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Thermal Control System
(134751192)

Created by: FormulaicSystems FormulaicSystems
Started: 03/2021
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 $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.

45.2%
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.

(10.0%)
Max Drawdown
40
Num Trades
60.0%
Win Trades
2.6 : 1
Profit Factor
77.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021              +3.0%+18.0%(2.3%)+1.6%+1.3%+6.7%(6.3%)+15.2%+3.1%      +45.2%

Model Account Details

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

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

System developer has asked us to delay this information by 120 hours.

Trading Record

This strategy has placed 12 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 198 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/8/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 388 146.43 11/22 15:59 145.99 4.07%
Trade id #138121155
Max drawdown($1,476)
Time11/10/21 0:00
Quant open258
Worst price141.00
Drawdown as % of equity-4.07%
($179)
Includes Typical Broker Commissions trade costs of $7.76
11/3/21 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 257 142.89 11/5 15:59 147.12 0.15%
Trade id #138056387
Max drawdown($53)
Time11/3/21 10:05
Quant open130
Worst price140.04
Drawdown as % of equity-0.15%
$1,083
Includes Typical Broker Commissions trade costs of $5.14
10/27/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 397 135.52 11/1 15:59 138.79 n/a $1,292
Includes Typical Broker Commissions trade costs of $7.94
10/27/21 13:34 UPRO PROSHARES ULTRAPRO S&P500 SHORT 131 136.35 10/27 13:36 136.38 0.01%
Trade id #137979803
Max drawdown($4)
Time10/27/21 13:36
Quant open131
Worst price136.38
Drawdown as % of equity-0.01%
($7)
Includes Typical Broker Commissions trade costs of $2.62
10/6/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 532 124.13 10/27 9:30 130.60 1.27%
Trade id #137699273
Max drawdown($388)
Time10/13/21 0:00
Quant open135
Worst price115.31
Drawdown as % of equity-1.27%
$3,431
Includes Typical Broker Commissions trade costs of $10.64
9/27/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 413 119.83 10/5 15:59 117.06 7.52%
Trade id #137549689
Max drawdown($2,346)
Time10/4/21 0:00
Quant open275
Worst price111.30
Drawdown as % of equity-7.52%
($1,155)
Includes Typical Broker Commissions trade costs of $8.26
9/22/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 134 121.19 9/24 15:59 126.14 n/a $660
Includes Typical Broker Commissions trade costs of $2.68
9/7/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 671 126.64 9/21 15:59 124.57 8.14%
Trade id #137279070
Max drawdown($2,575)
Time9/21/21 10:54
Quant open274
Worst price117.24
Drawdown as % of equity-8.14%
($1,402)
Includes Typical Broker Commissions trade costs of $13.42
8/24/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 383 130.00 9/3 15:59 132.15 0.61%
Trade id #137106143
Max drawdown($197)
Time8/26/21 0:00
Quant open128
Worst price127.39
Drawdown as % of equity-0.61%
$815
Includes Typical Broker Commissions trade costs of $7.66
8/20/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 258 125.14 8/23 15:59 128.29 n/a $808
Includes Typical Broker Commissions trade costs of $5.16
8/18/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 132 121.52 8/19 15:59 121.94 1.03%
Trade id #137025444
Max drawdown($324)
Time8/19/21 0:00
Quant open132
Worst price119.06
Drawdown as % of equity-1.03%
$52
Includes Typical Broker Commissions trade costs of $2.64
8/13/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 251 127.34 8/16 15:59 128.29 2.09%
Trade id #136962106
Max drawdown($645)
Time8/16/21 10:30
Quant open251
Worst price124.77
Drawdown as % of equity-2.09%
$233
Includes Typical Broker Commissions trade costs of $5.02
8/9/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 252 124.23 8/12 15:59 126.64 0.21%
Trade id #136890691
Max drawdown($65)
Time8/10/21 0:00
Quant open252
Worst price123.97
Drawdown as % of equity-0.21%
$602
Includes Typical Broker Commissions trade costs of $5.04
7/23/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 387 122.45 7/30 15:59 121.43 1.48%
Trade id #136658948
Max drawdown($451)
Time7/30/21 14:40
Quant open259
Worst price120.71
Drawdown as % of equity-1.48%
($406)
Includes Typical Broker Commissions trade costs of $7.74
7/21/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 267 118.19 7/22 15:59 118.85 0.63%
Trade id #136621445
Max drawdown($194)
Time7/22/21 12:22
Quant open267
Worst price117.46
Drawdown as % of equity-0.63%
$171
Includes Typical Broker Commissions trade costs of $5.34
7/20/21 15:59 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 1,830 17.75 7/21 15:59 17.31 2.65%
Trade id #136598850
Max drawdown($823)
Time7/21/21 15:56
Quant open1,830
Worst price17.30
Drawdown as % of equity-2.65%
($810)
Includes Typical Broker Commissions trade costs of $5.00
7/19/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 281 110.20 7/20 15:59 115.42 n/a $1,461
Includes Typical Broker Commissions trade costs of $5.62
7/15/21 15:59 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 1,746 17.38 7/16 15:59 17.76 1.06%
Trade id #136516923
Max drawdown($314)
Time7/16/21 0:00
Quant open1,746
Worst price17.20
Drawdown as % of equity-1.06%
$658
Includes Typical Broker Commissions trade costs of $5.00
7/13/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 255 119.22 7/15 15:59 118.48 1.96%
Trade id #136476764
Max drawdown($583)
Time7/15/21 13:56
Quant open255
Worst price116.93
Drawdown as % of equity-1.96%
($194)
Includes Typical Broker Commissions trade costs of $5.10
7/8/21 15:59 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 1,766 17.90 7/9 15:59 17.28 3.88%
Trade id #136389740
Max drawdown($1,165)
Time7/9/21 15:50
Quant open1,766
Worst price17.24
Drawdown as % of equity-3.88%
($1,100)
Includes Typical Broker Commissions trade costs of $5.00
7/7/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 135 118.37 7/8 15:59 115.23 2.39%
Trade id #136368245
Max drawdown($749)
Time7/8/21 10:22
Quant open135
Worst price112.82
Drawdown as % of equity-2.39%
($427)
Includes Typical Broker Commissions trade costs of $2.70
6/24/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 271 112.31 7/2 15:59 117.86 n/a $1,500
Includes Typical Broker Commissions trade costs of $5.42
6/21/21 15:59 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 798 19.18 6/22 15:59 18.88 1.12%
Trade id #136150288
Max drawdown($335)
Time6/22/21 15:28
Quant open798
Worst price18.76
Drawdown as % of equity-1.12%
($244)
Includes Typical Broker Commissions trade costs of $5.00
6/17/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 286 105.53 6/21 15:59 107.85 2.15%
Trade id #136103909
Max drawdown($638)
Time6/18/21 0:00
Quant open139
Worst price103.23
Drawdown as % of equity-2.15%
$657
Includes Typical Broker Commissions trade costs of $5.72
6/11/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 420 109.51 6/16 15:59 108.63 3.16%
Trade id #136030346
Max drawdown($949)
Time6/16/21 14:01
Quant open279
Worst price106.11
Drawdown as % of equity-3.16%
($378)
Includes Typical Broker Commissions trade costs of $8.40
6/10/21 15:59 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 1,605 19.05 6/11 15:59 18.97 0.59%
Trade id #136011752
Max drawdown($176)
Time6/11/21 9:37
Quant open1,605
Worst price18.94
Drawdown as % of equity-0.59%
($133)
Includes Typical Broker Commissions trade costs of $5.00
6/9/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 280 107.54 6/10 15:59 109.05 0.05%
Trade id #135992918
Max drawdown($14)
Time6/10/21 0:00
Quant open280
Worst price107.49
Drawdown as % of equity-0.05%
$417
Includes Typical Broker Commissions trade costs of $5.60
6/7/21 15:59 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 1,570 19.24 6/8 15:59 19.22 0.69%
Trade id #135948634
Max drawdown($204)
Time6/8/21 0:00
Quant open1,570
Worst price19.11
Drawdown as % of equity-0.69%
($36)
Includes Typical Broker Commissions trade costs of $5.00
6/4/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 279 108.31 6/7 15:59 108.08 1.03%
Trade id #135920024
Max drawdown($304)
Time6/7/21 13:46
Quant open279
Worst price107.22
Drawdown as % of equity-1.03%
($70)
Includes Typical Broker Commissions trade costs of $5.58
6/2/21 15:59 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 772 19.54 6/3 15:59 19.71 n/a $126
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    3/21/2021
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    251.24
  • Age
    8 months ago
  • What it trades
    Stocks
  • # Trades
    40
  • # Profitable
    24
  • % Profitable
    60.00%
  • Avg trade duration
    4.6 days
  • Max peak-to-valley drawdown
    9.97%
  • drawdown period
    Sept 02, 2021 - Oct 04, 2021
  • Cumul. Return
    45.2%
  • Avg win
    $872.92
  • Avg loss
    $499.69
  • Model Account Values (Raw)
  • Cash
    $23,879
  • Margin Used
    $0
  • Buying Power
    $23,883
  • Ratios
  • W:L ratio
    2.62:1
  • Sharpe Ratio
    2.52
  • Sortino Ratio
    4.23
  • Calmar Ratio
    11.067
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    27.82%
  • Correlation to SP500
    0.57400
  • Return Percent SP500 (cumu) during strategy life
    17.42%
  • Return Statistics
  • Ann Return (w trading costs)
    70.7%
  • Slump
  • Current Slump as Pcnt Equity
    2.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.452%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    83.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    4.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    98.36%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    841
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    930
  • Popularity (7 days, Percentile 1000 scale)
    714
  • 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
    $500
  • Avg Win
    $873
  • Sum Trade PL (losers)
    $7,995.000
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $20,950.000
  • # Winners
    24
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    8
  • Win / Loss
  • # Losers
    16
  • % Winners
    60.0%
  • Frequency
  • Avg Position Time (mins)
    6566.98
  • Avg Position Time (hrs)
    109.45
  • Avg Trade Length
    4.6 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.40
  • Daily leverage (max)
    3.45
  • Regression
  • Alpha
    0.09
  • Beta
    0.93
  • Treynor Index
    0.16
  • 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)
    -0.35
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    3.129
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.455
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.778
  • Hold-and-Hope Ratio
    0.330
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.64436
  • SD
    0.19802
  • Sharpe ratio (Glass type estimate)
    3.25402
  • Sharpe ratio (Hedges UMVUE)
    2.89023
  • df
    7.00000
  • t
    2.65689
  • p
    0.01631
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25406
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.10371
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05222
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.72823
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.64436
  • Downside part of mean
    0.00000
  • Upside SD
    0.26251
  • Downside SD
    0.00000
  • N nonnegative terms
    8.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.23702
  • Mean of criterion
    0.64436
  • SD of predictor
    0.08692
  • SD of criterion
    0.19802
  • Covariance
    0.01373
  • r
    0.79782
  • b (slope, estimate of beta)
    1.81755
  • a (intercept, estimate of alpha)
    0.21357
  • Mean Square Error
    0.01663
  • DF error
    6.00000
  • t(b)
    3.24138
  • p(b)
    0.00883
  • t(a)
    1.03467
  • p(a)
    0.17036
  • Lowerbound of 95% confidence interval for beta
    0.44547
  • Upperbound of 95% confidence interval for beta
    3.18963
  • Lowerbound of 95% confidence interval for alpha
    -0.29151
  • Upperbound of 95% confidence interval for alpha
    0.71865
  • Treynor index (mean / b)
    0.35452
  • Jensen alpha (a)
    0.21357
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.61148
  • SD
    0.18168
  • Sharpe ratio (Glass type estimate)
    3.36573
  • Sharpe ratio (Hedges UMVUE)
    2.98945
  • df
    7.00000
  • t
    2.74810
  • p
    0.01429
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33197
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.24779
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.12338
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.85552
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.61148
  • Downside part of mean
    0.00000
  • Upside SD
    0.24503
  • Downside SD
    0.00000
  • N nonnegative terms
    8.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.23099
  • Mean of criterion
    0.61148
  • SD of predictor
    0.08535
  • SD of criterion
    0.18168
  • Covariance
    0.01237
  • r
    0.79764
  • b (slope, estimate of beta)
    1.69789
  • a (intercept, estimate of alpha)
    0.21929
  • Mean Square Error
    0.01401
  • DF error
    6.00000
  • t(b)
    3.23944
  • p(b)
    0.00885
  • t(a)
    1.16112
  • p(a)
    0.14485
  • Lowerbound of 95% confidence interval for beta
    0.41537
  • Upperbound of 95% confidence interval for beta
    2.98041
  • Lowerbound of 95% confidence interval for alpha
    -0.24285
  • Upperbound of 95% confidence interval for alpha
    0.68144
  • Treynor index (mean / b)
    0.36014
  • Jensen alpha (a)
    0.21929
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03469
  • Expected Shortfall on VaR
    0.05544
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    1.01262
  • Quartile 1
    1.01646
  • Median
    1.03282
  • Quartile 3
    1.07474
  • Maximum
    1.17907
  • Mean of quarter 1
    1.01316
  • Mean of quarter 2
    1.02097
  • Mean of quarter 3
    1.05533
  • Mean of quarter 4
    1.13464
  • Inter Quartile Range
    0.05828
  • 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
    0.12500
  • Mean of outliers high
    1.17907
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.79728
  • Compounded annual return (geometric extrapolation)
    0.89533
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    16.14930
  • 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
    0.59818
  • SD
    0.17483
  • Sharpe ratio (Glass type estimate)
    3.42148
  • Sharpe ratio (Hedges UMVUE)
    3.40704
  • df
    178.00000
  • t
    2.82806
  • p
    0.39632
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.01912
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.81445
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.00955
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.80453
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.90770
  • Upside Potential Ratio
    12.97550
  • Upside part of mean
    1.31382
  • Downside part of mean
    -0.71564
  • Upside SD
    0.14666
  • Downside SD
    0.10125
  • N nonnegative terms
    106.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    179.00000
  • Mean of predictor
    0.20318
  • Mean of criterion
    0.59818
  • SD of predictor
    0.11188
  • SD of criterion
    0.17483
  • Covariance
    0.01097
  • r
    0.56094
  • b (slope, estimate of beta)
    0.87659
  • a (intercept, estimate of alpha)
    0.42000
  • Mean Square Error
    0.02107
  • DF error
    177.00000
  • t(b)
    9.01465
  • p(b)
    0.16262
  • t(a)
    2.37726
  • p(a)
    0.38860
  • Lowerbound of 95% confidence interval for beta
    0.68469
  • Upperbound of 95% confidence interval for beta
    1.06849
  • Lowerbound of 95% confidence interval for alpha
    0.07135
  • Upperbound of 95% confidence interval for alpha
    0.76880
  • Treynor index (mean / b)
    0.68239
  • Jensen alpha (a)
    0.42008
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.58233
  • SD
    0.17420
  • Sharpe ratio (Glass type estimate)
    3.34288
  • Sharpe ratio (Hedges UMVUE)
    3.32878
  • df
    178.00000
  • t
    2.76310
  • p
    0.39860
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.94181
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.73484
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.93248
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.72508
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.69884
  • Upside Potential Ratio
    12.75230
  • Upside part of mean
    1.30309
  • Downside part of mean
    -0.72075
  • Upside SD
    0.14501
  • Downside SD
    0.10218
  • N nonnegative terms
    106.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    179.00000
  • Mean of predictor
    0.19685
  • Mean of criterion
    0.58233
  • SD of predictor
    0.11197
  • SD of criterion
    0.17420
  • Covariance
    0.01092
  • r
    0.55987
  • b (slope, estimate of beta)
    0.87102
  • a (intercept, estimate of alpha)
    0.41087
  • Mean Square Error
    0.02095
  • DF error
    177.00000
  • t(b)
    8.98965
  • p(b)
    0.16319
  • t(a)
    2.33247
  • p(a)
    0.39061
  • Lowerbound of 95% confidence interval for beta
    0.67981
  • Upperbound of 95% confidence interval for beta
    1.06223
  • Lowerbound of 95% confidence interval for alpha
    0.06324
  • Upperbound of 95% confidence interval for alpha
    0.75851
  • Treynor index (mean / b)
    0.66857
  • Jensen alpha (a)
    0.41087
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01536
  • Expected Shortfall on VaR
    0.01977
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00543
  • Expected Shortfall on VaR
    0.01152
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    179.00000
  • Minimum
    0.97224
  • Quartile 1
    0.99779
  • Median
    1.00123
  • Quartile 3
    1.00726
  • Maximum
    1.04306
  • Mean of quarter 1
    0.98962
  • Mean of quarter 2
    0.99992
  • Mean of quarter 3
    1.00408
  • Mean of quarter 4
    1.01598
  • Inter Quartile Range
    0.00947
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.04469
  • Mean of outliers low
    0.97765
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.03911
  • Mean of outliers high
    1.02959
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.24019
  • VaR(95%) (moments method)
    0.00727
  • Expected Shortfall (moments method)
    0.00934
  • Extreme Value Index (regression method)
    -0.12976
  • VaR(95%) (regression method)
    0.01082
  • Expected Shortfall (regression method)
    0.01504
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00023
  • Quartile 1
    0.00305
  • Median
    0.02020
  • Quartile 3
    0.03147
  • Maximum
    0.07598
  • Mean of quarter 1
    0.00091
  • Mean of quarter 2
    0.01038
  • Mean of quarter 3
    0.02727
  • Mean of quarter 4
    0.05497
  • Inter Quartile Range
    0.02841
  • 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
    0.06667
  • Mean of outliers high
    0.07598
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -6.46469
  • VaR(95%) (moments method)
    0.05630
  • Expected Shortfall (moments method)
    0.05630
  • Extreme Value Index (regression method)
    -1.15033
  • VaR(95%) (regression method)
    0.07941
  • Expected Shortfall (regression method)
    0.08413
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.75714
  • Compounded annual return (geometric extrapolation)
    0.84088
  • Calmar ratio (compounded annual return / max draw down)
    11.06720
  • Compounded annual return / average of 25% largest draw downs
    15.29780
  • Compounded annual return / Expected Shortfall lognormal
    42.53150
  • 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
    0.44146
  • SD
    0.16144
  • Sharpe ratio (Glass type estimate)
    2.73455
  • Sharpe ratio (Hedges UMVUE)
    2.71874
  • df
    130.00000
  • t
    1.93362
  • p
    0.41640
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.06222
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.52111
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07270
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.51018
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.65724
  • Upside Potential Ratio
    11.62980
  • Upside part of mean
    1.10239
  • Downside part of mean
    -0.66093
  • Upside SD
    0.13275
  • Downside SD
    0.09479
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15696
  • Mean of criterion
    0.44146
  • SD of predictor
    0.10630
  • SD of criterion
    0.16144
  • Covariance
    0.00997
  • r
    0.58109
  • b (slope, estimate of beta)
    0.88254
  • a (intercept, estimate of alpha)
    0.30294
  • Mean Square Error
    0.01740
  • DF error
    129.00000
  • t(b)
    8.10969
  • p(b)
    0.15209
  • t(a)
    1.61736
  • p(a)
    0.41055
  • Lowerbound of 95% confidence interval for beta
    0.66723
  • Upperbound of 95% confidence interval for beta
    1.09785
  • Lowerbound of 95% confidence interval for alpha
    -0.06765
  • Upperbound of 95% confidence interval for alpha
    0.67352
  • Treynor index (mean / b)
    0.50021
  • Jensen alpha (a)
    0.30294
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42819
  • SD
    0.16081
  • Sharpe ratio (Glass type estimate)
    2.66267
  • Sharpe ratio (Hedges UMVUE)
    2.64728
  • df
    130.00000
  • t
    1.88279
  • p
    0.41854
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13295
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.44833
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14314
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.43770
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.47561
  • Upside Potential Ratio
    11.43070
  • Upside part of mean
    1.09360
  • Downside part of mean
    -0.66541
  • Upside SD
    0.13119
  • Downside SD
    0.09567
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15128
  • Mean of criterion
    0.42819
  • SD of predictor
    0.10647
  • SD of criterion
    0.16081
  • Covariance
    0.00992
  • r
    0.57956
  • b (slope, estimate of beta)
    0.87541
  • a (intercept, estimate of alpha)
    0.29576
  • Mean Square Error
    0.01731
  • DF error
    129.00000
  • t(b)
    8.07742
  • p(b)
    0.15289
  • t(a)
    1.58354
  • p(a)
    0.41237
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    0.66099
  • Upperbound of 95% confidence interval for beta
    1.08984
  • Lowerbound of 95% confidence interval for alpha
    -0.07377
  • Upperbound of 95% confidence interval for alpha
    0.66529
  • Treynor index (mean / b)
    0.48913
  • Jensen alpha (a)
    0.29576
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01460
  • Expected Shortfall on VaR
    0.01868
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00505
  • Expected Shortfall on VaR
    0.01074
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97224
  • Quartile 1
    0.99736
  • Median
    1.00063
  • Quartile 3
    1.00565
  • Maximum
    1.04306
  • Mean of quarter 1
    0.99049
  • Mean of quarter 2
    0.99983
  • Mean of quarter 3
    1.00304
  • Mean of quarter 4
    1.01385
  • Inter Quartile Range
    0.00830
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97538
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.02637
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21447
  • VaR(95%) (moments method)
    0.00854
  • Expected Shortfall (moments method)
    0.01379
  • Extreme Value Index (regression method)
    0.15002
  • VaR(95%) (regression method)
    0.00919
  • Expected Shortfall (regression method)
    0.01428
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00300
  • Quartile 1
    0.00357
  • Median
    0.00882
  • Quartile 3
    0.02852
  • Maximum
    0.07598
  • Mean of quarter 1
    0.00333
  • Mean of quarter 2
    0.00450
  • Mean of quarter 3
    0.01980
  • Mean of quarter 4
    0.05234
  • Inter Quartile Range
    0.02495
  • 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
    0.08333
  • Mean of outliers high
    0.07598
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -4.60457
  • VaR(95%) (moments method)
    0.05676
  • Expected Shortfall (moments method)
    0.05684
  • Extreme Value Index (regression method)
    -0.61798
  • VaR(95%) (regression method)
    0.08068
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.09282
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -317669000
  • Max Equity Drawdown (num days)
    32
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.51229
  • Compounded annual return (geometric extrapolation)
    0.57791
  • Calmar ratio (compounded annual return / max draw down)
    7.60612
  • Compounded annual return / average of 25% largest draw downs
    11.04220
  • Compounded annual return / Expected Shortfall lognormal
    30.94470

Strategy Description

NEW UPDATE: This strategy no longer shorts the market and only places long trades.

Dear Prospective Trader,

Thank you for checking out my strategy!

“The purpose of the thermal control subsystem is to maintain all the items of a spacecraft within their allowed temperature limits during all mission phases using minimum spacecraft resources.” (Wertz and Larson, “Space Mission Analysis and Design”)

Similar to the Spacecraft Propulsion Subsystem strategy, trades are only conducted at market close; however, Thermal Control Subsystem does not short the market, and only the long instrument UPRO is used. The market, as measured by the S&P 500 index, provides a continuous set of time series data as input. A weighted KNN regression model is then used to predict the close-to-close change of the S&P 500 index on a daily basis using historical data. The predicted index change is weighted against the current market volatility to calculate the amount of leverage (0, 1.5, 3x) towards a long position. The fund is appropriately sized and traded just after market open and just before market close. The basic philosophy of the strategy (as with most machine learning techniques) is to “do what would’ve worked best, given historically similar conditions.” The optimization goal was to maximize daily Sharpe ratio performance while yielding a daily volatility that is twice the volatility of the S&P 500 index.

The high volume ETF UPRO (3x S&P 500 Index) is used to achieve the fund’s goal. By selecting and varying the total proportion of investment into this fund, the account leverage against the S&P 500 index is varied from 0% to +300% in increments of 150%. This strategy was backtested and optimized using almost 30 years of S&P 500 index data. The use of a long-term data set ensures a generalized approach is applied for the various market conditions of the future. All trades are performed using an automated system which interfaces with the Collective 2 API through a MATLAB scripts.

A few important notes about this strategy:
* Automation is recommended since trade timing is important for the accuracy of maintaining the strategy. Trades are placed 15-20 seconds before market close each day.
* No stops/limits are employed.
* This strategy places a maximum of one trade per day just before market close.

Summary Statistics

Strategy began
2021-03-21
Suggested Minimum Capital
$5,000
Rank at C2 %
Top 7.0%
Rank # 
#57
# Trades
40
# Profitable
24
% Profitable
60.0%
Net Dividends
Correlation S&P500
0.574
Sharpe Ratio
2.52
Sortino Ratio
4.23
Beta
0.93
Alpha
0.09
Leverage
2.40 Average
3.45 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.