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

Diversified ETFs
(124978054)

Created by: ForexTargets ForexTargets
Started: 08/2019
Stocks
Last trade: 24 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 $117.00 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.
41.3%
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.

(26.5%)
Max Drawdown
96
Num Trades
58.3%
Win Trades
1.8 : 1
Profit Factor
76.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                 +0.2%+4.0%+2.0%+8.3%+1.3%+16.7%
2020+0.6%+18.0%(18.8%)+2.9%(5.8%)+16.7%+12.3%(1.2%)                        +21.0%

Model Account Details

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

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

Trading Record

This strategy has placed 44 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/9/20 12:03 SPXL DIREXION DAILY S&P500 BULL 3X LONG 805 43.53 7/10 15:28 45.33 0.34%
Trade id #129995516
Max drawdown($88)
Time7/9/20 12:33
Quant open805
Worst price43.42
Drawdown as % of equity-0.34%
$1,444
Includes Typical Broker Commissions trade costs of $5.00
6/29/20 15:57 SPXL DIREXION DAILY S&P500 BULL 3X LONG 754 39.84 7/9 11:02 42.90 n/a $2,302
Includes Typical Broker Commissions trade costs of $5.00
6/29/20 15:50 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 820 30.53 6/29 15:56 30.58 0.02%
Trade id #129808768
Max drawdown($4)
Time6/29/20 15:53
Quant open820
Worst price30.52
Drawdown as % of equity-0.02%
$36
Includes Typical Broker Commissions trade costs of $5.00
6/22/20 15:43 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 253 39.55 6/29 9:33 41.40 1.07%
Trade id #129692716
Max drawdown($237)
Time6/23/20 0:00
Quant open253
Worst price38.61
Drawdown as % of equity-1.07%
$463
Includes Typical Broker Commissions trade costs of $5.06
6/19/20 15:46 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,567 7.84 6/25 11:58 8.24 4.5%
Trade id #129667393
Max drawdown($1,000)
Time6/23/20 0:00
Quant open2,567
Worst price7.45
Drawdown as % of equity-4.50%
$1,022
Includes Typical Broker Commissions trade costs of $5.00
5/22/20 11:29 SOXL DIREXION DAILY SEMICONDCT BULL LONG 29 138.17 6/4 11:34 180.03 0.33%
Trade id #129152403
Max drawdown($71)
Time5/27/20 0:00
Quant open29
Worst price135.69
Drawdown as % of equity-0.33%
$1,213
Includes Typical Broker Commissions trade costs of $0.58
5/22/20 11:28 LABU DIREXION DAILY S&P BIOTECH BULL LONG 79 50.47 5/27 9:30 47.34 1.11%
Trade id #129152352
Max drawdown($241)
Time5/27/20 9:30
Quant open79
Worst price47.41
Drawdown as % of equity-1.11%
($249)
Includes Typical Broker Commissions trade costs of $1.58
5/12/20 11:22 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 467 9.84 5/18 15:50 9.34 1.06%
Trade id #128981664
Max drawdown($228)
Time5/18/20 15:47
Quant open467
Worst price9.35
Drawdown as % of equity-1.06%
($243)
Includes Typical Broker Commissions trade costs of $9.34
4/29/20 15:48 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 146 31.49 5/7 14:07 28.37 2.05%
Trade id #128793978
Max drawdown($452)
Time5/7/20 14:07
Quant open146
Worst price28.39
Drawdown as % of equity-2.05%
($459)
Includes Typical Broker Commissions trade costs of $2.92
4/3/20 15:48 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 88 45.22 5/6 9:30 40.52 1.86%
Trade id #128411441
Max drawdown($415)
Time5/6/20 9:30
Quant open88
Worst price40.50
Drawdown as % of equity-1.86%
($416)
Includes Typical Broker Commissions trade costs of $1.76
4/20/20 15:57 DRN DIREXION DAILY REAL ES BULL 3X LONG 516 8.76 4/27 15:45 9.34 2.07%
Trade id #128659261
Max drawdown($454)
Time4/21/20 0:00
Quant open516
Worst price7.88
Drawdown as % of equity-2.07%
$294
Includes Typical Broker Commissions trade costs of $5.00
4/15/20 15:47 TQQQ PROSHARES ULTRAPRO QQQ LONG 64 62.14 4/27 15:45 66.81 1.7%
Trade id #128584703
Max drawdown($373)
Time4/21/20 0:00
Quant open64
Worst price56.31
Drawdown as % of equity-1.70%
$298
Includes Typical Broker Commissions trade costs of $1.28
4/9/20 10:03 SPXL DIREXION DAILY S&P500 BULL 3X LONG 122 32.73 4/27 15:45 35.00 1.75%
Trade id #128495892
Max drawdown($384)
Time4/21/20 0:00
Quant open122
Worst price29.58
Drawdown as % of equity-1.75%
$275
Includes Typical Broker Commissions trade costs of $2.44
4/13/20 10:13 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 123 32.42 4/27 13:42 32.90 1.64%
Trade id #128534462
Max drawdown($359)
Time4/21/20 0:00
Quant open123
Worst price29.50
Drawdown as % of equity-1.64%
$57
Includes Typical Broker Commissions trade costs of $2.46
4/13/20 10:31 UCO PROSHARES ULTRA BLOOMBERG CRUD LONG 1,951 2.06 4/14 11:12 1.84 2.32%
Trade id #128534971
Max drawdown($507)
Time4/14/20 0:00
Quant open1,951
Worst price1.80
Drawdown as % of equity-2.32%
($434)
Includes Typical Broker Commissions trade costs of $5.00
4/13/20 10:12 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 2,139 1.88 4/13 11:43 1.68 1.86%
Trade id #128534442
Max drawdown($406)
Time4/13/20 11:43
Quant open2,139
Worst price1.69
Drawdown as % of equity-1.86%
($433)
Includes Typical Broker Commissions trade costs of $5.00
4/6/20 13:49 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 530 8.46 4/13 10:11 9.86 0.67%
Trade id #128436821
Max drawdown($148)
Time4/7/20 0:00
Quant open530
Worst price8.18
Drawdown as % of equity-0.67%
$737
Includes Typical Broker Commissions trade costs of $5.00
4/3/20 15:48 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 517 7.80 4/3 15:51 7.75 0.09%
Trade id #128411417
Max drawdown($20)
Time4/3/20 15:51
Quant open517
Worst price7.76
Drawdown as % of equity-0.09%
($31)
Includes Typical Broker Commissions trade costs of $5.00
3/30/20 15:52 TQQQ PROSHARES ULTRAPRO QQQ LONG 82 48.72 4/1 9:30 43.65 1.87%
Trade id #128322983
Max drawdown($421)
Time4/1/20 9:30
Quant open82
Worst price43.58
Drawdown as % of equity-1.87%
($418)
Includes Typical Broker Commissions trade costs of $1.64
3/23/20 15:50 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 83 30.14 3/30 15:52 30.15 0.3%
Trade id #128201539
Max drawdown($67)
Time3/30/20 9:44
Quant open83
Worst price29.33
Drawdown as % of equity-0.30%
($1)
Includes Typical Broker Commissions trade costs of $1.66
3/23/20 15:55 GASL DIREXION DAILY NAT GAS RLTD BU LONG 2 680.00 3/27 16:00 6.34 8.08%
Trade id #128201706
Max drawdown($1,986)
Time3/23/20 15:58
Quant open295
Worst price0.07
Drawdown as % of equity-8.08%
($1,347)
Includes Typical Broker Commissions trade costs of $0.04
3/23/20 15:54 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 471 4.31 3/24 9:30 3.10 3.92%
Trade id #128201664
Max drawdown($970)
Time3/24/20 0:00
Quant open471
Worst price2.25
Drawdown as % of equity-3.92%
($579)
Includes Typical Broker Commissions trade costs of $9.42
3/16/20 15:49 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 296 10.22 3/18 13:14 8.73 1.09%
Trade id #128073326
Max drawdown($278)
Time3/18/20 13:14
Quant open296
Worst price9.28
Drawdown as % of equity-1.09%
($447)
Includes Typical Broker Commissions trade costs of $5.92
3/16/20 15:50 WTIU UBS ETRACS PROSHARES DAILY 3X LONG CRUDE ETN LONG 3,000 0.83 3/17 13:43 0.72 2.09%
Trade id #128073358
Max drawdown($530)
Time3/17/20 0:00
Quant open3,000
Worst price0.66
Drawdown as % of equity-2.09%
($339)
Includes Typical Broker Commissions trade costs of $5.00
3/11/20 14:53 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 57 43.66 3/11 15:56 39.38 0.93%
Trade id #127980090
Max drawdown($239)
Time3/11/20 15:56
Quant open57
Worst price39.47
Drawdown as % of equity-0.93%
($245)
Includes Typical Broker Commissions trade costs of $1.14
3/9/20 15:41 SPXL DIREXION DAILY S&P500 BULL 3X LONG 62 40.39 3/11 15:07 36.35 0.96%
Trade id #127930984
Max drawdown($247)
Time3/11/20 15:07
Quant open62
Worst price36.40
Drawdown as % of equity-0.96%
($251)
Includes Typical Broker Commissions trade costs of $1.24
3/9/20 15:42 DRN DIREXION DAILY REAL ES BULL 3X LONG 119 21.15 3/11 12:32 18.79 0.99%
Trade id #127931000
Max drawdown($255)
Time3/11/20 12:32
Quant open119
Worst price19.00
Drawdown as % of equity-0.99%
($283)
Includes Typical Broker Commissions trade costs of $2.38
3/9/20 15:43 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 48 52.40 3/10 9:38 47.24 1.74%
Trade id #127931016
Max drawdown($457)
Time3/10/20 0:00
Quant open48
Worst price42.86
Drawdown as % of equity-1.74%
($249)
Includes Typical Broker Commissions trade costs of $0.96
2/25/20 15:24 TMV DIREXION DAILY 20+ YR TRSY BEA LONG 550 8.37 3/3 13:31 7.52 1.65%
Trade id #127705936
Max drawdown($456)
Time3/2/20 0:00
Quant open550
Worst price7.54
Drawdown as % of equity-1.65%
($473)
Includes Typical Broker Commissions trade costs of $5.00
2/25/20 15:23 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 962 4.79 3/3 9:30 5.91 0.02%
Trade id #127705906
Max drawdown($4)
Time2/25/20 15:24
Quant open962
Worst price4.78
Drawdown as % of equity-0.02%
$1,079
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    8/18/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    357.23
  • Age
    12 months ago
  • What it trades
    Stocks
  • # Trades
    96
  • # Profitable
    56
  • % Profitable
    58.30%
  • Avg trade duration
    7.1 days
  • Max peak-to-valley drawdown
    26.55%
  • drawdown period
    Feb 28, 2020 - April 21, 2020
  • Cumul. Return
    41.3%
  • Avg win
    $409.09
  • Avg loss
    $324.93
  • Model Account Values (Raw)
  • Cash
    $18,127
  • Margin Used
    $0
  • Buying Power
    $18,787
  • Ratios
  • W:L ratio
    1.78:1
  • Sharpe Ratio
    1.38
  • Sortino Ratio
    2.24
  • Calmar Ratio
    2.401
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    25.27%
  • Correlation to SP500
    0.04110
  • Return Percent SP500 (cumu) during strategy life
    16.01%
  • Return Statistics
  • Ann Return (w trading costs)
    41.9%
  • Slump
  • Current Slump as Pcnt Equity
    2.20%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.413%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    51.2%
  • 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)
    0
  • Popularity (Last 6 weeks)
    778
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    929
  • Popularity (7 days, Percentile 1000 scale)
    625
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $325
  • Avg Win
    $409
  • Sum Trade PL (losers)
    $12,997.000
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $22,909.000
  • # Winners
    56
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    97
  • Win / Loss
  • # Losers
    40
  • % Winners
    58.3%
  • Frequency
  • Avg Position Time (mins)
    10177.30
  • Avg Position Time (hrs)
    169.62
  • Avg Trade Length
    7.1 days
  • Last Trade Ago
    24
  • Leverage
  • Daily leverage (average)
    1.47
  • Daily leverage (max)
    4.15
  • Regression
  • Alpha
    0.10
  • Beta
    0.03
  • Treynor Index
    3.73
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.80
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    3.097
  • 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
    0.343
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.111
  • Hold-and-Hope Ratio
    0.323
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46900
  • SD
    0.28804
  • Sharpe ratio (Glass type estimate)
    1.62826
  • Sharpe ratio (Hedges UMVUE)
    1.50247
  • df
    10.00000
  • t
    1.55894
  • p
    0.07503
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57240
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.75727
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64794
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.65288
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.89566
  • Upside Potential Ratio
    5.06738
  • Upside part of mean
    0.61006
  • Downside part of mean
    -0.14106
  • Upside SD
    0.28153
  • Downside SD
    0.12039
  • N nonnegative terms
    8.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.24164
  • Mean of criterion
    0.46900
  • SD of predictor
    0.47242
  • SD of criterion
    0.28804
  • Covariance
    -0.01518
  • r
    -0.11156
  • b (slope, estimate of beta)
    -0.06802
  • a (intercept, estimate of alpha)
    0.48544
  • Mean Square Error
    0.09104
  • DF error
    9.00000
  • t(b)
    -0.33677
  • p(b)
    0.62799
  • t(a)
    1.52224
  • p(a)
    0.08114
  • Lowerbound of 95% confidence interval for beta
    -0.52490
  • Upperbound of 95% confidence interval for beta
    0.38887
  • Lowerbound of 95% confidence interval for alpha
    -0.23596
  • Upperbound of 95% confidence interval for alpha
    1.20683
  • Treynor index (mean / b)
    -6.89538
  • Jensen alpha (a)
    0.48544
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42583
  • SD
    0.27342
  • Sharpe ratio (Glass type estimate)
    1.55745
  • Sharpe ratio (Hedges UMVUE)
    1.43713
  • df
    10.00000
  • t
    1.49114
  • p
    0.08339
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63223
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.67792
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70469
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.57894
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.33134
  • Upside Potential Ratio
    4.49631
  • Upside part of mean
    0.57474
  • Downside part of mean
    -0.14891
  • Upside SD
    0.25833
  • Downside SD
    0.12783
  • N nonnegative terms
    8.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.12414
  • Mean of criterion
    0.42583
  • SD of predictor
    0.52642
  • SD of criterion
    0.27342
  • Covariance
    -0.00955
  • r
    -0.06634
  • b (slope, estimate of beta)
    -0.03446
  • a (intercept, estimate of alpha)
    0.43011
  • Mean Square Error
    0.08270
  • DF error
    9.00000
  • t(b)
    -0.19947
  • p(b)
    0.57683
  • t(a)
    1.42835
  • p(a)
    0.09348
  • Lowerbound of 95% confidence interval for beta
    -0.42524
  • Upperbound of 95% confidence interval for beta
    0.35633
  • Lowerbound of 95% confidence interval for alpha
    -0.25108
  • Upperbound of 95% confidence interval for alpha
    1.11130
  • Treynor index (mean / b)
    -12.35800
  • Jensen alpha (a)
    0.43011
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09003
  • Expected Shortfall on VaR
    0.11918
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01666
  • Expected Shortfall on VaR
    0.04127
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.88519
  • Quartile 1
    1.00542
  • Median
    1.03107
  • Quartile 3
    1.05649
  • Maximum
    1.23224
  • Mean of quarter 1
    0.95690
  • Mean of quarter 2
    1.02519
  • Mean of quarter 3
    1.05295
  • Mean of quarter 4
    1.12592
  • Inter Quartile Range
    0.05107
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.88519
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    1.23224
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.38155
  • VaR(95%) (moments method)
    0.04300
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    7.11034
  • VaR(95%) (regression method)
    0.57772
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00744
  • Quartile 1
    0.03585
  • Median
    0.06425
  • Quartile 3
    0.09265
  • Maximum
    0.12105
  • Mean of quarter 1
    0.00744
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.12105
  • Inter Quartile Range
    0.05680
  • 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)
    0.52090
  • Compounded annual return (geometric extrapolation)
    0.53086
  • Calmar ratio (compounded annual return / max draw down)
    4.38536
  • Compounded annual return / average of 25% largest draw downs
    4.38536
  • Compounded annual return / Expected Shortfall lognormal
    4.45447
  • 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
    0.45254
  • SD
    0.21369
  • Sharpe ratio (Glass type estimate)
    2.11776
  • Sharpe ratio (Hedges UMVUE)
    2.11143
  • df
    251.00000
  • t
    2.07696
  • p
    0.01941
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10864
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.12273
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10444
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.11842
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.48108
  • Upside Potential Ratio
    10.24020
  • Upside part of mean
    1.33122
  • Downside part of mean
    -0.87869
  • Upside SD
    0.17136
  • Downside SD
    0.13000
  • N nonnegative terms
    154.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    252.00000
  • Mean of predictor
    0.19987
  • Mean of criterion
    0.45254
  • SD of predictor
    0.33933
  • SD of criterion
    0.21369
  • Covariance
    0.00224
  • r
    0.03084
  • b (slope, estimate of beta)
    0.01942
  • a (intercept, estimate of alpha)
    0.44900
  • Mean Square Error
    0.04580
  • DF error
    250.00000
  • t(b)
    0.48793
  • p(b)
    0.31301
  • t(a)
    2.05464
  • p(a)
    0.02048
  • Lowerbound of 95% confidence interval for beta
    -0.05898
  • Upperbound of 95% confidence interval for beta
    0.09783
  • Lowerbound of 95% confidence interval for alpha
    0.01859
  • Upperbound of 95% confidence interval for alpha
    0.87872
  • Treynor index (mean / b)
    23.29780
  • Jensen alpha (a)
    0.44866
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42956
  • SD
    0.21282
  • Sharpe ratio (Glass type estimate)
    2.01837
  • Sharpe ratio (Hedges UMVUE)
    2.01234
  • df
    251.00000
  • t
    1.97948
  • p
    0.02443
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.01016
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.02268
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00613
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01855
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.25371
  • Upside Potential Ratio
    9.97468
  • Upside part of mean
    1.31687
  • Downside part of mean
    -0.88731
  • Upside SD
    0.16849
  • Downside SD
    0.13202
  • N nonnegative terms
    154.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    252.00000
  • Mean of predictor
    0.14193
  • Mean of criterion
    0.42956
  • SD of predictor
    0.34193
  • SD of criterion
    0.21282
  • Covariance
    0.00257
  • r
    0.03531
  • b (slope, estimate of beta)
    0.02198
  • a (intercept, estimate of alpha)
    0.42644
  • Mean Square Error
    0.04542
  • DF error
    250.00000
  • t(b)
    0.55869
  • p(b)
    0.28844
  • t(a)
    1.96176
  • p(a)
    0.02545
  • Lowerbound of 95% confidence interval for beta
    -0.05550
  • Upperbound of 95% confidence interval for beta
    0.09946
  • Lowerbound of 95% confidence interval for alpha
    -0.00168
  • Upperbound of 95% confidence interval for alpha
    0.85456
  • Treynor index (mean / b)
    19.54390
  • Jensen alpha (a)
    0.42644
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01979
  • Expected Shortfall on VaR
    0.02515
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00642
  • Expected Shortfall on VaR
    0.01395
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    252.00000
  • Minimum
    0.94845
  • Quartile 1
    0.99671
  • Median
    1.00058
  • Quartile 3
    1.00615
  • Maximum
    1.06823
  • Mean of quarter 1
    0.98752
  • Mean of quarter 2
    0.99911
  • Mean of quarter 3
    1.00289
  • Mean of quarter 4
    1.01740
  • Inter Quartile Range
    0.00944
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.05159
  • Mean of outliers low
    0.97146
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.06746
  • Mean of outliers high
    1.03278
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.34661
  • VaR(95%) (moments method)
    0.01160
  • Expected Shortfall (moments method)
    0.02139
  • Extreme Value Index (regression method)
    0.20948
  • VaR(95%) (regression method)
    0.01263
  • Expected Shortfall (regression method)
    0.02085
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00033
  • Quartile 1
    0.00202
  • Median
    0.00693
  • Quartile 3
    0.01863
  • Maximum
    0.22351
  • Mean of quarter 1
    0.00119
  • Mean of quarter 2
    0.00445
  • Mean of quarter 3
    0.01118
  • Mean of quarter 4
    0.06769
  • Inter Quartile Range
    0.01661
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.08696
  • Mean of outliers high
    0.14552
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.63335
  • VaR(95%) (moments method)
    0.06792
  • Expected Shortfall (moments method)
    0.20645
  • Extreme Value Index (regression method)
    1.18011
  • VaR(95%) (regression method)
    0.09220
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.53189
  • Compounded annual return (geometric extrapolation)
    0.53658
  • Calmar ratio (compounded annual return / max draw down)
    2.40064
  • Compounded annual return / average of 25% largest draw downs
    7.92652
  • Compounded annual return / Expected Shortfall lognormal
    21.33670
  • 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
    0.49011
  • SD
    0.27336
  • Sharpe ratio (Glass type estimate)
    1.79292
  • Sharpe ratio (Hedges UMVUE)
    1.78256
  • df
    130.00000
  • t
    1.26778
  • p
    0.44474
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99083
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.56989
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99771
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.56282
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.93735
  • Upside Potential Ratio
    10.27220
  • Upside part of mean
    1.71395
  • Downside part of mean
    -1.22384
  • Upside SD
    0.21732
  • Downside SD
    0.16685
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10915
  • Mean of criterion
    0.49011
  • SD of predictor
    0.45965
  • SD of criterion
    0.27336
  • Covariance
    0.00504
  • r
    0.04009
  • b (slope, estimate of beta)
    0.02384
  • a (intercept, estimate of alpha)
    0.48750
  • Mean Square Error
    0.07518
  • DF error
    129.00000
  • t(b)
    0.45566
  • p(b)
    0.47449
  • t(a)
    1.25707
  • p(a)
    0.43011
  • Lowerbound of 95% confidence interval for beta
    -0.07967
  • Upperbound of 95% confidence interval for beta
    0.12735
  • Lowerbound of 95% confidence interval for alpha
    -0.27979
  • Upperbound of 95% confidence interval for alpha
    1.25479
  • Treynor index (mean / b)
    20.55850
  • Jensen alpha (a)
    0.48750
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.45284
  • SD
    0.27215
  • Sharpe ratio (Glass type estimate)
    1.66395
  • Sharpe ratio (Hedges UMVUE)
    1.65433
  • df
    130.00000
  • t
    1.17659
  • p
    0.44868
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11838
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.43998
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12476
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.43342
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.66870
  • Upside Potential Ratio
    9.96500
  • Upside part of mean
    1.69091
  • Downside part of mean
    -1.23808
  • Upside SD
    0.21328
  • Downside SD
    0.16969
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.00329
  • Mean of criterion
    0.45284
  • SD of predictor
    0.46323
  • SD of criterion
    0.27215
  • Covariance
    0.00568
  • r
    0.04507
  • b (slope, estimate of beta)
    0.02648
  • a (intercept, estimate of alpha)
    0.45275
  • Mean Square Error
    0.07449
  • DF error
    129.00000
  • t(b)
    0.51244
  • p(b)
    0.47132
  • t(a)
    1.17302
  • p(a)
    0.43471
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    -0.07576
  • Upperbound of 95% confidence interval for beta
    0.12872
  • Lowerbound of 95% confidence interval for alpha
    -0.31090
  • Upperbound of 95% confidence interval for alpha
    1.21641
  • Treynor index (mean / b)
    17.10120
  • Jensen alpha (a)
    0.45275
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02559
  • Expected Shortfall on VaR
    0.03240
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00940
  • Expected Shortfall on VaR
    0.01962
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94845
  • Quartile 1
    0.99371
  • Median
    1.00000
  • Quartile 3
    1.00816
  • Maximum
    1.06823
  • Mean of quarter 1
    0.98318
  • Mean of quarter 2
    0.99827
  • Mean of quarter 3
    1.00321
  • Mean of quarter 4
    1.02286
  • Inter Quartile Range
    0.01445
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.96043
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.04363
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30300
  • VaR(95%) (moments method)
    0.01687
  • Expected Shortfall (moments method)
    0.02886
  • Extreme Value Index (regression method)
    0.16365
  • VaR(95%) (regression method)
    0.01631
  • Expected Shortfall (regression method)
    0.02473
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00062
  • Quartile 1
    0.00634
  • Median
    0.01023
  • Quartile 3
    0.02713
  • Maximum
    0.22351
  • Mean of quarter 1
    0.00277
  • Mean of quarter 2
    0.00893
  • Mean of quarter 3
    0.01961
  • Mean of quarter 4
    0.12752
  • Inter Quartile Range
    0.02079
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.22351
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.96462
  • VaR(95%) (moments method)
    0.12929
  • Expected Shortfall (moments method)
    3.78110
  • Extreme Value Index (regression method)
    4.45271
  • VaR(95%) (regression method)
    0.97102
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -262925000
  • Max Equity Drawdown (num days)
    53
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.50820
  • Compounded annual return (geometric extrapolation)
    0.57277
  • Calmar ratio (compounded annual return / max draw down)
    2.56256
  • Compounded annual return / average of 25% largest draw downs
    4.49174
  • Compounded annual return / Expected Shortfall lognormal
    17.67990

Strategy Description

Summary Statistics

Strategy began
2019-08-18
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 7.1%
Rank # 
#45
# Trades
96
# Profitable
56
% Profitable
58.3%
Net Dividends
Correlation S&P500
0.041
Sharpe Ratio
1.38
Sortino Ratio
2.24
Beta
0.03
Alpha
0.10
Leverage
1.47 Average
4.15 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.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.