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These are hypothetical performance results that have certain inherent limitations. Learn more
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420 Money
(128986142)

Created by: WolfofWaddell WolfofWaddell
Started: 05/2020
Stocks
Last trade: 1,065 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 $200.00 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.
15.1%
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.

(14.5%)
Max Drawdown
84
Num Trades
57.1%
Win Trades
3.1 : 1
Profit Factor
16.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                            (0.5%)+15.1%(3.4%)(0.6%)+0.9%+3.6%(0.6%)+2.7%+17.5%
2021+36.9%+3.1%+7.8%+1.6%(4.2%)  -    -    -    -    -    -    -  +48.1%
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.

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 14 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1073 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/18/21 10:36 MJ AMPLIFY ALTERNATIVE HARVEST ETF LONG 490 20.34 5/19 13:30 19.87 0.55%
Trade id #135665341
Max drawdown($343)
Time5/19/21 10:06
Quant open490
Worst price19.64
Drawdown as % of equity-0.55%
 ($242)
Includes Typical Broker Commissions trade costs of $9.80
5/17/21 15:30 MSOS ADVISORSHARES PURE US CANNABIS ETF LONG 245 40.74 5/19 10:49 39.48 0.62%
Trade id #135653350
Max drawdown($384)
Time5/19/21 10:13
Quant open245
Worst price39.17
Drawdown as % of equity-0.62%
 ($313)
Includes Typical Broker Commissions trade costs of $4.90
5/18/21 14:38 POTX GLOBAL X CANNABIS ETF LONG 755 13.23 5/19 10:47 12.79 0.71%
Trade id #135669295
Max drawdown($445)
Time5/19/21 10:06
Quant open755
Worst price12.64
Drawdown as % of equity-0.71%
 ($340)
Includes Typical Broker Commissions trade costs of $5.00
5/18/21 11:32 CNBS AMPLIFY SEYMOUR CANNABIS ETF LONG 410 24.41 5/19 10:47 23.52 0.72%
Trade id #135666308
Max drawdown($451)
Time5/19/21 10:06
Quant open410
Worst price23.31
Drawdown as % of equity-0.72%
 ($373)
Includes Typical Broker Commissions trade costs of $8.20
5/18/21 10:42 YOLO ADVISORSHARES PURE CANNABIS ETF LONG 500 20.05 5/19 10:44 19.23 0.75%
Trade id #135665441
Max drawdown($470)
Time5/19/21 10:04
Quant open500
Worst price19.11
Drawdown as % of equity-0.75%
 ($417)
Includes Typical Broker Commissions trade costs of $10.00
5/7/21 12:28 MJ AMPLIFY ALTERNATIVE HARVEST ETF LONG 930 21.50 5/10 14:32 20.75 1.11%
Trade id #135511829
Max drawdown($696)
Time5/10/21 14:22
Quant open930
Worst price20.75
Drawdown as % of equity-1.11%
 ($708)
Includes Typical Broker Commissions trade costs of $11.80
5/7/21 12:33 MSOS ADVISORSHARES PURE US CANNABIS ETF LONG 470 42.65 5/10 11:35 42.04 0.47%
Trade id #135511946
Max drawdown($292)
Time5/10/21 11:34
Quant open470
Worst price42.02
Drawdown as % of equity-0.47%
 ($293)
Includes Typical Broker Commissions trade costs of $9.40
5/3/21 11:28 MJ AMPLIFY ALTERNATIVE HARVEST ETF SHORT 475 21.07 5/7 11:28 20.83 0.08%
Trade id #135423205
Max drawdown($50)
Time5/7/21 10:54
Quant open120
Worst price21.49
Drawdown as % of equity-0.08%
 $103
Includes Typical Broker Commissions trade costs of $9.50
5/3/21 13:39 POTX GLOBAL X CANNABIS ETF SHORT 695 14.41 5/5 15:55 14.19 0.06%
Trade id #135425691
Max drawdown($38)
Time5/3/21 13:48
Quant open695
Worst price14.46
Drawdown as % of equity-0.06%
 $138
Includes Typical Broker Commissions trade costs of $9.45
4/23/21 12:35 YOLO ADVISORSHARES PURE CANNABIS ETF LONG 470 21.15 4/28 15:56 21.69 0.07%
Trade id #135294799
Max drawdown($42)
Time4/23/21 12:58
Quant open470
Worst price21.06
Drawdown as % of equity-0.07%
 $243
Includes Typical Broker Commissions trade costs of $9.40
4/23/21 11:36 MJ AMPLIFY ALTERNATIVE HARVEST ETF LONG 475 21.00 4/28 15:55 21.63 0.03%
Trade id #135292590
Max drawdown($16)
Time4/23/21 12:04
Quant open475
Worst price20.97
Drawdown as % of equity-0.03%
 $289
Includes Typical Broker Commissions trade costs of $9.50
4/22/21 13:30 POTX GLOBAL X CANNABIS ETF LONG 715 14.04 4/28 15:54 14.71 0.39%
Trade id #135274873
Max drawdown($239)
Time4/22/21 14:04
Quant open715
Worst price13.71
Drawdown as % of equity-0.39%
 $471
Includes Typical Broker Commissions trade costs of $9.65
4/22/21 12:30 MSOS ADVISORSHARES PURE US CANNABIS ETF LONG 250 40.03 4/28 10:38 40.85 0.47%
Trade id #135273402
Max drawdown($292)
Time4/22/21 15:24
Quant open250
Worst price38.86
Drawdown as % of equity-0.47%
 $199
Includes Typical Broker Commissions trade costs of $5.00
4/23/21 12:20 CNBS AMPLIFY SEYMOUR CANNABIS ETF LONG 375 26.57 4/27 14:32 26.74 0.07%
Trade id #135294358
Max drawdown($44)
Time4/23/21 12:38
Quant open375
Worst price26.45
Drawdown as % of equity-0.07%
 $57
Includes Typical Broker Commissions trade costs of $7.50
4/12/21 10:47 CNBS AMPLIFY SEYMOUR CANNABIS ETF SHORT 180 27.49 4/20 11:50 26.26 0.12%
Trade id #135104097
Max drawdown($73)
Time4/13/21 0:00
Quant open180
Worst price27.90
Drawdown as % of equity-0.12%
 $217
Includes Typical Broker Commissions trade costs of $3.60
4/7/21 11:36 YOLO ADVISORSHARES PURE CANNABIS ETF SHORT 435 22.90 4/20 11:47 22.14 0.06%
Trade id #135045467
Max drawdown($38)
Time4/9/21 0:00
Quant open216
Worst price23.08
Drawdown as % of equity-0.06%
 $323
Includes Typical Broker Commissions trade costs of $8.70
4/7/21 13:32 MSOS ADVISORSHARES PURE US CANNABIS ETF SHORT 235 42.23 4/20 11:45 40.91 0.15%
Trade id #135048115
Max drawdown($96)
Time4/7/21 15:03
Quant open235
Worst price42.64
Drawdown as % of equity-0.15%
 $306
Includes Typical Broker Commissions trade costs of $4.70
4/12/21 10:50 MJ AMPLIFY ALTERNATIVE HARVEST ETF SHORT 235 21.23 4/20 11:42 20.65 0.12%
Trade id #135104161
Max drawdown($72)
Time4/13/21 0:00
Quant open235
Worst price21.54
Drawdown as % of equity-0.12%
 $131
Includes Typical Broker Commissions trade costs of $4.70
4/12/21 10:44 POTX GLOBAL X CANNABIS ETF SHORT 345 14.28 4/19 15:22 14.17 0.18%
Trade id #135103997
Max drawdown($113)
Time4/13/21 0:00
Quant open345
Worst price14.61
Drawdown as % of equity-0.18%
 $31
Includes Typical Broker Commissions trade costs of $6.90
4/9/21 15:58 CNBS AMPLIFY SEYMOUR CANNABIS ETF LONG 175 28.96 4/12 10:47 27.57 0.42%
Trade id #135086644
Max drawdown($259)
Time4/12/21 10:37
Quant open175
Worst price27.48
Drawdown as % of equity-0.42%
 ($248)
Includes Typical Broker Commissions trade costs of $3.50
4/6/21 10:32 POTX GLOBAL X CANNABIS ETF SHORT 640 15.55 4/9 12:30 15.24 0.17%
Trade id #135024944
Max drawdown($102)
Time4/6/21 12:04
Quant open640
Worst price15.71
Drawdown as % of equity-0.17%
 $186
Includes Typical Broker Commissions trade costs of $8.90
4/7/21 11:35 CNBS AMPLIFY SEYMOUR CANNABIS ETF SHORT 355 28.18 4/9 11:31 28.59 0.28%
Trade id #135045462
Max drawdown($174)
Time4/9/21 11:18
Quant open265
Worst price28.84
Drawdown as % of equity-0.28%
 ($152)
Includes Typical Broker Commissions trade costs of $7.10
4/6/21 13:31 MJ AMPLIFY ALTERNATIVE HARVEST ETF SHORT 445 22.54 4/9 11:31 22.25 0.06%
Trade id #135029044
Max drawdown($37)
Time4/6/21 13:39
Quant open445
Worst price22.62
Drawdown as % of equity-0.06%
 $122
Includes Typical Broker Commissions trade costs of $8.90
3/31/21 14:36 CNBS AMPLIFY SEYMOUR CANNABIS ETF LONG 345 29.13 4/6 13:29 29.08 0.1%
Trade id #134954002
Max drawdown($60)
Time3/31/21 15:29
Quant open345
Worst price28.96
Drawdown as % of equity-0.10%
 ($24)
Includes Typical Broker Commissions trade costs of $6.90
4/1/21 10:35 MSOS ADVISORSHARES PURE US CANNABIS ETF LONG 225 44.33 4/6 12:29 42.74 0.66%
Trade id #134967823
Max drawdown($409)
Time4/6/21 10:11
Quant open225
Worst price42.51
Drawdown as % of equity-0.66%
 ($363)
Includes Typical Broker Commissions trade costs of $4.50
3/31/21 14:34 YOLO ADVISORSHARES PURE CANNABIS ETF LONG 425 23.59 4/6 11:31 23.40 0.14%
Trade id #134953967
Max drawdown($89)
Time4/6/21 10:16
Quant open425
Worst price23.38
Drawdown as % of equity-0.14%
 ($90)
Includes Typical Broker Commissions trade costs of $8.50
3/31/21 14:35 POTX GLOBAL X CANNABIS ETF LONG 625 16.02 4/6 10:32 15.55 0.52%
Trade id #134953986
Max drawdown($325)
Time4/6/21 10:10
Quant open625
Worst price15.50
Drawdown as % of equity-0.52%
 ($299)
Includes Typical Broker Commissions trade costs of $5.00
3/31/21 11:36 MJ AMPLIFY ALTERNATIVE HARVEST ETF LONG 435 22.95 4/6 10:31 22.57 0.31%
Trade id #134949102
Max drawdown($191)
Time4/6/21 10:10
Quant open435
Worst price22.51
Drawdown as % of equity-0.31%
 ($174)
Includes Typical Broker Commissions trade costs of $8.70
3/19/21 15:37 POTX GLOBAL X CANNABIS ETF SHORT 145 17.33 3/25 11:32 16.15 0.05%
Trade id #134740855
Max drawdown($33)
Time3/22/21 0:00
Quant open145
Worst price17.56
Drawdown as % of equity-0.05%
 $169
Includes Typical Broker Commissions trade costs of $2.90
3/19/21 15:28 MSOS ADVISORSHARES PURE US CANNABIS ETF SHORT 55 46.90 3/25 11:32 43.92 0.06%
Trade id #134740720
Max drawdown($36)
Time3/22/21 0:00
Quant open55
Worst price47.56
Drawdown as % of equity-0.06%
 $163
Includes Typical Broker Commissions trade costs of $1.10
Next

Statistics

  • Strategy began
    5/12/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1433.4
  • Age
    48 months ago
  • What it trades
    Stocks
  • # Trades
    84
  • # Profitable
    48
  • % Profitable
    57.10%
  • Avg trade duration
    4.2 days
  • Max peak-to-valley drawdown
    14.47%
  • drawdown period
    Dec 17, 2020 - Jan 28, 2021
  • Annual Return (Compounded)
    15.1%
  • Avg win
    $907.85
  • Avg loss
    $389.69
  • Model Account Values (Raw)
  • Cash
    $64,545
  • Margin Used
    $0
  • Buying Power
    $64,545
  • Ratios
  • W:L ratio
    3.11:1
  • Sharpe Ratio
    0.59
  • Sortino Ratio
    2.47
  • Calmar Ratio
    4.377
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -4.55%
  • Correlation to SP500
    -0.06000
  • Return Percent SP500 (cumu) during strategy life
    74.98%
  • Return Statistics
  • Ann Return (w trading costs)
    15.1%
  • Slump
  • Current Slump as Pcnt Equity
    10.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.78%
  • 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)
    0.151%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.99%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    13.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    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
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $390
  • Avg Win
    $908
  • Sum Trade PL (losers)
    $14,029.000
  • Age
  • Num Months filled monthly returns table
    48
  • Win / Loss
  • Sum Trade PL (winners)
    $43,577.000
  • # Winners
    48
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    -2
  • Win / Loss
  • # Losers
    36
  • % Winners
    57.1%
  • Frequency
  • Avg Position Time (mins)
    6064.27
  • Avg Position Time (hrs)
    101.07
  • Avg Trade Length
    4.2 days
  • Last Trade Ago
    1061
  • Leverage
  • Daily leverage (average)
    0.44
  • Daily leverage (max)
    1.06
  • Regression
  • Alpha
    0.04
  • Beta
    -0.07
  • Treynor Index
    -0.59
  • 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)
    -0.63
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.541
  • 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
    0.616
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.292
  • Hold-and-Hope Ratio
    0.649
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44940
  • SD
    0.30836
  • Sharpe ratio (Glass type estimate)
    1.45740
  • Sharpe ratio (Hedges UMVUE)
    1.38781
  • df
    16.00000
  • t
    1.73465
  • p
    0.30107
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28444
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.15793
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32765
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.10328
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.09360
  • Upside Potential Ratio
    13.42360
  • Upside part of mean
    0.49883
  • Downside part of mean
    -0.04943
  • Upside SD
    0.32395
  • Downside SD
    0.03716
  • N nonnegative terms
    8.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.37365
  • Mean of criterion
    0.44940
  • SD of predictor
    0.22241
  • SD of criterion
    0.30836
  • Covariance
    0.00422
  • r
    0.06152
  • b (slope, estimate of beta)
    0.08529
  • a (intercept, estimate of alpha)
    0.41753
  • Mean Square Error
    0.10104
  • DF error
    15.00000
  • t(b)
    0.23871
  • p(b)
    0.46086
  • t(a)
    1.39842
  • p(a)
    0.28803
  • Lowerbound of 95% confidence interval for beta
    -0.67629
  • Upperbound of 95% confidence interval for beta
    0.84688
  • Lowerbound of 95% confidence interval for alpha
    -0.21887
  • Upperbound of 95% confidence interval for alpha
    1.05393
  • Treynor index (mean / b)
    5.26893
  • Jensen alpha (a)
    0.41753
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40410
  • SD
    0.26773
  • Sharpe ratio (Glass type estimate)
    1.50935
  • Sharpe ratio (Hedges UMVUE)
    1.43728
  • df
    16.00000
  • t
    1.79648
  • p
    0.29515
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23839
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.21454
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28307
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.15763
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.68350
  • Upside Potential Ratio
    12.00580
  • Upside part of mean
    0.45412
  • Downside part of mean
    -0.05002
  • Upside SD
    0.28221
  • Downside SD
    0.03782
  • N nonnegative terms
    8.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.34454
  • Mean of criterion
    0.40410
  • SD of predictor
    0.22099
  • SD of criterion
    0.26773
  • Covariance
    0.00480
  • r
    0.08106
  • b (slope, estimate of beta)
    0.09821
  • a (intercept, estimate of alpha)
    0.37027
  • Mean Square Error
    0.07596
  • DF error
    15.00000
  • t(b)
    0.31498
  • p(b)
    0.44845
  • t(a)
    1.45056
  • p(a)
    0.28138
  • Lowerbound of 95% confidence interval for beta
    -0.56635
  • Upperbound of 95% confidence interval for beta
    0.76276
  • Lowerbound of 95% confidence interval for alpha
    -0.17380
  • Upperbound of 95% confidence interval for alpha
    0.91434
  • Treynor index (mean / b)
    4.11482
  • Jensen alpha (a)
    0.37027
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08922
  • Expected Shortfall on VaR
    0.11780
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00966
  • Expected Shortfall on VaR
    0.02059
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.96005
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.05503
  • Maximum
    1.35766
  • Mean of quarter 1
    0.99019
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.03686
  • Mean of quarter 4
    1.14447
  • Inter Quartile Range
    0.05503
  • 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
    0.05882
  • Mean of outliers high
    1.35766
  • 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)
    0.75793
  • VaR(95%) (regression method)
    0.02637
  • Expected Shortfall (regression method)
    0.16433
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00912
  • Quartile 1
    0.01682
  • Median
    0.02453
  • Quartile 3
    0.03224
  • Maximum
    0.03995
  • Mean of quarter 1
    0.00912
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03995
  • Inter Quartile Range
    0.01542
  • 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)
    0.59587
  • Compounded annual return (geometric extrapolation)
    0.54035
  • Calmar ratio (compounded annual return / max draw down)
    13.52600
  • Compounded annual return / average of 25% largest draw downs
    13.52600
  • Compounded annual return / Expected Shortfall lognormal
    4.58686
  • 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
    0.42589
  • SD
    0.30959
  • Sharpe ratio (Glass type estimate)
    1.37566
  • Sharpe ratio (Hedges UMVUE)
    1.37300
  • df
    389.00000
  • t
    1.67839
  • p
    0.04704
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23455
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.98416
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.23634
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98234
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.01585
  • Upside Potential Ratio
    10.36510
  • Upside part of mean
    0.73380
  • Downside part of mean
    -0.30790
  • Upside SD
    0.30213
  • Downside SD
    0.07080
  • N nonnegative terms
    76.00000
  • N negative terms
    314.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    390.00000
  • Mean of predictor
    0.41983
  • Mean of criterion
    0.42589
  • SD of predictor
    0.30744
  • SD of criterion
    0.30959
  • Covariance
    -0.00618
  • r
    -0.06492
  • b (slope, estimate of beta)
    -0.06537
  • a (intercept, estimate of alpha)
    0.45300
  • Mean Square Error
    0.09569
  • DF error
    388.00000
  • t(b)
    -1.28139
  • p(b)
    0.89959
  • t(a)
    1.78167
  • p(a)
    0.03779
  • Lowerbound of 95% confidence interval for beta
    -0.16567
  • Upperbound of 95% confidence interval for beta
    0.03493
  • Lowerbound of 95% confidence interval for alpha
    -0.04693
  • Upperbound of 95% confidence interval for alpha
    0.95360
  • Treynor index (mean / b)
    -6.51515
  • Jensen alpha (a)
    0.45334
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38324
  • SD
    0.28266
  • Sharpe ratio (Glass type estimate)
    1.35584
  • Sharpe ratio (Hedges UMVUE)
    1.35322
  • df
    389.00000
  • t
    1.65421
  • p
    0.04945
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25424
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.96430
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.25603
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.96248
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.32764
  • Upside Potential Ratio
    9.64310
  • Upside part of mean
    0.69367
  • Downside part of mean
    -0.31043
  • Upside SD
    0.27400
  • Downside SD
    0.07193
  • N nonnegative terms
    76.00000
  • N negative terms
    314.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    390.00000
  • Mean of predictor
    0.37190
  • Mean of criterion
    0.38324
  • SD of predictor
    0.30976
  • SD of criterion
    0.28266
  • Covariance
    -0.00568
  • r
    -0.06485
  • b (slope, estimate of beta)
    -0.05918
  • a (intercept, estimate of alpha)
    0.40525
  • Mean Square Error
    0.07977
  • DF error
    388.00000
  • t(b)
    -1.28011
  • p(b)
    0.89936
  • t(a)
    1.74583
  • p(a)
    0.04082
  • Lowerbound of 95% confidence interval for beta
    -0.15007
  • Upperbound of 95% confidence interval for beta
    0.03171
  • Lowerbound of 95% confidence interval for alpha
    -0.05113
  • Upperbound of 95% confidence interval for alpha
    0.86163
  • Treynor index (mean / b)
    -6.47613
  • Jensen alpha (a)
    0.40525
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02689
  • Expected Shortfall on VaR
    0.03395
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00357
  • Expected Shortfall on VaR
    0.00781
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    390.00000
  • Minimum
    0.94600
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.26249
  • Mean of quarter 1
    0.99566
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01123
  • Inter Quartile Range
    0.00000
  • Number outliers low
    66.00000
  • Percentage of outliers low
    0.16923
  • Mean of outliers low
    0.99356
  • Number of outliers high
    76.00000
  • Percentage of outliers high
    0.19487
  • Mean of outliers high
    1.01448
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49517
  • VaR(95%) (moments method)
    0.00299
  • Expected Shortfall (moments method)
    0.00807
  • Extreme Value Index (regression method)
    0.42523
  • VaR(95%) (regression method)
    0.00433
  • Expected Shortfall (regression method)
    0.01135
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00130
  • Median
    0.00861
  • Quartile 3
    0.02897
  • Maximum
    0.11618
  • Mean of quarter 1
    0.00047
  • Mean of quarter 2
    0.00621
  • Mean of quarter 3
    0.01785
  • Mean of quarter 4
    0.06130
  • Inter Quartile Range
    0.02767
  • 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
    0.05882
  • Mean of outliers high
    0.11618
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.12272
  • VaR(95%) (moments method)
    0.06047
  • Expected Shortfall (moments method)
    0.08593
  • Extreme Value Index (regression method)
    0.73179
  • VaR(95%) (regression method)
    0.07869
  • Expected Shortfall (regression method)
    0.26845
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.56709
  • Compounded annual return (geometric extrapolation)
    0.50855
  • Calmar ratio (compounded annual return / max draw down)
    4.37715
  • Compounded annual return / average of 25% largest draw downs
    8.29633
  • Compounded annual return / Expected Shortfall lognormal
    14.98050
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.43588
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40286
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35377
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40770
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6856690000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    145682999999999999749117135814656.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • 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
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
  • 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?
    -509291000
  • Max Equity Drawdown (num days)
    42
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • 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
    0.00000

Strategy Description

I've used a trend following system for several years in many stocks/ETF's/options and it's worked very well in the marijuana sector. It is designed to make money when the underlying increases or decreases, but will lose when it moves sideways or "chops". I consider this the cost of doing business and I actually get excited when this occurs as it usually means a big move is coming. Drawdown can be fairly steep during these periods, but nothing you shouldn't expect when trading instruments that move like this. Obviously the more risk you take, the higher return.

My system is based on the book "Trading in the Zone". I designed it around the principles described in the book; trading based on probabilities , knowing exactly when to enter/exit trades, trading without emotion, and managing risk. I consider managing risk to be my #1 objective. Following my rules #2. And finally, making money comes in #3. But as long as I take care of #1 and #2, that will most assuredly come.

I place the same risk in each trade every time. So if I have 6 in the portfolio, as I do now, and $60,000 capital, I will put 10k in each instrument every time. I will take risk off as I see fit.

You will need a margin account to follow these trades as I go short often. And I advise at least 35k to account for the pattern day trading rule and drawdown. I use Interactive brokers and that's who I recommend.

I will only allow 25 subscribers at this time. Once that if filled, I will add more stocks and increase liquidity.

Any questions feel free.

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-05-12
Suggested Minimum Capital
$15,000
# Trades
84
# Profitable
48
% Profitable
57.1%
Net Dividends
($2)
Correlation S&P500
-0.060
Sharpe Ratio
0.59
Sortino Ratio
2.47
Beta
-0.07
Alpha
0.04
Leverage
0.44 Average
1.06 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.

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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.