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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 08/20/2018
Most recent certification approved 8/20/18 13:39 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 236
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 199
Percent signals followed since 08/20/2018 84.3%
This information was last updated 7/14/20 3:18 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 08/20/2018, 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.

Volatility Balanced
(117580044)

Created by: PremiumScalping PremiumScalping
Started: 04/2018
Stocks
Last trade: 7 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 $99.00 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.

54.1%
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.

(24.2%)
Max Drawdown
66
Num Trades
74.2%
Win Trades
2.5 : 1
Profit Factor
64.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                     (1.6%)+12.0%(2.3%)+15.8%+10.4%+6.1%(3%)+8.6%(3.7%)+48.2%
2019+1.8%(0.1%)+5.1%+8.2%(12.4%)+9.2%+7.4%(11.8%)+10.6%+4.6%+7.1%+5.1%+36.6%
2020(8.9%)+13.0%(0.1%)+25.0%+0.6%+12.8%(10.6%)                              +30.5%

Model Account Details

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

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

Trading Record

This strategy has placed 204 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/18/20 14:21 UGAZ VELOCITYSHARES 3X LONG NATURAL SHORT 25,000 10.28 7/7 7:48 12.89 4.42%
Trade id #129641213
Max drawdown($29,030)
Time7/6/20 0:00
Quant open24,990
Worst price11.44
Drawdown as % of equity-4.42%
($65,419)
Includes Typical Broker Commissions trade costs of $10.10
6/2/20 9:35 UGAZ VELOCITYSHARES 3X LONG NATURAL SHORT 30,000 12.31 6/18 10:53 10.39 5.69%
Trade id #129308494
Max drawdown($33,184)
Time6/3/20 0:00
Quant open20,000
Worst price15.10
Drawdown as % of equity-5.69%
$57,595
Includes Typical Broker Commissions trade costs of $20.00
5/22/20 9:48 UGAZ VELOCITYSHARES 3X LONG NATURAL SHORT 25,000 15.29 6/1 13:24 14.22 3.99%
Trade id #129149907
Max drawdown($21,770)
Time5/26/20 0:00
Quant open9,000
Worst price17.76
Drawdown as % of equity-3.99%
$26,485
Includes Typical Broker Commissions trade costs of $22.50
5/26/20 13:11 SPXL DIREXION DAILY S&P500 BULL 3X SHORT 1,000 39.28 5/27 10:27 38.95 0.19%
Trade id #129195839
Max drawdown($1,015)
Time5/27/20 0:00
Quant open1,000
Worst price40.30
Drawdown as % of equity-0.19%
$330
Includes Typical Broker Commissions trade costs of $5.00
5/20/20 9:40 UGAZ VELOCITYSHARES 3X LONG NATURAL SHORT 7,000 18.49 5/21 15:47 15.83 0.13%
Trade id #129106987
Max drawdown($734)
Time5/20/20 9:55
Quant open2,000
Worst price19.76
Drawdown as % of equity-0.13%
$18,571
Includes Typical Broker Commissions trade costs of $20.00
5/20/20 11:25 BRZU DIREXION DAILY BRAZIL BULL 2X SHORT 5,000 52.57 5/21 13:02 54.93 3.78%
Trade id #129109765
Max drawdown($21,261)
Time5/21/20 0:00
Quant open5,000
Worst price56.82
Drawdown as % of equity-3.78%
($11,822)
Includes Typical Broker Commissions trade costs of $11.00
5/20/20 11:59 SPXL DIREXION DAILY S&P500 BULL 3X SHORT 3,000 37.93 5/20 12:34 37.80 0.01%
Trade id #129110967
Max drawdown($60)
Time5/20/20 12:02
Quant open2,000
Worst price38.04
Drawdown as % of equity-0.01%
$385
Includes Typical Broker Commissions trade costs of $7.50
5/15/20 15:59 BRZU DIREXION DAILY BRAZIL BULL 2X SHORT 5,000 45.39 5/19 17:49 53.47 6.74%
Trade id #129048498
Max drawdown($37,373)
Time5/19/20 12:17
Quant open5,000
Worst price52.86
Drawdown as % of equity-6.74%
($40,425)
Includes Typical Broker Commissions trade costs of $5.00
5/8/20 12:18 INDL DIREXION DAILY MSCI INDIA BULL 3X SHARES SHORT 3,000 16.87 5/15 10:35 15.52 1.34%
Trade id #128928512
Max drawdown($7,680)
Time5/12/20 0:00
Quant open3,000
Worst price19.43
Drawdown as % of equity-1.34%
$4,045
Includes Typical Broker Commissions trade costs of $5.00
5/8/20 12:23 SPXL DIREXION DAILY S&P500 BULL 3X SHORT 4,596 35.66 5/15 9:48 32.84 0.57%
Trade id #128928607
Max drawdown($3,227)
Time5/12/20 0:00
Quant open3,596
Worst price37.04
Drawdown as % of equity-0.57%
$12,956
Includes Typical Broker Commissions trade costs of $12.50
5/8/20 12:15 BRZU DIREXION DAILY BRAZIL BULL 2X SHORT 5,000 47.70 5/15 9:46 47.45 0.36%
Trade id #128928472
Max drawdown($2,015)
Time5/8/20 15:55
Quant open1,500
Worst price50.79
Drawdown as % of equity-0.36%
$1,233
Includes Typical Broker Commissions trade costs of $30.00
5/13/20 9:24 USO UNITED STATES OIL SHORT 3,000 21.04 5/14 9:45 20.83 0.39%
Trade id #128998749
Max drawdown($2,322)
Time5/14/20 0:00
Quant open3,000
Worst price21.82
Drawdown as % of equity-0.39%
$619
Includes Typical Broker Commissions trade costs of $5.00
5/11/20 12:56 MEXX DIREXION DAILY MSCI MEXICO BULL 3X SHORT 379 26.88 5/13 15:35 22.98 0%
Trade id #128963620
Max drawdown($22)
Time5/12/20 0:00
Quant open379
Worst price26.94
Drawdown as % of equity-0.00%
$1,470
Includes Typical Broker Commissions trade costs of $7.58
5/8/20 12:19 USO UNITED STATES OIL SHORT 3,000 21.03 5/12 16:13 20.97 0.34%
Trade id #128928556
Max drawdown($1,912)
Time5/8/20 14:33
Quant open3,000
Worst price21.67
Drawdown as % of equity-0.34%
$190
Includes Typical Broker Commissions trade costs of $5.00
4/30/20 14:43 USO UNITED STATES OIL SHORT 7,000 19.03 5/1 14:10 18.81 0.23%
Trade id #128810627
Max drawdown($1,300)
Time4/30/20 15:56
Quant open5,000
Worst price19.30
Drawdown as % of equity-0.23%
$1,528
Includes Typical Broker Commissions trade costs of $7.50
4/30/20 15:11 BRZU DIREXION DAILY BRAZIL BULL 2X SHORT 1,000 55.95 4/30 19:29 54.47 0.18%
Trade id #128811060
Max drawdown($1,020)
Time4/30/20 15:58
Quant open1,000
Worst price56.97
Drawdown as % of equity-0.18%
$1,479
Includes Typical Broker Commissions trade costs of $5.00
4/22/20 9:53 UCO PROSHARES ULTRA BLOOMBERG CRUD SHORT 5,000 15.83 4/29 12:45 13.24 2.51%
Trade id #128689122
Max drawdown($11,590)
Time4/23/20 0:00
Quant open4,000
Worst price19.60
Drawdown as % of equity-2.51%
$12,951
Includes Typical Broker Commissions trade costs of $12.50
4/24/20 11:07 SPXL DIREXION DAILY S&P500 BULL 3X SHORT 5,000 31.97 4/29 12:45 37.21 3.04%
Trade id #128727724
Max drawdown($26,220)
Time4/29/20 12:42
Quant open5,000
Worst price37.21
Drawdown as % of equity3.04%
($26,216)
Includes Typical Broker Commissions trade costs of $5.00
4/21/20 19:59 USO UNITED STATES OIL SHORT 11,250 20.99 4/29 12:45 18.07 n/a $32,794
Includes Typical Broker Commissions trade costs of $30.00
4/23/20 11:26 SPXL DIREXION DAILY S&P500 BULL 3X SHORT 7,000 32.98 4/24 8:42 32.50 0.62%
Trade id #128710771
Max drawdown($3,404)
Time4/24/20 0:00
Quant open7,000
Worst price33.47
Drawdown as % of equity-0.62%
$3,372
Includes Typical Broker Commissions trade costs of $7.50
4/21/20 12:46 USO UNITED STATES OIL SHORT 50,000 2.54 4/21 14:51 2.53 0.88%
Trade id #128676985
Max drawdown($4,750)
Time4/21/20 14:40
Quant open50,000
Worst price2.63
Drawdown as % of equity-0.88%
$398
Includes Typical Broker Commissions trade costs of $7.50
4/21/20 14:09 UCO PROSHARES ULTRA BLOOMBERG CRUD SHORT 2,000 13.41 4/21 14:38 13.19 1.04%
Trade id #128678509
Max drawdown($5,680)
Time4/21/20 14:24
Quant open2,000
Worst price16.25
Drawdown as % of equity-1.04%
$435
Includes Typical Broker Commissions trade costs of $5.00
4/21/20 12:47 UCO PROSHARES ULTRA BLOOMBERG CRUD SHORT 2,000 17.31 4/21 13:36 16.17 0.72%
Trade id #128677014
Max drawdown($3,880)
Time4/21/20 12:53
Quant open2,000
Worst price19.25
Drawdown as % of equity-0.72%
$2,275
Includes Typical Broker Commissions trade costs of $5.00
4/20/20 9:30 UCO PROSHARES ULTRA BLOOMBERG CRUD SHORT 6,000 33.98 4/21 9:10 21.19 n/a $76,769
Includes Typical Broker Commissions trade costs of $10.00
4/20/20 12:52 INDL DIREXION DAILY MSCI INDIA BULL 3X SHARES SHORT 5,000 15.81 4/20 14:09 15.59 n/a $1,095
Includes Typical Broker Commissions trade costs of $5.00
4/15/20 19:33 UCO PROSHARES ULTRA BLOOMBERG CRUD SHORT 50,000 1.64 4/17 10:58 1.60 n/a $1,995
Includes Typical Broker Commissions trade costs of $5.00
3/26/20 10:01 VXX2217R25 VXX Jun17'22 25 put LONG 9 10.15 4/14 12:51 10.36 0.13%
Trade id #128263779
Max drawdown($584)
Time3/30/20 0:00
Quant open9
Worst price9.50
Drawdown as % of equity-0.13%
$176
Includes Typical Broker Commissions trade costs of $15.90
4/9/20 12:12 UCO PROSHARES ULTRA BLOOMBERG CRUD SHORT 40,000 2.14 4/13 10:00 2.07 0.4%
Trade id #128499270
Max drawdown($1,797)
Time4/9/20 12:28
Quant open20,000
Worst price2.38
Drawdown as % of equity-0.40%
$2,999
Includes Typical Broker Commissions trade costs of $10.00
4/9/20 12:14 SPXL DIREXION DAILY S&P500 BULL 3X SHORT 5,000 32.51 4/9 14:46 31.94 0.56%
Trade id #128499298
Max drawdown($2,525)
Time4/9/20 13:32
Quant open5,000
Worst price33.01
Drawdown as % of equity-0.56%
$2,820
Includes Typical Broker Commissions trade costs of $5.00
3/26/20 12:58 VXX2217R20 VXX Jun17'22 20 put LONG 3 6.80 4/6 13:15 7.11 0.1%
Trade id #128268399
Max drawdown($434)
Time4/1/20 0:00
Quant open3
Worst price5.35
Drawdown as % of equity-0.10%
$88
Includes Typical Broker Commissions trade costs of $6.00

Statistics

  • Strategy began
    4/19/2018
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    816.65
  • Age
    27 months ago
  • What it trades
    Stocks, Options
  • # Trades
    66
  • # Profitable
    49
  • % Profitable
    74.20%
  • Avg trade duration
    10.5 days
  • Max peak-to-valley drawdown
    24.19%
  • drawdown period
    Oct 14, 2018 - Nov 23, 2018
  • Annual Return (Compounded)
    54.1%
  • Avg win
    $12,059
  • Avg loss
    $13,635
  • Model Account Values (Raw)
  • Cash
    $575,609
  • Margin Used
    $0
  • Buying Power
    $575,609
  • Ratios
  • W:L ratio
    2.55:1
  • Sharpe Ratio
    1.2
  • Sortino Ratio
    1.79
  • Calmar Ratio
    2.787
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    147.13%
  • Correlation to SP500
    0.19090
  • Return Percent SP500 (cumu) during strategy life
    17.16%
  • Return Statistics
  • Ann Return (w trading costs)
    54.1%
  • Slump
  • Current Slump as Pcnt Equity
    25.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.541%
  • Instruments
  • Percent Trades Options
    0.24%
  • Percent Trades Stocks
    0.76%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    54.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    49.00%
  • Chance of 20% account loss
    21.50%
  • Chance of 30% account loss
    8.00%
  • Chance of 40% account loss
    1.00%
  • 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)
    819
  • Popularity (Last 6 weeks)
    966
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    871
  • Popularity (7 days, Percentile 1000 scale)
    895
  • 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
    $13,636
  • Avg Win
    $12,060
  • Sum Trade PL (losers)
    $231,803.000
  • AUM
  • AUM (AutoTrader num accounts)
    2
  • Age
  • Num Months filled monthly returns table
    28
  • Win / Loss
  • Sum Trade PL (winners)
    $590,932.000
  • # Winners
    49
  • Num Months Winners
    18
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    252955
  • Win / Loss
  • # Losers
    17
  • % Winners
    74.2%
  • Frequency
  • Avg Position Time (mins)
    15061.00
  • Avg Position Time (hrs)
    251.02
  • Avg Trade Length
    10.5 days
  • Last Trade Ago
    7
  • Leverage
  • Daily leverage (average)
    0.99
  • Daily leverage (max)
    2.29
  • Regression
  • Alpha
    0.12
  • Beta
    0.26
  • Treynor Index
    0.49
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    22.66
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    31.57
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.45
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    3.192
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.715
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.433
  • Hold-and-Hope Ratio
    0.313
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.50770
  • SD
    0.34176
  • Sharpe ratio (Glass type estimate)
    1.48551
  • Sharpe ratio (Hedges UMVUE)
    1.44042
  • df
    25.00000
  • t
    2.18662
  • p
    0.01917
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.07890
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.86513
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05032
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.83053
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.84787
  • Upside Potential Ratio
    4.13263
  • Upside part of mean
    0.73673
  • Downside part of mean
    -0.22904
  • Upside SD
    0.31939
  • Downside SD
    0.17827
  • N nonnegative terms
    19.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.06681
  • Mean of criterion
    0.50770
  • SD of predictor
    0.21481
  • SD of criterion
    0.34176
  • Covariance
    0.02929
  • r
    0.39899
  • b (slope, estimate of beta)
    0.63479
  • a (intercept, estimate of alpha)
    0.46529
  • Mean Square Error
    0.10230
  • DF error
    24.00000
  • t(b)
    2.13165
  • p(b)
    0.02174
  • t(a)
    2.13238
  • p(a)
    0.02170
  • Lowerbound of 95% confidence interval for beta
    0.02017
  • Upperbound of 95% confidence interval for beta
    1.24940
  • Lowerbound of 95% confidence interval for alpha
    0.01494
  • Upperbound of 95% confidence interval for alpha
    0.91563
  • Treynor index (mean / b)
    0.79979
  • Jensen alpha (a)
    0.46529
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44310
  • SD
    0.33504
  • Sharpe ratio (Glass type estimate)
    1.32253
  • Sharpe ratio (Hedges UMVUE)
    1.28238
  • df
    25.00000
  • t
    1.94671
  • p
    0.03144
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07028
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.69085
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09578
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.66054
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.28274
  • Upside Potential Ratio
    3.55148
  • Upside part of mean
    0.68937
  • Downside part of mean
    -0.24627
  • Upside SD
    0.29431
  • Downside SD
    0.19411
  • N nonnegative terms
    19.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.04373
  • Mean of criterion
    0.44310
  • SD of predictor
    0.21991
  • SD of criterion
    0.33504
  • Covariance
    0.02838
  • r
    0.38523
  • b (slope, estimate of beta)
    0.58693
  • a (intercept, estimate of alpha)
    0.41743
  • Mean Square Error
    0.09958
  • DF error
    24.00000
  • t(b)
    2.04510
  • p(b)
    0.02598
  • t(a)
    1.94385
  • p(a)
    0.03186
  • Lowerbound of 95% confidence interval for beta
    -0.00540
  • Upperbound of 95% confidence interval for beta
    1.17925
  • Lowerbound of 95% confidence interval for alpha
    -0.02578
  • Upperbound of 95% confidence interval for alpha
    0.86064
  • Treynor index (mean / b)
    0.75495
  • Jensen alpha (a)
    0.41743
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11499
  • Expected Shortfall on VaR
    0.14951
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02709
  • Expected Shortfall on VaR
    0.06582
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.80681
  • Quartile 1
    1.00168
  • Median
    1.03932
  • Quartile 3
    1.08491
  • Maximum
    1.25475
  • Mean of quarter 1
    0.93144
  • Mean of quarter 2
    1.02107
  • Mean of quarter 3
    1.06319
  • Mean of quarter 4
    1.16213
  • Inter Quartile Range
    0.08322
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.07692
  • Mean of outliers low
    0.83917
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.03846
  • Mean of outliers high
    1.25475
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.16298
  • VaR(95%) (moments method)
    0.00715
  • Expected Shortfall (moments method)
    0.01018
  • Extreme Value Index (regression method)
    0.46250
  • VaR(95%) (regression method)
    0.07597
  • Expected Shortfall (regression method)
    0.19696
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00104
  • Quartile 1
    0.02618
  • Median
    0.12848
  • Quartile 3
    0.12852
  • Maximum
    0.19319
  • Mean of quarter 1
    0.01361
  • Mean of quarter 2
    0.12848
  • Mean of quarter 3
    0.12852
  • Mean of quarter 4
    0.19319
  • Inter Quartile Range
    0.10235
  • 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)
    0.81905
  • Compounded annual return (geometric extrapolation)
    0.60160
  • Calmar ratio (compounded annual return / max draw down)
    3.11410
  • Compounded annual return / average of 25% largest draw downs
    3.11410
  • Compounded annual return / Expected Shortfall lognormal
    4.02388
  • 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
    0.47875
  • SD
    0.33136
  • Sharpe ratio (Glass type estimate)
    1.44483
  • Sharpe ratio (Hedges UMVUE)
    1.44293
  • df
    572.00000
  • t
    2.13670
  • p
    0.01652
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11626
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77218
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11498
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77089
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.19847
  • Upside Potential Ratio
    8.27260
  • Upside part of mean
    1.80150
  • Downside part of mean
    -1.32275
  • Upside SD
    0.25111
  • Downside SD
    0.21777
  • N nonnegative terms
    253.00000
  • N negative terms
    320.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    573.00000
  • Mean of predictor
    0.07304
  • Mean of criterion
    0.47875
  • SD of predictor
    0.23892
  • SD of criterion
    0.33136
  • Covariance
    0.01667
  • r
    0.21057
  • b (slope, estimate of beta)
    0.29203
  • a (intercept, estimate of alpha)
    0.45700
  • Mean Square Error
    0.10511
  • DF error
    571.00000
  • t(b)
    5.14704
  • p(b)
    0.00000
  • t(a)
    2.08612
  • p(a)
    0.01871
  • Lowerbound of 95% confidence interval for beta
    0.18059
  • Upperbound of 95% confidence interval for beta
    0.40347
  • Lowerbound of 95% confidence interval for alpha
    0.02675
  • Upperbound of 95% confidence interval for alpha
    0.88810
  • Treynor index (mean / b)
    1.63941
  • Jensen alpha (a)
    0.45743
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42391
  • SD
    0.32977
  • Sharpe ratio (Glass type estimate)
    1.28547
  • Sharpe ratio (Hedges UMVUE)
    1.28379
  • df
    572.00000
  • t
    1.90103
  • p
    0.02890
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04249
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.61233
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04362
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.61119
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.89571
  • Upside Potential Ratio
    7.92019
  • Upside part of mean
    1.77108
  • Downside part of mean
    -1.34717
  • Upside SD
    0.24339
  • Downside SD
    0.22362
  • N nonnegative terms
    253.00000
  • N negative terms
    320.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    573.00000
  • Mean of predictor
    0.04450
  • Mean of criterion
    0.42391
  • SD of predictor
    0.23924
  • SD of criterion
    0.32977
  • Covariance
    0.01665
  • r
    0.21104
  • b (slope, estimate of beta)
    0.29090
  • a (intercept, estimate of alpha)
    0.41097
  • Mean Square Error
    0.10409
  • DF error
    571.00000
  • t(b)
    5.15908
  • p(b)
    0.00000
  • t(a)
    1.88367
  • p(a)
    0.03006
  • Lowerbound of 95% confidence interval for beta
    0.18015
  • Upperbound of 95% confidence interval for beta
    0.40164
  • Lowerbound of 95% confidence interval for alpha
    -0.01755
  • Upperbound of 95% confidence interval for alpha
    0.83948
  • Treynor index (mean / b)
    1.45725
  • Jensen alpha (a)
    0.41097
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03139
  • Expected Shortfall on VaR
    0.03957
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01225
  • Expected Shortfall on VaR
    0.02609
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    573.00000
  • Minimum
    0.90710
  • Quartile 1
    0.99798
  • Median
    1.00000
  • Quartile 3
    1.00930
  • Maximum
    1.16281
  • Mean of quarter 1
    0.98033
  • Mean of quarter 2
    0.99982
  • Mean of quarter 3
    1.00315
  • Mean of quarter 4
    1.02459
  • Inter Quartile Range
    0.01132
  • Number outliers low
    56.00000
  • Percentage of outliers low
    0.09773
  • Mean of outliers low
    0.96234
  • Number of outliers high
    41.00000
  • Percentage of outliers high
    0.07155
  • Mean of outliers high
    1.04559
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32527
  • VaR(95%) (moments method)
    0.01003
  • Expected Shortfall (moments method)
    0.01951
  • Extreme Value Index (regression method)
    -0.03808
  • VaR(95%) (regression method)
    0.01749
  • Expected Shortfall (regression method)
    0.02645
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    31.00000
  • Minimum
    0.00067
  • Quartile 1
    0.00714
  • Median
    0.02563
  • Quartile 3
    0.11481
  • Maximum
    0.20492
  • Mean of quarter 1
    0.00310
  • Mean of quarter 2
    0.01606
  • Mean of quarter 3
    0.06390
  • Mean of quarter 4
    0.16013
  • Inter Quartile Range
    0.10767
  • 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)
    -1.38945
  • VaR(95%) (moments method)
    0.17677
  • Expected Shortfall (moments method)
    0.18165
  • Extreme Value Index (regression method)
    -1.12280
  • VaR(95%) (regression method)
    0.17634
  • Expected Shortfall (regression method)
    0.18252
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.77101
  • Compounded annual return (geometric extrapolation)
    0.57116
  • Calmar ratio (compounded annual return / max draw down)
    2.78724
  • Compounded annual return / average of 25% largest draw downs
    3.56695
  • Compounded annual return / Expected Shortfall lognormal
    14.43310
  • 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
    0.53373
  • SD
    0.42491
  • Sharpe ratio (Glass type estimate)
    1.25609
  • Sharpe ratio (Hedges UMVUE)
    1.24883
  • df
    130.00000
  • t
    0.88819
  • p
    0.46117
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.52221
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.02981
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.52713
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.02479
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.04597
  • Upside Potential Ratio
    8.19244
  • Upside part of mean
    2.13714
  • Downside part of mean
    -1.60341
  • Upside SD
    0.33497
  • Downside SD
    0.26087
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.00233
  • Mean of criterion
    0.53373
  • SD of predictor
    0.42871
  • SD of criterion
    0.42491
  • Covariance
    0.01498
  • r
    0.08225
  • b (slope, estimate of beta)
    0.08152
  • a (intercept, estimate of alpha)
    0.53354
  • Mean Square Error
    0.18072
  • DF error
    129.00000
  • t(b)
    0.93734
  • p(b)
    0.44770
  • t(a)
    0.88746
  • p(a)
    0.45046
  • Lowerbound of 95% confidence interval for beta
    -0.09055
  • Upperbound of 95% confidence interval for beta
    0.25359
  • Lowerbound of 95% confidence interval for alpha
    -0.65594
  • Upperbound of 95% confidence interval for alpha
    1.72301
  • Treynor index (mean / b)
    6.54715
  • Jensen alpha (a)
    0.53354
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44558
  • SD
    0.41832
  • Sharpe ratio (Glass type estimate)
    1.06518
  • Sharpe ratio (Hedges UMVUE)
    1.05902
  • df
    130.00000
  • t
    0.75319
  • p
    0.46704
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.71159
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.83795
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.71578
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.83381
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.65709
  • Upside Potential Ratio
    7.75117
  • Upside part of mean
    2.08425
  • Downside part of mean
    -1.63867
  • Upside SD
    0.31954
  • Downside SD
    0.26889
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08898
  • Mean of criterion
    0.44558
  • SD of predictor
    0.42923
  • SD of criterion
    0.41832
  • Covariance
    0.01445
  • r
    0.08046
  • b (slope, estimate of beta)
    0.07842
  • a (intercept, estimate of alpha)
    0.45256
  • Mean Square Error
    0.17520
  • DF error
    129.00000
  • t(b)
    0.91684
  • p(b)
    0.44883
  • t(a)
    0.76445
  • p(a)
    0.45728
  • VAR (95 Confidence Intrvl)
    0.03100
  • Lowerbound of 95% confidence interval for beta
    -0.09080
  • Upperbound of 95% confidence interval for beta
    0.24764
  • Lowerbound of 95% confidence interval for alpha
    -0.71874
  • Upperbound of 95% confidence interval for alpha
    1.62385
  • Treynor index (mean / b)
    5.68226
  • Jensen alpha (a)
    0.45256
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03999
  • Expected Shortfall on VaR
    0.05026
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01536
  • Expected Shortfall on VaR
    0.03241
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90765
  • Quartile 1
    0.99794
  • Median
    1.00000
  • Quartile 3
    1.00990
  • Maximum
    1.16281
  • Mean of quarter 1
    0.97625
  • Mean of quarter 2
    0.99970
  • Mean of quarter 3
    1.00293
  • Mean of quarter 4
    1.02972
  • Inter Quartile Range
    0.01196
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.95440
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.05422
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49504
  • VaR(95%) (moments method)
    0.01390
  • Expected Shortfall (moments method)
    0.03436
  • Extreme Value Index (regression method)
    0.26350
  • VaR(95%) (regression method)
    0.02162
  • Expected Shortfall (regression method)
    0.04136
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00067
  • Quartile 1
    0.02100
  • Median
    0.07424
  • Quartile 3
    0.15737
  • Maximum
    0.19840
  • Mean of quarter 1
    0.00837
  • Mean of quarter 2
    0.03578
  • Mean of quarter 3
    0.11270
  • Mean of quarter 4
    0.18533
  • Inter Quartile Range
    0.13637
  • 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
  • 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?
    -259757000
  • Max Equity Drawdown (num days)
    40
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.53424
  • Compounded annual return (geometric extrapolation)
    0.60559
  • Calmar ratio (compounded annual return / max draw down)
    3.05232
  • Compounded annual return / average of 25% largest draw downs
    3.26756
  • Compounded annual return / Expected Shortfall lognormal
    12.05030

Strategy Description

Summary Statistics

Strategy began
2018-04-19
Suggested Minimum Capital
$100,000
Rank at C2 
#82
# Trades
66
# Profitable
49
% Profitable
74.2%
Correlation S&P500
0.191
Sharpe Ratio
1.20
Sortino Ratio
1.79
Beta
0.26
Alpha
0.12
Leverage
0.99 Average
2.29 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.