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

VIX Hedged Liquid ETFs
(140774596)

Created by: FDominguez FDominguez
Started: 06/2022
Stocks
Last trade: Yesterday

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 $19.00 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.

2.3%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(11.9%)
Max Drawdown
102
Num Trades
57.8%
Win Trades
1.8 : 1
Profit Factor
62.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                   (0.3%)+3.1%+5.5%(2.2%)+0.2%+2.4%+0.1%+9.0%
2023(6.1%)                                                                  

Model Account Details

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

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

Trading Record

This strategy has placed 75 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
1/19/23 15:55 VTI VANGUARD TOTAL STOCK MARKET ET LONG 31 195.24 1/27 15:55 204.00 0%
Trade id #143273476
Max drawdown($9)
Time1/20/23 0:00
Quant open31
Worst price194.93
Drawdown as % of equity-0.00%
$271
Includes Typical Broker Commissions trade costs of $0.62
1/23/23 15:55 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 2,083 8.96 1/24 15:55 9.34 0.06%
Trade id #143309431
Max drawdown($156)
Time1/24/23 9:52
Quant open2,083
Worst price8.89
Drawdown as % of equity-0.06%
$776
Includes Typical Broker Commissions trade costs of $5.00
1/9/23 15:55 UUP INVESCO DB USD INDEX BULLISH FUND ETF LONG 724 27.64 1/24 15:55 27.53 0.05%
Trade id #143152507
Max drawdown($127)
Time1/18/23 0:00
Quant open300
Worst price27.31
Drawdown as % of equity-0.05%
($90)
Includes Typical Broker Commissions trade costs of $14.48
1/19/23 15:55 XLU UTILITIES SELECT SECTOR SPDR LONG 261 68.89 1/20 15:55 69.22 0.1%
Trade id #143273474
Max drawdown($272)
Time1/20/23 10:04
Quant open261
Worst price67.84
Drawdown as % of equity-0.10%
$83
Includes Typical Broker Commissions trade costs of $5.22
1/17/23 15:55 TIP ISHARES BARCLAYS TIPS BOND LONG 349 107.85 1/19 15:55 109.01 n/a $399
Includes Typical Broker Commissions trade costs of $6.98
12/13/22 15:55 TIP ISHARES BARCLAYS TIPS BOND LONG 763 107.86 1/9/23 15:55 107.50 0.22%
Trade id #142866456
Max drawdown($597)
Time12/30/22 0:00
Quant open352
Worst price106.28
Drawdown as % of equity-0.22%
($286)
Includes Typical Broker Commissions trade costs of $15.26
12/19/22 15:55 QQQ POWERSHARES QQQ LONG 104 268.34 1/5/23 15:55 265.24 0.22%
Trade id #142931226
Max drawdown($599)
Time12/28/22 0:00
Quant open69
Worst price259.73
Drawdown as % of equity-0.22%
($324)
Includes Typical Broker Commissions trade costs of $2.08
1/4/23 15:55 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 2,458 13.66 1/5 15:55 13.77 0.07%
Trade id #143095995
Max drawdown($196)
Time1/4/23 15:59
Quant open2,458
Worst price13.58
Drawdown as % of equity-0.07%
$253
Includes Typical Broker Commissions trade costs of $5.00
12/30/22 15:55 UUP INVESCO DB USD INDEX BULLISH FUND ETF LONG 372 27.79 1/3/23 15:55 28.11 n/a $113
Includes Typical Broker Commissions trade costs of $7.44
12/23/22 15:55 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 2,348 8.00 12/29 15:55 7.87 0.36%
Trade id #142987652
Max drawdown($978)
Time12/28/22 0:00
Quant open2,330
Worst price7.58
Drawdown as % of equity-0.36%
($319)
Includes Typical Broker Commissions trade costs of $7.68
12/16/22 15:55 SPY SPDR S&P 500 LONG 66 383.80 12/29 15:55 384.46 0.14%
Trade id #142910657
Max drawdown($377)
Time12/20/22 0:00
Quant open61
Worst price377.85
Drawdown as % of equity-0.14%
$43
Includes Typical Broker Commissions trade costs of $1.32
12/20/22 15:55 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,085 8.58 12/22 15:55 8.66 0.05%
Trade id #142945512
Max drawdown($127)
Time12/21/22 0:00
Quant open1,083
Worst price8.46
Drawdown as % of equity-0.05%
$84
Includes Typical Broker Commissions trade costs of $5.02
12/20/22 15:55 IWM ISHARES RUSSELL 2000 INDEX LONG 72 173.26 12/21 15:55 175.79 0.01%
Trade id #142945526
Max drawdown($34)
Time12/20/22 16:00
Quant open72
Worst price172.78
Drawdown as % of equity-0.01%
$181
Includes Typical Broker Commissions trade costs of $1.44
9/13/22 15:55 USMV ISHARES EDGE MSCI MIN VOL USA LONG 1,189 69.90 12/7 15:55 70.50 0.48%
Trade id #141773193
Max drawdown($1,296)
Time9/23/22 0:00
Quant open423
Worst price67.49
Drawdown as % of equity-0.48%
$688
Includes Typical Broker Commissions trade costs of $23.78
11/30/22 15:55 UNH UNITEDHEALTH GROUP LONG 60 545.55 12/5 15:55 534.87 0.32%
Trade id #142725263
Max drawdown($880)
Time12/5/22 9:30
Quant open60
Worst price530.88
Drawdown as % of equity-0.32%
($642)
Includes Typical Broker Commissions trade costs of $1.20
11/21/22 15:55 GLD SPDR GOLD SHARES LONG 125 161.86 11/25 15:55 162.55 0.01%
Trade id #142637394
Max drawdown($18)
Time11/23/22 0:00
Quant open63
Worst price161.56
Drawdown as % of equity-0.01%
$84
Includes Typical Broker Commissions trade costs of $2.50
11/21/22 15:55 TIP ISHARES BARCLAYS TIPS BOND LONG 258 106.54 11/23 15:55 107.20 0%
Trade id #142637403
Max drawdown($1)
Time11/21/22 15:58
Quant open258
Worst price106.53
Drawdown as % of equity-0.00%
$165
Includes Typical Broker Commissions trade costs of $5.16
11/14/22 15:55 UUP INVESCO DB USD INDEX BULLISH FUND ETF LONG 374 28.76 11/21 15:55 29.05 0.03%
Trade id #142561255
Max drawdown($84)
Time11/15/22 0:00
Quant open352
Worst price28.52
Drawdown as % of equity-0.03%
$102
Includes Typical Broker Commissions trade costs of $7.48
11/9/22 15:55 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,879 6.72 11/14 15:55 7.30 0.02%
Trade id #142508444
Max drawdown($56)
Time11/9/22 16:00
Quant open1,879
Worst price6.69
Drawdown as % of equity-0.02%
$1,085
Includes Typical Broker Commissions trade costs of $5.00
11/7/22 15:55 QQQ POWERSHARES QQQ LONG 70 267.32 11/14 15:55 285.57 0.11%
Trade id #142473563
Max drawdown($300)
Time11/9/22 0:00
Quant open70
Worst price263.03
Drawdown as % of equity-0.11%
$1,277
Includes Typical Broker Commissions trade costs of $1.40
11/10/22 15:55 FAZ DIREXION DAILY FINANCIAL BEAR LONG 736 17.43 11/11 15:55 16.95 0.17%
Trade id #142526209
Max drawdown($456)
Time11/11/22 14:58
Quant open736
Worst price16.81
Drawdown as % of equity-0.17%
($358)
Includes Typical Broker Commissions trade costs of $5.00
11/7/22 9:31 TIP ISHARES BARCLAYS TIPS BOND LONG 122 105.64 11/10 15:55 106.36 0.03%
Trade id #142464855
Max drawdown($69)
Time11/9/22 0:00
Quant open122
Worst price105.07
Drawdown as % of equity-0.03%
$86
Includes Typical Broker Commissions trade costs of $2.44
11/3/22 9:31 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,043 22.74 11/7 15:55 26.64 0.28%
Trade id #142423835
Max drawdown($752)
Time11/3/22 14:04
Quant open975
Worst price21.70
Drawdown as % of equity-0.28%
$4,063
Includes Typical Broker Commissions trade costs of $5.68
10/11/22 15:55 EEM ISHARES MSCI EMERGING MARKETS LONG 567 34.90 11/7 15:55 35.56 0.21%
Trade id #142129628
Max drawdown($561)
Time10/24/22 0:00
Quant open396
Worst price33.48
Drawdown as % of equity-0.21%
$360
Includes Typical Broker Commissions trade costs of $11.34
10/18/22 15:55 GLD SPDR GOLD SHARES LONG 210 153.54 11/7 15:55 154.20 0.09%
Trade id #142216818
Max drawdown($234)
Time11/3/22 0:00
Quant open79
Worst price150.57
Drawdown as % of equity-0.09%
$135
Includes Typical Broker Commissions trade costs of $4.20
10/26/22 15:55 UUP INVESCO DB USD INDEX BULLISH FUND ETF LONG 491 29.50 11/7 9:31 29.71 0%
Trade id #142333106
Max drawdown($4)
Time10/26/22 15:58
Quant open490
Worst price29.49
Drawdown as % of equity-0.00%
$95
Includes Typical Broker Commissions trade costs of $9.82
10/24/22 15:55 FAZ DIREXION DAILY FINANCIAL BEAR LONG 1,225 22.11 11/3 9:31 21.13 0.94%
Trade id #142292067
Max drawdown($2,501)
Time11/2/22 0:00
Quant open902
Worst price19.34
Drawdown as % of equity-0.94%
($1,223)
Includes Typical Broker Commissions trade costs of $17.93
9/15/22 15:55 XLU UTILITIES SELECT SECTOR SPDR LONG 1,344 67.62 10/28 15:55 66.77 1.21%
Trade id #141821759
Max drawdown($3,244)
Time10/13/22 0:00
Quant open398
Worst price60.35
Drawdown as % of equity-1.21%
($1,173)
Includes Typical Broker Commissions trade costs of $26.88
10/18/22 15:55 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 4,396 6.68 10/25 15:53 6.54 0.86%
Trade id #142216824
Max drawdown($2,314)
Time10/24/22 0:00
Quant open4,396
Worst price6.15
Drawdown as % of equity-0.86%
($589)
Includes Typical Broker Commissions trade costs of $10.00
10/13/22 15:55 QQQ POWERSHARES QQQ LONG 61 269.18 10/20 15:55 267.87 0.21%
Trade id #142163382
Max drawdown($551)
Time10/14/22 0:00
Quant open61
Worst price260.14
Drawdown as % of equity-0.21%
($81)
Includes Typical Broker Commissions trade costs of $1.22

Statistics

  • Strategy began
    6/15/2022
  • Suggested Minimum Cap
    $45,000
  • Strategy Age (days)
    230.57
  • Age
    8 months ago
  • What it trades
    Stocks
  • # Trades
    102
  • # Profitable
    59
  • % Profitable
    57.80%
  • Avg trade duration
    10.3 days
  • Max peak-to-valley drawdown
    11.86%
  • drawdown period
    July 07, 2022 - July 13, 2022
  • Cumul. Return
    2.3%
  • Avg win
    $935.71
  • Avg loss
    $738.21
  • Model Account Values (Raw)
  • Cash
    $155,926
  • Margin Used
    $0
  • Buying Power
    $134,209
  • Ratios
  • W:L ratio
    1.79:1
  • Sharpe Ratio
    0.19
  • Sortino Ratio
    0.29
  • Calmar Ratio
    0.644
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -5.25%
  • Correlation to SP500
    0.16130
  • Return Percent SP500 (cumu) during strategy life
    7.56%
  • Return Statistics
  • Ann Return (w trading costs)
    3.6%
  • Slump
  • Current Slump as Pcnt Equity
    8.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.69%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.023%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    53.50%
  • Chance of 20% account loss
    12.00%
  • 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
    98.80%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    719
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    287
  • Popularity (7 days, Percentile 1000 scale)
    478
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,147
  • Avg Win
    $938
  • Sum Trade PL (losers)
    $49,325.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $55,370.000
  • # Winners
    59
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    869
  • Win / Loss
  • # Losers
    43
  • % Winners
    57.8%
  • Frequency
  • Avg Position Time (mins)
    14827.50
  • Avg Position Time (hrs)
    247.12
  • Avg Trade Length
    10.3 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    0.46
  • Daily leverage (max)
    1.26
  • Regression
  • Alpha
    0.00
  • Beta
    0.07
  • Treynor Index
    0.09
  • 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)
    -0.40
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -18.058
  • 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
    0.467
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.512
  • Hold-and-Hope Ratio
    0.041
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06428
  • SD
    0.08905
  • Sharpe ratio (Glass type estimate)
    0.72182
  • Sharpe ratio (Hedges UMVUE)
    0.62699
  • df
    6.00000
  • t
    0.55130
  • p
    0.30067
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.90383
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.29033
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.96361
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.21759
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.30241
  • Upside Potential Ratio
    3.03933
  • Upside part of mean
    0.15000
  • Downside part of mean
    -0.08572
  • Upside SD
    0.06860
  • Downside SD
    0.04935
  • N nonnegative terms
    4.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.10042
  • Mean of criterion
    0.06428
  • SD of predictor
    0.29124
  • SD of criterion
    0.08905
  • Covariance
    0.01176
  • r
    0.45337
  • b (slope, estimate of beta)
    0.13863
  • a (intercept, estimate of alpha)
    0.05036
  • Mean Square Error
    0.00756
  • DF error
    5.00000
  • t(b)
    1.13739
  • p(b)
    0.15346
  • t(a)
    0.43981
  • p(a)
    0.33922
  • Lowerbound of 95% confidence interval for beta
    -0.17469
  • Upperbound of 95% confidence interval for beta
    0.45195
  • Lowerbound of 95% confidence interval for alpha
    -0.24398
  • Upperbound of 95% confidence interval for alpha
    0.34470
  • Treynor index (mean / b)
    0.46368
  • Jensen alpha (a)
    0.05036
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06061
  • SD
    0.08847
  • Sharpe ratio (Glass type estimate)
    0.68509
  • Sharpe ratio (Hedges UMVUE)
    0.59509
  • df
    6.00000
  • t
    0.52324
  • p
    0.30978
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.93612
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.25192
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.99310
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.18327
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.20989
  • Upside Potential Ratio
    2.94196
  • Upside part of mean
    0.14737
  • Downside part of mean
    -0.08676
  • Upside SD
    0.06712
  • Downside SD
    0.05009
  • N nonnegative terms
    4.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.06416
  • Mean of criterion
    0.06061
  • SD of predictor
    0.28837
  • SD of criterion
    0.08847
  • Covariance
    0.01097
  • r
    0.43015
  • b (slope, estimate of beta)
    0.13196
  • a (intercept, estimate of alpha)
    0.05214
  • Mean Square Error
    0.00765
  • DF error
    5.00000
  • t(b)
    1.06544
  • p(b)
    0.16770
  • t(a)
    0.45410
  • p(a)
    0.33439
  • Lowerbound of 95% confidence interval for beta
    -0.18643
  • Upperbound of 95% confidence interval for beta
    0.45035
  • Lowerbound of 95% confidence interval for alpha
    -0.24303
  • Upperbound of 95% confidence interval for alpha
    0.34731
  • Treynor index (mean / b)
    0.45928
  • Jensen alpha (a)
    0.05214
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03628
  • Expected Shortfall on VaR
    0.04647
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01496
  • Expected Shortfall on VaR
    0.02954
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.96620
  • Quartile 1
    0.99539
  • Median
    1.01267
  • Quartile 3
    1.01762
  • Maximum
    1.04890
  • Mean of quarter 1
    0.97923
  • Mean of quarter 2
    1.00559
  • Mean of quarter 3
    1.01685
  • Mean of quarter 4
    1.03365
  • Inter Quartile Range
    0.02223
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00774
  • Quartile 1
    0.01461
  • Median
    0.02149
  • Quartile 3
    0.02836
  • Maximum
    0.03523
  • Mean of quarter 1
    0.00774
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03523
  • Inter Quartile Range
    0.01375
  • 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)
    0.09084
  • Compounded annual return (geometric extrapolation)
    0.09255
  • Calmar ratio (compounded annual return / max draw down)
    2.62693
  • Compounded annual return / average of 25% largest draw downs
    2.62693
  • Compounded annual return / Expected Shortfall lognormal
    1.99169
  • 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
    0.01981
  • SD
    0.09036
  • Sharpe ratio (Glass type estimate)
    0.21922
  • Sharpe ratio (Hedges UMVUE)
    0.21821
  • df
    163.00000
  • t
    0.17344
  • p
    0.49135
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.25847
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.69634
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.25919
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.69561
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.32180
  • Upside Potential Ratio
    8.18065
  • Upside part of mean
    0.50356
  • Downside part of mean
    -0.48375
  • Upside SD
    0.06578
  • Downside SD
    0.06155
  • N nonnegative terms
    71.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    164.00000
  • Mean of predictor
    0.11441
  • Mean of criterion
    0.01981
  • SD of predictor
    0.22833
  • SD of criterion
    0.09036
  • Covariance
    0.00327
  • r
    0.15872
  • b (slope, estimate of beta)
    0.06281
  • a (intercept, estimate of alpha)
    0.01300
  • Mean Square Error
    0.00801
  • DF error
    162.00000
  • t(b)
    2.04609
  • p(b)
    0.42064
  • t(a)
    0.11154
  • p(a)
    0.49562
  • Lowerbound of 95% confidence interval for beta
    0.00219
  • Upperbound of 95% confidence interval for beta
    0.12343
  • Lowerbound of 95% confidence interval for alpha
    -0.21084
  • Upperbound of 95% confidence interval for alpha
    0.23608
  • Treynor index (mean / b)
    0.31537
  • Jensen alpha (a)
    0.01262
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01575
  • SD
    0.09036
  • Sharpe ratio (Glass type estimate)
    0.17428
  • Sharpe ratio (Hedges UMVUE)
    0.17348
  • df
    163.00000
  • t
    0.13789
  • p
    0.49312
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.30327
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.65145
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.30388
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.65084
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.25399
  • Upside Potential Ratio
    8.08603
  • Upside part of mean
    0.50136
  • Downside part of mean
    -0.48561
  • Upside SD
    0.06536
  • Downside SD
    0.06200
  • N nonnegative terms
    71.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    164.00000
  • Mean of predictor
    0.08856
  • Mean of criterion
    0.01575
  • SD of predictor
    0.22782
  • SD of criterion
    0.09036
  • Covariance
    0.00326
  • r
    0.15816
  • b (slope, estimate of beta)
    0.06273
  • a (intercept, estimate of alpha)
    0.01019
  • Mean Square Error
    0.00801
  • DF error
    162.00000
  • t(b)
    2.03875
  • p(b)
    0.42092
  • t(a)
    0.09008
  • p(a)
    0.49646
  • Lowerbound of 95% confidence interval for beta
    0.00197
  • Upperbound of 95% confidence interval for beta
    0.12350
  • Lowerbound of 95% confidence interval for alpha
    -0.21326
  • Upperbound of 95% confidence interval for alpha
    0.23364
  • Treynor index (mean / b)
    0.25104
  • Jensen alpha (a)
    0.01019
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00908
  • Expected Shortfall on VaR
    0.01139
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00460
  • Expected Shortfall on VaR
    0.00887
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    164.00000
  • Minimum
    0.97206
  • Quartile 1
    0.99765
  • Median
    0.99978
  • Quartile 3
    1.00258
  • Maximum
    1.02510
  • Mean of quarter 1
    0.99404
  • Mean of quarter 2
    0.99883
  • Mean of quarter 3
    1.00096
  • Mean of quarter 4
    1.00690
  • Inter Quartile Range
    0.00494
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.02439
  • Mean of outliers low
    0.98429
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.04268
  • Mean of outliers high
    1.01380
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17113
  • VaR(95%) (moments method)
    0.00578
  • Expected Shortfall (moments method)
    0.00868
  • Extreme Value Index (regression method)
    0.25113
  • VaR(95%) (regression method)
    0.00514
  • Expected Shortfall (regression method)
    0.00786
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00954
  • Quartile 1
    0.02034
  • Median
    0.02846
  • Quartile 3
    0.03078
  • Maximum
    0.06934
  • Mean of quarter 1
    0.01494
  • Mean of quarter 2
    0.02846
  • Mean of quarter 3
    0.03078
  • Mean of quarter 4
    0.06934
  • Inter Quartile Range
    0.01044
  • 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
    0.20000
  • Mean of outliers high
    0.06934
  • 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)
    0.04426
  • Compounded annual return (geometric extrapolation)
    0.04462
  • Calmar ratio (compounded annual return / max draw down)
    0.64357
  • Compounded annual return / average of 25% largest draw downs
    0.64357
  • Compounded annual return / Expected Shortfall lognormal
    3.91847
  • 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
    -0.00834
  • SD
    0.07293
  • Sharpe ratio (Glass type estimate)
    -0.11441
  • Sharpe ratio (Hedges UMVUE)
    -0.11375
  • df
    130.00000
  • t
    -0.08090
  • p
    0.50355
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.88613
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.65755
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.88559
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.65809
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.17172
  • Upside Potential Ratio
    8.59930
  • Upside part of mean
    0.41789
  • Downside part of mean
    -0.42623
  • Upside SD
    0.05401
  • Downside SD
    0.04860
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02239
  • Mean of criterion
    -0.00834
  • SD of predictor
    0.22939
  • SD of criterion
    0.07293
  • Covariance
    0.00261
  • r
    0.15604
  • b (slope, estimate of beta)
    0.04961
  • a (intercept, estimate of alpha)
    -0.00723
  • Mean Square Error
    0.00523
  • DF error
    129.00000
  • t(b)
    1.79430
  • p(b)
    0.40106
  • t(a)
    -0.07073
  • p(a)
    0.50396
  • Lowerbound of 95% confidence interval for beta
    -0.00509
  • Upperbound of 95% confidence interval for beta
    0.10432
  • Lowerbound of 95% confidence interval for alpha
    -0.20959
  • Upperbound of 95% confidence interval for alpha
    0.19512
  • Treynor index (mean / b)
    -0.16819
  • Jensen alpha (a)
    -0.00723
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01098
  • SD
    0.07288
  • Sharpe ratio (Glass type estimate)
    -0.15067
  • Sharpe ratio (Hedges UMVUE)
    -0.14980
  • df
    130.00000
  • t
    -0.10654
  • p
    0.50467
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.92229
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62144
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.92166
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62207
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.22508
  • Upside Potential Ratio
    8.53524
  • Upside part of mean
    0.41640
  • Downside part of mean
    -0.42738
  • Upside SD
    0.05377
  • Downside SD
    0.04879
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.04842
  • Mean of criterion
    -0.01098
  • SD of predictor
    0.22889
  • SD of criterion
    0.07288
  • Covariance
    0.00260
  • r
    0.15566
  • b (slope, estimate of beta)
    0.04956
  • a (intercept, estimate of alpha)
    -0.00858
  • Mean Square Error
    0.00522
  • DF error
    129.00000
  • t(b)
    1.78977
  • p(b)
    0.40131
  • t(a)
    -0.08395
  • p(a)
    0.50470
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    -0.00523
  • Upperbound of 95% confidence interval for beta
    0.10435
  • Lowerbound of 95% confidence interval for alpha
    -0.21081
  • Upperbound of 95% confidence interval for alpha
    0.19365
  • Treynor index (mean / b)
    -0.22154
  • Jensen alpha (a)
    -0.00858
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00742
  • Expected Shortfall on VaR
    0.00928
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00419
  • Expected Shortfall on VaR
    0.00754
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98599
  • Quartile 1
    0.99779
  • Median
    0.99972
  • Quartile 3
    1.00256
  • Maximum
    1.01270
  • Mean of quarter 1
    0.99499
  • Mean of quarter 2
    0.99885
  • Mean of quarter 3
    1.00066
  • Mean of quarter 4
    1.00583
  • Inter Quartile Range
    0.00477
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.98746
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.01146
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01321
  • VaR(95%) (moments method)
    0.00477
  • Expected Shortfall (moments method)
    0.00641
  • Extreme Value Index (regression method)
    -0.08500
  • VaR(95%) (regression method)
    0.00459
  • Expected Shortfall (regression method)
    0.00585
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00417
  • Quartile 1
    0.00686
  • Median
    0.00954
  • Quartile 3
    0.03944
  • Maximum
    0.06934
  • Mean of quarter 1
    0.00417
  • Mean of quarter 2
    0.00954
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06934
  • Inter Quartile Range
    0.03258
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -318293000
  • Max Equity Drawdown (num days)
    6
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01700
  • Compounded annual return (geometric extrapolation)
    0.01707
  • Calmar ratio (compounded annual return / max draw down)
    0.24620
  • Compounded annual return / average of 25% largest draw downs
    0.24620
  • Compounded annual return / Expected Shortfall lognormal
    1.83860

Strategy Description

Summary Statistics

Strategy began
2022-06-15
Suggested Minimum Capital
$45,000
# Trades
102
# Profitable
59
% Profitable
57.8%
Net Dividends
Correlation S&P500
0.161
Sharpe Ratio
0.19
Sortino Ratio
0.29
Beta
0.07
Alpha
0.00
Leverage
0.46 Average
1.26 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.