Collective2 Collective2
Featured Strategy SILVER ETF TRADER +12.2% Annual Return (Compounded) since May 2, 2023 Hypothetical

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(148420498)

Created by: aengus aengus
Started: 06/2024
Stocks
Last trade: Yesterday
Trading style: Equity Trend-following Momentum

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 $45.00 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
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
-14.4%
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.

(16.6%)
Max Drawdown
196
Num Trades
52.6%
Win Trades
0.7 : 1
Profit Factor
16.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                                   (0.2%)+1.4%(2.7%)(12.5%)(0.1%)(0.5%)      (14.4%)

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.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/15/24 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 46 171.79 11/20 9:30 170.63 0.3%
Trade id #150094795
Max drawdown($126)
Time11/19/24 0:00
Quant open44
Worst price168.91
Drawdown as % of equity-0.30%
 ($54)
Includes Typical Broker Commissions trade costs of $0.92
11/18/24 9:30 SOXL DIREXION DAILY SEMICONDCT BULL LONG 316 26.70 11/19 9:30 27.37 0.3%
Trade id #150109987
Max drawdown($126)
Time11/18/24 9:56
Quant open316
Worst price26.30
Drawdown as % of equity-0.30%
 $206
Includes Typical Broker Commissions trade costs of $6.32
11/18/24 9:30 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 8 43.74 11/19 9:30 45.43 0.01%
Trade id #150109980
Max drawdown($2)
Time11/18/24 10:24
Quant open8
Worst price43.39
Drawdown as % of equity-0.01%
 $14
Includes Typical Broker Commissions trade costs of $0.16
11/18/24 9:30 SPY SPDR S&P 500 LONG 4 586.22 11/19 9:30 584.71 0.02%
Trade id #150109994
Max drawdown($6)
Time11/19/24 9:30
Quant open4
Worst price584.55
Drawdown as % of equity-0.02%
 ($6)
Includes Typical Broker Commissions trade costs of $0.08
11/13/24 9:31 QYLD GLOBAL X NASDAQ 100 COVERED CALL ETF LONG 30 18.55 11/19 9:30 17.94 0.04%
Trade id #150074203
Max drawdown($18)
Time11/19/24 9:30
Quant open30
Worst price17.92
Drawdown as % of equity-0.04%
 ($19)
Includes Typical Broker Commissions trade costs of $0.60
11/13/24 9:31 QQQ POWERSHARES QQQ LONG 4 512.40 11/18 9:30 498.13 0.17%
Trade id #150074226
Max drawdown($71)
Time11/15/24 0:00
Quant open4
Worst price494.49
Drawdown as % of equity-0.17%
 ($57)
Includes Typical Broker Commissions trade costs of $0.08
11/13/24 9:31 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 7 52.30 11/15 9:30 52.35 0%
Trade id #150074222
Max drawdown($2)
Time11/13/24 10:07
Quant open7
Worst price51.99
Drawdown as % of equity-0.00%
 $0
Includes Typical Broker Commissions trade costs of $0.14
11/14/24 9:30 SSO PROSHARES ULTRA S&P 500 LONG 3 96.73 11/15 9:30 94.24 0.02%
Trade id #150084942
Max drawdown($7)
Time11/15/24 9:30
Quant open3
Worst price94.18
Drawdown as % of equity-0.02%
 ($7)
Includes Typical Broker Commissions trade costs of $0.06
11/13/24 9:31 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 40 54.33 11/14 9:30 52.27 0.25%
Trade id #150074234
Max drawdown($110)
Time11/13/24 15:56
Quant open40
Worst price51.58
Drawdown as % of equity-0.25%
 ($83)
Includes Typical Broker Commissions trade costs of $0.80
11/11/24 9:30 SOXL DIREXION DAILY SEMICONDCT BULL LONG 249 34.35 11/13 9:31 30.83 2.26%
Trade id #150053667
Max drawdown($988)
Time11/12/24 0:00
Quant open249
Worst price30.38
Drawdown as % of equity-2.26%
 ($881)
Includes Typical Broker Commissions trade costs of $4.98
11/8/24 9:30 SPLV INVESCO S&P 500 LOW VOLATI LONG 35 72.69 11/13 9:31 73.28 0%
Trade id #150038212
Max drawdown($2)
Time11/8/24 9:33
Quant open35
Worst price72.63
Drawdown as % of equity-0.00%
 $20
Includes Typical Broker Commissions trade costs of $0.70
11/8/24 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 128 31.84 11/13 9:31 31.98 0.14%
Trade id #150038219
Max drawdown($60)
Time11/11/24 0:00
Quant open128
Worst price31.37
Drawdown as % of equity-0.14%
 $15
Includes Typical Broker Commissions trade costs of $2.56
11/8/24 9:30 PSQ PROSHARES SHORT QQQ LONG 50 37.75 11/13 9:31 37.81 0.02%
Trade id #150038214
Max drawdown($9)
Time11/11/24 0:00
Quant open50
Worst price37.57
Drawdown as % of equity-0.02%
 $2
Includes Typical Broker Commissions trade costs of $1.00
11/7/24 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 36 177.76 11/8 9:30 180.38 0%
Trade id #150026929
Max drawdown($2)
Time11/7/24 9:34
Quant open36
Worst price177.70
Drawdown as % of equity-0.00%
 $93
Includes Typical Broker Commissions trade costs of $0.72
11/7/24 9:30 SPY SPDR S&P 500 LONG 4 593.08 11/8 9:30 596.17 0%
Trade id #150026927
Max drawdown($0)
Time11/7/24 9:34
Quant open4
Worst price593.00
Drawdown as % of equity-0.00%
 $12
Includes Typical Broker Commissions trade costs of $0.08
11/5/24 9:30 UUP INVESCO DB USD INDEX BULLISH FUND ETF LONG 13 29.13 11/7 9:30 29.37 0%
Trade id #149984890
Max drawdown($0)
Time11/5/24 13:47
Quant open13
Worst price29.06
Drawdown as % of equity-0.00%
 $3
Includes Typical Broker Commissions trade costs of $0.26
11/1/24 9:31 BIL SPDR BLOOMBERG 1-3 MONTH T-BILL LONG 94 91.48 11/7 9:30 91.52 0%
Trade id #149928853
Max drawdown($0)
Time11/1/24 9:34
Quant open94
Worst price91.47
Drawdown as % of equity-0.00%
 $2
Includes Typical Broker Commissions trade costs of $1.88
10/31/24 9:31 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 89 42.81 11/6 9:30 48.76 0.18%
Trade id #149914674
Max drawdown($77)
Time10/31/24 16:00
Quant open36
Worst price41.68
Drawdown as % of equity-0.18%
 $528
Includes Typical Broker Commissions trade costs of $1.78
11/1/24 9:31 QYLD GLOBAL X NASDAQ 100 COVERED CALL ETF LONG 30 18.02 11/6 9:30 18.37 0%
Trade id #149928849
Max drawdown($0)
Time11/4/24 0:00
Quant open30
Worst price18.00
Drawdown as % of equity-0.00%
 $10
Includes Typical Broker Commissions trade costs of $0.60
10/31/24 9:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 17 71.51 11/6 9:30 76.66 0.04%
Trade id #149914661
Max drawdown($15)
Time10/31/24 15:59
Quant open4
Worst price69.43
Drawdown as % of equity-0.04%
 $88
Includes Typical Broker Commissions trade costs of $0.34
11/4/24 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 5 159.25 11/6 9:30 174.47 0.03%
Trade id #149956723
Max drawdown($13)
Time11/4/24 12:09
Quant open5
Worst price156.52
Drawdown as % of equity-0.03%
 $76
Includes Typical Broker Commissions trade costs of $0.10
11/4/24 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 8 46.57 11/6 9:30 51.25 0%
Trade id #149956716
Max drawdown($1)
Time11/4/24 9:37
Quant open8
Worst price46.42
Drawdown as % of equity-0.00%
 $37
Includes Typical Broker Commissions trade costs of $0.16
10/31/24 9:31 SOXL DIREXION DAILY SEMICONDCT BULL LONG 261 33.01 11/4 9:30 30.61 2.3%
Trade id #149914669
Max drawdown($986)
Time10/31/24 14:22
Quant open261
Worst price29.23
Drawdown as % of equity-2.30%
 ($631)
Includes Typical Broker Commissions trade costs of $5.22
11/1/24 9:31 SPXL DIREXION DAILY S&P500 BULL 3X LONG 6 159.41 11/4 9:30 159.25 0.01%
Trade id #149928851
Max drawdown($3)
Time11/1/24 15:54
Quant open6
Worst price158.84
Drawdown as % of equity-0.01%
 ($1)
Includes Typical Broker Commissions trade costs of $0.12
10/31/24 9:31 UUP INVESCO DB USD INDEX BULLISH FUND ETF LONG 36 29.18 11/1 9:31 29.21 0%
Trade id #149914672
Max drawdown($0)
Time10/31/24 9:35
Quant open36
Worst price29.16
Drawdown as % of equity-0.00%
 $0
Includes Typical Broker Commissions trade costs of $0.72
10/30/24 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 21 48.14 11/1 9:30 46.53 0.11%
Trade id #149892534
Max drawdown($47)
Time10/31/24 0:00
Quant open21
Worst price45.87
Drawdown as % of equity-0.11%
 ($34)
Includes Typical Broker Commissions trade costs of $0.42
10/28/24 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 14 169.59 11/1 9:30 159.41 0.39%
Trade id #149862527
Max drawdown($173)
Time10/31/24 0:00
Quant open14
Worst price157.21
Drawdown as % of equity-0.39%
 ($143)
Includes Typical Broker Commissions trade costs of $0.28
10/30/24 9:30 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 22 48.67 10/31 9:31 47.67 0.05%
Trade id #149892532
Max drawdown($23)
Time10/30/24 11:21
Quant open22
Worst price47.60
Drawdown as % of equity-0.05%
 ($22)
Includes Typical Broker Commissions trade costs of $0.44
10/28/24 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 4 76.19 10/30 9:30 76.55 0.02%
Trade id #149862523
Max drawdown($8)
Time10/29/24 0:00
Quant open4
Worst price74.07
Drawdown as % of equity-0.02%
 $1
Includes Typical Broker Commissions trade costs of $0.08
10/29/24 9:30 UBT PROSHARES ULTRA 20+ YEAR TREAS LONG 55 18.51 10/30 9:30 19.19 0.01%
Trade id #149873072
Max drawdown($5)
Time10/29/24 11:19
Quant open55
Worst price18.41
Drawdown as % of equity-0.01%
 $36
Includes Typical Broker Commissions trade costs of $1.10
Next

Statistics

  • Strategy began
    6/16/2024
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    157.6
  • Age
    158 days ago
  • What it trades
    Stocks
  • # Trades
    196
  • # Profitable
    103
  • % Profitable
    52.60%
  • Avg trade duration
    3.0 days
  • Max peak-to-valley drawdown
    16.64%
  • drawdown period
    July 25, 2024 - Nov 18, 2024
  • Cumul. Return
    -14.4%
  • Avg win
    $119.91
  • Avg loss
    $198.45
  • Model Account Values (Raw)
  • Cash
    $30,386
  • Margin Used
    ($6,121)
  • Buying Power
    $36,131
  • Ratios
  • W:L ratio
    0.67:1
  • Sharpe Ratio
    -1.87
  • Sortino Ratio
    -2.28
  • Calmar Ratio
    -1.808
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -23.31%
  • Correlation to SP500
    0.40600
  • Return Percent SP500 (cumu) during strategy life
    8.94%
  • Return Statistics
  • Ann Return (w trading costs)
    -29.7%
  • Slump
  • Current Slump as Pcnt Equity
    18.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.75%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.144%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -26.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    11.50%
  • 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
    80.63%
  • 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
    943
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $201
  • Avg Win
    $120
  • Sum Trade PL (losers)
    $18,662.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $12,351.000
  • # Winners
    103
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    30
  • Win / Loss
  • # Losers
    93
  • % Winners
    52.5%
  • Frequency
  • Avg Position Time (mins)
    4250.02
  • Avg Position Time (hrs)
    70.83
  • Avg Trade Length
    3.0 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.13
  • Daily leverage (max)
    6.96
  • Regression
  • Alpha
    -0.12
  • Beta
    0.46
  • Treynor Index
    -0.22
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.31
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -3.705
  • 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
    0.563
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.485
  • Hold-and-Hope Ratio
    -0.263
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.35926
  • SD
    0.13969
  • Sharpe ratio (Glass type estimate)
    -2.57188
  • Sharpe ratio (Hedges UMVUE)
    -2.05206
  • df
    4.00000
  • t
    -1.66014
  • p
    0.91389
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.94838
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.03066
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.40490
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30077
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.21299
  • Upside Potential Ratio
    0.03163
  • Upside part of mean
    0.00514
  • Downside part of mean
    -0.36440
  • Upside SD
    0.00331
  • Downside SD
    0.16234
  • N nonnegative terms
    1.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.14272
  • Mean of criterion
    -0.35926
  • SD of predictor
    0.05642
  • SD of criterion
    0.13969
  • Covariance
    -0.00400
  • r
    -0.50745
  • b (slope, estimate of beta)
    -1.25626
  • a (intercept, estimate of alpha)
    -0.17997
  • Mean Square Error
    0.01932
  • DF error
    3.00000
  • t(b)
    -1.02001
  • p(b)
    0.80859
  • t(a)
    -0.64748
  • p(a)
    0.71827
  • Lowerbound of 95% confidence interval for beta
    -5.17583
  • Upperbound of 95% confidence interval for beta
    2.66331
  • Lowerbound of 95% confidence interval for alpha
    -1.06455
  • Upperbound of 95% confidence interval for alpha
    0.70461
  • Treynor index (mean / b)
    0.28598
  • Jensen alpha (a)
    -0.17997
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.37237
  • SD
    0.14663
  • Sharpe ratio (Glass type estimate)
    -2.53958
  • Sharpe ratio (Hedges UMVUE)
    -2.02629
  • df
    4.00000
  • t
    -1.63929
  • p
    0.91175
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.90615
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.05171
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.37160
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.31901
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.19637
  • Upside Potential Ratio
    0.03019
  • Upside part of mean
    0.00512
  • Downside part of mean
    -0.37749
  • Upside SD
    0.00330
  • Downside SD
    0.16954
  • N nonnegative terms
    1.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.14031
  • Mean of criterion
    -0.37237
  • SD of predictor
    0.05557
  • SD of criterion
    0.14663
  • Covariance
    -0.00417
  • r
    -0.51186
  • b (slope, estimate of beta)
    -1.35057
  • a (intercept, estimate of alpha)
    -0.18287
  • Mean Square Error
    0.02116
  • DF error
    3.00000
  • t(b)
    -1.03201
  • p(b)
    0.81101
  • t(a)
    -0.62913
  • p(a)
    0.71305
  • Lowerbound of 95% confidence interval for beta
    -5.51537
  • Upperbound of 95% confidence interval for beta
    2.81423
  • Lowerbound of 95% confidence interval for alpha
    -1.10792
  • Upperbound of 95% confidence interval for alpha
    0.74218
  • Treynor index (mean / b)
    0.27571
  • Jensen alpha (a)
    -0.18287
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09575
  • Expected Shortfall on VaR
    0.11150
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08842
  • Expected Shortfall on VaR
    0.13295
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.90558
  • Quartile 1
    0.96385
  • Median
    0.99281
  • Quartile 3
    0.99524
  • Maximum
    1.00447
  • Mean of quarter 1
    0.93472
  • Mean of quarter 2
    0.99281
  • Mean of quarter 3
    0.99524
  • Mean of quarter 4
    1.00447
  • Inter Quartile Range
    0.03139
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.90558
  • 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
    0.13756
  • Quartile 1
    0.13756
  • Median
    0.13756
  • Quartile 3
    0.13756
  • Maximum
    0.13756
  • 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)
    -0.32089
  • Compounded annual return (geometric extrapolation)
    -0.29140
  • Calmar ratio (compounded annual return / max draw down)
    -2.11841
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -2.61351
  • 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
    -0.32663
  • SD
    0.16206
  • Sharpe ratio (Glass type estimate)
    -2.01553
  • Sharpe ratio (Hedges UMVUE)
    -2.00201
  • df
    112.00000
  • t
    -1.32367
  • p
    0.56205
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.00718
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.98489
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.99792
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.99390
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.43557
  • Upside Potential Ratio
    5.04686
  • Upside part of mean
    0.67683
  • Downside part of mean
    -1.00346
  • Upside SD
    0.09194
  • Downside SD
    0.13411
  • N nonnegative terms
    54.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    113.00000
  • Mean of predictor
    0.16294
  • Mean of criterion
    -0.32663
  • SD of predictor
    0.14180
  • SD of criterion
    0.16206
  • Covariance
    0.00952
  • r
    0.41437
  • b (slope, estimate of beta)
    0.47355
  • a (intercept, estimate of alpha)
    -0.40400
  • Mean Square Error
    0.02195
  • DF error
    111.00000
  • t(b)
    4.79683
  • p(b)
    0.24396
  • t(a)
    -1.78541
  • p(a)
    0.60587
  • Lowerbound of 95% confidence interval for beta
    0.27793
  • Upperbound of 95% confidence interval for beta
    0.66917
  • Lowerbound of 95% confidence interval for alpha
    -0.85195
  • Upperbound of 95% confidence interval for alpha
    0.04436
  • Treynor index (mean / b)
    -0.68975
  • Jensen alpha (a)
    -0.40379
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.33992
  • SD
    0.16297
  • Sharpe ratio (Glass type estimate)
    -2.08578
  • Sharpe ratio (Hedges UMVUE)
    -2.07178
  • df
    112.00000
  • t
    -1.36980
  • p
    0.56418
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.07804
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.91560
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.06851
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.92494
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.50114
  • Upside Potential Ratio
    4.94885
  • Upside part of mean
    0.67258
  • Downside part of mean
    -1.01250
  • Upside SD
    0.09108
  • Downside SD
    0.13591
  • N nonnegative terms
    54.00000
  • N negative terms
    59.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    113.00000
  • Mean of predictor
    0.15289
  • Mean of criterion
    -0.33992
  • SD of predictor
    0.14201
  • SD of criterion
    0.16297
  • Covariance
    0.00960
  • r
    0.41471
  • b (slope, estimate of beta)
    0.47592
  • a (intercept, estimate of alpha)
    -0.41269
  • Mean Square Error
    0.02219
  • DF error
    111.00000
  • t(b)
    4.80155
  • p(b)
    0.24377
  • t(a)
    -1.81537
  • p(a)
    0.60758
  • Lowerbound of 95% confidence interval for beta
    0.27951
  • Upperbound of 95% confidence interval for beta
    0.67233
  • Lowerbound of 95% confidence interval for alpha
    -0.86316
  • Upperbound of 95% confidence interval for alpha
    0.03778
  • Treynor index (mean / b)
    -0.71424
  • Jensen alpha (a)
    -0.41269
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01770
  • Expected Shortfall on VaR
    0.02182
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00903
  • Expected Shortfall on VaR
    0.01802
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    113.00000
  • Minimum
    0.95887
  • Quartile 1
    0.99557
  • Median
    1.00002
  • Quartile 3
    1.00288
  • Maximum
    1.02968
  • Mean of quarter 1
    0.98690
  • Mean of quarter 2
    0.99833
  • Mean of quarter 3
    1.00148
  • Mean of quarter 4
    1.00916
  • Inter Quartile Range
    0.00731
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.07080
  • Mean of outliers low
    0.97397
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03540
  • Mean of outliers high
    1.02313
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19196
  • VaR(95%) (moments method)
    0.01203
  • Expected Shortfall (moments method)
    0.01885
  • Extreme Value Index (regression method)
    0.13003
  • VaR(95%) (regression method)
    0.01236
  • Expected Shortfall (regression method)
    0.01857
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00203
  • Median
    0.01177
  • Quartile 3
    0.05271
  • Maximum
    0.14826
  • Mean of quarter 1
    0.00008
  • Mean of quarter 2
    0.00269
  • Mean of quarter 3
    0.02086
  • Mean of quarter 4
    0.14826
  • Inter Quartile Range
    0.05067
  • 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
    0.14826
  • 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)
    -0.29193
  • Compounded annual return (geometric extrapolation)
    -0.26803
  • Calmar ratio (compounded annual return / max draw down)
    -1.80786
  • Compounded annual return / average of 25% largest draw downs
    -1.80786
  • Compounded annual return / Expected Shortfall lognormal
    -12.28530
  • 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)
    0.01800
  • 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?
    -359675000
  • Max Equity Drawdown (num days)
    116

Strategy Description

This portfolio strategically buys and sells positions attempting to beat a simple buy-and-hold. It offers a good alternative and complement to longer term position investors and good exposure characteristics.

The portfolio does not commit all of its allocation to the market at all times but selectively buys and sells them on a daily basis. At times only one or two positions are held but this can change and rise quickly if conditions are suitable.

Underneath, this engages a small collection of four complementary strategies for buying the index related equities but also selected leveraged ETFs.

Uses LABU, QQQ, QLD, TQQQ, SOXL, SPXL, SSO, SVXY, TECL, TMF, UUP, UBT, VIXY

This strategy is expected to win about 60% of its trades with a win/loss ratio of about 1.2. On average it has yielded about 40% CAGR
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2024-06-16
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 5.7%
Rank # 
#150
# Trades
196
# Profitable
103
% Profitable
52.6%
Net Dividends
$30
Correlation S&P500
0.406
Sharpe Ratio
-1.87
Sortino Ratio
-2.28
Beta
0.46
Alpha
-0.12
Leverage
1.13 Average
6.96 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.