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

Draken ETF
(95828240)

Created by: DrakenTrading DrakenTrading
Started: 07/2015
Stocks
Last trade: 3,003 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 $99.00 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.

-
Annual Return (Compounded)

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 Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(100.0%)
Max Drawdown
66
Num Trades
71.2%
Win Trades
0.4 : 1
Profit Factor
2.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                          (15.5%)+61.1%+22.6%+31.2%(29.9%)(134.9%)(153.5%)
2016(278.3%)(0.3%)  -    -    -    -    -    -    -    -    -    -  (279.3%)
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

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

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

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 220 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/4/15 11:47 DWTI VELOCITYSHARES 3X INVERSE CRUD SHORT 1,050 106.79 1/7/16 12:17 208.80 220.21%
Trade id #98184566
Max drawdown($107,106)
Time1/7/16 12:17
Quant open897
Worst price263.67
Drawdown as % of equity220.21%
($107,127)
Includes Typical Broker Commissions trade costs of $21.00
12/7/15 12:35 GASL DIREXION DAILY NAT GAS RLTD BU LONG 100 84.46 1/7/16 10:05 41.50 20.55%
Trade id #98669164
Max drawdown($8,046)
Time1/7/16 6:06
Quant open100
Worst price4.00
Drawdown as % of equity20.55%
($4,298)
Includes Typical Broker Commissions trade costs of $2.00
10/19/15 15:03 GASL DIREXION DAILY NAT GAS RLTD BU LONG 254 200.37 11/12 12:25 187.12 73.32%
Trade id #97876778
Max drawdown($29,953)
Time10/27/15 9:41
Quant open150
Worst price16.14
Drawdown as % of equity-73.32%
($3,371)
Includes Typical Broker Commissions trade costs of $5.08
10/23/15 12:21 UGAZ LONG 5,000 3.76 11/12 12:25 3.67 4.11%
Trade id #97980785
Max drawdown($2,168)
Time10/30/15 8:29
Quant open2,000
Worst price3.12
Drawdown as % of equity-4.11%
($507)
Includes Typical Broker Commissions trade costs of $22.50
11/11/15 13:06 LABU DIREXION DAILY S&P BIOTECH BULL SHORT 75 90.38 11/12 9:35 82.86 0.04%
Trade id #98325440
Max drawdown($19)
Time11/11/15 13:52
Quant open-300
Worst price22.66
Drawdown as % of equity-0.04%
$563
Includes Typical Broker Commissions trade costs of $1.50
11/6/15 10:47 DGLD VELOCITYSHARES 3X INVERSE GOLD SHORT 50 89.60 11/11 14:22 90.19 0.06%
Trade id #98224764
Max drawdown($31)
Time11/11/15 13:09
Quant open-50
Worst price90.23
Drawdown as % of equity-0.06%
($31)
Includes Typical Broker Commissions trade costs of $1.00
11/9/15 11:46 DSLV VELOCITYSHARES 3X INVERSE SILV SHORT 200 65.69 11/11 14:22 67.40 0.63%
Trade id #98252078
Max drawdown($340)
Time11/11/15 14:22
Quant open100
Worst price67.62
Drawdown as % of equity-0.63%
($344)
Includes Typical Broker Commissions trade costs of $4.00
11/11/15 13:54 SCO PROSHARES ULTRASHORT BLOOMBERG SHORT 100 90.79 11/11 14:17 91.75 0.18%
Trade id #98326896
Max drawdown($96)
Time11/11/15 14:12
Quant open-100
Worst price91.76
Drawdown as % of equity-0.18%
($98)
Includes Typical Broker Commissions trade costs of $2.00
11/11/15 10:39 SCO PROSHARES ULTRASHORT BLOOMBERG SHORT 100 89.99 11/11 13:06 90.99 0.19%
Trade id #98321615
Max drawdown($106)
Time11/11/15 12:59
Quant open-100
Worst price91.05
Drawdown as % of equity-0.19%
($102)
Includes Typical Broker Commissions trade costs of $2.00
11/4/15 11:59 JNUG DIREXION DAILY JR GOLD BULL 2X LONG 1,000 32.58 11/11 11:22 31.96 2.63%
Trade id #98184807
Max drawdown($1,569)
Time11/6/15 9:48
Quant open300
Worst price30.58
Drawdown as % of equity-2.63%
($645)
Includes Typical Broker Commissions trade costs of $20.00
11/2/15 10:44 LABU DIREXION DAILY S&P BIOTECH BULL SHORT 1,350 91.42 11/11 10:55 87.43 8.52%
Trade id #98142637
Max drawdown($4,613)
Time11/4/15 8:57
Quant open-2,500
Worst price24.48
Drawdown as % of equity-8.52%
$5,362
Includes Typical Broker Commissions trade costs of $27.00
11/6/15 9:43 DUST DIREXION DAILY GOLD MINERS BEAR 2X SHORT 700 21.36 11/10 13:00 20.62 0.51%
Trade id #98222265
Max drawdown($303)
Time11/9/15 12:04
Quant open-400
Worst price22.12
Drawdown as % of equity-0.51%
$508
Includes Typical Broker Commissions trade costs of $14.00
11/5/15 14:52 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 400 25.68 11/9 15:46 26.38 1.1%
Trade id #98208889
Max drawdown($648)
Time11/9/15 12:04
Quant open300
Worst price24.02
Drawdown as % of equity-1.10%
$271
Includes Typical Broker Commissions trade costs of $8.00
11/6/15 13:26 SOXL DIREXION DAILY SEMICONDCT BULL SHORT 200 28.49 11/9 10:40 27.72 0.04%
Trade id #98228392
Max drawdown($22)
Time11/6/15 14:10
Quant open-100
Worst price28.65
Drawdown as % of equity-0.04%
$149
Includes Typical Broker Commissions trade costs of $4.00
11/2/15 11:34 CURE DIREXION DAILY HEALTHCARE BULL SHORT 100 34.46 11/6 10:10 32.75 0.06%
Trade id #98144313
Max drawdown($32)
Time11/2/15 15:45
Quant open-100
Worst price34.79
Drawdown as % of equity-0.06%
$169
Includes Typical Broker Commissions trade costs of $2.00
10/28/15 15:39 TECL DIREXION DAILY TECHNOLOGY BULL SHORT 600 40.21 11/6 10:09 39.97 0.57%
Trade id #98068055
Max drawdown($329)
Time11/5/15 10:01
Quant open-400
Worst price41.03
Drawdown as % of equity-0.57%
$131
Includes Typical Broker Commissions trade costs of $12.00
11/2/15 10:47 BIB PROSHARES ULTRA NASDAQ BIOTECH SHORT 400 71.52 11/6 9:42 69.91 1.79%
Trade id #98142776
Max drawdown($967)
Time11/4/15 8:19
Quant open-400
Worst price73.94
Drawdown as % of equity-1.79%
$637
Includes Typical Broker Commissions trade costs of $8.00
10/13/15 13:42 DWTI VELOCITYSHARES 3X INVERSE CRUD SHORT 800 98.71 11/3 13:36 92.52 32.69%
Trade id #97772750
Max drawdown($13,354)
Time10/27/15 10:26
Quant open-500
Worst price125.42
Drawdown as % of equity-32.69%
$4,941
Includes Typical Broker Commissions trade costs of $16.00
11/2/15 13:15 UDOW PROSHARES ULTRAPRO DOW30 SHORT 100 69.05 11/3 11:48 70.22 0.22%
Trade id #98146696
Max drawdown($117)
Time11/3/15 11:39
Quant open-100
Worst price70.23
Drawdown as % of equity-0.22%
($119)
Includes Typical Broker Commissions trade costs of $2.00
10/28/15 15:55 TQQQ PROSHARES ULTRAPRO QQQ SHORT 300 121.66 11/3 11:40 122.86 0.93%
Trade id #98068461
Max drawdown($493)
Time11/2/15 15:45
Quant open-200
Worst price124.13
Drawdown as % of equity-0.93%
($366)
Includes Typical Broker Commissions trade costs of $6.00
10/29/15 15:59 JNUG DIREXION DAILY JR GOLD BULL 2X LONG 200 40.42 10/30 13:26 41.81 0.09%
Trade id #98094309
Max drawdown($49)
Time10/30/15 8:57
Quant open50
Worst price39.50
Drawdown as % of equity-0.09%
$275
Includes Typical Broker Commissions trade costs of $4.00
10/29/15 10:09 LABU DIREXION DAILY S&P BIOTECH BULL SHORT 251 87.02 10/30 10:43 81.37 0.29%
Trade id #98084615
Max drawdown($153)
Time10/29/15 10:44
Quant open-500
Worst price22.06
Drawdown as % of equity-0.29%
$1,492
Includes Typical Broker Commissions trade costs of $5.01
10/28/15 11:22 DGAZ VELOCITYSHARES 3X INV NATURAL SHORT 500 13.21 10/29 10:32 11.69 0.05%
Trade id #98059528
Max drawdown($24)
Time10/28/15 12:40
Quant open-500
Worst price13.26
Drawdown as % of equity-0.05%
$749
Includes Typical Broker Commissions trade costs of $10.00
10/15/15 11:40 DGAZ VELOCITYSHARES 3X INV NATURAL SHORT 2,500 8.85 10/27 9:35 10.25 8.59%
Trade id #97818939
Max drawdown($3,510)
Time10/27/15 9:35
Quant open2,000
Worst price11.67
Drawdown as % of equity-8.59%
($3,553)
Includes Typical Broker Commissions trade costs of $42.50
10/23/15 9:57 SCO PROSHARES ULTRASHORT BLOOMBERG SHORT 100 88.67 10/26 15:37 90.54 0.45%
Trade id #97974907
Max drawdown($193)
Time10/26/15 13:46
Quant open-100
Worst price90.60
Drawdown as % of equity-0.45%
($189)
Includes Typical Broker Commissions trade costs of $2.00
10/22/15 11:20 SOXL DIREXION DAILY SEMICONDCT BULL SHORT 600 28.73 10/26 15:37 28.39 1.13%
Trade id #97948609
Max drawdown($613)
Time10/23/15 8:01
Quant open-400
Worst price29.89
Drawdown as % of equity-1.13%
$197
Includes Typical Broker Commissions trade costs of $12.00
10/22/15 11:31 TQQQ PROSHARES ULTRAPRO QQQ SHORT 100 107.88 10/26 10:36 117.03 1.96%
Trade id #97949274
Max drawdown($1,062)
Time10/23/15 7:24
Quant open-100
Worst price118.50
Drawdown as % of equity-1.96%
($918)
Includes Typical Broker Commissions trade costs of $2.00
10/13/15 14:10 SCO PROSHARES ULTRASHORT BLOOMBERG SHORT 800 82.04 10/22 11:21 81.76 4.02%
Trade id #97773307
Max drawdown($2,169)
Time10/21/15 10:31
Quant open-400
Worst price87.46
Drawdown as % of equity-4.02%
$207
Includes Typical Broker Commissions trade costs of $16.00
10/19/15 12:51 JNUG DIREXION DAILY JR GOLD BULL 2X LONG 400 46.82 10/20 12:49 51.85 0.46%
Trade id #97872906
Max drawdown($257)
Time10/19/15 15:25
Quant open200
Worst price45.50
Drawdown as % of equity-0.46%
$2,005
Includes Typical Broker Commissions trade costs of $8.00
10/16/15 10:07 BRZU DIREXION DAILY BRAZIL BULL 2X LONG 250 71.36 10/16 12:28 72.67 12.3%
Trade id #97841572
Max drawdown($6,735)
Time10/16/15 10:55
Quant open125
Worst price17.64
Drawdown as % of equity-12.30%
$322
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    7/10/2015
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    3183.67
  • Age
    106 months ago
  • What it trades
    Stocks
  • # Trades
    66
  • # Profitable
    47
  • % Profitable
    71.20%
  • Avg trade duration
    8.8 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    July 10, 2015 - Jan 07, 2016
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $1,028
  • Avg loss
    $6,413
  • Model Account Values (Raw)
  • Cash
    ($48,515)
  • Margin Used
    $0
  • Buying Power
    ($48,515)
  • Ratios
  • W:L ratio
    0.40:1
  • Sharpe Ratio
    -1.38
  • Sortino Ratio
    -1.38
  • Calmar Ratio
    -0.996
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -455.79%
  • Correlation to SP500
    0.07860
  • Return Percent SP500 (cumu) during strategy life
    152.74%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.96%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $6,413
  • Avg Win
    $1,028
  • Sum Trade PL (losers)
    $121,848.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $48,335.000
  • # Winners
    47
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    19
  • % Winners
    71.2%
  • Frequency
  • Avg Position Time (mins)
    12649.90
  • Avg Position Time (hrs)
    210.83
  • Avg Trade Length
    8.8 days
  • Last Trade Ago
    3003
  • Regression
  • Alpha
    0.00
  • Beta
    1.33
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    78.05
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    97.97
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -6.36
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    -3.203
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    1.623
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.307
  • Hold-and-Hope Ratio
    -0.312
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10726
  • SD
    0.99357
  • Sharpe ratio (Glass type estimate)
    -0.10796
  • Sharpe ratio (Hedges UMVUE)
    -0.10405
  • df
    21.00000
  • t
    -0.14617
  • p
    0.52029
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.55459
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.34117
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.55192
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.34382
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.14188
  • Upside Potential Ratio
    0.77844
  • Upside part of mean
    0.58849
  • Downside part of mean
    -0.69576
  • Upside SD
    0.60971
  • Downside SD
    0.75599
  • N nonnegative terms
    2.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.46915
  • Mean of criterion
    -0.10726
  • SD of predictor
    0.30028
  • SD of criterion
    0.99357
  • Covariance
    0.00672
  • r
    0.02253
  • b (slope, estimate of beta)
    0.07455
  • a (intercept, estimate of alpha)
    -0.14224
  • Mean Square Error
    1.03602
  • DF error
    20.00000
  • t(b)
    0.10079
  • p(b)
    0.48873
  • t(a)
    -0.17179
  • p(a)
    0.51919
  • Lowerbound of 95% confidence interval for beta
    -1.46841
  • Upperbound of 95% confidence interval for beta
    1.61752
  • Lowerbound of 95% confidence interval for alpha
    -1.86935
  • Upperbound of 95% confidence interval for alpha
    1.58487
  • Treynor index (mean / b)
    -1.43871
  • Jensen alpha (a)
    -0.14224
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -5.54922
  • SD
    7.94911
  • Sharpe ratio (Glass type estimate)
    -0.69809
  • Sharpe ratio (Hedges UMVUE)
    -0.67281
  • df
    21.00000
  • t
    -0.94522
  • p
    0.62772
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.15270
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.77264
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.13457
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78895
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.70099
  • Upside Potential Ratio
    0.05788
  • Upside part of mean
    0.45822
  • Downside part of mean
    -6.00744
  • Upside SD
    0.46436
  • Downside SD
    7.91622
  • N nonnegative terms
    2.00000
  • N negative terms
    20.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.41819
  • Mean of criterion
    -5.54922
  • SD of predictor
    0.29574
  • SD of criterion
    7.94911
  • Covariance
    0.25546
  • r
    0.10866
  • b (slope, estimate of beta)
    2.92079
  • a (intercept, estimate of alpha)
    -6.77066
  • Mean Square Error
    65.56430
  • DF error
    20.00000
  • t(b)
    0.48886
  • p(b)
    0.44567
  • t(a)
    -1.04467
  • p(a)
    0.61374
  • Lowerbound of 95% confidence interval for beta
    -9.54220
  • Upperbound of 95% confidence interval for beta
    15.38380
  • Lowerbound of 95% confidence interval for alpha
    -20.29010
  • Upperbound of 95% confidence interval for alpha
    6.74875
  • Treynor index (mean / b)
    -1.89991
  • Jensen alpha (a)
    -6.77066
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.98555
  • Expected Shortfall on VaR
    0.99285
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.19033
  • Expected Shortfall on VaR
    0.41178
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.00002
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.76484
  • Mean of quarter 1
    0.79517
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.18059
  • Inter Quartile Range
    0.00000
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.13636
  • Mean of outliers low
    0.59034
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    1.54178
  • 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)
    2.02386
  • VaR(95%) (regression method)
    0.32037
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02565
  • Quartile 1
    0.26923
  • Median
    0.51281
  • Quartile 3
    0.75640
  • Maximum
    0.99998
  • Mean of quarter 1
    0.02565
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99998
  • Inter Quartile Range
    0.48717
  • 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)
    -0.54543
  • Compounded annual return (geometric extrapolation)
    -0.99600
  • Calmar ratio (compounded annual return / max draw down)
    -0.99602
  • Compounded annual return / average of 25% largest draw downs
    -0.99602
  • Compounded annual return / Expected Shortfall lognormal
    -1.00317
  • 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
    -0.78444
  • SD
    1.18390
  • Sharpe ratio (Glass type estimate)
    -0.66259
  • Sharpe ratio (Hedges UMVUE)
    -0.66157
  • df
    488.00000
  • t
    -0.90521
  • p
    0.81710
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.09751
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.77298
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.09681
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.77367
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.72941
  • Upside Potential Ratio
    1.61583
  • Upside part of mean
    1.73773
  • Downside part of mean
    -2.52217
  • Upside SD
    0.49449
  • Downside SD
    1.07544
  • N nonnegative terms
    51.00000
  • N negative terms
    438.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    489.00000
  • Mean of predictor
    0.52749
  • Mean of criterion
    -0.78444
  • SD of predictor
    0.35622
  • SD of criterion
    1.18390
  • Covariance
    0.01403
  • r
    0.03327
  • b (slope, estimate of beta)
    0.11056
  • a (intercept, estimate of alpha)
    -0.84300
  • Mean Square Error
    1.40293
  • DF error
    487.00000
  • t(b)
    0.73455
  • p(b)
    0.23148
  • t(a)
    -0.96800
  • p(a)
    0.83324
  • Lowerbound of 95% confidence interval for beta
    -0.18518
  • Upperbound of 95% confidence interval for beta
    0.40631
  • Lowerbound of 95% confidence interval for alpha
    -2.55339
  • Upperbound of 95% confidence interval for alpha
    0.86787
  • Treynor index (mean / b)
    -7.09481
  • Jensen alpha (a)
    -0.84276
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -5.45136
  • SD
    6.12407
  • Sharpe ratio (Glass type estimate)
    -0.89015
  • Sharpe ratio (Hedges UMVUE)
    -0.88879
  • df
    488.00000
  • t
    -1.21610
  • p
    0.88773
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.32543
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.54603
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.32451
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54694
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.89209
  • Upside Potential Ratio
    0.26691
  • Upside part of mean
    1.63105
  • Downside part of mean
    -7.08241
  • Upside SD
    0.44632
  • Downside SD
    6.11079
  • N nonnegative terms
    51.00000
  • N negative terms
    438.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    489.00000
  • Mean of predictor
    0.46168
  • Mean of criterion
    -5.45136
  • SD of predictor
    0.36485
  • SD of criterion
    6.12407
  • Covariance
    0.12247
  • r
    0.05481
  • b (slope, estimate of beta)
    0.92001
  • a (intercept, estimate of alpha)
    -5.87612
  • Mean Square Error
    37.46830
  • DF error
    487.00000
  • t(b)
    1.21140
  • p(b)
    0.11317
  • t(a)
    -1.30748
  • p(a)
    0.90417
  • Lowerbound of 95% confidence interval for beta
    -0.57222
  • Upperbound of 95% confidence interval for beta
    2.41224
  • Lowerbound of 95% confidence interval for alpha
    -14.70660
  • Upperbound of 95% confidence interval for alpha
    2.95433
  • Treynor index (mean / b)
    -5.92532
  • Jensen alpha (a)
    -5.87612
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.47436
  • Expected Shortfall on VaR
    0.54705
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03119
  • Expected Shortfall on VaR
    0.07069
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    489.00000
  • Minimum
    0.00032
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.34991
  • Mean of quarter 1
    0.96211
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02663
  • Inter Quartile Range
    0.00000
  • Number outliers low
    49.00000
  • Percentage of outliers low
    0.10020
  • Mean of outliers low
    0.90488
  • Number of outliers high
    52.00000
  • Percentage of outliers high
    0.10634
  • Mean of outliers high
    1.06248
  • 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)
    0.58171
  • VaR(95%) (regression method)
    0.01495
  • Expected Shortfall (regression method)
    0.07616
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.01382
  • Quartile 1
    0.02653
  • Median
    0.05972
  • Quartile 3
    0.26119
  • Maximum
    0.99998
  • Mean of quarter 1
    0.01921
  • Mean of quarter 2
    0.05604
  • Mean of quarter 3
    0.19860
  • Mean of quarter 4
    0.69319
  • Inter Quartile Range
    0.23467
  • 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
    0.11111
  • Mean of outliers high
    0.99998
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.29579
  • VaR(95%) (moments method)
    0.61512
  • Expected Shortfall (moments method)
    0.76079
  • Extreme Value Index (regression method)
    1.29306
  • VaR(95%) (regression method)
    1.30937
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.53577
  • Compounded annual return (geometric extrapolation)
    -0.99559
  • Calmar ratio (compounded annual return / max draw down)
    -0.99560
  • Compounded annual return / average of 25% largest draw downs
    -1.43624
  • Compounded annual return / Expected Shortfall lognormal
    -1.81991
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.78384
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.42170
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.69397
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.42380
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6831470000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.47400
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    979485000000000059450360577654784.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -496069000
  • Max Equity Drawdown (num days)
    181
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Proprietary strategy developed to solely trade ETFs using a blend of short and long trading strategies. The purpose of only trading ETFs is two-fold; to minimize equity specific risk and to ensure scalability for large amounts of capital.

All short positions are verified as having shares available to sell short on Interactive brokers prior to order initiation.

The goal of this system is to make Hedge Fund style trading available to retail investors.

Long term system viability, minimal draw downs, maximum risk adjusted returns,and opportunistic trading are key components of this system. The starting portfolio size used is $25,000, and margin will be used on occasion. I recommend starting with a small allocation to Draken ETF, and scaling up as you become comfortable with the strategy.

There is a social engineering aspect to this system, as I use proprietary screening technology to create trade signals based on data input from Facebook, Google, Twitter among other sources. The market is as much based on public perception and emotion as it is long term fundamentals. This system blends the two in order to achieve long term alpha.

Summary Statistics

Strategy began
2015-07-10
Suggested Minimum Capital
$25,000
# Trades
66
# Profitable
47
% Profitable
71.2%
Correlation S&P500
0.079
Sharpe Ratio
-1.38
Sortino Ratio
-1.38
Beta
1.33
Alpha
0.00

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.