This system has earned TradesOwnStrategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details
Certification process started
09/21/2020
Most recent certification approved
9/21/20 9:56 ET
Trades at broker
Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used
100%
# trading signals issued by system since certification
389
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account
389
Percent signals followed since 09/21/2020
100%
This information was last updated
1/27/22 13:13 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account,
the trading results presented on this Web site must still be regarded as purely hypothetical results.
This is because (among other reasons) the system developer may not have traded all signals,
particularly those that occurred before 09/21/2020,
and the system developer's results may not match the system results presented here. In addition,
not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
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
underor overcompensated 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.
You may be interested to learn more technical details about
how Collective2 calculates the hypothetical results you see on this web site.
Patience is a Virtue IRA
(123937705)
This system has earned TradesOwnStrategy (TOS) Certification. This means that the manager of this system trades his own strategy in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details  

Certification process started  09/21/2020 
Most recent certification approved  9/21/20 9:56 ET 
Trades at broker  Interactive Brokers (Stocks, Options, Futures) 
Scaling percentage used  100% 
# trading signals issued by system since certification  389 
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account  389 
Percent signals followed since 09/21/2020  100% 
This information was last updated  1/27/22 13:13 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 09/21/2020, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
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 underor overcompensated 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.
You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.
Subscription terms. Subscriptions to this system cost $125.00 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.
Trendfollowing
Tries to take advantage of long, medium or shortterm moves that seem to play out in various markets. Typically, trendfollowing analysis is backward looking; that is, it attempts to recognize and profit from alreadyestablished trends.Sector Rotation
Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2019  +17.0%  (0.7%)  +3.3%  (8%)  +1.5%  +0.7%  +7.2%  +20.7%  
2020  +9.5%  +9.4%  +30.2%  +8.5%  (0.8%)  +4.3%  +15.4%  +18.4%  (17.7%)  +5.8%  +20.4%  +15.5%  +189.8% 
2021  (1.1%)  +7.9%  +7.4%  +7.2%  (6.8%)  +2.3%  +2.9%  +9.1%  (12.1%)  +15.3%  (0.3%)  (2.8%)  +29.2% 
2022  (16.3%)  (16.3%) 
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.
Started  $37,500  
Buy Power  $86,248  
Cash  $1  
Equity  $1  
Cumulative $  $110,584  
Includes dividends and cashsettled expirations:  $215  Itemized 
Total System Equity  $148,084  
Margined  $1  
Open P/L  $2,024  
Data has been delayed by 168 hours for nonsubscribers 
System developer has asked us to delay this information by 168 hours.
Trading Record
Statistics

Strategy began6/4/2019

Suggested Minimum Cap$15,000

Strategy Age (days)967.94

Age32 months ago

What it tradesStocks

# Trades85

# Profitable44

% Profitable51.80%

Avg trade duration60.3 days

Max peaktovalley drawdown24.95%

drawdown periodNov 22, 2021  Jan 24, 2022

Annual Return (Compounded)65.0%

Avg win$3,754

Avg loss$1,308
 Model Account Values (Raw)

Cash$89,079

Margin Used$0

Buying Power$86,248
 Ratios

W:L ratio3.09:1

Sharpe Ratio1.43

Sortino Ratio2.13

Calmar Ratio2.837
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)221.70%

Correlation to SP5000.15370

Return Percent SP500 (cumu) during strategy life55.17%
 Return Statistics

Ann Return (w trading costs)65.0%
 Slump

Current Slump as Pcnt Equity31.40%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.07%
 Return Statistics

Return Pcnt Since TOS Status143.940%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.650%
 Instruments

Percent Trades Options0.04%

Percent Trades Stocks0.95%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)67.8%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss31.50%

Chance of 20% account loss10.00%

Chance of 30% account loss1.00%

Chance of 40% account loss1.00%

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 Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)891

Popularity (Last 6 weeks)978
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score958

Popularity (7 days, Percentile 1000 scale)949
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$1,340

Avg Win$3,755

Sum Trade PL (losers)$54,943.000
 AUM

AUM (AutoTrader num accounts)25
 Age

Num Months filled monthly returns table32
 Win / Loss

Sum Trade PL (winners)$165,204.000

# Winners44

Num Months Winners22
 Dividends

Dividends Received in Model Acct216
 AUM

AUM (AutoTrader live capital)2731160
 Win / Loss

# Losers41

% Winners51.8%
 Frequency

Avg Position Time (mins)86824.20

Avg Position Time (hrs)1447.07

Avg Trade Length60.3 days

Last Trade Ago7
 Leverage

Daily leverage (average)1.62

Daily leverage (max)2.55
 Regression

Alpha0.14

Beta0.20

Treynor Index0.72
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.22

MAE:Equity, average, winning trades0.01

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  All trades1.186

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 strat0.06

Avg(MAE) / Avg(PL)  Winning trades0.215

Avg(MAE) / Avg(PL)  Losing trades1.306

HoldandHope Ratio0.884
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.61776

SD0.31344

Sharpe ratio (Glass type estimate)1.97091

Sharpe ratio (Hedges UMVUE)1.92115

df30.00000

t3.16779

p0.00176

Lowerbound of 95% confidence interval for Sharpe Ratio0.64018

Upperbound of 95% confidence interval for Sharpe Ratio3.27352

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.60840

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.23390
 Statistics related to Sortino ratio

Sortino ratio5.61309

Upside Potential Ratio7.20564

Upside part of mean0.79304

Downside part of mean0.17527

Upside SD0.33877

Downside SD0.11006

N nonnegative terms21.00000

N negative terms10.00000
 Statistics related to linear regression on benchmark

N of observations31.00000

Mean of predictor0.19220

Mean of criterion0.61776

SD of predictor0.17907

SD of criterion0.31344

Covariance0.00209

r0.03719

b (slope, estimate of beta)0.06510

a (intercept, estimate of alpha)0.60525

Mean Square Error0.10149

DF error29.00000

t(b)0.20042

p(b)0.42128

t(a)2.91253

p(a)0.00342

Lowerbound of 95% confidence interval for beta0.59923

Upperbound of 95% confidence interval for beta0.72943

Lowerbound of 95% confidence interval for alpha0.18023

Upperbound of 95% confidence interval for alpha1.03027

Treynor index (mean / b)9.48948

Jensen alpha (a)0.60525
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.55841

SD0.29650

Sharpe ratio (Glass type estimate)1.88334

Sharpe ratio (Hedges UMVUE)1.83580

df30.00000

t3.02705

p0.00252

Lowerbound of 95% confidence interval for Sharpe Ratio0.56122

Upperbound of 95% confidence interval for Sharpe Ratio3.17823

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.53089

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.14071
 Statistics related to Sortino ratio

Sortino ratio4.87111

Upside Potential Ratio6.45217

Upside part of mean0.73966

Downside part of mean0.18125

Upside SD0.31292

Downside SD0.11464

N nonnegative terms21.00000

N negative terms10.00000
 Statistics related to linear regression on benchmark

N of observations31.00000

Mean of predictor0.17430

Mean of criterion0.55841

SD of predictor0.18453

SD of criterion0.29650

Covariance0.00157

r0.02865

b (slope, estimate of beta)0.04603

a (intercept, estimate of alpha)0.55039

Mean Square Error0.09087

DF error29.00000

t(b)0.15433

p(b)0.43921

t(a)2.82799

p(a)0.00420

Lowerbound of 95% confidence interval for beta0.56396

Upperbound of 95% confidence interval for beta0.65602

Lowerbound of 95% confidence interval for alpha0.15234

Upperbound of 95% confidence interval for alpha0.94844

Treynor index (mean / b)12.13150

Jensen alpha (a)0.55039
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.08995

Expected Shortfall on VaR0.12148
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.02476

Expected Shortfall on VaR0.05366
 ORDER STATISTICS
 Quartiles of return rates

Number of observations31.00000

Minimum0.89565

Quartile 10.98895

Median1.04307

Quartile 31.13752

Maximum1.21850

Mean of quarter 10.94738

Mean of quarter 21.01552

Mean of quarter 31.08102

Mean of quarter 41.17472

Inter Quartile Range0.14857

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.13343

VaR(95%) (moments method)0.04435

Expected Shortfall (moments method)0.04772

Extreme Value Index (regression method)0.49229

VaR(95%) (regression method)0.06354

Expected Shortfall (regression method)0.07659
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations6.00000

Minimum0.01571

Quartile 10.04158

Median0.07747

Quartile 30.08237

Maximum0.10435

Mean of quarter 10.02309

Mean of quarter 20.07491

Mean of quarter 30.08004

Mean of quarter 40.09375

Inter Quartile Range0.04079

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)1.37337

Compounded annual return (geometric extrapolation)0.79736

Calmar ratio (compounded annual return / max draw down)7.64133

Compounded annual return / average of 25% largest draw downs8.50542

Compounded annual return / Expected Shortfall lognormal6.56356

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.53588

SD0.29474

Sharpe ratio (Glass type estimate)1.81814

Sharpe ratio (Hedges UMVUE)1.81615

df687.00000

t2.94625

p0.00166

Lowerbound of 95% confidence interval for Sharpe Ratio0.60418

Upperbound of 95% confidence interval for Sharpe Ratio3.03080

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.60285

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.02945
 Statistics related to Sortino ratio

Sortino ratio2.69773

Upside Potential Ratio10.03420

Upside part of mean1.99321

Downside part of mean1.45733

Upside SD0.21996

Downside SD0.19864

N nonnegative terms401.00000

N negative terms287.00000
 Statistics related to linear regression on benchmark

N of observations688.00000

Mean of predictor0.17211

Mean of criterion0.53588

SD of predictor0.23600

SD of criterion0.29474

Covariance0.01128

r0.16209

b (slope, estimate of beta)0.20244

a (intercept, estimate of alpha)0.50100

Mean Square Error0.08471

DF error686.00000

t(b)4.30242

p(b)0.00001

t(a)2.78674

p(a)0.00274

Lowerbound of 95% confidence interval for beta0.11006

Upperbound of 95% confidence interval for beta0.29483

Lowerbound of 95% confidence interval for alpha0.14803

Upperbound of 95% confidence interval for alpha0.85405

Treynor index (mean / b)2.64712

Jensen alpha (a)0.50104
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.49195

SD0.29484

Sharpe ratio (Glass type estimate)1.66853

Sharpe ratio (Hedges UMVUE)1.66671

df687.00000

t2.70381

p0.00351

Lowerbound of 95% confidence interval for Sharpe Ratio0.45522

Upperbound of 95% confidence interval for Sharpe Ratio2.88064

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.45400

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.87941
 Statistics related to Sortino ratio

Sortino ratio2.42919

Upside Potential Ratio9.72442

Upside part of mean1.96937

Downside part of mean1.47742

Upside SD0.21614

Downside SD0.20252

N nonnegative terms401.00000

N negative terms287.00000
 Statistics related to linear regression on benchmark

N of observations688.00000

Mean of predictor0.14402

Mean of criterion0.49195

SD of predictor0.23750

SD of criterion0.29484

Covariance0.01147

r0.16373

b (slope, estimate of beta)0.20326

a (intercept, estimate of alpha)0.46268

Mean Square Error0.08473

DF error686.00000

t(b)4.34706

p(b)0.00001

t(a)2.57403

p(a)0.00513

Lowerbound of 95% confidence interval for beta0.11145

Upperbound of 95% confidence interval for beta0.29507

Lowerbound of 95% confidence interval for alpha0.10976

Upperbound of 95% confidence interval for alpha0.81561

Treynor index (mean / b)2.42031

Jensen alpha (a)0.46268
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02769

Expected Shortfall on VaR0.03504
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01129

Expected Shortfall on VaR0.02350
 ORDER STATISTICS
 Quartiles of return rates

Number of observations688.00000

Minimum0.93610

Quartile 10.99357

Median1.00257

Quartile 31.01114

Maximum1.09412

Mean of quarter 10.97993

Mean of quarter 20.99847

Mean of quarter 31.00668

Mean of quarter 41.02353

Inter Quartile Range0.01758

Number outliers low29.00000

Percentage of outliers low0.04215

Mean of outliers low0.95405

Number of outliers high21.00000

Percentage of outliers high0.03052

Mean of outliers high1.04774
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.28010

VaR(95%) (moments method)0.01872

Expected Shortfall (moments method)0.03192

Extreme Value Index (regression method)0.05411

VaR(95%) (regression method)0.01971

Expected Shortfall (regression method)0.02719
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations50.00000

Minimum0.00005

Quartile 10.00774

Median0.01789

Quartile 30.04462

Maximum0.24030

Mean of quarter 10.00327

Mean of quarter 20.01232

Mean of quarter 30.03243

Mean of quarter 40.11477

Inter Quartile Range0.03688

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high7.00000

Percentage of outliers high0.14000

Mean of outliers high0.16538
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.28469

VaR(95%) (moments method)0.11867

Expected Shortfall (moments method)0.20044

Extreme Value Index (regression method)0.02676

VaR(95%) (regression method)0.11016

Expected Shortfall (regression method)0.15239
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.11054

Compounded annual return (geometric extrapolation)0.68179

Calmar ratio (compounded annual return / max draw down)2.83725

Compounded annual return / average of 25% largest draw downs5.94047

Compounded annual return / Expected Shortfall lognormal19.45540

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

Mean0.20409

SD0.28043

Sharpe ratio (Glass type estimate)0.72777

Sharpe ratio (Hedges UMVUE)0.72357

df130.00000

t0.51462

p0.52254

Lowerbound of 95% confidence interval for Sharpe Ratio3.49967

Upperbound of 95% confidence interval for Sharpe Ratio2.04677

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.49677

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.04963
 Statistics related to Sortino ratio

Sortino ratio0.94280

Upside Potential Ratio7.17518

Upside part of mean1.55325

Downside part of mean1.75734

Upside SD0.17703

Downside SD0.21648

N nonnegative terms71.00000

N negative terms60.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.01789

Mean of criterion0.20409

SD of predictor0.13459

SD of criterion0.28043

Covariance0.02517

r0.66678

b (slope, estimate of beta)1.38929

a (intercept, estimate of alpha)0.17924

Mean Square Error0.04402

DF error129.00000

t(b)10.16170

p(b)0.10950

t(a)0.60409

p(a)0.53380

Lowerbound of 95% confidence interval for beta1.11879

Upperbound of 95% confidence interval for beta1.65979

Lowerbound of 95% confidence interval for alpha0.76631

Upperbound of 95% confidence interval for alpha0.40782

Treynor index (mean / b)0.14690

Jensen alpha (a)0.17924
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.24346

SD0.28193

Sharpe ratio (Glass type estimate)0.86356

Sharpe ratio (Hedges UMVUE)0.85857

df130.00000

t0.61063

p0.52674

Lowerbound of 95% confidence interval for Sharpe Ratio3.63578

Upperbound of 95% confidence interval for Sharpe Ratio1.91181

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.63234

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.91520
 Statistics related to Sortino ratio

Sortino ratio1.10436

Upside Potential Ratio6.97501

Upside part of mean1.53770

Downside part of mean1.78116

Upside SD0.17465

Downside SD0.22046

N nonnegative terms71.00000

N negative terms60.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.02689

Mean of criterion0.24346

SD of predictor0.13479

SD of criterion0.28193

Covariance0.02532

r0.66630

b (slope, estimate of beta)1.39369

a (intercept, estimate of alpha)0.20599

Mean Square Error0.04454

DF error129.00000

t(b)10.14870

p(b)0.10973

t(a)0.69011

p(a)0.53859

VAR (95 Confidence Intrvl)0.02800

Lowerbound of 95% confidence interval for beta1.12198

Upperbound of 95% confidence interval for beta1.66539

Lowerbound of 95% confidence interval for alpha0.79655

Upperbound of 95% confidence interval for alpha0.38457

Treynor index (mean / b)0.17469

Jensen alpha (a)0.20599
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02915

Expected Shortfall on VaR0.03617
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01466

Expected Shortfall on VaR0.02865
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.94022

Quartile 10.99126

Median1.00148

Quartile 31.00832

Maximum1.04172

Mean of quarter 10.97693

Mean of quarter 20.99677

Mean of quarter 31.00468

Mean of quarter 41.01908

Inter Quartile Range0.01705

Number outliers low6.00000

Percentage of outliers low0.04580

Mean of outliers low0.95541

Number of outliers high4.00000

Percentage of outliers high0.03053

Mean of outliers high1.03851
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.11096

VaR(95%) (moments method)0.02264

Expected Shortfall (moments method)0.03243

Extreme Value Index (regression method)0.01162

VaR(95%) (regression method)0.02437

Expected Shortfall (regression method)0.03313
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations5.00000

Minimum0.01097

Quartile 10.01556

Median0.04448

Quartile 30.13235

Maximum0.22454

Mean of quarter 10.01326

Mean of quarter 20.04448

Mean of quarter 30.13235

Mean of quarter 40.22454

Inter Quartile Range0.11679

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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 Negative0.75%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?404292000

Max Equity Drawdown (num days)63
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.20435

Compounded annual return (geometric extrapolation)0.19391

Calmar ratio (compounded annual return / max draw down)0.86356

Compounded annual return / average of 25% largest draw downs0.86356

Compounded annual return / Expected Shortfall lognormal5.36159
Strategy Description
I put my own money into the same trades as my subscribers – as shown by my TOS badge! However, you should consider that this strategy is very risky and volatile especially on a daily time frame. For example, September 3rd, 2020 it dropped by almost 11% in a single day.
I use an IRA to run the strategy. It works well for retirement accounts and taxable accounts in my experience.
Patience is a Virtue uses many different indicator and timing components. I believe it is well suited to do very well in the long term. While some components of this strategy are based on things I have been personally doing since 2017, it wasn't until February 2019 that I had a really good vision for this algorithm and what to do. I did some backtesting from 2004 to Feb 2019 and saw very promising results. As we all know backtests can easily be misleading or wrong. So, in February 2019 I took a small sum of money and started forward testing it. Then in June 2019 I reran my backtests to cover the period of 2004 through early June 2019. For the time period of February 2019 to early June 2019 I now had backtest and real results to compare. I found them to be very similar.
Then in June 2019 I started investing much more of my money using these this strategy and similar offshoots. From June 2019 until November 2020 I did live trading as you can see from my track record. If I do backtests over the same period of June 2019 to November 2020 the real results and backtest results are remarkably similar. Because the real results and the backtest results for that period seem to match, I believe my longerterm backtests have merit.
Of course, the future could be vastly different, but I believe my system is based on long term market tenencies that are unlikely to end without a truly seismic shift in the way people invest. A few of the indicators have been tested back as far as the great depression and they seem to have worked in most years since. Unfortunately, only a some of my indicators can be tested that far back. Most can only be backtested to over the last couple decades. Please know that backtests don't guarantee good results in the future even if the backtests were done correctly. My most recent backtest results can be found here, but please take them in context:
https://forums.collective2.com/t/backtestresultsforpatienceisavirtue/14518
I use a mix of short, medium, and longterm signals to algorithmically determine entry and exit timing for this strategy. I mostly buy things that have a longterm history of going up in value. That way even if my timing is off, I have a decent chance of doing well over the long term. On rare occasions like March of 2020, I do buy some things that historically go down in value but serve as good investments in times of trouble. For example, in March of 2020 I did buy TVIX which has a longterm history of going down in value overtime but does great in times of turmoil. That is about the only thing I buy that I would consider a depreciating asset. I don't ever plan to short appreciating assets in this portfolio.
One of the main ways I try to reduce drawdowns is by being diversified. This forum post has some good information about the different assets I trade and how my strategy has done compared to them.
https://forums.collective2.com/t/diversificationofpatienceisavirtue/14609/2
I try to always keep stops. If there ever isn't one in place it is an error. However, because I use BrokerTransmit (AKA my strategy literally just copies my real brokerage account) you are not able to see orders until they become active. So, you cannot see a stop order until it gets triggered and becomes a live market sell order. My stops are usually very far from the current price and very rarely are the way in which I exit a trade. Typically they are placed at 35% below the previous close, but are raised or lowered at the close of each day. Yes typically the stop is only triggered if something drops by about 35% in one day. They are only there for if something truly crazy happens like a 20% drop in SPY in one day, with no indicators predicting it. Also, I set these as trailing stops so that if I died and my computer systems weren’t maintained the system would slowly chug along with stops that continued to lock in profits until all positions were exited.
Though this strategy previously did take some options trades and may do so in the future. I do not currently have any plans to use options in this account.
This is a link to a forum post showing how to add trading permissions for Interactive Brokers that are needed to follow this strategy. Options are not currently necessary. In order to trade penny stocks IB may require that you set up their app IBKR mobile as your two factor authentication device before enabling or requesting Penny Stock trading permissions. At this time the only penny stock in this account that I intend to trade is GBTC and ETHE until cryptocurrency ETFs become available in the US. https://forums.collective2.com/t/enablegbtcleveragedetfsandoptiontrades/14491
This strategy is fantastic but far from perfect and will require a great deal of patience and grit. Please be wise and don't invest more than is appropriate for you.
While I hope you follow, please consider the risks and your willingness to remain consistent. By jumping in and out you decrease your odds of success dramatically. I have seen many people join at peaks then leave after a drawdown, then repeat the process over and over. Therefore, I suggest you only follow with money that you will feel comfortable remaining consistent with. Please see this forum post about the need to remain consistent. https://forums.collective2.com/t/patienceisrequired/14586
I recommend AutoTrading and starting with $25,000 or more, and I would join all trades in progress at anytime. I believe the current C2 recommendation of $100,000 or more isn't a good estimate of what is actually needed to successfully start. If you have any questions about how I would set up AutoTrading please visit this post, in the forums: https://forums.collective2.com/t/howshouldiscalepatienceisavirtue/14636?u=interactiveassets
Good luck!
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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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