have backtested every ETF pair that we trade to prove profitability before entering a trade.

Each day in the last hour before market close we look for potential entry signals and exit signals on our open pairs. We aim to make all trades between 2:45 - 3:45PM EST (New York Time). We do this because during the opening session prices are very volatilite and spreads are wide making it hard to get stable fills for all of our followers, also during the midday session whilst prices are stable, the liquidity on the bid/ask is often shallow leading to slippage, whereas in the closing session it's the right mix of liquidity, tight spreads and stable prices to get good fills that can be replicated.

We will only ever have a maximum of 5 pair trades open at any given time, and we size our positions using 20% of current account value for each leg of a pair trade, for e.g.. on a $10,000 account we would buy $2,000 of SPY and short sell $2,000 of MDY for a pairs trade. So maximum total leverage will never exceed 200% of account value (5 pair trades x 40% in each pair trade). So this works well in a margin account, however it can also be used in a non-margin account using 10% of account value in each leg of a pair trade so total leverage never exceeds 100%.

This strategy aims to deliver safe and robust returns that are uncorrelated to the market, as most of us already have long-only equity exposure in our personal and retirement accounts, this strategy compliments our overall portfolio very well to reduce overall volatility and drawdowns.

By subscribing to our ETF pairs trading strategy here on C2 you too can get our real time entry and exit signals to follow along or alternatively you can opt to have our entry and exit signals auto-traded inside your brokerage account, with total control using your own specified position sizing that you're comfortable with.

We keep our followers updated with a monthly performance report that we send out at the end of every month, offering commentary on the market and how our pair trades are performing. When you join, you're becoming apart of a community of ETF pair traders that are committed to achieving strong risk-adjusted returns that are uncorrelated to the market.

Due to liquidity requirements in getting good trade fills for all of our followers, we have a hard limit set here in the C2 platform of 150 maximum subscribers, after we reach this number it will not accept any new subscribers to our strategy.

If you have any questions or feedback feel free to send me a message, we're looking for long-term partners with our ETF pairs trading strategy as we think the market environment will favor this approach for some time yet.

Regards,
Jared.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-11-04
Suggested Minimum Capital
$5,000
# Trades
62
# Profitable
26
% Profitable
41.9%
Net Dividends
($183)
Correlation S&P500
-0.059
Sharpe Ratio
-2.13
Sortino Ratio
-2.60
Beta
-0.02
Alpha
-0.05
Leverage
1.92 Average
2.09 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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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.