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

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 01/09/2019
Most recent certification approved 1/10/19 12:53 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 132
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 132
Percent signals followed since 01/09/2019 100%
This information was last updated 2/21/19 15:53 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 01/09/2019, 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.

Forte Strategy
(116308970)

Created by: MaestroCapitalResrch MaestroCapitalResrch
Started: 02/2018
Stocks
Last trade: Yesterday
Trading style: Equity Hedged Equity Trend-following

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.

Trading Category: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
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.
12.1%
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.

(13.4%)
Max Drawdown
527
Num Trades
68.5%
Win Trades
1.2 : 1
Profit Factor
69.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018       +1.1%+0.3%+5.9%(3%)+0.7%+4.0%+1.0%(0.7%)(5.2%)(1%)+4.1%+6.8%
2019+4.4%+1.1%                                                            +5.6%

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 180 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/19/19 9:30 NUGT DIREXION DAILY GOLD MINERS BUL LONG 242 21.11 2/20 15:47 22.86 0.05%
Trade id #122583549
Max drawdown($31)
Time2/19/19 9:33
Quant open242
Worst price20.98
Drawdown as % of equity-0.05%
$418
Includes Typical Broker Commissions trade costs of $4.84
2/6/19 9:30 SOXL DIREXION DAILY SEMICONDCT BULL LONG 48 117.75 2/15 15:50 126.40 0.84%
Trade id #122389194
Max drawdown($479)
Time2/8/19 11:53
Quant open48
Worst price107.77
Drawdown as % of equity-0.84%
$414
Includes Typical Broker Commissions trade costs of $0.96
2/12/19 9:31 OILD PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF LONG 179 28.21 2/15 9:31 25.93 0.71%
Trade id #122474749
Max drawdown($408)
Time2/15/19 9:31
Quant open0
Worst price25.93
Drawdown as % of equity-0.71%
($412)
Includes Typical Broker Commissions trade costs of $3.58
2/7/19 11:29 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 142 39.40 2/14 15:54 35.43 1.34%
Trade id #122416520
Max drawdown($762)
Time2/13/19 14:53
Quant open142
Worst price34.03
Drawdown as % of equity-1.34%
($567)
Includes Typical Broker Commissions trade costs of $2.84
2/11/19 12:50 DRIP DIREXION DAILY S&P OIL GAS EXPL PROD BEA LONG 384 12.85 2/12 9:30 11.89 0.64%
Trade id #122460051
Max drawdown($366)
Time2/12/19 9:30
Quant open0
Worst price11.89
Drawdown as % of equity-0.64%
($374)
Includes Typical Broker Commissions trade costs of $7.68
2/8/19 9:46 OILD PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF LONG 181 30.36 2/11 15:56 30.71 0.16%
Trade id #122430018
Max drawdown($92)
Time2/8/19 10:42
Quant open181
Worst price29.84
Drawdown as % of equity-0.16%
$61
Includes Typical Broker Commissions trade costs of $3.62
2/7/19 15:57 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 109 51.01 2/11 9:30 48.87 0.46%
Trade id #122421796
Max drawdown($262)
Time2/11/19 8:17
Quant open109
Worst price48.60
Drawdown as % of equity-0.46%
($235)
Includes Typical Broker Commissions trade costs of $2.18
1/30/19 14:47 TQQQ PROSHARES ULTRAPRO QQQ LONG 121 45.16 2/11 9:30 47.79 0.11%
Trade id #122276858
Max drawdown($62)
Time1/30/19 16:04
Quant open121
Worst price44.65
Drawdown as % of equity-0.11%
$316
Includes Typical Broker Commissions trade costs of $2.42
2/7/19 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 127 43.58 2/11 9:30 43.61 0.35%
Trade id #122412828
Max drawdown($197)
Time2/8/19 11:49
Quant open127
Worst price42.02
Drawdown as % of equity-0.35%
$1
Includes Typical Broker Commissions trade costs of $2.54
2/7/19 10:52 FAS DIREXION DAILY FINANCIAL BULL LONG 96 57.78 2/11 9:30 58.22 0.3%
Trade id #122415351
Max drawdown($171)
Time2/8/19 11:03
Quant open96
Worst price55.99
Drawdown as % of equity-0.30%
$40
Includes Typical Broker Commissions trade costs of $1.92
2/7/19 9:30 DRIP DIREXION DAILY S&P OIL GAS EXPL PROD BEA LONG 492 11.63 2/8 9:34 12.91 0.11%
Trade id #122412751
Max drawdown($61)
Time2/7/19 9:33
Quant open492
Worst price11.51
Drawdown as % of equity-0.11%
$617
Includes Typical Broker Commissions trade costs of $9.84
1/30/19 15:42 UWT VELOCITY SHS 3X LONG CRUDE OIL TO S&P/GSCI INDEX LONG 389 14.11 2/7 11:24 12.55 1.06%
Trade id #122278760
Max drawdown($607)
Time2/7/19 11:24
Quant open0
Worst price12.55
Drawdown as % of equity-1.06%
($615)
Includes Typical Broker Commissions trade costs of $7.78
2/4/19 9:37 DRIP DIREXION DAILY S&P OIL GAS EXPL PROD BEA LONG 507 11.08 2/6 15:41 11.19 0.59%
Trade id #122340854
Max drawdown($344)
Time2/4/19 16:01
Quant open507
Worst price10.40
Drawdown as % of equity-0.59%
$52
Includes Typical Broker Commissions trade costs of $5.00
2/4/19 15:45 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 112 49.61 2/6 11:07 47.63 0.38%
Trade id #122351426
Max drawdown($222)
Time2/6/19 11:07
Quant open0
Worst price47.63
Drawdown as % of equity-0.38%
($224)
Includes Typical Broker Commissions trade costs of $2.24
2/4/19 9:30 BRZU DIREXION DAILY BRAZIL BULL 3X LONG 144 38.86 2/6 9:30 37.00 0.56%
Trade id #122340333
Max drawdown($326)
Time2/6/19 8:57
Quant open144
Worst price36.59
Drawdown as % of equity-0.56%
($271)
Includes Typical Broker Commissions trade costs of $2.88
1/28/19 9:35 SOXL DIREXION DAILY SEMICONDCT BULL LONG 56 97.39 2/5 15:43 113.60 0.05%
Trade id #122214805
Max drawdown($27)
Time1/28/19 9:38
Quant open56
Worst price96.91
Drawdown as % of equity-0.05%
$907
Includes Typical Broker Commissions trade costs of $1.12
1/31/19 15:46 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 104 53.25 2/4 9:50 51.09 0.39%
Trade id #122301148
Max drawdown($224)
Time2/4/19 9:50
Quant open0
Worst price51.09
Drawdown as % of equity-0.39%
($226)
Includes Typical Broker Commissions trade costs of $2.08
1/30/19 12:04 VXXB IPATH SER B S&P 500 VIX SHOR LONG 142 38.11 1/31 9:48 36.50 0.4%
Trade id #122271527
Max drawdown($229)
Time1/31/19 9:48
Quant open0
Worst price36.50
Drawdown as % of equity-0.40%
($232)
Includes Typical Broker Commissions trade costs of $2.84
1/28/19 9:35 BRZU DIREXION DAILY BRAZIL BULL 3X LONG 160 33.74 1/31 9:30 40.52 0%
Trade id #122214844
Max drawdown($2)
Time1/28/19 9:37
Quant open160
Worst price33.72
Drawdown as % of equity-0.00%
$1,082
Includes Typical Broker Commissions trade costs of $3.20
1/30/19 9:46 VIXY PROSHARES VIX SHORT-TERM FUTUR LONG 171 31.55 1/30 12:03 31.32 0.1%
Trade id #122265969
Max drawdown($54)
Time1/30/19 11:43
Quant open171
Worst price31.23
Drawdown as % of equity-0.10%
($42)
Includes Typical Broker Commissions trade costs of $3.42
1/28/19 9:43 VXX IPATH S&P 500 VIX ST FUTURES E LONG 138 39.29 1/30 9:30 38.69 0.32%
Trade id #122215237
Max drawdown($178)
Time1/29/19 12:22
Quant open138
Worst price38.00
Drawdown as % of equity-0.32%
($86)
Includes Typical Broker Commissions trade costs of $2.76
1/28/19 9:41 DRIP DIREXION DAILY S&P OIL GAS EXPL PROD BEA LONG 460 11.69 1/28 15:46 11.57 0.22%
Trade id #122215125
Max drawdown($126)
Time1/28/19 11:28
Quant open460
Worst price11.41
Drawdown as % of equity-0.22%
($63)
Includes Typical Broker Commissions trade costs of $9.20
1/25/19 15:30 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 129 44.17 1/28 9:42 48.53 0.14%
Trade id #122192801
Max drawdown($78)
Time1/25/19 19:46
Quant open129
Worst price43.56
Drawdown as % of equity-0.14%
$560
Includes Typical Broker Commissions trade costs of $2.58
1/24/19 9:31 DUST DIREXION DAILY GOLD MINERS BEA LONG 452 25.30 1/28 9:36 23.66 1.31%
Trade id #122154688
Max drawdown($741)
Time1/28/19 9:36
Quant open226
Worst price22.05
Drawdown as % of equity-1.31%
($750)
Includes Typical Broker Commissions trade costs of $9.04
1/25/19 15:31 UPRO PROSHARES ULTRAPRO S&P500 LONG 138 41.06 1/28 9:34 39.95 0.29%
Trade id #122192824
Max drawdown($162)
Time1/28/19 9:34
Quant open138
Worst price39.88
Drawdown as % of equity-0.29%
($156)
Includes Typical Broker Commissions trade costs of $2.76
1/24/19 15:44 TQQQ PROSHARES ULTRAPRO QQQ LONG 128 43.08 1/28 9:34 42.57 0.15%
Trade id #122166365
Max drawdown($86)
Time1/24/19 16:22
Quant open128
Worst price42.40
Drawdown as % of equity-0.15%
($68)
Includes Typical Broker Commissions trade costs of $2.56
1/23/19 15:46 FAS DIREXION DAILY FINANCIAL BULL LONG 101 54.94 1/28 9:34 55.79 0.08%
Trade id #122141080
Max drawdown($48)
Time1/24/19 9:31
Quant open101
Worst price54.46
Drawdown as % of equity-0.08%
$84
Includes Typical Broker Commissions trade costs of $2.02
1/23/19 15:45 BRZU DIREXION DAILY BRAZIL BULL 3X LONG 156 35.44 1/25 15:42 36.60 0.15%
Trade id #122141050
Max drawdown($84)
Time1/24/19 7:07
Quant open156
Worst price34.90
Drawdown as % of equity-0.15%
$177
Includes Typical Broker Commissions trade costs of $3.12
1/23/19 15:45 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 189 29.37 1/25 15:15 26.70 0.89%
Trade id #122141018
Max drawdown($504)
Time1/25/19 15:15
Quant open0
Worst price26.70
Drawdown as % of equity-0.89%
($508)
Includes Typical Broker Commissions trade costs of $3.78
1/24/19 15:44 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 114 48.32 1/25 9:46 45.50 0.64%
Trade id #122166377
Max drawdown($364)
Time1/25/19 9:30
Quant open114
Worst price45.12
Drawdown as % of equity-0.64%
($323)
Includes Typical Broker Commissions trade costs of $2.28

Statistics

  • Strategy began
    2/5/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    381.19
  • Age
    13 months ago
  • What it trades
    Stocks
  • # Trades
    527
  • # Profitable
    361
  • % Profitable
    68.50%
  • Avg trade duration
    5.9 days
  • Max peak-to-valley drawdown
    13.4%
  • drawdown period
    Sept 21, 2018 - Nov 20, 2018
  • Annual Return (Compounded)
    12.1%
  • Avg win
    $149.46
  • Avg loss
    $288.00
  • Model Account Values (Raw)
  • Cash
    $33,386
  • Margin Used
    $0
  • Buying Power
    $34,980
  • Ratios
  • W:L ratio
    1.18:1
  • Sharpe Ratio
    1.128
  • Sortino Ratio
    1.65
  • Calmar Ratio
    1.429
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.47700
  • Return Statistics
  • Ann Return (w trading costs)
    12.1%
  • Ann Return (Compnd, No Fees)
    15.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    5.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    876
  • C2 Score
    94.6
  • Trades-Own-System Certification
  • Trades Own System?
    184818
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $288
  • Avg Win
    $152
  • # Winners
    361
  • # Losers
    166
  • % Winners
    68.5%
  • Frequency
  • Avg Position Time (mins)
    8447.02
  • Avg Position Time (hrs)
    140.78
  • Avg Trade Length
    5.9 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11513
  • SD
    0.14788
  • Sharpe ratio (Glass type estimate)
    0.77851
  • Sharpe ratio (Hedges UMVUE)
    0.72398
  • df
    11.00000
  • t
    0.77851
  • p
    0.22634
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.22463
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.74771
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.25919
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.70716
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.07300
  • Upside Potential Ratio
    4.12336
  • Upside part of mean
    0.22900
  • Downside part of mean
    -0.11387
  • Upside SD
    0.13441
  • Downside SD
    0.05554
  • N nonnegative terms
    6.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.00038
  • Mean of criterion
    0.11513
  • SD of predictor
    0.11703
  • SD of criterion
    0.14788
  • Covariance
    -0.00374
  • r
    -0.21588
  • b (slope, estimate of beta)
    -0.27280
  • a (intercept, estimate of alpha)
    0.11523
  • Mean Square Error
    0.02293
  • DF error
    10.00000
  • t(b)
    -0.69915
  • p(b)
    0.74980
  • t(a)
    0.76089
  • p(a)
    0.23214
  • Lowerbound of 95% confidence interval for beta
    -1.14219
  • Upperbound of 95% confidence interval for beta
    0.59659
  • Lowerbound of 95% confidence interval for alpha
    -0.22220
  • Upperbound of 95% confidence interval for alpha
    0.45267
  • Treynor index (mean / b)
    -0.42202
  • Jensen alpha (a)
    0.11523
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10489
  • SD
    0.14209
  • Sharpe ratio (Glass type estimate)
    0.73820
  • Sharpe ratio (Hedges UMVUE)
    0.68649
  • df
    11.00000
  • t
    0.73820
  • p
    0.23792
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.26144
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.70559
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.29435
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.66734
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.86196
  • Upside Potential Ratio
    3.90654
  • Upside part of mean
    0.22006
  • Downside part of mean
    -0.11517
  • Upside SD
    0.12747
  • Downside SD
    0.05633
  • N nonnegative terms
    6.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    -0.00590
  • Mean of criterion
    0.10489
  • SD of predictor
    0.11723
  • SD of criterion
    0.14209
  • Covariance
    -0.00343
  • r
    -0.20616
  • b (slope, estimate of beta)
    -0.24987
  • a (intercept, estimate of alpha)
    0.10341
  • Mean Square Error
    0.02126
  • DF error
    10.00000
  • t(b)
    -0.66624
  • p(b)
    0.73983
  • t(a)
    0.70910
  • p(a)
    0.24723
  • Lowerbound of 95% confidence interval for beta
    -1.08551
  • Upperbound of 95% confidence interval for beta
    0.58578
  • Lowerbound of 95% confidence interval for alpha
    -0.22153
  • Upperbound of 95% confidence interval for alpha
    0.42836
  • Treynor index (mean / b)
    -0.41978
  • Jensen alpha (a)
    0.10341
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05703
  • Expected Shortfall on VaR
    0.07295
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02218
  • Expected Shortfall on VaR
    0.03831
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.96111
  • Quartile 1
    0.98817
  • Median
    1.00232
  • Quartile 3
    1.02397
  • Maximum
    1.12467
  • Mean of quarter 1
    0.97322
  • Mean of quarter 2
    0.99348
  • Mean of quarter 3
    1.01405
  • Mean of quarter 4
    1.06693
  • Inter Quartile Range
    0.03579
  • 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
    0.08333
  • Mean of outliers high
    1.12467
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.49604
  • VaR(95%) (moments method)
    0.02974
  • Expected Shortfall (moments method)
    0.02990
  • Extreme Value Index (regression method)
    -0.40581
  • VaR(95%) (regression method)
    0.04049
  • Expected Shortfall (regression method)
    0.04864
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01037
  • Quartile 1
    0.01781
  • Median
    0.02525
  • Quartile 3
    0.04420
  • Maximum
    0.06315
  • Mean of quarter 1
    0.01037
  • Mean of quarter 2
    0.02525
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06315
  • Inter Quartile Range
    0.02639
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.14202
  • Compounded annual return (geometric extrapolation)
    0.14202
  • Calmar ratio (compounded annual return / max draw down)
    2.24896
  • Compounded annual return / average of 25% largest draw downs
    2.24896
  • Compounded annual return / Expected Shortfall lognormal
    1.94670
  • 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
    0.13632
  • SD
    0.12053
  • Sharpe ratio (Glass type estimate)
    1.13102
  • Sharpe ratio (Hedges UMVUE)
    1.12788
  • df
    270.00000
  • t
    1.15029
  • p
    0.12552
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79947
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.05953
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80161
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.05737
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.65028
  • Upside Potential Ratio
    9.41410
  • Upside part of mean
    0.77764
  • Downside part of mean
    -0.64132
  • Upside SD
    0.08787
  • Downside SD
    0.08260
  • N nonnegative terms
    147.00000
  • N negative terms
    124.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    271.00000
  • Mean of predictor
    0.03125
  • Mean of criterion
    0.13632
  • SD of predictor
    0.16898
  • SD of criterion
    0.12053
  • Covariance
    0.00952
  • r
    0.46756
  • b (slope, estimate of beta)
    0.33349
  • a (intercept, estimate of alpha)
    0.12600
  • Mean Square Error
    0.01139
  • DF error
    269.00000
  • t(b)
    8.67531
  • p(b)
    -0.00000
  • t(a)
    1.19951
  • p(a)
    0.11569
  • Lowerbound of 95% confidence interval for beta
    0.25780
  • Upperbound of 95% confidence interval for beta
    0.40917
  • Lowerbound of 95% confidence interval for alpha
    -0.08075
  • Upperbound of 95% confidence interval for alpha
    0.33254
  • Treynor index (mean / b)
    0.40877
  • Jensen alpha (a)
    0.12590
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12903
  • SD
    0.12055
  • Sharpe ratio (Glass type estimate)
    1.07041
  • Sharpe ratio (Hedges UMVUE)
    1.06744
  • df
    270.00000
  • t
    1.08864
  • p
    0.13864
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85978
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.99873
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86181
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.99668
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.54958
  • Upside Potential Ratio
    9.29180
  • Upside part of mean
    0.77373
  • Downside part of mean
    -0.64470
  • Upside SD
    0.08722
  • Downside SD
    0.08327
  • N nonnegative terms
    147.00000
  • N negative terms
    124.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    271.00000
  • Mean of predictor
    0.01700
  • Mean of criterion
    0.12903
  • SD of predictor
    0.16916
  • SD of criterion
    0.12055
  • Covariance
    0.00956
  • r
    0.46873
  • b (slope, estimate of beta)
    0.33403
  • a (intercept, estimate of alpha)
    0.12336
  • Mean Square Error
    0.01138
  • DF error
    269.00000
  • t(b)
    8.70305
  • p(b)
    -0.00000
  • t(a)
    1.17598
  • p(a)
    0.12032
  • Lowerbound of 95% confidence interval for beta
    0.25846
  • Upperbound of 95% confidence interval for beta
    0.40959
  • Lowerbound of 95% confidence interval for alpha
    -0.08317
  • Upperbound of 95% confidence interval for alpha
    0.32988
  • Treynor index (mean / b)
    0.38630
  • Jensen alpha (a)
    0.12336
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01169
  • Expected Shortfall on VaR
    0.01476
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00532
  • Expected Shortfall on VaR
    0.01064
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    271.00000
  • Minimum
    0.97026
  • Quartile 1
    0.99674
  • Median
    1.00066
  • Quartile 3
    1.00486
  • Maximum
    1.03051
  • Mean of quarter 1
    0.99173
  • Mean of quarter 2
    0.99877
  • Mean of quarter 3
    1.00266
  • Mean of quarter 4
    1.00938
  • Inter Quartile Range
    0.00812
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.02952
  • Mean of outliers low
    0.97937
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.01845
  • Mean of outliers high
    1.02262
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.33730
  • VaR(95%) (moments method)
    0.00859
  • Expected Shortfall (moments method)
    0.01505
  • Extreme Value Index (regression method)
    0.29077
  • VaR(95%) (regression method)
    0.00766
  • Expected Shortfall (regression method)
    0.01243
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00024
  • Quartile 1
    0.00387
  • Median
    0.01113
  • Quartile 3
    0.02331
  • Maximum
    0.11889
  • Mean of quarter 1
    0.00190
  • Mean of quarter 2
    0.00655
  • Mean of quarter 3
    0.01744
  • Mean of quarter 4
    0.05095
  • Inter Quartile Range
    0.01944
  • 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
    0.05000
  • Mean of outliers high
    0.11889
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.28651
  • VaR(95%) (moments method)
    0.05354
  • Expected Shortfall (moments method)
    0.08949
  • Extreme Value Index (regression method)
    0.87621
  • VaR(95%) (regression method)
    0.06779
  • Expected Shortfall (regression method)
    0.48194
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17040
  • Compounded annual return (geometric extrapolation)
    0.16993
  • Calmar ratio (compounded annual return / max draw down)
    1.42932
  • Compounded annual return / average of 25% largest draw downs
    3.33546
  • Compounded annual return / Expected Shortfall lognormal
    11.51610
  • 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
    0.11097
  • SD
    0.13831
  • Sharpe ratio (Glass type estimate)
    0.80232
  • Sharpe ratio (Hedges UMVUE)
    0.79768
  • df
    130.00000
  • t
    0.56733
  • p
    0.47515
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.97265
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.57439
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.97582
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.57118
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.16710
  • Upside Potential Ratio
    9.14535
  • Upside part of mean
    0.86953
  • Downside part of mean
    -0.75856
  • Upside SD
    0.09995
  • Downside SD
    0.09508
  • 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
    -0.06819
  • Mean of criterion
    0.11097
  • SD of predictor
    0.19090
  • SD of criterion
    0.13831
  • Covariance
    0.01177
  • r
    0.44564
  • b (slope, estimate of beta)
    0.32287
  • a (intercept, estimate of alpha)
    0.13298
  • Mean Square Error
    0.01545
  • DF error
    129.00000
  • t(b)
    5.65390
  • p(b)
    0.22599
  • t(a)
    0.75635
  • p(a)
    0.45773
  • Lowerbound of 95% confidence interval for beta
    0.20988
  • Upperbound of 95% confidence interval for beta
    0.43585
  • Lowerbound of 95% confidence interval for alpha
    -0.21488
  • Upperbound of 95% confidence interval for alpha
    0.48085
  • Treynor index (mean / b)
    0.34369
  • Jensen alpha (a)
    0.13298
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10144
  • SD
    0.13831
  • Sharpe ratio (Glass type estimate)
    0.73347
  • Sharpe ratio (Hedges UMVUE)
    0.72923
  • df
    130.00000
  • t
    0.51864
  • p
    0.47728
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.04110
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.50538
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.04399
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.50245
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.05744
  • Upside Potential Ratio
    9.01147
  • Upside part of mean
    0.86450
  • Downside part of mean
    -0.76306
  • Upside SD
    0.09909
  • Downside SD
    0.09593
  • 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
    -0.08627
  • Mean of criterion
    0.10144
  • SD of predictor
    0.19088
  • SD of criterion
    0.13831
  • Covariance
    0.01179
  • r
    0.44665
  • b (slope, estimate of beta)
    0.32363
  • a (intercept, estimate of alpha)
    0.12936
  • Mean Square Error
    0.01543
  • DF error
    129.00000
  • t(b)
    5.67003
  • p(b)
    0.22541
  • t(a)
    0.73608
  • p(a)
    0.45886
  • Lowerbound of 95% confidence interval for beta
    0.21070
  • Upperbound of 95% confidence interval for beta
    0.43655
  • Lowerbound of 95% confidence interval for alpha
    -0.21835
  • Upperbound of 95% confidence interval for alpha
    0.47708
  • Treynor index (mean / b)
    0.31346
  • Jensen alpha (a)
    0.12936
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01357
  • Expected Shortfall on VaR
    0.01709
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00632
  • Expected Shortfall on VaR
    0.01246
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97026
  • Quartile 1
    0.99572
  • Median
    1.00076
  • Quartile 3
    1.00542
  • Maximum
    1.03051
  • Mean of quarter 1
    0.99031
  • Mean of quarter 2
    0.99845
  • Mean of quarter 3
    1.00298
  • Mean of quarter 4
    1.01046
  • Inter Quartile Range
    0.00969
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97552
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02896
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16632
  • VaR(95%) (moments method)
    0.00971
  • Expected Shortfall (moments method)
    0.01439
  • Extreme Value Index (regression method)
    0.34739
  • VaR(95%) (regression method)
    0.00852
  • Expected Shortfall (regression method)
    0.01378
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00202
  • Quartile 1
    0.00320
  • Median
    0.00718
  • Quartile 3
    0.02760
  • Maximum
    0.11889
  • Mean of quarter 1
    0.00259
  • Mean of quarter 2
    0.00520
  • Mean of quarter 3
    0.01048
  • Mean of quarter 4
    0.08181
  • Inter Quartile Range
    0.02440
  • 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
    0.11889
  • 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)
    0.13363
  • Compounded annual return (geometric extrapolation)
    0.13809
  • Calmar ratio (compounded annual return / max draw down)
    1.16153
  • Compounded annual return / average of 25% largest draw downs
    1.68797
  • Compounded annual return / Expected Shortfall lognormal
    8.08239

Strategy Description

Maestro Capital Research’s flagship strategy, Forte, which is the result of over 17 years of research and development, is a rules-based trading method using a basket of NYSE- and Nasdaq-listed stocks and exchange traded funds (ETFs).

Historically, certain stocks and ETFs have predictable tendencies depending on industry characteristics, size, trading volume, market volatility, seasonality, economic, monthly cycles, etc. The Forte Strategy is designed to capitalize on mean-reversion, trend and consolidation patterns driven by these factors using optimal risk-controlled position sizing, profit targets, and stop losses while achieving consistent returns with minimal drawdowns.

The Forte Strategy attempts to minimize the use of margin, so returns are achievable for both trading and retirement accounts. It also takes only long positions, utilizing short ETFs as a hedge when necessary. The Forte Strategy will generate 2-3 trade signals per day on average, so we encourage you to use C2's AutoTrade feature to minimize the risk of missing a trade. As a subscriber, we will also provide profit target and stop losses for all positions.

Summary Statistics

Strategy began
2018-02-05
Suggested Minimum Capital
$35,000
# Trades
527
# Profitable
361
% Profitable
68.5%
Net Dividends
Correlation S&P500
0.477
Sharpe Ratio
1.128

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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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.