Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

These are hypothetical performance results that have certain inherent limitations. Learn more

Go Big ETFs
(125062976)

Created by: ATCapital ATCapital
Started: 08/2019
Stocks
Last trade: 2 days ago
Trading style: Equity Trend-following

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 $117.00 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.
12.1%
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.

(14.0%)
Max Drawdown
49
Num Trades
57.1%
Win Trades
1.6 : 1
Profit Factor
40.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                   -  +13.5%(8%)+14.2%(5.9%)+12.1%

Model Account Details

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

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

Trading Record

This strategy has placed 39 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/6/19 9:32 GASX DIREXION NATURAL GAS BEAR 3X LONG 41 73.98 12/6 13:51 66.20 1.36%
Trade id #126513678
Max drawdown($306)
Time12/6/19 13:51
Quant open41
Worst price66.50
Drawdown as % of equity-1.36%
($320)
Includes Typical Broker Commissions trade costs of $0.82
12/2/19 15:50 GASX DIREXION NATURAL GAS BEAR 3X LONG 39 77.83 12/5 9:33 69.11 1.41%
Trade id #126447389
Max drawdown($320)
Time12/5/19 9:33
Quant open39
Worst price69.61
Drawdown as % of equity-1.41%
($341)
Includes Typical Broker Commissions trade costs of $0.78
11/20/19 15:45 SPXL DIREXION DAILY S&P500 BULL 3X LONG 51 59.20 12/4 14:51 59.85 0.47%
Trade id #126294928
Max drawdown($109)
Time12/3/19 0:00
Quant open51
Worst price57.05
Drawdown as % of equity-0.47%
$32
Includes Typical Broker Commissions trade costs of $1.02
12/2/19 15:51 WTID UBS ETRACS PROSHARES DAILY 3X INVERSE CRUDE ETN LONG 590 5.09 12/4 9:46 4.56 1.28%
Trade id #126447408
Max drawdown($295)
Time12/4/19 9:34
Quant open590
Worst price4.59
Drawdown as % of equity-1.28%
($318)
Includes Typical Broker Commissions trade costs of $5.00
11/18/19 15:48 SOXL DIREXION DAILY SEMICONDCT BULL LONG 13 230.71 12/3 9:30 198.00 1.81%
Trade id #126259321
Max drawdown($419)
Time12/3/19 9:30
Quant open13
Worst price198.47
Drawdown as % of equity-1.81%
($425)
Includes Typical Broker Commissions trade costs of $0.26
11/19/19 15:42 LABU DIREXION DAILY S&P BIOTECH BULL LONG 67 45.13 11/29 9:42 54.80 0.53%
Trade id #126275360
Max drawdown($121)
Time11/20/19 0:00
Quant open67
Worst price43.31
Drawdown as % of equity-0.53%
$647
Includes Typical Broker Commissions trade costs of $1.34
11/13/19 15:51 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 113 26.55 11/29 9:41 28.82 0.02%
Trade id #126199330
Max drawdown($4)
Time11/13/19 15:56
Quant open113
Worst price26.51
Drawdown as % of equity-0.02%
$255
Includes Typical Broker Commissions trade costs of $2.26
11/15/19 9:34 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 50 60.65 11/25 15:07 63.18 0.18%
Trade id #126225021
Max drawdown($40)
Time11/20/19 0:00
Quant open50
Worst price59.84
Drawdown as % of equity-0.18%
$126
Includes Typical Broker Commissions trade costs of $1.00
11/11/19 15:53 ERY DIREXION DAILY ENERGY BEAR 3X LONG 68 44.12 11/22 9:31 44.14 0.33%
Trade id #126159988
Max drawdown($76)
Time11/12/19 0:00
Quant open68
Worst price43.00
Drawdown as % of equity-0.33%
$0
Includes Typical Broker Commissions trade costs of $1.36
11/8/19 15:41 DRV DIREXION DAILY REAL ES BEAR 3X LONG 105 28.50 11/20 15:43 26.53 1.01%
Trade id #126136829
Max drawdown($226)
Time11/18/19 0:00
Quant open105
Worst price26.34
Drawdown as % of equity-1.01%
($209)
Includes Typical Broker Commissions trade costs of $2.10
11/4/19 15:39 WTID UBS ETRACS PROSHARES DAILY 3X INVERSE CRUDE ETN LONG 582 5.16 11/19 15:40 5.39 1.14%
Trade id #126067060
Max drawdown($259)
Time11/15/19 0:00
Quant open582
Worst price4.71
Drawdown as % of equity-1.14%
$129
Includes Typical Broker Commissions trade costs of $5.00
11/6/19 15:05 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 110 27.32 11/15 15:54 25.96 1.02%
Trade id #126099631
Max drawdown($231)
Time11/15/19 9:45
Quant open110
Worst price25.21
Drawdown as % of equity-1.02%
($152)
Includes Typical Broker Commissions trade costs of $2.20
11/8/19 15:42 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 197 15.25 11/15 15:53 14.83 0.37%
Trade id #126136844
Max drawdown($82)
Time11/15/19 15:04
Quant open197
Worst price14.83
Drawdown as % of equity-0.37%
($87)
Includes Typical Broker Commissions trade costs of $3.94
11/1/19 9:38 DUST DIREXION DAILY GOLD MINERS BEA LONG 573 6.98 11/12 14:50 7.95 0.52%
Trade id #126037512
Max drawdown($108)
Time11/1/19 10:02
Quant open573
Worst price6.79
Drawdown as % of equity-0.52%
$551
Includes Typical Broker Commissions trade costs of $5.00
10/30/19 15:57 SPXL DIREXION DAILY S&P500 BULL 3X LONG 82 55.67 11/6 14:52 57.31 0.48%
Trade id #126011400
Max drawdown($102)
Time10/31/19 0:00
Quant open82
Worst price54.42
Drawdown as % of equity-0.48%
$132
Includes Typical Broker Commissions trade costs of $1.64
11/1/19 9:38 SOXL DIREXION DAILY SEMICONDCT BULL LONG 20 204.81 11/6 9:30 225.02 0.12%
Trade id #126037503
Max drawdown($25)
Time11/1/19 9:42
Quant open20
Worst price203.52
Drawdown as % of equity-0.12%
$404
Includes Typical Broker Commissions trade costs of $0.40
10/28/19 15:44 TQQQ PROSHARES ULTRAPRO QQQ LONG 66 70.02 11/4 15:24 72.50 0.78%
Trade id #125978549
Max drawdown($167)
Time10/30/19 0:00
Quant open66
Worst price67.47
Drawdown as % of equity-0.78%
$163
Includes Typical Broker Commissions trade costs of $1.32
11/1/19 9:37 ERX DIREXION DAILY ENERGY BULL 3X LONG 273 14.59 11/4 15:24 16.96 n/a $642
Includes Typical Broker Commissions trade costs of $5.46
10/28/19 15:50 DUST DIREXION DAILY GOLD MINERS BEA LONG 602 7.63 10/31 10:33 6.86 2.13%
Trade id #125978682
Max drawdown($445)
Time10/31/19 10:32
Quant open602
Worst price6.89
Drawdown as % of equity-2.13%
($469)
Includes Typical Broker Commissions trade costs of $5.00
10/28/19 15:48 SOXL DIREXION DAILY SEMICONDCT BULL LONG 22 207.23 10/31 10:15 191.45 1.61%
Trade id #125978644
Max drawdown($344)
Time10/31/19 10:15
Quant open22
Worst price191.56
Drawdown as % of equity-1.61%
($347)
Includes Typical Broker Commissions trade costs of $0.44
10/3/19 15:04 UGL PROSHARES ULTRA GOLD LONG 94 49.12 10/30 14:36 47.27 0.94%
Trade id #125621114
Max drawdown($213)
Time10/11/19 0:00
Quant open94
Worst price46.85
Drawdown as % of equity-0.94%
($176)
Includes Typical Broker Commissions trade costs of $1.88
10/22/19 10:28 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 223 20.62 10/28 10:28 20.01 0.6%
Trade id #125894325
Max drawdown($131)
Time10/28/19 10:28
Quant open223
Worst price20.03
Drawdown as % of equity-0.60%
($140)
Includes Typical Broker Commissions trade costs of $4.46
10/16/19 15:52 GASX DIREXION NATURAL GAS BEAR 3X LONG 58 80.21 10/28 9:32 67.16 3%
Trade id #125822055
Max drawdown($668)
Time10/28/19 9:31
Quant open58
Worst price68.69
Drawdown as % of equity-3.00%
($758)
Includes Typical Broker Commissions trade costs of $1.16
10/23/19 9:32 ERY DIREXION DAILY ENERGY BEAR 3X LONG 94 48.95 10/25 14:53 46.64 1.08%
Trade id #125913054
Max drawdown($245)
Time10/25/19 11:27
Quant open94
Worst price46.34
Drawdown as % of equity-1.08%
($219)
Includes Typical Broker Commissions trade costs of $1.88
10/11/19 15:44 SPXL DIREXION DAILY S&P500 BULL 3X LONG 87 52.57 10/22 15:57 53.08 0.47%
Trade id #125747693
Max drawdown($107)
Time10/14/19 0:00
Quant open87
Worst price51.34
Drawdown as % of equity-0.47%
$42
Includes Typical Broker Commissions trade costs of $1.74
10/14/19 15:45 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 85 54.43 10/22 15:57 56.22 0.01%
Trade id #125772873
Max drawdown($3)
Time10/14/19 15:47
Quant open85
Worst price54.39
Drawdown as % of equity-0.01%
$150
Includes Typical Broker Commissions trade costs of $1.70
10/21/19 9:35 ERY DIREXION DAILY ENERGY BEAR 3X LONG 88 51.97 10/22 10:25 49.44 1.94%
Trade id #125874713
Max drawdown($459)
Time10/22/19 0:00
Quant open88
Worst price46.75
Drawdown as % of equity-1.94%
($225)
Includes Typical Broker Commissions trade costs of $1.76
10/21/19 9:48 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 206 22.35 10/22 9:30 20.56 1.92%
Trade id #125875454
Max drawdown($453)
Time10/22/19 0:00
Quant open206
Worst price20.15
Drawdown as % of equity-1.92%
($373)
Includes Typical Broker Commissions trade costs of $4.12
10/1/19 15:44 DRN DIREXION DAILY REAL ES BULL 3X LONG 158 29.31 10/21 9:47 31.13 0.7%
Trade id #125581515
Max drawdown($157)
Time10/2/19 0:00
Quant open158
Worst price28.31
Drawdown as % of equity-0.70%
$285
Includes Typical Broker Commissions trade costs of $3.16
10/10/19 15:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 75 61.14 10/16 12:33 65.17 0.09%
Trade id #125728620
Max drawdown($21)
Time10/10/19 15:41
Quant open75
Worst price60.86
Drawdown as % of equity-0.09%
$301
Includes Typical Broker Commissions trade costs of $1.50

Statistics

  • Strategy began
    8/23/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    106.76
  • Age
    107 days ago
  • What it trades
    Stocks
  • # Trades
    49
  • # Profitable
    28
  • % Profitable
    57.10%
  • Avg trade duration
    8.2 days
  • Max peak-to-valley drawdown
    13.99%
  • drawdown period
    Oct 21, 2019 - Oct 31, 2019
  • Cumul. Return
    12.1%
  • Avg win
    $300.79
  • Avg loss
    $258.10
  • Model Account Values (Raw)
  • Cash
    $13,446
  • Margin Used
    $0
  • Buying Power
    $13,799
  • Ratios
  • W:L ratio
    1.57:1
  • Sharpe Ratio
    1.64
  • Sortino Ratio
    2.91
  • Calmar Ratio
    5.586
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1.63%
  • Correlation to SP500
    0.29710
  • Return Percent SP500 (cumu) during strategy life
    10.49%
  • Return Statistics
  • Ann Return (w trading costs)
    46.4%
  • Slump
  • Current Slump as Pcnt Equity
    0.08%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.44%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.121%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    61.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/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 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)
    674
  • Popularity (Last 6 weeks)
    888
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    909
  • Popularity (7 days, Percentile 1000 scale)
    757
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $258
  • Avg Win
    $301
  • Sum Trade PL (losers)
    $5,420.000
  • Age
  • Num Months (Age strategy)
    5
  • Win / Loss
  • Sum Trade PL (winners)
    $8,422.000
  • # Winners
    28
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    38
  • Win / Loss
  • # Losers
    21
  • % Winners
    57.1%
  • Frequency
  • Avg Position Time (mins)
    11783.50
  • Avg Position Time (hrs)
    196.39
  • Avg Trade Length
    8.2 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.93
  • Daily leverage (max)
    3.06
  • Regression
  • Alpha
    0.06
  • Beta
    0.65
  • Treynor Index
    0.18
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.58
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    4.104
  • 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
    0.358
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.155
  • Hold-and-Hope Ratio
    0.262
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.70163
  • SD
    0.19166
  • Sharpe ratio (Glass type estimate)
    3.66087
  • Sharpe ratio (Hedges UMVUE)
    2.06543
  • df
    2.00000
  • t
    1.83044
  • p
    0.10433
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.67606
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.59903
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.34623
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.47708
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.70163
  • Downside part of mean
    0.00000
  • Upside SD
    0.25595
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.36275
  • Mean of criterion
    0.70163
  • SD of predictor
    0.05352
  • SD of criterion
    0.19166
  • Covariance
    0.00451
  • r
    0.43924
  • b (slope, estimate of beta)
    1.57298
  • a (intercept, estimate of alpha)
    0.13103
  • Mean Square Error
    0.05929
  • DF error
    1.00000
  • t(b)
    0.48893
  • p(b)
    0.35525
  • t(a)
    0.10362
  • p(a)
    0.46714
  • Lowerbound of 95% confidence interval for beta
    -39.30540
  • Upperbound of 95% confidence interval for beta
    42.45140
  • Lowerbound of 95% confidence interval for alpha
    -15.93690
  • Upperbound of 95% confidence interval for alpha
    16.19890
  • Treynor index (mean / b)
    0.44605
  • Jensen alpha (a)
    0.13103
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66966
  • SD
    0.17824
  • Sharpe ratio (Glass type estimate)
    3.75714
  • Sharpe ratio (Hedges UMVUE)
    2.11974
  • df
    2.00000
  • t
    1.87857
  • p
    0.10054
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.63435
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.75337
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.31659
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.55607
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.66966
  • Downside part of mean
    0.00000
  • Upside SD
    0.24197
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.35566
  • Mean of criterion
    0.66966
  • SD of predictor
    0.05206
  • SD of criterion
    0.17824
  • Covariance
    0.00403
  • r
    0.43477
  • b (slope, estimate of beta)
    1.48857
  • a (intercept, estimate of alpha)
    0.14024
  • Mean Square Error
    0.05153
  • DF error
    1.00000
  • t(b)
    0.48278
  • p(b)
    0.35683
  • t(a)
    0.11816
  • p(a)
    0.46256
  • Lowerbound of 95% confidence interval for beta
    -37.68860
  • Upperbound of 95% confidence interval for beta
    40.66580
  • Lowerbound of 95% confidence interval for alpha
    -14.94020
  • Upperbound of 95% confidence interval for alpha
    15.22070
  • Treynor index (mean / b)
    0.44987
  • Jensen alpha (a)
    0.14024
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02841
  • Expected Shortfall on VaR
    0.04891
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    1.02344
  • Quartile 1
    1.02902
  • Median
    1.03459
  • Quartile 3
    1.07948
  • Maximum
    1.12436
  • Mean of quarter 1
    1.02344
  • Mean of quarter 2
    1.03459
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.12436
  • Inter Quartile Range
    0.05046
  • 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.76208
  • Compounded annual return (geometric extrapolation)
    1.00885
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    20.62730
  • 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
    0.48904
  • SD
    0.22232
  • Sharpe ratio (Glass type estimate)
    2.19978
  • Sharpe ratio (Hedges UMVUE)
    2.17741
  • df
    74.00000
  • t
    1.17695
  • p
    0.12149
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.48779
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.87273
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.50261
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.85743
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.93677
  • Upside Potential Ratio
    12.25650
  • Upside part of mean
    1.52256
  • Downside part of mean
    -1.03352
  • Upside SD
    0.18506
  • Downside SD
    0.12423
  • N nonnegative terms
    38.00000
  • N negative terms
    37.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    75.00000
  • Mean of predictor
    0.32596
  • Mean of criterion
    0.48904
  • SD of predictor
    0.10071
  • SD of criterion
    0.22232
  • Covariance
    0.00692
  • r
    0.30894
  • b (slope, estimate of beta)
    0.68198
  • a (intercept, estimate of alpha)
    0.26700
  • Mean Square Error
    0.04532
  • DF error
    73.00000
  • t(b)
    2.77536
  • p(b)
    0.00350
  • t(a)
    0.65722
  • p(a)
    0.25655
  • Lowerbound of 95% confidence interval for beta
    0.19225
  • Upperbound of 95% confidence interval for beta
    1.17172
  • Lowerbound of 95% confidence interval for alpha
    -0.54215
  • Upperbound of 95% confidence interval for alpha
    1.07564
  • Treynor index (mean / b)
    0.71709
  • Jensen alpha (a)
    0.26674
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46441
  • SD
    0.22077
  • Sharpe ratio (Glass type estimate)
    2.10364
  • Sharpe ratio (Hedges UMVUE)
    2.08225
  • df
    74.00000
  • t
    1.12551
  • p
    0.13200
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.58225
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.77546
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.59634
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.76084
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.70183
  • Upside Potential Ratio
    12.00140
  • Upside part of mean
    1.50564
  • Downside part of mean
    -1.04122
  • Upside SD
    0.18213
  • Downside SD
    0.12546
  • N nonnegative terms
    38.00000
  • N negative terms
    37.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    75.00000
  • Mean of predictor
    0.32072
  • Mean of criterion
    0.46441
  • SD of predictor
    0.10071
  • SD of criterion
    0.22077
  • Covariance
    0.00687
  • r
    0.30920
  • b (slope, estimate of beta)
    0.67779
  • a (intercept, estimate of alpha)
    0.24703
  • Mean Square Error
    0.04468
  • DF error
    73.00000
  • t(b)
    2.77791
  • p(b)
    0.00347
  • t(a)
    0.61335
  • p(a)
    0.27078
  • Lowerbound of 95% confidence interval for beta
    0.19151
  • Upperbound of 95% confidence interval for beta
    1.16406
  • Lowerbound of 95% confidence interval for alpha
    -0.55566
  • Upperbound of 95% confidence interval for alpha
    1.04972
  • Treynor index (mean / b)
    0.68519
  • Jensen alpha (a)
    0.24703
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02045
  • Expected Shortfall on VaR
    0.02600
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00906
  • Expected Shortfall on VaR
    0.01727
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    75.00000
  • Minimum
    0.97323
  • Quartile 1
    0.99561
  • Median
    1.00045
  • Quartile 3
    1.00917
  • Maximum
    1.05253
  • Mean of quarter 1
    0.98678
  • Mean of quarter 2
    0.99788
  • Mean of quarter 3
    1.00389
  • Mean of quarter 4
    1.01944
  • Inter Quartile Range
    0.01355
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.04000
  • Mean of outliers low
    0.97385
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.05333
  • Mean of outliers high
    1.03879
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.67945
  • VaR(95%) (moments method)
    0.01180
  • Expected Shortfall (moments method)
    0.01335
  • Extreme Value Index (regression method)
    -0.76110
  • VaR(95%) (regression method)
    0.01310
  • Expected Shortfall (regression method)
    0.01464
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00089
  • Quartile 1
    0.00494
  • Median
    0.01181
  • Quartile 3
    0.04966
  • Maximum
    0.11388
  • Mean of quarter 1
    0.00271
  • Mean of quarter 2
    0.00858
  • Mean of quarter 3
    0.03123
  • Mean of quarter 4
    0.09098
  • Inter Quartile Range
    0.04472
  • 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)
    0.52870
  • Compounded annual return (geometric extrapolation)
    0.63611
  • Calmar ratio (compounded annual return / max draw down)
    5.58602
  • Compounded annual return / average of 25% largest draw downs
    6.99147
  • Compounded annual return / Expected Shortfall lognormal
    24.46200
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.02000
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -276842000
  • Max Equity Drawdown (num days)
    10

Strategy Description

Summary Statistics

Strategy began
2019-08-23
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 9.1%
Rank # 
#56
# Trades
49
# Profitable
28
% Profitable
57.1%
Net Dividends
Correlation S&P500
0.297
Sharpe Ratio
1.64
Sortino Ratio
2.91
Beta
0.65
Alpha
0.06
Leverage
1.93 Average
3.06 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

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.