Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

JARBA-1
(121627733)

Created by: DataMaster3 DataMaster3
Started: 01/2018
Stocks
Last trade: 8 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 $100.00 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.

36.9%
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.

(13.6%)
Max Drawdown
152
Num Trades
53.9%
Win Trades
1.6 : 1
Profit Factor
57.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018+4.7%+10.6%+13.2%+7.3%+3.0%(1.6%)(1.2%)(1.7%)+1.2%+6.6%+7.3%+3.8%+66.4%
2019+0.3%+10.9%(6.8%)(0.5%)(2.5%)(0.7%)(1.3%)                              (1.6%)

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 110 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/3/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,536 53.41 7/8 9:30 53.24 0.62%
Trade id #124323620
Max drawdown($1,016)
Time7/3/19 9:30
Quant open1,536
Worst price52.75
Drawdown as % of equity-0.62%
($263)
Includes Typical Broker Commissions trade costs of $5.00
7/2/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 4,565 17.94 7/3 9:30 17.66 1.59%
Trade id #124305908
Max drawdown($2,602)
Time7/2/19 9:30
Quant open4,565
Worst price17.37
Drawdown as % of equity-1.59%
($1,274)
Includes Typical Broker Commissions trade costs of $5.00
7/1/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,603 53.23 7/2 9:30 52.58 1.24%
Trade id #124286882
Max drawdown($2,046)
Time7/1/19 9:30
Quant open1,603
Worst price51.95
Drawdown as % of equity-1.24%
($1,037)
Includes Typical Broker Commissions trade costs of $5.00
6/26/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,648 50.70 6/27 9:30 50.40 0.78%
Trade id #124236678
Max drawdown($1,293)
Time6/26/19 9:30
Quant open1,648
Worst price49.91
Drawdown as % of equity-0.78%
($490)
Includes Typical Broker Commissions trade costs of $5.00
6/21/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 4,529 18.25 6/25 9:30 18.27 0.65%
Trade id #124179896
Max drawdown($1,074)
Time6/21/19 9:30
Quant open4,529
Worst price18.01
Drawdown as % of equity-0.65%
$110
Includes Typical Broker Commissions trade costs of $5.00
6/17/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,630 49.16 6/20 9:30 52.51 0.18%
Trade id #124106850
Max drawdown($288)
Time6/17/19 9:30
Quant open1,630
Worst price48.98
Drawdown as % of equity-0.18%
$5,460
Includes Typical Broker Commissions trade costs of $5.00
6/14/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 4,124 19.49 6/17 9:30 19.43 0.38%
Trade id #124083206
Max drawdown($610)
Time6/14/19 15:38
Quant open4,124
Worst price19.34
Drawdown as % of equity-0.38%
($246)
Includes Typical Broker Commissions trade costs of $5.00
6/12/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 4,107 19.59 6/13 9:30 19.45 0.6%
Trade id #124048410
Max drawdown($979)
Time6/13/19 7:02
Quant open4,107
Worst price19.35
Drawdown as % of equity-0.60%
($567)
Includes Typical Broker Commissions trade costs of $5.00
6/4/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 3,634 22.17 6/6 9:30 20.72 3.58%
Trade id #123928851
Max drawdown($5,834)
Time6/6/19 8:01
Quant open3,634
Worst price20.56
Drawdown as % of equity-3.58%
($5,258)
Includes Typical Broker Commissions trade costs of $5.00
5/30/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 3,728 21.74 5/31 9:30 22.43 0.52%
Trade id #123872358
Max drawdown($857)
Time5/30/19 10:35
Quant open3,728
Worst price21.51
Drawdown as % of equity-0.52%
$2,567
Includes Typical Broker Commissions trade costs of $5.00
5/28/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,816 46.25 5/29 9:30 44.19 2.48%
Trade id #123842221
Max drawdown($4,140)
Time5/29/19 5:27
Quant open1,816
Worst price43.97
Drawdown as % of equity-2.48%
($3,746)
Includes Typical Broker Commissions trade costs of $5.00
5/22/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 4,102 20.31 5/28 9:30 20.81 0.66%
Trade id #123766666
Max drawdown($1,107)
Time5/22/19 10:16
Quant open4,102
Worst price20.04
Drawdown as % of equity-0.66%
$2,046
Includes Typical Broker Commissions trade costs of $5.00
5/20/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,696 46.82 5/21 9:30 47.70 0.48%
Trade id #123736139
Max drawdown($797)
Time5/20/19 15:14
Quant open1,696
Worst price46.35
Drawdown as % of equity-0.48%
$1,487
Includes Typical Broker Commissions trade costs of $5.00
5/17/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 4,096 20.37 5/20 9:30 20.61 1.79%
Trade id #123708658
Max drawdown($2,928)
Time5/17/19 11:09
Quant open4,096
Worst price19.66
Drawdown as % of equity-1.79%
$978
Includes Typical Broker Commissions trade costs of $5.00
5/15/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 4,039 21.16 5/16 9:30 20.21 2.68%
Trade id #123677628
Max drawdown($4,442)
Time5/16/19 8:01
Quant open4,039
Worst price20.06
Drawdown as % of equity-2.68%
($3,842)
Includes Typical Broker Commissions trade costs of $5.00
5/10/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,744 47.82 5/15 9:30 45.69 3.13%
Trade id #123615542
Max drawdown($5,266)
Time5/13/19 18:02
Quant open1,744
Worst price44.80
Drawdown as % of equity-3.13%
($3,720)
Includes Typical Broker Commissions trade costs of $5.00
5/9/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 4,340 20.41 5/10 9:30 20.31 1.14%
Trade id #123587778
Max drawdown($1,946)
Time5/9/19 14:45
Quant open4,340
Worst price19.96
Drawdown as % of equity-1.14%
($439)
Includes Typical Broker Commissions trade costs of $5.00
5/8/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,756 48.81 5/9 9:30 47.58 1.37%
Trade id #123571809
Max drawdown($2,405)
Time5/9/19 9:08
Quant open1,756
Worst price47.44
Drawdown as % of equity-1.37%
($2,165)
Includes Typical Broker Commissions trade costs of $5.00
5/3/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 4,352 18.88 5/8 9:30 19.90 0.82%
Trade id #123519104
Max drawdown($1,392)
Time5/3/19 16:17
Quant open4,352
Worst price18.56
Drawdown as % of equity-0.82%
$4,434
Includes Typical Broker Commissions trade costs of $5.00
5/1/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,626 52.71 5/3 9:30 51.61 2.68%
Trade id #123489243
Max drawdown($4,520)
Time5/2/19 11:48
Quant open1,626
Worst price49.93
Drawdown as % of equity-2.68%
($1,794)
Includes Typical Broker Commissions trade costs of $5.00
4/29/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 4,541 18.73 4/30 9:30 18.73 0.5%
Trade id #123461840
Max drawdown($862)
Time4/29/19 14:20
Quant open4,541
Worst price18.54
Drawdown as % of equity-0.50%
($5)
Includes Typical Broker Commissions trade costs of $5.00
4/26/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,646 51.35 4/29 9:30 52.06 0.46%
Trade id #123440217
Max drawdown($790)
Time4/26/19 10:03
Quant open1,646
Worst price50.87
Drawdown as % of equity-0.46%
$1,164
Includes Typical Broker Commissions trade costs of $5.00
4/25/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 4,464 18.98 4/26 9:30 18.98 0.34%
Trade id #123425507
Max drawdown($580)
Time4/25/19 11:56
Quant open4,464
Worst price18.85
Drawdown as % of equity-0.34%
($5)
Includes Typical Broker Commissions trade costs of $5.00
4/24/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,638 51.72 4/25 9:30 51.37 0.36%
Trade id #123411459
Max drawdown($622)
Time4/24/19 16:57
Quant open1,638
Worst price51.34
Drawdown as % of equity-0.36%
($578)
Includes Typical Broker Commissions trade costs of $5.00
4/22/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,665 49.88 4/23 9:30 50.64 0.07%
Trade id #123383983
Max drawdown($124)
Time4/22/19 9:36
Quant open1,665
Worst price49.80
Drawdown as % of equity-0.07%
$1,260
Includes Typical Broker Commissions trade costs of $5.00
4/18/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 4,281 19.36 4/22 9:30 19.56 0.13%
Trade id #123356484
Max drawdown($214)
Time4/18/19 18:53
Quant open4,281
Worst price19.31
Drawdown as % of equity-0.13%
$851
Includes Typical Broker Commissions trade costs of $5.00
4/17/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,671 51.08 4/18 9:30 50.37 1.59%
Trade id #123340610
Max drawdown($2,690)
Time4/18/19 4:15
Quant open1,671
Worst price49.47
Drawdown as % of equity-1.59%
($1,191)
Includes Typical Broker Commissions trade costs of $5.00
4/15/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,666 50.49 4/16 9:30 50.85 0.6%
Trade id #123312570
Max drawdown($1,016)
Time4/15/19 10:44
Quant open1,666
Worst price49.88
Drawdown as % of equity-0.60%
$595
Includes Typical Broker Commissions trade costs of $5.00
4/10/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 4,280 19.81 4/15 9:30 19.30 1.37%
Trade id #123266129
Max drawdown($2,354)
Time4/12/19 9:44
Quant open4,280
Worst price19.26
Drawdown as % of equity-1.37%
($2,188)
Includes Typical Broker Commissions trade costs of $5.00
4/5/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,741 49.39 4/8 9:30 49.43 0.18%
Trade id #123217554
Max drawdown($312)
Time4/5/19 9:41
Quant open1,741
Worst price49.21
Drawdown as % of equity-0.18%
$65
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    1/2/2018
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    559.45
  • Age
    19 months ago
  • What it trades
    Stocks
  • # Trades
    152
  • # Profitable
    82
  • % Profitable
    53.90%
  • Avg trade duration
    2.9 days
  • Max peak-to-valley drawdown
    13.58%
  • drawdown period
    Feb 26, 2019 - June 17, 2019
  • Annual Return (Compounded)
    36.9%
  • Avg win
    $2,149
  • Avg loss
    $1,594
  • Model Account Values (Raw)
  • Cash
    $164,997
  • Margin Used
    $0
  • Buying Power
    $164,997
  • Ratios
  • W:L ratio
    1.59:1
  • Sharpe Ratio
    1.42
  • Sortino Ratio
    2.4
  • Calmar Ratio
    3.231
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.08420
  • Return Statistics
  • Ann Return (w trading costs)
    36.9%
  • Ann Return (Compnd, No Fees)
    38.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    8.00%
  • Chance of 20% account loss
    1.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    689
  • Popularity (Last 6 weeks)
    958
  • C2 Score
    76.7
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,594
  • Avg Win
    $2,149
  • # Winners
    82
  • # Losers
    70
  • % Winners
    54.0%
  • Frequency
  • Avg Position Time (mins)
    4244.07
  • Avg Position Time (hrs)
    70.73
  • Avg Trade Length
    2.9 days
  • Last Trade Ago
    7
  • Leverage
  • Daily leverage (average)
    1.28
  • Daily leverage (max)
    3.06
  • Unknown
  • Alpha
    0.09
  • Beta
    -0.10
  • Treynor Index
    -0.87
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37384
  • SD
    0.19791
  • Sharpe ratio (Glass type estimate)
    1.88896
  • Sharpe ratio (Hedges UMVUE)
    1.79877
  • df
    16.00000
  • t
    2.24832
  • p
    0.25501
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09357
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63365
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03808
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.55946
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.89527
  • Upside Potential Ratio
    7.48104
  • Upside part of mean
    0.47440
  • Downside part of mean
    -0.10056
  • Upside SD
    0.21093
  • Downside SD
    0.06341
  • N nonnegative terms
    12.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.04844
  • Mean of criterion
    0.37384
  • SD of predictor
    0.10103
  • SD of criterion
    0.19791
  • Covariance
    -0.00372
  • r
    -0.18596
  • b (slope, estimate of beta)
    -0.36427
  • a (intercept, estimate of alpha)
    0.39149
  • Mean Square Error
    0.04033
  • DF error
    15.00000
  • t(b)
    -0.73302
  • p(b)
    0.61770
  • t(a)
    2.29689
  • p(a)
    0.18995
  • Lowerbound of 95% confidence interval for beta
    -1.42348
  • Upperbound of 95% confidence interval for beta
    0.69494
  • Lowerbound of 95% confidence interval for alpha
    0.02820
  • Upperbound of 95% confidence interval for alpha
    0.75478
  • Treynor index (mean / b)
    -1.02628
  • Jensen alpha (a)
    0.39149
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35094
  • SD
    0.19080
  • Sharpe ratio (Glass type estimate)
    1.83935
  • Sharpe ratio (Hedges UMVUE)
    1.75153
  • df
    16.00000
  • t
    2.18927
  • p
    0.25994
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05064
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.57834
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.00343
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.50649
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.40072
  • Upside Potential Ratio
    6.98023
  • Upside part of mean
    0.45358
  • Downside part of mean
    -0.10264
  • Upside SD
    0.20075
  • Downside SD
    0.06498
  • N nonnegative terms
    12.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.04355
  • Mean of criterion
    0.35094
  • SD of predictor
    0.10105
  • SD of criterion
    0.19080
  • Covariance
    -0.00339
  • r
    -0.17576
  • b (slope, estimate of beta)
    -0.33184
  • a (intercept, estimate of alpha)
    0.36539
  • Mean Square Error
    0.03763
  • DF error
    15.00000
  • t(b)
    -0.69147
  • p(b)
    0.61131
  • t(a)
    2.22373
  • p(a)
    0.19664
  • Lowerbound of 95% confidence interval for beta
    -1.35474
  • Upperbound of 95% confidence interval for beta
    0.69106
  • Lowerbound of 95% confidence interval for alpha
    0.01516
  • Upperbound of 95% confidence interval for alpha
    0.71562
  • Treynor index (mean / b)
    -1.05756
  • Jensen alpha (a)
    0.36539
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05951
  • Expected Shortfall on VaR
    0.08071
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01324
  • Expected Shortfall on VaR
    0.02931
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.94287
  • Quartile 1
    0.98860
  • Median
    1.00577
  • Quartile 3
    1.07742
  • Maximum
    1.12837
  • Mean of quarter 1
    0.97151
  • Mean of quarter 2
    1.00282
  • Mean of quarter 3
    1.05572
  • Mean of quarter 4
    1.10948
  • Inter Quartile Range
    0.08882
  • 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)
    0.34956
  • VaR(95%) (moments method)
    0.03206
  • Expected Shortfall (moments method)
    0.05860
  • Extreme Value Index (regression method)
    1.00690
  • VaR(95%) (regression method)
    0.03933
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.04194
  • Quartile 1
    0.04236
  • Median
    0.04279
  • Quartile 3
    0.04996
  • Maximum
    0.05713
  • Mean of quarter 1
    0.04194
  • Mean of quarter 2
    0.04279
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.05713
  • Inter Quartile Range
    0.00760
  • 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)
    0.45463
  • Compounded annual return (geometric extrapolation)
    0.42040
  • Calmar ratio (compounded annual return / max draw down)
    7.35835
  • Compounded annual return / average of 25% largest draw downs
    7.35835
  • Compounded annual return / Expected Shortfall lognormal
    5.20857
  • 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
    0.36073
  • SD
    0.18629
  • Sharpe ratio (Glass type estimate)
    1.93639
  • Sharpe ratio (Hedges UMVUE)
    1.93265
  • df
    388.00000
  • t
    2.35949
  • p
    0.00940
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.32090
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.54944
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31840
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.54690
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.34839
  • Upside Potential Ratio
    10.43200
  • Upside part of mean
    1.12385
  • Downside part of mean
    -0.76313
  • Upside SD
    0.15331
  • Downside SD
    0.10773
  • N nonnegative terms
    229.00000
  • N negative terms
    160.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    389.00000
  • Mean of predictor
    0.08328
  • Mean of criterion
    0.36073
  • SD of predictor
    0.15879
  • SD of criterion
    0.18629
  • Covariance
    -0.00221
  • r
    -0.07479
  • b (slope, estimate of beta)
    -0.08774
  • a (intercept, estimate of alpha)
    0.36800
  • Mean Square Error
    0.03460
  • DF error
    387.00000
  • t(b)
    -1.47541
  • p(b)
    0.92954
  • t(a)
    2.40966
  • p(a)
    0.00822
  • Lowerbound of 95% confidence interval for beta
    -0.20466
  • Upperbound of 95% confidence interval for beta
    0.02918
  • Lowerbound of 95% confidence interval for alpha
    0.06774
  • Upperbound of 95% confidence interval for alpha
    0.66832
  • Treynor index (mean / b)
    -4.11124
  • Jensen alpha (a)
    0.36803
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34336
  • SD
    0.18487
  • Sharpe ratio (Glass type estimate)
    1.85733
  • Sharpe ratio (Hedges UMVUE)
    1.85374
  • df
    388.00000
  • t
    2.26315
  • p
    0.01209
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24238
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.47000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23995
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.46753
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.14579
  • Upside Potential Ratio
    10.19140
  • Upside part of mean
    1.11240
  • Downside part of mean
    -0.76903
  • Upside SD
    0.15042
  • Downside SD
    0.10915
  • N nonnegative terms
    229.00000
  • N negative terms
    160.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    389.00000
  • Mean of predictor
    0.07066
  • Mean of criterion
    0.34336
  • SD of predictor
    0.15908
  • SD of criterion
    0.18487
  • Covariance
    -0.00217
  • r
    -0.07393
  • b (slope, estimate of beta)
    -0.08591
  • a (intercept, estimate of alpha)
    0.34943
  • Mean Square Error
    0.03408
  • DF error
    387.00000
  • t(b)
    -1.45832
  • p(b)
    0.92722
  • t(a)
    2.30563
  • p(a)
    0.01083
  • Lowerbound of 95% confidence interval for beta
    -0.20173
  • Upperbound of 95% confidence interval for beta
    0.02991
  • Lowerbound of 95% confidence interval for alpha
    0.05146
  • Upperbound of 95% confidence interval for alpha
    0.64741
  • Treynor index (mean / b)
    -3.99676
  • Jensen alpha (a)
    0.34943
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01732
  • Expected Shortfall on VaR
    0.02199
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00583
  • Expected Shortfall on VaR
    0.01234
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    389.00000
  • Minimum
    0.94390
  • Quartile 1
    0.99649
  • Median
    1.00000
  • Quartile 3
    1.00500
  • Maximum
    1.08290
  • Mean of quarter 1
    0.98958
  • Mean of quarter 2
    0.99885
  • Mean of quarter 3
    1.00247
  • Mean of quarter 4
    1.01473
  • Inter Quartile Range
    0.00851
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.03856
  • Mean of outliers low
    0.97445
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.06941
  • Mean of outliers high
    1.02819
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26139
  • VaR(95%) (moments method)
    0.00978
  • Expected Shortfall (moments method)
    0.01624
  • Extreme Value Index (regression method)
    0.22170
  • VaR(95%) (regression method)
    0.00979
  • Expected Shortfall (regression method)
    0.01574
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    30.00000
  • Minimum
    0.00096
  • Quartile 1
    0.00297
  • Median
    0.00821
  • Quartile 3
    0.02719
  • Maximum
    0.12679
  • Mean of quarter 1
    0.00218
  • Mean of quarter 2
    0.00469
  • Mean of quarter 3
    0.01434
  • Mean of quarter 4
    0.06504
  • Inter Quartile Range
    0.02422
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.10872
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.28619
  • VaR(95%) (moments method)
    0.07095
  • Expected Shortfall (moments method)
    0.11791
  • Extreme Value Index (regression method)
    0.65303
  • VaR(95%) (regression method)
    0.06267
  • Expected Shortfall (regression method)
    0.15849
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.44787
  • Compounded annual return (geometric extrapolation)
    0.40968
  • Calmar ratio (compounded annual return / max draw down)
    3.23127
  • Compounded annual return / average of 25% largest draw downs
    6.29938
  • Compounded annual return / Expected Shortfall lognormal
    18.62710
  • 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
    -0.00897
  • SD
    0.15204
  • Sharpe ratio (Glass type estimate)
    -0.05903
  • Sharpe ratio (Hedges UMVUE)
    -0.05869
  • df
    130.00000
  • t
    -0.04174
  • p
    0.50183
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.83085
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71279
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.83050
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.71313
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.08236
  • Upside Potential Ratio
    8.26229
  • Upside part of mean
    0.90031
  • Downside part of mean
    -0.90929
  • Upside SD
    0.10520
  • Downside SD
    0.10897
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.37400
  • Mean of criterion
    -0.00897
  • SD of predictor
    0.12986
  • SD of criterion
    0.15204
  • Covariance
    -0.00055
  • r
    -0.02786
  • b (slope, estimate of beta)
    -0.03262
  • a (intercept, estimate of alpha)
    0.00322
  • Mean Square Error
    0.02328
  • DF error
    129.00000
  • t(b)
    -0.31654
  • p(b)
    0.51773
  • t(a)
    0.01471
  • p(a)
    0.49918
  • Lowerbound of 95% confidence interval for beta
    -0.23649
  • Upperbound of 95% confidence interval for beta
    0.17126
  • Lowerbound of 95% confidence interval for alpha
    -0.43043
  • Upperbound of 95% confidence interval for alpha
    0.43688
  • Treynor index (mean / b)
    0.27516
  • Jensen alpha (a)
    0.00322
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02045
  • SD
    0.15212
  • Sharpe ratio (Glass type estimate)
    -0.13445
  • Sharpe ratio (Hedges UMVUE)
    -0.13368
  • df
    130.00000
  • t
    -0.09507
  • p
    0.50417
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.90607
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.63764
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.90553
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.63818
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.18604
  • Upside Potential Ratio
    8.13968
  • Upside part of mean
    0.89484
  • Downside part of mean
    -0.91529
  • Upside SD
    0.10430
  • Downside SD
    0.10994
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36539
  • Mean of criterion
    -0.02045
  • SD of predictor
    0.12965
  • SD of criterion
    0.15212
  • Covariance
    -0.00058
  • r
    -0.02917
  • b (slope, estimate of beta)
    -0.03423
  • a (intercept, estimate of alpha)
    -0.00795
  • Mean Square Error
    0.02330
  • DF error
    129.00000
  • t(b)
    -0.33148
  • p(b)
    0.51857
  • t(a)
    -0.03626
  • p(a)
    0.50203
  • Lowerbound of 95% confidence interval for beta
    -0.23853
  • Upperbound of 95% confidence interval for beta
    0.17008
  • Lowerbound of 95% confidence interval for alpha
    -0.44152
  • Upperbound of 95% confidence interval for alpha
    0.42563
  • Treynor index (mean / b)
    0.59754
  • Jensen alpha (a)
    -0.00795
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01542
  • Expected Shortfall on VaR
    0.01927
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00800
  • Expected Shortfall on VaR
    0.01521
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97344
  • Quartile 1
    0.99517
  • Median
    1.00000
  • Quartile 3
    1.00527
  • Maximum
    1.03387
  • Mean of quarter 1
    0.98838
  • Mean of quarter 2
    0.99784
  • Mean of quarter 3
    1.00217
  • Mean of quarter 4
    1.01154
  • Inter Quartile Range
    0.01010
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97580
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.03387
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14955
  • VaR(95%) (moments method)
    0.01153
  • Expected Shortfall (moments method)
    0.01701
  • Extreme Value Index (regression method)
    -0.27053
  • VaR(95%) (regression method)
    0.01239
  • Expected Shortfall (regression method)
    0.01529
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00242
  • Quartile 1
    0.00246
  • Median
    0.00359
  • Quartile 3
    0.05323
  • Maximum
    0.12679
  • Mean of quarter 1
    0.00244
  • Mean of quarter 2
    0.00359
  • Mean of quarter 3
    0.05323
  • Mean of quarter 4
    0.12679
  • Inter Quartile Range
    0.05078
  • 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)
    -0.02035
  • Compounded annual return (geometric extrapolation)
    -0.02025
  • Calmar ratio (compounded annual return / max draw down)
    -0.15968
  • Compounded annual return / average of 25% largest draw downs
    -0.15968
  • Compounded annual return / Expected Shortfall lognormal
    -1.05065

Strategy Description

Completely automated. Goal is to try to be "right" about 53% of the time, with wins larger than losses. Even though it bets whether the market will go up or down, it only uses long positions in triple-levered ETFs. (In other words, it never shorts anything. It only "buys" - even when it bets the market will decline.) This makes it a good choice for C2Broker (commission-free trading) or for broker accounts where you cannot short.

Uses a proprietary market sentiment score, and does rolling backtest and rolling out-of-sample tests (re-building parameters each morning before trading begins) to determine statistical validity of parameters.

Keep in mind that when your best-case scenario is to be right 53% of the time, probability theory tells us there will definitely be occasional long periods of being mostly wrong. You can see in the track record long periods of flat or negative performance. (Three months in a row of 1% declines!) So please expect something similar in the future. This is not magic, and there are no guarantees.

But if you can stand being bored for a few months at a time, it seems like a decent strategy for a small portion of your risk capital.

Summary Statistics

Strategy began
2018-01-02
Suggested Minimum Capital
$5,000
# Trades
152
# Profitable
82
% Profitable
53.9%
Net Dividends
Correlation S&P500
-0.084
Sharpe Ratio
1.42
Sortino Ratio
2.40
Beta
-0.10
Alpha
0.09
Leverage
1.28 Average
3.06 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

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.