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
52
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account
47
Percent signals followed since 02/06/2018
90.4%
This information was last updated
2/20/19 11:27 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)

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 | 52 |
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account | 47 |
Percent signals followed since 02/06/2018 | 90.4% |
This information was last updated | 2/20/19 11:27 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.
Subscription terms. Subscriptions to this system cost $89.00 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 marked-to-market equity calculations.
All results are hypothetical.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% | +1.5% | +12.3% |
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 | $34,679 | |
Cash | $1 | |
Equity | $1 | |
Cumulative $ | $42,070 | |
Includes dividends and cash-settled expirations: | ($296) | Itemized |
Total System Equity | $67,070 | |
Margined | $1 | |
Open P/L | ($124) | |
Data has been delayed by 48 hours for non-subscribers |
System developer has asked us to delay this information by 48 hours.
Trading Record
Statistics
-
Strategy began6/19/2016
-
Suggested Minimum Cap$35,000
-
Strategy Age (days)977.55
-
Age33 months ago
-
What it tradesStocks
-
# Trades40
-
# Profitable34
-
% Profitable85.00%
-
Avg trade duration49.8 days
-
Max peak-to-valley drawdown24.03%
-
drawdown periodNov 09, 2016 - Dec 20, 2016
-
Annual Return (Compounded)41.5%
-
Avg win$1,994
-
Avg loss$4,238
- Model Account Values (Raw)
-
Cash$103,281
-
Margin Used$68,382
-
Buying Power$34,679
- Ratios
-
W:L ratio2.69:1
-
Sharpe Ratio1.736
-
Sortino Ratio2.7
-
Calmar Ratio2.379
- CORRELATION STATISTICS
-
Correlation to SP5000.02400
- Return Statistics
-
Ann Return (w trading costs)41.5%
-
Ann Return (Compnd, No Fees)44.5%
- Risk of Ruin (Monte-Carlo)
-
Chance of 10% account loss30.50%
-
Chance of 20% account loss8.50%
-
Chance of 30% account loss1.00%
-
Chance of 40% account lossn/a
-
Chance of 50% account lossn/a
- Popularity
-
Popularity (Today)922
-
Popularity (Last 6 weeks)994
-
C2 Score98.1
- Trades-Own-System Certification
-
Trades Own System?183935
-
TOS percent200%
- Subscription Price
-
Billing Period (days)30
-
Trial Days0
- Win / Loss
-
Avg Loss$4,239
-
Avg Win$1,994
-
# Winners34
-
# Losers6
-
% Winners85.0%
- Frequency
-
Avg Position Time (mins)71764.30
-
Avg Position Time (hrs)1196.07
-
Avg Trade Length49.8 days
-
Last Trade Ago1
- Analysis based on MONTHLY values, full history
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to Sharpe ratio
-
Mean0.39326
-
SD0.29596
-
Sharpe ratio (Glass type estimate)1.32876
-
Sharpe ratio (Hedges UMVUE)1.29521
-
df30.00000
-
t2.13568
-
p0.02049
-
Lowerbound of 95% confidence interval for Sharpe Ratio0.05398
-
Upperbound of 95% confidence interval for Sharpe Ratio2.58305
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.03251
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.55792
- Statistics related to Sortino ratio
-
Sortino ratio4.33777
-
Upside Potential Ratio5.61965
-
Upside part of mean0.50948
-
Downside part of mean-0.11621
-
Upside SD0.29906
-
Downside SD0.09066
-
N nonnegative terms20.00000
-
N negative terms11.00000
- Statistics related to linear regression on benchmark
-
N of observations31.00000
-
Mean of predictor0.08544
-
Mean of criterion0.39326
-
SD of predictor0.13539
-
SD of criterion0.29596
-
Covariance-0.01325
-
r-0.33080
-
b (slope, estimate of beta)-0.72316
-
a (intercept, estimate of alpha)0.45505
-
Mean Square Error0.08070
-
DF error29.00000
-
t(b)-1.88771
-
p(b)0.96545
-
t(a)2.53159
-
p(a)0.00852
-
Lowerbound of 95% confidence interval for beta-1.50667
-
Upperbound of 95% confidence interval for beta0.06035
-
Lowerbound of 95% confidence interval for alpha0.08742
-
Upperbound of 95% confidence interval for alpha0.82268
-
Treynor index (mean / b)-0.54381
-
Jensen alpha (a)0.45505
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean0.34981
-
SD0.26821
-
Sharpe ratio (Glass type estimate)1.30427
-
Sharpe ratio (Hedges UMVUE)1.27134
-
df30.00000
-
t2.09632
-
p0.02230
-
Lowerbound of 95% confidence interval for Sharpe Ratio0.03124
-
Upperbound of 95% confidence interval for Sharpe Ratio2.55711
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.01019
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.53249
- Statistics related to Sortino ratio
-
Sortino ratio3.69643
-
Upside Potential Ratio4.96752
-
Upside part of mean0.47010
-
Downside part of mean-0.12029
-
Upside SD0.26619
-
Downside SD0.09463
-
N nonnegative terms20.00000
-
N negative terms11.00000
- Statistics related to linear regression on benchmark
-
N of observations31.00000
-
Mean of predictor0.07603
-
Mean of criterion0.34981
-
SD of predictor0.13658
-
SD of criterion0.26821
-
Covariance-0.01253
-
r-0.34196
-
b (slope, estimate of beta)-0.67150
-
a (intercept, estimate of alpha)0.40086
-
Mean Square Error0.06571
-
DF error29.00000
-
t(b)-1.95964
-
p(b)0.97014
-
t(a)2.48052
-
p(a)0.00958
-
Lowerbound of 95% confidence interval for beta-1.37233
-
Upperbound of 95% confidence interval for beta0.02933
-
Lowerbound of 95% confidence interval for alpha0.07034
-
Upperbound of 95% confidence interval for alpha0.73138
-
Treynor index (mean / b)-0.52094
-
Jensen alpha (a)0.40086
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.09353
-
Expected Shortfall on VaR0.12203
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.01708
-
Expected Shortfall on VaR0.03916
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations31.00000
-
Minimum0.89627
-
Quartile 10.99782
-
Median1.01393
-
Quartile 31.04199
-
Maximum1.35229
-
Mean of quarter 10.96604
-
Mean of quarter 21.00617
-
Mean of quarter 31.02746
-
Mean of quarter 41.13977
-
Inter Quartile Range0.04417
-
Number outliers low1.00000
-
Percentage of outliers low0.03226
-
Mean of outliers low0.89627
-
Number of outliers high4.00000
-
Percentage of outliers high0.12903
-
Mean of outliers high1.20857
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)1.32920
-
VaR(95%) (moments method)0.02931
-
Expected Shortfall (moments method)0.00000
-
Extreme Value Index (regression method)0.37541
-
VaR(95%) (regression method)0.02222
-
Expected Shortfall (regression method)0.04784
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations6.00000
-
Minimum0.00146
-
Quartile 10.00404
-
Median0.00669
-
Quartile 30.05461
-
Maximum0.16291
-
Mean of quarter 10.00270
-
Mean of quarter 20.00438
-
Mean of quarter 30.00900
-
Mean of quarter 40.11636
-
Inter Quartile Range0.05057
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high1.00000
-
Percentage of outliers high0.16667
-
Mean of outliers high0.16291
- 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)0.63995
-
Compounded annual return (geometric extrapolation)0.45895
-
Calmar ratio (compounded annual return / max draw down)2.81722
-
Compounded annual return / average of 25% largest draw downs3.94415
-
Compounded annual return / Expected Shortfall lognormal3.76092
-
0.00000
-
0.00000
- Analysis based on DAILY values, full history
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to Sharpe ratio
-
Mean0.36870
-
SD0.21221
-
Sharpe ratio (Glass type estimate)1.73749
-
Sharpe ratio (Hedges UMVUE)1.73560
-
df689.00000
-
t2.81965
-
p0.00247
-
Lowerbound of 95% confidence interval for Sharpe Ratio0.52567
-
Upperbound of 95% confidence interval for Sharpe Ratio2.94811
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.52438
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.94681
- Statistics related to Sortino ratio
-
Sortino ratio2.70003
-
Upside Potential Ratio7.73356
-
Upside part of mean1.05606
-
Downside part of mean-0.68736
-
Upside SD0.16382
-
Downside SD0.13656
-
N nonnegative terms383.00000
-
N negative terms307.00000
- Statistics related to linear regression on benchmark
-
N of observations690.00000
-
Mean of predictor0.08928
-
Mean of criterion0.36870
-
SD of predictor0.12881
-
SD of criterion0.21221
-
Covariance0.00070
-
r0.02552
-
b (slope, estimate of beta)0.04205
-
a (intercept, estimate of alpha)0.36500
-
Mean Square Error0.04507
-
DF error688.00000
-
t(b)0.66969
-
p(b)0.25164
-
t(a)2.78727
-
p(a)0.00273
-
Lowerbound of 95% confidence interval for beta-0.08123
-
Upperbound of 95% confidence interval for beta0.16532
-
Lowerbound of 95% confidence interval for alpha0.10787
-
Upperbound of 95% confidence interval for alpha0.62203
-
Treynor index (mean / b)8.76877
-
Jensen alpha (a)0.36495
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean0.34588
-
SD0.21274
-
Sharpe ratio (Glass type estimate)1.62586
-
Sharpe ratio (Hedges UMVUE)1.62409
-
df689.00000
-
t2.63850
-
p0.00426
-
Lowerbound of 95% confidence interval for Sharpe Ratio0.41452
-
Upperbound of 95% confidence interval for Sharpe Ratio2.83610
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.41331
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.83487
- Statistics related to Sortino ratio
-
Sortino ratio2.44274
-
Upside Potential Ratio7.36565
-
Upside part of mean1.04294
-
Downside part of mean-0.69706
-
Upside SD0.16000
-
Downside SD0.14160
-
N nonnegative terms383.00000
-
N negative terms307.00000
- Statistics related to linear regression on benchmark
-
N of observations690.00000
-
Mean of predictor0.08095
-
Mean of criterion0.34588
-
SD of predictor0.12909
-
SD of criterion0.21274
-
Covariance0.00067
-
r0.02437
-
b (slope, estimate of beta)0.04017
-
a (intercept, estimate of alpha)0.34263
-
Mean Square Error0.04530
-
DF error688.00000
-
t(b)0.63948
-
p(b)0.26136
-
t(a)2.61062
-
p(a)0.00462
-
Lowerbound of 95% confidence interval for beta-0.08316
-
Upperbound of 95% confidence interval for beta0.16349
-
Lowerbound of 95% confidence interval for alpha0.08494
-
Upperbound of 95% confidence interval for alpha0.60032
-
Treynor index (mean / b)8.61118
-
Jensen alpha (a)0.34263
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.02009
-
Expected Shortfall on VaR0.02545
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.00538
-
Expected Shortfall on VaR0.01234
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations690.00000
-
Minimum0.86930
-
Quartile 10.99820
-
Median1.00055
-
Quartile 31.00382
-
Maximum1.09715
-
Mean of quarter 10.99025
-
Mean of quarter 20.99954
-
Mean of quarter 31.00191
-
Mean of quarter 41.01434
-
Inter Quartile Range0.00562
-
Number outliers low42.00000
-
Percentage of outliers low0.06087
-
Mean of outliers low0.97490
-
Number of outliers high65.00000
-
Percentage of outliers high0.09420
-
Mean of outliers high1.02669
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)0.75759
-
VaR(95%) (moments method)0.00877
-
Expected Shortfall (moments method)0.03969
-
Extreme Value Index (regression method)0.45697
-
VaR(95%) (regression method)0.00831
-
Expected Shortfall (regression method)0.01881
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations72.00000
-
Minimum0.00005
-
Quartile 10.00089
-
Median0.00255
-
Quartile 30.00884
-
Maximum0.19052
-
Mean of quarter 10.00035
-
Mean of quarter 20.00172
-
Mean of quarter 30.00549
-
Mean of quarter 40.04844
-
Inter Quartile Range0.00795
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high8.00000
-
Percentage of outliers high0.11111
-
Mean of outliers high0.09036
- Risk estimates based on draw downs (based on Extreme Value T
-
Extreme Value Index (moments method)0.80794
-
VaR(95%) (moments method)0.04552
-
Expected Shortfall (moments method)0.25949
-
Extreme Value Index (regression method)0.85704
-
VaR(95%) (regression method)0.03708
-
Expected Shortfall (regression method)0.26158
- COMBINED STATISTICS
-
Annualized return (arithmetic extrapolation)0.63648
-
Compounded annual return (geometric extrapolation)0.45323
-
Calmar ratio (compounded annual return / max draw down)2.37893
-
Compounded annual return / average of 25% largest draw downs9.35688
-
Compounded annual return / Expected Shortfall lognormal17.80950
-
0.00000
-
0.00000
- Analysis based on DAILY values, last 6 months only
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to Sharpe ratio
-
Mean0.66087
-
SD0.22042
-
Sharpe ratio (Glass type estimate)2.99823
-
Sharpe ratio (Hedges UMVUE)2.98090
-
df130.00000
-
t2.12007
-
p0.40859
-
Lowerbound of 95% confidence interval for Sharpe Ratio0.19697
-
Upperbound of 95% confidence interval for Sharpe Ratio5.78830
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.18552
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.77629
- Statistics related to Sortino ratio
-
Sortino ratio5.73631
-
Upside Potential Ratio13.92140
-
Upside part of mean1.60387
-
Downside part of mean-0.94299
-
Upside SD0.19133
-
Downside SD0.11521
-
N nonnegative terms72.00000
-
N negative terms59.00000
- Statistics related to linear regression on benchmark
-
N of observations131.00000
-
Mean of predictor-0.06819
-
Mean of criterion0.66087
-
SD of predictor0.19090
-
SD of criterion0.22042
-
Covariance0.00260
-
r0.06183
-
b (slope, estimate of beta)0.07139
-
a (intercept, estimate of alpha)0.66574
-
Mean Square Error0.04877
-
DF error129.00000
-
t(b)0.70361
-
p(b)0.46066
-
t(a)2.13101
-
p(a)0.38327
-
Lowerbound of 95% confidence interval for beta-0.12936
-
Upperbound of 95% confidence interval for beta0.27214
-
Lowerbound of 95% confidence interval for alpha0.04764
-
Upperbound of 95% confidence interval for alpha1.28384
-
Treynor index (mean / b)9.25699
-
Jensen alpha (a)0.66574
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean0.63616
-
SD0.21866
-
Sharpe ratio (Glass type estimate)2.90932
-
Sharpe ratio (Hedges UMVUE)2.89250
-
df130.00000
-
t2.05720
-
p0.41122
-
Lowerbound of 95% confidence interval for Sharpe Ratio0.10969
-
Upperbound of 95% confidence interval for Sharpe Ratio5.69812
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.09848
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation5.68651
- Statistics related to Sortino ratio
-
Sortino ratio5.47137
-
Upside Potential Ratio13.63860
-
Upside part of mean1.58577
-
Downside part of mean-0.94961
-
Upside SD0.18835
-
Downside SD0.11627
-
N nonnegative terms72.00000
-
N negative terms59.00000
- Statistics related to linear regression on benchmark
-
N of observations131.00000
-
Mean of predictor-0.08627
-
Mean of criterion0.63616
-
SD of predictor0.19088
-
SD of criterion0.21866
-
Covariance0.00254
-
r0.06086
-
b (slope, estimate of beta)0.06972
-
a (intercept, estimate of alpha)0.64218
-
Mean Square Error0.04801
-
DF error129.00000
-
t(b)0.69256
-
p(b)0.46128
-
t(a)2.07167
-
p(a)0.38638
-
Lowerbound of 95% confidence interval for beta-0.12946
-
Upperbound of 95% confidence interval for beta0.26890
-
Lowerbound of 95% confidence interval for alpha0.02887
-
Upperbound of 95% confidence interval for alpha1.25548
-
Treynor index (mean / b)9.12448
-
Jensen alpha (a)0.64218
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
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VaR(95%)0.01960
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Expected Shortfall on VaR0.02510
- assuming Pareto losses only (using partial moments from Sortino statistics)
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VaR(95%)0.00779
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Expected Shortfall on VaR0.01519
- ORDER STATISTICS
- Quartiles of return rates
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Number of observations131.00000
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Minimum0.96894
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Quartile 10.99481
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Median1.00124
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Quartile 31.00839
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Maximum1.05742
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Mean of quarter 10.98752
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Mean of quarter 20.99851
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Mean of quarter 31.00383
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Mean of quarter 41.02069
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Inter Quartile Range0.01359
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Number outliers low1.00000
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Percentage of outliers low0.00763
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Mean of outliers low0.96894
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Number of outliers high5.00000
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Percentage of outliers high0.03817
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Mean of outliers high1.04192
- Risk estimates for a one-period unit investment (based on Ex
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Extreme Value Index (moments method)-0.12805
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VaR(95%) (moments method)0.01196
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Expected Shortfall (moments method)0.01526
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Extreme Value Index (regression method)-0.17585
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VaR(95%) (regression method)0.01383
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Expected Shortfall (regression method)0.01769
- DRAW DOWN STATISTICS
- Quartiles of draw downs
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Number of observations12.00000
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Minimum0.00082
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Quartile 10.00229
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Median0.00487
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Quartile 30.03147
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Maximum0.09787
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Mean of quarter 10.00165
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Mean of quarter 20.00377
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Mean of quarter 30.01205
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Mean of quarter 40.07962
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Inter Quartile Range0.02918
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Number outliers low0.00000
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Percentage of outliers low0.00000
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Mean of outliers low0.00000
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Number of outliers high2.00000
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Percentage of outliers high0.16667
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Mean of outliers high0.09290
- Risk estimates based on draw downs (based on Extreme Value T
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Extreme Value Index (moments method)-53.39340
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VaR(95%) (moments method)0.08325
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Expected Shortfall (moments method)0.00000
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Extreme Value Index (regression method)-2.81095
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VaR(95%) (regression method)0.12958
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Expected Shortfall (regression method)0.13036
- COMBINED STATISTICS
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Annualized return (arithmetic extrapolation)0.78760
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Compounded annual return (geometric extrapolation)0.94268
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Calmar ratio (compounded annual return / max draw down)9.63163
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Compounded annual return / average of 25% largest draw downs11.84010
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Compounded annual return / Expected Shortfall lognormal37.55070
Strategy Description
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.
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.