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Adaptive Global Macro
(123035684)

Created by: elumna elumna
Started: 03/2019
Stocks
Last trade: 16 days ago
Trading style: Futures Macro / Fundamental

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 $100.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Futures
Macro / Fundamental
Category: Equity

Macro / Fundamental

Predicts large-scale events related to national economies, history, and international relations. The strategy typically employs forecasts and analysis of interest rate trends, international trade and payments, political changes, government policies, inter-government relations, and other broad systemic factors.
12.6%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(6.9%)
Max Drawdown
10
Num Trades
80.0%
Win Trades
2.4 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019              +1.4%(1.2%)+2.8%+7.3%+1.2%+7.1%(6.1%)                  +12.6%

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.

Trading Record

This strategy has placed 9 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/30/19 15:48 SSO PROSHARES ULTRA S&P500 LONG 345 114.21 8/30 15:27 124.43 1.78%
Trade id #123482350
Max drawdown($1,839)
Time6/3/19 0:00
Quant open345
Worst price108.88
Drawdown as % of equity-1.78%
$3,519
Includes Typical Broker Commissions trade costs of $6.90
7/31/19 15:45 UST PROSHARES ULTRA 7-10 YEAR TREA LONG 911 61.84 8/30 15:27 66.60 n/a $4,331
Includes Typical Broker Commissions trade costs of $5.00
5/31/19 14:49 UBT PROSHARES ULTRA 20+ YEAR TREAS LONG 835 90.42 8/30 15:27 97.58 2.67%
Trade id #123893585
Max drawdown($2,968)
Time7/11/19 0:00
Quant open835
Worst price86.87
Drawdown as % of equity-2.67%
$5,963
Includes Typical Broker Commissions trade costs of $9.92
5/31/19 14:49 UGL PROSHARES ULTRA GOLD LONG 303 37.74 6/28 14:28 43.73 0.03%
Trade id #123893578
Max drawdown($26)
Time5/31/19 14:49
Quant open303
Worst price37.65
Drawdown as % of equity-0.03%
$1,809
Includes Typical Broker Commissions trade costs of $6.06
3/22/19 15:36 UST PROSHARES ULTRA 7-10 YEAR TREA LONG 1,496 57.89 5/31 14:46 60.63 1.86%
Trade id #123040958
Max drawdown($1,839)
Time4/17/19 9:57
Quant open1,244
Worst price56.49
Drawdown as % of equity-1.86%
$4,092
Includes Typical Broker Commissions trade costs of $10.02
3/22/19 15:38 EFO PROSHARES ULTRA MSCI EAFE LONG 358 36.35 5/31 14:46 36.80 0.3%
Trade id #123040972
Max drawdown($309)
Time5/31/19 10:06
Quant open155
Worst price34.35
Drawdown as % of equity-0.30%
$154
Includes Typical Broker Commissions trade costs of $7.16
3/22/19 15:34 UBT PROSHARES ULTRA 20+ YEAR TREAS LONG 644 80.81 4/30 15:45 81.18 0.99%
Trade id #123040910
Max drawdown($973)
Time4/16/19 15:45
Quant open275
Worst price77.27
Drawdown as % of equity-0.99%
$231
Includes Typical Broker Commissions trade costs of $8.94

Statistics

  • Strategy began
    3/22/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    177.28
  • Age
    177 days ago
  • What it trades
    Stocks
  • # Trades
    10
  • # Profitable
    8
  • % Profitable
    80.00%
  • Avg trade duration
    49.8 days
  • Max peak-to-valley drawdown
    6.92%
  • drawdown period
    Sept 04, 2019 - Sept 13, 2019
  • Cumul. Return
    12.6%
  • Avg win
    $2,802
  • Avg loss
    $4,783
  • Model Account Values (Raw)
  • Cash
    $45,068
  • Margin Used
    $0
  • Buying Power
    $37,766
  • Ratios
  • W:L ratio
    2.42:1
  • Sharpe Ratio
    2.06
  • Sortino Ratio
    3.03
  • Calmar Ratio
    5.743
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.05330
  • Return Statistics
  • Ann Return (w trading costs)
    27.0%
  • Ann Return (Compnd, No Fees)
    28.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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)
    939
  • Popularity (Last 6 weeks)
    982
  • C2 Score
    930
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $4,784
  • Avg Win
    $2,802
  • # Winners
    8
  • # Losers
    2
  • % Winners
    80.0%
  • Frequency
  • Avg Position Time (mins)
    71757.10
  • Avg Position Time (hrs)
    1195.95
  • Avg Trade Length
    49.8 days
  • Last Trade Ago
    16
  • Leverage
  • Daily leverage (average)
    2.08
  • Daily leverage (max)
    2.52
  • Regression
  • Alpha
    0.07
  • Beta
    -0.04
  • Treynor Index
    -1.73
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    2.182
  • Avg(MAE) / Avg(PL) - Winning trades
    0.489
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.000
  • Hold-and-Hope Ratio
    0.464
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43407
  • SD
    0.15220
  • Sharpe ratio (Glass type estimate)
    2.85194
  • Sharpe ratio (Hedges UMVUE)
    2.27552
  • df
    4.00000
  • t
    1.84092
  • p
    0.06972
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85104
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.31960
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14586
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.69690
  • Statistics related to Sortino ratio
  • Sortino ratio
    25.90150
  • Upside Potential Ratio
    27.45060
  • Upside part of mean
    0.46003
  • Downside part of mean
    -0.02596
  • Upside SD
    0.18426
  • Downside SD
    0.01676
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.08465
  • Mean of criterion
    0.43407
  • SD of predictor
    0.14416
  • SD of criterion
    0.15220
  • Covariance
    -0.00160
  • r
    -0.07271
  • b (slope, estimate of beta)
    -0.07676
  • a (intercept, estimate of alpha)
    0.44056
  • Mean Square Error
    0.03072
  • DF error
    3.00000
  • t(b)
    -0.12627
  • p(b)
    0.54625
  • t(a)
    1.59407
  • p(a)
    0.10459
  • Lowerbound of 95% confidence interval for beta
    -2.01142
  • Upperbound of 95% confidence interval for beta
    1.85790
  • Lowerbound of 95% confidence interval for alpha
    -0.43899
  • Upperbound of 95% confidence interval for alpha
    1.32012
  • Treynor index (mean / b)
    -5.65482
  • Jensen alpha (a)
    0.44056
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41688
  • SD
    0.14593
  • Sharpe ratio (Glass type estimate)
    2.85665
  • Sharpe ratio (Hedges UMVUE)
    2.27928
  • df
    4.00000
  • t
    1.84396
  • p
    0.06948
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84805
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.32591
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.14331
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.70186
  • Statistics related to Sortino ratio
  • Sortino ratio
    24.79930
  • Upside Potential Ratio
    26.34850
  • Upside part of mean
    0.44293
  • Downside part of mean
    -0.02604
  • Upside SD
    0.17674
  • Downside SD
    0.01681
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.07596
  • Mean of criterion
    0.41688
  • SD of predictor
    0.14333
  • SD of criterion
    0.14593
  • Covariance
    -0.00179
  • r
    -0.08571
  • b (slope, estimate of beta)
    -0.08727
  • a (intercept, estimate of alpha)
    0.42351
  • Mean Square Error
    0.02819
  • DF error
    3.00000
  • t(b)
    -0.14899
  • p(b)
    0.55449
  • t(a)
    1.60499
  • p(a)
    0.10342
  • Lowerbound of 95% confidence interval for beta
    -1.95122
  • Upperbound of 95% confidence interval for beta
    1.77669
  • Lowerbound of 95% confidence interval for alpha
    -0.41625
  • Upperbound of 95% confidence interval for alpha
    1.26327
  • Treynor index (mean / b)
    -4.77717
  • Jensen alpha (a)
    0.42351
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03396
  • Expected Shortfall on VaR
    0.05070
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00246
  • Expected Shortfall on VaR
    0.00610
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.99151
  • Quartile 1
    1.00794
  • Median
    1.02417
  • Quartile 3
    1.07571
  • Maximum
    1.09317
  • Mean of quarter 1
    0.99972
  • Mean of quarter 2
    1.02417
  • Mean of quarter 3
    1.07571
  • Mean of quarter 4
    1.09317
  • Inter Quartile Range
    0.06778
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.00849
  • Quartile 1
    0.00849
  • Median
    0.00849
  • Quartile 3
    0.00849
  • Maximum
    0.00849
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.48868
  • Compounded annual return (geometric extrapolation)
    0.56016
  • Calmar ratio (compounded annual return / max draw down)
    65.98550
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    11.04760
  • 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
    0.26417
  • SD
    0.09483
  • Sharpe ratio (Glass type estimate)
    2.78574
  • Sharpe ratio (Hedges UMVUE)
    2.76814
  • df
    119.00000
  • t
    1.88530
  • p
    0.39211
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.13758
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.69764
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14920
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.68548
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.24223
  • Upside Potential Ratio
    10.66610
  • Upside part of mean
    0.66420
  • Downside part of mean
    -0.40003
  • Upside SD
    0.07285
  • Downside SD
    0.06227
  • N nonnegative terms
    69.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    120.00000
  • Mean of predictor
    0.13746
  • Mean of criterion
    0.26417
  • SD of predictor
    0.14069
  • SD of criterion
    0.09483
  • Covariance
    -0.00095
  • r
    -0.07126
  • b (slope, estimate of beta)
    -0.04803
  • a (intercept, estimate of alpha)
    0.27100
  • Mean Square Error
    0.00902
  • DF error
    118.00000
  • t(b)
    -0.77608
  • p(b)
    0.53563
  • t(a)
    1.92565
  • p(a)
    0.41273
  • Lowerbound of 95% confidence interval for beta
    -0.17060
  • Upperbound of 95% confidence interval for beta
    0.07453
  • Lowerbound of 95% confidence interval for alpha
    -0.00768
  • Upperbound of 95% confidence interval for alpha
    0.54923
  • Treynor index (mean / b)
    -5.49986
  • Jensen alpha (a)
    0.27078
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25955
  • SD
    0.09486
  • Sharpe ratio (Glass type estimate)
    2.73630
  • Sharpe ratio (Hedges UMVUE)
    2.71902
  • df
    119.00000
  • t
    1.85184
  • p
    0.39395
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18613
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.64745
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19758
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.63561
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.13893
  • Upside Potential Ratio
    10.54840
  • Upside part of mean
    0.66150
  • Downside part of mean
    -0.40194
  • Upside SD
    0.07244
  • Downside SD
    0.06271
  • N nonnegative terms
    69.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    120.00000
  • Mean of predictor
    0.12755
  • Mean of criterion
    0.25955
  • SD of predictor
    0.14127
  • SD of criterion
    0.09486
  • Covariance
    -0.00096
  • r
    -0.07194
  • b (slope, estimate of beta)
    -0.04831
  • a (intercept, estimate of alpha)
    0.26572
  • Mean Square Error
    0.00903
  • DF error
    118.00000
  • t(b)
    -0.78353
  • p(b)
    0.53597
  • t(a)
    1.88976
  • p(a)
    0.41430
  • Lowerbound of 95% confidence interval for beta
    -0.17039
  • Upperbound of 95% confidence interval for beta
    0.07378
  • Lowerbound of 95% confidence interval for alpha
    -0.01273
  • Upperbound of 95% confidence interval for alpha
    0.54416
  • Treynor index (mean / b)
    -5.37324
  • Jensen alpha (a)
    0.26572
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00861
  • Expected Shortfall on VaR
    0.01103
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00309
  • Expected Shortfall on VaR
    0.00674
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    120.00000
  • Minimum
    0.97963
  • Quartile 1
    0.99852
  • Median
    1.00091
  • Quartile 3
    1.00390
  • Maximum
    1.01916
  • Mean of quarter 1
    0.99441
  • Mean of quarter 2
    0.99983
  • Mean of quarter 3
    1.00226
  • Mean of quarter 4
    1.00796
  • Inter Quartile Range
    0.00538
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.04167
  • Mean of outliers low
    0.98397
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03333
  • Mean of outliers high
    1.01572
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.65199
  • VaR(95%) (moments method)
    0.00569
  • Expected Shortfall (moments method)
    0.01787
  • Extreme Value Index (regression method)
    0.26141
  • VaR(95%) (regression method)
    0.00483
  • Expected Shortfall (regression method)
    0.00827
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00016
  • Quartile 1
    0.00155
  • Median
    0.00573
  • Quartile 3
    0.02641
  • Maximum
    0.05799
  • Mean of quarter 1
    0.00091
  • Mean of quarter 2
    0.00473
  • Mean of quarter 3
    0.01795
  • Mean of quarter 4
    0.04902
  • Inter Quartile Range
    0.02486
  • 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)
    -4.18233
  • VaR(95%) (moments method)
    0.04605
  • Expected Shortfall (moments method)
    0.04608
  • Extreme Value Index (regression method)
    -0.60525
  • VaR(95%) (regression method)
    0.06455
  • Expected Shortfall (regression method)
    0.07189
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30724
  • Compounded annual return (geometric extrapolation)
    0.33304
  • Calmar ratio (compounded annual return / max draw down)
    5.74336
  • Compounded annual return / average of 25% largest draw downs
    6.79411
  • Compounded annual return / Expected Shortfall lognormal
    30.18410

Strategy Description

CORE PRINCIPLE
The strategy is based on the core idea that capital flows from an asset class to another, and such shifts in capital allocation occur according to the perceived economic conditions. The strategy employs proprietary quantitative tools to detect such shifts in probabilistic terms and creating a portfolio weight scheme that maximize the probability of being allocated in the strong assets in which capital is flowing. This compounds with a rigorous systematic risk management procedure that aims to deliver stable return over time, with little or no correlation to the market.

INVESTMENT PROCEDURE
Phase 1 - Information Processing
After having processed all relevant market informations, the model estimates the probabilities for each asset class to be the most performing.
Phase 2 - Weighting Scheme
A rigorous risk management procedure outputs the weights that maximize the chance of stable growth, given the probabilities estimated in Phase 1.
Phase 3 - Exposure
A self-learning system elaborates the relevant informations to estimate the current market conditions and the probabilities of tail events to unfold in the future. Such probabilities are then assembled into a market risk score, according to which portfolio exposure may be set in a range 0%-200% to improve the performances in
risk-off periods and reduce losses in risk-on phases.

PORTFOLIO MANAGEMENT
Traded Instruments
The model trades asset class ETFs, which include Domestic/International-Developed/Emerging Equities, Government/Corporate-ShortTerm/LongTerm-AAA/BB Bonds, Energy/Agriculture/Raw Materials Commodities, Gold and precious metals, Currencies. To gain exposure grater than 100% levered ETFs may be traded.
Trade Frequency
The average holding period is 1 month, the model trades about 4/5 ETFs per month. During period of extreme volatility holding frequency may shorten, resulting in a faster adapting allocation.

PERFORMANCE
In the backtest period (1985-2018), 91.2% of the trailing 12 month periods exhibited positive cumulative returns, the extent of the worst loss recorded has been 16%, and its length before recovery 17 months.
What you should expect from this strategy: mild losses in the range 4%-11% on average (range of 90% of the historical losses 1985-2018) and fast recovery time (90% of historical losses were recovered within 12 months).
The average historical return has been around 15% p.a., net of trading commissions.
-----------
"Backtesting data is hypothetical and it has not been verified by C2."


The difficulty of timing a system that times the market is hardness (of timing the market) squared, so please read what this system is about and commit to accept its potential risk if you are considering to subscribe.
It has taken me a lot of work to build a model deisgned to outsmart the cognitive bias we all carry when investing. Do not be foolish in trying to outsmart a system that is designed to outsmart us, running on a liquidly cooled 96 cores machine equipped with 1.5 terabyte of RAM, that analyses centuries of data.
If you want to subscribe to my model then I suspect you trust my expertise in the field.
As such, you should trust me on this:
Subscribe if the historical risk profile of this sytem is in line with your risk tolerance. Unsubscribe whenever you find some other model you prefer over mine, or whenever you need to withdraw your money for necessity. Else, as long as the system performs in line with the historical risk profile, you should stick with it.
Such disciplined approach, overcomes our behavioural bias and is proven to be a key characteristic of every succesful investor.

Summary Statistics

Strategy began
2019-03-22
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 7.0%
Rank # 
#42
# Trades
10
# Profitable
8
% Profitable
80.0%
Net Dividends
Correlation S&P500
-0.053
Sharpe Ratio
2.06
Sortino Ratio
3.03
Beta
-0.04
Alpha
0.07
Leverage
2.08 Average
2.52 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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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.