Don't Worry
(106495939)
Subscription terms. Subscriptions to this system cost $99.00 per month.
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  

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%)  +2.4%  (11.9%) 
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.
Started  $100,000  
Buy Power  $72,697  
Cash  $1  
Equity  $1  
Cumulative $  $48,228  
Includes dividends and cashsettled expirations:  $2,771  Itemized 
Total System Equity  $148,228  
Margined  $1  
Open P/L  $1,106  
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 began10/17/2016

Suggested Minimum Cap$120,000

Strategy Age (days)636.67

Age21 months ago

What it tradesStocks

# Trades54

# Profitable37

% Profitable68.50%

Avg trade duration46.5 days

Max peaktovalley drawdown42.99%

drawdown periodJan 26, 2018  Feb 09, 2018

Annual Return (Compounded)23.8%

Avg win$2,342

Avg loss$2,422
 Model Account Values (Raw)

Cash$71,291

Margin Used$0

Buying Power$72,697
 Ratios

W:L ratio2.24:1

Sharpe Ratio0.96

Sortino Ratio1.217

Calmar Ratio0.726
 CORRELATION STATISTICS

Correlation to SP5000.26300
 Return Statistics

Ann Return (w trading costs)23.8%

Ann Return (Compnd, No Fees)25.4%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss49.00%

Chance of 20% account loss17.00%

Chance of 30% account loss3.00%

Chance of 40% account loss0.50%

Chance of 50% account lossn/a
 Popularity

Popularity (Today)629

Popularity (Last 6 weeks)853

C2 Score67.9
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$2,424

Avg Win$2,353

# Winners37

# Losers17

% Winners68.5%
 Frequency

Avg Position Time (mins)66971.70

Avg Position Time (hrs)1116.20

Avg Trade Length46.5 days

Last Trade Ago11
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.22099

SD0.20744

Sharpe ratio (Glass type estimate)1.06532

Sharpe ratio (Hedges UMVUE)1.02261

df19.00000

t1.37532

p0.31137

Lowerbound of 95% confidence interval for Sharpe Ratio0.50297

Upperbound of 95% confidence interval for Sharpe Ratio2.60705

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.53000

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.57522
 Statistics related to Sortino ratio

Sortino ratio1.34973

Upside Potential Ratio2.17694

Upside part of mean0.35643

Downside part of mean0.13544

Upside SD0.13470

Downside SD0.16373

N nonnegative terms16.00000

N negative terms4.00000
 Statistics related to linear regression on benchmark

N of observations20.00000

Mean of predictor0.13180

Mean of criterion0.22099

SD of predictor0.08470

SD of criterion0.20744

Covariance0.00957

r0.54465

b (slope, estimate of beta)1.33396

a (intercept, estimate of alpha)0.04518

Mean Square Error0.03195

DF error18.00000

t(b)2.75527

p(b)0.22768

t(a)0.29633

p(a)0.46516

Lowerbound of 95% confidence interval for beta0.31680

Upperbound of 95% confidence interval for beta2.35112

Lowerbound of 95% confidence interval for alpha0.27511

Upperbound of 95% confidence interval for alpha0.36546

Treynor index (mean / b)0.16567

Jensen alpha (a)0.04518
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.19621

SD0.22363

Sharpe ratio (Glass type estimate)0.87737

Sharpe ratio (Hedges UMVUE)0.84219

df19.00000

t1.13268

p0.34159

Lowerbound of 95% confidence interval for Sharpe Ratio0.67698

Upperbound of 95% confidence interval for Sharpe Ratio2.40953

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.69942

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.38381
 Statistics related to Sortino ratio

Sortino ratio1.06980

Upside Potential Ratio1.89144

Upside part of mean0.34690

Downside part of mean0.15069

Upside SD0.13070

Downside SD0.18341

N nonnegative terms16.00000

N negative terms4.00000
 Statistics related to linear regression on benchmark

N of observations20.00000

Mean of predictor0.12743

Mean of criterion0.19621

SD of predictor0.08413

SD of criterion0.22363

Covariance0.01046

r0.55576

b (slope, estimate of beta)1.47739

a (intercept, estimate of alpha)0.00794

Mean Square Error0.03649

DF error18.00000

t(b)2.83622

p(b)0.22212

t(a)0.04898

p(a)0.49423

Lowerbound of 95% confidence interval for beta0.38302

Upperbound of 95% confidence interval for beta2.57175

Lowerbound of 95% confidence interval for alpha0.33275

Upperbound of 95% confidence interval for alpha0.34864

Treynor index (mean / b)0.13281

Jensen alpha (a)0.00794
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.08592

Expected Shortfall on VaR0.10999
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01169

Expected Shortfall on VaR0.03334
 ORDER STATISTICS
 Quartiles of return rates

Number of observations20.00000

Minimum0.79113

Quartile 11.01020

Median1.02653

Quartile 31.05187

Maximum1.08107

Mean of quarter 10.95868

Mean of quarter 21.01348

Mean of quarter 31.04668

Mean of quarter 41.06413

Inter Quartile Range0.04167

Number outliers low1.00000

Percentage of outliers low0.05000

Mean of outliers low0.79113

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)0.00000

VaR(95%) (moments method)0.00000

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)1.38954

VaR(95%) (regression method)0.01820

Expected Shortfall (regression method)0.00000
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations2.00000

Minimum0.00113

Quartile 10.05376

Median0.10639

Quartile 30.15902

Maximum0.21166

Mean of quarter 10.00113

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.21166

Inter Quartile Range0.10526

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)0.27171

Compounded annual return (geometric extrapolation)0.25122

Calmar ratio (compounded annual return / max draw down)1.18690

Compounded annual return / average of 25% largest draw downs1.18690

Compounded annual return / Expected Shortfall lognormal2.28388

0.00000

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

Mean0.22995

SD0.23908

Sharpe ratio (Glass type estimate)0.96181

Sharpe ratio (Hedges UMVUE)0.96022

df452.00000

t1.26470

p0.10332

Lowerbound of 95% confidence interval for Sharpe Ratio0.53056

Upperbound of 95% confidence interval for Sharpe Ratio2.45320

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.53166

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.45209
 Statistics related to Sortino ratio

Sortino ratio1.21746

Upside Potential Ratio4.58534

Upside part of mean0.86607

Downside part of mean0.63612

Upside SD0.14683

Downside SD0.18888

N nonnegative terms259.00000

N negative terms194.00000
 Statistics related to linear regression on benchmark

N of observations453.00000

Mean of predictor0.13725

Mean of criterion0.22995

SD of predictor0.10671

SD of criterion0.23908

Covariance0.00750

r0.29389

b (slope, estimate of beta)0.65843

a (intercept, estimate of alpha)0.14000

Mean Square Error0.05234

DF error451.00000

t(b)6.52958

p(b)0.00000

t(a)0.79973

p(a)0.21214

Lowerbound of 95% confidence interval for beta0.46026

Upperbound of 95% confidence interval for beta0.85660

Lowerbound of 95% confidence interval for alpha0.20342

Upperbound of 95% confidence interval for alpha0.48258

Treynor index (mean / b)0.34924

Jensen alpha (a)0.13958
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.19983

SD0.24871

Sharpe ratio (Glass type estimate)0.80345

Sharpe ratio (Hedges UMVUE)0.80212

df452.00000

t1.05647

p0.14566

Lowerbound of 95% confidence interval for Sharpe Ratio0.68845

Upperbound of 95% confidence interval for Sharpe Ratio2.29451

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.68936

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.29359
 Statistics related to Sortino ratio

Sortino ratio0.98289

Upside Potential Ratio4.20819

Upside part of mean0.85554

Downside part of mean0.65571

Upside SD0.14332

Downside SD0.20330

N nonnegative terms259.00000

N negative terms194.00000
 Statistics related to linear regression on benchmark

N of observations453.00000

Mean of predictor0.13150

Mean of criterion0.19983

SD of predictor0.10707

SD of criterion0.24871

Covariance0.00746

r0.27999

b (slope, estimate of beta)0.65042

a (intercept, estimate of alpha)0.11430

Mean Square Error0.05713

DF error451.00000

t(b)6.19393

p(b)0.00000

t(a)0.62696

p(a)0.26550

Lowerbound of 95% confidence interval for beta0.44405

Upperbound of 95% confidence interval for beta0.85678

Lowerbound of 95% confidence interval for alpha0.24397

Upperbound of 95% confidence interval for alpha0.47257

Treynor index (mean / b)0.30723

Jensen alpha (a)0.11430
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02421

Expected Shortfall on VaR0.03044
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00475

Expected Shortfall on VaR0.01152
 ORDER STATISTICS
 Quartiles of return rates

Number of observations453.00000

Minimum0.81317

Quartile 10.99835

Median1.00056

Quartile 31.00311

Maximum1.08813

Mean of quarter 10.99101

Mean of quarter 20.99962

Mean of quarter 31.00177

Mean of quarter 41.01162

Inter Quartile Range0.00475

Number outliers low24.00000

Percentage of outliers low0.05298

Mean of outliers low0.96971

Number of outliers high34.00000

Percentage of outliers high0.07506

Mean of outliers high1.02642
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.87429

VaR(95%) (moments method)0.00753

Expected Shortfall (moments method)0.06177

Extreme Value Index (regression method)0.69542

VaR(95%) (regression method)0.00537

Expected Shortfall (regression method)0.01798
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations29.00000

Minimum0.00017

Quartile 10.00228

Median0.00738

Quartile 30.01516

Maximum0.35247

Mean of quarter 10.00103

Mean of quarter 20.00535

Mean of quarter 30.01306

Mean of quarter 40.08399

Inter Quartile Range0.01288

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high3.00000

Percentage of outliers high0.10345

Mean of outliers high0.16207
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.95931

VaR(95%) (moments method)0.07721

Expected Shortfall (moments method)1.95497

Extreme Value Index (regression method)1.38784

VaR(95%) (regression method)0.07476

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.27908

Compounded annual return (geometric extrapolation)0.25575

Calmar ratio (compounded annual return / max draw down)0.72559

Compounded annual return / average of 25% largest draw downs3.04505

Compounded annual return / Expected Shortfall lognormal8.40112

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

Mean0.23926

SD0.38317

Sharpe ratio (Glass type estimate)0.62443

Sharpe ratio (Hedges UMVUE)0.62082

df130.00000

t0.44154

p0.51935

Lowerbound of 95% confidence interval for Sharpe Ratio3.39619

Upperbound of 95% confidence interval for Sharpe Ratio2.14950

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.39365

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.15201
 Statistics related to Sortino ratio

Sortino ratio0.71318

Upside Potential Ratio3.01815

Upside part of mean1.01255

Downside part of mean1.25181

Upside SD0.18266

Downside SD0.33549

N nonnegative terms76.00000

N negative terms55.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.00362

Mean of criterion0.23926

SD of predictor0.16441

SD of criterion0.38317

Covariance0.01311

r0.20804

b (slope, estimate of beta)0.48485

a (intercept, estimate of alpha)0.23751

Mean Square Error0.14155

DF error129.00000

t(b)2.41569

p(b)0.36852

t(a)0.44638

p(a)0.52499

Lowerbound of 95% confidence interval for beta0.08774

Upperbound of 95% confidence interval for beta0.88196

Lowerbound of 95% confidence interval for alpha1.29024

Upperbound of 95% confidence interval for alpha0.81522

Treynor index (mean / b)0.49347

Jensen alpha (a)0.23751
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.31778

SD0.40519

Sharpe ratio (Glass type estimate)0.78428

Sharpe ratio (Hedges UMVUE)0.77974

df130.00000

t0.55457

p0.52429

Lowerbound of 95% confidence interval for Sharpe Ratio3.55628

Upperbound of 95% confidence interval for Sharpe Ratio1.99062

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation3.55317

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.99368
 Statistics related to Sortino ratio

Sortino ratio0.87514

Upside Potential Ratio2.74399

Upside part of mean0.99640

Downside part of mean1.31418

Upside SD0.17736

Downside SD0.36312

N nonnegative terms76.00000

N negative terms55.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.01712

Mean of criterion0.31778

SD of predictor0.16524

SD of criterion0.40519

Covariance0.01311

r0.19585

b (slope, estimate of beta)0.48026

a (intercept, estimate of alpha)0.30956

Mean Square Error0.15911

DF error129.00000

t(b)2.26838

p(b)0.37612

t(a)0.54875

p(a)0.53071

Lowerbound of 95% confidence interval for beta0.06137

Upperbound of 95% confidence interval for beta0.89915

Lowerbound of 95% confidence interval for alpha1.42568

Upperbound of 95% confidence interval for alpha0.80656

Treynor index (mean / b)0.66169

Jensen alpha (a)0.30956
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.04150

Expected Shortfall on VaR0.05144
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00925

Expected Shortfall on VaR0.02229
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.81317

Quartile 10.99811

Median1.00063

Quartile 31.00359

Maximum1.08813

Mean of quarter 10.98171

Mean of quarter 20.99962

Mean of quarter 31.00158

Mean of quarter 41.01393

Inter Quartile Range0.00547

Number outliers low9.00000

Percentage of outliers low0.06870

Mean of outliers low0.94479

Number of outliers high9.00000

Percentage of outliers high0.06870

Mean of outliers high1.03440
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)1.14704

VaR(95%) (moments method)0.01358

Expected Shortfall (moments method)0.00000

Extreme Value Index (regression method)0.95599

VaR(95%) (regression method)0.00953

Expected Shortfall (regression method)0.22013
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations1.00000

Minimum0.35247

Quartile 10.35247

Median0.35247

Quartile 30.35247

Maximum0.35247

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

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)0.26985

Compounded annual return (geometric extrapolation)0.25164

Calmar ratio (compounded annual return / max draw down)0.71395

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal4.89242
Strategy Description
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 25,00030,000 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
Latest Activity
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.
Not available
This feature isn't available under your current Trade Leader Plan.
Strategy is now visible
This strategy is now visible to the public. New subscribers will be able to follow it.
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.