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This is an archived track record. This track record was archived on 1/4/23 12:50 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

SAVVY RISK ON RISK OFF
(119285450)

Created by: TrendSurfer TrendSurfer
Started: 08/2018
Stocks
Last trade: 450 days ago
Trading style: Equity Trend-following Sector Rotation

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 $66.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Sector Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
7.3%
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.

(33.2%)
Max Drawdown
140
Num Trades
48.6%
Win Trades
1.7 : 1
Profit Factor
51.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                 +0.6%(0.9%)(0.7%)  -  +3.2%+2.1%
2019+1.9%+1.1%+3.1%+0.4%(3%)+0.1%+2.9%(2.5%)+5.0%+1.7%(0.4%)+3.8%+14.7%
2020+1.4%(2.2%)+5.1%+4.5%+4.7%+2.8%+3.0%+3.7%(4.3%)+0.1%+14.9%+1.9%+40.4%
2021+1.5%+6.6%+0.8%+3.6%+1.9%(3.2%)  -  +1.3%(1.8%)+0.3%(3.5%)(13%)(6.7%)
2022+0.5%(3.7%)(4.6%)+1.9%(0.2%)(10.1%)+7.1%+1.4%(11.6%)+0.3%+8.6%(3.8%)(15.2%)
2023+1.5%  -    -    -    -    -    -    -    -    -    -    -  +1.5%
2024  -    -    -                                                        0.0

Model Account Details

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

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

System developer has asked us to delay this information by 72 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/20/20 9:54 CSQ CALAMOS STRATEGIC TOTAL RETURN LONG 1,000 8.27 1/4/23 12:50 13.38 2.42%
Trade id #128158527
Max drawdown($1,320)
Time3/23/20 0:00
Quant open1,000
Worst price6.95
Drawdown as % of equity-2.42%
$5,105
Includes Typical Broker Commissions trade costs of $5.00
3/20/20 9:46 DPG DUFF & PHELPS UTILITY AND INFRASTRUCTURE FUND INC LONG 1,000 7.75 1/4/23 12:50 13.70 2.48%
Trade id #128158227
Max drawdown($1,350)
Time3/23/20 0:00
Quant open1,000
Worst price6.40
Drawdown as % of equity-2.48%
$5,947
Includes Typical Broker Commissions trade costs of $5.00
3/20/20 9:43 JETS US GLOBAL JETS ETF LONG 800 12.78 1/4/23 12:50 17.77 1.15%
Trade id #128158114
Max drawdown($664)
Time4/3/20 0:00
Quant open800
Worst price11.95
Drawdown as % of equity-1.15%
$3,991
Includes Typical Broker Commissions trade costs of $5.00
3/19/20 13:59 NMZ NUVEEN MUNI HIGH INC OPP COMMO LONG 900 10.49 1/4/23 12:50 10.56 0.97%
Trade id #128143669
Max drawdown($526)
Time3/23/20 0:00
Quant open900
Worst price9.90
Drawdown as % of equity-0.97%
$59
Includes Typical Broker Commissions trade costs of $5.00
3/11/20 13:56 BTAL AGF US MARKET NEUT ANTI-BETA LONG 600 26.00 3/19 9:50 26.13 1.11%
Trade id #127978950
Max drawdown($600)
Time3/13/20 0:00
Quant open600
Worst price25.00
Drawdown as % of equity-1.11%
$73
Includes Typical Broker Commissions trade costs of $5.00
3/13/20 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 250 42.12 3/13 9:48 44.75 n/a $653
Includes Typical Broker Commissions trade costs of $5.00
3/11/20 13:55 IAU ISHARES GOLD TRUST LONG 1,000 15.73 3/12 10:06 15.18 1.42%
Trade id #127978925
Max drawdown($830)
Time3/12/20 0:00
Quant open1,000
Worst price14.90
Drawdown as % of equity-1.42%
($555)
Includes Typical Broker Commissions trade costs of $5.00
3/11/20 14:07 UPRO PROSHARES ULTRAPRO S&P 500 LONG 500 40.19 3/12 9:30 31.87 10.16%
Trade id #127979173
Max drawdown($5,945)
Time3/12/20 0:00
Quant open500
Worst price28.30
Drawdown as % of equity-10.16%
($4,170)
Includes Typical Broker Commissions trade costs of $10.00
2/20/20 15:46 KBE SPDR S&P BANK ETF LONG 200 45.96 2/24 9:30 44.01 0.29%
Trade id #127626429
Max drawdown($172)
Time2/21/20 0:00
Quant open200
Worst price45.10
Drawdown as % of equity-0.29%
($394)
Includes Typical Broker Commissions trade costs of $4.00
2/18/20 9:38 TBF PROSHARES SHORT 20+ YEAR TREAS LONG 1,000 18.30 2/21 9:30 17.95 0.4%
Trade id #127572072
Max drawdown($240)
Time2/20/20 0:00
Quant open1,000
Worst price18.06
Drawdown as % of equity-0.40%
($355)
Includes Typical Broker Commissions trade costs of $5.00
2/18/20 10:46 UPRO PROSHARES ULTRAPRO S&P 500 LONG 370 79.09 2/20 11:28 78.79 0.58%
Trade id #127574141
Max drawdown($347)
Time2/18/20 11:46
Quant open370
Worst price78.15
Drawdown as % of equity-0.58%
($118)
Includes Typical Broker Commissions trade costs of $7.40
2/5/20 11:07 FXY CURRENCYSHARES JAPANESE YEN TR LONG 200 86.56 2/18 9:42 86.35 0.11%
Trade id #127375293
Max drawdown($64)
Time2/12/20 0:00
Quant open200
Worst price86.24
Drawdown as % of equity-0.11%
($46)
Includes Typical Broker Commissions trade costs of $4.00
2/5/20 11:06 SDS PROSHARES ULTRASHORT S&P500 LONG 400 23.45 2/11 9:30 22.79 0.31%
Trade id #127375271
Max drawdown($188)
Time2/10/20 0:00
Quant open400
Worst price22.98
Drawdown as % of equity-0.31%
($272)
Includes Typical Broker Commissions trade costs of $8.00
1/31/20 9:50 UPRO PROSHARES ULTRAPRO S&P 500 LONG 413 72.00 1/31 11:38 70.01 1.33%
Trade id #127308977
Max drawdown($801)
Time1/31/20 11:17
Quant open413
Worst price70.06
Drawdown as % of equity-1.33%
($830)
Includes Typical Broker Commissions trade costs of $8.26
1/7/20 11:02 SWAN AMPLIFY BLACKSWAN GROWTH & TREASURY CORE ETF LONG 685 29.02 1/21 15:54 29.40 0.21%
Trade id #126899323
Max drawdown($123)
Time1/7/20 15:57
Quant open685
Worst price28.84
Drawdown as % of equity-0.21%
$255
Includes Typical Broker Commissions trade costs of $5.00
1/8/20 11:45 NTSX WISDOMTREE US EFFICIENT CORE FUND LONG 660 29.98 1/21 15:53 30.59 0.09%
Trade id #126915220
Max drawdown($52)
Time1/8/20 13:15
Quant open660
Worst price29.90
Drawdown as % of equity-0.09%
$398
Includes Typical Broker Commissions trade costs of $5.00
1/17/20 11:02 FV FIRST TRUST DORSEY WRIGHT FOCU LONG 600 32.76 1/21 15:53 32.74 0.12%
Trade id #127065554
Max drawdown($72)
Time1/21/20 9:31
Quant open600
Worst price32.64
Drawdown as % of equity-0.12%
($17)
Includes Typical Broker Commissions trade costs of $5.00
1/7/20 11:07 UPRO PROSHARES ULTRAPRO S&P 500 LONG 280 70.89 1/16 10:09 75.06 0.23%
Trade id #126899370
Max drawdown($137)
Time1/7/20 14:19
Quant open280
Worst price70.40
Drawdown as % of equity-0.23%
$1,162
Includes Typical Broker Commissions trade costs of $5.60
1/7/20 11:11 FXY CURRENCYSHARES JAPANESE YEN TR LONG 227 87.51 1/8 11:29 87.27 0.2%
Trade id #126899427
Max drawdown($118)
Time1/8/20 0:00
Quant open227
Worst price86.99
Drawdown as % of equity-0.20%
($59)
Includes Typical Broker Commissions trade costs of $4.54
12/20/19 10:15 FXY CURRENCYSHARES JAPANESE YEN TR LONG 230 86.90 12/31 15:19 87.42 0.1%
Trade id #126703429
Max drawdown($62)
Time12/26/19 0:00
Quant open230
Worst price86.63
Drawdown as % of equity-0.10%
$115
Includes Typical Broker Commissions trade costs of $4.60
12/31/19 15:19 EDV VANGUARD EXTENDED DUR TRS IDX SHORT 150 129.82 12/31 15:19 129.88 0.02%
Trade id #126808105
Max drawdown($9)
Time12/31/19 15:19
Quant open150
Worst price129.88
Drawdown as % of equity-0.02%
($12)
Includes Typical Broker Commissions trade costs of $3.00
12/27/19 11:59 EDV VANGUARD EXTENDED DUR TRS IDX LONG 150 132.60 12/31 15:19 129.82 0.7%
Trade id #126769724
Max drawdown($414)
Time12/31/19 15:15
Quant open150
Worst price129.84
Drawdown as % of equity-0.70%
($420)
Includes Typical Broker Commissions trade costs of $3.00
12/20/19 10:19 AOR ISHARES CORE GROWTH ALLOCATIO LONG 415 48.09 12/27 9:43 47.89 0.33%
Trade id #126703501
Max drawdown($195)
Time12/24/19 0:00
Quant open415
Worst price47.62
Drawdown as % of equity-0.33%
($91)
Includes Typical Broker Commissions trade costs of $8.30
12/20/19 10:17 FTLS FIRST TRUST LONG SHORT EQUITY LONG 465 42.78 12/24 12:15 42.74 0.06%
Trade id #126703454
Max drawdown($37)
Time12/23/19 0:00
Quant open465
Worst price42.70
Drawdown as % of equity-0.06%
($28)
Includes Typical Broker Commissions trade costs of $9.30
12/4/19 9:58 UPRO PROSHARES ULTRAPRO S&P 500 LONG 450 63.03 12/17 13:33 67.85 0.57%
Trade id #126478741
Max drawdown($324)
Time12/5/19 0:00
Quant open450
Worst price62.31
Drawdown as % of equity-0.57%
$2,160
Includes Typical Broker Commissions trade costs of $9.00
12/17/19 13:32 WIZ MERLYN.AI BULL-RIDER BEAR-FIGHTER ETF LONG 100 26.67 12/17 13:33 26.63 0.01%
Trade id #126658948
Max drawdown($4)
Time12/17/19 13:33
Quant open100
Worst price26.63
Drawdown as % of equity-0.01%
($6)
Includes Typical Broker Commissions trade costs of $2.00
12/4/19 9:57 WIZ MERLYN.AI BULL-RIDER BEAR-FIGHTER ETF LONG 1,100 26.24 12/17 13:10 26.63 0.32%
Trade id #126478731
Max drawdown($181)
Time12/5/19 0:00
Quant open1,100
Worst price26.07
Drawdown as % of equity-0.32%
$424
Includes Typical Broker Commissions trade costs of $5.00
11/26/19 10:27 BTAL AGF US MARKET NEUT ANTI-BETA LONG 1,700 22.96 12/2 10:23 22.90 0.63%
Trade id #126369580
Max drawdown($357)
Time12/2/19 9:54
Quant open1,700
Worst price22.75
Drawdown as % of equity-0.63%
($107)
Includes Typical Broker Commissions trade costs of $5.00
11/13/19 10:20 BTAL AGF US MARKET NEUT ANTI-BETA LONG 1,750 23.13 11/15 12:42 23.09 0.15%
Trade id #126189138
Max drawdown($87)
Time11/13/19 10:24
Quant open1,750
Worst price23.08
Drawdown as % of equity-0.15%
($75)
Includes Typical Broker Commissions trade costs of $5.00
11/5/19 11:50 RPV INVESCO S&P 500 PURE VALUE LONG 850 67.75 11/12 11:31 68.31 0.46%
Trade id #126078895
Max drawdown($259)
Time11/6/19 0:00
Quant open850
Worst price67.44
Drawdown as % of equity-0.46%
$475
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    8/5/2018
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    2059.66
  • Age
    69 months ago
  • What it trades
    Stocks
  • # Trades
    140
  • # Profitable
    68
  • % Profitable
    48.60%
  • Avg trade duration
    43.4 days
  • Max peak-to-valley drawdown
    33.2%
  • drawdown period
    June 01, 2021 - Oct 03, 2022
  • Annual Return (Compounded)
    7.3%
  • Avg win
    $601.40
  • Avg loss
    $429.21
  • Model Account Values (Raw)
  • Cash
    $77,722
  • Margin Used
    $0
  • Buying Power
    $77,722
  • Ratios
  • W:L ratio
    1.72:1
  • Sharpe Ratio
    0.23
  • Sortino Ratio
    0.3
  • Calmar Ratio
    0.564
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1.98%
  • Correlation to SP500
    0.47650
  • Return Percent SP500 (cumu) during strategy life
    84.99%
  • Return Statistics
  • Ann Return (w trading costs)
    7.3%
  • Slump
  • Current Slump as Pcnt Equity
    43.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.50%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.073%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.7%
  • 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 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    1.41%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $429
  • Avg Win
    $601
  • Sum Trade PL (losers)
    $30,903.000
  • Age
  • Num Months filled monthly returns table
    68
  • Win / Loss
  • Sum Trade PL (winners)
    $40,895.000
  • # Winners
    68
  • Num Months Winners
    36
  • Dividends
  • Dividends Received in Model Acct
    12108
  • Win / Loss
  • # Losers
    72
  • % Winners
    48.6%
  • Frequency
  • Avg Position Time (mins)
    62564.80
  • Avg Position Time (hrs)
    1042.75
  • Avg Trade Length
    43.4 days
  • Last Trade Ago
    446
  • Leverage
  • Daily leverage (average)
    1.04
  • Daily leverage (max)
    2.33
  • Regression
  • Alpha
    0.00
  • Beta
    0.37
  • Treynor Index
    0.03
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    13.61
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    10.27
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.34
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.574
  • 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
    0.283
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.238
  • Hold-and-Hope Ratio
    0.244
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20066
  • SD
    0.30350
  • Sharpe ratio (Glass type estimate)
    0.66113
  • Sharpe ratio (Hedges UMVUE)
    0.63930
  • df
    23.00000
  • t
    0.93498
  • p
    0.17976
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74471
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.05303
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75887
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03746
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.07905
  • Upside Potential Ratio
    2.14804
  • Upside part of mean
    0.39944
  • Downside part of mean
    -0.19879
  • Upside SD
    0.23886
  • Downside SD
    0.18596
  • N nonnegative terms
    17.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.18801
  • Mean of criterion
    0.20066
  • SD of predictor
    0.32733
  • SD of criterion
    0.30350
  • Covariance
    0.07862
  • r
    0.79137
  • b (slope, estimate of beta)
    0.73377
  • a (intercept, estimate of alpha)
    0.06270
  • Mean Square Error
    0.03599
  • DF error
    22.00000
  • t(b)
    6.07163
  • p(b)
    0.00000
  • t(a)
    0.46083
  • p(a)
    0.32472
  • Lowerbound of 95% confidence interval for beta
    0.48314
  • Upperbound of 95% confidence interval for beta
    0.98440
  • Lowerbound of 95% confidence interval for alpha
    -0.21947
  • Upperbound of 95% confidence interval for alpha
    0.34487
  • Treynor index (mean / b)
    0.27346
  • Jensen alpha (a)
    0.06270
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15469
  • SD
    0.30588
  • Sharpe ratio (Glass type estimate)
    0.50574
  • Sharpe ratio (Hedges UMVUE)
    0.48903
  • df
    23.00000
  • t
    0.71522
  • p
    0.24084
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89317
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89387
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90406
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88212
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.73431
  • Upside Potential Ratio
    1.77245
  • Upside part of mean
    0.37340
  • Downside part of mean
    -0.21870
  • Upside SD
    0.21743
  • Downside SD
    0.21067
  • N nonnegative terms
    17.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.13324
  • Mean of criterion
    0.15469
  • SD of predictor
    0.33849
  • SD of criterion
    0.30588
  • Covariance
    0.07878
  • r
    0.76090
  • b (slope, estimate of beta)
    0.68760
  • a (intercept, estimate of alpha)
    0.06308
  • Mean Square Error
    0.04118
  • DF error
    22.00000
  • t(b)
    5.50031
  • p(b)
    0.00001
  • t(a)
    0.43664
  • p(a)
    0.33331
  • Lowerbound of 95% confidence interval for beta
    0.42834
  • Upperbound of 95% confidence interval for beta
    0.94686
  • Lowerbound of 95% confidence interval for alpha
    -0.23651
  • Upperbound of 95% confidence interval for alpha
    0.36267
  • Treynor index (mean / b)
    0.22498
  • Jensen alpha (a)
    0.06308
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12397
  • Expected Shortfall on VaR
    0.15525
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02458
  • Expected Shortfall on VaR
    0.06104
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.75569
  • Quartile 1
    0.99521
  • Median
    1.01019
  • Quartile 3
    1.03329
  • Maximum
    1.25301
  • Mean of quarter 1
    0.93723
  • Mean of quarter 2
    1.00529
  • Mean of quarter 3
    1.02029
  • Mean of quarter 4
    1.11339
  • Inter Quartile Range
    0.03808
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.08333
  • Mean of outliers low
    0.83627
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    1.21932
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.14957
  • VaR(95%) (moments method)
    0.04140
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.53238
  • VaR(95%) (regression method)
    0.08308
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00521
  • Quartile 1
    0.02262
  • Median
    0.05579
  • Quartile 3
    0.12721
  • Maximum
    0.25937
  • Mean of quarter 1
    0.00521
  • Mean of quarter 2
    0.02843
  • Mean of quarter 3
    0.08315
  • Mean of quarter 4
    0.25937
  • Inter Quartile Range
    0.10458
  • 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)
    0.22040
  • Compounded annual return (geometric extrapolation)
    0.20034
  • Calmar ratio (compounded annual return / max draw down)
    0.77240
  • Compounded annual return / average of 25% largest draw downs
    0.77240
  • Compounded annual return / Expected Shortfall lognormal
    1.29039
  • 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
    0.17612
  • SD
    0.26775
  • Sharpe ratio (Glass type estimate)
    0.65778
  • Sharpe ratio (Hedges UMVUE)
    0.65687
  • df
    541.00000
  • t
    0.94608
  • p
    0.17227
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70578
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02075
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70639
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02012
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.94105
  • Upside Potential Ratio
    5.39750
  • Upside part of mean
    1.01017
  • Downside part of mean
    -0.83404
  • Upside SD
    0.19145
  • Downside SD
    0.18715
  • N nonnegative terms
    224.00000
  • N negative terms
    318.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    542.00000
  • Mean of predictor
    0.16551
  • Mean of criterion
    0.17612
  • SD of predictor
    0.31983
  • SD of criterion
    0.26775
  • Covariance
    0.04586
  • r
    0.53558
  • b (slope, estimate of beta)
    0.44838
  • a (intercept, estimate of alpha)
    0.05400
  • Mean Square Error
    0.05122
  • DF error
    540.00000
  • t(b)
    14.73780
  • p(b)
    0.00000
  • t(a)
    0.64731
  • p(a)
    0.25885
  • Lowerbound of 95% confidence interval for beta
    0.38862
  • Upperbound of 95% confidence interval for beta
    0.50815
  • Lowerbound of 95% confidence interval for alpha
    -0.20735
  • Upperbound of 95% confidence interval for alpha
    0.41117
  • Treynor index (mean / b)
    0.39279
  • Jensen alpha (a)
    0.10191
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13997
  • SD
    0.26972
  • Sharpe ratio (Glass type estimate)
    0.51893
  • Sharpe ratio (Hedges UMVUE)
    0.51821
  • df
    541.00000
  • t
    0.74637
  • p
    0.22788
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84435
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.88174
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84484
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88125
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.71398
  • Upside Potential Ratio
    5.06306
  • Upside part of mean
    0.99254
  • Downside part of mean
    -0.85258
  • Upside SD
    0.18510
  • Downside SD
    0.19604
  • N nonnegative terms
    224.00000
  • N negative terms
    318.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    542.00000
  • Mean of predictor
    0.11415
  • Mean of criterion
    0.13997
  • SD of predictor
    0.32123
  • SD of criterion
    0.26972
  • Covariance
    0.04522
  • r
    0.52196
  • b (slope, estimate of beta)
    0.43827
  • a (intercept, estimate of alpha)
    0.08994
  • Mean Square Error
    0.05303
  • DF error
    540.00000
  • t(b)
    14.21990
  • p(b)
    0.00000
  • t(a)
    0.56160
  • p(a)
    0.28731
  • Lowerbound of 95% confidence interval for beta
    0.37773
  • Upperbound of 95% confidence interval for beta
    0.49881
  • Lowerbound of 95% confidence interval for alpha
    -0.22464
  • Upperbound of 95% confidence interval for alpha
    0.40452
  • Treynor index (mean / b)
    0.31936
  • Jensen alpha (a)
    0.08994
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02652
  • Expected Shortfall on VaR
    0.03325
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00787
  • Expected Shortfall on VaR
    0.01772
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    542.00000
  • Minimum
    0.85003
  • Quartile 1
    0.99802
  • Median
    1.00000
  • Quartile 3
    1.00265
  • Maximum
    1.14077
  • Mean of quarter 1
    0.98808
  • Mean of quarter 2
    0.99948
  • Mean of quarter 3
    1.00084
  • Mean of quarter 4
    1.01471
  • Inter Quartile Range
    0.00463
  • Number outliers low
    41.00000
  • Percentage of outliers low
    0.07565
  • Mean of outliers low
    0.97027
  • Number of outliers high
    58.00000
  • Percentage of outliers high
    0.10701
  • Mean of outliers high
    1.02769
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.89299
  • VaR(95%) (moments method)
    0.01049
  • Expected Shortfall (moments method)
    0.10370
  • Extreme Value Index (regression method)
    0.87909
  • VaR(95%) (regression method)
    0.00853
  • Expected Shortfall (regression method)
    0.07135
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    27.00000
  • Minimum
    0.00014
  • Quartile 1
    0.00503
  • Median
    0.01695
  • Quartile 3
    0.03419
  • Maximum
    0.32311
  • Mean of quarter 1
    0.00196
  • Mean of quarter 2
    0.01030
  • Mean of quarter 3
    0.02498
  • Mean of quarter 4
    0.11323
  • Inter Quartile Range
    0.02916
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.19065
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.36854
  • VaR(95%) (moments method)
    0.10854
  • Expected Shortfall (moments method)
    0.20899
  • Extreme Value Index (regression method)
    1.36360
  • VaR(95%) (regression method)
    0.12926
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20071
  • Compounded annual return (geometric extrapolation)
    0.18279
  • Calmar ratio (compounded annual return / max draw down)
    0.56570
  • Compounded annual return / average of 25% largest draw downs
    1.61429
  • Compounded annual return / Expected Shortfall lognormal
    5.49679
  • 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
    0.33030
  • SD
    0.47440
  • Sharpe ratio (Glass type estimate)
    0.69623
  • Sharpe ratio (Hedges UMVUE)
    0.69221
  • df
    130.00000
  • t
    0.49231
  • p
    0.47843
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.07819
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.46800
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.08087
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.46529
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.96757
  • Upside Potential Ratio
    7.19924
  • Upside part of mean
    2.45757
  • Downside part of mean
    -2.12728
  • Upside SD
    0.32745
  • Downside SD
    0.34136
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.79607
  • Mean of criterion
    0.33030
  • SD of predictor
    0.44035
  • SD of criterion
    0.47440
  • Covariance
    0.13588
  • r
    0.65046
  • b (slope, estimate of beta)
    0.70076
  • a (intercept, estimate of alpha)
    -0.22756
  • Mean Square Error
    0.13084
  • DF error
    129.00000
  • t(b)
    9.72660
  • p(b)
    0.11732
  • t(a)
    -0.44207
  • p(a)
    0.52475
  • Lowerbound of 95% confidence interval for beta
    0.55821
  • Upperbound of 95% confidence interval for beta
    0.84330
  • Lowerbound of 95% confidence interval for alpha
    -1.24602
  • Upperbound of 95% confidence interval for alpha
    0.79090
  • Treynor index (mean / b)
    0.47134
  • Jensen alpha (a)
    -0.22756
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21685
  • SD
    0.47996
  • Sharpe ratio (Glass type estimate)
    0.45180
  • Sharpe ratio (Hedges UMVUE)
    0.44919
  • df
    130.00000
  • t
    0.31947
  • p
    0.48600
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.32139
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.22331
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.32315
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22153
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.60349
  • Upside Potential Ratio
    6.69662
  • Upside part of mean
    2.40626
  • Downside part of mean
    -2.18941
  • Upside SD
    0.31570
  • Downside SD
    0.35933
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.69855
  • Mean of criterion
    0.21685
  • SD of predictor
    0.44130
  • SD of criterion
    0.47996
  • Covariance
    0.13366
  • r
    0.63103
  • b (slope, estimate of beta)
    0.68632
  • a (intercept, estimate of alpha)
    -0.26258
  • Mean Square Error
    0.13971
  • DF error
    129.00000
  • t(b)
    9.23894
  • p(b)
    0.12681
  • t(a)
    -0.49438
  • p(a)
    0.52768
  • VAR (95 Confidence Intrvl)
    0.02600
  • Lowerbound of 95% confidence interval for beta
    0.53934
  • Upperbound of 95% confidence interval for beta
    0.83330
  • Lowerbound of 95% confidence interval for alpha
    -1.31345
  • Upperbound of 95% confidence interval for alpha
    0.78828
  • Treynor index (mean / b)
    0.31596
  • Jensen alpha (a)
    -0.26258
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04681
  • Expected Shortfall on VaR
    0.05850
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01842
  • Expected Shortfall on VaR
    0.03950
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.85003
  • Quartile 1
    0.99166
  • Median
    1.00000
  • Quartile 3
    1.01149
  • Maximum
    1.14077
  • Mean of quarter 1
    0.97103
  • Mean of quarter 2
    0.99695
  • Mean of quarter 3
    1.00548
  • Mean of quarter 4
    1.03214
  • Inter Quartile Range
    0.01983
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.92468
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.06246
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.70736
  • VaR(95%) (moments method)
    0.03120
  • Expected Shortfall (moments method)
    0.11188
  • Extreme Value Index (regression method)
    0.79833
  • VaR(95%) (regression method)
    0.02880
  • Expected Shortfall (regression method)
    0.13887
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00885
  • Quartile 1
    0.01917
  • Median
    0.03120
  • Quartile 3
    0.07288
  • Maximum
    0.32311
  • Mean of quarter 1
    0.01055
  • Mean of quarter 2
    0.02375
  • Mean of quarter 3
    0.05393
  • Mean of quarter 4
    0.20008
  • Inter Quartile Range
    0.05371
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.32311
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -313848000
  • Max Equity Drawdown (num days)
    489
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26036
  • Compounded annual return (geometric extrapolation)
    0.27731
  • Calmar ratio (compounded annual return / max draw down)
    0.85824
  • Compounded annual return / average of 25% largest draw downs
    1.38596
  • Compounded annual return / Expected Shortfall lognormal
    4.74070

Strategy Description

System uses mostly leveraged and non-leveraged ETFs and at times Closed End Funds. The system uses proprietary technical signals based on momentum and other criteria. System will use these signals in the discretionary context of overall market conditions and ADAPT as needed, Technical set ups at times don't work and lose market correlation, system will then seek to ADAPT as needed to avoid large draw-downs. System strives for sensible money management and risk control. Stops will be used for the more liquid leveraged ETFs.

Summary Statistics

Strategy began
2018-08-05
Suggested Minimum Capital
$15,000
# Trades
140
# Profitable
68
% Profitable
48.6%
Net Dividends
Correlation S&P500
0.476
Sharpe Ratio
0.23
Sortino Ratio
0.30
Beta
0.37
Alpha
0.00
Leverage
1.04 Average
2.33 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.