This system has earned TradesOwnStrategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details
Certification process started
04/20/2020
Most recent certification approved
4/20/20 13:35 ET
Trades at broker
Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used
100%
# trading signals issued by system since certification
143
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account
143
Percent signals followed since 04/20/2020
100%
This information was last updated
12/5/20 1:46 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account,
the trading results presented on this Web site must still be regarded as purely hypothetical results.
This is because (among other reasons) the system developer may not have traded all signals,
particularly those that occurred before 04/20/2020,
and the system developer's results may not match the system results presented here. In addition,
not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations.
Unlike the results shown in an actual performance record, these results do not represent actual trading.
Also, because these trades have not actually been executed, these results may have
underor overcompensated for the impact, if any, of certain market factors, such as lack of liquidity.
Simulated or hypothetical trading programs in general are
also subject to the fact that they are designed with the benefit of hindsight. No representation is being
made that any account will or is likely to achieve
profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely
account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere
to a particular trading program in spite of trading losses are material points which can also adversely affect
actual trading results. There are numerous other factors related to the markets in general or to the implementation
of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance
results and all of which can adversely affect actual trading results.
You may be interested to learn more technical details about
how Collective2 calculates the hypothetical results you see on this web site.
ALPS 1
(128415506)
This system has earned TradesOwnStrategy (TOS) Certification. This means that the manager of this system trades his own strategy in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details  

Certification process started  04/20/2020 
Most recent certification approved  4/20/20 13:35 ET 
Trades at broker  Interactive Brokers (Stocks, Options, Futures) 
Scaling percentage used  100% 
# trading signals issued by system since certification  143 
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account  143 
Percent signals followed since 04/20/2020  100% 
This information was last updated  12/5/20 1:46 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 04/20/2020, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have underor overcompensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.
You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.
Subscription terms. Subscriptions to this system cost $299.00 per month.
C2Star
C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.
You can read more about C2Star certification requirements here.
Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.
Trendfollowing
Tries to take advantage of long, medium or shortterm moves that seem to play out in various markets. Typically, trendfollowing analysis is backward looking; that is, it attempts to recognize and profit from alreadyestablished trends.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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2020    (0.6%)  +12.8%  (5.4%)  +22.7%  +19.4%  (5.7%)  +30.3%  +0.6%  +91.9% 
Model Account Details
A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.
Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.
Started  $300,000  
Buy Power  $237,981  
Cash  $1  
Equity  $1  
Cumulative $  $278,420  
Includes dividends and cashsettled expirations:  $43  Itemized 
Total System Equity  $578,420  
Margined  $1  
Open P/L  $74,574  
Data has been delayed by 48 hours for nonsubscribers 
System developer has asked us to delay this information by 48 hours.
Trading Record
Statistics

Strategy began4/20/2020

Suggested Minimum Cap$100,000

Strategy Age (days)228.53

Age8 months ago

What it tradesStocks, Forex

# Trades55

# Profitable42

% Profitable76.40%

Avg trade duration23.3 days

Max peaktovalley drawdown19.16%

drawdown periodNov 05, 2020  Nov 10, 2020

Cumul. Return91.9%

Avg win$7,728

Avg loss$3,554
 Model Account Values (Raw)

Cash$206,165

Margin Used$0

Buying Power$237,981
 Ratios

W:L ratio7.03:1

Sharpe Ratio2.61

Sortino Ratio4.94

Calmar Ratio16.324
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)60.83%

Correlation to SP5000.26790

Return Percent SP500 (cumu) during strategy life31.03%
 Return Statistics

Ann Return (w trading costs)179.2%
 Slump

Current Slump as Pcnt Equity1.50%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.00%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.919%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks0.64%

Percent Trades Forex0.36%
 Return Statistics

Ann Return (Compnd, No Fees)184.1%
 Automation

Percentage Signals Automatedn/a
 Popularity

Popularity (Today)926

Popularity (Last 6 weeks)972
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score977

Popularity (7 days, Percentile 1000 scale)961
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$3,555

Avg Win$7,728

Sum Trade PL (losers)$46,209.000
 AUM

AUM (AutoTrader num accounts)5
 Age

Num Months filled monthly returns table9
 Win / Loss

Sum Trade PL (winners)$324,587.000

# Winners42

Num Months Winners6
 Dividends

Dividends Received in Model Acct43
 AUM

AUM (AutoTrader live capital)578237
 Win / Loss

# Losers13

% Winners76.4%
 Frequency

Avg Position Time (mins)33552.40

Avg Position Time (hrs)559.21

Avg Trade Length23.3 days

Last Trade Ago0
 Leverage

Daily leverage (average)1.16

Daily leverage (max)3.09
 Regression

Alpha0.25

Beta0.45

Treynor Index0.67
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)5.29

MAE:Equity, average, winning trades0.01

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  All trades1.060

MAE:Equity, losing trades only, 95th Percentile Value for this strat

MAE:Equity, win trades only, 95th Percentile Value for this strat

MAE:Equity, 95th Percentile Value for this strat0.01

Avg(MAE) / Avg(PL)  Winning trades0.718

Avg(MAE) / Avg(PL)  Losing trades1.260

HoldandHope Ratio0.961
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean1.04537

SD0.20601

Sharpe ratio (Glass type estimate)5.07444

Sharpe ratio (Hedges UMVUE)4.40780

df6.00000

t3.87567

p0.00411

Lowerbound of 95% confidence interval for Sharpe Ratio1.18868

Upperbound of 95% confidence interval for Sharpe Ratio8.78598

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.82941

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation7.98619
 Statistics related to Sortino ratio

Sortino ratio50.34450

Upside Potential Ratio51.65390

Upside part of mean1.07256

Downside part of mean0.02719

Upside SD0.35639

Downside SD0.02076

N nonnegative terms6.00000

N negative terms1.00000
 Statistics related to linear regression on benchmark

N of observations7.00000

Mean of predictor0.38994

Mean of criterion1.04537

SD of predictor0.08141

SD of criterion0.20601

Covariance0.00205

r0.12229

b (slope, estimate of beta)0.30943

a (intercept, estimate of alpha)0.92471

Mean Square Error0.05017

DF error5.00000

t(b)0.27551

p(b)0.39697

t(a)1.75447

p(a)0.06986

Lowerbound of 95% confidence interval for beta2.57774

Upperbound of 95% confidence interval for beta3.19660

Lowerbound of 95% confidence interval for alpha0.43020

Upperbound of 95% confidence interval for alpha2.27962

Treynor index (mean / b)3.37835

Jensen alpha (a)0.92471
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.98446

SD0.19194

Sharpe ratio (Glass type estimate)5.12903

Sharpe ratio (Hedges UMVUE)4.45521

df6.00000

t3.91736

p0.00391

Lowerbound of 95% confidence interval for Sharpe Ratio1.22134

Upperbound of 95% confidence interval for Sharpe Ratio8.86300

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.85808

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation8.05235
 Statistics related to Sortino ratio

Sortino ratio47.14440

Upside Potential Ratio48.45370

Upside part of mean1.01180

Downside part of mean0.02734

Upside SD0.33452

Downside SD0.02088

N nonnegative terms6.00000

N negative terms1.00000
 Statistics related to linear regression on benchmark

N of observations7.00000

Mean of predictor0.38014

Mean of criterion0.98446

SD of predictor0.08015

SD of criterion0.19194

Covariance0.00184

r0.11928

b (slope, estimate of beta)0.28565

a (intercept, estimate of alpha)0.87587

Mean Square Error0.04358

DF error5.00000

t(b)0.26864

p(b)0.39947

t(a)1.79500

p(a)0.06630

Lowerbound of 95% confidence interval for beta2.44781

Upperbound of 95% confidence interval for beta3.01912

Lowerbound of 95% confidence interval for alpha0.37850

Upperbound of 95% confidence interval for alpha2.13023

Treynor index (mean / b)3.44632

Jensen alpha (a)0.87587
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.00906

Expected Shortfall on VaR0.03153
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00174

Expected Shortfall on VaR0.00525
 ORDER STATISTICS
 Quartiles of return rates

Number of observations7.00000

Minimum0.98647

Quartile 11.06637

Median1.09187

Quartile 31.12294

Maximum1.16913

Mean of quarter 11.01644

Mean of quarter 21.08910

Mean of quarter 31.11417

Mean of quarter 41.15043

Inter Quartile Range0.05657

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

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

Extreme Value Index (moments method)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 observations1.00000

Minimum0.01353

Quartile 10.01353

Median0.01353

Quartile 30.01353

Maximum0.01353

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.37995

Compounded annual return (geometric extrapolation)1.75210

Calmar ratio (compounded annual return / max draw down)129.49000

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal55.56140

0.00000

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

Mean1.10255

SD0.36896

Sharpe ratio (Glass type estimate)2.98823

Sharpe ratio (Hedges UMVUE)2.97445

df163.00000

t2.36420

p0.38473

Lowerbound of 95% confidence interval for Sharpe Ratio0.48532

Upperbound of 95% confidence interval for Sharpe Ratio5.48219

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.47621

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.47270
 Statistics related to Sortino ratio

Sortino ratio5.86325

Upside Potential Ratio13.49240

Upside part of mean2.53716

Downside part of mean1.43461

Upside SD0.32339

Downside SD0.18804

N nonnegative terms87.00000

N negative terms77.00000
 Statistics related to linear regression on benchmark

N of observations164.00000

Mean of predictor0.42599

Mean of criterion1.10255

SD of predictor0.20872

SD of criterion0.36896

Covariance0.01967

r0.25539

b (slope, estimate of beta)0.45147

a (intercept, estimate of alpha)0.91000

Mean Square Error0.12804

DF error162.00000

t(b)3.36210

p(b)0.37230

t(a)1.99665

p(a)0.42251

Lowerbound of 95% confidence interval for beta0.18630

Upperbound of 95% confidence interval for beta0.71664

Lowerbound of 95% confidence interval for alpha0.01000

Upperbound of 95% confidence interval for alpha1.81046

Treynor index (mean / b)2.44214

Jensen alpha (a)0.91023
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.03397

SD0.36362

Sharpe ratio (Glass type estimate)2.84351

Sharpe ratio (Hedges UMVUE)2.83040

df163.00000

t2.24970

p0.39008

Lowerbound of 95% confidence interval for Sharpe Ratio0.34288

Upperbound of 95% confidence interval for Sharpe Ratio5.33568

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.33413

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.32667
 Statistics related to Sortino ratio

Sortino ratio5.39894

Upside Potential Ratio12.98360

Upside part of mean2.48654

Downside part of mean1.45257

Upside SD0.31436

Downside SD0.19151

N nonnegative terms87.00000

N negative terms77.00000
 Statistics related to linear regression on benchmark

N of observations164.00000

Mean of predictor0.40381

Mean of criterion1.03397

SD of predictor0.20988

SD of criterion0.36362

Covariance0.01939

r0.25406

b (slope, estimate of beta)0.44016

a (intercept, estimate of alpha)0.85623

Mean Square Error0.12445

DF error162.00000

t(b)3.34339

p(b)0.37297

t(a)1.90675

p(a)0.42592

Lowerbound of 95% confidence interval for beta0.18019

Upperbound of 95% confidence interval for beta0.70014

Lowerbound of 95% confidence interval for alpha0.03052

Upperbound of 95% confidence interval for alpha1.74297

Treynor index (mean / b)2.34906

Jensen alpha (a)0.85623
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03247

Expected Shortfall on VaR0.04147
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01208

Expected Shortfall on VaR0.02426
 ORDER STATISTICS
 Quartiles of return rates

Number of observations164.00000

Minimum0.93407

Quartile 10.99344

Median1.00129

Quartile 31.01223

Maximum1.09202

Mean of quarter 10.98026

Mean of quarter 20.99809

Mean of quarter 31.00539

Mean of quarter 41.03352

Inter Quartile Range0.01878

Number outliers low3.00000

Percentage of outliers low0.01829

Mean of outliers low0.94647

Number of outliers high11.00000

Percentage of outliers high0.06707

Mean of outliers high1.06450
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.40832

VaR(95%) (moments method)0.01781

Expected Shortfall (moments method)0.02120

Extreme Value Index (regression method)0.02017

VaR(95%) (regression method)0.01868

Expected Shortfall (regression method)0.02613
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations17.00000

Minimum0.00187

Quartile 10.00786

Median0.01590

Quartile 30.06086

Maximum0.11589

Mean of quarter 10.00447

Mean of quarter 20.01394

Mean of quarter 30.04750

Mean of quarter 40.09891

Inter Quartile Range0.05300

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)4.55449

VaR(95%) (moments method)0.09612

Expected Shortfall (moments method)0.09614

Extreme Value Index (regression method)1.50601

VaR(95%) (regression method)0.11465

Expected Shortfall (regression method)0.11729
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.50791

Compounded annual return (geometric extrapolation)1.89179

Calmar ratio (compounded annual return / max draw down)16.32350

Compounded annual return / average of 25% largest draw downs19.12680

Compounded annual return / Expected Shortfall lognormal45.61530

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

Mean1.39286

SD0.41030

Sharpe ratio (Glass type estimate)3.39470

Sharpe ratio (Hedges UMVUE)3.37508

df130.00000

t2.40042

p0.39699

Lowerbound of 95% confidence interval for Sharpe Ratio0.58613

Upperbound of 95% confidence interval for Sharpe Ratio6.19071

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.57308

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.17708
 Statistics related to Sortino ratio

Sortino ratio6.65065

Upside Potential Ratio14.80590

Upside part of mean3.10084

Downside part of mean1.70798

Upside SD0.36140

Downside SD0.20943

N nonnegative terms73.00000

N negative terms58.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.33825

Mean of criterion1.39286

SD of predictor0.20223

SD of criterion0.41030

Covariance0.02532

r0.30512

b (slope, estimate of beta)0.61904

a (intercept, estimate of alpha)1.18347

Mean Square Error0.15386

DF error129.00000

t(b)3.63903

p(b)0.30881

t(a)2.12204

p(a)0.38374

Lowerbound of 95% confidence interval for beta0.28247

Upperbound of 95% confidence interval for beta0.95561

Lowerbound of 95% confidence interval for alpha0.08004

Upperbound of 95% confidence interval for alpha2.28690

Treynor index (mean / b)2.25003

Jensen alpha (a)1.18347
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.30737

SD0.40451

Sharpe ratio (Glass type estimate)3.23199

Sharpe ratio (Hedges UMVUE)3.21331

df130.00000

t2.28536

p0.40174

Lowerbound of 95% confidence interval for Sharpe Ratio0.42651

Upperbound of 95% confidence interval for Sharpe Ratio6.02541

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.41412

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.01250
 Statistics related to Sortino ratio

Sortino ratio6.12848

Upside Potential Ratio14.23930

Upside part of mean3.03764

Downside part of mean1.73027

Upside SD0.35128

Downside SD0.21333

N nonnegative terms73.00000

N negative terms58.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.31753

Mean of criterion1.30737

SD of predictor0.20374

SD of criterion0.40451

Covariance0.02493

r0.30254

b (slope, estimate of beta)0.60067

a (intercept, estimate of alpha)1.11664

Mean Square Error0.14980

DF error129.00000

t(b)3.60511

p(b)0.31038

t(a)2.03058

p(a)0.38854

VAR (95 Confidence Intrvl)0.03200

Lowerbound of 95% confidence interval for beta0.27102

Upperbound of 95% confidence interval for beta0.93032

Lowerbound of 95% confidence interval for alpha0.02862

Upperbound of 95% confidence interval for alpha2.20466

Treynor index (mean / b)2.17652

Jensen alpha (a)1.11664
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03547

Expected Shortfall on VaR0.04545
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01395

Expected Shortfall on VaR0.02733
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.93407

Quartile 10.98857

Median1.00273

Quartile 31.01733

Maximum1.09202

Mean of quarter 10.97782

Mean of quarter 20.99695

Mean of quarter 31.00893

Mean of quarter 41.03810

Inter Quartile Range0.02876

Number outliers low1.00000

Percentage of outliers low0.00763

Mean of outliers low0.93407

Number of outliers high8.00000

Percentage of outliers high0.06107

Mean of outliers high1.07176
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.18479

VaR(95%) (moments method)0.02360

Expected Shortfall (moments method)0.03430

Extreme Value Index (regression method)0.22795

VaR(95%) (regression method)0.02151

Expected Shortfall (regression method)0.03103
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations15.00000

Minimum0.00187

Quartile 10.00797

Median0.03422

Quartile 30.07152

Maximum0.11589

Mean of quarter 10.00363

Mean of quarter 20.01883

Mean of quarter 30.05010

Mean of quarter 40.09891

Inter Quartile Range0.06355

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)1.26166

VaR(95%) (moments method)0.11059

Expected Shortfall (moments method)0.11392

Extreme Value Index (regression method)1.11057

VaR(95%) (regression method)0.11319

Last 4 Months  Pcnt Negative0.25%

Expected Shortfall (regression method)0.11646

Strat Max DD how much worse than SP500 max DD during strat life?325926000

Max Equity Drawdown (num days)5
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.89926

Compounded annual return (geometric extrapolation)2.80106

Calmar ratio (compounded annual return / max draw down)24.16920

Compounded annual return / average of 25% largest draw downs28.31980

Compounded annual return / Expected Shortfall lognormal61.62880
Strategy Description
Which one is better? Jim Rogers was the cofounder of the Quantum Fund, one of the world's most successful hedge funds, and used the concentration method.
Investing 101 is all about diversification and reducing your risk by spreading money around. Mr. Rogers said, “that it's much smarter to really concentrate your risks, and understand your risks and manage them that way. If you want to succeed, put all of your eggs in one basket... It has to be the right basket, and you better watch that basket very, very closely. But that's how you succeed. You don't get rich diversifying”.
I employ the same strategy here utilizing the concentration method for our funds. I trade my own funds with every trade. This is not a hypothetical trading account, I use my own money and the risk is very real. If you are opposed to the risk and do not want this type of trading please do not follow me, I understand that this type of trading is not for everyone.
I have been trading and investing since 1991 and have had the opportunity of starting and running my own successful registered investment advisory firm. I have retired and only trade/invest my own personal accounts currently.
My strategy is a threepronged strategy. First, I establish a long term strategy by buying investments/cryptocurrency at discounted valuations to build our base (by receiving price appreciation and dividends over long periods of time, holding period (1 10 yrs)). Next, I trade leveraged ETFs to build capital and to add additional growth to the portfolio (growth and income generator, holding period (1 day  weeks)). Next, I utilize the Forex market to take advantage of currency fluctuations in the market, (growth and income generator, holding period (hours  weeks)).
If you would like to follow me, I welcome you.
Sit Down, Strap In, and Enjoy the Ride.
Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.
Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.
Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have underor overcompensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.
Material assumptions and methods used when calculating results
The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.
 Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
 Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been rescaled downward to make current goforward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
 All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any pertrade AutoTrade fees, plus estimated broker commissions if any.
 "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.
Trading is risky
There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.
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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.