This system has earned TradesOwnStrategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details
Certification process started
09/21/2020
Most recent certification approved
9/21/20 9:56 ET
Trades at broker
Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used
100%
# trading signals issued by system since certification
226
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account
226
Percent signals followed since 09/21/2020
100%
This information was last updated
7/26/21 17:59 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account,
the trading results presented on this Web site must still be regarded as purely hypothetical results.
This is because (among other reasons) the system developer may not have traded all signals,
particularly those that occurred before 09/21/2020,
and the system developer's results may not match the system results presented here. In addition,
not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations.
Unlike the results shown in an actual performance record, these results do not represent actual trading.
Also, because these trades have not actually been executed, these results may have
underor overcompensated for the impact, if any, of certain market factors, such as lack of liquidity.
Simulated or hypothetical trading programs in general are
also subject to the fact that they are designed with the benefit of hindsight. No representation is being
made that any account will or is likely to achieve
profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely
account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere
to a particular trading program in spite of trading losses are material points which can also adversely affect
actual trading results. There are numerous other factors related to the markets in general or to the implementation
of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance
results and all of which can adversely affect actual trading results.
You may be interested to learn more technical details about
how Collective2 calculates the hypothetical results you see on this web site.
Patience is a Virtue
(123937705)
This system has earned TradesOwnStrategy (TOS) Certification. This means that the manager of this system trades his own strategy in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details  

Certification process started  09/21/2020 
Most recent certification approved  9/21/20 9:56 ET 
Trades at broker  Interactive Brokers (Stocks, Options, Futures) 
Scaling percentage used  100% 
# trading signals issued by system since certification  226 
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account  226 
Percent signals followed since 09/21/2020  100% 
This information was last updated  7/26/21 17:59 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 09/21/2020, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have underor overcompensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.
You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.
Subscription terms. Subscriptions to this system cost $125.00 per month.
C2Star
C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.
You can read more about C2Star certification requirements here.
Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.
Trendfollowing
Tries to take advantage of long, medium or shortterm moves that seem to play out in various markets. Typically, trendfollowing analysis is backward looking; that is, it attempts to recognize and profit from alreadyestablished trends.Sector Rotation
Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.Rate of Return Calculations
Overview
To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.
How Annualized (Compounded) Rate of Return is calculated
= ((Ending_equity / Starting_equity) ^ (1 / age_in_years))  1
Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2019  +17.0%  (0.7%)  +3.3%  (8%)  +1.5%  +0.7%  +7.2%  +20.7%  
2020  +9.5%  +9.4%  +30.2%  +8.5%  (0.8%)  +4.3%  +15.4%  +18.4%  (17.7%)  +5.8%  +20.4%  +15.5%  +189.8% 
2021  (1.1%)  +7.9%  +7.4%  +7.2%  (6.8%)  +2.3%  +4.8%  +22.8% 
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.
Started  $37,500  
Buy Power  $53,821  
Cash  $1  
Equity  $1  
Cumulative $  $128,658  
Includes dividends and cashsettled expirations:  $171  Itemized 
Total System Equity  $166,158  
Margined  $1  
Open P/L  $6,494  
Data has been delayed by 168 hours for nonsubscribers 
System developer has asked us to delay this information by 168 hours.
Trading Record
Statistics

Strategy began6/4/2019

Suggested Minimum Cap$25,000

Strategy Age (days)783.09

Age26 months ago

What it tradesStocks

# Trades70

# Profitable41

% Profitable58.60%

Avg trade duration61.4 days

Max peaktovalley drawdown26.26%

drawdown periodSept 03, 2020  Sept 23, 2020

Annual Return (Compounded)96.7%

Avg win$3,735

Avg loss$925.10
 Model Account Values (Raw)

Cash$33,695

Margin Used$0

Buying Power$53,821
 Ratios

W:L ratio5.72:1

Sharpe Ratio1.9

Sortino Ratio2.91

Calmar Ratio4.217
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)271.97%

Correlation to SP5000.09400

Return Percent SP500 (cumu) during strategy life57.46%
 Return Statistics

Ann Return (w trading costs)96.7%
 Slump

Current Slump as Pcnt Equity5.10%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.10%
 Return Statistics

Return Pcnt Since TOS Status143.940%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.967%
 Instruments

Percent Trades Options0.06%

Percent Trades Stocks0.94%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)100.0%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss31.00%

Chance of 20% account loss6.50%

Chance of 30% account loss0.50%

Chance of 40% account lossn/a

Chance of 60% account loss (Monte Carlo)n/a

Chance of 70% account loss (Monte Carlo)n/a

Chance of 80% account loss (Monte Carlo)n/a

Chance of 90% account loss (Monte Carlo)n/a
 Automation

Percentage Signals Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)988

Popularity (Last 6 weeks)993
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score989

Popularity (7 days, Percentile 1000 scale)981
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$925

Avg Win$3,788

Sum Trade PL (losers)$26,828.000
 AUM

AUM (AutoTrader num accounts)36
 Age

Num Months filled monthly returns table26
 Win / Loss

Sum Trade PL (winners)$155,316.000

# Winners41

Num Months Winners20
 Dividends

Dividends Received in Model Acct171
 AUM

AUM (AutoTrader live capital)4709840
 Win / Loss

# Losers29

% Winners58.6%
 Frequency

Avg Position Time (mins)88405.20

Avg Position Time (hrs)1473.42

Avg Trade Length61.4 days

Last Trade Ago6
 Leverage

Daily leverage (average)1.56

Daily leverage (max)2.55
 Regression

Alpha0.19

Beta0.12

Treynor Index1.69
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.46

MAE:Equity, average, winning trades0.01

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  All trades0.585

MAE:Equity, losing trades only, 95th Percentile Value for this strat

MAE:Equity, win trades only, 95th Percentile Value for this strat

MAE:Equity, 95th Percentile Value for this strat0.02

Avg(MAE) / Avg(PL)  Winning trades0.205

Avg(MAE) / Avg(PL)  Losing trades1.404

HoldandHope Ratio1.755
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.74742

SD0.30466

Sharpe ratio (Glass type estimate)2.45330

Sharpe ratio (Hedges UMVUE)2.37569

df24.00000

t3.54104

p0.00083

Lowerbound of 95% confidence interval for Sharpe Ratio0.90970

Upperbound of 95% confidence interval for Sharpe Ratio3.95625

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.86058

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.89081
 Statistics related to Sortino ratio

Sortino ratio8.15448

Upside Potential Ratio9.63363

Upside part of mean0.88299

Downside part of mean0.13558

Upside SD0.35673

Downside SD0.09166

N nonnegative terms18.00000

N negative terms7.00000
 Statistics related to linear regression on benchmark

N of observations25.00000

Mean of predictor0.20592

Mean of criterion0.74742

SD of predictor0.19375

SD of criterion0.30466

Covariance0.00511

r0.08657

b (slope, estimate of beta)0.13613

a (intercept, estimate of alpha)0.77545

Mean Square Error0.09613

DF error23.00000

t(b)0.41675

p(b)0.65964

t(a)3.44510

p(a)0.00110

Lowerbound of 95% confidence interval for beta0.81184

Upperbound of 95% confidence interval for beta0.53958

Lowerbound of 95% confidence interval for alpha0.30982

Upperbound of 95% confidence interval for alpha1.24108

Treynor index (mean / b)5.49050

Jensen alpha (a)0.77545
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.68409

SD0.28646

Sharpe ratio (Glass type estimate)2.38808

Sharpe ratio (Hedges UMVUE)2.31253

df24.00000

t3.44689

p0.00105

Lowerbound of 95% confidence interval for Sharpe Ratio0.85304

Upperbound of 95% confidence interval for Sharpe Ratio3.88314

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.80525

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.81981
 Statistics related to Sortino ratio

Sortino ratio7.16422

Upside Potential Ratio8.62714

Upside part of mean0.82378

Downside part of mean0.13969

Upside SD0.32963

Downside SD0.09549

N nonnegative terms18.00000

N negative terms7.00000
 Statistics related to linear regression on benchmark

N of observations25.00000

Mean of predictor0.18512

Mean of criterion0.68409

SD of predictor0.20041

SD of criterion0.28646

Covariance0.00511

r0.08896

b (slope, estimate of beta)0.12716

a (intercept, estimate of alpha)0.70763

Mean Square Error0.08495

DF error23.00000

t(b)0.42836

p(b)0.66381

t(a)3.38134

p(a)0.00129

Lowerbound of 95% confidence interval for beta0.74127

Upperbound of 95% confidence interval for beta0.48695

Lowerbound of 95% confidence interval for alpha0.27471

Upperbound of 95% confidence interval for alpha1.14054

Treynor index (mean / b)5.37958

Jensen alpha (a)0.70763
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07597

Expected Shortfall on VaR0.10694
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01694

Expected Shortfall on VaR0.03901
 ORDER STATISTICS
 Quartiles of return rates

Number of observations25.00000

Minimum0.89565

Quartile 10.99362

Median1.05596

Quartile 31.13833

Maximum1.21850

Mean of quarter 10.96198

Mean of quarter 21.03246

Mean of quarter 31.10083

Mean of quarter 41.18029

Inter Quartile Range0.14471

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

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

Extreme Value Index (moments method)2.28390

VaR(95%) (moments method)0.02186

Expected Shortfall (moments method)0.02217

Extreme Value Index (regression method)0.33269

VaR(95%) (regression method)0.05054

Expected Shortfall (regression method)0.06522
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.01571

Quartile 10.02678

Median0.05269

Quartile 30.08227

Maximum0.10435

Mean of quarter 10.01571

Mean of quarter 20.03047

Mean of quarter 30.07491

Mean of quarter 40.10435

Inter Quartile Range0.05549

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.00000

VaR(95%) (regression method)0.00000

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.63563

Compounded annual return (geometric extrapolation)1.03805

Calmar ratio (compounded annual return / max draw down)9.94793

Compounded annual return / average of 25% largest draw downs9.94793

Compounded annual return / Expected Shortfall lognormal9.70689

0.00000

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

Mean0.71686

SD0.29708

Sharpe ratio (Glass type estimate)2.41305

Sharpe ratio (Hedges UMVUE)2.40978

df554.00000

t3.51206

p0.00024

Lowerbound of 95% confidence interval for Sharpe Ratio1.05790

Upperbound of 95% confidence interval for Sharpe Ratio3.76613

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.05568

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.76387
 Statistics related to Sortino ratio

Sortino ratio3.69796

Upside Potential Ratio10.81870

Upside part of mean2.09723

Downside part of mean1.38037

Upside SD0.22908

Downside SD0.19385

N nonnegative terms329.00000

N negative terms226.00000
 Statistics related to linear regression on benchmark

N of observations555.00000

Mean of predictor0.21999

Mean of criterion0.71686

SD of predictor0.25448

SD of criterion0.29708

Covariance0.00785

r0.10390

b (slope, estimate of beta)0.12129

a (intercept, estimate of alpha)0.69000

Mean Square Error0.08746

DF error553.00000

t(b)2.45651

p(b)0.00717

t(a)3.39182

p(a)0.00037

Lowerbound of 95% confidence interval for beta0.02430

Upperbound of 95% confidence interval for beta0.21827

Lowerbound of 95% confidence interval for alpha0.29048

Upperbound of 95% confidence interval for alpha1.08987

Treynor index (mean / b)5.91052

Jensen alpha (a)0.69018
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.67188

SD0.29687

Sharpe ratio (Glass type estimate)2.26321

Sharpe ratio (Hedges UMVUE)2.26015

df554.00000

t3.29398

p0.00053

Lowerbound of 95% confidence interval for Sharpe Ratio0.90902

Upperbound of 95% confidence interval for Sharpe Ratio3.61546

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.90695

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.61335
 Statistics related to Sortino ratio

Sortino ratio3.39837

Upside Potential Ratio10.47700

Upside part of mean2.07140

Downside part of mean1.39951

Upside SD0.22496

Downside SD0.19771

N nonnegative terms329.00000

N negative terms226.00000
 Statistics related to linear regression on benchmark

N of observations555.00000

Mean of predictor0.18730

Mean of criterion0.67188

SD of predictor0.25620

SD of criterion0.29687

Covariance0.00807

r0.10612

b (slope, estimate of beta)0.12297

a (intercept, estimate of alpha)0.64885

Mean Square Error0.08730

DF error553.00000

t(b)2.50974

p(b)0.00618

t(a)3.19298

p(a)0.00074

Lowerbound of 95% confidence interval for beta0.02673

Upperbound of 95% confidence interval for beta0.21921

Lowerbound of 95% confidence interval for alpha0.24969

Upperbound of 95% confidence interval for alpha1.04802

Treynor index (mean / b)5.46387

Jensen alpha (a)0.64885
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02723

Expected Shortfall on VaR0.03463
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01048

Expected Shortfall on VaR0.02217
 ORDER STATISTICS
 Quartiles of return rates

Number of observations555.00000

Minimum0.93610

Quartile 10.99401

Median1.00291

Quartile 31.01184

Maximum1.09412

Mean of quarter 10.98081

Mean of quarter 20.99893

Mean of quarter 31.00724

Mean of quarter 41.02442

Inter Quartile Range0.01783

Number outliers low23.00000

Percentage of outliers low0.04144

Mean of outliers low0.95369

Number of outliers high16.00000

Percentage of outliers high0.02883

Mean of outliers high1.05042
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.36717

VaR(95%) (moments method)0.01848

Expected Shortfall (moments method)0.03468

Extreme Value Index (regression method)0.03038

VaR(95%) (regression method)0.01936

Expected Shortfall (regression method)0.02810
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations47.00000

Minimum0.00005

Quartile 10.00699

Median0.01606

Quartile 30.04444

Maximum0.24030

Mean of quarter 10.00290

Mean of quarter 20.01205

Mean of quarter 30.03134

Mean of quarter 40.09830

Inter Quartile Range0.03745

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high5.00000

Percentage of outliers high0.10638

Mean of outliers high0.16016
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.50339

VaR(95%) (moments method)0.11431

Expected Shortfall (moments method)0.24535

Extreme Value Index (regression method)0.80328

VaR(95%) (regression method)0.08941

Expected Shortfall (regression method)0.34239
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.60666

Compounded annual return (geometric extrapolation)1.01333

Calmar ratio (compounded annual return / max draw down)4.21694

Compounded annual return / average of 25% largest draw downs10.30860

Compounded annual return / Expected Shortfall lognormal29.26140

0.00000

0.00000
 Analysis based on DAILY values, last 6 months only
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.32726

SD0.32066

Sharpe ratio (Glass type estimate)1.02056

Sharpe ratio (Hedges UMVUE)1.01466

df130.00000

t0.72165

p0.46842

Lowerbound of 95% confidence interval for Sharpe Ratio1.75595

Upperbound of 95% confidence interval for Sharpe Ratio3.79321

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.75989

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.78921
 Statistics related to Sortino ratio

Sortino ratio1.37716

Upside Potential Ratio8.75309

Upside part of mean2.08002

Downside part of mean1.75276

Upside SD0.21443

Downside SD0.23763

N nonnegative terms81.00000

N negative terms50.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.26304

Mean of criterion0.32726

SD of predictor0.13597

SD of criterion0.32066

Covariance0.02528

r0.57975

b (slope, estimate of beta)1.36721

a (intercept, estimate of alpha)0.03237

Mean Square Error0.06879

DF error129.00000

t(b)8.08133

p(b)0.15279

t(a)0.08665

p(a)0.50486

Lowerbound of 95% confidence interval for beta1.03248

Upperbound of 95% confidence interval for beta1.70195

Lowerbound of 95% confidence interval for alpha0.77153

Upperbound of 95% confidence interval for alpha0.70679

Treynor index (mean / b)0.23936

Jensen alpha (a)0.03237
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.27563

SD0.32266

Sharpe ratio (Glass type estimate)0.85422

Sharpe ratio (Hedges UMVUE)0.84928

df130.00000

t0.60403

p0.47355

Lowerbound of 95% confidence interval for Sharpe Ratio1.92110

Upperbound of 95% confidence interval for Sharpe Ratio3.62640

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.92444

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.62301
 Statistics related to Sortino ratio

Sortino ratio1.13584

Upside Potential Ratio8.47780

Upside part of mean2.05723

Downside part of mean1.78161

Upside SD0.21147

Downside SD0.24266

N nonnegative terms81.00000

N negative terms50.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.25370

Mean of criterion0.27563

SD of predictor0.13607

SD of criterion0.32266

Covariance0.02538

r0.57815

b (slope, estimate of beta)1.37096

a (intercept, estimate of alpha)0.07219

Mean Square Error0.06985

DF error129.00000

t(b)8.04779

p(b)0.15362

t(a)0.19187

p(a)0.51075

VAR (95 Confidence Intrvl)0.02700

Lowerbound of 95% confidence interval for beta1.03391

Upperbound of 95% confidence interval for beta1.70801

Lowerbound of 95% confidence interval for alpha0.81661

Upperbound of 95% confidence interval for alpha0.67223

Treynor index (mean / b)0.20105

Jensen alpha (a)0.07219
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03124

Expected Shortfall on VaR0.03925
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01278

Expected Shortfall on VaR0.02694
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.93779

Quartile 10.99305

Median1.00255

Quartile 31.01326

Maximum1.04633

Mean of quarter 10.97525

Mean of quarter 20.99907

Mean of quarter 31.00724

Mean of quarter 41.02403

Inter Quartile Range0.02021

Number outliers low8.00000

Percentage of outliers low0.06107

Mean of outliers low0.95180

Number of outliers high1.00000

Percentage of outliers high0.00763

Mean of outliers high1.04633
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.02230

VaR(95%) (moments method)0.01925

Expected Shortfall (moments method)0.02670

Extreme Value Index (regression method)0.30290

VaR(95%) (regression method)0.02492

Expected Shortfall (regression method)0.03157
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations9.00000

Minimum0.00005

Quartile 10.01317

Median0.02738

Quartile 30.06448

Maximum0.15706

Mean of quarter 10.00862

Mean of quarter 20.02055

Mean of quarter 30.05457

Mean of quarter 40.14043

Inter Quartile Range0.05130

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.11111

Mean of outliers high0.15706
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)19.73960

VaR(95%) (moments method)0.11673

Expected Shortfall (moments method)0.11673

Extreme Value Index (regression method)1.83467

VaR(95%) (regression method)0.19546

Last 4 Months  Pcnt Negative0.25%

Expected Shortfall (regression method)0.19875

Strat Max DD how much worse than SP500 max DD during strat life?292185000

Max Equity Drawdown (num days)20
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.32778

Compounded annual return (geometric extrapolation)0.35463

Calmar ratio (compounded annual return / max draw down)2.25798

Compounded annual return / average of 25% largest draw downs2.52539

Compounded annual return / Expected Shortfall lognormal9.03573
Strategy Description
I put my own money into the same trades as my subscribers – as shown by my TOS badge! However, you should consider that this strategy is very risky and volatile especially on a daily time frame. For example, September 3rd, 2020 it dropped by almost 11% in a single day.
I use an IRA to run the strategy. It works well for retirement accounts and taxable accounts in my experience. If you can't trade American ETFs but like futures I encourage you to check out Patience for Futures too. It is based on similar ideas and methods.
Patience is a Virtue uses many different indicator and timing components. I believe it is well suited to do very well in the long term. While some components of this strategy are based on things I have been personally doing since 2017, it wasn't until February 2019 that I had a really good vision for this algorithm and what to do. I did some backtesting from 2004 to Feb 2019 and saw very promising results. As we all know backtests can easily be misleading or wrong. So, in February 2019 I took a small sum of money and started forward testing it. Then in June 2019 I reran my backtests to cover the period of 2004 through early June 2019. For the time period of February 2019 to early June 2019 I now had backtest and real results to compare. I found them to be very similar.
Then in June 2019 I started investing much more of my money using these this strategy and similar offshoots. From June 2019 until November 2020 I did live trading as you can see from my track record. If I do backtests over the same period of June 2019 to November 2020 the real results and backtest results are remarkably similar. Because the real results and the backtest results for that period seem to match, I believe my longerterm backtests have merit.
Of course, the future could be vastly different, but I believe my system is based on long term market tenencies that are unlikely to end without a truly seismic shift in the way people invest. A few of the indicators have been tested back as far as the great depression and they seem to have worked in most years since. Unfortunately, only a some of my indicators can be tested that far back. Most can only be backtested to over the last couple decades. Please know that backtests don't guarantee good results in the future even if the backtests were done correctly. My most recent backtest results can be found here, but please take them in context:
https://forums.collective2.com/t/backtestresultsforpatienceisavirtue/14518
I use a mix of short, medium, and longterm signals to algorithmically determine entry and exit timing for this strategy. I mostly buy things that have a longterm history of going up in value. That way even if my timing is off, I have a decent chance of doing well over the long term. On rare occasions like March of 2020, I do buy some things that historically go down in value but serve as good investments in times of trouble. For example, in March of 2020 I did buy TVIX which has a longterm history of going down in value overtime but does great in times of turmoil. That is about the only thing I buy that I would consider a depreciating asset. I don't ever plan to short appreciating assets in this portfolio.
One of the main ways I try to reduce drawdowns is by being diversified. This forum post has some good information about the different assets I trade and how my strategy has done compared to them.
https://forums.collective2.com/t/diversificationofpatienceisavirtue/14609/2
I try to always keep stops. If there ever isn't one in place it is an error. However, because I use BrokerTransmit (AKA my strategy literally just copies my real brokerage account) you are not able to see orders until they become active. So, you cannot see a stop order until it gets triggered and becomes a live market sell order. My stops are usually very far from the current price and very rarely are the way in which I exit a trade. Typically they are placed at 35% below the previous close, but are raised or lowered at the close of each day. Yes typically the stop is only triggered if something drops by about 35% in one day. They are only there for if something truly crazy happens like a 20% drop in SPY in one day, with no indicators predicting it. Also, I set these as trailing stops so that if I died and my computer systems weren’t maintained the system would slowly chug along with stops that continued to lock in profits until all positions were exited.
Though this strategy previously did take some options trades and may do so in the future. I do not currently have any plans to use options in this account.
This is a link to a forum post showing how to add trading permissions for Interactive Brokers that are needed to follow this strategy. Options are not currently necessary. In order to trade penny stocks IB may require that you set up their app IBKR mobile as your two factor authentication device before enabling or requesting Penny Stock trading permissions. At this time the only penny stock in this account that I intend to trade is GBTC and ETHE until cryptocurrency ETFs become available in the US. https://forums.collective2.com/t/enablegbtcleveragedetfsandoptiontrades/14491
This strategy is fantastic but far from perfect and will require a great deal of patience and grit. Please be wise and don't invest more than is appropriate for you.
While I hope you follow, please consider the risks and your willingness to remain consistent. By jumping in and out you decrease your odds of success dramatically. I have seen many people join at peaks then leave after a drawdown, then repeat the process over and over. Therefore, I suggest you only follow with money that you will feel comfortable remaining consistent with. Please see this forum post about the need to remain consistent. https://forums.collective2.com/t/patienceisrequired/14586
I recommend AutoTrading and starting with $25,000 or more, and I would join all trades in progress at anytime. I believe the current C2 recommendation of $100,000 or more isn't a good estimate of what is actually needed to successfully start. If you have any questions about how I would set up AutoTrading please visit this post, in the forums: https://forums.collective2.com/t/howshouldiscalepatienceisavirtue/14636?u=interactiveassets
Good luck!
Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.
Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.
Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have underor overcompensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.
Material assumptions and methods used when calculating results
The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.
 Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
 Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been rescaled downward to make current goforward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
 All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any pertrade AutoTrade fees, plus estimated broker commissions if any.
 "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.
Trading is risky
There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.
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