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Don't Worry
(106495939)

Created by: PeterS4 PeterS4
Started: 10/2016
Stocks
Last trade: 16 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 $99.00 per month.

2.0%
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.

(43.0%)
Max Drawdown
61
Num Trades
60.7%
Win Trades
1.1 : 1
Profit Factor
84.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                               +1.0%+1.4%+2.0%+4.5%
2017+4.9%+1.5%+3.0%+3.5%+9.7%+4.4%+1.0%+11.3%(1.9%)+2.5%+5.9%+1.5%+58.0%
2018+5.1%(22.9%)+0.9%+3.9%+1.9%(0.6%)+1.9%+2.6%+1.1%(30.6%)            (36.9%)

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 116 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/4/18 9:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 324 119.96 10/1 10:01 116.69 0.79%
Trade id #119712101
Max drawdown($1,221)
Time9/19/18 11:01
Quant open324
Worst price116.19
Drawdown as % of equity-0.79%
($1,065)
Includes Typical Broker Commissions trade costs of $6.48
9/4/18 9:30 TLH ISHARES BARCLAYS 10-20 YEAR TR LONG 299 130.53 10/1 10:00 128.08 0.51%
Trade id #119711995
Max drawdown($789)
Time9/25/18 13:02
Quant open299
Worst price127.89
Drawdown as % of equity-0.51%
($739)
Includes Typical Broker Commissions trade costs of $5.98
9/11/18 5:05 @ESU8 E-MINI S&P 500 LONG 5 2874.00 9/11 19:37 2891.00 1.12%
Trade id #119793442
Max drawdown($1,687)
Time9/11/18 9:36
Quant open5
Worst price2867.25
Drawdown as % of equity-1.12%
$4,210
Includes Typical Broker Commissions trade costs of $40.00
3/1/18 9:30 SHY ISHARES BARCLAYS 1-3 YEAR TREA LONG 1,327 83.35 9/4 9:30 83.29 0.15%
Trade id #116797192
Max drawdown($211)
Time3/16/18 16:15
Quant open846
Worst price83.14
Drawdown as % of equity-0.15%
($108)
Includes Typical Broker Commissions trade costs of $20.58
7/2/18 10:01 ICF ISHARES COHEN & STEERS REIT ETF LONG 378 100.05 9/4 9:30 103.23 n/a $1,194
Includes Typical Broker Commissions trade costs of $7.56
7/2/18 10:01 TLT ISHARES 20+ YEAR TREASURY BOND LONG 311 121.63 8/1 10:16 118.44 0.75%
Trade id #118742394
Max drawdown($1,107)
Time8/1/18 9:40
Quant open311
Worst price118.07
Drawdown as % of equity-0.75%
($998)
Includes Typical Broker Commissions trade costs of $6.22
6/25/18 18:00 @ESU8 E-MINI S&P 500 LONG 8 2729.88 7/5 18:57 2734.50 4.1%
Trade id #118641012
Max drawdown($5,850)
Time6/28/18 8:37
Quant open4
Worst price2693.25
Drawdown as % of equity-4.10%
$1,786
Includes Typical Broker Commissions trade costs of $64.00
5/1/18 10:00 IWM ISHARES RUSSELL 2000 INDEX LONG 242 152.59 7/2 10:01 163.41 7.12%
Trade id #117735600
Max drawdown($10,423)
Time5/22/18 7:37
Quant open242
Worst price109.52
Drawdown as % of equity-7.12%
$2,614
Includes Typical Broker Commissions trade costs of $4.84
1/3/18 9:30 DBC INVESCO DB COMMODITY INDEX LONG 2,675 16.75 7/2 10:00 17.25 1.92%
Trade id #115664280
Max drawdown($1,969)
Time2/9/18 13:42
Quant open2,675
Worst price16.01
Drawdown as % of equity-1.92%
$1,341
Includes Typical Broker Commissions trade costs of $8.29
4/2/18 10:30 RWX SPDR DOW JONES INTL REAL ESTAT LONG 908 39.84 6/1 10:58 39.99 0.21%
Trade id #117325843
Max drawdown($285)
Time4/2/18 14:03
Quant open894
Worst price39.51
Drawdown as % of equity-0.21%
$128
Includes Typical Broker Commissions trade costs of $5.14
3/1/18 9:30 GLD SPDR GOLD SHARES LONG 282 124.16 5/1 10:00 123.89 0.08%
Trade id #116797276
Max drawdown($115)
Time5/1/18 9:59
Quant open281
Worst price123.75
Drawdown as % of equity-0.08%
($82)
Includes Typical Broker Commissions trade costs of $5.64
4/24/18 18:00 @ESM8 E-MINI S&P 500 LONG 2 2636.00 4/26 18:00 2674.25 1.79%
Trade id #117648297
Max drawdown($2,475)
Time4/25/18 9:46
Quant open2
Worst price2611.25
Drawdown as % of equity-1.79%
$3,809
Includes Typical Broker Commissions trade costs of $16.00
10/2/17 9:30 SPY SPDR S&P 500 LONG 163 251.97 3/1/18 9:31 271.56 0.02%
Trade id #113969758
Max drawdown($32)
Time10/2/17 15:15
Quant open157
Worst price251.29
Drawdown as % of equity-0.02%
$3,189
Includes Typical Broker Commissions trade costs of $3.26
1/3/18 9:31 EEM ISHARES MSCI EMERGING MARKETS LONG 914 48.28 3/1 9:30 48.42 2.84%
Trade id #115664426
Max drawdown($2,910)
Time2/9/18 13:39
Quant open897
Worst price45.03
Drawdown as % of equity-2.84%
$124
Includes Typical Broker Commissions trade costs of $5.17
2/1/18 9:30 EFA ISHARES MSCI EAFE INDEX LONG 620 73.74 3/1 9:30 69.72 4.14%
Trade id #116219570
Max drawdown($4,247)
Time2/9/18 13:39
Quant open620
Worst price66.89
Drawdown as % of equity-4.14%
($2,497)
Includes Typical Broker Commissions trade costs of $5.00
2/4/18 18:00 @ESH8 E-MINI S&P 500 LONG 5 2756.53 2/14 18:00 2632.12 48.9%
Trade id #116277272
Max drawdown($56,882)
Time2/5/18 23:26
Quant open5
Worst price2529.00
Drawdown as % of equity-48.90%
($31,142)
Includes Typical Broker Commissions trade costs of $40.00
12/1/17 9:32 RWX SPDR DOW JONES INTL REAL ESTAT LONG 1,083 39.32 2/1/18 9:30 41.52 0.06%
Trade id #115139695
Max drawdown($97)
Time12/4/17 15:40
Quant open1,083
Worst price39.23
Drawdown as % of equity-0.06%
$2,374
Includes Typical Broker Commissions trade costs of $5.05
10/2/17 9:30 EFA ISHARES MSCI EAFE INDEX LONG 612 68.36 1/3/18 9:30 70.85 0.05%
Trade id #113969740
Max drawdown($75)
Time10/6/17 9:36
Quant open577
Worst price68.14
Drawdown as % of equity-0.05%
$1,519
Includes Typical Broker Commissions trade costs of $5.35
12/1/17 9:30 IWM ISHARES RUSSELL 2000 INDEX LONG 279 153.67 1/3/18 9:30 153.87 0.68%
Trade id #115139173
Max drawdown($1,124)
Time12/14/17 14:31
Quant open279
Worst price149.64
Drawdown as % of equity-0.68%
$50
Includes Typical Broker Commissions trade costs of $5.58
11/1/17 9:30 EEM ISHARES MSCI EMERGING MARKETS LONG 876 46.69 12/1 9:31 45.98 0.7%
Trade id #114626564
Max drawdown($1,086)
Time11/15/17 9:44
Quant open876
Worst price45.45
Drawdown as % of equity-0.70%
($627)
Includes Typical Broker Commissions trade costs of $5.00
10/2/17 9:30 DBC INVESCO DB COMMODITY INDEX LONG 2,566 15.25 12/1 9:30 16.25 0.12%
Trade id #113969731
Max drawdown($186)
Time10/6/17 11:17
Quant open2,566
Worst price15.18
Drawdown as % of equity-0.12%
$2,556
Includes Typical Broker Commissions trade costs of $5.35
11/15/17 18:00 @ESZ7 E-MINI S&P 500 LONG 8 2564.54 11/16 18:00 2583.31 0.59%
Trade id #114881488
Max drawdown($916)
Time11/15/17 18:37
Quant open8
Worst price2562.25
Drawdown as % of equity-0.59%
$7,444
Includes Typical Broker Commissions trade costs of $64.00
10/2/17 9:31 IWM ISHARES RUSSELL 2000 INDEX LONG 267 148.33 11/1 9:30 150.52 0.19%
Trade id #113969865
Max drawdown($296)
Time10/25/17 11:23
Quant open267
Worst price147.22
Drawdown as % of equity-0.19%
$580
Includes Typical Broker Commissions trade costs of $5.34
9/1/17 9:30 TLT ISHARES 20+ YEAR TREASURY BOND LONG 328 127.31 10/2 9:31 124.82 0.72%
Trade id #113489647
Max drawdown($1,095)
Time9/28/17 8:59
Quant open328
Worst price123.97
Drawdown as % of equity-0.72%
($823)
Includes Typical Broker Commissions trade costs of $6.56
8/1/17 9:30 EEM ISHARES MSCI EMERGING MARKETS LONG 938 44.10 10/2 9:30 44.82 0.95%
Trade id #112915709
Max drawdown($1,289)
Time8/11/17 5:03
Quant open854
Worst price42.50
Drawdown as % of equity-0.95%
$670
Includes Typical Broker Commissions trade costs of $5.84
9/1/17 9:30 TLH ISHARES BARCLAYS 10-20 YEAR TR LONG 302 138.59 10/2 9:30 136.39 0.47%
Trade id #113489649
Max drawdown($706)
Time9/28/17 9:31
Quant open302
Worst price136.25
Drawdown as % of equity-0.47%
($670)
Includes Typical Broker Commissions trade costs of $6.04
9/1/17 9:30 GLD SPDR GOLD SHARES LONG 334 126.00 10/2 9:30 121.17 1.14%
Trade id #113489606
Max drawdown($1,723)
Time10/2/17 4:03
Quant open334
Worst price120.84
Drawdown as % of equity-1.14%
($1,620)
Includes Typical Broker Commissions trade costs of $6.68
8/1/17 10:26 RWX SPDR DOW JONES INTL REAL ESTAT LONG 951 39.45 9/1 9:30 39.15 0.57%
Trade id #112919365
Max drawdown($779)
Time8/11/17 9:45
Quant open951
Worst price38.63
Drawdown as % of equity-0.57%
($290)
Includes Typical Broker Commissions trade costs of $5.00
7/3/17 9:30 SPY SPDR S&P 500 LONG 155 242.90 9/1 9:30 247.97 0.29%
Trade id #112382999
Max drawdown($396)
Time7/6/17 15:45
Quant open155
Worst price240.34
Drawdown as % of equity-0.29%
$783
Includes Typical Broker Commissions trade costs of $3.10
4/3/17 9:30 EFA ISHARES MSCI EAFE INDEX LONG 574 62.59 9/1 9:30 67.15 0.37%
Trade id #110644119
Max drawdown($425)
Time4/18/17 12:19
Quant open506
Worst price61.35
Drawdown as % of equity-0.37%
$2,612
Includes Typical Broker Commissions trade costs of $5.77

Statistics

  • Strategy began
    10/17/2016
  • Suggested Minimum Cap
    $120,000
  • Strategy Age (days)
    735.22
  • Age
    25 months ago
  • What it trades
    Stocks
  • # Trades
    61
  • # Profitable
    37
  • % Profitable
    60.70%
  • Avg trade duration
    47.9 days
  • Max peak-to-valley drawdown
    42.99%
  • drawdown period
    Jan 26, 2018 - Feb 09, 2018
  • Annual Return (Compounded)
    2.0%
  • Avg win
    $2,467
  • Avg loss
    $3,704
  • Model Account Values (Raw)
  • Cash
    $72,584
  • Margin Used
    $30,890
  • Buying Power
    ($2,393)
  • Ratios
  • W:L ratio
    1.11:1
  • Sharpe Ratio
    0.259
  • Sortino Ratio
    0.316
  • Calmar Ratio
    0.169
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.37000
  • Return Statistics
  • Ann Return (w trading costs)
    2.0%
  • Ann Return (Compnd, No Fees)
    3.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    75.50%
  • Chance of 20% account loss
    42.00%
  • Chance of 30% account loss
    25.00%
  • Chance of 40% account loss
    3.50%
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    547
  • Popularity (Last 6 weeks)
    866
  • C2 Score
    56.5
  • 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
    $3,628
  • Avg Win
    $2,468
  • # Winners
    37
  • # Losers
    24
  • % Winners
    60.7%
  • Frequency
  • Avg Position Time (mins)
    68964.90
  • Avg Position Time (hrs)
    1149.42
  • Avg Trade Length
    47.9 days
  • Last Trade Ago
    15
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21858
  • SD
    0.19300
  • Sharpe ratio (Glass type estimate)
    1.13254
  • Sharpe ratio (Hedges UMVUE)
    1.09341
  • df
    22.00000
  • t
    1.56793
  • p
    0.06558
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33386
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.57472
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35869
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54552
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.43162
  • Upside Potential Ratio
    2.20300
  • Upside part of mean
    0.33635
  • Downside part of mean
    -0.11777
  • Upside SD
    0.12767
  • Downside SD
    0.15268
  • N nonnegative terms
    19.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.14339
  • Mean of criterion
    0.21858
  • SD of predictor
    0.07925
  • SD of criterion
    0.19300
  • Covariance
    0.00827
  • r
    0.54044
  • b (slope, estimate of beta)
    1.31609
  • a (intercept, estimate of alpha)
    0.02986
  • Mean Square Error
    0.02762
  • DF error
    21.00000
  • t(b)
    2.94347
  • p(b)
    0.17352
  • t(a)
    0.21938
  • p(a)
    0.46957
  • Lowerbound of 95% confidence interval for beta
    0.38625
  • Upperbound of 95% confidence interval for beta
    2.24594
  • Lowerbound of 95% confidence interval for alpha
    -0.25318
  • Upperbound of 95% confidence interval for alpha
    0.31289
  • Treynor index (mean / b)
    0.16608
  • Jensen alpha (a)
    0.02986
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19671
  • SD
    0.20801
  • Sharpe ratio (Glass type estimate)
    0.94565
  • Sharpe ratio (Hedges UMVUE)
    0.91298
  • df
    22.00000
  • t
    1.30920
  • p
    0.10199
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50734
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.37810
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52820
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.35416
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.15017
  • Upside Potential Ratio
    1.91635
  • Upside part of mean
    0.32775
  • Downside part of mean
    -0.13104
  • Upside SD
    0.12395
  • Downside SD
    0.17103
  • N nonnegative terms
    19.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    23.00000
  • Mean of predictor
    0.13926
  • Mean of criterion
    0.19671
  • SD of predictor
    0.07874
  • SD of criterion
    0.20801
  • Covariance
    0.00905
  • r
    0.55255
  • b (slope, estimate of beta)
    1.45967
  • a (intercept, estimate of alpha)
    -0.00657
  • Mean Square Error
    0.03149
  • DF error
    21.00000
  • t(b)
    3.03801
  • p(b)
    0.16706
  • t(a)
    -0.04545
  • p(a)
    0.50631
  • Lowerbound of 95% confidence interval for beta
    0.46048
  • Upperbound of 95% confidence interval for beta
    2.45886
  • Lowerbound of 95% confidence interval for alpha
    -0.30727
  • Upperbound of 95% confidence interval for alpha
    0.29413
  • Treynor index (mean / b)
    0.13476
  • Jensen alpha (a)
    -0.00657
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07908
  • Expected Shortfall on VaR
    0.10168
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00877
  • Expected Shortfall on VaR
    0.02649
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    23.00000
  • Minimum
    0.79113
  • Quartile 1
    1.01008
  • Median
    1.02248
  • Quartile 3
    1.05028
  • Maximum
    1.08107
  • Mean of quarter 1
    0.96715
  • Mean of quarter 2
    1.01498
  • Mean of quarter 3
    1.04159
  • Mean of quarter 4
    1.06196
  • Inter Quartile Range
    0.04020
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.04348
  • Mean of outliers low
    0.79113
  • 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)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.40930
  • VaR(95%) (regression method)
    0.01307
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00113
  • Quartile 1
    0.05376
  • Median
    0.10639
  • Quartile 3
    0.15902
  • Maximum
    0.21166
  • Mean of quarter 1
    0.00113
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.21166
  • Inter Quartile Range
    0.10526
  • 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)
    0.28072
  • Compounded annual return (geometric extrapolation)
    0.25184
  • Calmar ratio (compounded annual return / max draw down)
    1.18987
  • Compounded annual return / average of 25% largest draw downs
    1.18987
  • Compounded annual return / Expected Shortfall lognormal
    2.47691
  • 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
    0.06964
  • SD
    0.26810
  • Sharpe ratio (Glass type estimate)
    0.25973
  • Sharpe ratio (Hedges UMVUE)
    0.25936
  • df
    522.00000
  • t
    0.36697
  • p
    0.35690
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.12771
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.64693
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12796
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.64668
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.31597
  • Upside Potential Ratio
    3.87425
  • Upside part of mean
    0.85382
  • Downside part of mean
    -0.78419
  • Upside SD
    0.15229
  • Downside SD
    0.22038
  • N nonnegative terms
    290.00000
  • N negative terms
    233.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    523.00000
  • Mean of predictor
    0.10784
  • Mean of criterion
    0.06964
  • SD of predictor
    0.10787
  • SD of criterion
    0.26810
  • Covariance
    0.01135
  • r
    0.39251
  • b (slope, estimate of beta)
    0.97555
  • a (intercept, estimate of alpha)
    -0.03600
  • Mean Square Error
    0.06092
  • DF error
    521.00000
  • t(b)
    9.74098
  • p(b)
    -0.00000
  • t(a)
    -0.20319
  • p(a)
    0.58047
  • Lowerbound of 95% confidence interval for beta
    0.77881
  • Upperbound of 95% confidence interval for beta
    1.17230
  • Lowerbound of 95% confidence interval for alpha
    -0.37942
  • Upperbound of 95% confidence interval for alpha
    0.30829
  • Treynor index (mean / b)
    0.07138
  • Jensen alpha (a)
    -0.03556
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03185
  • SD
    0.27897
  • Sharpe ratio (Glass type estimate)
    0.11416
  • Sharpe ratio (Hedges UMVUE)
    0.11400
  • df
    522.00000
  • t
    0.16130
  • p
    0.43596
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.27308
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.50141
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.27324
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50124
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.13496
  • Upside Potential Ratio
    3.57045
  • Upside part of mean
    0.84254
  • Downside part of mean
    -0.81070
  • Upside SD
    0.14830
  • Downside SD
    0.23598
  • N nonnegative terms
    290.00000
  • N negative terms
    233.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    523.00000
  • Mean of predictor
    0.10197
  • Mean of criterion
    0.03185
  • SD of predictor
    0.10825
  • SD of criterion
    0.27897
  • Covariance
    0.01153
  • r
    0.38178
  • b (slope, estimate of beta)
    0.98384
  • a (intercept, estimate of alpha)
    -0.06848
  • Mean Square Error
    0.06661
  • DF error
    521.00000
  • t(b)
    9.42853
  • p(b)
    -0.00000
  • t(a)
    -0.37423
  • p(a)
    0.64581
  • Lowerbound of 95% confidence interval for beta
    0.77885
  • Upperbound of 95% confidence interval for beta
    1.18884
  • Lowerbound of 95% confidence interval for alpha
    -0.42794
  • Upperbound of 95% confidence interval for alpha
    0.29099
  • Treynor index (mean / b)
    0.03237
  • Jensen alpha (a)
    -0.06848
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02783
  • Expected Shortfall on VaR
    0.03479
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00604
  • Expected Shortfall on VaR
    0.01449
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    523.00000
  • Minimum
    0.81317
  • Quartile 1
    0.99815
  • Median
    1.00049
  • Quartile 3
    1.00300
  • Maximum
    1.08813
  • Mean of quarter 1
    0.98889
  • Mean of quarter 2
    0.99942
  • Mean of quarter 3
    1.00166
  • Mean of quarter 4
    1.01153
  • Inter Quartile Range
    0.00485
  • Number outliers low
    29.00000
  • Percentage of outliers low
    0.05545
  • Mean of outliers low
    0.96236
  • Number of outliers high
    37.00000
  • Percentage of outliers high
    0.07075
  • Mean of outliers high
    1.02795
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.96514
  • VaR(95%) (moments method)
    0.00914
  • Expected Shortfall (moments method)
    0.26536
  • Extreme Value Index (regression method)
    0.86514
  • VaR(95%) (regression method)
    0.00618
  • Expected Shortfall (regression method)
    0.04310
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    29.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00228
  • Median
    0.00738
  • Quartile 3
    0.01516
  • Maximum
    0.36442
  • Mean of quarter 1
    0.00103
  • Mean of quarter 2
    0.00535
  • Mean of quarter 3
    0.01306
  • Mean of quarter 4
    0.08570
  • Inter Quartile Range
    0.01288
  • 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
    0.10345
  • Mean of outliers high
    0.16606
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.97177
  • VaR(95%) (moments method)
    0.07824
  • Expected Shortfall (moments method)
    2.84977
  • Extreme Value Index (regression method)
    1.40780
  • VaR(95%) (regression method)
    0.07549
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.06346
  • Compounded annual return (geometric extrapolation)
    0.06158
  • Calmar ratio (compounded annual return / max draw down)
    0.16897
  • Compounded annual return / average of 25% largest draw downs
    0.71855
  • Compounded annual return / Expected Shortfall lognormal
    1.77002
  • 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
    -0.40078
  • SD
    0.30624
  • Sharpe ratio (Glass type estimate)
    -1.30869
  • Sharpe ratio (Hedges UMVUE)
    -1.30113
  • df
    130.00000
  • t
    -0.92538
  • p
    0.54045
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.08264
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47010
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.07744
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47519
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.49177
  • Upside Potential Ratio
    2.65128
  • Upside part of mean
    0.71229
  • Downside part of mean
    -1.11307
  • Upside SD
    0.14664
  • Downside SD
    0.26866
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04113
  • Mean of criterion
    -0.40078
  • SD of predictor
    0.10805
  • SD of criterion
    0.30624
  • Covariance
    0.02079
  • r
    0.62833
  • b (slope, estimate of beta)
    1.78094
  • a (intercept, estimate of alpha)
    -0.47402
  • Mean Square Error
    0.05720
  • DF error
    129.00000
  • t(b)
    9.17338
  • p(b)
    0.12815
  • t(a)
    -1.40109
  • p(a)
    0.57775
  • Lowerbound of 95% confidence interval for beta
    1.39682
  • Upperbound of 95% confidence interval for beta
    2.16505
  • Lowerbound of 95% confidence interval for alpha
    -1.14340
  • Upperbound of 95% confidence interval for alpha
    0.19536
  • Treynor index (mean / b)
    -0.22504
  • Jensen alpha (a)
    -0.47402
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.45002
  • SD
    0.31817
  • Sharpe ratio (Glass type estimate)
    -1.41438
  • Sharpe ratio (Hedges UMVUE)
    -1.40621
  • df
    130.00000
  • t
    -1.00012
  • p
    0.54369
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.18886
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.36541
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.18328
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37087
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.58075
  • Upside Potential Ratio
    2.46554
  • Upside part of mean
    0.70191
  • Downside part of mean
    -1.15193
  • Upside SD
    0.14208
  • Downside SD
    0.28469
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03530
  • Mean of criterion
    -0.45002
  • SD of predictor
    0.10836
  • SD of criterion
    0.31817
  • Covariance
    0.02164
  • r
    0.62768
  • b (slope, estimate of beta)
    1.84307
  • a (intercept, estimate of alpha)
    -0.51509
  • Mean Square Error
    0.06183
  • DF error
    129.00000
  • t(b)
    9.15777
  • p(b)
    0.12847
  • t(a)
    -1.46452
  • p(a)
    0.58119
  • Lowerbound of 95% confidence interval for beta
    1.44487
  • Upperbound of 95% confidence interval for beta
    2.24126
  • Lowerbound of 95% confidence interval for alpha
    -1.21096
  • Upperbound of 95% confidence interval for alpha
    0.18078
  • Treynor index (mean / b)
    -0.24417
  • Jensen alpha (a)
    -0.51509
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03348
  • Expected Shortfall on VaR
    0.04136
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00912
  • Expected Shortfall on VaR
    0.02129
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.86226
  • Quartile 1
    0.99753
  • Median
    1.00024
  • Quartile 3
    1.00220
  • Maximum
    1.08606
  • Mean of quarter 1
    0.98452
  • Mean of quarter 2
    0.99884
  • Mean of quarter 3
    1.00114
  • Mean of quarter 4
    1.00989
  • Inter Quartile Range
    0.00467
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.95404
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.02384
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.06185
  • VaR(95%) (moments method)
    0.01310
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.33500
  • VaR(95%) (regression method)
    0.00906
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00199
  • Quartile 1
    0.00382
  • Median
    0.00755
  • Quartile 3
    0.01045
  • Maximum
    0.27112
  • Mean of quarter 1
    0.00247
  • Mean of quarter 2
    0.00647
  • Mean of quarter 3
    0.00923
  • Mean of quarter 4
    0.10219
  • Inter Quartile Range
    0.00663
  • 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
    0.18182
  • Mean of outliers high
    0.14751
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.16301
  • VaR(95%) (moments method)
    0.07883
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    3.32256
  • VaR(95%) (regression method)
    0.41578
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.38054
  • Compounded annual return (geometric extrapolation)
    -0.34434
  • Calmar ratio (compounded annual return / max draw down)
    -1.27008
  • Compounded annual return / average of 25% largest draw downs
    -3.36948
  • Compounded annual return / Expected Shortfall lognormal
    -8.32585

Strategy Description

Please see the following link for a detailed strategy description and historical performance:
http://bit.ly/HistoricalPerformance

It is recommended for everyone to follow 100% with the same USD value as the model account or to scale accordingly. As a minimum, followers should have USD 25,000-30,000 and scale relative to the model account.

Be aware that you should be allowed to use 2 times leverage (like the Interactive Brokers Margin Account). The strategy uses a bit more than 100% of the available cash for the ETF positions and on top of that uses the additional leverage provided to trade futures. If you are not able to trade on margin/leverage please use only half of the scaling ratios to avoid running into excessive risks.

Backtesting data is hypothetical and it has not been verified by C2.

Summary Statistics

Strategy began
2016-10-17
Suggested Minimum Capital
$120,000
# Trades
61
# Profitable
37
% Profitable
60.7%
Net Dividends
Correlation S&P500
0.370
Sharpe Ratio
0.259

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.

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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.