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This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more

ETF Weekly Portfolio
(51801133)

Created by: mybestfunds_llc mybestfunds_llc
Started: 08/2010
Stocks
Last trade: 4,851 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. You can subscribe to this system for free.

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.

7.6%

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.

-
Max Drawdown
30
Num Trades
60.0%
Win Trades
2.4 : 1
Profit Factor
1.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2010                                                 (1%)+3.9%(0.1%)(0.5%)+4.9%+7.2%
2011+0.2%  -    -    -    -    -    -    -    -    -    -    -  +0.2%
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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.

Trading Record

This strategy has placed 11 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 4906 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/10/11 9:39 ITB I SHARES US HOME CONSTRUCTION LONG 200 13.72 1/12 9:30 13.98 0.41%
Trade id #56628725
Max drawdown($44)
Time1/10/11 11:09
Quant open200
Worst price13.50
Drawdown as % of equity-0.41%
$48
Includes Typical Broker Commissions trade costs of $4.00
12/21/10 9:30 VBK VANGUARD SMALL CAP GROWTH ETF LONG 30 78.74 1/12/11 9:30 80.49 0.35%
Trade id #56009006
Max drawdown($38)
Time1/4/11 12:42
Quant open30
Worst price77.47
Drawdown as % of equity-0.35%
$52
Includes Typical Broker Commissions trade costs of $0.60
12/21/10 9:30 XME SPDR S&P METALS & MINING LONG 40 67.51 1/10/11 9:31 68.70 0.16%
Trade id #56009002
Max drawdown($16)
Time12/27/10 11:34
Quant open40
Worst price67.09
Drawdown as % of equity-0.16%
$47
Includes Typical Broker Commissions trade costs of $0.80
12/22/10 9:30 IAT ISHARES DOW JONES US REGIONAL LONG 110 24.23 1/10/11 9:31 24.54 n/a $32
Includes Typical Broker Commissions trade costs of $2.20
12/22/10 9:30 IEZ ISHARES DOW JONES US OIL EQUIP LONG 45 56.07 1/5/11 9:30 54.74 0.6%
Trade id #56048640
Max drawdown($64)
Time1/4/11 12:55
Quant open45
Worst price54.63
Drawdown as % of equity-0.60%
($61)
Includes Typical Broker Commissions trade costs of $0.90
11/23/10 9:30 XES SPDR S&P OIL & GAS EQUIPMENT & LONG 75 34.08 12/16 9:30 35.70 0.45%
Trade id #55115553
Max drawdown($46)
Time11/23/10 11:31
Quant open75
Worst price33.46
Drawdown as % of equity-0.45%
$121
Includes Typical Broker Commissions trade costs of $1.50
11/15/10 9:30 VDE VANGUARD ENERGY ETF LONG 25 93.40 12/16 9:30 97.04 0.85%
Trade id #54825291
Max drawdown($87)
Time11/16/10 12:49
Quant open25
Worst price89.91
Drawdown as % of equity-0.85%
$91
Includes Typical Broker Commissions trade costs of $0.50
11/23/10 9:30 XSD SPDR S&P SEMICONDUCTOR LONG 100 25.33 12/15 9:30 27.14 n/a $179
Includes Typical Broker Commissions trade costs of $2.00
11/23/10 9:30 XRT SPDR S&P RETAIL LONG 110 23.10 12/14 9:30 23.75 0.07%
Trade id #55115564
Max drawdown($7)
Time11/23/10 9:34
Quant open55
Worst price46.07
Drawdown as % of equity-0.07%
$69
Includes Typical Broker Commissions trade costs of $2.20
11/15/10 9:31 EWH ISHARES MSCI HONG KONG INDEX LONG 120 19.70 11/17 9:30 19.13 0.66%
Trade id #54825501
Max drawdown($68)
Time11/16/10 15:18
Quant open120
Worst price19.16
Drawdown as % of equity-0.66%
($70)
Includes Typical Broker Commissions trade costs of $2.40
10/4/10 9:30 EPU ISHARES MSCI PERU AND GLOBAL EXPOSURE ETF LONG 55 43.23 11/17 9:30 46.39 0.24%
Trade id #53492639
Max drawdown($25)
Time10/4/10 12:25
Quant open55
Worst price42.77
Drawdown as % of equity-0.24%
$173
Includes Typical Broker Commissions trade costs of $1.10
11/1/10 9:30 FDN FIRST TRUST DOW JONES INTERNET LONG 75 32.76 11/17 9:30 32.15 0.56%
Trade id #54364353
Max drawdown($57)
Time11/16/10 15:17
Quant open75
Worst price32.00
Drawdown as % of equity-0.56%
($48)
Includes Typical Broker Commissions trade costs of $1.50
10/25/10 9:30 RJA ELEMENTS ROGERS AGRICULTURE ET LONG 265 9.61 11/15 9:30 9.67 0.28%
Trade id #54149526
Max drawdown($29)
Time10/27/10 10:31
Quant open265
Worst price9.50
Drawdown as % of equity-0.28%
$11
Includes Typical Broker Commissions trade costs of $5.30
11/1/10 9:31 DBP INVESCO DB PRECIOUS METALS LONG 50 47.90 11/15 9:30 48.73 0.61%
Trade id #54364533
Max drawdown($63)
Time11/3/10 14:32
Quant open50
Worst price46.62
Drawdown as % of equity-0.61%
$41
Includes Typical Broker Commissions trade costs of $1.00
10/25/10 9:31 STPZ PIMCO 1-5 YEAR US TIPS INDEX E LONG 45 53.06 11/1 9:30 52.88 0.12%
Trade id #54149738
Max drawdown($12)
Time10/27/10 14:28
Quant open45
Worst price52.78
Drawdown as % of equity-0.12%
($9)
Includes Typical Broker Commissions trade costs of $0.90
10/4/10 9:31 WIP SPDR FTSE INTL GOVT INFL PRTCTD LONG 40 59.36 11/1 9:30 60.20 0.36%
Trade id #53492869
Max drawdown($36)
Time10/5/10 9:31
Quant open40
Worst price58.45
Drawdown as % of equity-0.36%
$32
Includes Typical Broker Commissions trade costs of $0.80
10/18/10 9:30 SLV ISHARES SILVER TRUST LONG 105 23.58 10/25 9:30 23.23 1.08%
Trade id #53934046
Max drawdown($111)
Time10/21/10 13:57
Quant open105
Worst price22.52
Drawdown as % of equity-1.08%
($39)
Includes Typical Broker Commissions trade costs of $2.10
10/11/10 9:31 CYB WISDOMTREE CHINESE YUAN LONG 100 25.65 10/25 9:30 25.62 0.09%
Trade id #53708578
Max drawdown($9)
Time10/13/10 9:33
Quant open100
Worst price25.56
Drawdown as % of equity-0.09%
($5)
Includes Typical Broker Commissions trade costs of $2.00
10/11/10 9:31 TIP ISHARES BARCLAYS TIPS BOND LONG 20 111.52 10/18 9:30 111.74 0.09%
Trade id #53708584
Max drawdown($9)
Time10/12/10 15:15
Quant open20
Worst price111.05
Drawdown as % of equity-0.09%
$4
Includes Typical Broker Commissions trade costs of $0.40
8/9/10 9:31 ECH ISHARES MSCI CHILE CAPPED ETF LONG 35 65.95 10/11 9:30 73.01 0.87%
Trade id #51819873
Max drawdown($85)
Time8/12/10 9:31
Quant open35
Worst price63.50
Drawdown as % of equity-0.87%
$246
Includes Typical Broker Commissions trade costs of $0.70
9/7/10 9:32 THD ISHARES MSCI THAILAND ETF LONG 40 56.79 10/11 9:30 63.08 0.14%
Trade id #52688830
Max drawdown($14)
Time9/7/10 15:59
Quant open40
Worst price56.43
Drawdown as % of equity-0.14%
$251
Includes Typical Broker Commissions trade costs of $0.80
9/20/10 9:34 RJA ELEMENTS ROGERS AGRICULTURE ET LONG 240 8.93 10/4 9:30 8.35 1.34%
Trade id #53054731
Max drawdown($139)
Time10/1/10 15:48
Quant open240
Worst price8.45
Drawdown as % of equity-1.34%
($144)
Includes Typical Broker Commissions trade costs of $4.80
9/27/10 9:30 SGG IPATHA SERIES B BLOOMBERG SUGAR TOTAL RETURN ETN LONG 30 72.53 10/4 9:30 66.25 1.81%
Trade id #53277313
Max drawdown($188)
Time10/1/10 15:57
Quant open30
Worst price66.82
Drawdown as % of equity-1.81%
($189)
Includes Typical Broker Commissions trade costs of $0.60
8/30/10 9:34 EWM ISHARES MSCI MALAYSIA INDEX LONG 165 12.99 9/27 9:30 13.71 0.35%
Trade id #52448172
Max drawdown($34)
Time8/31/10 9:31
Quant open165
Worst price12.78
Drawdown as % of equity-0.35%
$116
Includes Typical Broker Commissions trade costs of $3.30
8/16/10 9:33 MUB ISHARES S&P NATIONAL MUNI BOND LONG 20 105.93 9/20 9:32 106.45 0.02%
Trade id #52033102
Max drawdown($2)
Time8/16/10 9:45
Quant open20
Worst price105.82
Drawdown as % of equity-0.02%
$10
Includes Typical Broker Commissions trade costs of $0.40
8/23/10 9:30 PCY INVESCO EMERGING MKTS SOVE LONG 85 28.07 9/7 9:32 27.80 0.44%
Trade id #52254180
Max drawdown($43)
Time8/31/10 9:42
Quant open85
Worst price27.56
Drawdown as % of equity-0.44%
($25)
Includes Typical Broker Commissions trade costs of $1.70
8/16/10 9:33 BIV VANGUARD INTERMEDIATE-TERM BON LONG 25 86.22 8/30 9:32 85.98 0.16%
Trade id #52033094
Max drawdown($16)
Time8/27/10 14:47
Quant open25
Worst price85.57
Drawdown as % of equity-0.16%
($7)
Includes Typical Broker Commissions trade costs of $0.50
8/9/10 9:31 RJA ELEMENTS ROGERS AGRICULTURE ET LONG 300 8.07 8/23 9:31 8.17 0.45%
Trade id #51819876
Max drawdown($45)
Time8/11/10 11:00
Quant open300
Worst price7.92
Drawdown as % of equity-0.45%
$24
Includes Typical Broker Commissions trade costs of $6.00
8/9/10 9:31 BWX SPDR BLOOMBERG INTL TREASURY BOND ETF LONG 40 58.64 8/16 9:30 56.95 0.94%
Trade id #51819854
Max drawdown($92)
Time8/13/10 16:01
Quant open40
Worst price56.32
Drawdown as % of equity-0.94%
($69)
Includes Typical Broker Commissions trade costs of $0.80
8/9/10 9:31 WIP SPDR FTSE INTL GOVT INFL PRTCTD LONG 40 56.21 8/16 9:30 55.10 0.68%
Trade id #51819864
Max drawdown($66)
Time8/13/10 11:56
Quant open40
Worst price54.54
Drawdown as % of equity-0.68%
($45)
Includes Typical Broker Commissions trade costs of $0.80

Statistics

  • Strategy began
    8/8/2010
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    5005.87
  • Age
    167 months ago
  • What it trades
    Stocks
  • # Trades
    30
  • # Profitable
    18
  • % Profitable
    60.00%
  • Avg trade duration
    19.1 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Annual return (compounded)
    0.7%
  • Avg win
    $87.72
  • Avg loss
    $57.50
  • Model Account Values (Raw)
  • Cash
    $10,975
  • Margin Used
    $0
  • Buying Power
    $10,975
  • Ratios
  • W:L ratio
    2.42:1
  • Sharpe Ratio
    -0.54
  • Sortino Ratio
    -0.79
  • Calmar Ratio
    0.485
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.07730
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -42.25%
  • Return Percent SP500 (cumu) during strategy life
    352.07%
  • Return Statistics
  • Ann Return (w trading costs)
    7.6%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.97%
  • Instruments
  • Percent Trades Stocks
    1.00%
  • Slump
  • Current Slump as Pcnt Equity
    1.70%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $88
  • Avg Loss
    $58
  • Sum Trade PL (losers)
    $690.000
  • Sum Trade PL (winners)
    $1,579.000
  • # Winners
    18
  • Dividends
  • Dividends Received in Model Acct
    89
  • Win / Loss
  • Num Months Winners
    3
  • Age
  • Num Months filled monthly returns table
    165
  • Win / Loss
  • # Losers
    12
  • % Winners
    60.0%
  • Frequency
  • Avg Position Time (mins)
    27463.00
  • Avg Position Time (hrs)
    457.72
  • Avg Trade Length
    19.1 days
  • Last Trade Ago
    4850
  • Regression
  • Alpha
    -0.00
  • Beta
    0.01
  • Treynor Index
    -0.38
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    -0.27
  • MAE:Equity, average, all trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.158
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    18.78
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    15.25
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.430
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.259
  • Hold-and-Hope Ratio
    0.463
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    -0.00500
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.00600
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    14
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

** Due to lack of interest, this system will shut down in the next several days. **

This is a non-leveraged relative strength rotational system that trades from a broad number of very liquid ETFs. The listing of ETFs is made up of non-leveraged funds with an average daily trade volume of at least 100,000 (currently ~250 ETFs).

Each day the listing of selected ETFs is ranked by price rate of change divided by volatility, thus giving higher ranks to ETFs with lower volatility and penalizing ETFs with high volatility. A similar strategy has been described at the following link - http://bit.ly/4PbrFC

A summary of the current top ten rankings is provided each weekend. New trade positions are determined daily after each market close and communicated if a new trade is indicated by the system. Trades are communicated so they can be placed manually before market open. In general, the top four ranked diverse ETFs are held until they are no longer ranked among the top eight positions or an exit signal is indicated by the system. If any currently held ETF drops below the top eight or is sold due to an exit signal, it will be replaced with the top most ranked ETF not currently held with an entry signal. Positions are usually held for several days or weeks.

In general, during market downturns the top ranked government bond ETFs may be held. In market up-trends, the system will hold top ranked sector ETFs. Cash will also be considered as a position at times.

This is a similar strategy to the ETF Vanguard Free ETFs system.

Summary Statistics

Strategy began
2010-08-08
Suggested Minimum Capital
$10,000
# Trades
30
# Profitable
18
% Profitable
60.0%
Net Dividends
Correlation S&P500
0.077
Sharpe Ratio
-0.54
Sortino Ratio
-0.79
Beta
0.01
Alpha
-0.00

Latest Activity

#PERSONNAME#
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.