Collective2 Collective2
Featured Strategy Easiest Followed by live capital $479,000 Hypothetical

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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
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Schulenberg 3X-Hedged IWM (^IWM3)
(56554426)

Created by: CraigSchulenberg CraigSchulenberg
Started: 01/2011
Stocks
Last trade: 3,794 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 $75.00 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.

25.2%
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.

-
Max Drawdown
185
Num Trades
50.8%
Win Trades
1.8 : 1
Profit Factor
15.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011+2.5%(3.3%)+3.2%+2.3%+0.6%(15%)(4.8%)+37.9%(24.4%)+11.5%(28.5%)+10.4%(21.8%)
2012+8.6%+13.3%+8.9%(0.6%)(11.4%)+7.7%+1.5%+7.5%+2.9%(4.4%)(6.3%)(0.9%)+26.8%
2013+13.7%+2.3%+16.8%+2.7%(2.2%)(7.1%)+31.7%(21%)+21.4%+0.2%+13.6%+1.6%+84.9%
2014  -    -    -    -    -    -    -    -    -    -  +0.1%  -  +0.1%
2015  -    -    -    -    -    -    -    -    -  (0.1%)  -    -  (0.1%)
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.

System developer has asked us to delay this information by 168 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/14/13 9:30 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 445 64.70 11/29 9:30 73.86 2.56%
Trade id #83484701
Max drawdown($500)
Time11/7/13 15:59
Quant open295
Worst price63.00
Drawdown as % of equity-2.56%
 $4,067
Includes Typical Broker Commissions trade costs of $8.90
4/2/13 10:33 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 2,022 52.46 10/9 9:30 54.08 9.98%
Trade id #80005849
Max drawdown($1,732)
Time4/18/13 14:58
Quant open317
Worst price37.18
Drawdown as % of equity-9.98%
 $3,252
Includes Typical Broker Commissions trade costs of $40.44
9/12/13 9:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 110 85.96 9/18 9:30 84.56 1.27%
Trade id #82951496
Max drawdown($246)
Time9/16/13 9:31
Quant open440
Worst price20.93
Drawdown as % of equity-1.27%
 ($156)
Includes Typical Broker Commissions trade costs of $2.20
9/10/13 9:31 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 110 85.36 9/11 9:30 87.12 0.16%
Trade id #82915298
Max drawdown($30)
Time9/10/13 10:46
Quant open440
Worst price21.27
Drawdown as % of equity-0.16%
 $192
Includes Typical Broker Commissions trade costs of $2.20
9/3/13 9:32 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 75 92.24 9/5 9:30 90.44 0.84%
Trade id #82814508
Max drawdown($150)
Time9/4/13 13:23
Quant open300
Worst price22.56
Drawdown as % of equity-0.84%
 ($137)
Includes Typical Broker Commissions trade costs of $1.50
8/28/13 9:31 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 75 96.68 8/30 9:30 93.32 1.95%
Trade id #82742224
Max drawdown($348)
Time8/29/13 12:06
Quant open300
Worst price23.01
Drawdown as % of equity-1.95%
 ($254)
Includes Typical Broker Commissions trade costs of $1.50
8/22/13 9:30 FAZ DIREXION DAILY FINANCIAL BEAR LONG 75 124.48 8/26 9:30 120.92 1.42%
Trade id #82656692
Max drawdown($276)
Time8/23/13 9:32
Quant open300
Worst price30.20
Drawdown as % of equity-1.42%
 ($269)
Includes Typical Broker Commissions trade costs of $1.50
8/16/13 9:31 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 100 95.48 8/21 9:30 95.80 1.16%
Trade id #82567522
Max drawdown($219)
Time8/19/13 10:56
Quant open400
Worst price23.32
Drawdown as % of equity-1.16%
 $30
Includes Typical Broker Commissions trade costs of $2.00
7/25/13 9:31 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 100 98.80 7/26 9:30 99.20 0.5%
Trade id #82185223
Max drawdown($104)
Time7/25/13 15:55
Quant open400
Worst price24.44
Drawdown as % of equity-0.50%
 $38
Includes Typical Broker Commissions trade costs of $2.00
5/14/13 9:31 FAZ DIREXION DAILY FINANCIAL BEAR LONG 60 139.28 5/17 9:30 130.36 3.57%
Trade id #80863264
Max drawdown($619)
Time5/16/13 9:56
Quant open240
Worst price32.24
Drawdown as % of equity-3.57%
 ($536)
Includes Typical Broker Commissions trade costs of $1.20
5/9/13 9:31 FAZ DIREXION DAILY FINANCIAL BEAR LONG 50 140.36 5/10 9:30 142.20 0.05%
Trade id #80780184
Max drawdown($8)
Time5/9/13 9:33
Quant open200
Worst price35.05
Drawdown as % of equity-0.05%
 $91
Includes Typical Broker Commissions trade costs of $1.00
5/6/13 9:30 FAZ DIREXION DAILY FINANCIAL BEAR LONG 50 148.40 5/8 9:31 143.40 2.07%
Trade id #80701638
Max drawdown($307)
Time5/7/13 13:59
Quant open200
Worst price35.56
Drawdown as % of equity-2.07%
 ($251)
Includes Typical Broker Commissions trade costs of $1.00
4/2/13 10:33 FAZ DIREXION DAILY FINANCIAL BEAR LONG 17 167.72 4/3 9:30 167.64 0.11%
Trade id #80005808
Max drawdown($18)
Time4/2/13 11:05
Quant open67
Worst price41.65
Drawdown as % of equity-0.11%
 ($1)
Includes Typical Broker Commissions trade costs of $0.34
12/3/12 11:25 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 380 31.12 4/2/13 9:30 43.74 0.85%
Trade id #77950918
Max drawdown($112)
Time12/5/12 10:56
Quant open115
Worst price56.34
Drawdown as % of equity-0.85%
 $4,787
Includes Typical Broker Commissions trade costs of $7.60
12/3/12 11:25 FAZ DIREXION DAILY FINANCIAL BEAR LONG 24 274.72 1/3/13 9:31 223.20 9.3%
Trade id #77950930
Max drawdown($1,236)
Time1/3/13 9:31
Quant open375
Worst price13.88
Drawdown as % of equity-9.30%
 ($1,236)
Includes Typical Broker Commissions trade costs of $0.48
11/30/12 9:30 QLD PROSHARES ULTRA QQQ LONG 240 27.93 12/3 11:24 27.92 0.5%
Trade id #77923686
Max drawdown($64)
Time11/30/12 11:35
Quant open120
Worst price55.32
Drawdown as % of equity-0.50%
 ($9)
Includes Typical Broker Commissions trade costs of $4.80
11/23/12 9:30 SDS PROSHARES ULTRASHORT S&P500 LONG 110 57.06 12/3 11:24 55.54 1.9%
Trade id #77804726
Max drawdown($248)
Time12/3/12 9:33
Quant open110
Worst price54.80
Drawdown as % of equity-1.90%
 ($169)
Includes Typical Broker Commissions trade costs of $2.20
11/26/12 9:31 QLD PROSHARES ULTRA QQQ LONG 240 26.95 11/29 9:30 27.85 0.8%
Trade id #77827606
Max drawdown($104)
Time11/28/12 10:06
Quant open120
Worst price53.04
Drawdown as % of equity-0.80%
 $210
Includes Typical Broker Commissions trade costs of $4.80
10/24/12 9:30 QID PROSHARES ULTRASHORT QQQ LONG 109 119.48 11/26 9:31 122.08 1.49%
Trade id #77302392
Max drawdown($194)
Time11/6/12 12:05
Quant open434
Worst price29.42
Drawdown as % of equity-1.49%
 $281
Includes Typical Broker Commissions trade costs of $2.18
11/12/12 9:31 SSO PROSHARES ULTRA S&P 500 LONG 240 28.27 11/23 9:30 28.88 2.74%
Trade id #77591214
Max drawdown($380)
Time11/16/12 11:30
Quant open120
Worst price53.38
Drawdown as % of equity-2.74%
 $140
Includes Typical Broker Commissions trade costs of $4.80
11/7/12 9:30 SSO PROSHARES ULTRA S&P 500 LONG 240 29.57 11/9 9:30 27.88 2.97%
Trade id #77516332
Max drawdown($406)
Time11/9/12 9:30
Quant open0
Worst price55.75
Drawdown as % of equity-2.97%
 ($411)
Includes Typical Broker Commissions trade costs of $4.80
11/2/12 9:31 SSO PROSHARES ULTRA S&P 500 LONG 240 30.38 11/6 9:31 29.82 2.03%
Trade id #77449089
Max drawdown($267)
Time11/5/12 10:07
Quant open120
Worst price58.52
Drawdown as % of equity-2.03%
 ($138)
Includes Typical Broker Commissions trade costs of $4.80
11/1/12 9:31 SDS PROSHARES ULTRASHORT S&P500 LONG 115 56.15 11/2 9:30 54.54 1.41%
Trade id #77424924
Max drawdown($185)
Time11/2/12 9:30
Quant open0
Worst price54.54
Drawdown as % of equity-1.41%
 ($187)
Includes Typical Broker Commissions trade costs of $2.30
10/26/12 9:31 SSO PROSHARES ULTRA S&P 500 LONG 240 29.48 11/1 9:30 29.58 0.75%
Trade id #77349540
Max drawdown($102)
Time10/26/12 12:08
Quant open120
Worst price58.10
Drawdown as % of equity-0.75%
 $20
Includes Typical Broker Commissions trade costs of $4.80
10/25/12 9:31 SDS PROSHARES ULTRASHORT S&P500 LONG 115 55.82 10/26 9:30 56.42 0.15%
Trade id #77325632
Max drawdown($20)
Time10/25/12 9:33
Quant open115
Worst price55.64
Drawdown as % of equity-0.15%
 $67
Includes Typical Broker Commissions trade costs of $2.30
10/24/12 9:31 SSO PROSHARES ULTRA S&P 500 LONG 240 29.69 10/25 9:31 29.73 0.83%
Trade id #77302722
Max drawdown($111)
Time10/24/12 15:52
Quant open120
Worst price58.45
Drawdown as % of equity-0.83%
 $5
Includes Typical Broker Commissions trade costs of $4.80
10/22/12 9:32 QID PROSHARES ULTRASHORT QQQ LONG 109 119.92 10/23 9:30 120.44 1.65%
Trade id #77256713
Max drawdown($216)
Time10/22/12 15:58
Quant open434
Worst price29.48
Drawdown as % of equity-1.65%
 $55
Includes Typical Broker Commissions trade costs of $2.18
10/17/12 9:31 SSO PROSHARES ULTRA S&P 500 LONG 240 31.27 10/23 9:30 29.68 2.9%
Trade id #77187779
Max drawdown($382)
Time10/23/12 9:30
Quant open0
Worst price59.36
Drawdown as % of equity-2.90%
 ($387)
Includes Typical Broker Commissions trade costs of $4.80
10/18/12 9:31 QLD PROSHARES ULTRA QQQ LONG 234 29.75 10/22 9:30 27.78 3.38%
Trade id #77209089
Max drawdown($466)
Time10/19/12 16:01
Quant open117
Worst price55.50
Drawdown as % of equity-3.38%
 ($465)
Includes Typical Broker Commissions trade costs of $4.68
10/17/12 9:30 QID PROSHARES ULTRASHORT QQQ LONG 63 112.72 10/18 9:31 112.50 0.75%
Trade id #77187581
Max drawdown($105)
Time10/17/12 12:25
Quant open250
Worst price27.76
Drawdown as % of equity-0.75%
 ($15)
Includes Typical Broker Commissions trade costs of $1.26
Next

Statistics

  • Strategy began
    1/6/2011
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    4846.48
  • Age
    162 months ago
  • What it trades
    Stocks
  • # Trades
    185
  • # Profitable
    94
  • % Profitable
    50.80%
  • Avg trade duration
    9.0 days
  • Max peak-to-valley drawdown
    %
  • drawdown period
    Dec , - Dec ,
  • Annual Return (Compounded)
    25.2%
  • Avg win
    $316.55
  • Avg loss
    $187.07
  • Model Account Values (Raw)
  • Cash
    $22,789
  • Margin Used
    $0
  • Buying Power
    $22,789
  • Ratios
  • W:L ratio
    1.75:1
  • Sharpe Ratio
    0.21
  • Sortino Ratio
    0.29
  • Calmar Ratio
    0.535
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    50.46%
  • Correlation to SP500
    0.13430
  • Return Percent SP500 (cumu) during strategy life
    293.38%
  • Return Statistics
  • Ann Return (w trading costs)
    25.2%
  • Slump
  • Current Slump as Pcnt Equity
    0.10%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.252%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.64%
  • Instruments
  • Percent Trades Stocks
    1.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    57.00%
  • Chance of 20% account loss
    37.50%
  • Chance of 30% account loss
    19.50%
  • Chance of 40% account loss
    6.50%
  • 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
    2.00%
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $317
  • Avg Loss
    $187
  • Sum Trade PL (losers)
    $17,023.000
  • # Winners
    94
  • Num Months Winners
    25
  • Age
  • Num Months filled monthly returns table
    160
  • Win / Loss
  • Sum Trade PL (winners)
    $29,756.000
  • Dividends
  • Dividends Received in Model Acct
    64
  • Win / Loss
  • # Losers
    91
  • % Winners
    50.8%
  • Frequency
  • Avg Position Time (mins)
    12995.80
  • Avg Position Time (hrs)
    216.60
  • Avg Trade Length
    9.0 days
  • Last Trade Ago
    3790
  • Regression
  • Alpha
    0.01
  • Beta
    0.13
  • Treynor Index
    0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    28.03
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.99
  • Avg(MAE) / Avg(PL) - All trades
    2.800
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    51.33
  • MAE:Equity, 95th Percentile Value for this strat
    0.05
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.366
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.304
  • Hold-and-Hope Ratio
    0.357
  • 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)
    0.14200
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.02200
  • 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)
    85
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

Our stock and ETF modeling approach is described more fully in the description of our similar system, Schulenberg Hedged IWM (^IWM2) and more details about our methods -- and actual performance data for many of our signals -- can be found on our web site: http://www.schulenberg.com.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2011-01-06
Suggested Minimum Capital
$10,000
# Trades
185
# Profitable
94
% Profitable
50.8%
Net Dividends
$63
Correlation S&P500
0.134
Sharpe Ratio
0.21
Sortino Ratio
0.29
Beta
0.13
Alpha
0.01

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.