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

4Timing Trend ML
(124696549)

Created by: Timing Timing
Started: 07/2019
Stocks, Futures
Last trade: 77 days ago

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 $50.00 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.

5.2%
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.

(15.2%)
Max Drawdown
166
Num Trades
59.0%
Win Trades
1.8 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                            -  (1.3%)+0.6%(1.1%)+2.7%+1.4%+2.3%
2020+0.9%+0.8%  -  +0.8%+4.4%+3.2%+1.0%+6.1%(1.6%)(5.4%)+6.4%+0.4%+17.7%
2021  -  (2.7%)+2.7%+2.2%  -  +1.5%+1.5%+0.8%(2.1%)+3.1%+0.2%+0.6%+7.9%
2022(2.8%)(0.2%)+0.7%(1.1%)  -    -  +0.7%(0.5%)(0.2%)  -    -  (1.1%)(4.6%)
2023  -  +1.7%+0.4%+0.9%(0.7%)+2.8%+0.6%(2.9%)(1.1%)(1%)+1.6%(0.2%)+1.9%
2024(0.1%)(0.1%)                                                            (0.2%)

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 55 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 530 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/6/23 9:30 QQQ POWERSHARES QQQ LONG 60 368.49 12/6 11:37 386.67 0.09%
Trade id #146344337
Max drawdown($94)
Time11/6/23 13:21
Quant open60
Worst price366.91
Drawdown as % of equity-0.09%
$1,090
Includes Typical Broker Commissions trade costs of $1.20
10/20/23 9:30 QQQ POWERSHARES QQQ LONG 53 359.46 11/2 9:30 361.54 0.83%
Trade id #146184107
Max drawdown($906)
Time10/26/23 0:00
Quant open53
Worst price342.35
Drawdown as % of equity-0.83%
$109
Includes Typical Broker Commissions trade costs of $1.06
10/20/23 9:30 SPY SPDR S&P 500 LONG 47 425.98 10/24 9:30 422.65 0.28%
Trade id #146184103
Max drawdown($306)
Time10/23/23 0:00
Quant open47
Worst price419.46
Drawdown as % of equity-0.28%
($158)
Includes Typical Broker Commissions trade costs of $0.94
9/21/23 9:30 SPY SPDR S&P 500 LONG 45 435.70 10/4 9:30 422.07 0.63%
Trade id #145888935
Max drawdown($698)
Time10/3/23 0:00
Quant open45
Worst price420.18
Drawdown as % of equity-0.63%
($614)
Includes Typical Broker Commissions trade costs of $0.90
9/21/23 9:30 QQQ POWERSHARES QQQ LONG 65 360.80 10/4 9:30 355.77 0.56%
Trade id #145888918
Max drawdown($613)
Time9/27/23 0:00
Quant open65
Worst price351.36
Drawdown as % of equity-0.56%
($328)
Includes Typical Broker Commissions trade costs of $1.30
8/30/23 9:30 QQQ POWERSHARES QQQ LONG 64 374.88 9/7 9:30 370.21 0.29%
Trade id #145686252
Max drawdown($327)
Time9/7/23 9:30
Quant open64
Worst price369.77
Drawdown as % of equity-0.29%
($300)
Includes Typical Broker Commissions trade costs of $1.28
9/5/23 9:56 IJH ISHARES CORE S&P MID-CAP ETF LONG 75 261.99 9/6 9:30 260.76 0.1%
Trade id #145736324
Max drawdown($111)
Time9/6/23 9:30
Quant open75
Worst price260.50
Drawdown as % of equity-0.10%
($94)
Includes Typical Broker Commissions trade costs of $1.50
9/5/23 9:57 IWM ISHARES RUSSELL 2000 INDEX LONG 95 187.54 9/6 9:30 187.06 0.07%
Trade id #145736339
Max drawdown($73)
Time9/5/23 15:59
Quant open95
Worst price186.77
Drawdown as % of equity-0.07%
($48)
Includes Typical Broker Commissions trade costs of $1.90
8/14/23 9:30 IWM ISHARES RUSSELL 2000 INDEX LONG 105 189.94 8/30 9:30 187.73 0.79%
Trade id #145519059
Max drawdown($874)
Time8/25/23 0:00
Quant open105
Worst price181.61
Drawdown as % of equity-0.79%
($234)
Includes Typical Broker Commissions trade costs of $2.10
8/3/23 9:30 SPY SPDR S&P 500 LONG 55 448.04 8/25 9:30 438.68 0.75%
Trade id #145415541
Max drawdown($826)
Time8/18/23 0:00
Quant open55
Worst price433.01
Drawdown as % of equity-0.75%
($516)
Includes Typical Broker Commissions trade costs of $1.10
8/16/23 9:30 QQQ POWERSHARES QQQ LONG 53 365.87 8/22 9:30 366.55 0.54%
Trade id #145541440
Max drawdown($591)
Time8/18/23 0:00
Quant open53
Worst price354.71
Drawdown as % of equity-0.54%
$35
Includes Typical Broker Commissions trade costs of $1.06
7/28/23 9:30 IJH ISHARES CORE S&P MID-CAP ETF LONG 80 271.17 8/17 9:30 260.66 0.8%
Trade id #145353219
Max drawdown($889)
Time8/16/23 0:00
Quant open80
Worst price260.05
Drawdown as % of equity-0.80%
($843)
Includes Typical Broker Commissions trade costs of $1.60
8/14/23 9:30 QQQ POWERSHARES QQQ LONG 55 365.43 8/15 9:30 369.36 0.03%
Trade id #145519036
Max drawdown($31)
Time8/14/23 9:37
Quant open55
Worst price364.85
Drawdown as % of equity-0.03%
$215
Includes Typical Broker Commissions trade costs of $1.10
8/10/23 10:36 @MNQU3 MICRO E-MINI NASDAQ 100 LONG 1 15400.75 8/14 3:37 15111.00 0.65%
Trade id #145494181
Max drawdown($727)
Time8/11/23 0:00
Quant open1
Worst price15037.20
Drawdown as % of equity-0.65%
($581)
Includes Typical Broker Commissions trade costs of $0.94
8/10/23 10:23 @M2KU3 MICRO E-MINI RUSSELL 2000 LONG 12 1953.16 8/14 3:37 1930.20 1.87%
Trade id #145493829
Max drawdown($2,097)
Time8/11/23 0:00
Quant open12
Worst price1918.20
Drawdown as % of equity-1.87%
($1,389)
Includes Typical Broker Commissions trade costs of $11.28
7/21/23 9:30 QQQ POWERSHARES QQQ LONG 55 379.18 7/31 9:41 384.10 0.23%
Trade id #145283290
Max drawdown($266)
Time7/24/23 0:00
Quant open55
Worst price374.34
Drawdown as % of equity-0.23%
$270
Includes Typical Broker Commissions trade costs of $1.10
6/28/23 9:30 QQQ POWERSHARES QQQ LONG 57 361.98 7/13 9:30 376.05 n/a $801
Includes Typical Broker Commissions trade costs of $1.14
6/5/23 9:30 IJH ISHARES CORE S&P MID-CAP ETF LONG 86 249.01 7/3 11:35 262.61 0.21%
Trade id #144831460
Max drawdown($238)
Time6/5/23 10:13
Quant open86
Worst price246.24
Drawdown as % of equity-0.21%
$1,168
Includes Typical Broker Commissions trade costs of $1.72
6/30/23 9:30 GM GENERAL MOTORS SHORT 86 38.31 7/3 11:33 39.04 0.06%
Trade id #145077512
Max drawdown($69)
Time7/3/23 9:46
Quant open86
Worst price39.12
Drawdown as % of equity-0.06%
($65)
Includes Typical Broker Commissions trade costs of $1.72
6/5/23 9:30 IWM ISHARES RUSSELL 2000 INDEX LONG 112 181.26 6/28 9:30 182.99 0.28%
Trade id #144831463
Max drawdown($315)
Time6/5/23 10:26
Quant open112
Worst price178.44
Drawdown as % of equity-0.28%
$192
Includes Typical Broker Commissions trade costs of $2.24
6/26/23 9:30 SPY SPDR S&P 500 LONG 48 432.62 6/28 9:30 435.05 0.06%
Trade id #145029588
Max drawdown($68)
Time6/26/23 15:57
Quant open48
Worst price431.19
Drawdown as % of equity-0.06%
$116
Includes Typical Broker Commissions trade costs of $0.96
6/22/23 9:30 QQQ POWERSHARES QQQ LONG 64 360.63 6/23 9:30 362.21 n/a $100
Includes Typical Broker Commissions trade costs of $1.28
6/5/23 9:30 SPY SPDR S&P 500 LONG 56 428.28 6/13 9:30 435.32 0.12%
Trade id #144831496
Max drawdown($137)
Time6/8/23 0:00
Quant open56
Worst price425.82
Drawdown as % of equity-0.12%
$393
Includes Typical Broker Commissions trade costs of $1.12
6/8/23 9:30 QQQ POWERSHARES QQQ LONG 70 349.12 6/9 9:30 354.63 0.01%
Trade id #144869660
Max drawdown($16)
Time6/8/23 9:35
Quant open70
Worst price348.89
Drawdown as % of equity-0.01%
$385
Includes Typical Broker Commissions trade costs of $1.40
5/31/23 10:24 QQQ POWERSHARES QQQ LONG 69 347.78 6/2 9:30 353.80 0.08%
Trade id #144789848
Max drawdown($87)
Time5/31/23 11:36
Quant open69
Worst price346.51
Drawdown as % of equity-0.08%
$414
Includes Typical Broker Commissions trade costs of $1.38
5/19/23 9:30 QQQ POWERSHARES QQQ LONG 66 337.49 5/24 9:30 331.37 0.39%
Trade id #144673582
Max drawdown($430)
Time5/24/23 9:30
Quant open66
Worst price330.97
Drawdown as % of equity-0.39%
($405)
Includes Typical Broker Commissions trade costs of $1.32
4/21/23 9:56 SPY SPDR S&P 500 LONG 66 411.24 5/3 9:30 411.36 0.45%
Trade id #144385522
Max drawdown($492)
Time4/26/23 0:00
Quant open66
Worst price403.78
Drawdown as % of equity-0.45%
$7
Includes Typical Broker Commissions trade costs of $1.32
4/26/23 9:30 QQQ POWERSHARES QQQ LONG 96 313.44 4/28 9:30 320.11 0.18%
Trade id #144427286
Max drawdown($201)
Time4/26/23 15:50
Quant open96
Worst price311.34
Drawdown as % of equity-0.18%
$638
Includes Typical Broker Commissions trade costs of $1.92
4/21/23 9:57 IJH ISHARES CORE S&P MID-CAP ETF LONG 89 248.58 4/26 9:30 243.16 0.44%
Trade id #144385547
Max drawdown($482)
Time4/26/23 9:30
Quant open89
Worst price243.16
Drawdown as % of equity-0.44%
($484)
Includes Typical Broker Commissions trade costs of $1.78
4/21/23 9:53: Rescaled downward to 35% of previous Model Account size
4/3/23 9:30 SPY SPDR S&P 500 LONG 89.250000000 408.85 4/21 9:49 412.06 0.26%
Trade id #144152573
Max drawdown($283)
Time4/6/23 0:00
Quant open89
Worst price405.68
Drawdown as % of equity-0.26%
$284
Includes Typical Broker Commissions trade costs of $1.78

Statistics

  • Strategy began
    7/31/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1665.49
  • Age
    56 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    166
  • # Profitable
    98
  • % Profitable
    59.00%
  • Avg trade duration
    20.1 days
  • Max peak-to-valley drawdown
    15.17%
  • drawdown period
    Nov 05, 2021 - June 29, 2023
  • Annual Return (Compounded)
    5.2%
  • Avg win
    $578.01
  • Avg loss
    $472.41
  • Model Account Values (Raw)
  • Cash
    $112,799
  • Margin Used
    $0
  • Buying Power
    $112,799
  • Ratios
  • W:L ratio
    1.79:1
  • Sharpe Ratio
    0.5
  • Sortino Ratio
    0.73
  • Calmar Ratio
    0.748
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -40.84%
  • Correlation to SP500
    0.29840
  • Return Percent SP500 (cumu) during strategy life
    66.94%
  • Return Statistics
  • Ann Return (w trading costs)
    5.2%
  • Slump
  • Current Slump as Pcnt Equity
    4.00%
  • Instruments
  • Percent Trades Futures
    0.31%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.12%
  • 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)
    0.052%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.69%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    5.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    25.00%
  • Chance of 20% account loss
    1.00%
  • 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)
    540
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    327
  • Popularity (7 days, Percentile 1000 scale)
    570
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $472
  • Avg Win
    $578
  • Sum Trade PL (losers)
    $32,124.000
  • Age
  • Num Months filled monthly returns table
    56
  • Win / Loss
  • Sum Trade PL (winners)
    $56,645.000
  • # Winners
    98
  • Num Months Winners
    29
  • Dividends
  • Dividends Received in Model Acct
    780
  • Win / Loss
  • # Losers
    68
  • % Winners
    59.0%
  • Frequency
  • Avg Position Time (mins)
    28882.60
  • Avg Position Time (hrs)
    481.38
  • Avg Trade Length
    20.1 days
  • Last Trade Ago
    76
  • Leverage
  • Daily leverage (average)
    0.50
  • Daily leverage (max)
    1.95
  • Regression
  • Alpha
    0.01
  • Beta
    0.07
  • Treynor Index
    0.12
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.53
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    1.581
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.218
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.724
  • Hold-and-Hope Ratio
    0.632
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03002
  • SD
    0.05351
  • Sharpe ratio (Glass type estimate)
    0.56107
  • Sharpe ratio (Hedges UMVUE)
    0.55309
  • df
    53.00000
  • t
    1.19021
  • p
    0.11964
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37157
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.48854
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37682
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.48301
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.04368
  • Upside Potential Ratio
    2.95969
  • Upside part of mean
    0.08513
  • Downside part of mean
    -0.05511
  • Upside SD
    0.04536
  • Downside SD
    0.02876
  • N nonnegative terms
    25.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    54.00000
  • Mean of predictor
    0.10682
  • Mean of criterion
    0.03002
  • SD of predictor
    0.19432
  • SD of criterion
    0.05351
  • Covariance
    0.00449
  • r
    0.43206
  • b (slope, estimate of beta)
    0.11897
  • a (intercept, estimate of alpha)
    0.01731
  • Mean Square Error
    0.00237
  • DF error
    52.00000
  • t(b)
    3.45477
  • p(b)
    0.00055
  • t(a)
    0.74436
  • p(a)
    0.23001
  • Lowerbound of 95% confidence interval for beta
    0.04987
  • Upperbound of 95% confidence interval for beta
    0.18807
  • Lowerbound of 95% confidence interval for alpha
    -0.02936
  • Upperbound of 95% confidence interval for alpha
    0.06398
  • Treynor index (mean / b)
    0.25234
  • Jensen alpha (a)
    0.01731
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02853
  • SD
    0.05302
  • Sharpe ratio (Glass type estimate)
    0.53809
  • Sharpe ratio (Hedges UMVUE)
    0.53045
  • df
    53.00000
  • t
    1.14147
  • p
    0.12940
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39396
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46517
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39899
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.45988
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.98480
  • Upside Potential Ratio
    2.89715
  • Upside part of mean
    0.08393
  • Downside part of mean
    -0.05540
  • Upside SD
    0.04458
  • Downside SD
    0.02897
  • N nonnegative terms
    25.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    54.00000
  • Mean of predictor
    0.08710
  • Mean of criterion
    0.02853
  • SD of predictor
    0.19941
  • SD of criterion
    0.05302
  • Covariance
    0.00437
  • r
    0.41331
  • b (slope, estimate of beta)
    0.10990
  • a (intercept, estimate of alpha)
    0.01896
  • Mean Square Error
    0.00238
  • DF error
    52.00000
  • t(b)
    3.27306
  • p(b)
    0.00095
  • t(a)
    0.81851
  • p(a)
    0.20840
  • Lowerbound of 95% confidence interval for beta
    0.04252
  • Upperbound of 95% confidence interval for beta
    0.17727
  • Lowerbound of 95% confidence interval for alpha
    -0.02752
  • Upperbound of 95% confidence interval for alpha
    0.06544
  • Treynor index (mean / b)
    0.25961
  • Jensen alpha (a)
    0.01896
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02254
  • Expected Shortfall on VaR
    0.02876
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01115
  • Expected Shortfall on VaR
    0.02007
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    54.00000
  • Minimum
    0.97400
  • Quartile 1
    0.99731
  • Median
    1.00000
  • Quartile 3
    1.01327
  • Maximum
    1.05204
  • Mean of quarter 1
    0.98748
  • Mean of quarter 2
    0.99949
  • Mean of quarter 3
    1.00670
  • Mean of quarter 4
    1.02541
  • Inter Quartile Range
    0.01595
  • 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
    0.01852
  • Mean of outliers high
    1.05204
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.01278
  • VaR(95%) (moments method)
    0.00845
  • Expected Shortfall (moments method)
    0.00862
  • Extreme Value Index (regression method)
    -1.05629
  • VaR(95%) (regression method)
    0.01066
  • Expected Shortfall (regression method)
    0.01155
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01185
  • Quartile 1
    0.01644
  • Median
    0.03351
  • Quartile 3
    0.03559
  • Maximum
    0.04491
  • Mean of quarter 1
    0.01414
  • Mean of quarter 2
    0.03351
  • Mean of quarter 3
    0.03559
  • Mean of quarter 4
    0.04491
  • Inter Quartile Range
    0.01915
  • 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)
    0.06425
  • Compounded annual return (geometric extrapolation)
    0.05806
  • Calmar ratio (compounded annual return / max draw down)
    1.29273
  • Compounded annual return / average of 25% largest draw downs
    1.29273
  • Compounded annual return / Expected Shortfall lognormal
    2.01904
  • 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
    0.02983
  • SD
    0.05454
  • Sharpe ratio (Glass type estimate)
    0.54693
  • Sharpe ratio (Hedges UMVUE)
    0.54659
  • df
    1182.00000
  • t
    1.16219
  • p
    0.48311
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37581
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46946
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37605
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46922
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.79770
  • Upside Potential Ratio
    6.30099
  • Upside part of mean
    0.23562
  • Downside part of mean
    -0.20579
  • Upside SD
    0.03971
  • Downside SD
    0.03739
  • N nonnegative terms
    389.00000
  • N negative terms
    794.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1183.00000
  • Mean of predictor
    0.11011
  • Mean of criterion
    0.02983
  • SD of predictor
    0.22082
  • SD of criterion
    0.05454
  • Covariance
    0.00360
  • r
    0.29875
  • b (slope, estimate of beta)
    0.07379
  • a (intercept, estimate of alpha)
    0.02200
  • Mean Square Error
    0.00271
  • DF error
    1181.00000
  • t(b)
    10.75790
  • p(b)
    0.31268
  • t(a)
    0.88531
  • p(a)
    0.48361
  • Lowerbound of 95% confidence interval for beta
    0.06033
  • Upperbound of 95% confidence interval for beta
    0.08724
  • Lowerbound of 95% confidence interval for alpha
    -0.02640
  • Upperbound of 95% confidence interval for alpha
    0.06981
  • Treynor index (mean / b)
    0.40427
  • Jensen alpha (a)
    0.02170
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02834
  • SD
    0.05452
  • Sharpe ratio (Glass type estimate)
    0.51977
  • Sharpe ratio (Hedges UMVUE)
    0.51944
  • df
    1182.00000
  • t
    1.10447
  • p
    0.48395
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40295
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.44227
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40317
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44205
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.75347
  • Upside Potential Ratio
    6.24307
  • Upside part of mean
    0.23482
  • Downside part of mean
    -0.20648
  • Upside SD
    0.03948
  • Downside SD
    0.03761
  • N nonnegative terms
    389.00000
  • N negative terms
    794.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1183.00000
  • Mean of predictor
    0.08559
  • Mean of criterion
    0.02834
  • SD of predictor
    0.22179
  • SD of criterion
    0.05452
  • Covariance
    0.00361
  • r
    0.29847
  • b (slope, estimate of beta)
    0.07337
  • a (intercept, estimate of alpha)
    0.02206
  • Mean Square Error
    0.00271
  • DF error
    1181.00000
  • t(b)
    10.74690
  • p(b)
    0.31285
  • t(a)
    0.90014
  • p(a)
    0.48333
  • Lowerbound of 95% confidence interval for beta
    0.05998
  • Upperbound of 95% confidence interval for beta
    0.08677
  • Lowerbound of 95% confidence interval for alpha
    -0.02602
  • Upperbound of 95% confidence interval for alpha
    0.07014
  • Treynor index (mean / b)
    0.38624
  • Jensen alpha (a)
    0.02206
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00542
  • Expected Shortfall on VaR
    0.00682
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00214
  • Expected Shortfall on VaR
    0.00457
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1183.00000
  • Minimum
    0.97816
  • Quartile 1
    0.99994
  • Median
    1.00000
  • Quartile 3
    1.00078
  • Maximum
    1.02855
  • Mean of quarter 1
    0.99714
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00013
  • Mean of quarter 4
    1.00361
  • Inter Quartile Range
    0.00083
  • Number outliers low
    167.00000
  • Percentage of outliers low
    0.14117
  • Mean of outliers low
    0.99541
  • Number of outliers high
    179.00000
  • Percentage of outliers high
    0.15131
  • Mean of outliers high
    1.00510
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45879
  • VaR(95%) (moments method)
    0.00272
  • Expected Shortfall (moments method)
    0.00628
  • Extreme Value Index (regression method)
    0.19902
  • VaR(95%) (regression method)
    0.00296
  • Expected Shortfall (regression method)
    0.00533
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    33.00000
  • Minimum
    0.00014
  • Quartile 1
    0.00134
  • Median
    0.00423
  • Quartile 3
    0.00980
  • Maximum
    0.07738
  • Mean of quarter 1
    0.00065
  • Mean of quarter 2
    0.00304
  • Mean of quarter 3
    0.00622
  • Mean of quarter 4
    0.03782
  • Inter Quartile Range
    0.00846
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    0.04544
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.28742
  • VaR(95%) (moments method)
    0.02885
  • Expected Shortfall (moments method)
    0.03626
  • Extreme Value Index (regression method)
    -0.01385
  • VaR(95%) (regression method)
    0.03963
  • Expected Shortfall (regression method)
    0.05707
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06403
  • Compounded annual return (geometric extrapolation)
    0.05786
  • Calmar ratio (compounded annual return / max draw down)
    0.74774
  • Compounded annual return / average of 25% largest draw downs
    1.52991
  • Compounded annual return / Expected Shortfall lognormal
    8.48876
  • 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
    -0.02166
  • SD
    0.01814
  • Sharpe ratio (Glass type estimate)
    -1.19358
  • Sharpe ratio (Hedges UMVUE)
    -1.18668
  • df
    130.00000
  • t
    -0.84399
  • p
    0.53691
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.96701
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58419
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.96224
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58887
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.60946
  • Upside Potential Ratio
    5.56322
  • Upside part of mean
    0.07486
  • Downside part of mean
    -0.09652
  • Upside SD
    0.01214
  • Downside SD
    0.01346
  • N nonnegative terms
    29.00000
  • N negative terms
    102.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23870
  • Mean of criterion
    -0.02166
  • SD of predictor
    0.11978
  • SD of criterion
    0.01814
  • Covariance
    0.00112
  • r
    0.51674
  • b (slope, estimate of beta)
    0.07828
  • a (intercept, estimate of alpha)
    -0.04034
  • Mean Square Error
    0.00024
  • DF error
    129.00000
  • t(b)
    6.85512
  • p(b)
    0.18633
  • t(a)
    -1.81542
  • p(a)
    0.60006
  • Lowerbound of 95% confidence interval for beta
    0.05568
  • Upperbound of 95% confidence interval for beta
    0.10087
  • Lowerbound of 95% confidence interval for alpha
    -0.08431
  • Upperbound of 95% confidence interval for alpha
    0.00362
  • Treynor index (mean / b)
    -0.27668
  • Jensen alpha (a)
    -0.04034
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02182
  • SD
    0.01815
  • Sharpe ratio (Glass type estimate)
    -1.20246
  • Sharpe ratio (Hedges UMVUE)
    -1.19551
  • df
    130.00000
  • t
    -0.85027
  • p
    0.53718
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.97582
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.57549
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.97112
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58010
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.61954
  • Upside Potential Ratio
    5.55044
  • Upside part of mean
    0.07478
  • Downside part of mean
    -0.09660
  • Upside SD
    0.01213
  • Downside SD
    0.01347
  • N nonnegative terms
    29.00000
  • N negative terms
    102.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23146
  • Mean of criterion
    -0.02182
  • SD of predictor
    0.11976
  • SD of criterion
    0.01815
  • Covariance
    0.00112
  • r
    0.51667
  • b (slope, estimate of beta)
    0.07828
  • a (intercept, estimate of alpha)
    -0.03994
  • Mean Square Error
    0.00024
  • DF error
    129.00000
  • t(b)
    6.85398
  • p(b)
    0.18636
  • t(a)
    -1.79792
  • p(a)
    0.59913
  • VAR (95 Confidence Intrvl)
    0.00500
  • Lowerbound of 95% confidence interval for beta
    0.05569
  • Upperbound of 95% confidence interval for beta
    0.10088
  • Lowerbound of 95% confidence interval for alpha
    -0.08389
  • Upperbound of 95% confidence interval for alpha
    0.00401
  • Treynor index (mean / b)
    -0.27872
  • Jensen alpha (a)
    -0.03994
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00193
  • Expected Shortfall on VaR
    0.00239
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00111
  • Expected Shortfall on VaR
    0.00214
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99634
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00005
  • Maximum
    1.00357
  • Mean of quarter 1
    0.99886
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00124
  • Inter Quartile Range
    0.00005
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.19847
  • Mean of outliers low
    0.99855
  • Number of outliers high
    29.00000
  • Percentage of outliers high
    0.22137
  • Mean of outliers high
    1.00140
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.37956
  • VaR(95%) (moments method)
    0.00164
  • Expected Shortfall (moments method)
    0.00209
  • Extreme Value Index (regression method)
    -0.58358
  • VaR(95%) (regression method)
    0.00169
  • Expected Shortfall (regression method)
    0.00203
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00156
  • Median
    0.00286
  • Quartile 3
    0.00822
  • Maximum
    0.02191
  • Mean of quarter 1
    0.00005
  • Mean of quarter 2
    0.00206
  • Mean of quarter 3
    0.00365
  • Mean of quarter 4
    0.02191
  • Inter Quartile Range
    0.00665
  • 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
    0.25000
  • Mean of outliers high
    0.02191
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -385237000
  • Max Equity Drawdown (num days)
    601
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00610
  • Compounded annual return (geometric extrapolation)
    0.00611
  • Calmar ratio (compounded annual return / max draw down)
    0.27875
  • Compounded annual return / average of 25% largest draw downs
    0.27875
  • Compounded annual return / Expected Shortfall lognormal
    2.55216

Strategy Description

4Timing Trend ML use a pattern recognition model based on a machine learning algorithm to predict all types of price movements.

The model is 100% systematic and trained on multiple financial markets and thousands of past events.

In the case of exceptional events (as was the case during the covid 19 period) the model goes into suspension.
Suspension is established through a statistical model that measures the exceptional nature of the event and is applied systematically and without discretionary intervention.

When a price rise forecast is produced, a buy order is generated and the size is weighted for historical volatility and the strength of the prediction.
The strategy has a stoploss based on voaltility which once touched closes the position which will be reopened only when there will be a new bullish forecast. We do not employ martingale strategies that increase the position in the case of a loss

All orders are long only and are generated before the opening (2/3 hours) and are at market at the opening price.

Summary Statistics

Strategy began
2019-07-31
Suggested Minimum Capital
$35,000
# Trades
166
# Profitable
98
% Profitable
59.0%
Net Dividends
Correlation S&P500
0.298
Sharpe Ratio
0.50
Sortino Ratio
0.73
Beta
0.07
Alpha
0.01
Leverage
0.50 Average
1.95 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.