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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 06/15/2020
Most recent certification approved 6/15/20 15:52 ET
Trades at broker Interactive Brokers (Server 4)
Scaling percentage used 100%
# trading signals issued by system since certification 58
# trading signals executed in manager's Interactive Brokers (Server 4) account 58
Percent signals followed since 06/15/2020 100%
This information was last updated 12/5/20 20:20 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 06/15/2020, 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 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.

Balanced Volatility
(129317332)

Created by: KimDurkin KimDurkin
Started: 06/2020
Stocks
Last trade: 17 days ago
Trading style: Equity Trend-following Momentum

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.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
23.2%
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.

(13.9%)
Max Drawdown
24
Num Trades
66.7%
Win Trades
2.2 : 1
Profit Factor
85.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                   +2.5%+10.5%+9.2%(7.9%)+0.4%+2.0%+5.1%+22.6%

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 72 hours.

Trading Record

This strategy has placed 58 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/9/20 13:28 VXX2119O25 VXX Mar19'21 25 put LONG 13 9.28 11/11 11:35 8.92 4.76%
Trade id #132157248
Max drawdown($1,378)
Time11/10/20 0:00
Quant open13
Worst price8.22
Drawdown as % of equity-4.76%
($486)
Includes Typical Broker Commissions trade costs of $18.20
11/2/20 9:40 INDL DIREXION DAILY MSCI INDIA BULL 2X SHARES LONG 260 30.44 11/4 12:40 33.25 0.03%
Trade id #132016636
Max drawdown($9)
Time11/2/20 10:39
Quant open260
Worst price30.40
Drawdown as % of equity-0.03%
$726
Includes Typical Broker Commissions trade costs of $5.20
10/22/20 12:25 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 400 36.07 10/30 15:08 36.06 1.08%
Trade id #131846428
Max drawdown($307)
Time10/23/20 0:00
Quant open400
Worst price35.30
Drawdown as % of equity-1.08%
($12)
Includes Typical Broker Commissions trade costs of $8.00
10/8/20 11:38 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 195 37.73 10/20 12:34 36.98 0.65%
Trade id #131593596
Max drawdown($185)
Time10/9/20 0:00
Quant open195
Worst price36.78
Drawdown as % of equity-0.65%
($150)
Includes Typical Broker Commissions trade costs of $3.90
10/14/20 9:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 50 156.70 10/15 9:30 142.34 2.46%
Trade id #131690075
Max drawdown($726)
Time10/15/20 9:30
Quant open50
Worst price142.17
Drawdown as % of equity-2.46%
($719)
Includes Typical Broker Commissions trade costs of $1.00
9/29/20 15:49 TQQQ PROSHARES ULTRAPRO QQQ LONG 58 128.79 10/12 12:46 155.81 0.9%
Trade id #131422777
Max drawdown($258)
Time10/2/20 0:00
Quant open58
Worst price124.33
Drawdown as % of equity-0.90%
$1,566
Includes Typical Broker Commissions trade costs of $1.16
8/21/20 10:39 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 180 41.82 10/5 9:30 38.33 2.16%
Trade id #130729892
Max drawdown($669)
Time8/28/20 0:00
Quant open180
Worst price38.10
Drawdown as % of equity-2.16%
($632)
Includes Typical Broker Commissions trade costs of $3.60
8/3/20 11:48 VXX2020W40 VXX Nov20'20 40 put LONG 9 16.46 9/4 10:44 12.69 11.99%
Trade id #130423864
Max drawdown($3,514)
Time9/4/20 10:44
Quant open9
Worst price12.56
Drawdown as % of equity-11.99%
($3,410)
Includes Typical Broker Commissions trade costs of $12.60
8/21/20 10:43 TQQQ PROSHARES ULTRAPRO QQQ LONG 55 140.55 9/2 9:41 173.22 0.29%
Trade id #130730027
Max drawdown($90)
Time8/21/20 11:59
Quant open55
Worst price138.90
Drawdown as % of equity-0.29%
$1,796
Includes Typical Broker Commissions trade costs of $1.10
7/10/20 15:19 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 610 34.08 8/20 14:58 36.13 1.75%
Trade id #130022139
Max drawdown($477)
Time7/14/20 0:00
Quant open270
Worst price30.36
Drawdown as % of equity-1.75%
$1,244
Includes Typical Broker Commissions trade costs of $8.70
7/16/20 12:04 MIDU DIREXION DAILY MID CAP BULL 3X LONG 500 20.92 8/18 13:17 23.54 0.62%
Trade id #130118484
Max drawdown($170)
Time7/16/20 15:03
Quant open500
Worst price20.58
Drawdown as % of equity-0.62%
$1,299
Includes Typical Broker Commissions trade costs of $10.00
7/20/20 14:00 UPRO PROSHARES ULTRAPRO S&P500 LONG 140 50.99 8/7 11:29 55.31 1.08%
Trade id #130172242
Max drawdown($298)
Time7/24/20 0:00
Quant open140
Worst price48.86
Drawdown as % of equity-1.08%
$602
Includes Typical Broker Commissions trade costs of $2.80
7/20/20 10:14 VXX2016V40 VXX Oct16'20 40 put LONG 4 13.50 7/31 11:25 13.96 1.08%
Trade id #130166538
Max drawdown($300)
Time7/24/20 0:00
Quant open4
Worst price12.75
Drawdown as % of equity-1.08%
$178
Includes Typical Broker Commissions trade costs of $5.60
6/19/20 15:51 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 980 39.97 7/20 13:56 41.94 1.06%
Trade id #129667506
Max drawdown($267)
Time6/23/20 0:00
Quant open330
Worst price38.61
Drawdown as % of equity-1.06%
$1,914
Includes Typical Broker Commissions trade costs of $19.60
7/10/20 15:17 MIDU DIREXION DAILY MID CAP BULL 3X LONG 450 19.02 7/14 13:43 18.83 1.43%
Trade id #130022108
Max drawdown($382)
Time7/14/20 10:13
Quant open450
Worst price18.17
Drawdown as % of equity-1.43%
($95)
Includes Typical Broker Commissions trade costs of $9.00
7/13/20 15:58 VXX2016V40 VXX Oct16'20 40 put LONG 2 10.90 7/14 11:29 11.15 0.25%
Trade id #130056059
Max drawdown($68)
Time7/14/20 9:52
Quant open2
Worst price10.56
Drawdown as % of equity-0.25%
$47
Includes Typical Broker Commissions trade costs of $2.80
7/2/20 15:28 MIDU DIREXION DAILY MID CAP BULL 3X LONG 675 19.61 7/6 15:39 19.87 1.03%
Trade id #129884385
Max drawdown($263)
Time7/2/20 15:57
Quant open675
Worst price19.22
Drawdown as % of equity-1.03%
$171
Includes Typical Broker Commissions trade costs of $5.00
6/23/20 15:54 GLD SPDR GOLD SHARES LONG 78 166.39 6/30 15:50 167.46 0.67%
Trade id #129711106
Max drawdown($169)
Time6/26/20 0:00
Quant open78
Worst price164.22
Drawdown as % of equity-0.67%
$82
Includes Typical Broker Commissions trade costs of $1.56
6/16/20 15:47 TLT ISHARES 20+ YEAR TREASURY BOND LONG 55 160.30 6/23 15:27 161.53 0.21%
Trade id #129588792
Max drawdown($52)
Time6/17/20 0:00
Quant open55
Worst price159.34
Drawdown as % of equity-0.21%
$67
Includes Typical Broker Commissions trade costs of $1.10
6/15/20 15:52 GLD SPDR GOLD SHARES LONG 53 162.10 6/19 15:43 163.79 0.16%
Trade id #129564587
Max drawdown($39)
Time6/16/20 0:00
Quant open53
Worst price161.36
Drawdown as % of equity-0.16%
$89
Includes Typical Broker Commissions trade costs of $1.06
6/15/20 15:52 ZIV VELOCITYSHARES DAILY INVERSE V LONG 300 27.90 6/18 15:55 28.11 0.19%
Trade id #129564602
Max drawdown($48)
Time6/16/20 0:00
Quant open300
Worst price27.74
Drawdown as % of equity-0.19%
$57
Includes Typical Broker Commissions trade costs of $6.00
6/15/20 15:55 VXZ IPATH SER B S&P 500 VIX MID-TERM FUTURES ETN LONG 120 34.96 6/16 15:42 34.77 0.8%
Trade id #129564697
Max drawdown($200)
Time6/16/20 10:16
Quant open120
Worst price33.29
Drawdown as % of equity-0.80%
($25)
Includes Typical Broker Commissions trade costs of $2.40

Statistics

  • Strategy began
    6/2/2020
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    186.12
  • Age
    6 months ago
  • What it trades
    Stocks
  • # Trades
    24
  • # Profitable
    16
  • % Profitable
    66.70%
  • Avg trade duration
    13.6 days
  • Max peak-to-valley drawdown
    13.85%
  • drawdown period
    Aug 26, 2020 - Nov 23, 2020
  • Cumul. Return
    23.2%
  • Avg win
    $748.88
  • Avg loss
    $683.75
  • Model Account Values (Raw)
  • Cash
    $4,973
  • Margin Used
    $0
  • Buying Power
    $7,044
  • Ratios
  • W:L ratio
    2.19:1
  • Sharpe Ratio
    1.62
  • Sortino Ratio
    2.3
  • Calmar Ratio
    4.719
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    3.13%
  • Correlation to SP500
    0.15510
  • Return Percent SP500 (cumu) during strategy life
    20.07%
  • Return Statistics
  • Ann Return (w trading costs)
    49.4%
  • Slump
  • Current Slump as Pcnt Equity
    4.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.54%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.232%
  • Instruments
  • Percent Trades Options
    0.19%
  • Percent Trades Stocks
    0.81%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    55.5%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    791
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    874
  • Popularity (7 days, Percentile 1000 scale)
    501
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $684
  • Avg Win
    $749
  • Sum Trade PL (losers)
    $5,470.000
  • AUM
  • AUM (AutoTrader num accounts)
    2
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $11,982.000
  • # Winners
    16
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    62752
  • Win / Loss
  • # Losers
    8
  • % Winners
    66.7%
  • Frequency
  • Avg Position Time (mins)
    19618.80
  • Avg Position Time (hrs)
    326.98
  • Avg Trade Length
    13.6 days
  • Last Trade Ago
    17
  • Leverage
  • Daily leverage (average)
    1.45
  • Daily leverage (max)
    3.09
  • Regression
  • Alpha
    0.10
  • Beta
    0.16
  • Treynor Index
    0.69
  • 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)
    -3.58
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    1.907
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.357
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.346
  • Hold-and-Hope Ratio
    0.568
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43266
  • SD
    0.29222
  • Sharpe ratio (Glass type estimate)
    1.48060
  • Sharpe ratio (Hedges UMVUE)
    1.24481
  • df
    5.00000
  • t
    1.04694
  • p
    0.17154
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.49589
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.32806
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63237
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.12199
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.91162
  • Upside Potential Ratio
    4.32583
  • Upside part of mean
    0.64280
  • Downside part of mean
    -0.21015
  • Upside SD
    0.25432
  • Downside SD
    0.14860
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.34214
  • Mean of criterion
    0.43266
  • SD of predictor
    0.20147
  • SD of criterion
    0.29222
  • Covariance
    0.05031
  • r
    0.85451
  • b (slope, estimate of beta)
    1.23938
  • a (intercept, estimate of alpha)
    0.00862
  • Mean Square Error
    0.02880
  • DF error
    4.00000
  • t(b)
    3.29016
  • p(b)
    0.01511
  • t(a)
    0.03163
  • p(a)
    0.48814
  • Lowerbound of 95% confidence interval for beta
    0.19331
  • Upperbound of 95% confidence interval for beta
    2.28546
  • Lowerbound of 95% confidence interval for alpha
    -0.74787
  • Upperbound of 95% confidence interval for alpha
    0.76511
  • Treynor index (mean / b)
    0.34909
  • Jensen alpha (a)
    0.00862
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38994
  • SD
    0.28872
  • Sharpe ratio (Glass type estimate)
    1.35056
  • Sharpe ratio (Hedges UMVUE)
    1.13548
  • df
    5.00000
  • t
    0.95499
  • p
    0.19172
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59819
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.17960
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.72427
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.99524
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.48984
  • Upside Potential Ratio
    3.90406
  • Upside part of mean
    0.61142
  • Downside part of mean
    -0.22148
  • Upside SD
    0.24002
  • Downside SD
    0.15661
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.32030
  • Mean of criterion
    0.38994
  • SD of predictor
    0.19882
  • SD of criterion
    0.28872
  • Covariance
    0.05004
  • r
    0.87174
  • b (slope, estimate of beta)
    1.26591
  • a (intercept, estimate of alpha)
    -0.01553
  • Mean Square Error
    0.02502
  • DF error
    4.00000
  • t(b)
    3.55827
  • p(b)
    0.01181
  • t(a)
    -0.06185
  • p(a)
    0.52318
  • Lowerbound of 95% confidence interval for beta
    0.27795
  • Upperbound of 95% confidence interval for beta
    2.25387
  • Lowerbound of 95% confidence interval for alpha
    -0.71264
  • Upperbound of 95% confidence interval for alpha
    0.68159
  • Treynor index (mean / b)
    0.30803
  • Jensen alpha (a)
    -0.01553
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09931
  • Expected Shortfall on VaR
    0.12973
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01625
  • Expected Shortfall on VaR
    0.04460
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.89726
  • Quartile 1
    1.01785
  • Median
    1.03510
  • Quartile 3
    1.09329
  • Maximum
    1.13805
  • Mean of quarter 1
    0.95706
  • Mean of quarter 2
    1.02083
  • Mean of quarter 3
    1.04938
  • Mean of quarter 4
    1.12299
  • Inter Quartile Range
    0.07544
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.16667
  • Mean of outliers low
    0.89726
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.10275
  • Quartile 1
    0.10275
  • Median
    0.10275
  • Quartile 3
    0.10275
  • Maximum
    0.10275
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.46470
  • Compounded annual return (geometric extrapolation)
    0.51869
  • Calmar ratio (compounded annual return / max draw down)
    5.04827
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    3.99814
  • 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
    0.44659
  • SD
    0.22303
  • Sharpe ratio (Glass type estimate)
    2.00237
  • Sharpe ratio (Hedges UMVUE)
    1.99088
  • df
    131.00000
  • t
    1.42128
  • p
    0.42175
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77327
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.77055
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78091
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.76267
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.77191
  • Upside Potential Ratio
    8.69225
  • Upside part of mean
    1.40042
  • Downside part of mean
    -0.95384
  • Upside SD
    0.15547
  • Downside SD
    0.16111
  • N nonnegative terms
    75.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    132.00000
  • Mean of predictor
    0.35589
  • Mean of criterion
    0.44659
  • SD of predictor
    0.20231
  • SD of criterion
    0.22303
  • Covariance
    0.00722
  • r
    0.16005
  • b (slope, estimate of beta)
    0.17644
  • a (intercept, estimate of alpha)
    0.38400
  • Mean Square Error
    0.04884
  • DF error
    130.00000
  • t(b)
    1.84866
  • p(b)
    0.41998
  • t(a)
    1.22538
  • p(a)
    0.44657
  • Lowerbound of 95% confidence interval for beta
    -0.01238
  • Upperbound of 95% confidence interval for beta
    0.36527
  • Lowerbound of 95% confidence interval for alpha
    -0.23584
  • Upperbound of 95% confidence interval for alpha
    1.00343
  • Treynor index (mean / b)
    2.53104
  • Jensen alpha (a)
    0.38379
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42128
  • SD
    0.22461
  • Sharpe ratio (Glass type estimate)
    1.87560
  • Sharpe ratio (Hedges UMVUE)
    1.86484
  • df
    131.00000
  • t
    1.33130
  • p
    0.42661
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89850
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.64273
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90566
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.63535
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.55725
  • Upside Potential Ratio
    8.42778
  • Upside part of mean
    1.38838
  • Downside part of mean
    -0.96710
  • Upside SD
    0.15364
  • Downside SD
    0.16474
  • N nonnegative terms
    75.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    132.00000
  • Mean of predictor
    0.33512
  • Mean of criterion
    0.42128
  • SD of predictor
    0.20379
  • SD of criterion
    0.22461
  • Covariance
    0.00730
  • r
    0.15944
  • b (slope, estimate of beta)
    0.17572
  • a (intercept, estimate of alpha)
    0.36239
  • Mean Square Error
    0.04955
  • DF error
    130.00000
  • t(b)
    1.84143
  • p(b)
    0.42028
  • t(a)
    1.14964
  • p(a)
    0.44984
  • Lowerbound of 95% confidence interval for beta
    -0.01307
  • Upperbound of 95% confidence interval for beta
    0.36452
  • Lowerbound of 95% confidence interval for alpha
    -0.26123
  • Upperbound of 95% confidence interval for alpha
    0.98601
  • Treynor index (mean / b)
    2.39737
  • Jensen alpha (a)
    0.36239
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02099
  • Expected Shortfall on VaR
    0.02664
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00740
  • Expected Shortfall on VaR
    0.01645
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    132.00000
  • Minimum
    0.92934
  • Quartile 1
    0.99739
  • Median
    1.00104
  • Quartile 3
    1.00889
  • Maximum
    1.04068
  • Mean of quarter 1
    0.98615
  • Mean of quarter 2
    0.99959
  • Mean of quarter 3
    1.00473
  • Mean of quarter 4
    1.01678
  • Inter Quartile Range
    0.01150
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06061
  • Mean of outliers low
    0.96570
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03030
  • Mean of outliers high
    1.03370
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.76013
  • VaR(95%) (moments method)
    0.01283
  • Expected Shortfall (moments method)
    0.05918
  • Extreme Value Index (regression method)
    0.15074
  • VaR(95%) (regression method)
    0.01377
  • Expected Shortfall (regression method)
    0.02301
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00055
  • Quartile 1
    0.00672
  • Median
    0.01318
  • Quartile 3
    0.02323
  • Maximum
    0.12015
  • Mean of quarter 1
    0.00267
  • Mean of quarter 2
    0.01164
  • Mean of quarter 3
    0.01930
  • Mean of quarter 4
    0.05971
  • Inter Quartile Range
    0.01651
  • 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
    0.09091
  • Mean of outliers high
    0.12015
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.34412
  • VaR(95%) (moments method)
    0.06315
  • Expected Shortfall (moments method)
    0.11884
  • Extreme Value Index (regression method)
    2.28922
  • VaR(95%) (regression method)
    0.14335
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.50407
  • Compounded annual return (geometric extrapolation)
    0.56703
  • Calmar ratio (compounded annual return / max draw down)
    4.71941
  • Compounded annual return / average of 25% largest draw downs
    9.49672
  • Compounded annual return / Expected Shortfall lognormal
    21.28460
  • 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
    0.45021
  • SD
    0.22387
  • Sharpe ratio (Glass type estimate)
    2.01102
  • Sharpe ratio (Hedges UMVUE)
    1.99940
  • df
    130.00000
  • t
    1.42201
  • p
    0.43812
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77530
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.78983
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78304
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.78184
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.78379
  • Upside Potential Ratio
    8.72536
  • Upside part of mean
    1.41111
  • Downside part of mean
    -0.96090
  • Upside SD
    0.15606
  • Downside SD
    0.16173
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33152
  • Mean of criterion
    0.45021
  • SD of predictor
    0.20234
  • SD of criterion
    0.22387
  • Covariance
    0.00732
  • r
    0.16164
  • b (slope, estimate of beta)
    0.17884
  • a (intercept, estimate of alpha)
    0.39092
  • Mean Square Error
    0.04919
  • DF error
    129.00000
  • t(b)
    1.86030
  • p(b)
    0.39755
  • t(a)
    1.23999
  • p(a)
    0.43104
  • Lowerbound of 95% confidence interval for beta
    -0.01137
  • Upperbound of 95% confidence interval for beta
    0.36904
  • Lowerbound of 95% confidence interval for alpha
    -0.23283
  • Upperbound of 95% confidence interval for alpha
    1.01468
  • Treynor index (mean / b)
    2.51742
  • Jensen alpha (a)
    0.39092
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42471
  • SD
    0.22546
  • Sharpe ratio (Glass type estimate)
    1.88375
  • Sharpe ratio (Hedges UMVUE)
    1.87286
  • df
    130.00000
  • t
    1.33201
  • p
    0.44198
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90101
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.66148
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90828
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.65400
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.56828
  • Upside Potential Ratio
    8.45989
  • Upside part of mean
    1.39898
  • Downside part of mean
    -0.97427
  • Upside SD
    0.15423
  • Downside SD
    0.16537
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31078
  • Mean of criterion
    0.42471
  • SD of predictor
    0.20384
  • SD of criterion
    0.22546
  • Covariance
    0.00740
  • r
    0.16095
  • b (slope, estimate of beta)
    0.17802
  • a (intercept, estimate of alpha)
    0.36938
  • Mean Square Error
    0.04990
  • DF error
    129.00000
  • t(b)
    1.85214
  • p(b)
    0.39798
  • t(a)
    1.16408
  • p(a)
    0.43520
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    -0.01215
  • Upperbound of 95% confidence interval for beta
    0.36818
  • Lowerbound of 95% confidence interval for alpha
    -0.25844
  • Upperbound of 95% confidence interval for alpha
    0.99720
  • Treynor index (mean / b)
    2.38577
  • Jensen alpha (a)
    0.36938
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02106
  • Expected Shortfall on VaR
    0.02673
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00740
  • Expected Shortfall on VaR
    0.01647
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92934
  • Quartile 1
    0.99739
  • Median
    1.00117
  • Quartile 3
    1.00890
  • Maximum
    1.04068
  • Mean of quarter 1
    0.98615
  • Mean of quarter 2
    0.99962
  • Mean of quarter 3
    1.00484
  • Mean of quarter 4
    1.01678
  • Inter Quartile Range
    0.01151
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.96570
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.03370
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.76013
  • VaR(95%) (moments method)
    0.01292
  • Expected Shortfall (moments method)
    0.05954
  • Extreme Value Index (regression method)
    0.15074
  • VaR(95%) (regression method)
    0.01383
  • Expected Shortfall (regression method)
    0.02308
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00055
  • Quartile 1
    0.00672
  • Median
    0.01318
  • Quartile 3
    0.02323
  • Maximum
    0.12015
  • Mean of quarter 1
    0.00267
  • Mean of quarter 2
    0.01164
  • Mean of quarter 3
    0.01930
  • Mean of quarter 4
    0.05971
  • Inter Quartile Range
    0.01651
  • 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
    0.09091
  • Mean of outliers high
    0.12015
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.34412
  • VaR(95%) (moments method)
    0.06315
  • Expected Shortfall (moments method)
    0.11884
  • Extreme Value Index (regression method)
    2.28922
  • VaR(95%) (regression method)
    0.14335
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -309222000
  • Max Equity Drawdown (num days)
    89
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.50792
  • Compounded annual return (geometric extrapolation)
    0.57242
  • Calmar ratio (compounded annual return / max draw down)
    4.76421
  • Compounded annual return / average of 25% largest draw downs
    9.58686
  • Compounded annual return / Expected Shortfall lognormal
    21.41230

Strategy Description

This system uses data analytics to guide a volatility-focused trading strategy. When conditions are appropriate, this system will trade primarily in market volatility. When volatility trading is not optimal, this system will trade leveraged equities, bonds, and commodities. We trade bidirectionally and semi-frequently. This system WILL NOT DAY TRADE. This system emphasizes its data-driven trading strategies in order to minimize draw downs and maximize long-term returns.

Summary Statistics

Strategy began
2020-06-02
Suggested Minimum Capital
$30,000
Rank at C2 
#83
# Trades
24
# Profitable
16
% Profitable
66.7%
Correlation S&P500
0.155
Sharpe Ratio
1.62
Sortino Ratio
2.30
Beta
0.16
Alpha
0.10
Leverage
1.45 Average
3.09 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.