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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 04/01/2021
Most recent certification approved 4/1/21 10:32 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 28
# trading signals executed in manager's Israel Interactive Trading account 28
Percent signals followed since 04/01/2021 100%
This information was last updated 3/29/24 2:39 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life 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 04/01/2021, 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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

M Capital
(134926317)

Created by: RINGO RINGO
Started: 03/2021
Stocks
Last trade: 9 days ago
Trading style: Equity Hedged Equity Momentum

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 $10.00 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.

Trading Category: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
-30.9%
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.

(81.7%)
Max Drawdown
11
Num Trades
63.6%
Win Trades
0.4 : 1
Profit Factor
45.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021              (0.9%)(0.6%)+1.0%+3.9%+10.9%+2.3%(5.8%)+3.9%(1.2%)+3.3%+17.3%
2022(2.7%)(11.3%)+10.1%(28.3%)(28.3%)(29.3%)+35.3%(18.1%)(37.4%)+9.9%+19.1%(28.1%)(77.5%)
2023+26.9%(16.1%)+12.8%+3.2%(2.9%)+29.5%+11.7%(11.5%)(25.5%)(17.2%)+53.5%+15.2%+68.0%
2024(3.7%)(12.1%)(12.4%)                                                      (25.8%)

Model Account Details

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

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

Trading Record

This strategy has placed 28 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
5/31/22 12:04 UPRO PROSHARES ULTRAPRO S&P 500 LONG 120 42.71 12/18/23 10:06 42.87 97.58%
Trade id #140637846
Max drawdown($1,450)
Time10/10/22 0:00
Quant open76
Worst price28.22
Drawdown as % of equity-97.58%
$16
Includes Typical Broker Commissions trade costs of $2.40
11/26/21 13:44 UPRO PROSHARES ULTRAPRO S&P 500 LONG 95 63.28 5/20/22 12:10 37.59 76.7%
Trade id #138358479
Max drawdown($2,459)
Time5/20/22 12:10
Quant open95
Worst price37.39
Drawdown as % of equity-76.70%
($2,443)
Includes Typical Broker Commissions trade costs of $1.90
10/22/21 10:35 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 125 14.72 11/26 13:44 14.25 3.97%
Trade id #137919084
Max drawdown($223)
Time11/22/21 0:00
Quant open125
Worst price12.93
Drawdown as % of equity-3.97%
($62)
Includes Typical Broker Commissions trade costs of $2.50
7/19/21 12:57 UPRO PROSHARES ULTRAPRO S&P 500 LONG 16 108.86 10/22 10:34 134.10 0.18%
Trade id #136561550
Max drawdown($9)
Time7/19/21 13:33
Quant open16
Worst price108.24
Drawdown as % of equity-0.18%
$404
Includes Typical Broker Commissions trade costs of $0.32
7/12/21 15:31 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 97 17.09 7/19 12:56 18.84 0.19%
Trade id #136456650
Max drawdown($10)
Time7/14/21 0:00
Quant open97
Worst price16.98
Drawdown as % of equity-0.19%
$169
Includes Typical Broker Commissions trade costs of $1.94
6/4/21 9:50 SPXL DIREXION DAILY S&P500 BULL 3X LONG 36 100.82 7/12 15:25 113.30 2.72%
Trade id #135910479
Max drawdown($136)
Time6/18/21 0:00
Quant open36
Worst price97.03
Drawdown as % of equity-2.72%
$448
Includes Typical Broker Commissions trade costs of $0.72
6/3/21 4:14 UPRO PROSHARES ULTRAPRO S&P 500 LONG 34 106.08 6/4 9:50 107.26 1.74%
Trade id #135883841
Max drawdown($87)
Time6/3/21 9:49
Quant open34
Worst price103.51
Drawdown as % of equity-1.74%
$39
Includes Typical Broker Commissions trade costs of $0.68
5/7/21 6:34 SPXL DIREXION DAILY S&P500 BULL 3X LONG 36 96.66 6/3 4:11 99.75 5.08%
Trade id #135501095
Max drawdown($248)
Time5/12/21 0:00
Quant open36
Worst price89.76
Drawdown as % of equity-5.08%
$110
Includes Typical Broker Commissions trade costs of $0.72
4/8/21 16:00 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 71 21.54 5/7 6:32 19.72 2.68%
Trade id #135067913
Max drawdown($133)
Time4/29/21 0:00
Quant open71
Worst price19.66
Drawdown as % of equity-2.68%
($130)
Includes Typical Broker Commissions trade costs of $1.42
4/1/21 10:32 SPXL DIREXION DAILY S&P500 BULL 3X LONG 18 86.72 4/8 16:06 93.12 0.08%
Trade id #134967723
Max drawdown($4)
Time4/1/21 10:54
Quant open18
Worst price86.49
Drawdown as % of equity-0.08%
$115
Includes Typical Broker Commissions trade costs of $0.36

Statistics

  • Strategy began
    3/30/2021
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1094.69
  • Age
    37 months ago
  • What it trades
    Stocks
  • # Trades
    11
  • # Profitable
    7
  • % Profitable
    63.60%
  • Avg trade duration
    98.3 days
  • Max peak-to-valley drawdown
    81.71%
  • drawdown period
    Feb 02, 2022 - Oct 27, 2023
  • Annual Return (Compounded)
    -30.9%
  • Avg win
    $186.86
  • Avg loss
    $787.75
  • Model Account Values (Raw)
  • Cash
    $1,168
  • Margin Used
    $0
  • Buying Power
    $647
  • Ratios
  • W:L ratio
    0.45:1
  • Sharpe Ratio
    -0.45
  • Sortino Ratio
    -0.6
  • Calmar Ratio
    -0.21
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -99.85%
  • Correlation to SP500
    0.65650
  • Return Percent SP500 (cumu) during strategy life
    32.73%
  • Return Statistics
  • Ann Return (w trading costs)
    -30.9%
  • Slump
  • Current Slump as Pcnt Equity
    265.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.72%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.309%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -13.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    15
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $788
  • Avg Win
    $187
  • Sum Trade PL (losers)
    $3,151.000
  • Age
  • Num Months filled monthly returns table
    37
  • Win / Loss
  • Sum Trade PL (winners)
    $1,308.000
  • # Winners
    7
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    94
  • AUM
  • AUM (AutoTrader live capital)
    3234
  • Win / Loss
  • # Losers
    4
  • % Winners
    63.6%
  • Frequency
  • Avg Position Time (mins)
    141597.00
  • Avg Position Time (hrs)
    2359.95
  • Avg Trade Length
    98.3 days
  • Last Trade Ago
    8
  • Leverage
  • Daily leverage (average)
    3.88
  • Daily leverage (max)
    8.47
  • Regression
  • Alpha
    -0.12
  • Beta
    1.93
  • Treynor Index
    -0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.20
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    7.14
  • MAE:Equity, average, winning trades
    0.15
  • MAE:Equity, average, losing trades
    0.29
  • Avg(MAE) / Avg(PL) - All trades
    -2.848
  • 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
    0.33
  • Avg(MAE) / Avg(PL) - Winning trades
    1.488
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.060
  • Hold-and-Hope Ratio
    -0.277
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08091
  • SD
    0.44508
  • Sharpe ratio (Glass type estimate)
    -0.18178
  • Sharpe ratio (Hedges UMVUE)
    -0.17761
  • df
    33.00000
  • t
    -0.30599
  • p
    0.61923
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.34566
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.98478
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.34279
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98757
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.23932
  • Upside Potential Ratio
    1.62306
  • Upside part of mean
    0.54871
  • Downside part of mean
    -0.62962
  • Upside SD
    0.28023
  • Downside SD
    0.33807
  • N nonnegative terms
    18.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.08231
  • Mean of criterion
    -0.08091
  • SD of predictor
    0.15204
  • SD of criterion
    0.44508
  • Covariance
    0.05710
  • r
    0.84378
  • b (slope, estimate of beta)
    2.47001
  • a (intercept, estimate of alpha)
    -0.28420
  • Mean Square Error
    0.05884
  • DF error
    32.00000
  • t(b)
    8.89359
  • p(b)
    0.00000
  • t(a)
    -1.94775
  • p(a)
    0.96987
  • Lowerbound of 95% confidence interval for beta
    1.90429
  • Upperbound of 95% confidence interval for beta
    3.03573
  • Lowerbound of 95% confidence interval for alpha
    -0.58142
  • Upperbound of 95% confidence interval for alpha
    0.01301
  • Treynor index (mean / b)
    -0.03276
  • Jensen alpha (a)
    -0.28420
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.18262
  • SD
    0.46400
  • Sharpe ratio (Glass type estimate)
    -0.39358
  • Sharpe ratio (Hedges UMVUE)
    -0.38455
  • df
    33.00000
  • t
    -0.66249
  • p
    0.74387
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.55889
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.77758
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.55263
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78353
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.47750
  • Upside Potential Ratio
    1.34066
  • Upside part of mean
    0.51273
  • Downside part of mean
    -0.69535
  • Upside SD
    0.25588
  • Downside SD
    0.38245
  • N nonnegative terms
    18.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    34.00000
  • Mean of predictor
    0.07068
  • Mean of criterion
    -0.18262
  • SD of predictor
    0.15209
  • SD of criterion
    0.46400
  • Covariance
    0.05975
  • r
    0.84663
  • b (slope, estimate of beta)
    2.58291
  • a (intercept, estimate of alpha)
    -0.36518
  • Mean Square Error
    0.06288
  • DF error
    32.00000
  • t(b)
    8.99932
  • p(b)
    0.00000
  • t(a)
    -2.42890
  • p(a)
    0.98953
  • Lowerbound of 95% confidence interval for beta
    1.99829
  • Upperbound of 95% confidence interval for beta
    3.16753
  • Lowerbound of 95% confidence interval for alpha
    -0.67143
  • Upperbound of 95% confidence interval for alpha
    -0.05893
  • Treynor index (mean / b)
    -0.07070
  • Jensen alpha (a)
    -0.36518
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20985
  • Expected Shortfall on VaR
    0.25196
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.11751
  • Expected Shortfall on VaR
    0.21956
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    34.00000
  • Minimum
    0.70457
  • Quartile 1
    0.91223
  • Median
    1.01956
  • Quartile 3
    1.09062
  • Maximum
    1.30914
  • Mean of quarter 1
    0.82952
  • Mean of quarter 2
    0.97575
  • Mean of quarter 3
    1.03818
  • Mean of quarter 4
    1.14142
  • Inter Quartile Range
    0.17839
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.17603
  • VaR(95%) (moments method)
    0.18067
  • Expected Shortfall (moments method)
    0.22265
  • Extreme Value Index (regression method)
    -0.34242
  • VaR(95%) (regression method)
    0.20800
  • Expected Shortfall (regression method)
    0.24709
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.04049
  • Quartile 1
    0.04216
  • Median
    0.04382
  • Quartile 3
    0.33990
  • Maximum
    0.63598
  • Mean of quarter 1
    0.04049
  • Mean of quarter 2
    0.04382
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.63598
  • Inter Quartile Range
    0.29774
  • 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)
    -0.12526
  • Compounded annual return (geometric extrapolation)
    -0.14334
  • Calmar ratio (compounded annual return / max draw down)
    -0.22538
  • Compounded annual return / average of 25% largest draw downs
    -0.22538
  • Compounded annual return / Expected Shortfall lognormal
    -0.56889
  • 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
    -0.11755
  • SD
    0.34688
  • Sharpe ratio (Glass type estimate)
    -0.33888
  • Sharpe ratio (Hedges UMVUE)
    -0.33854
  • df
    746.00000
  • t
    -0.57221
  • p
    0.71632
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.49967
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.82208
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.49942
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.82234
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.44270
  • Upside Potential Ratio
    6.75939
  • Upside part of mean
    1.79485
  • Downside part of mean
    -1.91240
  • Upside SD
    0.22296
  • Downside SD
    0.26553
  • N nonnegative terms
    375.00000
  • N negative terms
    372.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    747.00000
  • Mean of predictor
    0.08602
  • Mean of criterion
    -0.11755
  • SD of predictor
    0.17083
  • SD of criterion
    0.34688
  • Covariance
    0.04016
  • r
    0.67764
  • b (slope, estimate of beta)
    1.37600
  • a (intercept, estimate of alpha)
    -0.23600
  • Mean Square Error
    0.06516
  • DF error
    745.00000
  • t(b)
    25.15100
  • p(b)
    -0.00000
  • t(a)
    -1.55977
  • p(a)
    0.94038
  • Lowerbound of 95% confidence interval for beta
    1.26860
  • Upperbound of 95% confidence interval for beta
    1.48340
  • Lowerbound of 95% confidence interval for alpha
    -0.53284
  • Upperbound of 95% confidence interval for alpha
    0.06101
  • Treynor index (mean / b)
    -0.08543
  • Jensen alpha (a)
    -0.23592
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.17868
  • SD
    0.35137
  • Sharpe ratio (Glass type estimate)
    -0.50851
  • Sharpe ratio (Hedges UMVUE)
    -0.50800
  • df
    746.00000
  • t
    -0.85863
  • p
    0.80459
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.66938
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.65270
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.66903
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65304
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.64983
  • Upside Potential Ratio
    6.43897
  • Upside part of mean
    1.77044
  • Downside part of mean
    -1.94911
  • Upside SD
    0.21867
  • Downside SD
    0.27496
  • N nonnegative terms
    375.00000
  • N negative terms
    372.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    747.00000
  • Mean of predictor
    0.07141
  • Mean of criterion
    -0.17868
  • SD of predictor
    0.17097
  • SD of criterion
    0.35137
  • Covariance
    0.04067
  • r
    0.67708
  • b (slope, estimate of beta)
    1.39150
  • a (intercept, estimate of alpha)
    -0.27805
  • Mean Square Error
    0.06695
  • DF error
    745.00000
  • t(b)
    25.11270
  • p(b)
    -0.00000
  • t(a)
    -1.81386
  • p(a)
    0.96495
  • Lowerbound of 95% confidence interval for beta
    1.28272
  • Upperbound of 95% confidence interval for beta
    1.50028
  • Lowerbound of 95% confidence interval for alpha
    -0.57898
  • Upperbound of 95% confidence interval for alpha
    0.02289
  • Treynor index (mean / b)
    -0.12840
  • Jensen alpha (a)
    -0.27805
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03573
  • Expected Shortfall on VaR
    0.04441
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01663
  • Expected Shortfall on VaR
    0.03398
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    747.00000
  • Minimum
    0.82914
  • Quartile 1
    0.99246
  • Median
    1.00018
  • Quartile 3
    1.00890
  • Maximum
    1.08400
  • Mean of quarter 1
    0.97408
  • Mean of quarter 2
    0.99697
  • Mean of quarter 3
    1.00398
  • Mean of quarter 4
    1.02362
  • Inter Quartile Range
    0.01644
  • Number outliers low
    46.00000
  • Percentage of outliers low
    0.06158
  • Mean of outliers low
    0.94853
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.04016
  • Mean of outliers high
    1.04876
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07170
  • VaR(95%) (moments method)
    0.02093
  • Expected Shortfall (moments method)
    0.03041
  • Extreme Value Index (regression method)
    0.07183
  • VaR(95%) (regression method)
    0.02494
  • Expected Shortfall (regression method)
    0.03725
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00250
  • Median
    0.01411
  • Quartile 3
    0.04965
  • Maximum
    0.66675
  • Mean of quarter 1
    0.00106
  • Mean of quarter 2
    0.00674
  • Mean of quarter 3
    0.03299
  • Mean of quarter 4
    0.26785
  • Inter Quartile Range
    0.04714
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    0.45019
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.81825
  • VaR(95%) (moments method)
    0.24677
  • Expected Shortfall (moments method)
    1.48209
  • Extreme Value Index (regression method)
    1.86610
  • VaR(95%) (regression method)
    0.43235
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.12255
  • Compounded annual return (geometric extrapolation)
    -0.13995
  • Calmar ratio (compounded annual return / max draw down)
    -0.20990
  • Compounded annual return / average of 25% largest draw downs
    -0.52250
  • Compounded annual return / Expected Shortfall lognormal
    -3.15137
  • 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
    0.24885
  • SD
    0.22481
  • Sharpe ratio (Glass type estimate)
    1.10694
  • Sharpe ratio (Hedges UMVUE)
    1.10054
  • df
    130.00000
  • t
    0.78273
  • p
    0.46576
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.67018
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.87996
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.67449
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.87558
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.71635
  • Upside Potential Ratio
    9.59011
  • Upside part of mean
    1.39044
  • Downside part of mean
    -1.14159
  • Upside SD
    0.17137
  • Downside SD
    0.14499
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.39218
  • Mean of criterion
    0.24885
  • SD of predictor
    0.11484
  • SD of criterion
    0.22481
  • Covariance
    0.00822
  • r
    0.31855
  • b (slope, estimate of beta)
    0.62358
  • a (intercept, estimate of alpha)
    0.00429
  • Mean Square Error
    0.04576
  • DF error
    129.00000
  • t(b)
    3.81684
  • p(b)
    0.30069
  • t(a)
    0.01387
  • p(a)
    0.49922
  • Lowerbound of 95% confidence interval for beta
    0.30034
  • Upperbound of 95% confidence interval for beta
    0.94683
  • Lowerbound of 95% confidence interval for alpha
    -0.60755
  • Upperbound of 95% confidence interval for alpha
    0.61613
  • Treynor index (mean / b)
    0.39906
  • Jensen alpha (a)
    0.00429
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22374
  • SD
    0.22418
  • Sharpe ratio (Glass type estimate)
    0.99802
  • Sharpe ratio (Hedges UMVUE)
    0.99225
  • df
    130.00000
  • t
    0.70570
  • p
    0.46911
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.77826
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.77067
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.78218
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.76668
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.52375
  • Upside Potential Ratio
    9.37038
  • Upside part of mean
    1.37590
  • Downside part of mean
    -1.15216
  • Upside SD
    0.16884
  • Downside SD
    0.14683
  • N nonnegative terms
    64.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.38532
  • Mean of criterion
    0.22374
  • SD of predictor
    0.11468
  • SD of criterion
    0.22418
  • Covariance
    0.00815
  • r
    0.31709
  • b (slope, estimate of beta)
    0.61989
  • a (intercept, estimate of alpha)
    -0.01512
  • Mean Square Error
    0.04556
  • DF error
    129.00000
  • t(b)
    3.79743
  • p(b)
    0.30157
  • t(a)
    -0.04904
  • p(a)
    0.50275
  • VAR (95 Confidence Intrvl)
    0.03600
  • Lowerbound of 95% confidence interval for beta
    0.29692
  • Upperbound of 95% confidence interval for beta
    0.94287
  • Lowerbound of 95% confidence interval for alpha
    -0.62516
  • Upperbound of 95% confidence interval for alpha
    0.59492
  • Treynor index (mean / b)
    0.36093
  • Jensen alpha (a)
    -0.01512
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02169
  • Expected Shortfall on VaR
    0.02732
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01018
  • Expected Shortfall on VaR
    0.01990
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96059
  • Quartile 1
    0.99489
  • Median
    1.00000
  • Quartile 3
    1.00650
  • Maximum
    1.04888
  • Mean of quarter 1
    0.98495
  • Mean of quarter 2
    0.99796
  • Mean of quarter 3
    1.00347
  • Mean of quarter 4
    1.01791
  • Inter Quartile Range
    0.01161
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.96941
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.03366
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09848
  • VaR(95%) (moments method)
    0.01340
  • Expected Shortfall (moments method)
    0.01961
  • Extreme Value Index (regression method)
    0.12874
  • VaR(95%) (regression method)
    0.01401
  • Expected Shortfall (regression method)
    0.02097
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00211
  • Quartile 1
    0.00290
  • Median
    0.01118
  • Quartile 3
    0.03210
  • Maximum
    0.15835
  • Mean of quarter 1
    0.00249
  • Mean of quarter 2
    0.00644
  • Mean of quarter 3
    0.01524
  • Mean of quarter 4
    0.11215
  • Inter Quartile Range
    0.02921
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.14977
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -295.10900
  • VaR(95%) (moments method)
    0.08872
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.60204
  • VaR(95%) (regression method)
    0.28577
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.28620
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -320257000
  • Max Equity Drawdown (num days)
    632
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26816
  • Compounded annual return (geometric extrapolation)
    0.28614
  • Calmar ratio (compounded annual return / max draw down)
    1.80700
  • Compounded annual return / average of 25% largest draw downs
    2.55149
  • Compounded annual return / Expected Shortfall lognormal
    10.47310

Strategy Description

Our strategy uses Leveraged ETF's on S&P 500 to enter Long/Short positions.
There will be around 30 trades on average per year so please ENTER EXISTING POSITIONS. The strategy sometimes trades beyond RTH(Regular Trade Hours), so we recommend to use AutoTrade

Summary Statistics

Strategy began
2021-03-30
Suggested Minimum Capital
$15,000
# Trades
11
# Profitable
7
% Profitable
63.6%
Net Dividends
Correlation S&P500
0.656
Sharpe Ratio
-0.45
Sortino Ratio
-0.60
Beta
1.93
Alpha
-0.12
Leverage
3.88 Average
8.47 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.