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

ETF Targets
(124978054)

Created by: VentureTargets VentureTargets
Started: 08/2019
Stocks
Last trade: 912 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 $97.00 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.
15.4%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(31.7%)
Max Drawdown
129
Num Trades
56.6%
Win Trades
1.8 : 1
Profit Factor
33.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                 +0.2%+3.9%+1.9%+8.3%+1.3%+16.4%
2020+0.6%+18.0%(18.9%)+2.8%(5.9%)+16.7%+12.4%(2.5%)(7.1%)(20.9%)+41.0%+12.2%+38.4%
2021+3.9%+5.3%+4.3%+11.3%+4.5%(5%)+1.6%+0.7%(7%)  -    -    -  +20.1%
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

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

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

Trading Record

This strategy has placed 69 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/9/21 10:16 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 1,050 28.66 9/28 9:30 26.29 6.22%
Trade id #136883633
Max drawdown($2,514)
Time9/28/21 9:30
Quant open1,050
Worst price26.26
Drawdown as % of equity-6.22%
($2,493)
Includes Typical Broker Commissions trade costs of $5.00
6/28/21 14:07 SPXL DIREXION DAILY S&P500 BULL 3X LONG 190 105.49 7/21 15:17 110.79 1.77%
Trade id #136236580
Max drawdown($725)
Time7/19/21 0:00
Quant open190
Worst price101.67
Drawdown as % of equity-1.77%
$1,003
Includes Typical Broker Commissions trade costs of $3.80
6/21/21 15:48 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 694 25.94 6/28 14:04 26.04 1.82%
Trade id #136149862
Max drawdown($734)
Time6/25/21 0:00
Quant open694
Worst price24.88
Drawdown as % of equity-1.82%
$65
Includes Typical Broker Commissions trade costs of $5.00
6/18/21 15:47 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 765 26.21 6/24 9:42 24.59 3.04%
Trade id #136123378
Max drawdown($1,236)
Time6/24/21 9:42
Quant open765
Worst price24.59
Drawdown as % of equity-3.04%
($1,241)
Includes Typical Broker Commissions trade costs of $5.00
6/11/21 15:56 SPXL DIREXION DAILY S&P500 BULL 3X LONG 204 102.83 6/18 15:45 98.59 2.54%
Trade id #136030266
Max drawdown($1,054)
Time6/18/21 11:30
Quant open204
Worst price97.66
Drawdown as % of equity-2.54%
($869)
Includes Typical Broker Commissions trade costs of $4.08
6/8/21 15:26 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 772 24.59 6/17 15:54 25.82 0.4%
Trade id #135970724
Max drawdown($165)
Time6/16/21 0:00
Quant open772
Worst price24.38
Drawdown as % of equity-0.40%
$945
Includes Typical Broker Commissions trade costs of $5.00
6/1/21 14:54 TMV DIREXION DAILY 20+ YR TRSY BEA LONG 280 75.30 6/8 15:25 71.14 2.85%
Trade id #135862637
Max drawdown($1,202)
Time6/8/21 9:30
Quant open280
Worst price71.00
Drawdown as % of equity-2.85%
($1,170)
Includes Typical Broker Commissions trade costs of $5.60
6/1/21 14:52 SPXL DIREXION DAILY S&P500 BULL 3X LONG 210 100.19 6/8 11:19 100.69 1.42%
Trade id #135862588
Max drawdown($603)
Time6/3/21 0:00
Quant open210
Worst price97.31
Drawdown as % of equity-1.42%
$101
Includes Typical Broker Commissions trade costs of $4.20
5/18/21 14:53 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 890 22.50 6/1 14:52 23.31 0.99%
Trade id #135669583
Max drawdown($413)
Time5/19/21 0:00
Quant open890
Worst price22.04
Drawdown as % of equity-0.99%
$713
Includes Typical Broker Commissions trade costs of $5.00
5/24/21 15:57 SPXL DIREXION DAILY S&P500 BULL 3X LONG 200 99.48 5/28 12:08 100.83 0.54%
Trade id #135754597
Max drawdown($227)
Time5/25/21 0:00
Quant open200
Worst price98.35
Drawdown as % of equity-0.54%
$266
Includes Typical Broker Commissions trade costs of $4.00
5/10/21 15:21 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 862 23.23 5/18 14:11 22.41 2.67%
Trade id #135544493
Max drawdown($1,118)
Time5/12/21 0:00
Quant open862
Worst price21.93
Drawdown as % of equity-2.67%
($713)
Includes Typical Broker Commissions trade costs of $5.00
5/6/21 14:38 SPXL DIREXION DAILY S&P500 BULL 3X LONG 255 97.72 5/10 13:04 101.83 0.15%
Trade id #135493875
Max drawdown($61)
Time5/6/21 14:43
Quant open255
Worst price97.48
Drawdown as % of equity-0.15%
$1,043
Includes Typical Broker Commissions trade costs of $5.10
5/5/21 14:26 TMV DIREXION DAILY 20+ YR TRSY BEA LONG 340 73.76 5/10 13:04 75.64 1.51%
Trade id #135467765
Max drawdown($623)
Time5/7/21 0:00
Quant open340
Worst price71.93
Drawdown as % of equity-1.51%
$633
Includes Typical Broker Commissions trade costs of $6.80
4/8/21 15:29 SPXL DIREXION DAILY S&P500 BULL 3X LONG 215 92.74 4/26 11:26 99.19 0.13%
Trade id #135067192
Max drawdown($50)
Time4/8/21 15:50
Quant open215
Worst price92.50
Drawdown as % of equity-0.13%
$1,384
Includes Typical Broker Commissions trade costs of $4.30
3/18/21 10:31 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 1,195 20.99 4/15 10:56 24.46 n/a $4,142
Includes Typical Broker Commissions trade costs of $5.00
3/1/21 11:19 TMV DIREXION DAILY 20+ YR TRSY BEA LONG 406 73.90 3/3 13:11 74.87 0.97%
Trade id #134341155
Max drawdown($341)
Time3/1/21 15:59
Quant open406
Worst price73.06
Drawdown as % of equity-0.97%
$386
Includes Typical Broker Commissions trade costs of $8.12
2/19/21 12:03 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 1,141 26.31 2/24 9:30 24.09 7.18%
Trade id #134163435
Max drawdown($2,635)
Time2/24/21 9:30
Quant open1,141
Worst price24.00
Drawdown as % of equity-7.18%
($2,538)
Includes Typical Broker Commissions trade costs of $5.00
2/1/21 15:53 TMV DIREXION DAILY 20+ YR TRSY BEA LONG 502 59.63 2/16 12:38 68.48 n/a $4,438
Includes Typical Broker Commissions trade costs of $5.00
1/11/21 15:23 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 980 30.72 1/19 9:31 31.06 1.86%
Trade id #133312165
Max drawdown($607)
Time1/12/21 0:00
Quant open980
Worst price30.10
Drawdown as % of equity-1.86%
$328
Includes Typical Broker Commissions trade costs of $5.00
1/11/21 14:59 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 550 30.85 1/11 15:22 30.71 0.29%
Trade id #133311463
Max drawdown($94)
Time1/11/21 15:22
Quant open550
Worst price30.68
Drawdown as % of equity-0.29%
($86)
Includes Typical Broker Commissions trade costs of $8.00
10/29/20 11:27 SPXL DIREXION DAILY S&P500 BULL 3X LONG 500 49.61 1/11/21 9:37 74.54 7.8%
Trade id #131970343
Max drawdown($1,615)
Time10/30/20 0:00
Quant open500
Worst price46.38
Drawdown as % of equity-7.80%
$12,455
Includes Typical Broker Commissions trade costs of $10.00
10/26/20 15:03 SPXL DIREXION DAILY S&P500 BULL 3X LONG 556 53.80 10/28 9:51 50.63 7.9%
Trade id #131904622
Max drawdown($1,770)
Time10/28/20 9:51
Quant open556
Worst price50.62
Drawdown as % of equity-7.90%
($1,768)
Includes Typical Broker Commissions trade costs of $5.00
10/5/20 13:38 TMV DIREXION DAILY 20+ YR TRSY BEA LONG 375 53.17 10/26 15:02 53.89 4.4%
Trade id #131522579
Max drawdown($1,023)
Time10/15/20 0:00
Quant open375
Worst price50.44
Drawdown as % of equity-4.40%
$263
Includes Typical Broker Commissions trade costs of $7.50
10/22/20 13:08 SPXL DIREXION DAILY S&P500 BULL 3X LONG 178 56.28 10/26 13:23 52.88 2.69%
Trade id #131847475
Max drawdown($605)
Time10/26/20 13:23
Quant open178
Worst price52.88
Drawdown as % of equity-2.69%
($609)
Includes Typical Broker Commissions trade costs of $3.56
10/15/20 11:13 SPXL DIREXION DAILY S&P500 BULL 3X LONG 260 57.46 10/22 10:44 55.20 2.62%
Trade id #131716885
Max drawdown($624)
Time10/22/20 10:44
Quant open260
Worst price55.06
Drawdown as % of equity-2.62%
($593)
Includes Typical Broker Commissions trade costs of $5.20
10/13/20 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 246 60.92 10/15 9:30 56.59 4.88%
Trade id #131665115
Max drawdown($1,134)
Time10/15/20 9:30
Quant open246
Worst price56.31
Drawdown as % of equity-4.88%
($1,070)
Includes Typical Broker Commissions trade costs of $4.92
9/16/20 14:58 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 375 40.20 10/5 13:37 38.02 3.74%
Trade id #131207141
Max drawdown($945)
Time10/5/20 11:50
Quant open375
Worst price37.68
Drawdown as % of equity-3.74%
($826)
Includes Typical Broker Commissions trade costs of $7.50
9/21/20 15:55 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,385 6.29 9/25 15:08 6.10 2.71%
Trade id #131279527
Max drawdown($691)
Time9/23/20 0:00
Quant open2,385
Worst price6.00
Drawdown as % of equity-2.71%
($458)
Includes Typical Broker Commissions trade costs of $5.00
9/14/20 9:31 SPXL DIREXION DAILY S&P500 BULL 3X LONG 279 53.70 9/17 9:30 51.62 2.33%
Trade id #131157968
Max drawdown($619)
Time9/17/20 9:30
Quant open279
Worst price51.48
Drawdown as % of equity-2.33%
($586)
Includes Typical Broker Commissions trade costs of $5.58
9/4/20 10:47 TMV DIREXION DAILY 20+ YR TRSY BEA LONG 302 49.79 9/16 14:57 50.70 0.88%
Trade id #131004235
Max drawdown($244)
Time9/8/20 0:00
Quant open302
Worst price48.98
Drawdown as % of equity-0.88%
$269
Includes Typical Broker Commissions trade costs of $6.04

Statistics

  • Strategy began
    8/18/2019
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    1678.62
  • Age
    56 months ago
  • What it trades
    Stocks
  • # Trades
    129
  • # Profitable
    73
  • % Profitable
    56.60%
  • Avg trade duration
    8.3 days
  • Max peak-to-valley drawdown
    31.69%
  • drawdown period
    Sept 02, 2020 - Oct 30, 2020
  • Annual Return (Compounded)
    15.4%
  • Avg win
    $713.56
  • Avg loss
    $532.25
  • Model Account Values (Raw)
  • Cash
    $42,478
  • Margin Used
    $0
  • Buying Power
    $42,478
  • Ratios
  • W:L ratio
    1.75:1
  • Sharpe Ratio
    0.73
  • Sortino Ratio
    1.17
  • Calmar Ratio
    1.438
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    12.26%
  • Correlation to SP500
    0.12920
  • Return Percent SP500 (cumu) during strategy life
    81.78%
  • Return Statistics
  • Ann Return (w trading costs)
    15.4%
  • Slump
  • Current Slump as Pcnt Equity
    11.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.61%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.154%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    17.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    23.50%
  • Chance of 20% account loss
    4.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $532
  • Avg Win
    $714
  • Sum Trade PL (losers)
    $29,806.000
  • Age
  • Num Months filled monthly returns table
    56
  • Win / Loss
  • Sum Trade PL (winners)
    $52,090.000
  • # Winners
    73
  • Num Months Winners
    19
  • Dividends
  • Dividends Received in Model Acct
    189
  • Win / Loss
  • # Losers
    56
  • % Winners
    56.6%
  • Frequency
  • Avg Position Time (mins)
    12018.60
  • Avg Position Time (hrs)
    200.31
  • Avg Trade Length
    8.3 days
  • Last Trade Ago
    957
  • Leverage
  • Daily leverage (average)
    1.90
  • Daily leverage (max)
    4.66
  • Regression
  • Alpha
    0.03
  • Beta
    0.10
  • Treynor Index
    0.40
  • 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)
    1.42
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    4.393
  • 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
    0.351
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.092
  • Hold-and-Hope Ratio
    0.228
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32677
  • SD
    0.24384
  • Sharpe ratio (Glass type estimate)
    1.34010
  • Sharpe ratio (Hedges UMVUE)
    1.30247
  • df
    27.00000
  • t
    2.04704
  • p
    0.02525
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00289
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.66014
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02682
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.63176
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.36381
  • Upside Potential Ratio
    4.82350
  • Upside part of mean
    0.46856
  • Downside part of mean
    -0.14180
  • Upside SD
    0.23831
  • Downside SD
    0.09714
  • N nonnegative terms
    15.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.23694
  • Mean of criterion
    0.32677
  • SD of predictor
    0.32945
  • SD of criterion
    0.24384
  • Covariance
    -0.00191
  • r
    -0.02373
  • b (slope, estimate of beta)
    -0.01756
  • a (intercept, estimate of alpha)
    0.33093
  • Mean Square Error
    0.06171
  • DF error
    26.00000
  • t(b)
    -0.12104
  • p(b)
    0.54770
  • t(a)
    1.99092
  • p(a)
    0.02855
  • Lowerbound of 95% confidence interval for beta
    -0.31584
  • Upperbound of 95% confidence interval for beta
    0.28071
  • Lowerbound of 95% confidence interval for alpha
    -0.01074
  • Upperbound of 95% confidence interval for alpha
    0.67259
  • Treynor index (mean / b)
    -18.60510
  • Jensen alpha (a)
    0.33093
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29537
  • SD
    0.23199
  • Sharpe ratio (Glass type estimate)
    1.27322
  • Sharpe ratio (Hedges UMVUE)
    1.23746
  • df
    27.00000
  • t
    1.94487
  • p
    0.03114
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.06462
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.58912
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08740
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.56233
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.90259
  • Upside Potential Ratio
    4.34201
  • Upside part of mean
    0.44185
  • Downside part of mean
    -0.14648
  • Upside SD
    0.22093
  • Downside SD
    0.10176
  • N nonnegative terms
    15.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.17619
  • Mean of criterion
    0.29537
  • SD of predictor
    0.36078
  • SD of criterion
    0.23199
  • Covariance
    -0.00028
  • r
    -0.00335
  • b (slope, estimate of beta)
    -0.00215
  • a (intercept, estimate of alpha)
    0.29575
  • Mean Square Error
    0.05589
  • DF error
    26.00000
  • t(b)
    -0.01706
  • p(b)
    0.50674
  • t(a)
    1.89158
  • p(a)
    0.03487
  • Lowerbound of 95% confidence interval for beta
    -0.26137
  • Upperbound of 95% confidence interval for beta
    0.25707
  • Lowerbound of 95% confidence interval for alpha
    -0.02563
  • Upperbound of 95% confidence interval for alpha
    0.61714
  • Treynor index (mean / b)
    -137.28700
  • Jensen alpha (a)
    0.29575
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08198
  • Expected Shortfall on VaR
    0.10705
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02557
  • Expected Shortfall on VaR
    0.05388
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    28.00000
  • Minimum
    0.88519
  • Quartile 1
    0.99204
  • Median
    1.01327
  • Quartile 3
    1.05842
  • Maximum
    1.23224
  • Mean of quarter 1
    0.95915
  • Mean of quarter 2
    0.99915
  • Mean of quarter 3
    1.03660
  • Mean of quarter 4
    1.12334
  • Inter Quartile Range
    0.06638
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03571
  • Mean of outliers low
    0.88519
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    1.19941
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.39877
  • VaR(95%) (moments method)
    0.03354
  • Expected Shortfall (moments method)
    0.06975
  • Extreme Value Index (regression method)
    0.58677
  • VaR(95%) (regression method)
    0.05782
  • Expected Shortfall (regression method)
    0.17158
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00744
  • Quartile 1
    0.05285
  • Median
    0.08367
  • Quartile 3
    0.10477
  • Maximum
    0.12105
  • Mean of quarter 1
    0.00744
  • Mean of quarter 2
    0.06799
  • Mean of quarter 3
    0.09935
  • Mean of quarter 4
    0.12105
  • Inter Quartile Range
    0.05192
  • 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)
    0.48264
  • Compounded annual return (geometric extrapolation)
    0.38165
  • Calmar ratio (compounded annual return / max draw down)
    3.15276
  • Compounded annual return / average of 25% largest draw downs
    3.15276
  • Compounded annual return / Expected Shortfall lognormal
    3.56535
  • 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
    0.31457
  • SD
    0.21055
  • Sharpe ratio (Glass type estimate)
    1.49406
  • Sharpe ratio (Hedges UMVUE)
    1.49224
  • df
    616.00000
  • t
    2.29276
  • p
    0.01110
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21358
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77340
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21233
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77214
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.45247
  • Upside Potential Ratio
    9.24269
  • Upside part of mean
    1.18553
  • Downside part of mean
    -0.87096
  • Upside SD
    0.16788
  • Downside SD
    0.12827
  • N nonnegative terms
    261.00000
  • N negative terms
    356.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    617.00000
  • Mean of predictor
    0.25403
  • Mean of criterion
    0.31457
  • SD of predictor
    0.28695
  • SD of criterion
    0.21055
  • Covariance
    0.00788
  • r
    0.13042
  • b (slope, estimate of beta)
    0.09569
  • a (intercept, estimate of alpha)
    0.29000
  • Mean Square Error
    0.04365
  • DF error
    615.00000
  • t(b)
    3.26212
  • p(b)
    0.00058
  • t(a)
    2.12889
  • p(a)
    0.01683
  • Lowerbound of 95% confidence interval for beta
    0.03808
  • Upperbound of 95% confidence interval for beta
    0.15330
  • Lowerbound of 95% confidence interval for alpha
    0.02251
  • Upperbound of 95% confidence interval for alpha
    0.55802
  • Treynor index (mean / b)
    3.28729
  • Jensen alpha (a)
    0.29026
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29241
  • SD
    0.20938
  • Sharpe ratio (Glass type estimate)
    1.39650
  • Sharpe ratio (Hedges UMVUE)
    1.39480
  • df
    616.00000
  • t
    2.14306
  • p
    0.01625
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11642
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.67551
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11524
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67437
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.24734
  • Upside Potential Ratio
    9.00503
  • Upside part of mean
    1.17166
  • Downside part of mean
    -0.87925
  • Upside SD
    0.16483
  • Downside SD
    0.13011
  • N nonnegative terms
    261.00000
  • N negative terms
    356.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    617.00000
  • Mean of predictor
    0.21255
  • Mean of criterion
    0.29241
  • SD of predictor
    0.28840
  • SD of criterion
    0.20938
  • Covariance
    0.00802
  • r
    0.13283
  • b (slope, estimate of beta)
    0.09644
  • a (intercept, estimate of alpha)
    0.27191
  • Mean Square Error
    0.04314
  • DF error
    615.00000
  • t(b)
    3.32358
  • p(b)
    0.00047
  • t(a)
    2.00693
  • p(a)
    0.02260
  • Lowerbound of 95% confidence interval for beta
    0.03946
  • Upperbound of 95% confidence interval for beta
    0.15342
  • Lowerbound of 95% confidence interval for alpha
    0.00584
  • Upperbound of 95% confidence interval for alpha
    0.53797
  • Treynor index (mean / b)
    3.03198
  • Jensen alpha (a)
    0.27191
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01996
  • Expected Shortfall on VaR
    0.02523
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00829
  • Expected Shortfall on VaR
    0.01699
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    617.00000
  • Minimum
    0.94845
  • Quartile 1
    0.99706
  • Median
    1.00000
  • Quartile 3
    1.00539
  • Maximum
    1.07192
  • Mean of quarter 1
    0.98753
  • Mean of quarter 2
    0.99948
  • Mean of quarter 3
    1.00169
  • Mean of quarter 4
    1.01662
  • Inter Quartile Range
    0.00833
  • Number outliers low
    37.00000
  • Percentage of outliers low
    0.05997
  • Mean of outliers low
    0.97382
  • Number of outliers high
    49.00000
  • Percentage of outliers high
    0.07942
  • Mean of outliers high
    1.03036
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.06126
  • VaR(95%) (moments method)
    0.00898
  • Expected Shortfall (moments method)
    0.01319
  • Extreme Value Index (regression method)
    0.10970
  • VaR(95%) (regression method)
    0.01117
  • Expected Shortfall (regression method)
    0.01743
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    40.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00421
  • Median
    0.01334
  • Quartile 3
    0.03166
  • Maximum
    0.26264
  • Mean of quarter 1
    0.00151
  • Mean of quarter 2
    0.00831
  • Mean of quarter 3
    0.02312
  • Mean of quarter 4
    0.09405
  • Inter Quartile Range
    0.02744
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.07500
  • Mean of outliers high
    0.19005
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.38156
  • VaR(95%) (moments method)
    0.09170
  • Expected Shortfall (moments method)
    0.17596
  • Extreme Value Index (regression method)
    0.36033
  • VaR(95%) (regression method)
    0.08489
  • Expected Shortfall (regression method)
    0.15329
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.47821
  • Compounded annual return (geometric extrapolation)
    0.37756
  • Calmar ratio (compounded annual return / max draw down)
    1.43756
  • Compounded annual return / average of 25% largest draw downs
    4.01445
  • Compounded annual return / Expected Shortfall lognormal
    14.96380
  • 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
    -0.13908
  • SD
    0.11573
  • Sharpe ratio (Glass type estimate)
    -1.20180
  • Sharpe ratio (Hedges UMVUE)
    -1.19485
  • df
    130.00000
  • t
    -0.84980
  • p
    0.53716
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.97516
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57615
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.97046
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58076
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.54133
  • Upside Potential Ratio
    3.48640
  • Upside part of mean
    0.31460
  • Downside part of mean
    -0.45368
  • Upside SD
    0.07227
  • Downside SD
    0.09024
  • N nonnegative terms
    14.00000
  • N negative terms
    117.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36743
  • Mean of criterion
    -0.13908
  • SD of predictor
    0.35289
  • SD of criterion
    0.11573
  • Covariance
    0.00488
  • r
    0.11943
  • b (slope, estimate of beta)
    0.03917
  • a (intercept, estimate of alpha)
    -0.15347
  • Mean Square Error
    0.01330
  • DF error
    129.00000
  • t(b)
    1.36621
  • p(b)
    0.42415
  • t(a)
    -0.93889
  • p(a)
    0.55239
  • Lowerbound of 95% confidence interval for beta
    -0.01755
  • Upperbound of 95% confidence interval for beta
    0.09588
  • Lowerbound of 95% confidence interval for alpha
    -0.47689
  • Upperbound of 95% confidence interval for alpha
    0.16994
  • Treynor index (mean / b)
    -3.55117
  • Jensen alpha (a)
    -0.15347
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14579
  • SD
    0.11624
  • Sharpe ratio (Glass type estimate)
    -1.25425
  • Sharpe ratio (Hedges UMVUE)
    -1.24700
  • df
    130.00000
  • t
    -0.88689
  • p
    0.53878
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.02795
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.52405
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.02294
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.52895
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.59421
  • Upside Potential Ratio
    3.41152
  • Upside part of mean
    0.31198
  • Downside part of mean
    -0.45777
  • Upside SD
    0.07160
  • Downside SD
    0.09145
  • N nonnegative terms
    14.00000
  • N negative terms
    117.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30532
  • Mean of criterion
    -0.14579
  • SD of predictor
    0.35331
  • SD of criterion
    0.11624
  • Covariance
    0.00496
  • r
    0.12082
  • b (slope, estimate of beta)
    0.03975
  • a (intercept, estimate of alpha)
    -0.15793
  • Mean Square Error
    0.01342
  • DF error
    129.00000
  • t(b)
    1.38237
  • p(b)
    0.42327
  • t(a)
    -0.96269
  • p(a)
    0.55370
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    -0.01714
  • Upperbound of 95% confidence interval for beta
    0.09664
  • Lowerbound of 95% confidence interval for alpha
    -0.48250
  • Upperbound of 95% confidence interval for alpha
    0.16664
  • Treynor index (mean / b)
    -3.66775
  • Jensen alpha (a)
    -0.15793
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01229
  • Expected Shortfall on VaR
    0.01525
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00563
  • Expected Shortfall on VaR
    0.01190
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96141
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02361
  • Mean of quarter 1
    0.99350
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00481
  • Inter Quartile Range
    0.00000
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.15267
  • Mean of outliers low
    0.98928
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.01134
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -5.83190
  • VaR(95%) (moments method)
    0.00148
  • Expected Shortfall (moments method)
    0.00148
  • Extreme Value Index (regression method)
    0.19382
  • VaR(95%) (regression method)
    0.00689
  • Expected Shortfall (regression method)
    0.01509
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00231
  • Quartile 1
    0.02592
  • Median
    0.03744
  • Quartile 3
    0.05182
  • Maximum
    0.08400
  • Mean of quarter 1
    0.00231
  • Mean of quarter 2
    0.03378
  • Mean of quarter 3
    0.04109
  • Mean of quarter 4
    0.08400
  • Inter Quartile Range
    0.02590
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -327611000
  • Max Equity Drawdown (num days)
    58
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.11448
  • Compounded annual return (geometric extrapolation)
    -0.11120
  • Calmar ratio (compounded annual return / max draw down)
    -1.32376
  • Compounded annual return / average of 25% largest draw downs
    -1.32376
  • Compounded annual return / Expected Shortfall lognormal
    -7.29272

Strategy Description

Summary Statistics

Strategy began
2019-08-18
Suggested Minimum Capital
$15,000
# Trades
129
# Profitable
73
% Profitable
56.6%
Net Dividends
Correlation S&P500
0.129
Sharpe Ratio
0.73
Sortino Ratio
1.17
Beta
0.10
Alpha
0.03
Leverage
1.90 Average
4.66 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.