Collective2 Collective2
Featured Strategy forex prophet +34.9% Cumul. Return since July 29, 2019 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 02/06/2018
Most recent certification approved 2/23/18 13:59 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 200%
# trading signals issued by system since certification 69
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 64
Percent signals followed since 02/06/2018 92.8%
This information was last updated 8/6/19 11:08 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 02/06/2018, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

ETF Leverage Reversal
(104155140)

Created by: AKOK AKOK
Started: 06/2016
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 $89.00 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.

38.1%
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.

(24.0%)
Max Drawdown
49
Num Trades
81.6%
Win Trades
2.6 : 1
Profit Factor
69.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                   +0.6%(1.1%)(1.6%)+21.2%+8.9%(9.3%)+14.5%+34.3%
2017+7.1%+4.1%+10.2%(5%)+3.3%+5.5%+1.7%(0.4%)+1.3%(0.8%)+1.2%+1.9%+33.4%
2018+4.7%+3.0%+1.5%+0.6%+0.7%(0.4%)(0.4%)(7.4%)+0.8%+2.6%(1.4%)+21.8%+26.4%
2019+10.7%+2.2%+2.3%+0.8%(4.2%)+10.4%+1.6%(1.5%)                        +23.4%

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 48 hours.

Trading Record

This strategy has placed 73 trades in real-life brokerage accounts.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/26/19 12:14 INTC INTEL LONG 500 51.65 7/10 11:36 48.31 6.64%
Trade id #123445300
Max drawdown($4,392)
Time4/26/19 12:14
Quant open500
Worst price42.86
Drawdown as % of equity-6.64%
 ($1,676)
Includes Typical Broker Commissions trade costs of $10.00
6/10/19 14:22 CENX CENTURY ALUMINUM LONG 4,000 5.73 7/10 9:33 6.86 0.51%
Trade id #124015198
Max drawdown($330)
Time6/10/19 14:22
Quant open4,000
Worst price5.65
Drawdown as % of equity-0.51%
 $4,493
Includes Typical Broker Commissions trade costs of $5.00
4/22/19 11:43 DUST DIREXION DAILY GOLD MINERS BEA SHORT 950 21.12 6/10 14:21 17.27 4.5%
Trade id #123387320
Max drawdown($3,019)
Time5/13/19 5:54
Quant open-950
Worst price24.30
Drawdown as % of equity-4.50%
 $3,649
Includes Typical Broker Commissions trade costs of $5.00
4/22/19 11:44 NUGT DIREXION DAILY GOLD MINERS BUL SHORT 1,203 16.63 6/10 14:21 18.84 7.31%
Trade id #123387332
Max drawdown($4,899)
Time6/7/19 8:37
Quant open-1,203
Worst price20.70
Drawdown as % of equity-7.31%
 ($2,673)
Includes Typical Broker Commissions trade costs of $5.00
1/28/19 15:18 NUGT DIREXION DAILY GOLD MINERS BUL SHORT 1,001 17.96 4/22 11:42 16.66 6.74%
Trade id #122225542
Max drawdown($4,593)
Time3/27/19 8:01
Quant open-1,001
Worst price22.55
Drawdown as % of equity-6.74%
 $1,297
Includes Typical Broker Commissions trade costs of $5.00
1/28/19 15:18 DUST DIREXION DAILY GOLD MINERS BEA SHORT 830 21.70 4/22 11:42 21.10 0.12%
Trade id #122225528
Max drawdown($73)
Time1/28/19 15:18
Quant open830
Worst price21.79
Drawdown as % of equity-0.12%
 $493
Includes Typical Broker Commissions trade costs of $5.00
3/25/19 11:06 INTC INTEL LONG 400 52.64 3/26 13:28 53.40 0.16%
Trade id #123059621
Max drawdown($105)
Time3/25/19 14:28
Quant open400
Worst price52.38
Drawdown as % of equity-0.16%
 $297
Includes Typical Broker Commissions trade costs of $8.00
2/28/19 11:15 CENX CENTURY ALUMINUM LONG 1,500 8.75 3/19 12:14 9.02 2.89%
Trade id #122733985
Max drawdown($1,911)
Time3/8/19 13:37
Quant open1,500
Worst price7.48
Drawdown as % of equity-2.89%
 $396
Includes Typical Broker Commissions trade costs of $5.00
2/7/19 12:36 CENX CENTURY ALUMINUM LONG 1,500 8.56 2/20 11:26 9.13 0.63%
Trade id #122418638
Max drawdown($419)
Time2/8/19 10:19
Quant open1,500
Worst price8.28
Drawdown as % of equity-0.63%
 $847
Includes Typical Broker Commissions trade costs of $5.00
1/31/19 11:52 INTC INTEL LONG 500 46.31 1/31 15:39 47.16 0.04%
Trade id #122293858
Max drawdown($24)
Time1/31/19 12:08
Quant open500
Worst price46.26
Drawdown as % of equity-0.04%
 $415
Includes Typical Broker Commissions trade costs of $10.00
1/25/19 11:24 INTC INTEL LONG 500 46.50 1/30 14:13 47.31 0.37%
Trade id #122181472
Max drawdown($244)
Time1/28/19 9:18
Quant open500
Worst price46.01
Drawdown as % of equity-0.37%
 $396
Includes Typical Broker Commissions trade costs of $10.00
1/4/19 12:13 JNUG DIREXION DAILY JR GOLD BULL SHORT 1,766 10.16 1/28 15:14 9.88 0.98%
Trade id #121789497
Max drawdown($626)
Time1/7/19 4:10
Quant open-1,766
Worst price10.52
Drawdown as % of equity-0.98%
 $505
Includes Typical Broker Commissions trade costs of $5.00
1/4/19 12:13 JDST DIREXION DAILY JR GOLD BEAR SHORT 401 45.01 1/28 15:14 44.77 5.97%
Trade id #121789516
Max drawdown($3,845)
Time1/22/19 10:26
Quant open-401
Worst price54.60
Drawdown as % of equity-5.97%
 $87
Includes Typical Broker Commissions trade costs of $8.02
1/22/19 11:58 INTC INTEL LONG 400 48.32 1/24 9:31 48.89 0.5%
Trade id #122111488
Max drawdown($320)
Time1/23/19 12:09
Quant open400
Worst price47.52
Drawdown as % of equity-0.50%
 $220
Includes Typical Broker Commissions trade costs of $8.00
1/15/19 11:24 CENX CENTURY ALUMINUM LONG 1,500 8.14 1/16 11:44 8.63 0.31%
Trade id #121984500
Max drawdown($201)
Time1/15/19 18:31
Quant open1,500
Worst price8.01
Drawdown as % of equity-0.31%
 $722
Includes Typical Broker Commissions trade costs of $5.00
1/8/19 12:07 INTC INTEL LONG 500 47.17 1/8 15:59 47.72 0.13%
Trade id #121847622
Max drawdown($83)
Time1/8/19 13:02
Quant open500
Worst price47.00
Drawdown as % of equity-0.13%
 $266
Includes Typical Broker Commissions trade costs of $10.00
12/20/18 11:09 CENX CENTURY ALUMINUM LONG 3,500 7.13 1/4/19 10:23 8.27 3.57%
Trade id #121595551
Max drawdown($2,054)
Time12/26/18 10:16
Quant open3,500
Worst price6.54
Drawdown as % of equity-3.57%
 $3,985
Includes Typical Broker Commissions trade costs of $7.50
6/14/18 11:36 JNUG DIREXION DAILY JR GOLD BULL SHORT 1,005 14.38 1/3/19 12:03 9.97 1.7%
Trade id #118437938
Max drawdown($843)
Time6/14/18 11:36
Quant open1,005
Worst price15.22
Drawdown as % of equity-1.70%
 $4,428
Includes Typical Broker Commissions trade costs of $5.00
6/14/18 11:35 JDST DIREXION DAILY JR GOLD BEAR SHORT 341 48.48 1/3/19 12:03 46.26 18.19%
Trade id #118437931
Max drawdown($9,306)
Time12/6/18 14:42
Quant open-341
Worst price75.77
Drawdown as % of equity-18.19%
 $750
Includes Typical Broker Commissions trade costs of $6.82
12/19/18 15:11 INTC INTEL LONG 1,200 45.73 12/20 12:19 45.37 1.06%
Trade id #121581218
Max drawdown($614)
Time12/20/18 12:18
Quant open1,200
Worst price45.22
Drawdown as % of equity-1.06%
 ($442)
Includes Typical Broker Commissions trade costs of $5.00
12/19/18 14:12 INTC INTEL LONG 800 46.76 12/19 14:32 47.25 0.06%
Trade id #121578807
Max drawdown($34)
Time12/19/18 14:16
Quant open800
Worst price46.72
Drawdown as % of equity-0.06%
 $384
Includes Typical Broker Commissions trade costs of $5.00
12/19/18 11:51 INTC INTEL LONG 500 47.19 12/19 12:51 47.43 0.03%
Trade id #121574078
Max drawdown($18)
Time12/19/18 11:55
Quant open500
Worst price47.15
Drawdown as % of equity-0.03%
 $113
Includes Typical Broker Commissions trade costs of $10.00
12/18/18 14:45 CENX CENTURY ALUMINUM LONG 2,000 8.26 12/19 11:40 8.53 0.21%
Trade id #121559108
Max drawdown($118)
Time12/18/18 15:28
Quant open2,000
Worst price8.20
Drawdown as % of equity-0.21%
 $535
Includes Typical Broker Commissions trade costs of $5.00
12/17/18 15:33 CENX CENTURY ALUMINUM LONG 2,000 8.26 12/18 11:06 8.42 0.18%
Trade id #121535047
Max drawdown($100)
Time12/17/18 15:50
Quant open2,000
Worst price8.21
Drawdown as % of equity-0.18%
 $318
Includes Typical Broker Commissions trade costs of $5.00
12/14/18 13:06 CENX CENTURY ALUMINUM LONG 2,000 8.16 12/17 11:16 8.67 0.42%
Trade id #121505491
Max drawdown($222)
Time12/17/18 9:32
Quant open2,000
Worst price8.05
Drawdown as % of equity-0.42%
 $1,012
Includes Typical Broker Commissions trade costs of $5.00
12/10/18 14:34 CENX CENTURY ALUMINUM LONG 2,000 8.26 12/11 9:30 8.53 0.25%
Trade id #121429156
Max drawdown($131)
Time12/10/18 15:13
Quant open2,000
Worst price8.19
Drawdown as % of equity-0.25%
 $551
Includes Typical Broker Commissions trade costs of $5.00
4/3/18 12:16 JNUG DIREXION DAILY JR GOLD BULL SHORT 1,340 13.44 6/14 11:20 14.44 4.12%
Trade id #117349871
Max drawdown($2,129)
Time5/15/18 4:06
Quant open-1,340
Worst price15.03
Drawdown as % of equity-4.12%
 ($1,343)
Includes Typical Broker Commissions trade costs of $5.00
4/3/18 12:17 JDST DIREXION DAILY JR GOLD BEAR SHORT 327 55.05 6/14 11:20 48.39 1.3%
Trade id #117349883
Max drawdown($638)
Time4/3/18 12:17
Quant open327
Worst price57.00
Drawdown as % of equity-1.30%
 $2,171
Includes Typical Broker Commissions trade costs of $6.54
2/6/18 11:10 JNUG DIREXION DAILY JR GOLD BULL SHORT 1,164 13.72 4/3 12:06 13.45 2.89%
Trade id #116344698
Max drawdown($1,489)
Time3/26/18 10:22
Quant open-1,164
Worst price15.00
Drawdown as % of equity-2.89%
 $315
Includes Typical Broker Commissions trade costs of $5.00
2/6/18 11:10 JDST DIREXION DAILY JR GOLD BEAR SHORT 330 60.48 4/3 12:06 55.18 0.29%
Trade id #116344554
Max drawdown($148)
Time3/16/18 11:01
Quant open-330
Worst price60.93
Drawdown as % of equity-0.29%
 $1,742
Includes Typical Broker Commissions trade costs of $6.60
Next

Statistics

  • Strategy began
    6/19/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1159.52
  • Age
    39 months ago
  • What it trades
    Stocks
  • # Trades
    49
  • # Profitable
    40
  • % Profitable
    81.60%
  • Avg trade duration
    49.8 days
  • Max peak-to-valley drawdown
    24.03%
  • drawdown period
    Nov 09, 2016 - Dec 20, 2016
  • Annual Return (Compounded)
    38.1%
  • Avg win
    $2,019
  • Avg loss
    $3,514
  • Model Account Values (Raw)
  • Cash
    $108,676
  • Margin Used
    $79,912
  • Buying Power
    $29,009
  • Ratios
  • W:L ratio
    2.58:1
  • Sharpe Ratio
    1.31
  • Sortino Ratio
    2.01
  • Calmar Ratio
    2.172
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.05310
  • Return Statistics
  • Ann Return (w trading costs)
    38.1%
  • Ann Return (Compnd, No Fees)
    40.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    29.00%
  • Chance of 20% account loss
    5.50%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    839
  • Popularity (Last 6 weeks)
    994
  • C2 Score
    37
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    200%
  • Win / Loss
  • Avg Loss
    $3,515
  • Avg Win
    $2,020
  • # Winners
    40
  • # Losers
    9
  • % Winners
    81.6%
  • Frequency
  • Avg Position Time (mins)
    71674.80
  • Avg Position Time (hrs)
    1194.58
  • Avg Trade Length
    49.8 days
  • Last Trade Ago
    16
  • Leverage
  • Daily leverage (average)
    3.33
  • Daily leverage (max)
    5.78
  • Regression
  • Alpha
    0.09
  • Beta
    0.09
  • Treynor Index
    1.04
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    5.580
  • Avg(MAE) / Avg(PL) - Winning trades
    2.679
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.597
  • Hold-and-Hope Ratio
    0.183
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35884
  • SD
    0.27641
  • Sharpe ratio (Glass type estimate)
    1.29822
  • Sharpe ratio (Hedges UMVUE)
    1.27095
  • df
    36.00000
  • t
    2.27960
  • p
    0.01433
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13436
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.44533
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11680
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42510
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.19172
  • Upside Potential Ratio
    5.47297
  • Upside part of mean
    0.46852
  • Downside part of mean
    -0.10968
  • Upside SD
    0.27881
  • Downside SD
    0.08561
  • N nonnegative terms
    24.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.08655
  • Mean of criterion
    0.35884
  • SD of predictor
    0.13370
  • SD of criterion
    0.27641
  • Covariance
    -0.00879
  • r
    -0.23785
  • b (slope, estimate of beta)
    -0.49172
  • a (intercept, estimate of alpha)
    0.40140
  • Mean Square Error
    0.07414
  • DF error
    35.00000
  • t(b)
    -1.44874
  • p(b)
    0.92185
  • t(a)
    2.54335
  • p(a)
    0.00778
  • Lowerbound of 95% confidence interval for beta
    -1.18075
  • Upperbound of 95% confidence interval for beta
    0.19732
  • Lowerbound of 95% confidence interval for alpha
    0.08100
  • Upperbound of 95% confidence interval for alpha
    0.72179
  • Treynor index (mean / b)
    -0.72976
  • Jensen alpha (a)
    0.40140
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32081
  • SD
    0.25106
  • Sharpe ratio (Glass type estimate)
    1.27784
  • Sharpe ratio (Hedges UMVUE)
    1.25101
  • df
    36.00000
  • t
    2.24382
  • p
    0.01554
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11530
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42389
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09802
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40399
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.59577
  • Upside Potential Ratio
    4.86560
  • Upside part of mean
    0.43411
  • Downside part of mean
    -0.11329
  • Upside SD
    0.24888
  • Downside SD
    0.08922
  • N nonnegative terms
    24.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    37.00000
  • Mean of predictor
    0.07733
  • Mean of criterion
    0.32081
  • SD of predictor
    0.13460
  • SD of criterion
    0.25106
  • Covariance
    -0.00826
  • r
    -0.24455
  • b (slope, estimate of beta)
    -0.45615
  • a (intercept, estimate of alpha)
    0.35609
  • Mean Square Error
    0.06095
  • DF error
    35.00000
  • t(b)
    -1.49210
  • p(b)
    0.92768
  • t(a)
    2.49754
  • p(a)
    0.00868
  • Lowerbound of 95% confidence interval for beta
    -1.07678
  • Upperbound of 95% confidence interval for beta
    0.16447
  • Lowerbound of 95% confidence interval for alpha
    0.06664
  • Upperbound of 95% confidence interval for alpha
    0.64553
  • Treynor index (mean / b)
    -0.70330
  • Jensen alpha (a)
    0.35609
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08833
  • Expected Shortfall on VaR
    0.11521
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01600
  • Expected Shortfall on VaR
    0.03676
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    37.00000
  • Minimum
    0.89627
  • Quartile 1
    0.99854
  • Median
    1.01393
  • Quartile 3
    1.03887
  • Maximum
    1.35229
  • Mean of quarter 1
    0.96923
  • Mean of quarter 2
    1.00606
  • Mean of quarter 3
    1.02629
  • Mean of quarter 4
    1.13435
  • Inter Quartile Range
    0.04033
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.08108
  • Mean of outliers low
    0.92131
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.13514
  • Mean of outliers high
    1.18749
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.21919
  • VaR(95%) (moments method)
    0.01861
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.15147
  • VaR(95%) (regression method)
    0.02670
  • Expected Shortfall (regression method)
    0.04696
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00146
  • Quartile 1
    0.00415
  • Median
    0.00900
  • Quartile 3
    0.05219
  • Maximum
    0.16291
  • Mean of quarter 1
    0.00270
  • Mean of quarter 2
    0.00669
  • Mean of quarter 3
    0.03457
  • Mean of quarter 4
    0.11636
  • Inter Quartile Range
    0.04804
  • 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
    0.16291
  • 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)
    0.62615
  • Compounded annual return (geometric extrapolation)
    0.41725
  • Calmar ratio (compounded annual return / max draw down)
    2.56125
  • Compounded annual return / average of 25% largest draw downs
    3.58579
  • Compounded annual return / Expected Shortfall lognormal
    3.62177
  • 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
    0.33876
  • SD
    0.20030
  • Sharpe ratio (Glass type estimate)
    1.69122
  • Sharpe ratio (Hedges UMVUE)
    1.68967
  • df
    819.00000
  • t
    2.99197
  • p
    0.00143
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.57982
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.80162
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.57878
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.80057
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.63232
  • Upside Potential Ratio
    7.80321
  • Upside part of mean
    1.00421
  • Downside part of mean
    -0.66545
  • Upside SD
    0.15476
  • Downside SD
    0.12869
  • N nonnegative terms
    453.00000
  • N negative terms
    367.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    820.00000
  • Mean of predictor
    0.08865
  • Mean of criterion
    0.33876
  • SD of predictor
    0.12891
  • SD of criterion
    0.20030
  • Covariance
    0.00140
  • r
    0.05425
  • b (slope, estimate of beta)
    0.08430
  • a (intercept, estimate of alpha)
    0.33100
  • Mean Square Error
    0.04005
  • DF error
    818.00000
  • t(b)
    1.55401
  • p(b)
    0.06028
  • t(a)
    2.92585
  • p(a)
    0.00177
  • Lowerbound of 95% confidence interval for beta
    -0.02218
  • Upperbound of 95% confidence interval for beta
    0.19078
  • Lowerbound of 95% confidence interval for alpha
    0.10904
  • Upperbound of 95% confidence interval for alpha
    0.55353
  • Treynor index (mean / b)
    4.01851
  • Jensen alpha (a)
    0.33128
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31844
  • SD
    0.20074
  • Sharpe ratio (Glass type estimate)
    1.58631
  • Sharpe ratio (Hedges UMVUE)
    1.58486
  • df
    819.00000
  • t
    2.80637
  • p
    0.00256
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47531
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.69638
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47432
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.69539
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.38989
  • Upside Potential Ratio
    7.44867
  • Upside part of mean
    0.99249
  • Downside part of mean
    -0.67405
  • Upside SD
    0.15127
  • Downside SD
    0.13324
  • N nonnegative terms
    453.00000
  • N negative terms
    367.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    820.00000
  • Mean of predictor
    0.08030
  • Mean of criterion
    0.31844
  • SD of predictor
    0.12921
  • SD of criterion
    0.20074
  • Covariance
    0.00138
  • r
    0.05306
  • b (slope, estimate of beta)
    0.08244
  • a (intercept, estimate of alpha)
    0.31182
  • Mean Square Error
    0.04023
  • DF error
    818.00000
  • t(b)
    1.51978
  • p(b)
    0.06448
  • t(a)
    2.74819
  • p(a)
    0.00306
  • Lowerbound of 95% confidence interval for beta
    -0.02403
  • Upperbound of 95% confidence interval for beta
    0.18891
  • Lowerbound of 95% confidence interval for alpha
    0.08911
  • Upperbound of 95% confidence interval for alpha
    0.53453
  • Treynor index (mean / b)
    3.86269
  • Jensen alpha (a)
    0.31182
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01900
  • Expected Shortfall on VaR
    0.02406
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00524
  • Expected Shortfall on VaR
    0.01195
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    820.00000
  • Minimum
    0.86930
  • Quartile 1
    0.99809
  • Median
    1.00055
  • Quartile 3
    1.00386
  • Maximum
    1.09715
  • Mean of quarter 1
    0.99059
  • Mean of quarter 2
    0.99950
  • Mean of quarter 3
    1.00194
  • Mean of quarter 4
    1.01356
  • Inter Quartile Range
    0.00578
  • Number outliers low
    47.00000
  • Percentage of outliers low
    0.05732
  • Mean of outliers low
    0.97569
  • Number of outliers high
    70.00000
  • Percentage of outliers high
    0.08537
  • Mean of outliers high
    1.02645
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.69479
  • VaR(95%) (moments method)
    0.00856
  • Expected Shortfall (moments method)
    0.03107
  • Extreme Value Index (regression method)
    0.39572
  • VaR(95%) (regression method)
    0.00830
  • Expected Shortfall (regression method)
    0.01718
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    82.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00097
  • Median
    0.00336
  • Quartile 3
    0.01116
  • Maximum
    0.19052
  • Mean of quarter 1
    0.00041
  • Mean of quarter 2
    0.00196
  • Mean of quarter 3
    0.00652
  • Mean of quarter 4
    0.04809
  • Inter Quartile Range
    0.01019
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.12195
  • Mean of outliers high
    0.08179
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.62041
  • VaR(95%) (moments method)
    0.04608
  • Expected Shortfall (moments method)
    0.13708
  • Extreme Value Index (regression method)
    0.77393
  • VaR(95%) (regression method)
    0.03578
  • Expected Shortfall (regression method)
    0.15338
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.62510
  • Compounded annual return (geometric extrapolation)
    0.41389
  • Calmar ratio (compounded annual return / max draw down)
    2.17244
  • Compounded annual return / average of 25% largest draw downs
    8.60734
  • Compounded annual return / Expected Shortfall lognormal
    17.20150
  • 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
    0.19116
  • SD
    0.11840
  • Sharpe ratio (Glass type estimate)
    1.61452
  • Sharpe ratio (Hedges UMVUE)
    1.60519
  • df
    130.00000
  • t
    1.14164
  • p
    0.45019
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.16725
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.39024
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.17348
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.38385
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.59341
  • Upside Potential Ratio
    9.94668
  • Upside part of mean
    0.73318
  • Downside part of mean
    -0.54202
  • Upside SD
    0.09283
  • Downside SD
    0.07371
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07738
  • Mean of criterion
    0.19116
  • SD of predictor
    0.12958
  • SD of criterion
    0.11840
  • Covariance
    0.00508
  • r
    0.33138
  • b (slope, estimate of beta)
    0.30279
  • a (intercept, estimate of alpha)
    0.16773
  • Mean Square Error
    0.01258
  • DF error
    129.00000
  • t(b)
    3.98915
  • p(b)
    0.29296
  • t(a)
    1.05688
  • p(a)
    0.44110
  • Lowerbound of 95% confidence interval for beta
    0.15262
  • Upperbound of 95% confidence interval for beta
    0.45298
  • Lowerbound of 95% confidence interval for alpha
    -0.14627
  • Upperbound of 95% confidence interval for alpha
    0.48173
  • Treynor index (mean / b)
    0.63132
  • Jensen alpha (a)
    0.16773
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18415
  • SD
    0.11808
  • Sharpe ratio (Glass type estimate)
    1.55948
  • Sharpe ratio (Hedges UMVUE)
    1.55046
  • df
    130.00000
  • t
    1.10272
  • p
    0.45187
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.22171
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.33486
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.22774
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.32867
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.48034
  • Upside Potential Ratio
    9.81718
  • Upside part of mean
    0.72884
  • Downside part of mean
    -0.54470
  • Upside SD
    0.09195
  • Downside SD
    0.07424
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06900
  • Mean of criterion
    0.18415
  • SD of predictor
    0.12998
  • SD of criterion
    0.11808
  • Covariance
    0.00508
  • r
    0.33097
  • b (slope, estimate of beta)
    0.30068
  • a (intercept, estimate of alpha)
    0.16340
  • Mean Square Error
    0.01251
  • DF error
    129.00000
  • t(b)
    3.98358
  • p(b)
    0.29321
  • t(a)
    1.03236
  • p(a)
    0.44245
  • Lowerbound of 95% confidence interval for beta
    0.15134
  • Upperbound of 95% confidence interval for beta
    0.45002
  • Lowerbound of 95% confidence interval for alpha
    -0.14975
  • Upperbound of 95% confidence interval for alpha
    0.47655
  • Treynor index (mean / b)
    0.61243
  • Jensen alpha (a)
    0.16340
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01123
  • Expected Shortfall on VaR
    0.01424
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00447
  • Expected Shortfall on VaR
    0.00917
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97698
  • Quartile 1
    0.99767
  • Median
    1.00059
  • Quartile 3
    1.00405
  • Maximum
    1.03332
  • Mean of quarter 1
    0.99266
  • Mean of quarter 2
    0.99938
  • Mean of quarter 3
    1.00212
  • Mean of quarter 4
    1.00922
  • Inter Quartile Range
    0.00639
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.98345
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.02151
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25285
  • VaR(95%) (moments method)
    0.00686
  • Expected Shortfall (moments method)
    0.01138
  • Extreme Value Index (regression method)
    0.14947
  • VaR(95%) (regression method)
    0.00590
  • Expected Shortfall (regression method)
    0.00875
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00042
  • Quartile 1
    0.00430
  • Median
    0.01358
  • Quartile 3
    0.02423
  • Maximum
    0.05499
  • Mean of quarter 1
    0.00193
  • Mean of quarter 2
    0.00744
  • Mean of quarter 3
    0.01868
  • Mean of quarter 4
    0.04023
  • Inter Quartile Range
    0.01994
  • 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
    0.10000
  • Mean of outliers high
    0.05499
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -6.03791
  • VaR(95%) (moments method)
    0.04372
  • Expected Shortfall (moments method)
    0.04372
  • Extreme Value Index (regression method)
    -0.93157
  • VaR(95%) (regression method)
    0.06126
  • Expected Shortfall (regression method)
    0.06570
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22370
  • Compounded annual return (geometric extrapolation)
    0.23621
  • Calmar ratio (compounded annual return / max draw down)
    4.29578
  • Compounded annual return / average of 25% largest draw downs
    5.87136
  • Compounded annual return / Expected Shortfall lognormal
    16.58930

Strategy Description

Broker issued leveraged 3x ETFs always loose money in long term, that is how brokers and hedge funds get sustainable income by creating these investment tools. This algorithmic system uses the same strategy and auto adjusts based on the market conditions. It uses leveraged ETFs and shorts the opposite pairs: BULL vs BEAR ETFs. Adjustments are done to keep the pairs in sync to ensure, they track each other.
System every once in a while takes profits and re-invests into most active leveraged ETFs. To ensure there is plenty barrow-able shares, system uses most active ETFs. When subscribed, ensure to join open trades as we keep them managed rather than re-entering.
I trade Gold Bear/Bull pair which happens to have good liquidity to barrow shares. The pair also has good stability in terms of avoiding jerk reactions, Gold has been fairly stable compared to market conditions which seem to be too much emotional.
System evaluates the pairs periodically and makes adjustments in the favor of market directions to maximize profits. I keep the pair at close proximity to keep the disparity low, but avoid out of cycle adjustment. It has been times, I have let the pairs off up to 50% from each other based on market conditions, they tend to stabilize in time.
Please look at the comparison chart of pair in Yahoo Finance or other interactive charts to get an idea of how the system will behave.

My expectation is fairly stable sometimes boring system which has a proven track record as it is already a tool that investment brokers heavily favor and keep generating opposing leveraged ETFs.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2016-06-19
Suggested Minimum Capital
$15,000
# Trades
49
# Profitable
40
% Profitable
81.6%
Net Dividends
($228)
Correlation S&P500
0.053
Sharpe Ratio
1.31
Sortino Ratio
2.01
Beta
0.09
Alpha
0.09
Leverage
3.33 Average
5.78 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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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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