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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 09/26/2019
Most recent certification approved 9/27/19 15:59 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 10%
# trading signals issued by system since certification 72
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 69
Percent signals followed since 09/26/2019 95.8%
This information was last updated 4/1/20 12:30 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life 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 09/26/2019, 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 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

SPODD500
(124270346)

Created by: ArbiTomsen ArbiTomsen
Started: 06/2019
Stocks
Last trade: 3 days ago
Trading style: Equity Trend-following

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 $49.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
20.3%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(21.5%)
Max Drawdown
52
Num Trades
63.5%
Win Trades
1.5 : 1
Profit Factor
63.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                   (0.1%)+2.5%+5.0%+4.2%+2.4%+4.4%+5.8%+26.7%
2020(0.4%)+6.4%(7.8%)(2.9%)                                                (5.1%)

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 24 hours.

Trading Record

This strategy has placed 84 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/31/20 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 585 26.10 4/1 12:30 23.03 3.96%
Trade id #128346274
Max drawdown($2,450)
Time4/1/20 0:00
Quant open585
Worst price21.91
Drawdown as % of equity-3.96%
($1,799)
Includes Typical Broker Commissions trade costs of $5.00
3/25/20 15:58 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 365 18.79 3/26 10:17 16.87 2.04%
Trade id #128250802
Max drawdown($1,278)
Time3/26/20 0:00
Quant open365
Worst price15.29
Drawdown as % of equity-2.04%
($710)
Includes Typical Broker Commissions trade costs of $7.30
3/13/20 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 585 33.43 3/16 12:50 25.93 9.92%
Trade id #128040543
Max drawdown($6,685)
Time3/16/20 9:47
Quant open585
Worst price22.00
Drawdown as % of equity-9.92%
($4,390)
Includes Typical Broker Commissions trade costs of $5.00
3/12/20 15:58 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 750 24.02 3/13 15:45 20.48 6.83%
Trade id #128014351
Max drawdown($4,779)
Time3/13/20 0:00
Quant open750
Worst price17.65
Drawdown as % of equity-6.83%
($2,662)
Includes Typical Broker Commissions trade costs of $5.00
3/11/20 15:56 SPXL DIREXION DAILY S&P500 BULL 3X LONG 775 37.79 3/12 11:19 29.06 11.19%
Trade id #127981375
Max drawdown($8,544)
Time3/12/20 0:00
Quant open775
Worst price26.76
Drawdown as % of equity-11.19%
($6,770)
Includes Typical Broker Commissions trade costs of $5.00
3/3/20 15:56 SPXL DIREXION DAILY S&P500 BULL 3X LONG 900 51.98 3/4 15:58 58.01 0.77%
Trade id #127834707
Max drawdown($549)
Time3/3/20 15:58
Quant open900
Worst price51.37
Drawdown as % of equity-0.77%
$5,420
Includes Typical Broker Commissions trade costs of $5.00
2/28/20 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 705 48.50 3/2 15:57 55.87 0.08%
Trade id #127782084
Max drawdown($50)
Time2/28/20 15:59
Quant open705
Worst price48.43
Drawdown as % of equity-0.08%
$5,187
Includes Typical Broker Commissions trade costs of $5.00
2/27/20 15:58 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,000 16.20 2/28 15:57 17.17 0.06%
Trade id #127750354
Max drawdown($35)
Time2/27/20 16:00
Quant open2,000
Worst price16.18
Drawdown as % of equity-0.06%
$1,942
Includes Typical Broker Commissions trade costs of $5.00
2/14/20 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 860 75.33 2/18 15:58 74.58 2.12%
Trade id #127522266
Max drawdown($1,349)
Time2/18/20 11:46
Quant open860
Worst price73.76
Drawdown as % of equity-2.12%
($647)
Includes Typical Broker Commissions trade costs of $5.00
2/11/20 15:56 SPXL DIREXION DAILY S&P500 BULL 3X LONG 850 73.98 2/13 10:01 74.26 0.33%
Trade id #127464486
Max drawdown($211)
Time2/11/20 15:59
Quant open850
Worst price73.73
Drawdown as % of equity-0.33%
$234
Includes Typical Broker Commissions trade costs of $5.00
1/31/20 15:56 SPXL DIREXION DAILY S&P500 BULL 3X LONG 950 65.54 2/3 15:58 66.89 0.15%
Trade id #127316668
Max drawdown($94)
Time1/31/20 15:57
Quant open950
Worst price65.44
Drawdown as % of equity-0.15%
$1,282
Includes Typical Broker Commissions trade costs of $5.00
1/24/20 15:57 SPXL DIREXION DAILY S&P500 BULL 3X LONG 920 70.09 1/28 15:58 68.91 5.65%
Trade id #127214875
Max drawdown($3,626)
Time1/27/20 0:00
Quant open920
Worst price66.15
Drawdown as % of equity-5.65%
($1,093)
Includes Typical Broker Commissions trade costs of $5.00
1/15/20 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 895 69.71 1/16 15:57 71.33 0.06%
Trade id #127028355
Max drawdown($35)
Time1/15/20 15:59
Quant open895
Worst price69.67
Drawdown as % of equity-0.06%
$1,445
Includes Typical Broker Commissions trade costs of $5.00
1/9/20 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 920 68.85 1/10 15:57 68.29 1.23%
Trade id #126937533
Max drawdown($781)
Time1/10/20 0:00
Quant open920
Worst price68.00
Drawdown as % of equity-1.23%
($518)
Includes Typical Broker Commissions trade costs of $5.00
12/30/19 15:58 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 4,820 13.38 12/31 15:57 13.26 1.25%
Trade id #126794798
Max drawdown($793)
Time12/31/19 0:00
Quant open4,820
Worst price13.21
Drawdown as % of equity-1.25%
($564)
Includes Typical Broker Commissions trade costs of $5.00
12/24/19 12:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 955 65.77 12/26 15:58 66.62 0.12%
Trade id #126738490
Max drawdown($76)
Time12/24/19 13:00
Quant open955
Worst price65.69
Drawdown as % of equity-0.12%
$806
Includes Typical Broker Commissions trade costs of $5.00
12/19/19 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 955 64.83 12/23 15:58 65.75 0.05%
Trade id #126693292
Max drawdown($31)
Time12/19/19 15:59
Quant open955
Worst price64.80
Drawdown as % of equity-0.05%
$875
Includes Typical Broker Commissions trade costs of $5.00
12/13/19 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 970 62.84 12/17 15:58 64.22 0.13%
Trade id #126623793
Max drawdown($76)
Time12/13/19 16:00
Quant open970
Worst price62.76
Drawdown as % of equity-0.13%
$1,337
Includes Typical Broker Commissions trade costs of $5.00
12/9/19 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 980 60.91 12/10 15:58 60.59 1.09%
Trade id #126549535
Max drawdown($667)
Time12/10/19 0:00
Quant open980
Worst price60.23
Drawdown as % of equity-1.09%
($323)
Includes Typical Broker Commissions trade costs of $5.00
12/3/19 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,040 58.43 12/4 15:58 59.54 0.12%
Trade id #126468050
Max drawdown($70)
Time12/3/19 16:00
Quant open1,040
Worst price58.36
Drawdown as % of equity-0.12%
$1,156
Includes Typical Broker Commissions trade costs of $5.00
11/27/19 15:58 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,025 14.31 11/29 12:58 14.49 0.05%
Trade id #126398300
Max drawdown($30)
Time11/27/19 15:59
Quant open2,025
Worst price14.30
Drawdown as % of equity-0.05%
$352
Includes Typical Broker Commissions trade costs of $5.00
11/26/19 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 490 61.12 11/27 15:58 61.85 0.04%
Trade id #126375462
Max drawdown($23)
Time11/26/19 16:00
Quant open490
Worst price61.07
Drawdown as % of equity-0.04%
$350
Includes Typical Broker Commissions trade costs of $9.80
11/20/19 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 975 59.19 11/21 15:58 58.93 1.21%
Trade id #126295366
Max drawdown($719)
Time11/21/19 0:00
Quant open975
Worst price58.46
Drawdown as % of equity-1.21%
($261)
Includes Typical Broker Commissions trade costs of $5.00
11/8/19 15:58 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 3,800 15.22 11/11 15:58 15.29 0.18%
Trade id #126137113
Max drawdown($103)
Time11/8/19 16:00
Quant open3,800
Worst price15.19
Drawdown as % of equity-0.18%
$290
Includes Typical Broker Commissions trade costs of $5.00
11/6/19 15:58 PCG PG&E SHORT 985 6.90 11/7 9:30 6.50 0.03%
Trade id #126100393
Max drawdown($19)
Time11/6/19 16:00
Quant open985
Worst price6.92
Drawdown as % of equity-0.03%
$389
Includes Typical Broker Commissions trade costs of $5.00
11/1/19 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 985 56.65 11/7 9:30 58.13 0.06%
Trade id #126045018
Max drawdown($33)
Time11/1/19 15:59
Quant open985
Worst price56.62
Drawdown as % of equity-0.06%
$1,454
Includes Typical Broker Commissions trade costs of $5.00
10/30/19 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,050 55.66 10/31 15:58 55.06 2.24%
Trade id #126011409
Max drawdown($1,298)
Time10/31/19 0:00
Quant open1,050
Worst price54.42
Drawdown as % of equity-2.24%
($631)
Includes Typical Broker Commissions trade costs of $5.00
10/24/19 15:58 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,400 16.48 10/28 15:58 16.02 1.28%
Trade id #125939950
Max drawdown($748)
Time10/28/19 10:35
Quant open1,400
Worst price15.95
Drawdown as % of equity-1.28%
($656)
Includes Typical Broker Commissions trade costs of $5.00
10/22/19 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,065 53.09 10/24 15:58 53.64 0.58%
Trade id #125905561
Max drawdown($338)
Time10/23/19 0:00
Quant open1,065
Worst price52.77
Drawdown as % of equity-0.58%
$577
Includes Typical Broker Commissions trade costs of $7.50
10/15/19 15:58 SPXL DIREXION DAILY S&P500 BULL 3X LONG 940 53.10 10/21 15:58 53.58 1.82%
Trade id #125800934
Max drawdown($1,052)
Time10/18/19 0:00
Quant open940
Worst price51.98
Drawdown as % of equity-1.82%
$447
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    6/28/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    280.98
  • Age
    9 months ago
  • What it trades
    Stocks
  • # Trades
    52
  • # Profitable
    33
  • % Profitable
    63.50%
  • Avg trade duration
    2.1 days
  • Max peak-to-valley drawdown
    21.45%
  • drawdown period
    March 11, 2020 - April 01, 2020
  • Cumul. Return
    20.3%
  • Avg win
    $1,061
  • Avg loss
    $1,289
  • Model Account Values (Raw)
  • Cash
    $60,941
  • Margin Used
    $0
  • Buying Power
    $60,941
  • Ratios
  • W:L ratio
    1.46:1
  • Sharpe Ratio
    1.02
  • Sortino Ratio
    1.43
  • Calmar Ratio
    1.417
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    35.69%
  • Correlation to SP500
    0.28850
  • Return Percent SP500 (cumu) during strategy life
    -15.40%
  • Return Statistics
  • Ann Return (w trading costs)
    26.8%
  • Slump
  • Current Slump as Pcnt Equity
    0.27%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.09%
  • Return Statistics
  • Return Pcnt Since TOS Status
    5.580%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.203%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    29.2%
  • 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 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    916
  • Popularity (Last 6 weeks)
    995
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    301
  • Popularity (7 days, Percentile 1000 scale)
    974
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    10%
  • Win / Loss
  • Avg Loss
    $1,290
  • Avg Win
    $1,061
  • Sum Trade PL (losers)
    $24,503.000
  • AUM
  • AUM (AutoTrader num accounts)
    12
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $35,026.000
  • # Winners
    33
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    419
  • AUM
  • AUM (AutoTrader live capital)
    274078
  • Win / Loss
  • # Losers
    19
  • % Winners
    63.5%
  • Frequency
  • Avg Position Time (mins)
    2977.08
  • Avg Position Time (hrs)
    49.62
  • Avg Trade Length
    2.1 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    2.38
  • Daily leverage (max)
    3.18
  • Regression
  • Alpha
    0.07
  • Beta
    0.17
  • Treynor Index
    0.40
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.69
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    14.577
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.120
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.612
  • Hold-and-Hope Ratio
    0.069
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27033
  • SD
    0.26073
  • Sharpe ratio (Glass type estimate)
    1.03681
  • Sharpe ratio (Hedges UMVUE)
    0.93593
  • df
    8.00000
  • t
    0.89790
  • p
    0.19773
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.31110
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.32423
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37324
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.24509
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.53140
  • Upside Potential Ratio
    2.77765
  • Upside part of mean
    0.49032
  • Downside part of mean
    -0.21999
  • Upside SD
    0.18803
  • Downside SD
    0.17652
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    -0.20571
  • Mean of criterion
    0.27033
  • SD of predictor
    0.21976
  • SD of criterion
    0.26073
  • Covariance
    0.03310
  • r
    0.57766
  • b (slope, estimate of beta)
    0.68536
  • a (intercept, estimate of alpha)
    0.41131
  • Mean Square Error
    0.05177
  • DF error
    7.00000
  • t(b)
    1.87234
  • p(b)
    0.05166
  • t(a)
    1.50499
  • p(a)
    0.08802
  • Lowerbound of 95% confidence interval for beta
    -0.18020
  • Upperbound of 95% confidence interval for beta
    1.55092
  • Lowerbound of 95% confidence interval for alpha
    -0.23494
  • Upperbound of 95% confidence interval for alpha
    1.05756
  • Treynor index (mean / b)
    0.39443
  • Jensen alpha (a)
    0.41131
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23583
  • SD
    0.26846
  • Sharpe ratio (Glass type estimate)
    0.87846
  • Sharpe ratio (Hedges UMVUE)
    0.79299
  • df
    8.00000
  • t
    0.76077
  • p
    0.23431
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.44996
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.15484
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.50329
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.08927
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.23512
  • Upside Potential Ratio
    2.47506
  • Upside part of mean
    0.47258
  • Downside part of mean
    -0.23675
  • Upside SD
    0.17955
  • Downside SD
    0.19094
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    -0.23059
  • Mean of criterion
    0.23583
  • SD of predictor
    0.23416
  • SD of criterion
    0.26846
  • Covariance
    0.03962
  • r
    0.63021
  • b (slope, estimate of beta)
    0.72253
  • a (intercept, estimate of alpha)
    0.40244
  • Mean Square Error
    0.04965
  • DF error
    7.00000
  • t(b)
    2.14751
  • p(b)
    0.03443
  • t(a)
    1.49749
  • p(a)
    0.08897
  • Lowerbound of 95% confidence interval for beta
    -0.07305
  • Upperbound of 95% confidence interval for beta
    1.51812
  • Lowerbound of 95% confidence interval for alpha
    -0.23304
  • Upperbound of 95% confidence interval for alpha
    1.03792
  • Treynor index (mean / b)
    0.32639
  • Jensen alpha (a)
    0.40244
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10221
  • Expected Shortfall on VaR
    0.13046
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02194
  • Expected Shortfall on VaR
    0.05653
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.84998
  • Quartile 1
    1.02682
  • Median
    1.03712
  • Quartile 3
    1.05146
  • Maximum
    1.12457
  • Mean of quarter 1
    0.95549
  • Mean of quarter 2
    1.03239
  • Mean of quarter 3
    1.04721
  • Mean of quarter 4
    1.09901
  • Inter Quartile Range
    0.02464
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.22222
  • Mean of outliers low
    0.91983
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.12457
  • 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)
    0.91161
  • VaR(95%) (regression method)
    0.20518
  • Expected Shortfall (regression method)
    3.17857
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01032
  • Quartile 1
    0.04524
  • Median
    0.08017
  • Quartile 3
    0.11509
  • Maximum
    0.15002
  • Mean of quarter 1
    0.01032
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.15002
  • Inter Quartile Range
    0.06985
  • 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)
    0.29163
  • Compounded annual return (geometric extrapolation)
    0.30179
  • Calmar ratio (compounded annual return / max draw down)
    2.01164
  • Compounded annual return / average of 25% largest draw downs
    2.01164
  • Compounded annual return / Expected Shortfall lognormal
    2.31321
  • 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
    0.25458
  • SD
    0.20245
  • Sharpe ratio (Glass type estimate)
    1.25749
  • Sharpe ratio (Hedges UMVUE)
    1.25269
  • df
    197.00000
  • t
    1.09317
  • p
    0.45062
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00203
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.51397
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.00528
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.51067
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.74503
  • Upside Potential Ratio
    6.27839
  • Upside part of mean
    0.91595
  • Downside part of mean
    -0.66137
  • Upside SD
    0.14051
  • Downside SD
    0.14589
  • N nonnegative terms
    68.00000
  • N negative terms
    130.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    198.00000
  • Mean of predictor
    -0.18918
  • Mean of criterion
    0.25458
  • SD of predictor
    0.34504
  • SD of criterion
    0.20245
  • Covariance
    0.02191
  • r
    0.31361
  • b (slope, estimate of beta)
    0.18401
  • a (intercept, estimate of alpha)
    0.28900
  • Mean Square Error
    0.03714
  • DF error
    196.00000
  • t(b)
    4.62385
  • p(b)
    0.34319
  • t(a)
    1.30459
  • p(a)
    0.45361
  • Lowerbound of 95% confidence interval for beta
    0.10553
  • Upperbound of 95% confidence interval for beta
    0.26250
  • Lowerbound of 95% confidence interval for alpha
    -0.14808
  • Upperbound of 95% confidence interval for alpha
    0.72687
  • Treynor index (mean / b)
    1.38349
  • Jensen alpha (a)
    0.28939
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23383
  • SD
    0.20414
  • Sharpe ratio (Glass type estimate)
    1.14543
  • Sharpe ratio (Hedges UMVUE)
    1.14106
  • df
    197.00000
  • t
    0.99575
  • p
    0.45499
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11343
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.40141
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11633
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.39846
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.55913
  • Upside Potential Ratio
    6.04208
  • Upside part of mean
    0.90617
  • Downside part of mean
    -0.67234
  • Upside SD
    0.13849
  • Downside SD
    0.14998
  • N nonnegative terms
    68.00000
  • N negative terms
    130.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    198.00000
  • Mean of predictor
    -0.24924
  • Mean of criterion
    0.23383
  • SD of predictor
    0.34852
  • SD of criterion
    0.20414
  • Covariance
    0.02391
  • r
    0.33600
  • b (slope, estimate of beta)
    0.19681
  • a (intercept, estimate of alpha)
    0.28289
  • Mean Square Error
    0.03716
  • DF error
    196.00000
  • t(b)
    4.99434
  • p(b)
    0.33200
  • t(a)
    1.27449
  • p(a)
    0.45467
  • Lowerbound of 95% confidence interval for beta
    0.11910
  • Upperbound of 95% confidence interval for beta
    0.27453
  • Lowerbound of 95% confidence interval for alpha
    -0.15485
  • Upperbound of 95% confidence interval for alpha
    0.72062
  • Treynor index (mean / b)
    1.18810
  • Jensen alpha (a)
    0.28289
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01966
  • Expected Shortfall on VaR
    0.02480
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00673
  • Expected Shortfall on VaR
    0.01493
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    198.00000
  • Minimum
    0.92633
  • Quartile 1
    0.99959
  • Median
    1.00000
  • Quartile 3
    1.00276
  • Maximum
    1.04435
  • Mean of quarter 1
    0.99033
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00042
  • Mean of quarter 4
    1.01358
  • Inter Quartile Range
    0.00317
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.11616
  • Mean of outliers low
    0.98120
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.15152
  • Mean of outliers high
    1.01952
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.94553
  • VaR(95%) (moments method)
    0.00624
  • Expected Shortfall (moments method)
    0.12961
  • Extreme Value Index (regression method)
    0.57416
  • VaR(95%) (regression method)
    0.00781
  • Expected Shortfall (regression method)
    0.02401
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00041
  • Quartile 1
    0.00294
  • Median
    0.00643
  • Quartile 3
    0.01940
  • Maximum
    0.21107
  • Mean of quarter 1
    0.00120
  • Mean of quarter 2
    0.00417
  • Mean of quarter 3
    0.01565
  • Mean of quarter 4
    0.06958
  • Inter Quartile Range
    0.01646
  • 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
    0.05000
  • Mean of outliers high
    0.21107
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.50153
  • VaR(95%) (moments method)
    0.06382
  • Expected Shortfall (moments method)
    0.15131
  • Extreme Value Index (regression method)
    1.07061
  • VaR(95%) (regression method)
    0.05555
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28942
  • Compounded annual return (geometric extrapolation)
    0.29919
  • Calmar ratio (compounded annual return / max draw down)
    1.41749
  • Compounded annual return / average of 25% largest draw downs
    4.29961
  • Compounded annual return / Expected Shortfall lognormal
    12.06450
  • 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
    0.15562
  • SD
    0.22217
  • Sharpe ratio (Glass type estimate)
    0.70048
  • Sharpe ratio (Hedges UMVUE)
    0.69643
  • df
    130.00000
  • t
    0.49531
  • p
    0.47830
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.07397
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.47227
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.07667
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.46953
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.92197
  • Upside Potential Ratio
    5.43047
  • Upside part of mean
    0.91663
  • Downside part of mean
    -0.76100
  • Upside SD
    0.14347
  • Downside SD
    0.16879
  • N nonnegative terms
    47.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.27635
  • Mean of criterion
    0.15562
  • SD of predictor
    0.41096
  • SD of criterion
    0.22217
  • Covariance
    0.02961
  • r
    0.32430
  • b (slope, estimate of beta)
    0.17532
  • a (intercept, estimate of alpha)
    0.20407
  • Mean Square Error
    0.04451
  • DF error
    129.00000
  • t(b)
    3.89374
  • p(b)
    0.29722
  • t(a)
    0.68338
  • p(a)
    0.46179
  • Lowerbound of 95% confidence interval for beta
    0.08623
  • Upperbound of 95% confidence interval for beta
    0.26440
  • Lowerbound of 95% confidence interval for alpha
    -0.38676
  • Upperbound of 95% confidence interval for alpha
    0.79490
  • Treynor index (mean / b)
    0.88766
  • Jensen alpha (a)
    0.20407
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13069
  • SD
    0.22483
  • Sharpe ratio (Glass type estimate)
    0.58130
  • Sharpe ratio (Hedges UMVUE)
    0.57794
  • df
    130.00000
  • t
    0.41104
  • p
    0.48199
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.19250
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.35292
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.19476
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.35063
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.75150
  • Upside Potential Ratio
    5.21213
  • Upside part of mean
    0.90644
  • Downside part of mean
    -0.77575
  • Upside SD
    0.14136
  • Downside SD
    0.17391
  • N nonnegative terms
    47.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.36141
  • Mean of criterion
    0.13069
  • SD of predictor
    0.41519
  • SD of criterion
    0.22483
  • Covariance
    0.03260
  • r
    0.34922
  • b (slope, estimate of beta)
    0.18911
  • a (intercept, estimate of alpha)
    0.19904
  • Mean Square Error
    0.04473
  • DF error
    129.00000
  • t(b)
    4.23287
  • p(b)
    0.28229
  • t(a)
    0.66451
  • p(a)
    0.46284
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    0.10072
  • Upperbound of 95% confidence interval for beta
    0.27750
  • Lowerbound of 95% confidence interval for alpha
    -0.39359
  • Upperbound of 95% confidence interval for alpha
    0.79167
  • Treynor index (mean / b)
    0.69110
  • Jensen alpha (a)
    0.19904
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02210
  • Expected Shortfall on VaR
    0.02775
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00762
  • Expected Shortfall on VaR
    0.01696
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92633
  • Quartile 1
    0.99930
  • Median
    1.00000
  • Quartile 3
    1.00249
  • Maximum
    1.04435
  • Mean of quarter 1
    0.98887
  • Mean of quarter 2
    0.99987
  • Mean of quarter 3
    1.00049
  • Mean of quarter 4
    1.01357
  • Inter Quartile Range
    0.00319
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.11450
  • Mean of outliers low
    0.97827
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.02122
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.98144
  • VaR(95%) (moments method)
    0.00689
  • Expected Shortfall (moments method)
    0.41475
  • Extreme Value Index (regression method)
    0.64907
  • VaR(95%) (regression method)
    0.00851
  • Expected Shortfall (regression method)
    0.03069
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00041
  • Quartile 1
    0.00262
  • Median
    0.00643
  • Quartile 3
    0.01752
  • Maximum
    0.21107
  • Mean of quarter 1
    0.00107
  • Mean of quarter 2
    0.00454
  • Mean of quarter 3
    0.01202
  • Mean of quarter 4
    0.07187
  • Inter Quartile Range
    0.01489
  • 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
    0.07143
  • Mean of outliers high
    0.21107
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.00448
  • VaR(95%) (moments method)
    0.08357
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    3.63064
  • VaR(95%) (regression method)
    0.19675
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -267418000
  • Max Equity Drawdown (num days)
    21
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16506
  • Compounded annual return (geometric extrapolation)
    0.17187
  • Calmar ratio (compounded annual return / max draw down)
    0.81429
  • Compounded annual return / average of 25% largest draw downs
    2.39143
  • Compounded annual return / Expected Shortfall lognormal
    6.19418

Strategy Description

This system is designed for non-marginable accounts such as IRA's and Cash accounts. It works well with traditional mutual funds that trade end of day at NAV too (when traded manually). The goal is to provide a low cost trading system that will eliminate the need for margin, and eliminates the need for expensive auto trade fees while still providing good returns and limited exposure to the market volatility by being in a trade less than 40% of open trading days.
Buys: We adjust equity employed to purchase long or short position in the S&P 500 (3X) without using margin. We are selective and intentional when we place a trade. Trades are placed to execute near the end of the day. Due to C2 limitations a MOC (market on close order) is unavailable so we will use the parked order system to execute at or near the close of the market (15.57 or 15:58 EST). We will try and give you at least 2 hours to place your parked order for those not on auto trade.
Sales: For most of the sales we will close the position the following day at the close of the market but occasionally will hold a trade as long as the odds hold up for as many as 4 consecutive days. We will give you plenty of notice as to when we expect to close a trade. By holding consecutive probability trades, this will help keep brokerage commissions low rather than churning in and out of a position.
Methodology: Our system uses an algorithm that calculates the odds that the S&P will close up or down on the following day. When the odds show a significant chance that the market will close up or down the following day, we place a trade in the direction of that signal the day before. Stops: We recognize the market doesn't always behave in predictable patterns, so in the event the market drifts in the opposite direction of our trade, we monitor the position and if necessary we place a stop at 4.5% of the trade. We do not place stops as soon as we open a trade due to gaps which often backfill. Remember the market can gap down or up and a stop is no way to eliminate market gaps and can even cause you to sell as soon as the market opens at the worst possible price. When a trade gaps against us, we monitor the situation and place stops to prevent additional capital erosion. Sometimes the market may gap in the opposite direction of our trade and then recover throughout the day.
Risks: Overnight Risk, Leveraged ETF risks which are unique, General market directional risks, order execution risks, in the event of catastrophic moves you should refer to the SPXL and or SPXS prospectus' to identify how they handle payouts.

Summary Statistics

Strategy began
2019-06-28
Suggested Minimum Capital
$15,000
# Trades
52
# Profitable
33
% Profitable
63.5%
Net Dividends
Correlation S&P500
0.288
Sharpe Ratio
1.02
Sortino Ratio
1.43
Beta
0.17
Alpha
0.07
Leverage
2.38 Average
3.18 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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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.