This system has earned TradesOwnStrategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details
Certification process started
09/21/2020
Most recent certification approved
9/21/20 9:56 ET
Trades at broker
Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used
100%
# trading signals issued by system since certification
334
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account
334
Percent signals followed since 09/21/2020
100%
This information was last updated
11/28/21 1:25 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account,
the trading results presented on this Web site must still be regarded as purely hypothetical results.
This is because (among other reasons) the system developer may not have traded all signals,
particularly those that occurred before 09/21/2020,
and the system developer's results may not match the system results presented here. In addition,
not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
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
underor overcompensated 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.
You may be interested to learn more technical details about
how Collective2 calculates the hypothetical results you see on this web site.
Patience is a Virtue
(123937705)
This system has earned TradesOwnStrategy (TOS) Certification. This means that the manager of this system trades his own strategy in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details  

Certification process started  09/21/2020 
Most recent certification approved  9/21/20 9:56 ET 
Trades at broker  Interactive Brokers (Stocks, Options, Futures) 
Scaling percentage used  100% 
# trading signals issued by system since certification  334 
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account  334 
Percent signals followed since 09/21/2020  100% 
This information was last updated  11/28/21 1:25 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 09/21/2020, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
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 underor overcompensated 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.
You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.
Subscription terms. Subscriptions to this system cost $125.00 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.
Trendfollowing
Tries to take advantage of long, medium or shortterm moves that seem to play out in various markets. Typically, trendfollowing analysis is backward looking; that is, it attempts to recognize and profit from alreadyestablished trends.Sector Rotation
Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2019  +17.0%  (0.7%)  +3.3%  (8%)  +1.5%  +0.7%  +7.2%  +20.7%  
2020  +9.5%  +9.4%  +30.2%  +8.5%  (0.8%)  +4.3%  +15.4%  +18.4%  (17.7%)  +5.8%  +20.4%  +15.5%  +189.8% 
2021  (1.1%)  +7.9%  +7.4%  +7.2%  (6.8%)  +2.3%  +2.9%  +9.1%  (12.1%)  +15.3%  (2%)  +30.7% 
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.
Started  $37,500  
Buy Power  $65,251  
Cash  $1  
Equity  $1  
Cumulative $  $139,655  
Includes dividends and cashsettled expirations:  $179  Itemized 
Total System Equity  $177,155  
Margined  $1  
Open P/L  $44,864  
Data has been delayed by 168 hours for nonsubscribers 
System developer has asked us to delay this information by 168 hours.
Trading Record
Statistics

Strategy began6/4/2019

Suggested Minimum Cap$15,000

Strategy Age (days)907.46

Age30 months ago

What it tradesStocks

# Trades79

# Profitable44

% Profitable55.70%

Avg trade duration61.1 days

Max peaktovalley drawdown26.26%

drawdown periodSept 03, 2020  Sept 23, 2020

Annual Return (Compounded)83.9%

Avg win$3,959

Avg loss$993.00
 Model Account Values (Raw)

Cash$51,663

Margin Used$0

Buying Power$65,251
 Ratios

W:L ratio5.02:1

Sharpe Ratio1.76

Sortino Ratio2.64

Calmar Ratio3.683
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)293.30%

Correlation to SP5000.12830

Return Percent SP500 (cumu) during strategy life63.90%
 Return Statistics

Ann Return (w trading costs)83.9%
 Slump

Current Slump as Pcnt Equity8.80%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.01%
 Return Statistics

Return Pcnt Since TOS Status143.940%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.839%
 Instruments

Percent Trades Options0.05%

Percent Trades Stocks0.95%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)86.6%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss27.50%

Chance of 20% account loss6.50%

Chance of 30% account lossn/a

Chance of 40% account lossn/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 Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)968

Popularity (Last 6 weeks)993
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score988

Popularity (7 days, Percentile 1000 scale)987
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$993

Avg Win$3,960

Sum Trade PL (losers)$34,755.000
 AUM

AUM (AutoTrader num accounts)35
 Age

Num Months filled monthly returns table30
 Win / Loss

Sum Trade PL (winners)$174,230.000

# Winners44

Num Months Winners22
 Dividends

Dividends Received in Model Acct180
 AUM

AUM (AutoTrader live capital)7091470
 Win / Loss

# Losers35

% Winners55.7%
 Frequency

Avg Position Time (mins)88050.20

Avg Position Time (hrs)1467.50

Avg Trade Length61.1 days

Last Trade Ago2
 Leverage

Daily leverage (average)1.61

Daily leverage (max)2.55
 Regression

Alpha0.17

Beta0.16

Treynor Index1.08
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.30

MAE:Equity, average, winning trades0.01

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  All trades0.653

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 strat0.01

Avg(MAE) / Avg(PL)  Winning trades0.212

Avg(MAE) / Avg(PL)  Losing trades1.371

HoldandHope Ratio1.577
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.69548

SD0.30975

Sharpe ratio (Glass type estimate)2.24528

Sharpe ratio (Hedges UMVUE)2.18451

df28.00000

t3.49044

p0.00081

Lowerbound of 95% confidence interval for Sharpe Ratio0.83872

Upperbound of 95% confidence interval for Sharpe Ratio3.61883

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.79998

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.56904
 Statistics related to Sortino ratio

Sortino ratio6.86433

Upside Potential Ratio8.36695

Upside part of mean0.84773

Downside part of mean0.15224

Upside SD0.35026

Downside SD0.10132

N nonnegative terms21.00000

N negative terms8.00000
 Statistics related to linear regression on benchmark

N of observations29.00000

Mean of predictor0.20054

Mean of criterion0.69548

SD of predictor0.18506

SD of criterion0.30975

Covariance0.00124

r0.02160

b (slope, estimate of beta)0.03615

a (intercept, estimate of alpha)0.68823

Mean Square Error0.09945

DF error27.00000

t(b)0.11225

p(b)0.45573

t(a)3.23274

p(a)0.00161

Lowerbound of 95% confidence interval for beta0.62463

Upperbound of 95% confidence interval for beta0.69693

Lowerbound of 95% confidence interval for alpha0.25141

Upperbound of 95% confidence interval for alpha1.12506

Treynor index (mean / b)19.23920

Jensen alpha (a)0.68823
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.63337

SD0.29212

Sharpe ratio (Glass type estimate)2.16819

Sharpe ratio (Hedges UMVUE)2.10950

df28.00000

t3.37058

p0.00110

Lowerbound of 95% confidence interval for Sharpe Ratio0.77038

Upperbound of 95% confidence interval for Sharpe Ratio3.53375

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.73297

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.48602
 Statistics related to Sortino ratio

Sortino ratio5.99884

Upside Potential Ratio7.48872

Upside part of mean0.79067

Downside part of mean0.15730

Upside SD0.32353

Downside SD0.10558

N nonnegative terms21.00000

N negative terms8.00000
 Statistics related to linear regression on benchmark

N of observations29.00000

Mean of predictor0.18144

Mean of criterion0.63337

SD of predictor0.19079

SD of criterion0.29212

Covariance0.00083

r0.01485

b (slope, estimate of beta)0.02274

a (intercept, estimate of alpha)0.62924

Mean Square Error0.08847

DF error27.00000

t(b)0.07718

p(b)0.46952

t(a)3.16735

p(a)0.00190

Lowerbound of 95% confidence interval for beta0.58178

Upperbound of 95% confidence interval for beta0.62726

Lowerbound of 95% confidence interval for alpha0.22162

Upperbound of 95% confidence interval for alpha1.03687

Treynor index (mean / b)27.85190

Jensen alpha (a)0.62924
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.08234

Expected Shortfall on VaR0.11368
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01886

Expected Shortfall on VaR0.04331
 ORDER STATISTICS
 Quartiles of return rates

Number of observations29.00000

Minimum0.89565

Quartile 10.99362

Median1.04453

Quartile 31.13833

Maximum1.21850

Mean of quarter 10.95634

Mean of quarter 21.02532

Mean of quarter 31.09442

Mean of quarter 41.17992

Inter Quartile Range0.14471

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)2.28931

VaR(95%) (moments method)0.02292

Expected Shortfall (moments method)0.02324

Extreme Value Index (regression method)0.38196

VaR(95%) (regression method)0.06013

Expected Shortfall (regression method)0.07673
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations5.00000

Minimum0.01571

Quartile 10.03047

Median0.07491

Quartile 30.08315

Maximum0.10435

Mean of quarter 10.02309

Mean of quarter 20.07491

Mean of quarter 30.08315

Mean of quarter 40.10435

Inter Quartile Range0.05267

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)1.63181

Compounded annual return (geometric extrapolation)0.93726

Calmar ratio (compounded annual return / max draw down)8.98205

Compounded annual return / average of 25% largest draw downs8.98205

Compounded annual return / Expected Shortfall lognormal8.24461

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.64891

SD0.29049

Sharpe ratio (Glass type estimate)2.23386

Sharpe ratio (Hedges UMVUE)2.23125

df643.00000

t3.50225

p0.00025

Lowerbound of 95% confidence interval for Sharpe Ratio0.97694

Upperbound of 95% confidence interval for Sharpe Ratio3.48910

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.97518

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.48731
 Statistics related to Sortino ratio

Sortino ratio3.35777

Upside Potential Ratio10.42090

Upside part of mean2.01392

Downside part of mean1.36500

Upside SD0.22026

Downside SD0.19326

N nonnegative terms386.00000

N negative terms258.00000
 Statistics related to linear regression on benchmark

N of observations644.00000

Mean of predictor0.20210

Mean of criterion0.64891

SD of predictor0.23965

SD of criterion0.29049

Covariance0.00962

r0.13817

b (slope, estimate of beta)0.16749

a (intercept, estimate of alpha)0.61500

Mean Square Error0.08290

DF error642.00000

t(b)3.53493

p(b)0.00022

t(a)3.34456

p(a)0.00044

Lowerbound of 95% confidence interval for beta0.07445

Upperbound of 95% confidence interval for beta0.26053

Lowerbound of 95% confidence interval for alpha0.25395

Upperbound of 95% confidence interval for alpha0.97618

Treynor index (mean / b)3.87438

Jensen alpha (a)0.61506
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.60598

SD0.29056

Sharpe ratio (Glass type estimate)2.08560

Sharpe ratio (Hedges UMVUE)2.08317

df643.00000

t3.26982

p0.00057

Lowerbound of 95% confidence interval for Sharpe Ratio0.82950

Upperbound of 95% confidence interval for Sharpe Ratio3.34013

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.82786

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.33847
 Statistics related to Sortino ratio

Sortino ratio3.07391

Upside Potential Ratio10.09460

Upside part of mean1.99001

Downside part of mean1.38403

Upside SD0.21640

Downside SD0.19714

N nonnegative terms386.00000

N negative terms258.00000
 Statistics related to linear regression on benchmark

N of observations644.00000

Mean of predictor0.17311

Mean of criterion0.60598

SD of predictor0.24123

SD of criterion0.29056

Covariance0.00983

r0.14029

b (slope, estimate of beta)0.16898

a (intercept, estimate of alpha)0.57673

Mean Square Error0.08289

DF error642.00000

t(b)3.59017

p(b)0.00018

t(a)3.13754

p(a)0.00089

Lowerbound of 95% confidence interval for beta0.07655

Upperbound of 95% confidence interval for beta0.26140

Lowerbound of 95% confidence interval for alpha0.21578

Upperbound of 95% confidence interval for alpha0.93768

Treynor index (mean / b)3.58619

Jensen alpha (a)0.57673
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02685

Expected Shortfall on VaR0.03410
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01023

Expected Shortfall on VaR0.02178
 ORDER STATISTICS
 Quartiles of return rates

Number of observations644.00000

Minimum0.93610

Quartile 10.99410

Median1.00292

Quartile 31.01133

Maximum1.09412

Mean of quarter 10.98091

Mean of quarter 20.99906

Mean of quarter 31.00694

Mean of quarter 41.02343

Inter Quartile Range0.01723

Number outliers low27.00000

Percentage of outliers low0.04193

Mean of outliers low0.95359

Number of outliers high21.00000

Percentage of outliers high0.03261

Mean of outliers high1.04748
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.35576

VaR(95%) (moments method)0.01812

Expected Shortfall (moments method)0.03363

Extreme Value Index (regression method)0.00997

VaR(95%) (regression method)0.01854

Expected Shortfall (regression method)0.02626
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations50.00000

Minimum0.00005

Quartile 10.00774

Median0.01789

Quartile 30.04462

Maximum0.24030

Mean of quarter 10.00327

Mean of quarter 20.01232

Mean of quarter 30.03243

Mean of quarter 40.10207

Inter Quartile Range0.03688

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high6.00000

Percentage of outliers high0.12000

Mean of outliers high0.15552
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.33414

VaR(95%) (moments method)0.11164

Expected Shortfall (moments method)0.19402

Extreme Value Index (regression method)0.23801

VaR(95%) (regression method)0.10264

Expected Shortfall (regression method)0.15898
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.52555

Compounded annual return (geometric extrapolation)0.88493

Calmar ratio (compounded annual return / max draw down)3.68258

Compounded annual return / average of 25% largest draw downs8.66947

Compounded annual return / Expected Shortfall lognormal25.95330

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

Mean0.25960

SD0.24169

Sharpe ratio (Glass type estimate)1.07414

Sharpe ratio (Hedges UMVUE)1.06793

df130.00000

t0.75953

p0.46677

Lowerbound of 95% confidence interval for Sharpe Ratio1.70280

Upperbound of 95% confidence interval for Sharpe Ratio3.84697

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.70691

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.84277
 Statistics related to Sortino ratio

Sortino ratio1.39183

Upside Potential Ratio8.04976

Upside part of mean1.50145

Downside part of mean1.24184

Upside SD0.15308

Downside SD0.18652

N nonnegative terms83.00000

N negative terms48.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.15696

Mean of criterion0.25960

SD of predictor0.10630

SD of criterion0.24169

Covariance0.02063

r0.80318

b (slope, estimate of beta)1.82620

a (intercept, estimate of alpha)0.02703

Mean Square Error0.02089

DF error129.00000

t(b)15.31280

p(b)0.05083

t(a)0.13168

p(a)0.50738

Lowerbound of 95% confidence interval for beta1.59024

Upperbound of 95% confidence interval for beta2.06216

Lowerbound of 95% confidence interval for alpha0.43315

Upperbound of 95% confidence interval for alpha0.37909

Treynor index (mean / b)0.14216

Jensen alpha (a)0.02703
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.23014

SD0.24387

Sharpe ratio (Glass type estimate)0.94370

Sharpe ratio (Hedges UMVUE)0.93825

df130.00000

t0.66730

p0.47079

Lowerbound of 95% confidence interval for Sharpe Ratio1.83217

Upperbound of 95% confidence interval for Sharpe Ratio3.71607

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.83590

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.71240
 Statistics related to Sortino ratio

Sortino ratio1.20836

Upside Potential Ratio7.82191

Upside part of mean1.48973

Downside part of mean1.25959

Upside SD0.15148

Downside SD0.19046

N nonnegative terms83.00000

N negative terms48.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.15128

Mean of criterion0.23014

SD of predictor0.10647

SD of criterion0.24387

Covariance0.02086

r0.80326

b (slope, estimate of beta)1.83995

a (intercept, estimate of alpha)0.04820

Mean Square Error0.02126

DF error129.00000

t(b)15.31690

p(b)0.05080

t(a)0.23284

p(a)0.51305

VAR (95 Confidence Intrvl)0.02700

Lowerbound of 95% confidence interval for beta1.60228

Upperbound of 95% confidence interval for beta2.07762

Lowerbound of 95% confidence interval for alpha0.45779

Upperbound of 95% confidence interval for alpha0.36139

Treynor index (mean / b)0.12508

Jensen alpha (a)0.04820
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02362

Expected Shortfall on VaR0.02973
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00867

Expected Shortfall on VaR0.01915
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.94022

Quartile 10.99510

Median1.00282

Quartile 31.00866

Maximum1.03894

Mean of quarter 10.98227

Mean of quarter 20.99992

Mean of quarter 31.00564

Mean of quarter 41.01669

Inter Quartile Range0.01357

Number outliers low5.00000

Percentage of outliers low0.03817

Mean of outliers low0.95195

Number of outliers high2.00000

Percentage of outliers high0.01527

Mean of outliers high1.03612
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.42535

VaR(95%) (moments method)0.01710

Expected Shortfall (moments method)0.03487

Extreme Value Index (regression method)0.25626

VaR(95%) (regression method)0.01418

Expected Shortfall (regression method)0.02322
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations12.00000

Minimum0.00060

Quartile 10.00996

Median0.01933

Quartile 30.05655

Maximum0.13235

Mean of quarter 10.00343

Mean of quarter 20.01409

Mean of quarter 30.04099

Mean of quarter 40.08963

Inter Quartile Range0.04658

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.08333

Mean of outliers high0.13235
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.88735

VaR(95%) (moments method)0.10345

Expected Shortfall (moments method)0.11427

Extreme Value Index (regression method)0.65243

VaR(95%) (regression method)0.13034

Last 4 Months  Pcnt Negative0.50%

Expected Shortfall (regression method)0.34102

Strat Max DD how much worse than SP500 max DD during strat life?287351000

Max Equity Drawdown (num days)20
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.27543

Compounded annual return (geometric extrapolation)0.29440

Calmar ratio (compounded annual return / max draw down)2.22436

Compounded annual return / average of 25% largest draw downs3.28443

Compounded annual return / Expected Shortfall lognormal9.90165
Strategy Description
I put my own money into the same trades as my subscribers – as shown by my TOS badge! However, you should consider that this strategy is very risky and volatile especially on a daily time frame. For example, September 3rd, 2020 it dropped by almost 11% in a single day.
I use an IRA to run the strategy. It works well for retirement accounts and taxable accounts in my experience.
Patience is a Virtue uses many different indicator and timing components. I believe it is well suited to do very well in the long term. While some components of this strategy are based on things I have been personally doing since 2017, it wasn't until February 2019 that I had a really good vision for this algorithm and what to do. I did some backtesting from 2004 to Feb 2019 and saw very promising results. As we all know backtests can easily be misleading or wrong. So, in February 2019 I took a small sum of money and started forward testing it. Then in June 2019 I reran my backtests to cover the period of 2004 through early June 2019. For the time period of February 2019 to early June 2019 I now had backtest and real results to compare. I found them to be very similar.
Then in June 2019 I started investing much more of my money using these this strategy and similar offshoots. From June 2019 until November 2020 I did live trading as you can see from my track record. If I do backtests over the same period of June 2019 to November 2020 the real results and backtest results are remarkably similar. Because the real results and the backtest results for that period seem to match, I believe my longerterm backtests have merit.
Of course, the future could be vastly different, but I believe my system is based on long term market tenencies that are unlikely to end without a truly seismic shift in the way people invest. A few of the indicators have been tested back as far as the great depression and they seem to have worked in most years since. Unfortunately, only a some of my indicators can be tested that far back. Most can only be backtested to over the last couple decades. Please know that backtests don't guarantee good results in the future even if the backtests were done correctly. My most recent backtest results can be found here, but please take them in context:
https://forums.collective2.com/t/backtestresultsforpatienceisavirtue/14518
I use a mix of short, medium, and longterm signals to algorithmically determine entry and exit timing for this strategy. I mostly buy things that have a longterm history of going up in value. That way even if my timing is off, I have a decent chance of doing well over the long term. On rare occasions like March of 2020, I do buy some things that historically go down in value but serve as good investments in times of trouble. For example, in March of 2020 I did buy TVIX which has a longterm history of going down in value overtime but does great in times of turmoil. That is about the only thing I buy that I would consider a depreciating asset. I don't ever plan to short appreciating assets in this portfolio.
One of the main ways I try to reduce drawdowns is by being diversified. This forum post has some good information about the different assets I trade and how my strategy has done compared to them.
https://forums.collective2.com/t/diversificationofpatienceisavirtue/14609/2
I try to always keep stops. If there ever isn't one in place it is an error. However, because I use BrokerTransmit (AKA my strategy literally just copies my real brokerage account) you are not able to see orders until they become active. So, you cannot see a stop order until it gets triggered and becomes a live market sell order. My stops are usually very far from the current price and very rarely are the way in which I exit a trade. Typically they are placed at 35% below the previous close, but are raised or lowered at the close of each day. Yes typically the stop is only triggered if something drops by about 35% in one day. They are only there for if something truly crazy happens like a 20% drop in SPY in one day, with no indicators predicting it. Also, I set these as trailing stops so that if I died and my computer systems weren’t maintained the system would slowly chug along with stops that continued to lock in profits until all positions were exited.
Though this strategy previously did take some options trades and may do so in the future. I do not currently have any plans to use options in this account.
This is a link to a forum post showing how to add trading permissions for Interactive Brokers that are needed to follow this strategy. Options are not currently necessary. In order to trade penny stocks IB may require that you set up their app IBKR mobile as your two factor authentication device before enabling or requesting Penny Stock trading permissions. At this time the only penny stock in this account that I intend to trade is GBTC and ETHE until cryptocurrency ETFs become available in the US. https://forums.collective2.com/t/enablegbtcleveragedetfsandoptiontrades/14491
This strategy is fantastic but far from perfect and will require a great deal of patience and grit. Please be wise and don't invest more than is appropriate for you.
While I hope you follow, please consider the risks and your willingness to remain consistent. By jumping in and out you decrease your odds of success dramatically. I have seen many people join at peaks then leave after a drawdown, then repeat the process over and over. Therefore, I suggest you only follow with money that you will feel comfortable remaining consistent with. Please see this forum post about the need to remain consistent. https://forums.collective2.com/t/patienceisrequired/14586
I recommend AutoTrading and starting with $25,000 or more, and I would join all trades in progress at anytime. I believe the current C2 recommendation of $100,000 or more isn't a good estimate of what is actually needed to successfully start. If you have any questions about how I would set up AutoTrading please visit this post, in the forums: https://forums.collective2.com/t/howshouldiscalepatienceisavirtue/14636?u=interactiveassets
Good luck!
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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
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