Mammoth
(106660717)
Subscription terms. Subscriptions to this system cost $40.00 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  +3.3%  +9.4%  (1.4%)  +11.3%  
2017    +11.5%  (3%)  (0.1%)  +7.6%  (6.7%)  +6.3%  +5.0%  (1.1%)  +13.5%  +3.1%  +3.7%  +45.2% 
2018  +27.6%  (6.1%)  (13.4%)  +2.8%  +18.5%  (0.9%)  +12.5%  +41.0% 
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  $25,000  
Buy Power  $35,001  
Cash  $8,202  
Equity  $26,798  
Cumulative $  $32,484  
Total System Equity  $57,484  
Margined  $0  
Open P/L  $26,798 
Trading Record
Statistics

Strategy began10/25/2016

Suggested Minimum Cap$25,000

Strategy Age (days)626.6

Age21 months ago

What it tradesStocks

# Trades37

# Profitable17

% Profitable45.90%

Avg trade duration21.8 days

Max peaktovalley drawdown29.2%

drawdown periodMarch 11, 2018  April 03, 2018

Annual Return (Compounded)61.2%

Avg win$2,281

Avg loss$314.60
 Model Account Values (Raw)

Cash$8,202

Margin Used$0

Buying Power$35,001
 Ratios

W:L ratio6.16:1

Sharpe Ratio1.823

Sortino Ratio2.728

Calmar Ratio3.191
 CORRELATION STATISTICS

Correlation to SP5000.41400
 Return Statistics

Ann Return (w trading costs)61.2%

Ann Return (Compnd, No Fees)62.0%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss100.00%

Chance of 20% account loss100.00%

Chance of 30% account lossn/a

Chance of 40% account lossn/a

Chance of 50% account lossn/a
 Popularity

Popularity (Today)0

Popularity (Last 6 weeks)0
 TradesOwnSystem Certification

Trades Own System?0

TOS percentn/a
 Subscription Price

Billing Period (days)30

Trial Days0
 Win / Loss

Avg Loss$315

Avg Win$2,281

# Winners17

# Losers20

% Winners46.0%
 Frequency

Avg Position Time (mins)31389.80

Avg Position Time (hrs)523.16

Avg Trade Length21.8 days

Last Trade Ago367
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.60127

SD0.27313

Sharpe ratio (Glass type estimate)2.20143

Sharpe ratio (Hedges UMVUE)2.07150

df13.00000

t2.37781

p0.16813

Lowerbound of 95% confidence interval for Sharpe Ratio0.16832

Upperbound of 95% confidence interval for Sharpe Ratio4.16548

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.08992

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.05309
 Statistics related to Sortino ratio

Sortino ratio8.82209

Upside Potential Ratio10.42060

Upside part of mean0.71022

Downside part of mean0.10895

Upside SD0.30782

Downside SD0.06816

N nonnegative terms10.00000

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

N of observations14.00000

Mean of predictor0.18404

Mean of criterion0.60127

SD of predictor0.09118

SD of criterion0.27313

Covariance0.01960

r0.78696

b (slope, estimate of beta)2.35744

a (intercept, estimate of alpha)0.16740

Mean Square Error0.03077

DF error12.00000

t(b)4.41835

p(b)0.10652

t(a)0.88211

p(a)0.37662

Lowerbound of 95% confidence interval for beta1.19492

Upperbound of 95% confidence interval for beta3.51997

Lowerbound of 95% confidence interval for alpha0.24608

Upperbound of 95% confidence interval for alpha0.58088

Treynor index (mean / b)0.25505

Jensen alpha (a)0.16740
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.55514

SD0.25309

Sharpe ratio (Glass type estimate)2.19344

Sharpe ratio (Hedges UMVUE)2.06399

df13.00000

t2.36919

p0.16887

Lowerbound of 95% confidence interval for Sharpe Ratio0.16165

Upperbound of 95% confidence interval for Sharpe Ratio4.15629

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.08357

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.04442
 Statistics related to Sortino ratio

Sortino ratio7.96720

Upside Potential Ratio9.56138

Upside part of mean0.66622

Downside part of mean0.11108

Upside SD0.28338

Downside SD0.06968

N nonnegative terms10.00000

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

N of observations14.00000

Mean of predictor0.17853

Mean of criterion0.55514

SD of predictor0.08896

SD of criterion0.25309

Covariance0.01737

r0.77136

b (slope, estimate of beta)2.19448

a (intercept, estimate of alpha)0.16335

Mean Square Error0.02810

DF error12.00000

t(b)4.19868

p(b)0.11432

t(a)0.90200

p(a)0.37401

Lowerbound of 95% confidence interval for beta1.05571

Upperbound of 95% confidence interval for beta3.33326

Lowerbound of 95% confidence interval for alpha0.23123

Upperbound of 95% confidence interval for alpha0.55793

Treynor index (mean / b)0.25297

Jensen alpha (a)0.16335
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07125

Expected Shortfall on VaR0.09885
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01405

Expected Shortfall on VaR0.03119
 ORDER STATISTICS
 Quartiles of return rates

Number of observations14.00000

Minimum0.94480

Quartile 10.99835

Median1.05051

Quartile 31.09313

Maximum1.24668

Mean of quarter 10.97055

Mean of quarter 21.02658

Mean of quarter 31.06295

Mean of quarter 41.14582

Inter Quartile Range0.09478

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.07143

Mean of outliers high1.24668
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)24.55590

VaR(95%) (moments method)0.01166

Expected Shortfall (moments method)0.01166

Extreme Value Index (regression method)0.88400

VaR(95%) (regression method)0.05400

Expected Shortfall (regression method)0.06101
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.00335

Quartile 10.01985

Median0.02962

Quartile 30.03922

Maximum0.05520

Mean of quarter 10.00335

Mean of quarter 20.02534

Mean of quarter 30.03389

Mean of quarter 40.05520

Inter Quartile Range0.01937

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)0.83513

Compounded annual return (geometric extrapolation)0.79149

Calmar ratio (compounded annual return / max draw down)14.33940

Compounded annual return / average of 25% largest draw downs14.33940

Compounded annual return / Expected Shortfall lognormal8.00736

0.00000

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

Mean0.67220

SD0.36780

Sharpe ratio (Glass type estimate)1.82762

Sharpe ratio (Hedges UMVUE)1.82340

df325.00000

t2.03866

p0.02115

Lowerbound of 95% confidence interval for Sharpe Ratio0.06358

Upperbound of 95% confidence interval for Sharpe Ratio3.58894

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.06074

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.58605
 Statistics related to Sortino ratio

Sortino ratio2.72848

Upside Potential Ratio8.17221

Upside part of mean2.01334

Downside part of mean1.34114

Upside SD0.27548

Downside SD0.24636

N nonnegative terms186.00000

N negative terms140.00000
 Statistics related to linear regression on benchmark

N of observations326.00000

Mean of predictor0.18937

Mean of criterion0.67220

SD of predictor0.11740

SD of criterion0.36780

Covariance0.02494

r0.57756

b (slope, estimate of beta)1.80943

a (intercept, estimate of alpha)0.33000

Mean Square Error0.09043

DF error324.00000

t(b)12.73490

p(b)0.00000

t(a)1.21639

p(a)0.11236

Lowerbound of 95% confidence interval for beta1.52991

Upperbound of 95% confidence interval for beta2.08896

Lowerbound of 95% confidence interval for alpha0.20344

Upperbound of 95% confidence interval for alpha0.86255

Treynor index (mean / b)0.37150

Jensen alpha (a)0.32955
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.60362

SD0.36934

Sharpe ratio (Glass type estimate)1.63435

Sharpe ratio (Hedges UMVUE)1.63057

df325.00000

t1.82307

p0.03461

Lowerbound of 95% confidence interval for Sharpe Ratio0.12843

Upperbound of 95% confidence interval for Sharpe Ratio3.39469

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.13096

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.39211
 Statistics related to Sortino ratio

Sortino ratio2.35097

Upside Potential Ratio7.69868

Upside part of mean1.97668

Downside part of mean1.37305

Upside SD0.26732

Downside SD0.25676

N nonnegative terms186.00000

N negative terms140.00000
 Statistics related to linear regression on benchmark

N of observations326.00000

Mean of predictor0.18239

Mean of criterion0.60362

SD of predictor0.11768

SD of criterion0.36934

Covariance0.02506

r0.57657

b (slope, estimate of beta)1.80950

a (intercept, estimate of alpha)0.27359

Mean Square Error0.09134

DF error324.00000

t(b)12.70200

p(b)0.00000

t(a)1.00514

p(a)0.15779

Lowerbound of 95% confidence interval for beta1.52924

Upperbound of 95% confidence interval for beta2.08976

Lowerbound of 95% confidence interval for alpha0.26189

Upperbound of 95% confidence interval for alpha0.80907

Treynor index (mean / b)0.33359

Jensen alpha (a)0.27359
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03461

Expected Shortfall on VaR0.04374
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01029

Expected Shortfall on VaR0.02337
 ORDER STATISTICS
 Quartiles of return rates

Number of observations326.00000

Minimum0.86265

Quartile 10.99701

Median1.00142

Quartile 31.00923

Maximum1.10246

Mean of quarter 10.98043

Mean of quarter 20.99965

Mean of quarter 31.00439

Mean of quarter 41.02620

Inter Quartile Range0.01222

Number outliers low24.00000

Percentage of outliers low0.07362

Mean of outliers low0.95406

Number of outliers high24.00000

Percentage of outliers high0.07362

Mean of outliers high1.05242
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.76336

VaR(95%) (moments method)0.01638

Expected Shortfall (moments method)0.07751

Extreme Value Index (regression method)0.53586

VaR(95%) (regression method)0.01802

Expected Shortfall (regression method)0.04799
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations19.00000

Minimum0.00022

Quartile 10.00668

Median0.02229

Quartile 30.04100

Maximum0.27596

Mean of quarter 10.00269

Mean of quarter 20.01379

Mean of quarter 30.03212

Mean of quarter 40.12122

Inter Quartile Range0.03432

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high3.00000

Percentage of outliers high0.15790

Mean of outliers high0.16394
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.47226

VaR(95%) (moments method)0.11399

Expected Shortfall (moments method)0.13679

Extreme Value Index (regression method)0.00160

VaR(95%) (regression method)0.11774

Expected Shortfall (regression method)0.16285
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.95972

Compounded annual return (geometric extrapolation)0.88049

Calmar ratio (compounded annual return / max draw down)3.19067

Compounded annual return / average of 25% largest draw downs7.26356

Compounded annual return / Expected Shortfall lognormal20.12950

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

Mean1.11182

SD0.55490

Sharpe ratio (Glass type estimate)2.00365

Sharpe ratio (Hedges UMVUE)1.99206

df130.00000

t1.41679

p0.43834

Lowerbound of 95% confidence interval for Sharpe Ratio0.78260

Upperbound of 95% confidence interval for Sharpe Ratio4.78238

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.79030

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.77443
 Statistics related to Sortino ratio

Sortino ratio2.99449

Upside Potential Ratio9.69648

Upside part of mean3.60019

Downside part of mean2.48837

Upside SD0.41524

Downside SD0.37129

N nonnegative terms76.00000

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

N of observations131.00000

Mean of predictor0.21898

Mean of criterion1.11182

SD of predictor0.16175

SD of criterion0.55490

Covariance0.05846

r0.65130

b (slope, estimate of beta)2.23439

a (intercept, estimate of alpha)0.62253

Mean Square Error0.17867

DF error129.00000

t(b)9.74856

p(b)0.11691

t(a)1.03775

p(a)0.44215

Lowerbound of 95% confidence interval for beta1.78091

Upperbound of 95% confidence interval for beta2.68787

Lowerbound of 95% confidence interval for alpha0.56436

Upperbound of 95% confidence interval for alpha1.80942

Treynor index (mean / b)0.49760

Jensen alpha (a)0.62253
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.95605

SD0.55776

Sharpe ratio (Glass type estimate)1.71411

Sharpe ratio (Hedges UMVUE)1.70420

df130.00000

t1.21206

p0.44715

Lowerbound of 95% confidence interval for Sharpe Ratio1.06866

Upperbound of 95% confidence interval for Sharpe Ratio4.49047

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.07533

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.48374
 Statistics related to Sortino ratio

Sortino ratio2.46394

Upside Potential Ratio9.06462

Upside part of mean3.51724

Downside part of mean2.56119

Upside SD0.40205

Downside SD0.38802

N nonnegative terms76.00000

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

N of observations131.00000

Mean of predictor0.20583

Mean of criterion0.95605

SD of predictor0.16234

SD of criterion0.55776

Covariance0.05876

r0.64897

b (slope, estimate of beta)2.22965

a (intercept, estimate of alpha)0.49712

Mean Square Error0.18147

DF error129.00000

t(b)9.68807

p(b)0.11804

t(a)0.82264

p(a)0.45405

Lowerbound of 95% confidence interval for beta1.77431

Upperbound of 95% confidence interval for beta2.68500

Lowerbound of 95% confidence interval for alpha0.69851

Upperbound of 95% confidence interval for alpha1.69275

Treynor index (mean / b)0.42879

Jensen alpha (a)0.49712
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.05165

Expected Shortfall on VaR0.06513
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01915

Expected Shortfall on VaR0.04124
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.86265

Quartile 10.99004

Median1.00380

Quartile 31.01880

Maximum1.10246

Mean of quarter 10.96521

Mean of quarter 20.99787

Mean of quarter 31.01014

Mean of quarter 41.04436

Inter Quartile Range0.02876

Number outliers low6.00000

Percentage of outliers low0.04580

Mean of outliers low0.91295

Number of outliers high5.00000

Percentage of outliers high0.03817

Mean of outliers high1.09073
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.57089

VaR(95%) (moments method)0.03550

Expected Shortfall (moments method)0.09248

Extreme Value Index (regression method)0.49280

VaR(95%) (regression method)0.03628

Expected Shortfall (regression method)0.08294
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations10.00000

Minimum0.00673

Quartile 10.01759

Median0.04100

Quartile 30.07400

Maximum0.27596

Mean of quarter 10.01028

Mean of quarter 20.02969

Mean of quarter 30.04943

Mean of quarter 40.15505

Inter Quartile Range0.05642

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.10000

Mean of outliers high0.27596
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.07254

VaR(95%) (moments method)0.16776

Expected Shortfall (moments method)0.22343

Extreme Value Index (regression method)1.59062

VaR(95%) (regression method)0.33483

Expected Shortfall (regression method)0.00000
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.27111

Compounded annual return (geometric extrapolation)1.67503

Calmar ratio (compounded annual return / max draw down)6.06990

Compounded annual return / average of 25% largest draw downs10.80350

Compounded annual return / Expected Shortfall lognormal25.71860
Strategy Description
Strategy trades leveraged Index, Sector Specific, and Commodity ETF"s such as TQQQ, UPRO, URTY, UGL, and UYG. System enters trades with average in techniques to reduce risk.
Risk is limited to approximately 2% of account equity per trade.
FAQ's:
1. Are your system’s signals discretionary or are they algo driven with signals generated automatically?
Discretionary. We evaluate daily charts as well as longer time frames. News events such as earnings, OPEC meetings, political events, etc play a role in our actions.
2. Is it best to auto trade the system?
Auto trade is not required, but may be useful if you cannot trade signals manually during the day.
3. Does the system hold long positions only?
Only Longs, but does take short positions with Short ETF's.
4. Does the system utilize margin and if so how much?
No margin is used as it is provided using the leveraged ETF's.
5. Are target prices to sell given for each trade?
No targets, just market action.
6. Are stop losses given for each trade?
Stop loss orders are used to limit a loss to the 2% of equity level.
7. Does the system add to losing positions?
Never adds to losers.
8. How long will you hold a losing position before closing it and accepting a loss?
Max Risk per trade is set at 2% of account equity but is usually less.
9. Do you have a strategy for preventing a large system drawdown?
We invest in various markets to distribute risk and reduce the exposure to a single market.
Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.
Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.
Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have underor overcompensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.
Material assumptions and methods used when calculating results
The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.
 Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
 Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been rescaled downward to make current goforward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
 All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any pertrade AutoTrade fees, plus estimated broker commissions if any.
 "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.
Trading is risky
There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.
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Finally, please note that you can restore public visibility at any time.
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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.