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

SystematicBlue SP500
(92190352)

Created by: DavidStephens DavidStephens
Started: 01/2015
Stocks
Last trade: 1,336 days ago
Trading style: Equity Trend-following Short-term Reversal

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 $49.00 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.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
3.8%
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.

(49.6%)
Max Drawdown
134
Num Trades
61.2%
Win Trades
1.3 : 1
Profit Factor
34.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015(0.4%)+3.5%  -  (0.3%)+0.7%(3.5%)+5.9%(6.7%)+1.3%+9.9%+0.9%+5.5%+16.8%
2016(3%)+6.8%+2.1%+0.3%+9.3%+4.6%(0.7%)(0.2%)+1.8%(3%)(4.3%)+3.3%+17.5%
2017+2.0%+8.2%+3.3%+0.6%+0.2%+0.4%(0.3%)(4.3%)+1.6%+4.8%+6.2%+2.2%+27.3%
2018+12.2%(13.8%)(4%)(1.2%)+2.2%(1.2%)+2.9%+6.7%+0.9%(9.4%)+3.0%(3.4%)(7.6%)
2019+0.1%  -  +4.7%+2.6%(3.2%)+1.2%+0.9%(7.6%)  -    -    -  +6.7%+4.8%
2020(0.5%)(16.5%)(7%)+7.2%(2.6%)(0.5%)+3.2%  -    -    -    -    -  (17.2%)
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

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.

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 177 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1461 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/30/20 15:55 SSO PROSHARES ULTRA S&P 500 LONG 234 137.51 7/31 15:55 139.01 1.83%
Trade id #130372943
Max drawdown($512)
Time7/31/20 12:57
Quant open234
Worst price135.32
Drawdown as % of equity-1.83%
$346
Includes Typical Broker Commissions trade costs of $4.68
6/30/20 15:55 SSO PROSHARES ULTRA S&P 500 LONG 252 125.93 7/2 15:55 127.62 0.86%
Trade id #129828872
Max drawdown($236)
Time6/30/20 16:00
Quant open252
Worst price124.99
Drawdown as % of equity-0.86%
$421
Includes Typical Broker Commissions trade costs of $5.04
6/19/20 15:55 SSO PROSHARES ULTRA S&P 500 LONG 255 126.07 6/25 15:55 124.11 6.08%
Trade id #129667654
Max drawdown($1,698)
Time6/25/20 9:50
Quant open255
Worst price119.41
Drawdown as % of equity-6.08%
($505)
Includes Typical Broker Commissions trade costs of $5.10
6/15/20 15:56 SSO PROSHARES ULTRA S&P 500 LONG 114 122.62 6/18 15:55 126.70 0.01%
Trade id #129564701
Max drawdown($3)
Time6/15/20 15:59
Quant open114
Worst price122.59
Drawdown as % of equity-0.01%
$463
Includes Typical Broker Commissions trade costs of $2.28
5/7/20 15:55 SSO PROSHARES ULTRA S&P 500 LONG 298 108.84 5/14 15:55 106.39 9.16%
Trade id #128913864
Max drawdown($2,485)
Time5/14/20 10:05
Quant open298
Worst price100.50
Drawdown as % of equity-9.16%
($736)
Includes Typical Broker Commissions trade costs of $5.96
4/8/20 15:55 SSO PROSHARES ULTRA S&P 500 LONG 136 99.98 4/29 15:55 113.65 1.12%
Trade id #128481664
Max drawdown($303)
Time4/13/20 0:00
Quant open136
Worst price97.75
Drawdown as % of equity-1.12%
$1,856
Includes Typical Broker Commissions trade costs of $2.72
3/26/20 15:55 SSO PROSHARES ULTRA S&P 500 LONG 108 92.34 3/27 15:55 86.34 3.1%
Trade id #128271712
Max drawdown($845)
Time3/27/20 0:00
Quant open108
Worst price84.51
Drawdown as % of equity-3.10%
($650)
Includes Typical Broker Commissions trade costs of $2.16
3/24/20 15:55 SSO PROSHARES ULTRA S&P 500 LONG 121 80.04 3/25 15:55 83.19 1.14%
Trade id #128229183
Max drawdown($306)
Time3/25/20 0:00
Quant open121
Worst price77.51
Drawdown as % of equity-1.14%
$379
Includes Typical Broker Commissions trade costs of $2.42
3/20/20 15:55 SSO PROSHARES ULTRA S&P 500 LONG 96 71.63 3/23 15:56 68.92 2.44%
Trade id #128167323
Max drawdown($652)
Time3/23/20 11:46
Quant open96
Worst price64.83
Drawdown as % of equity-2.44%
($262)
Includes Typical Broker Commissions trade costs of $1.92
3/18/20 15:55 SSO PROSHARES ULTRA S&P 500 LONG 66 77.99 3/19 15:55 79.11 1.26%
Trade id #128124060
Max drawdown($343)
Time3/19/20 0:00
Quant open66
Worst price72.78
Drawdown as % of equity-1.26%
$73
Includes Typical Broker Commissions trade costs of $1.32
3/16/20 15:56 SSO PROSHARES ULTRA S&P 500 LONG 360 79.16 3/17 15:55 86.04 3.96%
Trade id #128073543
Max drawdown($959)
Time3/17/20 0:00
Quant open360
Worst price76.50
Drawdown as % of equity-3.96%
$2,468
Includes Typical Broker Commissions trade costs of $7.20
3/11/20 15:55 SSO PROSHARES ULTRA S&P 500 LONG 290 106.56 3/13 15:55 98.67 22.48%
Trade id #127981371
Max drawdown($6,035)
Time3/12/20 0:00
Quant open290
Worst price85.75
Drawdown as % of equity-22.48%
($2,295)
Includes Typical Broker Commissions trade costs of $5.80
3/9/20 15:56 SSO PROSHARES ULTRA S&P 500 LONG 263 109.27 3/10 15:55 117.33 3.36%
Trade id #127931609
Max drawdown($813)
Time3/10/20 0:00
Quant open263
Worst price106.18
Drawdown as % of equity-3.36%
$2,115
Includes Typical Broker Commissions trade costs of $5.26
3/4/20 15:55 SSO PROSHARES ULTRA S&P 500 LONG 220 140.18 3/5 15:55 130.19 9.5%
Trade id #127857725
Max drawdown($2,571)
Time3/5/20 0:00
Quant open220
Worst price128.49
Drawdown as % of equity-9.50%
($2,201)
Includes Typical Broker Commissions trade costs of $4.40
3/2/20 15:56 SSO PROSHARES ULTRA S&P 500 LONG 239 136.43 3/3 15:56 129.78 7.79%
Trade id #127812074
Max drawdown($2,251)
Time3/3/20 0:00
Quant open239
Worst price127.01
Drawdown as % of equity-7.79%
($1,594)
Includes Typical Broker Commissions trade costs of $4.78
2/27/20 15:55 SSO PROSHARES ULTRA S&P 500 LONG 263 129.20 2/28 15:55 123.45 10.65%
Trade id #127750304
Max drawdown($3,170)
Time2/28/20 0:00
Quant open263
Worst price117.14
Drawdown as % of equity-10.65%
($1,517)
Includes Typical Broker Commissions trade costs of $5.26
2/20/20 15:55 SSO PROSHARES ULTRA S&P 500 LONG 242 164.47 2/26 15:55 140.38 19.72%
Trade id #127626660
Max drawdown($6,083)
Time2/26/20 13:46
Quant open242
Worst price139.33
Drawdown as % of equity-19.72%
($5,835)
Includes Typical Broker Commissions trade costs of $4.84
2/4/20 15:55 SSO PROSHARES ULTRA S&P 500 LONG 246 157.03 2/10 15:56 162.05 0.13%
Trade id #127363559
Max drawdown($44)
Time2/4/20 15:59
Quant open246
Worst price156.85
Drawdown as % of equity-0.13%
$1,230
Includes Typical Broker Commissions trade costs of $4.92
12/9/19 15:56 SSO PROSHARES ULTRA S&P 500 LONG 253 142.70 2/3/20 15:56 152.43 0.86%
Trade id #126549497
Max drawdown($278)
Time12/10/19 0:00
Quant open253
Worst price141.60
Drawdown as % of equity-0.86%
$2,457
Includes Typical Broker Commissions trade costs of $5.06
7/1/19 15:56 SSO PROSHARES ULTRA S&P 500 LONG 300 128.14 8/6 15:56 120.51 10.7%
Trade id #124295857
Max drawdown($3,741)
Time7/1/19 15:56
Quant open300
Worst price115.67
Drawdown as % of equity-10.70%
($2,294)
Includes Typical Broker Commissions trade costs of $6.00
6/4/19 15:56 SSO PROSHARES ULTRA S&P 500 LONG 329 114.69 6/5 15:56 116.72 0.02%
Trade id #123938448
Max drawdown($6)
Time6/5/19 10:53
Quant open329
Worst price114.67
Drawdown as % of equity-0.02%
$661
Includes Typical Broker Commissions trade costs of $6.58
5/30/19 15:55 SSO PROSHARES ULTRA S&P 500 LONG 343 113.65 6/3 15:56 110.05 4.3%
Trade id #123880316
Max drawdown($1,634)
Time6/3/19 15:33
Quant open343
Worst price108.88
Drawdown as % of equity-4.30%
($1,240)
Includes Typical Broker Commissions trade costs of $6.86
5/28/19 15:55 SSO PROSHARES ULTRA S&P 500 LONG 344 115.17 5/29 15:55 113.27 2.93%
Trade id #123850092
Max drawdown($1,134)
Time5/29/19 11:54
Quant open344
Worst price111.87
Drawdown as % of equity-2.93%
($660)
Includes Typical Broker Commissions trade costs of $6.88
5/17/19 15:55 SSO PROSHARES ULTRA S&P 500 LONG 335 120.07 5/20 15:56 118.15 2.32%
Trade id #123721108
Max drawdown($924)
Time5/20/19 15:14
Quant open335
Worst price117.31
Drawdown as % of equity-2.32%
($649)
Includes Typical Broker Commissions trade costs of $6.70
5/15/19 15:55 SSO PROSHARES ULTRA S&P 500 LONG 333 119.11 5/16 15:56 120.96 0.14%
Trade id #123686115
Max drawdown($55)
Time5/15/19 16:01
Quant open333
Worst price118.94
Drawdown as % of equity-0.14%
$611
Includes Typical Broker Commissions trade costs of $6.66
5/13/19 15:56 SSO PROSHARES ULTRA S&P 500 LONG 336 115.68 5/14 15:56 117.87 0.8%
Trade id #123652364
Max drawdown($311)
Time5/13/19 18:02
Quant open336
Worst price114.75
Drawdown as % of equity-0.80%
$729
Includes Typical Broker Commissions trade costs of $6.72
5/7/19 15:56 SSO PROSHARES ULTRA S&P 500 LONG 321 121.61 5/10 15:55 121.12 4.01%
Trade id #123564732
Max drawdown($1,540)
Time5/10/19 11:04
Quant open321
Worst price116.81
Drawdown as % of equity-4.01%
($161)
Includes Typical Broker Commissions trade costs of $6.42
3/26/19 15:56 SSO PROSHARES ULTRA S&P 500 LONG 324 116.22 4/1 15:56 120.57 2.01%
Trade id #123086758
Max drawdown($746)
Time3/27/19 11:55
Quant open324
Worst price113.92
Drawdown as % of equity-2.01%
$1,405
Includes Typical Broker Commissions trade costs of $6.48
3/12/19 15:55 SSO PROSHARES ULTRA S&P 500 LONG 322 114.47 3/15 15:55 116.93 0.07%
Trade id #122884306
Max drawdown($25)
Time3/12/19 15:57
Quant open322
Worst price114.39
Drawdown as % of equity-0.07%
$787
Includes Typical Broker Commissions trade costs of $6.44
3/6/19 15:55 SSO PROSHARES ULTRA S&P 500 LONG 324 113.14 3/11 15:56 113.81 3.82%
Trade id #122809524
Max drawdown($1,352)
Time3/8/19 10:07
Quant open324
Worst price108.96
Drawdown as % of equity-3.82%
$213
Includes Typical Broker Commissions trade costs of $6.48

Statistics

  • Strategy began
    1/29/2015
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    3343.21
  • Age
    112 months ago
  • What it trades
    Stocks
  • # Trades
    134
  • # Profitable
    82
  • % Profitable
    61.20%
  • Avg trade duration
    7.0 days
  • Max peak-to-valley drawdown
    49.64%
  • drawdown period
    Jan 26, 2018 - March 13, 2020
  • Annual Return (Compounded)
    3.8%
  • Avg win
    $722.12
  • Avg loss
    $908.04
  • Model Account Values (Raw)
  • Cash
    $32,556
  • Margin Used
    $0
  • Buying Power
    $32,556
  • Ratios
  • W:L ratio
    1.27:1
  • Sharpe Ratio
    0.17
  • Sortino Ratio
    0.22
  • Calmar Ratio
    0.237
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -118.00%
  • Correlation to SP500
    0.35040
  • Return Percent SP500 (cumu) during strategy life
    159.67%
  • Return Statistics
  • Ann Return (w trading costs)
    3.8%
  • Slump
  • Current Slump as Pcnt Equity
    44.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.67%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.037%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    5.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    31.00%
  • Chance of 20% account loss
    5.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    51.12%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    334
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $908
  • Avg Win
    $722
  • Sum Trade PL (losers)
    $47,218.000
  • Age
  • Num Months filled monthly returns table
    111
  • Win / Loss
  • Sum Trade PL (winners)
    $59,214.000
  • # Winners
    82
  • Num Months Winners
    38
  • Dividends
  • Dividends Received in Model Acct
    562
  • Win / Loss
  • # Losers
    52
  • % Winners
    61.2%
  • Frequency
  • Avg Position Time (mins)
    10050.60
  • Avg Position Time (hrs)
    167.51
  • Avg Trade Length
    7.0 days
  • Last Trade Ago
    1333
  • Leverage
  • Daily leverage (average)
    2.08
  • Daily leverage (max)
    2.31
  • Regression
  • Alpha
    0.00
  • Beta
    0.29
  • Treynor Index
    0.03
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    29.12
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    86.10
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -2.18
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    9.250
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.459
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.774
  • Hold-and-Hope Ratio
    0.108
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07652
  • SD
    0.16510
  • Sharpe ratio (Glass type estimate)
    0.46351
  • Sharpe ratio (Hedges UMVUE)
    0.45805
  • df
    64.00000
  • t
    1.07875
  • p
    0.14237
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38423
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.30766
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38781
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30392
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.60562
  • Upside Potential Ratio
    1.81753
  • Upside part of mean
    0.22966
  • Downside part of mean
    -0.15314
  • Upside SD
    0.10658
  • Downside SD
    0.12636
  • N nonnegative terms
    38.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    65.00000
  • Mean of predictor
    0.13574
  • Mean of criterion
    0.07652
  • SD of predictor
    0.20442
  • SD of criterion
    0.16510
  • Covariance
    0.01216
  • r
    0.36038
  • b (slope, estimate of beta)
    0.29106
  • a (intercept, estimate of alpha)
    0.03702
  • Mean Square Error
    0.02409
  • DF error
    63.00000
  • t(b)
    3.06649
  • p(b)
    0.00159
  • t(a)
    0.54493
  • p(a)
    0.29386
  • Lowerbound of 95% confidence interval for beta
    0.10139
  • Upperbound of 95% confidence interval for beta
    0.48074
  • Lowerbound of 95% confidence interval for alpha
    -0.09873
  • Upperbound of 95% confidence interval for alpha
    0.17276
  • Treynor index (mean / b)
    0.26292
  • Jensen alpha (a)
    0.03702
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06205
  • SD
    0.17183
  • Sharpe ratio (Glass type estimate)
    0.36110
  • Sharpe ratio (Hedges UMVUE)
    0.35685
  • df
    64.00000
  • t
    0.84041
  • p
    0.20191
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48474
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20414
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48755
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20125
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.45337
  • Upside Potential Ratio
    1.63443
  • Upside part of mean
    0.22369
  • Downside part of mean
    -0.16164
  • Upside SD
    0.10326
  • Downside SD
    0.13686
  • N nonnegative terms
    38.00000
  • N negative terms
    27.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    65.00000
  • Mean of predictor
    0.11443
  • Mean of criterion
    0.06205
  • SD of predictor
    0.20359
  • SD of criterion
    0.17183
  • Covariance
    0.01247
  • r
    0.35657
  • b (slope, estimate of beta)
    0.30095
  • a (intercept, estimate of alpha)
    0.02761
  • Mean Square Error
    0.02618
  • DF error
    63.00000
  • t(b)
    3.02930
  • p(b)
    0.00178
  • t(a)
    0.39194
  • p(a)
    0.34821
  • Lowerbound of 95% confidence interval for beta
    0.10242
  • Upperbound of 95% confidence interval for beta
    0.49948
  • Lowerbound of 95% confidence interval for alpha
    -0.11317
  • Upperbound of 95% confidence interval for alpha
    0.16839
  • Treynor index (mean / b)
    0.20617
  • Jensen alpha (a)
    0.02761
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07357
  • Expected Shortfall on VaR
    0.09243
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02512
  • Expected Shortfall on VaR
    0.05686
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    65.00000
  • Minimum
    0.79489
  • Quartile 1
    1.00000
  • Median
    1.01075
  • Quartile 3
    1.03544
  • Maximum
    1.10172
  • Mean of quarter 1
    0.95460
  • Mean of quarter 2
    1.00311
  • Mean of quarter 3
    1.02256
  • Mean of quarter 4
    1.05793
  • Inter Quartile Range
    0.03544
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.07692
  • Mean of outliers low
    0.88662
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01538
  • Mean of outliers high
    1.10172
  • 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)
    0.34353
  • VaR(95%) (regression method)
    0.05913
  • Expected Shortfall (regression method)
    0.13305
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00828
  • Quartile 1
    0.01077
  • Median
    0.03467
  • Quartile 3
    0.04400
  • Maximum
    0.26660
  • Mean of quarter 1
    0.00889
  • Mean of quarter 2
    0.02335
  • Mean of quarter 3
    0.03726
  • Mean of quarter 4
    0.15867
  • Inter Quartile Range
    0.03323
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.26660
  • 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)
    0.11591
  • Compounded annual return (geometric extrapolation)
    0.09413
  • Calmar ratio (compounded annual return / max draw down)
    0.35306
  • Compounded annual return / average of 25% largest draw downs
    0.59320
  • Compounded annual return / Expected Shortfall lognormal
    1.01839
  • 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
    0.07485
  • SD
    0.16383
  • Sharpe ratio (Glass type estimate)
    0.45690
  • Sharpe ratio (Hedges UMVUE)
    0.45666
  • df
    1432.00000
  • t
    1.06855
  • p
    0.48589
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38139
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.29506
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38157
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.29489
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.58972
  • Upside Potential Ratio
    5.40534
  • Upside part of mean
    0.68611
  • Downside part of mean
    -0.61125
  • Upside SD
    0.10359
  • Downside SD
    0.12693
  • N nonnegative terms
    473.00000
  • N negative terms
    960.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1433.00000
  • Mean of predictor
    0.16890
  • Mean of criterion
    0.07485
  • SD of predictor
    0.23488
  • SD of criterion
    0.16383
  • Covariance
    0.01274
  • r
    0.33103
  • b (slope, estimate of beta)
    0.23090
  • a (intercept, estimate of alpha)
    0.03600
  • Mean Square Error
    0.02392
  • DF error
    1431.00000
  • t(b)
    13.27070
  • p(b)
    0.29317
  • t(a)
    0.54171
  • p(a)
    0.49089
  • Lowerbound of 95% confidence interval for beta
    0.19677
  • Upperbound of 95% confidence interval for beta
    0.26503
  • Lowerbound of 95% confidence interval for alpha
    -0.09399
  • Upperbound of 95% confidence interval for alpha
    0.16570
  • Treynor index (mean / b)
    0.32419
  • Jensen alpha (a)
    0.03586
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06118
  • SD
    0.16614
  • Sharpe ratio (Glass type estimate)
    0.36824
  • Sharpe ratio (Hedges UMVUE)
    0.36805
  • df
    1432.00000
  • t
    0.86121
  • p
    0.48862
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46997
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20637
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47012
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20622
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.46758
  • Upside Potential Ratio
    5.20283
  • Upside part of mean
    0.68075
  • Downside part of mean
    -0.61957
  • Upside SD
    0.10236
  • Downside SD
    0.13084
  • N nonnegative terms
    473.00000
  • N negative terms
    960.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1433.00000
  • Mean of predictor
    0.14118
  • Mean of criterion
    0.06118
  • SD of predictor
    0.23556
  • SD of criterion
    0.16614
  • Covariance
    0.01307
  • r
    0.33408
  • b (slope, estimate of beta)
    0.23562
  • a (intercept, estimate of alpha)
    0.02792
  • Mean Square Error
    0.02454
  • DF error
    1431.00000
  • t(b)
    13.40810
  • p(b)
    0.29134
  • t(a)
    0.41648
  • p(a)
    0.49299
  • Lowerbound of 95% confidence interval for beta
    0.20115
  • Upperbound of 95% confidence interval for beta
    0.27009
  • Lowerbound of 95% confidence interval for alpha
    -0.10357
  • Upperbound of 95% confidence interval for alpha
    0.15940
  • Treynor index (mean / b)
    0.25965
  • Jensen alpha (a)
    0.02792
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01651
  • Expected Shortfall on VaR
    0.02071
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00631
  • Expected Shortfall on VaR
    0.01384
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1433.00000
  • Minimum
    0.86036
  • Quartile 1
    0.99995
  • Median
    1.00000
  • Quartile 3
    1.00228
  • Maximum
    1.06609
  • Mean of quarter 1
    0.99097
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00034
  • Mean of quarter 4
    1.01028
  • Inter Quartile Range
    0.00233
  • Number outliers low
    208.00000
  • Percentage of outliers low
    0.14515
  • Mean of outliers low
    0.98549
  • Number of outliers high
    243.00000
  • Percentage of outliers high
    0.16957
  • Mean of outliers high
    1.01328
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48746
  • VaR(95%) (moments method)
    0.00485
  • Expected Shortfall (moments method)
    0.01223
  • Extreme Value Index (regression method)
    0.18512
  • VaR(95%) (regression method)
    0.00829
  • Expected Shortfall (regression method)
    0.01549
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    49.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00283
  • Median
    0.00941
  • Quartile 3
    0.02949
  • Maximum
    0.39394
  • Mean of quarter 1
    0.00132
  • Mean of quarter 2
    0.00534
  • Mean of quarter 3
    0.02164
  • Mean of quarter 4
    0.08093
  • Inter Quartile Range
    0.02666
  • 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
    0.04082
  • Mean of outliers high
    0.24391
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.58278
  • VaR(95%) (moments method)
    0.08381
  • Expected Shortfall (moments method)
    0.20947
  • Extreme Value Index (regression method)
    0.60303
  • VaR(95%) (regression method)
    0.07005
  • Expected Shortfall (regression method)
    0.16784
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11479
  • Compounded annual return (geometric extrapolation)
    0.09318
  • Calmar ratio (compounded annual return / max draw down)
    0.23653
  • Compounded annual return / average of 25% largest draw downs
    1.15134
  • Compounded annual return / Expected Shortfall lognormal
    4.49825
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.64903
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.42124
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.55931
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.42474
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6843820000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    152225000000000005074667471634432.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.00000
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -358913000
  • Max Equity Drawdown (num days)
    777
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

SystematicBlue SP500 trades the S&P500 using SSO, an ETF that reflects two times the daily returns of the S&P500. It is an end of day system with its design focus being simplicity and low drawdown for the return it generates.

The system is 100% mechanical, has not changed since inception, and is fully software automated (with human oversight). Most trades cluster around market dips with the occasional trend following trade. The strategy will never add to a position, does not short or use margin, and will tend to take losses rather than "hold and hope."

SB SP500 scales easily and is IRA and manual trader friendly. Signal levels are released to manual traders about 1/2 hour after market open. Note that the developer trades the system manually with his own 401k.

Summary Statistics

Strategy began
2015-01-29
Suggested Minimum Capital
$15,000
# Trades
134
# Profitable
82
% Profitable
61.2%
Net Dividends
Correlation S&P500
0.350
Sharpe Ratio
0.17
Sortino Ratio
0.22
Beta
0.29
Alpha
-0.00
Leverage
2.08 Average
2.31 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

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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.