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CkNN Algo V
(126054331)

Created by: MachineLearningTradr MachineLearningTradr
Started: 11/2019
Stocks
Last trade: 6 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 $149.00 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.

61.8%
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.

(30.3%)
Max Drawdown
199
Num Trades
62.8%
Win Trades
1.4 : 1
Profit Factor
68.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                      +15.9%+8.7%+25.9%
2020+16.8%(1.2%)(11.9%)+16.0%(15.1%)+2.6%+12.8%+10.2%+11.9%+1.5%+19.4%(4.3%)+65.5%
2021+3.5%(12%)+4.2%(4%)+16.6%(4.2%)(2.3%)+9.3%+6.9%+6.8%+4.8%      +30.5%

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 31 hours.

Trading Record

This strategy has placed 375 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
11/15/21 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,600 166.23 11/22 10:56 181.65 1.7%
Trade id #138193817
Max drawdown($10,759)
Time11/15/21 12:22
Quant open2,600
Worst price162.09
Drawdown as % of equity-1.70%
$40,092
Includes Typical Broker Commissions trade costs of $5.00
11/11/21 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,700 160.28 11/12 15:55 165.20 0.23%
Trade id #138166565
Max drawdown($1,425)
Time11/12/21 9:48
Quant open2,700
Worst price159.75
Drawdown as % of equity-0.23%
$13,284
Includes Typical Broker Commissions trade costs of $5.00
11/9/21 15:46 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 24,000 18.65 11/10 9:31 17.53 5.07%
Trade id #138135880
Max drawdown($33,090)
Time11/10/21 0:00
Quant open24,000
Worst price17.27
Drawdown as % of equity-5.07%
($26,795)
Includes Typical Broker Commissions trade costs of $5.00
11/8/21 9:30 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 100,000 4.43 11/8 9:34 4.37 1%
Trade id #138112595
Max drawdown($6,594)
Time11/8/21 9:34
Quant open100,000
Worst price4.36
Drawdown as % of equity-1.00%
($5,508)
Includes Typical Broker Commissions trade costs of $5.00
11/1/21 15:45 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 9,000 49.49 11/4 9:49 50.66 3.86%
Trade id #138034151
Max drawdown($24,681)
Time11/3/21 0:00
Quant open9,000
Worst price46.75
Drawdown as % of equity-3.86%
$10,503
Includes Typical Broker Commissions trade costs of $5.00
10/28/21 9:48 GUSH DIREXION DAILY S&P OIL GAS EXPL BULL 2X LONG 4,000 110.73 10/29 9:40 112.04 2.56%
Trade id #137989350
Max drawdown($16,333)
Time10/29/21 0:00
Quant open4,000
Worst price106.65
Drawdown as % of equity-2.56%
$5,237
Includes Typical Broker Commissions trade costs of $5.00
10/27/21 10:19 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,900 147.92 10/28 9:35 149.91 0.01%
Trade id #137974846
Max drawdown($46)
Time10/27/21 15:59
Quant open2,900
Worst price147.90
Drawdown as % of equity-0.01%
$5,777
Includes Typical Broker Commissions trade costs of $5.00
10/25/21 15:56 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 90,000 4.52 10/27 9:47 4.64 1.35%
Trade id #137949653
Max drawdown($8,424)
Time10/26/21 0:00
Quant open90,000
Worst price4.42
Drawdown as % of equity-1.35%
$11,524
Includes Typical Broker Commissions trade costs of $5.00
10/8/21 15:53 TQQQ PROSHARES ULTRAPRO QQQ LONG 3,100 127.44 10/20 9:32 143.24 2.63%
Trade id #137734250
Max drawdown($14,969)
Time10/12/21 0:00
Quant open3,100
Worst price122.61
Drawdown as % of equity-2.63%
$48,984
Includes Typical Broker Commissions trade costs of $5.00
10/4/21 9:36 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 17,000 24.29 10/6 15:54 22.77 4.41%
Trade id #137643427
Max drawdown($25,896)
Time10/6/21 15:54
Quant open17,000
Worst price22.77
Drawdown as % of equity-4.41%
($25,748)
Includes Typical Broker Commissions trade costs of $5.00
9/29/21 15:56 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 10,000 41.05 10/1 9:55 42.23 0.11%
Trade id #137587831
Max drawdown($655)
Time9/29/21 15:59
Quant open10,000
Worst price40.98
Drawdown as % of equity-0.11%
$11,836
Includes Typical Broker Commissions trade costs of $5.00
9/29/21 9:38 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 9,800 41.95 9/29 12:22 41.12 1.44%
Trade id #137579368
Max drawdown($8,629)
Time9/29/21 12:22
Quant open9,800
Worst price41.07
Drawdown as % of equity-1.44%
($8,138)
Includes Typical Broker Commissions trade costs of $5.00
9/27/21 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 3,100 138.11 9/28 11:05 127.97 5.08%
Trade id #137549588
Max drawdown($31,896)
Time9/28/21 11:05
Quant open3,100
Worst price127.82
Drawdown as % of equity-5.08%
($31,440)
Includes Typical Broker Commissions trade costs of $5.00
9/24/21 9:53 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 55,000 7.81 9/27 15:55 7.85 1.68%
Trade id #137517026
Max drawdown($10,427)
Time9/24/21 15:47
Quant open55,000
Worst price7.62
Drawdown as % of equity-1.68%
$2,352
Includes Typical Broker Commissions trade costs of $5.00
9/21/21 15:57 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 18,000 22.62 9/24 9:49 23.67 3.18%
Trade id #137467820
Max drawdown($19,355)
Time9/22/21 0:00
Quant open18,000
Worst price21.54
Drawdown as % of equity-3.18%
$19,015
Includes Typical Broker Commissions trade costs of $5.00
9/15/21 9:38 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 19,000 20.50 9/17 15:55 22.49 1.55%
Trade id #137380338
Max drawdown($8,897)
Time9/15/21 10:00
Quant open19,000
Worst price20.03
Drawdown as % of equity-1.55%
$37,918
Includes Typical Broker Commissions trade costs of $5.00
9/7/21 15:54 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 7,600 51.74 9/15 9:38 50.99 3.66%
Trade id #137278912
Max drawdown($20,735)
Time9/10/21 0:00
Quant open7,600
Worst price49.01
Drawdown as % of equity-3.66%
($5,725)
Includes Typical Broker Commissions trade costs of $5.00
9/1/21 9:33 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 19,000 19.89 9/2 9:34 20.23 0.11%
Trade id #137207416
Max drawdown($627)
Time9/1/21 12:19
Quant open19,000
Worst price19.86
Drawdown as % of equity-0.11%
$6,449
Includes Typical Broker Commissions trade costs of $5.00
8/30/21 9:32 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 7,400 52.60 9/1 9:30 52.91 2.26%
Trade id #137172160
Max drawdown($12,607)
Time8/30/21 14:31
Quant open7,400
Worst price50.90
Drawdown as % of equity-2.26%
$2,252
Includes Typical Broker Commissions trade costs of $5.00
8/26/21 9:33 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,500 143.09 8/30 9:30 146.15 1.18%
Trade id #137132447
Max drawdown($6,628)
Time8/26/21 11:02
Quant open2,500
Worst price140.44
Drawdown as % of equity-1.18%
$7,645
Includes Typical Broker Commissions trade costs of $5.00
8/24/21 15:52 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 34,000 9.75 8/25 10:03 9.57 1.07%
Trade id #137105762
Max drawdown($6,067)
Time8/25/21 10:03
Quant open34,000
Worst price9.57
Drawdown as % of equity-1.07%
($5,966)
Includes Typical Broker Commissions trade costs of $5.00
8/20/21 9:30 GUSH DIREXION DAILY S&P OIL GAS EXPL BULL 2X LONG 6,000 51.99 8/23 15:56 58.87 0.69%
Trade id #137053953
Max drawdown($3,622)
Time8/20/21 10:11
Quant open6,000
Worst price51.39
Drawdown as % of equity-0.69%
$41,299
Includes Typical Broker Commissions trade costs of $5.00
8/18/21 9:31 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 14,000 20.93 8/19 10:00 21.96 0.1%
Trade id #137015349
Max drawdown($531)
Time8/18/21 9:35
Quant open14,000
Worst price20.89
Drawdown as % of equity-0.10%
$14,458
Includes Typical Broker Commissions trade costs of $5.00
8/16/21 15:53 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 6,700 53.06 8/17 10:16 51.96 1.46%
Trade id #136988127
Max drawdown($7,565)
Time8/17/21 10:16
Quant open6,700
Worst price51.93
Drawdown as % of equity-1.46%
($7,354)
Includes Typical Broker Commissions trade costs of $5.00
8/11/21 9:30 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 6,800 52.37 8/12 9:30 52.27 0.75%
Trade id #136916627
Max drawdown($3,901)
Time8/12/21 9:30
Quant open6,800
Worst price51.80
Drawdown as % of equity-0.75%
($695)
Includes Typical Broker Commissions trade costs of $5.00
8/9/21 15:51 DUST DIREXION DAILY GOLD MINERS BEAR 2X LONG 1,700 20.60 8/10 9:30 20.78 0.01%
Trade id #136890415
Max drawdown($76)
Time8/9/21 15:58
Quant open1,700
Worst price20.55
Drawdown as % of equity-0.01%
$307
Includes Typical Broker Commissions trade costs of $5.00
8/5/21 10:18 DRIP DIREXION DAILY S&P OIL GAS EXPL BEAR 2X LONG 35,000 9.50 8/9 9:31 9.61 3.27%
Trade id #136842146
Max drawdown($16,805)
Time8/6/21 0:00
Quant open35,000
Worst price9.02
Drawdown as % of equity-3.27%
$3,712
Includes Typical Broker Commissions trade costs of $5.00
7/19/21 15:54 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 5,500 55.12 8/2 9:43 60.32 1.02%
Trade id #136564935
Max drawdown($5,010)
Time7/23/21 0:00
Quant open5,500
Worst price54.21
Drawdown as % of equity-1.02%
$28,571
Includes Typical Broker Commissions trade costs of $5.00
7/15/21 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 945 128.49 7/15 15:59 128.45 0.01%
Trade id #136516848
Max drawdown($36)
Time7/15/21 15:59
Quant open945
Worst price128.45
Drawdown as % of equity-0.01%
($41)
Includes Typical Broker Commissions trade costs of $5.00
7/7/21 15:53 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 6,100 60.00 7/13 15:55 58.93 5%
Trade id #136367946
Max drawdown($24,688)
Time7/8/21 0:00
Quant open6,100
Worst price55.95
Drawdown as % of equity-5.00%
($6,527)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    11/3/2019
  • Suggested Minimum Cap
    $105,000
  • Strategy Age (days)
    755.13
  • Age
    25 months ago
  • What it trades
    Stocks
  • # Trades
    199
  • # Profitable
    125
  • % Profitable
    62.80%
  • Avg trade duration
    2.5 days
  • Max peak-to-valley drawdown
    30.26%
  • drawdown period
    Feb 19, 2020 - March 20, 2020
  • Annual Return (Compounded)
    61.8%
  • Avg win
    $11,468
  • Avg loss
    $13,491
  • Model Account Values (Raw)
  • Cash
    $685,254
  • Margin Used
    $0
  • Buying Power
    $685,254
  • Ratios
  • W:L ratio
    1.44:1
  • Sharpe Ratio
    1.45
  • Sortino Ratio
    2.33
  • Calmar Ratio
    2.214
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    122.00%
  • Correlation to SP500
    0.07380
  • Return Percent SP500 (cumu) during strategy life
    49.81%
  • Return Statistics
  • Ann Return (w trading costs)
    61.8%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.618%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    62.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    39.50%
  • Chance of 20% account loss
    8.50%
  • Chance of 30% account loss
    2.50%
  • Chance of 40% account loss
    0.50%
  • 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)
    911
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    994
  • Popularity (7 days, Percentile 1000 scale)
    839
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $13,492
  • Avg Win
    $11,468
  • Sum Trade PL (losers)
    $998,388.000
  • AUM
  • AUM (AutoTrader num accounts)
    3
  • Age
  • Num Months filled monthly returns table
    25
  • Win / Loss
  • Sum Trade PL (winners)
    $1,433,500.000
  • # Winners
    125
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    143
  • AUM
  • AUM (AutoTrader live capital)
    136851
  • Win / Loss
  • # Losers
    74
  • % Winners
    62.8%
  • Frequency
  • Avg Position Time (mins)
    3648.62
  • Avg Position Time (hrs)
    60.81
  • Avg Trade Length
    2.5 days
  • Last Trade Ago
    6
  • Leverage
  • Daily leverage (average)
    1.79
  • Daily leverage (max)
    2.88
  • Regression
  • Alpha
    0.13
  • Beta
    0.08
  • Treynor Index
    1.65
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.36
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    6.795
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.599
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.215
  • Hold-and-Hope Ratio
    0.147
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51852
  • SD
    0.38861
  • Sharpe ratio (Glass type estimate)
    1.33430
  • Sharpe ratio (Hedges UMVUE)
    1.29023
  • df
    23.00000
  • t
    1.88698
  • p
    0.03592
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.11705
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.75887
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14495
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72541
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.21726
  • Upside Potential Ratio
    3.75325
  • Upside part of mean
    0.87772
  • Downside part of mean
    -0.35920
  • Upside SD
    0.33532
  • Downside SD
    0.23386
  • N nonnegative terms
    18.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.19534
  • Mean of criterion
    0.51852
  • SD of predictor
    0.17753
  • SD of criterion
    0.38861
  • Covariance
    0.00645
  • r
    0.09342
  • b (slope, estimate of beta)
    0.20450
  • a (intercept, estimate of alpha)
    0.47857
  • Mean Square Error
    0.15650
  • DF error
    22.00000
  • t(b)
    0.44011
  • p(b)
    0.33207
  • t(a)
    1.62729
  • p(a)
    0.05896
  • Lowerbound of 95% confidence interval for beta
    -0.75914
  • Upperbound of 95% confidence interval for beta
    1.16815
  • Lowerbound of 95% confidence interval for alpha
    -0.13134
  • Upperbound of 95% confidence interval for alpha
    1.08848
  • Treynor index (mean / b)
    2.53552
  • Jensen alpha (a)
    0.47857
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43579
  • SD
    0.39066
  • Sharpe ratio (Glass type estimate)
    1.11552
  • Sharpe ratio (Hedges UMVUE)
    1.07868
  • df
    23.00000
  • t
    1.57758
  • p
    0.06416
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31842
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.52655
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34185
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49920
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.71276
  • Upside Potential Ratio
    3.24130
  • Upside part of mean
    0.82471
  • Downside part of mean
    -0.38892
  • Upside SD
    0.31200
  • Downside SD
    0.25444
  • N nonnegative terms
    18.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.17826
  • Mean of criterion
    0.43579
  • SD of predictor
    0.17883
  • SD of criterion
    0.39066
  • Covariance
    0.00736
  • r
    0.10542
  • b (slope, estimate of beta)
    0.23029
  • a (intercept, estimate of alpha)
    0.39474
  • Mean Square Error
    0.15778
  • DF error
    22.00000
  • t(b)
    0.49723
  • p(b)
    0.31198
  • t(a)
    1.34834
  • p(a)
    0.09563
  • Lowerbound of 95% confidence interval for beta
    -0.73023
  • Upperbound of 95% confidence interval for beta
    1.19082
  • Lowerbound of 95% confidence interval for alpha
    -0.21240
  • Upperbound of 95% confidence interval for alpha
    1.00188
  • Treynor index (mean / b)
    1.89231
  • Jensen alpha (a)
    0.39474
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13859
  • Expected Shortfall on VaR
    0.17753
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04126
  • Expected Shortfall on VaR
    0.09623
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.82735
  • Quartile 1
    1.00115
  • Median
    1.07276
  • Quartile 3
    1.10703
  • Maximum
    1.21954
  • Mean of quarter 1
    0.88260
  • Mean of quarter 2
    1.04518
  • Mean of quarter 3
    1.09307
  • Mean of quarter 4
    1.16131
  • Inter Quartile Range
    0.10587
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.12500
  • Mean of outliers low
    0.83655
  • 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)
    -3.80664
  • VaR(95%) (moments method)
    0.06211
  • Expected Shortfall (moments method)
    0.06226
  • Extreme Value Index (regression method)
    -2.20522
  • VaR(95%) (regression method)
    0.08975
  • Expected Shortfall (regression method)
    0.09134
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.19913
  • Quartile 1
    0.20478
  • Median
    0.21044
  • Quartile 3
    0.21610
  • Maximum
    0.22175
  • Mean of quarter 1
    0.19913
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.22175
  • Inter Quartile Range
    0.01131
  • 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)
    0.76395
  • Compounded annual return (geometric extrapolation)
    0.58994
  • Calmar ratio (compounded annual return / max draw down)
    2.66036
  • Compounded annual return / average of 25% largest draw downs
    2.66036
  • Compounded annual return / Expected Shortfall lognormal
    3.32303
  • 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
    0.50775
  • SD
    0.28891
  • Sharpe ratio (Glass type estimate)
    1.75748
  • Sharpe ratio (Hedges UMVUE)
    1.75501
  • df
    534.00000
  • t
    2.51141
  • p
    0.00616
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38108
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.13234
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.37940
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.13063
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.81250
  • Upside Potential Ratio
    10.28510
  • Upside part of mean
    1.85679
  • Downside part of mean
    -1.34904
  • Upside SD
    0.22738
  • Downside SD
    0.18053
  • N nonnegative terms
    271.00000
  • N negative terms
    264.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    535.00000
  • Mean of predictor
    0.20123
  • Mean of criterion
    0.50775
  • SD of predictor
    0.25573
  • SD of criterion
    0.28891
  • Covariance
    0.00598
  • r
    0.08094
  • b (slope, estimate of beta)
    0.09144
  • a (intercept, estimate of alpha)
    0.48900
  • Mean Square Error
    0.08308
  • DF error
    533.00000
  • t(b)
    1.87485
  • p(b)
    0.03068
  • t(a)
    2.42322
  • p(a)
    0.00786
  • Lowerbound of 95% confidence interval for beta
    -0.00437
  • Upperbound of 95% confidence interval for beta
    0.18725
  • Lowerbound of 95% confidence interval for alpha
    0.09265
  • Upperbound of 95% confidence interval for alpha
    0.88605
  • Treynor index (mean / b)
    5.55268
  • Jensen alpha (a)
    0.48935
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46589
  • SD
    0.28745
  • Sharpe ratio (Glass type estimate)
    1.62075
  • Sharpe ratio (Hedges UMVUE)
    1.61847
  • df
    534.00000
  • t
    2.31602
  • p
    0.01047
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24501
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.99506
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24346
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.99348
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.53907
  • Upside Potential Ratio
    9.98121
  • Upside part of mean
    1.83144
  • Downside part of mean
    -1.36555
  • Upside SD
    0.22279
  • Downside SD
    0.18349
  • N nonnegative terms
    271.00000
  • N negative terms
    264.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    535.00000
  • Mean of predictor
    0.16823
  • Mean of criterion
    0.46589
  • SD of predictor
    0.25746
  • SD of criterion
    0.28745
  • Covariance
    0.00622
  • r
    0.08405
  • b (slope, estimate of beta)
    0.09385
  • a (intercept, estimate of alpha)
    0.45010
  • Mean Square Error
    0.08220
  • DF error
    533.00000
  • t(b)
    1.94744
  • p(b)
    0.02600
  • t(a)
    2.24154
  • p(a)
    0.01270
  • Lowerbound of 95% confidence interval for beta
    -0.00082
  • Upperbound of 95% confidence interval for beta
    0.18851
  • Lowerbound of 95% confidence interval for alpha
    0.05565
  • Upperbound of 95% confidence interval for alpha
    0.84456
  • Treynor index (mean / b)
    4.96442
  • Jensen alpha (a)
    0.45010
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02706
  • Expected Shortfall on VaR
    0.03423
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01170
  • Expected Shortfall on VaR
    0.02357
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    535.00000
  • Minimum
    0.94854
  • Quartile 1
    0.99421
  • Median
    1.00024
  • Quartile 3
    1.01032
  • Maximum
    1.09022
  • Mean of quarter 1
    0.98124
  • Mean of quarter 2
    0.99841
  • Mean of quarter 3
    1.00485
  • Mean of quarter 4
    1.02369
  • Inter Quartile Range
    0.01611
  • Number outliers low
    25.00000
  • Percentage of outliers low
    0.04673
  • Mean of outliers low
    0.96095
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.04486
  • Mean of outliers high
    1.04830
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.10085
  • VaR(95%) (moments method)
    0.01595
  • Expected Shortfall (moments method)
    0.02354
  • Extreme Value Index (regression method)
    -0.16864
  • VaR(95%) (regression method)
    0.01822
  • Expected Shortfall (regression method)
    0.02394
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00052
  • Quartile 1
    0.00711
  • Median
    0.01731
  • Quartile 3
    0.04013
  • Maximum
    0.28846
  • Mean of quarter 1
    0.00389
  • Mean of quarter 2
    0.01209
  • Mean of quarter 3
    0.02674
  • Mean of quarter 4
    0.13141
  • Inter Quartile Range
    0.03302
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.12000
  • Mean of outliers high
    0.21041
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.63915
  • VaR(95%) (moments method)
    0.13872
  • Expected Shortfall (moments method)
    0.41455
  • Extreme Value Index (regression method)
    1.03309
  • VaR(95%) (regression method)
    0.12140
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.85261
  • Compounded annual return (geometric extrapolation)
    0.63853
  • Calmar ratio (compounded annual return / max draw down)
    2.21357
  • Compounded annual return / average of 25% largest draw downs
    4.85904
  • Compounded annual return / Expected Shortfall lognormal
    18.65290
  • 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
    0.42377
  • SD
    0.24908
  • Sharpe ratio (Glass type estimate)
    1.70132
  • Sharpe ratio (Hedges UMVUE)
    1.69148
  • df
    130.00000
  • t
    1.20301
  • p
    0.44754
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08134
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.47768
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08794
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.47090
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.50742
  • Upside Potential Ratio
    9.68905
  • Upside part of mean
    1.63751
  • Downside part of mean
    -1.21374
  • Upside SD
    0.18355
  • Downside SD
    0.16901
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15696
  • Mean of criterion
    0.42377
  • SD of predictor
    0.10630
  • SD of criterion
    0.24908
  • Covariance
    0.00600
  • r
    0.22645
  • b (slope, estimate of beta)
    0.53063
  • a (intercept, estimate of alpha)
    0.34048
  • Mean Square Error
    0.05932
  • DF error
    129.00000
  • t(b)
    2.64054
  • p(b)
    0.35708
  • t(a)
    0.98441
  • p(a)
    0.44510
  • Lowerbound of 95% confidence interval for beta
    0.13304
  • Upperbound of 95% confidence interval for beta
    0.92823
  • Lowerbound of 95% confidence interval for alpha
    -0.34384
  • Upperbound of 95% confidence interval for alpha
    1.02480
  • Treynor index (mean / b)
    0.79861
  • Jensen alpha (a)
    0.34048
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39260
  • SD
    0.24929
  • Sharpe ratio (Glass type estimate)
    1.57489
  • Sharpe ratio (Hedges UMVUE)
    1.56578
  • df
    130.00000
  • t
    1.11361
  • p
    0.45140
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20643
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.35027
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.21255
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.34412
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.28530
  • Upside Potential Ratio
    9.43458
  • Upside part of mean
    1.62081
  • Downside part of mean
    -1.22821
  • Upside SD
    0.18096
  • Downside SD
    0.17180
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15128
  • Mean of criterion
    0.39260
  • SD of predictor
    0.10647
  • SD of criterion
    0.24929
  • Covariance
    0.00599
  • r
    0.22576
  • b (slope, estimate of beta)
    0.52862
  • a (intercept, estimate of alpha)
    0.31263
  • Mean Square Error
    0.05943
  • DF error
    129.00000
  • t(b)
    2.63208
  • p(b)
    0.35751
  • t(a)
    0.90328
  • p(a)
    0.44958
  • VAR (95 Confidence Intrvl)
    0.02700
  • Lowerbound of 95% confidence interval for beta
    0.13126
  • Upperbound of 95% confidence interval for beta
    0.92598
  • Lowerbound of 95% confidence interval for alpha
    -0.37216
  • Upperbound of 95% confidence interval for alpha
    0.99742
  • Treynor index (mean / b)
    0.74269
  • Jensen alpha (a)
    0.31263
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02355
  • Expected Shortfall on VaR
    0.02980
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01053
  • Expected Shortfall on VaR
    0.02154
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94854
  • Quartile 1
    0.99574
  • Median
    1.00015
  • Quartile 3
    1.01101
  • Maximum
    1.04856
  • Mean of quarter 1
    0.98302
  • Mean of quarter 2
    0.99880
  • Mean of quarter 3
    1.00566
  • Mean of quarter 4
    1.01953
  • Inter Quartile Range
    0.01527
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.96032
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.04179
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09685
  • VaR(95%) (moments method)
    0.01312
  • Expected Shortfall (moments method)
    0.01971
  • Extreme Value Index (regression method)
    0.31382
  • VaR(95%) (regression method)
    0.01528
  • Expected Shortfall (regression method)
    0.02785
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00052
  • Quartile 1
    0.00814
  • Median
    0.01731
  • Quartile 3
    0.07330
  • Maximum
    0.19968
  • Mean of quarter 1
    0.00277
  • Mean of quarter 2
    0.01428
  • Mean of quarter 3
    0.04845
  • Mean of quarter 4
    0.14891
  • Inter Quartile Range
    0.06516
  • 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
    0.14286
  • Mean of outliers high
    0.19968
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -336268000
  • Max Equity Drawdown (num days)
    30
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.46798
  • Compounded annual return (geometric extrapolation)
    0.52274
  • Calmar ratio (compounded annual return / max draw down)
    2.61790
  • Compounded annual return / average of 25% largest draw downs
    3.51036
  • Compounded annual return / Expected Shortfall lognormal
    17.54130

Strategy Description

A pattern recognition system, using multiple sets of two custom algorithms (similar to the random forest); trading ETF's such as, but not limited to, NUGT, DUST, GUSH, DRIP, TQQQ, SQQQ, UVXY, SVXY, and etc. Subscription costs for new subscribers may increase soon. Current subscribers may be "grandfathered in." (This system and summary were updated on September 28, 2020; and are subject to change without advance notice.)

Summary Statistics

Strategy began
2019-11-03
Suggested Minimum Capital
$105,000
Rank at C2 %
Top 0.6%
Rank # 
#5
# Trades
199
# Profitable
125
% Profitable
62.8%
Net Dividends
Correlation S&P500
0.074
Sharpe Ratio
1.45
Sortino Ratio
2.33
Beta
0.08
Alpha
0.13
Leverage
1.79 Average
2.88 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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