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
06/01/2019
Most recent certification approved
6/6/19 9:49 ET
Trades at broker
Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used
33%
# trading signals issued by system since certification
237
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account
237
Percent signals followed since 06/01/2019
100%
This information was last updated
7/13/20 15:47 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 06/01/2019,
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.
Patience is a Virtue
(123937705)
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  06/01/2019 
Most recent certification approved  6/6/19 9:49 ET 
Trades at broker  Interactive Brokers (Stocks, Options, Futures) 
Scaling percentage used  33% 
# trading signals issued by system since certification  237 
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account  237 
Percent signals followed since 06/01/2019  100% 
This information was last updated  7/13/20 15:47 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 06/01/2019, 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 $125.00 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.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.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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2019  +17.2%  (0.6%)  +3.4%  (7.8%)  +1.6%  +0.8%  +7.3%  +22.0%  
2020  +9.7%  +9.3%  +30.1%  +8.5%  (0.7%)  +4.3%  +3.1%  +81.0% 
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.
Started  $50,000  
Buy Power  $89,540  
Cash  $1  
Equity  $1  
Cumulative $  $62,561  
Includes dividends and cashsettled expirations:  $168  Itemized 
Total System Equity  $112,561  
Margined  $1  
Open P/L  $36,125  
Data has been delayed by 168 hours for nonsubscribers 
System developer has asked us to delay this information by 168 hours.
Trading Record
Statistics

Strategy began6/4/2019

Suggested Minimum Cap$15,000

Strategy Age (days)405.46

Age14 months ago

What it tradesStocks

# Trades25

# Profitable15

% Profitable60.00%

Avg trade duration99.2 days

Max peaktovalley drawdown19.62%

drawdown periodMarch 09, 2020  March 13, 2020

Annual Return (Compounded)102.9%

Avg win$2,217

Avg loss$450.40
 Model Account Values (Raw)

Cash$55,210

Margin Used$0

Buying Power$89,540
 Ratios

W:L ratio7.46:1

Sharpe Ratio2.42

Sortino Ratio4.4

Calmar Ratio7.233
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)108.28%

Correlation to SP5000.14590

Return Percent SP500 (cumu) during strategy life12.55%
 Return Statistics

Ann Return (w trading costs)102.9%
 Slump

Current Slump as Pcnt Equity5.90%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy lifen/a
 Return Statistics

Return Pcnt Since TOS Status124.780%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)1.029%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks1.00%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)107.2%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss15.50%

Chance of 20% account loss0.50%

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 70% account loss (Monte Carlo)n/a

Chance of 80% account loss (Monte Carlo)n/a

Chance of 60% account loss (Monte Carlo)n/a
 Automation

Percentage Signals Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 90% account loss (Monte Carlo)n/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)971

Popularity (Last 6 weeks)988
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score953

Popularity (7 days, Percentile 1000 scale)984
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent33%
 Win / Loss

Avg Loss$474

Avg Win$4,475

Sum Trade PL (losers)$4,740.000
 AUM

AUM (AutoTrader num accounts)16
 Age

Num Months filled monthly returns table14
 Win / Loss

Sum Trade PL (winners)$67,132.000

# Winners15

Num Months Winners11
 Dividends

Dividends Received in Model Acct169
 AUM

AUM (AutoTrader live capital)1924840
 Win / Loss

# Losers10

% Winners60.0%
 Frequency

Avg Position Time (mins)142894.00

Avg Position Time (hrs)2381.57

Avg Trade Length99.2 days

Last Trade Ago0
 Leverage

Daily leverage (average)1.61

Daily leverage (max)2.34
 Regression

Alpha0.22

Beta0.12

Treynor Index1.76
 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)1.04

MAE:Equity, average, winning trades0.01

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  All trades0.832

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 trades0.412

Avg(MAE) / Avg(PL)  Losing trades2.296

HoldandHope Ratio2.507
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.81153

SD0.33915

Sharpe ratio (Glass type estimate)2.39280

Sharpe ratio (Hedges UMVUE)2.23952

df12.00000

t2.49050

p0.20813

Lowerbound of 95% confidence interval for Sharpe Ratio0.24577

Upperbound of 95% confidence interval for Sharpe Ratio4.46116

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.15416

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.32488
 Statistics related to Sortino ratio

Sortino ratio7.29054

Upside Potential Ratio8.66835

Upside part of mean0.96490

Downside part of mean0.15337

Upside SD0.38558

Downside SD0.11131

N nonnegative terms10.00000

N negative terms3.00000
 Statistics related to linear regression on benchmark

N of observations13.00000

Mean of predictor0.11900

Mean of criterion0.81153

SD of predictor0.26058

SD of criterion0.33915

Covariance0.02030

r0.22969

b (slope, estimate of beta)0.29895

a (intercept, estimate of alpha)0.84710

Mean Square Error0.11886

DF error11.00000

t(b)0.78272

p(b)0.77484

t(a)2.53364

p(a)0.01390

Lowerbound of 95% confidence interval for beta1.13959

Upperbound of 95% confidence interval for beta0.54169

Lowerbound of 95% confidence interval for alpha0.11122

Upperbound of 95% confidence interval for alpha1.58299

Treynor index (mean / b)2.71462

Jensen alpha (a)0.84710
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.73681

SD0.31873

Sharpe ratio (Glass type estimate)2.31169

Sharpe ratio (Hedges UMVUE)2.16361

df12.00000

t2.40608

p0.21477

Lowerbound of 95% confidence interval for Sharpe Ratio0.17969

Upperbound of 95% confidence interval for Sharpe Ratio4.36664

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.09111

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.23610
 Statistics related to Sortino ratio

Sortino ratio6.30897

Upside Potential Ratio7.67560

Upside part of mean0.89642

Downside part of mean0.15961

Upside SD0.35409

Downside SD0.11679

N nonnegative terms10.00000

N negative terms3.00000
 Statistics related to linear regression on benchmark

N of observations13.00000

Mean of predictor0.08556

Mean of criterion0.73681

SD of predictor0.27009

SD of criterion0.31873

Covariance0.01961

r0.22778

b (slope, estimate of beta)0.26881

a (intercept, estimate of alpha)0.75981

Mean Square Error0.10508

DF error11.00000

t(b)0.77586

p(b)0.77290

t(a)2.42871

p(a)0.01674

Lowerbound of 95% confidence interval for beta1.03137

Upperbound of 95% confidence interval for beta0.49375

Lowerbound of 95% confidence interval for alpha0.07124

Upperbound of 95% confidence interval for alpha1.44838

Treynor index (mean / b)2.74106

Jensen alpha (a)0.75981
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.08602

Expected Shortfall on VaR0.11998
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01609

Expected Shortfall on VaR0.03987
 ORDER STATISTICS
 Quartiles of return rates

Number of observations13.00000

Minimum0.89564

Quartile 11.01812

Median1.05790

Quartile 31.14269

Maximum1.21850

Mean of quarter 10.96474

Mean of quarter 21.04434

Mean of quarter 31.10292

Mean of quarter 41.20289

Inter Quartile Range0.12457

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)0.30696

VaR(95%) (regression method)0.09825

Expected Shortfall (regression method)0.13688
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.01571

Quartile 10.03787

Median0.06003

Quartile 30.08219

Maximum0.10436

Mean of quarter 10.01571

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.10436

Inter Quartile Range0.04432

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)1.19055

Compounded annual return (geometric extrapolation)1.14840

Calmar ratio (compounded annual return / max draw down)11.00460

Compounded annual return / average of 25% largest draw downs11.00460

Compounded annual return / Expected Shortfall lognormal9.57122

0.00000

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

Mean0.74167

SD0.25196

Sharpe ratio (Glass type estimate)2.94360

Sharpe ratio (Hedges UMVUE)2.93590

df287.00000

t3.08620

p0.00111

Lowerbound of 95% confidence interval for Sharpe Ratio1.05626

Upperbound of 95% confidence interval for Sharpe Ratio4.82596

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.05114

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.82067
 Statistics related to Sortino ratio

Sortino ratio5.27841

Upside Potential Ratio12.79860

Upside part of mean1.79834

Downside part of mean1.05667

Upside SD0.21359

Downside SD0.14051

N nonnegative terms166.00000

N negative terms122.00000
 Statistics related to linear regression on benchmark

N of observations288.00000

Mean of predictor0.13192

Mean of criterion0.74167

SD of predictor0.32214

SD of criterion0.25196

Covariance0.01099

r0.13538

b (slope, estimate of beta)0.10589

a (intercept, estimate of alpha)0.75600

Mean Square Error0.06254

DF error286.00000

t(b)2.31070

p(b)0.98922

t(a)3.16699

p(a)0.00085

Lowerbound of 95% confidence interval for beta0.19608

Upperbound of 95% confidence interval for beta0.01569

Lowerbound of 95% confidence interval for alpha0.28601

Upperbound of 95% confidence interval for alpha1.22528

Treynor index (mean / b)7.00448

Jensen alpha (a)0.75564
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.70937

SD0.24962

Sharpe ratio (Glass type estimate)2.84180

Sharpe ratio (Hedges UMVUE)2.83437

df287.00000

t2.97947

p0.00157

Lowerbound of 95% confidence interval for Sharpe Ratio0.95562

Upperbound of 95% confidence interval for Sharpe Ratio4.72317

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.95065

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.71810
 Statistics related to Sortino ratio

Sortino ratio4.97786

Upside Potential Ratio12.46250

Upside part of mean1.77598

Downside part of mean1.06661

Upside SD0.20906

Downside SD0.14251

N nonnegative terms166.00000

N negative terms122.00000
 Statistics related to linear regression on benchmark

N of observations288.00000

Mean of predictor0.07969

Mean of criterion0.70937

SD of predictor0.32458

SD of criterion0.24962

Covariance0.01071

r0.13223

b (slope, estimate of beta)0.10169

a (intercept, estimate of alpha)0.71748

Mean Square Error0.06144

DF error286.00000

t(b)2.25598

p(b)0.98759

t(a)3.03455

p(a)0.00132

Lowerbound of 95% confidence interval for beta0.19041

Upperbound of 95% confidence interval for beta0.01297

Lowerbound of 95% confidence interval for alpha0.25210

Upperbound of 95% confidence interval for alpha1.18285

Treynor index (mean / b)6.97577

Jensen alpha (a)0.71748
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02240

Expected Shortfall on VaR0.02867
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00830

Expected Shortfall on VaR0.01704
 ORDER STATISTICS
 Quartiles of return rates

Number of observations288.00000

Minimum0.95042

Quartile 10.99465

Median1.00268

Quartile 31.01000

Maximum1.09412

Mean of quarter 10.98573

Mean of quarter 20.99873

Mean of quarter 31.00594

Mean of quarter 41.02135

Inter Quartile Range0.01535

Number outliers low5.00000

Percentage of outliers low0.01736

Mean of outliers low0.95807

Number of outliers high10.00000

Percentage of outliers high0.03472

Mean of outliers high1.05093
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.17173

VaR(95%) (moments method)0.01360

Expected Shortfall (moments method)0.02061

Extreme Value Index (regression method)0.04661

VaR(95%) (regression method)0.01484

Expected Shortfall (regression method)0.02019
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations24.00000

Minimum0.00018

Quartile 10.00618

Median0.01526

Quartile 30.03916

Maximum0.15074

Mean of quarter 10.00272

Mean of quarter 20.00920

Mean of quarter 30.02493

Mean of quarter 40.07948

Inter Quartile Range0.03298

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high2.00000

Percentage of outliers high0.08333

Mean of outliers high0.13981
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.45935

VaR(95%) (moments method)0.09261

Expected Shortfall (moments method)0.17768

Extreme Value Index (regression method)0.73035

VaR(95%) (regression method)0.08221

Expected Shortfall (regression method)0.23209
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.13616

Compounded annual return (geometric extrapolation)1.09024

Calmar ratio (compounded annual return / max draw down)7.23285

Compounded annual return / average of 25% largest draw downs13.71800

Compounded annual return / Expected Shortfall lognormal38.03060

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

Mean1.07392

SD0.31958

Sharpe ratio (Glass type estimate)3.36046

Sharpe ratio (Hedges UMVUE)3.34103

df130.00000

t2.37620

p0.39799

Lowerbound of 95% confidence interval for Sharpe Ratio0.55249

Upperbound of 95% confidence interval for Sharpe Ratio6.15586

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.53963

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.14243
 Statistics related to Sortino ratio

Sortino ratio6.14134

Upside Potential Ratio13.37050

Upside part of mean2.33807

Downside part of mean1.26415

Upside SD0.27418

Downside SD0.17487

N nonnegative terms79.00000

N negative terms52.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.00434

Mean of criterion1.07392

SD of predictor0.46018

SD of criterion0.31958

Covariance0.03087

r0.20992

b (slope, estimate of beta)0.14578

a (intercept, estimate of alpha)1.07329

Mean Square Error0.09839

DF error129.00000

t(b)2.43858

p(b)0.63265

t(a)2.41956

p(a)0.36832

Lowerbound of 95% confidence interval for beta0.26406

Upperbound of 95% confidence interval for beta0.02750

Lowerbound of 95% confidence interval for alpha0.19564

Upperbound of 95% confidence interval for alpha1.95094

Treynor index (mean / b)7.36663

Jensen alpha (a)1.07329
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.02182

SD0.31611

Sharpe ratio (Glass type estimate)3.23252

Sharpe ratio (Hedges UMVUE)3.21384

df130.00000

t2.28574

p0.40172

Lowerbound of 95% confidence interval for Sharpe Ratio0.42703

Upperbound of 95% confidence interval for Sharpe Ratio6.02595

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.41464

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.01304
 Statistics related to Sortino ratio

Sortino ratio5.74563

Upside Potential Ratio12.94100

Upside part of mean2.30147

Downside part of mean1.27965

Upside SD0.26743

Downside SD0.17784

N nonnegative terms79.00000

N negative terms52.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.11043

Mean of criterion1.02182

SD of predictor0.46369

SD of criterion0.31611

Covariance0.03016

r0.20576

b (slope, estimate of beta)0.14027

a (intercept, estimate of alpha)1.00633

Mean Square Error0.09643

DF error129.00000

t(b)2.38805

p(b)0.63006

t(a)2.29120

p(a)0.37494

VAR (95 Confidence Intrvl)0.02200

Lowerbound of 95% confidence interval for beta0.25648

Upperbound of 95% confidence interval for beta0.02405

Lowerbound of 95% confidence interval for alpha0.13733

Upperbound of 95% confidence interval for alpha1.87533

Treynor index (mean / b)7.28478

Jensen alpha (a)1.00633
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02783

Expected Shortfall on VaR0.03570
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00945

Expected Shortfall on VaR0.01995
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.95042

Quartile 10.99426

Median1.00355

Quartile 31.01184

Maximum1.09412

Mean of quarter 10.98249

Mean of quarter 20.99930

Mean of quarter 31.00747

Mean of quarter 41.02766

Inter Quartile Range0.01758

Number outliers low5.00000

Percentage of outliers low0.03817

Mean of outliers low0.95807

Number of outliers high7.00000

Percentage of outliers high0.05344

Mean of outliers high1.05637
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.31877

VaR(95%) (moments method)0.01698

Expected Shortfall (moments method)0.03003

Extreme Value Index (regression method)0.06235

VaR(95%) (regression method)0.01687

Expected Shortfall (regression method)0.02296
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations17.00000

Minimum0.00018

Quartile 10.00770

Median0.01972

Quartile 30.04447

Maximum0.15074

Mean of quarter 10.00390

Mean of quarter 20.01266

Mean of quarter 30.03221

Mean of quarter 40.07588

Inter Quartile Range0.03676

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.05882

Mean of outliers high0.15074
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.54057

VaR(95%) (moments method)0.08813

Expected Shortfall (moments method)0.17871

Extreme Value Index (regression method)1.69530

VaR(95%) (regression method)0.08859

Last 4 Months  Pcnt Negative0.25%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?240771000

Max Equity Drawdown (num days)4
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.38045

Compounded annual return (geometric extrapolation)1.85687

Calmar ratio (compounded annual return / max draw down)12.31880

Compounded annual return / average of 25% largest draw downs24.47270

Compounded annual return / Expected Shortfall lognormal52.00790
Strategy Description
Both strategies are remarkably similar in application and methodology, but I believe that in the long term Opt for Patience will be the better strategy because it will occasionally use long option positions. Other than that, the strategies are very similar. I will keep both strategies running so you can pick whether you want to follow the stock only strategy (Patience is a Virtue) or the stock/option strategy (Opt for Patience). If you want more information, please check out the original description for Patience is a Virtue copied below.
I hope you find the description below helpful. If you have further questions or concerns you may seek help in the forums or from the C2 support team. If you have questions about my strategy specifically I encourage you to first read the forum thread titled Patience is a Virtue. If your question is not answered there then please ask a question there. I do not respond to private messages. I really try to stay away from giving personalized investment advice since I am not a licensed financial advisor. I highly recommend reading this entire description and the entire forum thread titled Patience is a Virtue before subscribing!
I am not an expert and work in a field separate from finance. However, I consider trading my second job. I have been very active in my investments over the past 5 years, with little financial or emotional benefit. Looking back, had I put all my savings into a lowcost index fund such as VTI I would have done much better over this period. Hindsight is 20/20. Fortunately, I believe I learned lessons that will help me reap great benefits in the future. Also, I learned these lessons while fresh out of college while investing small amounts of money. Only around the time I started this strategy did I have a significant amount of money to invest.
Patience is a Virtue is a blend of many different strategies I have come up with. To manage it I created a Google sheet that automatically sends orders to Collective2 once a day at about 15 minutes before close. I have connected my margin account and the Roth IRA accounts for my wife and myself so that they auto trade this strategy with the full balance of the accounts. These accounts make up about 71% of my net worth now. I monitor the Google sheet and my Collective2 account as frequently as possible to prevent any errors, but I know they are still possible. Every weekday I have alarms set on my phone and wrist watch to remind me to quickly log into my Interactive Brokers app and Google Sheet 10 minutes before market close to make sure that my accounts are in sync and in appropriate positions based on my algorithm. If it did not do it correctly, I would quickly jump on the C2 WebTrader to adjust positions.
Despite these safeguards, there are still many ways in which things could go wrong, and I may not be able to check and fix it before markets close. Therefore, I have decided to limit the percent of my net worth I will tie directly to this system. Any new savings from my job or other income, now get managed using ThinkorSwim, which allow me to make a similar automated strategy using their software.
Though I have done a lot to make sure the order entry system runs smoothly, there is no guarantee it will go smoothly. Here are some basic points about the investing philosophy of this strategy.
1. Certain asset classes tend to go up overtime.
2. Investing in those asset classes with cheap leverage tends to produce higher total returns.
3. Asset diversification is even more important than normal when leverage is present to moderate drawdowns.
4. Multidecade backtested indicators can help reduce drawdowns, improve returns, and reduce leverage decay.
5. Tight stops hinder results. Stops should be used but loose enough to only trigger during flash crashes like that of 1987.
6. Losses should have absolute caps. Trades that using margin or futures can cause losses greater than the original cost basis and should not be used.
7. Trading should be kept to a minimum when possible to reduce costs and whipsaw.
8. To improve my odds of success in the long term I very rarely buy assets that don't have a longterm history of appreciating. As of right now the only asset I buy that I would consider depreciating is UVXY, which I very rarely buy as a hedge during tumultuous times.
9. Patience is crucial to success. Large wins can come after long periods of low or negative growth.
10. Drawdowns are a necessary occurrence of realistic investment strategies. I highly expect to have a drawdown of at the least 35% at some point in the future. You should seriously consider this before subscribing.
11. Joining trades in progress is the best option. If I knew it wasn't a good time to buy, I wouldn't hold those positions.
12. For several reasons including privacy I often hold several positions with just 1 share. I do apologize if you find that annoying, but it solves several problems for me.
13. For an overview of my thoughts on potential (not guaranteed or verified) future returns please see the post in the forums here: https://forums.collective2.com/t/patienceisavirtue/13676/72
14. Never FOMO into a strategy. Join a strategy that has a solid trading philosophy that makes sense, low leverage use, and a good track record.
15. There are currently no discounts or special offers. Please see this post for why https://forums.collective2.com/t/patienceisavirtue/13676/74
16. You will need to be able to trade GBTC, VXX, UVXY, SPY, TMF, UPRO, SPXL, TNA, TQQQ, MIDU, and GLD to follow this strategy effectively.
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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