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CkNN Algo V
(126054331)

Created by: MachineLearningTradr MachineLearningTradr
Started: 11/2019
Stocks
Last trade: 4 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $149.00 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.

104.0%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(30.3%)
Max Drawdown
109
Num Trades
64.2%
Win Trades
1.8 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                      +15.9%+8.7%+25.9%
2020+16.8%(1.2%)(11.9%)+16.0%(15.1%)+2.6%+12.8%+10.2%+11.9%+1.5%+19.4%(0.3%)+72.4%

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 31 hours.

Trading Record

This strategy has placed 194 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
11/25/20 15:55 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 13,000 28.89 11/27 9:34 29.00 0.16%
Trade id #132465240
Max drawdown($874)
Time11/25/20 15:59
Quant open13,000
Worst price28.82
Drawdown as % of equity-0.16%
$1,455
Includes Typical Broker Commissions trade costs of $5.00
11/24/20 15:57 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 12,000 28.05 11/25 11:04 28.60 0.01%
Trade id #132436478
Max drawdown($45)
Time11/24/20 16:00
Quant open12,000
Worst price28.05
Drawdown as % of equity-0.01%
$6,576
Includes Typical Broker Commissions trade costs of $5.00
11/18/20 15:55 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 16,000 21.03 11/19 9:36 21.31 0.06%
Trade id #132331149
Max drawdown($320)
Time11/18/20 15:58
Quant open16,000
Worst price21.01
Drawdown as % of equity-0.06%
$4,468
Includes Typical Broker Commissions trade costs of $5.00
11/16/20 15:49 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 11,000 19.04 11/17 9:48 19.27 0.01%
Trade id #132286245
Max drawdown($77)
Time11/16/20 15:58
Quant open11,000
Worst price19.03
Drawdown as % of equity-0.01%
$2,552
Includes Typical Broker Commissions trade costs of $5.00
11/12/20 12:56 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 4,000 76.67 11/13 10:11 77.58 1.06%
Trade id #132228037
Max drawdown($5,525)
Time11/12/20 15:48
Quant open4,000
Worst price75.29
Drawdown as % of equity-1.06%
$3,631
Includes Typical Broker Commissions trade costs of $5.00
11/11/20 12:35 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 6,800 45.84 11/12 9:46 46.59 1.24%
Trade id #132204076
Max drawdown($6,424)
Time11/11/20 13:38
Quant open6,800
Worst price44.90
Drawdown as % of equity-1.24%
$5,038
Includes Typical Broker Commissions trade costs of $5.00
11/5/20 15:56 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 17,000 16.14 11/10 15:54 19.22 1.23%
Trade id #132102378
Max drawdown($5,794)
Time11/6/20 0:00
Quant open17,000
Worst price15.80
Drawdown as % of equity-1.23%
$52,373
Includes Typical Broker Commissions trade costs of $5.00
11/4/20 15:53 GUSH DIREXION DAILY S&P OIL GAS EXPL BULL 2X LONG 10,000 20.60 11/5 9:33 20.66 0.64%
Trade id #132080705
Max drawdown($2,983)
Time11/5/20 0:00
Quant open10,000
Worst price20.30
Drawdown as % of equity-0.64%
$651
Includes Typical Broker Commissions trade costs of $5.00
11/3/20 15:39 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 2,300 84.76 11/4 9:34 83.44 1.48%
Trade id #132058369
Max drawdown($6,960)
Time11/4/20 0:00
Quant open2,300
Worst price81.73
Drawdown as % of equity-1.48%
($3,027)
Includes Typical Broker Commissions trade costs of $5.00
11/2/20 15:50 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,100 116.64 11/3 13:48 123.71 0.23%
Trade id #132029956
Max drawdown($1,044)
Time11/2/20 15:54
Quant open2,100
Worst price116.14
Drawdown as % of equity-0.23%
$14,838
Includes Typical Broker Commissions trade costs of $5.00
10/28/20 15:56 GUSH DIREXION DAILY S&P OIL GAS EXPL BULL 2X LONG 14,000 18.69 10/29 11:05 18.75 3.79%
Trade id #131954993
Max drawdown($17,205)
Time10/29/20 9:35
Quant open14,000
Worst price17.46
Drawdown as % of equity-3.79%
$858
Includes Typical Broker Commissions trade costs of $5.00
10/26/20 15:54 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 10,000 19.53 10/28 11:46 20.82 1.42%
Trade id #131905981
Max drawdown($6,295)
Time10/27/20 0:00
Quant open10,000
Worst price18.90
Drawdown as % of equity-1.42%
$12,883
Includes Typical Broker Commissions trade costs of $5.00
10/21/20 15:55 GUSH DIREXION DAILY S&P OIL GAS EXPL BULL 2X LONG 9,500 21.86 10/22 9:32 21.60 0.61%
Trade id #131827888
Max drawdown($2,692)
Time10/22/20 0:00
Quant open9,500
Worst price21.58
Drawdown as % of equity-0.61%
($2,472)
Includes Typical Broker Commissions trade costs of $5.00
10/19/20 15:58 GUSH DIREXION DAILY S&P OIL GAS EXPL BULL 2X LONG 3,100 21.90 10/20 9:35 22.28 0.13%
Trade id #131777935
Max drawdown($577)
Time10/20/20 0:00
Quant open3,100
Worst price21.71
Drawdown as % of equity-0.13%
$1,184
Includes Typical Broker Commissions trade costs of $5.00
10/15/20 15:57 GUSH DIREXION DAILY S&P OIL GAS EXPL BULL 2X LONG 5,400 24.30 10/16 14:40 23.07 1.53%
Trade id #131724057
Max drawdown($6,790)
Time10/16/20 14:40
Quant open5,400
Worst price23.04
Drawdown as % of equity-1.53%
($6,629)
Includes Typical Broker Commissions trade costs of $5.00
10/7/20 15:57 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 9,500 22.88 10/9 9:35 22.17 1.52%
Trade id #131573994
Max drawdown($6,895)
Time10/9/20 9:35
Quant open9,500
Worst price22.15
Drawdown as % of equity-1.52%
($6,737)
Includes Typical Broker Commissions trade costs of $5.00
10/2/20 15:58 GUSH DIREXION DAILY S&P OIL GAS EXPL BULL 2X LONG 12,000 21.03 10/5 10:10 21.67 n/a $7,632
Includes Typical Broker Commissions trade costs of $5.00
9/29/20 15:58 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 3,100 85.59 9/30 15:22 84.40 2.36%
Trade id #131423129
Max drawdown($10,712)
Time9/30/20 10:09
Quant open3,100
Worst price82.13
Drawdown as % of equity-2.36%
($3,682)
Includes Typical Broker Commissions trade costs of $5.00
9/28/20 15:56 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 7,600 35.16 9/29 10:38 35.49 0.12%
Trade id #131401977
Max drawdown($532)
Time9/28/20 15:59
Quant open7,600
Worst price35.09
Drawdown as % of equity-0.12%
$2,508
Includes Typical Broker Commissions trade costs of $5.00
9/24/20 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,000 114.72 9/25 15:58 122.81 0.77%
Trade id #131350431
Max drawdown($3,336)
Time9/25/20 9:50
Quant open2,000
Worst price113.05
Drawdown as % of equity-0.77%
$16,175
Includes Typical Broker Commissions trade costs of $5.00
9/22/20 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,800 124.76 9/23 9:58 121.29 1.45%
Trade id #131302054
Max drawdown($6,372)
Time9/23/20 9:58
Quant open1,800
Worst price121.22
Drawdown as % of equity-1.45%
($6,254)
Includes Typical Broker Commissions trade costs of $5.00
9/21/20 15:58 GUSH DIREXION DAILY S&P OIL GAS EXPL BULL 2X LONG 10,000 24.97 9/22 9:49 25.48 n/a $5,111
Includes Typical Broker Commissions trade costs of $5.00
9/16/20 9:31 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 6,000 23.90 9/17 9:36 26.80 0.19%
Trade id #131198461
Max drawdown($790)
Time9/16/20 9:40
Quant open6,000
Worst price23.77
Drawdown as % of equity-0.19%
$17,389
Includes Typical Broker Commissions trade costs of $5.00
9/15/20 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,700 133.32 9/16 9:30 134.37 n/a $1,784
Includes Typical Broker Commissions trade costs of $5.00
9/3/20 15:47 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 2,500 95.12 9/11 9:34 97.75 5.47%
Trade id #130987514
Max drawdown($22,182)
Time9/8/20 0:00
Quant open2,500
Worst price86.25
Drawdown as % of equity-5.47%
$6,564
Includes Typical Broker Commissions trade costs of $5.00
9/1/20 10:45 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 2,900 50.71 9/3 9:37 53.55 0.03%
Trade id #130922401
Max drawdown($120)
Time9/1/20 10:51
Quant open2,900
Worst price50.67
Drawdown as % of equity-0.03%
$8,229
Includes Typical Broker Commissions trade costs of $5.00
8/26/20 15:51 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 2,400 96.85 8/31 9:35 99.22 4.25%
Trade id #130804131
Max drawdown($16,879)
Time8/27/20 0:00
Quant open2,400
Worst price89.82
Drawdown as % of equity-4.25%
$5,666
Includes Typical Broker Commissions trade costs of $5.00
8/24/20 10:01 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 8,000 18.10 8/26 9:34 18.59 0.69%
Trade id #130757155
Max drawdown($2,706)
Time8/24/20 10:14
Quant open8,000
Worst price17.76
Drawdown as % of equity-0.69%
$3,916
Includes Typical Broker Commissions trade costs of $5.00
8/19/20 9:39 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,300 102.13 8/24 9:54 94.61 3.37%
Trade id #130685659
Max drawdown($13,416)
Time8/21/20 0:00
Quant open1,300
Worst price91.81
Drawdown as % of equity-3.37%
($9,777)
Includes Typical Broker Commissions trade costs of $5.00
8/18/20 9:36 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 13,000 15.98 8/19 9:35 16.90 n/a $11,995
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    11/3/2019
  • Suggested Minimum Cap
    $75,000
  • Strategy Age (days)
    393.87
  • Age
    13 months ago
  • What it trades
    Stocks
  • # Trades
    109
  • # Profitable
    70
  • % Profitable
    64.20%
  • Avg trade duration
    2.1 days
  • Max peak-to-valley drawdown
    30.26%
  • drawdown period
    Feb 19, 2020 - March 12, 2020
  • Annual Return (Compounded)
    104.0%
  • Avg win
    $9,659
  • Avg loss
    $9,722
  • Model Account Values (Raw)
  • Cash
    $368,834
  • Margin Used
    $0
  • Buying Power
    $368,769
  • Ratios
  • W:L ratio
    1.78:1
  • Sharpe Ratio
    2.12
  • Sortino Ratio
    3.62
  • Calmar Ratio
    3.768
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    97.53%
  • Correlation to SP500
    0.03360
  • Return Percent SP500 (cumu) during strategy life
    19.57%
  • Return Statistics
  • Ann Return (w trading costs)
    104.0%
  • Slump
  • Current Slump as Pcnt Equity
    0.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.040%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    105.7%
  • 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)
    955
  • Popularity (Last 6 weeks)
    981
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    990
  • Popularity (7 days, Percentile 1000 scale)
    980
  • 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
    $9,762
  • Avg Win
    $9,660
  • Sum Trade PL (losers)
    $380,705.000
  • AUM
  • AUM (AutoTrader num accounts)
    6
  • Age
  • Num Months filled monthly returns table
    14
  • Win / Loss
  • Sum Trade PL (winners)
    $676,182.000
  • # Winners
    70
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    143
  • AUM
  • AUM (AutoTrader live capital)
    817616
  • Win / Loss
  • # Losers
    39
  • % Winners
    64.2%
  • Frequency
  • Avg Position Time (mins)
    2992.67
  • Avg Position Time (hrs)
    49.88
  • Avg Trade Length
    2.1 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.66
  • Daily leverage (max)
    2.88
  • Regression
  • Alpha
    0.20
  • Beta
    0.03
  • Treynor Index
    6.91
  • 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)
    0.12
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    3.216
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.418
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.258
  • Hold-and-Hope Ratio
    0.312
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72551
  • SD
    0.40176
  • Sharpe ratio (Glass type estimate)
    1.80583
  • Sharpe ratio (Hedges UMVUE)
    1.67935
  • df
    11.00000
  • t
    1.80583
  • p
    0.04918
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32647
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.86745
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40245
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.76115
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.28270
  • Upside Potential Ratio
    4.69676
  • Upside part of mean
    1.03803
  • Downside part of mean
    -0.31252
  • Upside SD
    0.37812
  • Downside SD
    0.22101
  • N nonnegative terms
    10.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.15771
  • Mean of criterion
    0.72551
  • SD of predictor
    0.23584
  • SD of criterion
    0.40176
  • Covariance
    0.01057
  • r
    0.11154
  • b (slope, estimate of beta)
    0.19002
  • a (intercept, estimate of alpha)
    0.69554
  • Mean Square Error
    0.17534
  • DF error
    10.00000
  • t(b)
    0.35494
  • p(b)
    0.36500
  • t(a)
    1.62827
  • p(a)
    0.06726
  • Lowerbound of 95% confidence interval for beta
    -1.00281
  • Upperbound of 95% confidence interval for beta
    1.38284
  • Lowerbound of 95% confidence interval for alpha
    -0.25624
  • Upperbound of 95% confidence interval for alpha
    1.64732
  • Treynor index (mean / b)
    3.81814
  • Jensen alpha (a)
    0.69554
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.63362
  • SD
    0.40060
  • Sharpe ratio (Glass type estimate)
    1.58167
  • Sharpe ratio (Hedges UMVUE)
    1.47089
  • df
    11.00000
  • t
    1.58167
  • p
    0.07102
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51611
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.61564
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58318
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.52497
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.63649
  • Upside Potential Ratio
    4.05052
  • Upside part of mean
    0.97345
  • Downside part of mean
    -0.33983
  • Upside SD
    0.35044
  • Downside SD
    0.24033
  • N nonnegative terms
    10.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.13109
  • Mean of criterion
    0.63362
  • SD of predictor
    0.23817
  • SD of criterion
    0.40060
  • Covariance
    0.01297
  • r
    0.13597
  • b (slope, estimate of beta)
    0.22871
  • a (intercept, estimate of alpha)
    0.60364
  • Mean Square Error
    0.17327
  • DF error
    10.00000
  • t(b)
    0.43402
  • p(b)
    0.33675
  • t(a)
    1.43061
  • p(a)
    0.09152
  • Lowerbound of 95% confidence interval for beta
    -0.94542
  • Upperbound of 95% confidence interval for beta
    1.40283
  • Lowerbound of 95% confidence interval for alpha
    -0.33651
  • Upperbound of 95% confidence interval for alpha
    1.54379
  • Treynor index (mean / b)
    2.77045
  • Jensen alpha (a)
    0.60364
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12839
  • Expected Shortfall on VaR
    0.16876
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02417
  • Expected Shortfall on VaR
    0.06632
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.84144
  • Quartile 1
    1.04163
  • Median
    1.08152
  • Quartile 3
    1.11269
  • Maximum
    1.21954
  • Mean of quarter 1
    0.90392
  • Mean of quarter 2
    1.05711
  • Mean of quarter 3
    1.10115
  • Mean of quarter 4
    1.17966
  • Inter Quartile Range
    0.07106
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.16667
  • Mean of outliers low
    0.84374
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    1.21954
  • 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)
    -6.27510
  • VaR(95%) (regression method)
    0.69910
  • Expected Shortfall (regression method)
    0.69914
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.19913
  • Quartile 1
    0.19913
  • Median
    0.19913
  • Quartile 3
    0.19913
  • Maximum
    0.19913
  • 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)
    0.88442
  • Compounded annual return (geometric extrapolation)
    0.88442
  • Calmar ratio (compounded annual return / max draw down)
    4.44147
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    5.24077
  • 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
    0.77895
  • SD
    0.29242
  • Sharpe ratio (Glass type estimate)
    2.66384
  • Sharpe ratio (Hedges UMVUE)
    2.65665
  • df
    278.00000
  • t
    2.74891
  • p
    0.00319
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.74933
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.57368
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.74454
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.56876
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.55793
  • Upside Potential Ratio
    11.36480
  • Upside part of mean
    1.94225
  • Downside part of mean
    -1.16330
  • Upside SD
    0.24147
  • Downside SD
    0.17090
  • N nonnegative terms
    174.00000
  • N negative terms
    105.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    279.00000
  • Mean of predictor
    0.21996
  • Mean of criterion
    0.77895
  • SD of predictor
    0.33445
  • SD of criterion
    0.29242
  • Covariance
    0.00469
  • r
    0.04800
  • b (slope, estimate of beta)
    0.04197
  • a (intercept, estimate of alpha)
    0.77000
  • Mean Square Error
    0.08562
  • DF error
    277.00000
  • t(b)
    0.79988
  • p(b)
    0.21223
  • t(a)
    2.71232
  • p(a)
    0.00355
  • Lowerbound of 95% confidence interval for beta
    -0.06132
  • Upperbound of 95% confidence interval for beta
    0.14527
  • Lowerbound of 95% confidence interval for alpha
    0.21107
  • Upperbound of 95% confidence interval for alpha
    1.32837
  • Treynor index (mean / b)
    18.55920
  • Jensen alpha (a)
    0.76972
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.73566
  • SD
    0.29047
  • Sharpe ratio (Glass type estimate)
    2.53265
  • Sharpe ratio (Hedges UMVUE)
    2.52581
  • df
    278.00000
  • t
    2.61352
  • p
    0.00472
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.61948
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.44137
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61493
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.43669
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.23194
  • Upside Potential Ratio
    11.00980
  • Upside part of mean
    1.91390
  • Downside part of mean
    -1.17824
  • Upside SD
    0.23647
  • Downside SD
    0.17384
  • N nonnegative terms
    174.00000
  • N negative terms
    105.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    279.00000
  • Mean of predictor
    0.16365
  • Mean of criterion
    0.73566
  • SD of predictor
    0.33694
  • SD of criterion
    0.29047
  • Covariance
    0.00524
  • r
    0.05357
  • b (slope, estimate of beta)
    0.04619
  • a (intercept, estimate of alpha)
    0.72811
  • Mean Square Error
    0.08444
  • DF error
    277.00000
  • t(b)
    0.89295
  • p(b)
    0.18633
  • t(a)
    2.58456
  • p(a)
    0.00513
  • Lowerbound of 95% confidence interval for beta
    -0.05563
  • Upperbound of 95% confidence interval for beta
    0.14801
  • Lowerbound of 95% confidence interval for alpha
    0.17353
  • Upperbound of 95% confidence interval for alpha
    1.28268
  • Treynor index (mean / b)
    15.92830
  • Jensen alpha (a)
    0.72811
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02636
  • Expected Shortfall on VaR
    0.03361
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00830
  • Expected Shortfall on VaR
    0.01811
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    279.00000
  • Minimum
    0.94971
  • Quartile 1
    0.99559
  • Median
    1.00018
  • Quartile 3
    1.01003
  • Maximum
    1.06895
  • Mean of quarter 1
    0.98312
  • Mean of quarter 2
    0.99919
  • Mean of quarter 3
    1.00453
  • Mean of quarter 4
    1.02507
  • Inter Quartile Range
    0.01443
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.05376
  • Mean of outliers low
    0.96192
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.05376
  • Mean of outliers high
    1.04986
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.42901
  • VaR(95%) (moments method)
    0.01568
  • Expected Shortfall (moments method)
    0.03255
  • Extreme Value Index (regression method)
    -0.01463
  • VaR(95%) (regression method)
    0.01620
  • Expected Shortfall (regression method)
    0.02327
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00174
  • Quartile 1
    0.00711
  • Median
    0.01318
  • Quartile 3
    0.02400
  • Maximum
    0.28846
  • Mean of quarter 1
    0.00514
  • Mean of quarter 2
    0.01100
  • Mean of quarter 3
    0.02106
  • Mean of quarter 4
    0.10615
  • Inter Quartile Range
    0.01688
  • 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
    0.11765
  • Mean of outliers high
    0.17420
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.73985
  • VaR(95%) (moments method)
    0.09920
  • Expected Shortfall (moments method)
    0.41279
  • Extreme Value Index (regression method)
    1.50675
  • VaR(95%) (regression method)
    0.13839
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.11645
  • Compounded annual return (geometric extrapolation)
    1.08687
  • Calmar ratio (compounded annual return / max draw down)
    3.76782
  • Compounded annual return / average of 25% largest draw downs
    10.23930
  • Compounded annual return / Expected Shortfall lognormal
    32.33910
  • 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
    1.09326
  • SD
    0.27401
  • Sharpe ratio (Glass type estimate)
    3.98983
  • Sharpe ratio (Hedges UMVUE)
    3.96677
  • df
    130.00000
  • t
    2.82124
  • p
    0.37990
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.16857
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.79627
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.15334
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.78020
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.18243
  • Upside Potential Ratio
    14.47080
  • Upside part of mean
    1.93344
  • Downside part of mean
    -0.84019
  • Upside SD
    0.24742
  • Downside SD
    0.13361
  • N nonnegative terms
    84.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.38415
  • Mean of criterion
    1.09326
  • SD of predictor
    0.20308
  • SD of criterion
    0.27401
  • Covariance
    -0.00575
  • r
    -0.10340
  • b (slope, estimate of beta)
    -0.13952
  • a (intercept, estimate of alpha)
    1.14685
  • Mean Square Error
    0.07485
  • DF error
    129.00000
  • t(b)
    -1.18074
  • p(b)
    0.56571
  • t(a)
    2.94384
  • p(a)
    0.34196
  • Lowerbound of 95% confidence interval for beta
    -0.37330
  • Upperbound of 95% confidence interval for beta
    0.09427
  • Lowerbound of 95% confidence interval for alpha
    0.37606
  • Upperbound of 95% confidence interval for alpha
    1.91764
  • Treynor index (mean / b)
    -7.83592
  • Jensen alpha (a)
    1.14685
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.05444
  • SD
    0.27065
  • Sharpe ratio (Glass type estimate)
    3.89591
  • Sharpe ratio (Hedges UMVUE)
    3.87339
  • df
    130.00000
  • t
    2.75482
  • p
    0.38257
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.07684
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.70053
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.06188
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.68490
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.77026
  • Upside Potential Ratio
    14.02880
  • Upside part of mean
    1.90374
  • Downside part of mean
    -0.84930
  • Upside SD
    0.24191
  • Downside SD
    0.13570
  • N nonnegative terms
    84.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36323
  • Mean of criterion
    1.05444
  • SD of predictor
    0.20457
  • SD of criterion
    0.27065
  • Covariance
    -0.00578
  • r
    -0.10439
  • b (slope, estimate of beta)
    -0.13812
  • a (intercept, estimate of alpha)
    1.10461
  • Mean Square Error
    0.07302
  • DF error
    129.00000
  • t(b)
    -1.19220
  • p(b)
    0.56634
  • t(a)
    2.87320
  • p(a)
    0.34545
  • VAR (95 Confidence Intrvl)
    0.02600
  • Lowerbound of 95% confidence interval for beta
    -0.36733
  • Upperbound of 95% confidence interval for beta
    0.09110
  • Lowerbound of 95% confidence interval for alpha
    0.34396
  • Upperbound of 95% confidence interval for alpha
    1.86526
  • Treynor index (mean / b)
    -7.63439
  • Jensen alpha (a)
    1.10461
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02321
  • Expected Shortfall on VaR
    0.02999
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00573
  • Expected Shortfall on VaR
    0.01294
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94971
  • Quartile 1
    0.99821
  • Median
    1.00059
  • Quartile 3
    1.00972
  • Maximum
    1.06825
  • Mean of quarter 1
    0.98751
  • Mean of quarter 2
    0.99986
  • Mean of quarter 3
    1.00427
  • Mean of quarter 4
    1.02505
  • Inter Quartile Range
    0.01151
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.97198
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.04343
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.25460
  • VaR(95%) (moments method)
    0.00681
  • Expected Shortfall (moments method)
    0.00884
  • Extreme Value Index (regression method)
    0.27216
  • VaR(95%) (regression method)
    0.01284
  • Expected Shortfall (regression method)
    0.02444
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00144
  • Quartile 1
    0.00487
  • Median
    0.02267
  • Quartile 3
    0.04013
  • Maximum
    0.08304
  • Mean of quarter 1
    0.00247
  • Mean of quarter 2
    0.01328
  • Mean of quarter 3
    0.03067
  • Mean of quarter 4
    0.07323
  • Inter Quartile Range
    0.03526
  • 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)
    -9.43614
  • VaR(95%) (moments method)
    0.06646
  • Expected Shortfall (moments method)
    0.06646
  • Extreme Value Index (regression method)
    -1.95208
  • VaR(95%) (regression method)
    0.09521
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.09646
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -267936000
  • Max Equity Drawdown (num days)
    22
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.38843
  • Compounded annual return (geometric extrapolation)
    1.87037
  • Calmar ratio (compounded annual return / max draw down)
    22.52290
  • Compounded annual return / average of 25% largest draw downs
    25.53950
  • Compounded annual return / Expected Shortfall lognormal
    62.37060

Strategy Description

A pattern recognition system, using multiple sets of two custom algorithms (similar to the random forest); trading ETF's such as, but not limited to, NUGT, DUST, GUSH, DRIP, TQQQ, SQQQ, UVXY, SVXY, and etc. Subscription costs for new subscribers may increase soon. Current subscribers may be "grandfathered in." (This system and summary were updated on September 28, 2020; and are subject to change without advance notice.)

Summary Statistics

Strategy began
2019-11-03
Suggested Minimum Capital
$75,000
Rank at C2 %
Top 1.0%
Rank # 
#7
# Trades
109
# Profitable
70
% Profitable
64.2%
Net Dividends
Correlation S&P500
0.034
Sharpe Ratio
2.12
Sortino Ratio
3.62
Beta
0.03
Alpha
0.20
Leverage
1.66 Average
2.88 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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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.