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Small Cap ETFs Trader
(122180956)

Created by: SmallCapTrader SmallCapTrader
Started: 01/2019
Stocks, Options
Last trade: 66 days ago
Trading style: Equity Trend-following Momentum

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 $49.00 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.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
-11.9%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(38.7%)
Max Drawdown
32
Num Trades
50.0%
Win Trades
0.8 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019+2.4%+26.1%(2.4%)+9.1%(24%)+5.3%+8.0%(25.7%)(0.1%)  -              (11.9%)

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 56 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/30/19 9:35 BYND1909H192.5 BYND Aug9'19 192.5 call LONG 2 11.80 8/10 9:35 0.00 4.08%
Trade id #124674595
Max drawdown($2,356)
Time7/30/19 9:35
Quant open2
Worst price0.02
Drawdown as % of equity-4.08%
($2,361)
Includes Typical Broker Commissions trade costs of $1.40
6/10/19 10:14 TNA DIREXION DAILY SMALL CAP BULL LONG 1,200 59.11 8/5 14:08 52.93 12.67%
Trade id #124003073
Max drawdown($7,541)
Time6/10/19 10:14
Quant open1,100
Worst price52.25
Drawdown as % of equity-12.67%
($7,422)
Includes Typical Broker Commissions trade costs of $8.00
7/19/19 10:19 BYND1926G177.5 BYND Jul26'19 177.5 call LONG 2 3.40 7/22 10:30 13.00 0.11%
Trade id #124533702
Max drawdown($60)
Time7/19/19 10:19
Quant open2
Worst price3.10
Drawdown as % of equity-0.11%
$1,917
Includes Typical Broker Commissions trade costs of $2.80
7/8/19 10:46 BYND1919G167.5 BYND Jul19'19 167.5 call LONG 1 2.45 7/19 10:18 6.70 0.17%
Trade id #124372335
Max drawdown($95)
Time7/8/19 10:46
Quant open1
Worst price1.50
Drawdown as % of equity-0.17%
$423
Includes Typical Broker Commissions trade costs of $2.00
6/13/19 15:13 AMD1928F31.5 AMD Jun28'19 31.5 call LONG 10 1.07 6/29 9:35 0.00 1.95%
Trade id #124073798
Max drawdown($1,075)
Time6/29/19 9:35
Quant open10
Worst price0.00
Drawdown as % of equity-1.95%
($1,082)
Includes Typical Broker Commissions trade costs of $7.00
6/11/19 11:19 AMD1928F33.5 AMD Jun28'19 33.5 call LONG 15 0.96 6/29 9:35 0.00 2.62%
Trade id #124031001
Max drawdown($1,445)
Time6/29/19 9:35
Quant open15
Worst price0.00
Drawdown as % of equity-2.62%
($1,456)
Includes Typical Broker Commissions trade costs of $10.50
6/14/19 10:50 AMD1928F30.5 AMD Jun28'19 30.5 call LONG 15 1.12 6/29 9:35 0.00 3.04%
Trade id #124085505
Max drawdown($1,680)
Time6/29/19 9:35
Quant open15
Worst price0.00
Drawdown as % of equity-3.04%
($1,691)
Includes Typical Broker Commissions trade costs of $10.50
6/10/19 10:15 AMD1928F35 AMD Jun28'19 35 call LONG 35 1.07 6/29 9:35 0.00 6.79%
Trade id #124003105
Max drawdown($3,753)
Time6/29/19 9:35
Quant open35
Worst price0.00
Drawdown as % of equity-6.79%
($3,778)
Includes Typical Broker Commissions trade costs of $24.50
6/7/19 10:41 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,000 19.70 6/10 10:13 19.32 1.33%
Trade id #123979388
Max drawdown($797)
Time6/10/19 10:11
Quant open2,000
Worst price19.30
Drawdown as % of equity-1.33%
($775)
Includes Typical Broker Commissions trade costs of $7.50
5/21/19 9:36 SOXL DIREXION DAILY SEMICONDCT BULL LONG 280 126.19 6/7 10:40 125.53 11.43%
Trade id #123751614
Max drawdown($6,340)
Time5/29/19 9:31
Quant open280
Worst price103.55
Drawdown as % of equity-11.43%
($192)
Includes Typical Broker Commissions trade costs of $5.60
4/9/19 11:33 TNA DIREXION DAILY SMALL CAP BULL LONG 1,000 65.20 6/6 15:31 58.21 12.52%
Trade id #123255562
Max drawdown($7,494)
Time5/13/19 18:42
Quant open1,000
Worst price57.71
Drawdown as % of equity-12.52%
($7,012)
Includes Typical Broker Commissions trade costs of $16.50
5/7/19 12:27 AMD1907F28 AMD Jun7'19 28 call LONG 7 1.19 6/6 9:57 2.66 0.98%
Trade id #123560919
Max drawdown($541)
Time5/28/19 9:31
Quant open7
Worst price0.42
Drawdown as % of equity-0.98%
$1,017
Includes Typical Broker Commissions trade costs of $9.80
5/9/19 9:30 SPY1922E295 SPY May22'19 295 call LONG 5 0.60 5/23 8:05 0.00 0.51%
Trade id #123587833
Max drawdown($302)
Time5/23/19 8:05
Quant open0
Worst price0.00
Drawdown as % of equity-0.51%
($306)
Includes Typical Broker Commissions trade costs of $3.50
4/9/19 11:21 AMD1903E30.5 AMD May3'19 30.5 call LONG 8 1.01 5/4 9:35 0.00 1.13%
Trade id #123255359
Max drawdown($808)
Time5/4/19 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-1.13%
($814)
Includes Typical Broker Commissions trade costs of $5.60
4/19/19 8:05 SOXL DIREXION DAILY SEMICONDCT BULL SHORT 100 168.00 4/22 10:04 187.86 3.11%
Trade id #123367914
Max drawdown($2,065)
Time4/22/19 7:27
Quant open-100
Worst price188.65
Drawdown as % of equity-3.11%
($1,988)
Includes Typical Broker Commissions trade costs of $2.00
4/8/19 10:00 SOXL1918D168 SOXL Apr18'19 168 call SHORT 1 3.90 4/19 8:05 0.00 2.71%
Trade id #123238719
Max drawdown($1,801)
Time4/18/19 14:12
Quant open-1
Worst price21.91
Drawdown as % of equity-2.71%
$389
Includes Typical Broker Commissions trade costs of $1.00
3/13/19 11:48 TNA DIREXION DAILY SMALL CAP BULL LONG 1,000 62.91 4/5 10:58 65.68 11.88%
Trade id #122894894
Max drawdown($6,999)
Time3/25/19 10:15
Quant open900
Worst price55.78
Drawdown as % of equity-11.88%
$2,761
Includes Typical Broker Commissions trade costs of $12.50
3/28/19 9:57 AMD1918D26 AMD Apr18'19 26 call LONG 2 0.98 4/5 10:03 3.40 0.08%
Trade id #123112785
Max drawdown($50)
Time3/28/19 11:25
Quant open2
Worst price0.73
Drawdown as % of equity-0.08%
$481
Includes Typical Broker Commissions trade costs of $2.80
3/22/19 11:14 AMD1918D28 AMD Apr18'19 28 call LONG 11 0.96 4/5 10:03 1.61 0.89%
Trade id #123033045
Max drawdown($552)
Time3/28/19 11:24
Quant open8
Worst price0.27
Drawdown as % of equity-0.89%
$695
Includes Typical Broker Commissions trade costs of $15.40
2/5/19 9:35 AMD1915C24 AMD Mar15'19 24 call LONG 3 1.48 3/15 9:38 0.01 0.66%
Trade id #122363504
Max drawdown($440)
Time3/8/19 9:31
Quant open3
Worst price0.01
Drawdown as % of equity-0.66%
($445)
Includes Typical Broker Commissions trade costs of $5.10
3/11/19 11:16 TZA DIREXION DAILY SMALL CAP BEAR LONG 2,000 10.01 3/13 11:41 9.53 1.51%
Trade id #122864476
Max drawdown($998)
Time3/13/19 11:26
Quant open2,000
Worst price9.51
Drawdown as % of equity-1.51%
($961)
Includes Typical Broker Commissions trade costs of $5.00
3/11/19 11:18 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 200 30.36 3/13 11:41 27.18 1.04%
Trade id #122864509
Max drawdown($688)
Time3/13/19 11:03
Quant open200
Worst price26.92
Drawdown as % of equity-1.04%
($640)
Includes Typical Broker Commissions trade costs of $4.00
3/7/19 9:33 TNA DIREXION DAILY SMALL CAP BULL LONG 500 60.08 3/11 11:10 61.24 1.05%
Trade id #122817467
Max drawdown($698)
Time3/8/19 9:32
Quant open300
Worst price58.34
Drawdown as % of equity-1.05%
$572
Includes Typical Broker Commissions trade costs of $10.00
2/26/19 10:58 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 250 30.34 3/7 9:31 32.25 1.33%
Trade id #122686888
Max drawdown($851)
Time3/4/19 9:59
Quant open250
Worst price26.93
Drawdown as % of equity-1.33%
$474
Includes Typical Broker Commissions trade costs of $5.00
2/26/19 11:01 TZA DIREXION DAILY SMALL CAP BEAR LONG 2,200 9.25 3/6 15:11 10.00 0.82%
Trade id #122687046
Max drawdown($525)
Time3/4/19 9:32
Quant open2,200
Worst price9.02
Drawdown as % of equity-0.82%
$1,627
Includes Typical Broker Commissions trade costs of $15.50
3/1/19 9:55 TNA DIREXION DAILY SMALL CAP BULL LONG 400 67.38 3/1 9:55 67.24 0.09%
Trade id #122748442
Max drawdown($56)
Time3/1/19 9:55
Quant open0
Worst price67.24
Drawdown as % of equity-0.09%
($64)
Includes Typical Broker Commissions trade costs of $8.00
2/14/19 11:02 TNA DIREXION DAILY SMALL CAP BULL LONG 1,000 62.40 2/25 11:17 69.21 0.43%
Trade id #122526128
Max drawdown($249)
Time2/14/19 11:06
Quant open800
Worst price61.69
Drawdown as % of equity-0.43%
$6,795
Includes Typical Broker Commissions trade costs of $15.50
2/21/19 15:07 TNA1908O67.5 TNA Mar8'19 67.5 put SHORT 1 3.20 2/25 9:48 1.37 n/a $181
Includes Typical Broker Commissions trade costs of $2.00
2/5/19 15:11 TNA1908O60 TNA Mar8'19 60 put SHORT 1 3.25 2/13 9:45 2.10 0.35%
Trade id #122377324
Max drawdown($183)
Time2/8/19 11:48
Quant open-1
Worst price5.08
Drawdown as % of equity-0.35%
$113
Includes Typical Broker Commissions trade costs of $2.00
2/5/19 14:10 TNA DIREXION DAILY SMALL CAP BULL LONG 1,030 59.26 2/13 9:45 62.02 5.75%
Trade id #122375885
Max drawdown($3,044)
Time2/7/19 11:37
Quant open1,000
Worst price56.29
Drawdown as % of equity-5.75%
$2,832
Includes Typical Broker Commissions trade costs of $7.30

Statistics

  • Strategy began
    1/25/2019
  • Suggested Minimum Cap
    $45,000
  • Strategy Age (days)
    261.12
  • Age
    9 months ago
  • What it trades
    Stocks, Options
  • # Trades
    32
  • # Profitable
    16
  • % Profitable
    50.00%
  • Avg trade duration
    14.5 days
  • Max peak-to-valley drawdown
    38.71%
  • drawdown period
    May 06, 2019 - Sept 22, 2019
  • Cumul. Return
    -11.9%
  • Avg win
    $1,589
  • Avg loss
    $1,928
  • Model Account Values (Raw)
  • Cash
    $44,747
  • Margin Used
    $0
  • Buying Power
    $44,747
  • Ratios
  • W:L ratio
    0.84:1
  • Sharpe Ratio
    -0.22
  • Sortino Ratio
    -0.28
  • Calmar Ratio
    -0.476
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -23.33%
  • Correlation to SP500
    0.55770
  • Return Percent SP500 (cumu) during strategy life
    11.31%
  • Return Statistics
  • Ann Return (w trading costs)
    -16.0%
  • Slump
  • Current Slump as Pcnt Equity
    0.63%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.60%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.119%
  • Instruments
  • Percent Trades Options
    0.41%
  • Percent Trades Stocks
    0.59%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -14.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    68.00%
  • Chance of 30% account loss
    31.50%
  • Chance of 40% account loss
    4.00%
  • 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)
    360
  • Popularity (Last 6 weeks)
    748
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    429
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    1
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,929
  • Avg Win
    $1,589
  • Sum Trade PL (losers)
    $30,859.000
  • Age
  • Num Months (Age strategy)
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $25,431.000
  • # Winners
    16
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    176
  • Win / Loss
  • # Losers
    16
  • % Winners
    50.0%
  • Frequency
  • Avg Position Time (mins)
    20883.70
  • Avg Position Time (hrs)
    348.06
  • Avg Trade Length
    14.5 days
  • Last Trade Ago
    64
  • Leverage
  • Daily leverage (average)
    3.39
  • Daily leverage (max)
    5.59
  • Regression
  • Alpha
    -0.09
  • Beta
    1.86
  • Treynor Index
    -0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    22.30
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    49.66
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.14
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -9.680
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.713
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.226
  • Hold-and-Hope Ratio
    -0.103
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.45709
  • SD
    0.62399
  • Sharpe ratio (Glass type estimate)
    0.73253
  • Sharpe ratio (Hedges UMVUE)
    0.61587
  • df
    5.00000
  • t
    0.51797
  • p
    0.31329
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.10878
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.50478
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.18210
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.41384
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.42478
  • Upside Potential Ratio
    3.42220
  • Upside part of mean
    1.09790
  • Downside part of mean
    -0.64080
  • Upside SD
    0.48884
  • Downside SD
    0.32082
  • N nonnegative terms
    3.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.23259
  • Mean of criterion
    0.45709
  • SD of predictor
    0.12875
  • SD of criterion
    0.62399
  • Covariance
    0.06351
  • r
    0.79053
  • b (slope, estimate of beta)
    3.83123
  • a (intercept, estimate of alpha)
    -0.43401
  • Mean Square Error
    0.18255
  • DF error
    4.00000
  • t(b)
    2.58166
  • p(b)
    0.03061
  • t(a)
    -0.62370
  • p(a)
    0.71669
  • Lowerbound of 95% confidence interval for beta
    -0.28987
  • Upperbound of 95% confidence interval for beta
    7.95232
  • Lowerbound of 95% confidence interval for alpha
    -2.36642
  • Upperbound of 95% confidence interval for alpha
    1.49840
  • Treynor index (mean / b)
    0.11931
  • Jensen alpha (a)
    -0.43401
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29446
  • SD
    0.61011
  • Sharpe ratio (Glass type estimate)
    0.48263
  • Sharpe ratio (Hedges UMVUE)
    0.40577
  • df
    5.00000
  • t
    0.34127
  • p
    0.37339
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.32746
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.24657
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.37742
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.18896
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.82579
  • Upside Potential Ratio
    2.78456
  • Upside part of mean
    0.99291
  • Downside part of mean
    -0.69845
  • Upside SD
    0.43620
  • Downside SD
    0.35657
  • N nonnegative terms
    3.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.22302
  • Mean of criterion
    0.29446
  • SD of predictor
    0.12880
  • SD of criterion
    0.61011
  • Covariance
    0.06470
  • r
    0.82330
  • b (slope, estimate of beta)
    3.89977
  • a (intercept, estimate of alpha)
    -0.57527
  • Mean Square Error
    0.14991
  • DF error
    4.00000
  • t(b)
    2.90091
  • p(b)
    0.02204
  • t(a)
    -0.92152
  • p(a)
    0.79554
  • Lowerbound of 95% confidence interval for beta
    0.16659
  • Upperbound of 95% confidence interval for beta
    7.63294
  • Lowerbound of 95% confidence interval for alpha
    -2.30885
  • Upperbound of 95% confidence interval for alpha
    1.15830
  • Treynor index (mean / b)
    0.07551
  • Jensen alpha (a)
    -0.57527
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.23292
  • Expected Shortfall on VaR
    0.28586
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.12467
  • Expected Shortfall on VaR
    0.21984
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.78885
  • Quartile 1
    0.94423
  • Median
    1.04027
  • Quartile 3
    1.13248
  • Maximum
    1.29769
  • Mean of quarter 1
    0.86423
  • Mean of quarter 2
    0.95813
  • Mean of quarter 3
    1.12241
  • Mean of quarter 4
    1.21676
  • Inter Quartile Range
    0.18825
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04187
  • Quartile 1
    0.09610
  • Median
    0.15033
  • Quartile 3
    0.20456
  • Maximum
    0.25880
  • Mean of quarter 1
    0.04187
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.25880
  • Inter Quartile Range
    0.10847
  • 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)
    0.34980
  • Compounded annual return (geometric extrapolation)
    0.38038
  • Calmar ratio (compounded annual return / max draw down)
    1.46982
  • Compounded annual return / average of 25% largest draw downs
    1.46982
  • Compounded annual return / Expected Shortfall lognormal
    1.33066
  • 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
    -0.11971
  • SD
    0.44898
  • Sharpe ratio (Glass type estimate)
    -0.26662
  • Sharpe ratio (Hedges UMVUE)
    -0.26526
  • df
    148.00000
  • t
    -0.20106
  • p
    0.50826
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.86537
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33298
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.86443
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33391
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.34498
  • Upside Potential Ratio
    6.92680
  • Upside part of mean
    2.40356
  • Downside part of mean
    -2.52326
  • Upside SD
    0.28263
  • Downside SD
    0.34699
  • N nonnegative terms
    70.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    149.00000
  • Mean of predictor
    0.13723
  • Mean of criterion
    -0.11971
  • SD of predictor
    0.14101
  • SD of criterion
    0.44898
  • Covariance
    0.03423
  • r
    0.54067
  • b (slope, estimate of beta)
    1.72147
  • a (intercept, estimate of alpha)
    -0.35600
  • Mean Square Error
    0.14363
  • DF error
    147.00000
  • t(b)
    7.79236
  • p(b)
    0.17340
  • t(a)
    -0.70698
  • p(a)
    0.53704
  • Lowerbound of 95% confidence interval for beta
    1.28489
  • Upperbound of 95% confidence interval for beta
    2.15806
  • Lowerbound of 95% confidence interval for alpha
    -1.35089
  • Upperbound of 95% confidence interval for alpha
    0.63902
  • Treynor index (mean / b)
    -0.06954
  • Jensen alpha (a)
    -0.35594
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.22199
  • SD
    0.45629
  • Sharpe ratio (Glass type estimate)
    -0.48651
  • Sharpe ratio (Hedges UMVUE)
    -0.48404
  • df
    148.00000
  • t
    -0.36689
  • p
    0.51507
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.08535
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11382
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.08362
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11554
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.61397
  • Upside Potential Ratio
    6.53984
  • Upside part of mean
    2.36458
  • Downside part of mean
    -2.58657
  • Upside SD
    0.27616
  • Downside SD
    0.36157
  • N nonnegative terms
    70.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    149.00000
  • Mean of predictor
    0.12728
  • Mean of criterion
    -0.22199
  • SD of predictor
    0.14125
  • SD of criterion
    0.45629
  • Covariance
    0.03486
  • r
    0.54085
  • b (slope, estimate of beta)
    1.74710
  • a (intercept, estimate of alpha)
    -0.44436
  • Mean Square Error
    0.14830
  • DF error
    147.00000
  • t(b)
    7.79606
  • p(b)
    0.17330
  • t(a)
    -0.86882
  • p(a)
    0.54546
  • Lowerbound of 95% confidence interval for beta
    1.30423
  • Upperbound of 95% confidence interval for beta
    2.18998
  • Lowerbound of 95% confidence interval for alpha
    -1.45512
  • Upperbound of 95% confidence interval for alpha
    0.56639
  • Treynor index (mean / b)
    -0.12706
  • Jensen alpha (a)
    -0.44436
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04612
  • Expected Shortfall on VaR
    0.05724
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02287
  • Expected Shortfall on VaR
    0.04613
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    149.00000
  • Minimum
    0.87435
  • Quartile 1
    0.98995
  • Median
    1.00000
  • Quartile 3
    1.01577
  • Maximum
    1.09249
  • Mean of quarter 1
    0.96683
  • Mean of quarter 2
    0.99551
  • Mean of quarter 3
    1.00634
  • Mean of quarter 4
    1.03081
  • Inter Quartile Range
    0.02582
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04027
  • Mean of outliers low
    0.91922
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02013
  • Mean of outliers high
    1.07170
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28235
  • VaR(95%) (moments method)
    0.03032
  • Expected Shortfall (moments method)
    0.05222
  • Extreme Value Index (regression method)
    0.11178
  • VaR(95%) (regression method)
    0.02994
  • Expected Shortfall (regression method)
    0.04503
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00101
  • Quartile 1
    0.00618
  • Median
    0.01723
  • Quartile 3
    0.05208
  • Maximum
    0.37084
  • Mean of quarter 1
    0.00390
  • Mean of quarter 2
    0.00894
  • Mean of quarter 3
    0.03697
  • Mean of quarter 4
    0.17933
  • Inter Quartile Range
    0.04590
  • 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
    0.08333
  • Mean of outliers high
    0.37084
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.12563
  • VaR(95%) (moments method)
    0.15735
  • Expected Shortfall (moments method)
    0.25232
  • Extreme Value Index (regression method)
    1.81924
  • VaR(95%) (regression method)
    0.36745
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.18376
  • Compounded annual return (geometric extrapolation)
    -0.17641
  • Calmar ratio (compounded annual return / max draw down)
    -0.47571
  • Compounded annual return / average of 25% largest draw downs
    -0.98372
  • Compounded annual return / Expected Shortfall lognormal
    -3.08212
  • 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
    -0.56817
  • SD
    0.45772
  • Sharpe ratio (Glass type estimate)
    -1.24130
  • Sharpe ratio (Hedges UMVUE)
    -1.23412
  • df
    130.00000
  • t
    -0.87773
  • p
    0.53838
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.01491
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.53691
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.00999
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.54174
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.54981
  • Upside Potential Ratio
    5.92935
  • Upside part of mean
    2.17375
  • Downside part of mean
    -2.74193
  • Upside SD
    0.27339
  • Downside SD
    0.36661
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07102
  • Mean of criterion
    -0.56817
  • SD of predictor
    0.14495
  • SD of criterion
    0.45772
  • Covariance
    0.03469
  • r
    0.52292
  • b (slope, estimate of beta)
    1.65127
  • a (intercept, estimate of alpha)
    -0.68545
  • Mean Square Error
    0.15340
  • DF error
    129.00000
  • t(b)
    6.96771
  • p(b)
    0.18297
  • t(a)
    -1.23692
  • p(a)
    0.56879
  • Lowerbound of 95% confidence interval for beta
    1.18238
  • Upperbound of 95% confidence interval for beta
    2.12016
  • Lowerbound of 95% confidence interval for alpha
    -1.78186
  • Upperbound of 95% confidence interval for alpha
    0.41097
  • Treynor index (mean / b)
    -0.34408
  • Jensen alpha (a)
    -0.68545
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.67529
  • SD
    0.46599
  • Sharpe ratio (Glass type estimate)
    -1.44915
  • Sharpe ratio (Hedges UMVUE)
    -1.44078
  • df
    130.00000
  • t
    -1.02471
  • p
    0.54476
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.22377
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33091
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.21811
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33656
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.76684
  • Upside Potential Ratio
    5.59224
  • Upside part of mean
    2.13736
  • Downside part of mean
    -2.81265
  • Upside SD
    0.26674
  • Downside SD
    0.38220
  • N nonnegative terms
    57.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06055
  • Mean of criterion
    -0.67529
  • SD of predictor
    0.14524
  • SD of criterion
    0.46599
  • Covariance
    0.03542
  • r
    0.52336
  • b (slope, estimate of beta)
    1.67910
  • a (intercept, estimate of alpha)
    -0.77696
  • Mean Square Error
    0.15889
  • DF error
    129.00000
  • t(b)
    6.97579
  • p(b)
    0.18273
  • t(a)
    -1.37781
  • p(a)
    0.57648
  • VAR (95 Confidence Intrvl)
    0.04600
  • Lowerbound of 95% confidence interval for beta
    1.20286
  • Upperbound of 95% confidence interval for beta
    2.15533
  • Lowerbound of 95% confidence interval for alpha
    -1.89268
  • Upperbound of 95% confidence interval for alpha
    0.33875
  • Treynor index (mean / b)
    -0.40218
  • Jensen alpha (a)
    -0.77696
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04870
  • Expected Shortfall on VaR
    0.06003
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02591
  • Expected Shortfall on VaR
    0.05122
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.87435
  • Quartile 1
    0.98931
  • Median
    0.99991
  • Quartile 3
    1.01094
  • Maximum
    1.09249
  • Mean of quarter 1
    0.96404
  • Mean of quarter 2
    0.99465
  • Mean of quarter 3
    1.00438
  • Mean of quarter 4
    1.02887
  • Inter Quartile Range
    0.02162
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.92431
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.06181
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.03838
  • VaR(95%) (moments method)
    0.02912
  • Expected Shortfall (moments method)
    0.04145
  • Extreme Value Index (regression method)
    0.11394
  • VaR(95%) (regression method)
    0.03096
  • Expected Shortfall (regression method)
    0.04637
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00101
  • Quartile 1
    0.00595
  • Median
    0.01027
  • Quartile 3
    0.06041
  • Maximum
    0.37084
  • Mean of quarter 1
    0.00390
  • Mean of quarter 2
    0.00677
  • Mean of quarter 3
    0.03061
  • Mean of quarter 4
    0.17933
  • Inter Quartile Range
    0.05446
  • 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
    0.10000
  • Mean of outliers high
    0.37084
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.12563
  • VaR(95%) (moments method)
    0.17267
  • Expected Shortfall (moments method)
    0.26984
  • Extreme Value Index (regression method)
    1.81924
  • VaR(95%) (regression method)
    0.48211
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -38
  • Max Equity Drawdown (num days)
    139
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.55305
  • Compounded annual return (geometric extrapolation)
    -0.47659
  • Calmar ratio (compounded annual return / max draw down)
    -1.28517
  • Compounded annual return / average of 25% largest draw downs
    -2.65758
  • Compounded annual return / Expected Shortfall lognormal
    -7.93957

Strategy Description

This is a discretionary strategy with the primary goal of capital appreciation and high growth. The strategy mainly trades small cap 3X ETF (TNA/TZA) and uses options to maximize the gain. The buy/sell decision is based on my proprietary technical indicators. Occasionally I will trade individual stock and stock options. The trading period could be days, weeks or months. Stops are employed and adjusted based on the market conditions and proprietary technical indicators. Please be patient with the intra-day fluctuations and drawdown. So far this system performs good with very small drawdown.
For normal margin account, margin will be used based on market conditions.
For IRA/401k accounts, please trade TNA/TZA only and ignore my trading signals if the margin is used.
Good luck and happy trading!

Summary Statistics

Strategy began
2019-01-25
Suggested Minimum Capital
$45,000
# Trades
32
# Profitable
16
% Profitable
50.0%
Net Dividends
Correlation S&P500
0.558
Sharpe Ratio
-0.22
Sortino Ratio
-0.28
Beta
1.86
Alpha
-0.09
Leverage
3.39 Average
5.59 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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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.