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Featured Strategy Easiest Followed by live capital $438,000 Hypothetical

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SAVVY RISK ON RISK OFF
(143091546)

Created by: TrendSurfer TrendSurfer
Started: 01/2023
Stocks
Last trade: 9 days ago
Trading style: Equity Trend-following Momentum
Subscriptions not currently available. This is a new strategy, and Collective2 is verifying the strategy developer. Please check back soon.

Subscription terms. Subscriptions to this system cost $22.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

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

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
8.4%
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.

(4.4%)
Max Drawdown
50
Num Trades
40.0%
Win Trades
2.2 : 1
Profit Factor
68.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023+0.6%(0.8%)+5.9%+0.8%+0.2%+2.8%+0.4%+0.3%(3.5%)  -  +2.3%+2.6%+12.1%
2024(2%)+0.1%+1.2%  -                                                  (0.7%)

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 71 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/19/24 9:48 XLG INVESCO RUSSEL MEGACAP TOP 50 LONG 200 40.42 4/19 12:05 40.09 0.12%
Trade id #147956317
Max drawdown($66)
Time4/19/24 12:05
Quant open200
Worst price40.09
Drawdown as % of equity-0.12%
 ($70)
Includes Typical Broker Commissions trade costs of $4.00
3/18/24 10:50 SH PROSHARES SHORT S&P500 LONG 1,000 12.15 3/20 14:08 11.96 0.38%
Trade id #147663522
Max drawdown($210)
Time3/20/24 14:05
Quant open1,000
Worst price11.94
Drawdown as % of equity-0.38%
 ($195)
Includes Typical Broker Commissions trade costs of $5.00
2/28/24 15:41 SSO PROSHARES ULTRA S&P 500 LONG 440 72.77 3/14 11:23 74.86 0.36%
Trade id #147493452
Max drawdown($197)
Time3/5/24 0:00
Quant open440
Worst price72.32
Drawdown as % of equity-0.36%
 $911
Includes Typical Broker Commissions trade costs of $8.80
2/23/24 9:49 BITI PROSHARES SHORT BITCOIN STRATEGY ETF LONG 500 10.71 2/26 10:37 10.31 0.38%
Trade id #147433541
Max drawdown($210)
Time2/26/24 10:32
Quant open500
Worst price10.29
Drawdown as % of equity-0.38%
 ($210)
Includes Typical Broker Commissions trade costs of $10.00
2/9/24 12:06 PSQ PROSHARES SHORT QQQ LONG 1,000 8.97 2/16 10:42 9.05 0.13%
Trade id #147270962
Max drawdown($70)
Time2/12/24 0:00
Quant open1,000
Worst price8.90
Drawdown as % of equity-0.13%
 $75
Includes Typical Broker Commissions trade costs of $5.00
2/9/24 12:09 DBMF IMGP DBI MANAGED FUTURES STRATEGY LONG 400 26.81 2/13 14:56 26.63 0.13%
Trade id #147271006
Max drawdown($71)
Time2/13/24 14:53
Quant open400
Worst price26.63
Drawdown as % of equity-0.13%
 ($80)
Includes Typical Broker Commissions trade costs of $8.00
1/29/24 11:00 BLOK AMPLIFY TRANSFORMATIONAL DATA SHARING ETF LONG 300 28.06 1/31 9:30 27.06 0.63%
Trade id #147149297
Max drawdown($345)
Time1/31/24 9:30
Quant open300
Worst price26.91
Drawdown as % of equity-0.63%
 ($306)
Includes Typical Broker Commissions trade costs of $6.00
1/12/24 9:33 VXUS VANGUARD TOTAL INTL STOCK IDX LONG 167 57.61 1/16 14:20 56.29 0.4%
Trade id #146985089
Max drawdown($222)
Time1/16/24 14:19
Quant open167
Worst price56.27
Drawdown as % of equity-0.40%
 ($223)
Includes Typical Broker Commissions trade costs of $3.34
1/12/24 9:31 QLD PROSHARES ULTRA QQQ LONG 125 76.05 1/16 14:20 74.88 0.29%
Trade id #146985000
Max drawdown($163)
Time1/16/24 9:51
Quant open125
Worst price74.74
Drawdown as % of equity-0.29%
 ($149)
Includes Typical Broker Commissions trade costs of $2.50
1/12/24 9:32 UDOW PROSHARES ULTRAPRO DOW30 LONG 130 74.62 1/16 14:20 71.10 0.83%
Trade id #146985043
Max drawdown($460)
Time1/16/24 14:19
Quant open130
Worst price71.08
Drawdown as % of equity-0.83%
 ($461)
Includes Typical Broker Commissions trade costs of $2.60
12/14/23 9:40 PDBC POWERSHARES DB OPT YLD DIV COM LONG 1,000 13.89 12/20 15:28 13.44 0.83%
Trade id #146698693
Max drawdown($459)
Time12/20/23 15:08
Quant open1,000
Worst price13.43
Drawdown as % of equity-0.83%
 ($455)
Includes Typical Broker Commissions trade costs of $5.00
11/10/23 13:06 NTSX WISDOMTREE US EFFICIENT CORE FUND LONG 750 35.74 12/20 15:27 39.16 0.15%
Trade id #146402229
Max drawdown($82)
Time11/13/23 0:00
Quant open750
Worst price35.63
Drawdown as % of equity-0.15%
 $2,555
Includes Typical Broker Commissions trade costs of $10.00
11/10/23 13:05 BTAL AGF US MARKET NEUT ANTI-BETA LONG 640 21.06 11/14 10:06 20.60 0.55%
Trade id #146402137
Max drawdown($299)
Time11/14/23 9:41
Quant open640
Worst price20.59
Drawdown as % of equity-0.55%
 ($299)
Includes Typical Broker Commissions trade costs of $5.00
11/10/23 13:05 KMLM KRANESHARES TRUST LONG 425 31.99 11/14 10:05 30.90 0.85%
Trade id #146402143
Max drawdown($459)
Time11/14/23 9:41
Quant open425
Worst price30.91
Drawdown as % of equity-0.85%
 ($472)
Includes Typical Broker Commissions trade costs of $8.50
11/3/23 10:32 ACWV ISHARES EDGE MSCI MIN VOL GBL ETF LONG 200 96.62 11/7 15:41 96.48 0.18%
Trade id #146326691
Max drawdown($99)
Time11/7/23 9:40
Quant open200
Worst price96.12
Drawdown as % of equity-0.18%
 ($32)
Includes Typical Broker Commissions trade costs of $4.00
11/2/23 9:54 PCEF INVESCO CEF INCOME COMPOSI LONG 930 16.72 11/7 15:41 16.99 0.03%
Trade id #146314689
Max drawdown($13)
Time11/2/23 9:58
Quant open930
Worst price16.70
Drawdown as % of equity-0.03%
 $246
Includes Typical Broker Commissions trade costs of $5.00
11/2/23 9:53 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 180 87.09 11/7 15:41 90.49 0.24%
Trade id #146314672
Max drawdown($126)
Time11/2/23 12:17
Quant open180
Worst price86.39
Drawdown as % of equity-0.24%
 $608
Includes Typical Broker Commissions trade costs of $3.60
10/13/23 12:18 HIGH SIMPLIFY ENHANCED INCOME ETF LONG 850 24.93 11/3 10:29 24.72 0.37%
Trade id #146124830
Max drawdown($199)
Time11/2/23 0:00
Quant open850
Worst price24.70
Drawdown as % of equity-0.37%
 ($184)
Includes Typical Broker Commissions trade costs of $5.00
10/9/23 10:00 IAU ISHARES GOLD TRUST LONG 375 34.95 10/12 13:15 35.38 0%
Trade id #146074350
Max drawdown($1)
Time10/9/23 10:03
Quant open375
Worst price34.94
Drawdown as % of equity-0.00%
 $154
Includes Typical Broker Commissions trade costs of $7.50
10/9/23 14:19 EFG ISHARES MSCI EAFE GROWTH ETF LONG 150 86.08 10/12 13:15 87.05 0.02%
Trade id #146080136
Max drawdown($12)
Time10/9/23 15:48
Quant open150
Worst price86.00
Drawdown as % of equity-0.02%
 $143
Includes Typical Broker Commissions trade costs of $3.00
10/9/23 14:22 SSO PROSHARES ULTRA S&P 500 LONG 240 54.48 10/12 13:14 54.91 0.08%
Trade id #146080164
Max drawdown($40)
Time10/9/23 15:45
Quant open240
Worst price54.31
Drawdown as % of equity-0.08%
 $98
Includes Typical Broker Commissions trade costs of $4.80
10/12/23 9:52 VCLT VANGUARD LONG-TERM CORP BOND I LONG 180 71.21 10/12 13:14 70.33 0.31%
Trade id #146109784
Max drawdown($163)
Time10/12/23 13:11
Quant open180
Worst price70.30
Drawdown as % of equity-0.31%
 ($162)
Includes Typical Broker Commissions trade costs of $3.60
10/10/23 11:29 USA LIBERTY ALL-STAR EQUITY COMMON LONG 2,000 5.94 10/11 12:18 5.87 0.3%
Trade id #146088915
Max drawdown($160)
Time10/11/23 0:00
Quant open2,000
Worst price5.86
Drawdown as % of equity-0.30%
 ($145)
Includes Typical Broker Commissions trade costs of $5.00
9/21/23 10:35 UDN INVESCO DB US DOLLAR INDEX LONG 725 18.50 9/25 9:40 18.40 0.14%
Trade id #145890541
Max drawdown($72)
Time9/25/23 9:30
Quant open725
Worst price18.40
Drawdown as % of equity-0.14%
 ($78)
Includes Typical Broker Commissions trade costs of $5.00
9/21/23 10:39 TLTW ISHARES 20+YR T-BOND BUYWRITE LONG 450 29.63 9/25 9:40 29.25 0.4%
Trade id #145894913
Max drawdown($215)
Time9/25/23 9:30
Quant open450
Worst price29.15
Drawdown as % of equity-0.40%
 ($180)
Includes Typical Broker Commissions trade costs of $9.00
9/21/23 10:18 UPRO PROSHARES ULTRAPRO S&P 500 LONG 615 43.71 9/25 9:30 41.76 2.24%
Trade id #145890322
Max drawdown($1,199)
Time9/25/23 9:30
Quant open615
Worst price41.76
Drawdown as % of equity-2.24%
 ($1,204)
Includes Typical Broker Commissions trade costs of $5.00
8/29/23 10:29 DFAC DIMENSIONAL US CORE EQUITY 2 ETF LONG 2,000 27.30 9/6 9:33 27.37 0.13%
Trade id #145675785
Max drawdown($70)
Time8/29/23 10:56
Quant open2,000
Worst price27.27
Drawdown as % of equity-0.13%
 $135
Includes Typical Broker Commissions trade costs of $5.00
8/8/23 9:30 TLTW ISHARES 20+YR T-BOND BUYWRITE LONG 352 31.31 8/16 15:09 30.39 0.6%
Trade id #145469310
Max drawdown($325)
Time8/16/23 15:09
Quant open352
Worst price30.39
Drawdown as % of equity-0.60%
 ($331)
Includes Typical Broker Commissions trade costs of $7.04
7/13/23 10:37 UUP INVESCO DB USD INDEX BULLISH FUND ETF LONG 765 27.63 7/25 9:43 28.10 0.11%
Trade id #145205719
Max drawdown($61)
Time7/13/23 15:23
Quant open765
Worst price27.55
Drawdown as % of equity-0.11%
 $355
Includes Typical Broker Commissions trade costs of $5.00
7/13/23 10:36 ACWI ISHARES MSCI ACWI ETF LONG 325 97.68 7/20 9:35 98.44 0.13%
Trade id #145205700
Max drawdown($71)
Time7/17/23 0:00
Quant open325
Worst price97.46
Drawdown as % of equity-0.13%
 $241
Includes Typical Broker Commissions trade costs of $6.50
Next

Statistics

  • Strategy began
    1/4/2023
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    480.34
  • Age
    16 months ago
  • What it trades
    Stocks
  • # Trades
    50
  • # Profitable
    20
  • % Profitable
    40.00%
  • Avg trade duration
    10.6 days
  • Max peak-to-valley drawdown
    4.42%
  • drawdown period
    Sept 01, 2023 - Oct 26, 2023
  • Annual Return (Compounded)
    8.4%
  • Avg win
    $601.35
  • Avg loss
    $238.50
  • Model Account Values (Raw)
  • Cash
    $45,626
  • Margin Used
    $0
  • Buying Power
    $46,096
  • Ratios
  • W:L ratio
    2.22:1
  • Sharpe Ratio
    0.92
  • Sortino Ratio
    1.63
  • Calmar Ratio
    2.889
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -21.06%
  • Correlation to SP500
    0.33880
  • Return Percent SP500 (cumu) during strategy life
    32.36%
  • Return Statistics
  • Ann Return (w trading costs)
    8.4%
  • Slump
  • Current Slump as Pcnt Equity
    0.90%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.11%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.084%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    10.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    355
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $238
  • Avg Win
    $601
  • Sum Trade PL (losers)
    $7,155.000
  • Age
  • Num Months filled monthly returns table
    16
  • Win / Loss
  • Sum Trade PL (winners)
    $12,027.000
  • # Winners
    20
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    1944
  • Win / Loss
  • # Losers
    30
  • % Winners
    40.0%
  • Frequency
  • Avg Position Time (mins)
    15320.70
  • Avg Position Time (hrs)
    255.34
  • Avg Trade Length
    10.6 days
  • Last Trade Ago
    9
  • Leverage
  • Daily leverage (average)
    0.91
  • Daily leverage (max)
    2.00
  • Regression
  • Alpha
    0.01
  • Beta
    0.15
  • Treynor Index
    0.11
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.12
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.365
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.286
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.128
  • Hold-and-Hope Ratio
    0.423
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08418
  • SD
    0.06788
  • Sharpe ratio (Glass type estimate)
    1.24019
  • Sharpe ratio (Hedges UMVUE)
    1.16700
  • df
    13.00000
  • t
    1.33956
  • p
    0.28285
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65682
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09304
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70220
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.03619
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.91162
  • Upside Potential Ratio
    4.65083
  • Upside part of mean
    0.13447
  • Downside part of mean
    -0.05029
  • Upside SD
    0.06351
  • Downside SD
    0.02891
  • N nonnegative terms
    8.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.22326
  • Mean of criterion
    0.08418
  • SD of predictor
    0.13525
  • SD of criterion
    0.06788
  • Covariance
    0.00385
  • r
    0.41928
  • b (slope, estimate of beta)
    0.21043
  • a (intercept, estimate of alpha)
    0.03720
  • Mean Square Error
    0.00411
  • DF error
    12.00000
  • t(b)
    1.59983
  • p(b)
    0.29036
  • t(a)
    0.56157
  • p(a)
    0.41999
  • Lowerbound of 95% confidence interval for beta
    -0.07615
  • Upperbound of 95% confidence interval for beta
    0.49701
  • Lowerbound of 95% confidence interval for alpha
    -0.10714
  • Upperbound of 95% confidence interval for alpha
    0.18154
  • Treynor index (mean / b)
    0.40006
  • Jensen alpha (a)
    0.03720
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08161
  • SD
    0.06696
  • Sharpe ratio (Glass type estimate)
    1.21873
  • Sharpe ratio (Hedges UMVUE)
    1.14680
  • df
    13.00000
  • t
    1.31637
  • p
    0.28603
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67593
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.06990
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72055
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.01415
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.79923
  • Upside Potential Ratio
    4.53454
  • Upside part of mean
    0.13220
  • Downside part of mean
    -0.05059
  • Upside SD
    0.06220
  • Downside SD
    0.02915
  • N nonnegative terms
    8.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.21243
  • Mean of criterion
    0.08161
  • SD of predictor
    0.13405
  • SD of criterion
    0.06696
  • Covariance
    0.00377
  • r
    0.42026
  • b (slope, estimate of beta)
    0.20993
  • a (intercept, estimate of alpha)
    0.03701
  • Mean Square Error
    0.00400
  • DF error
    12.00000
  • t(b)
    1.60437
  • p(b)
    0.28987
  • t(a)
    0.57108
  • p(a)
    0.41867
  • Lowerbound of 95% confidence interval for beta
    -0.07516
  • Upperbound of 95% confidence interval for beta
    0.49501
  • Lowerbound of 95% confidence interval for alpha
    -0.10420
  • Upperbound of 95% confidence interval for alpha
    0.17823
  • Treynor index (mean / b)
    0.38875
  • Jensen alpha (a)
    0.03701
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02468
  • Expected Shortfall on VaR
    0.03251
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00878
  • Expected Shortfall on VaR
    0.01732
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.97652
  • Quartile 1
    0.99600
  • Median
    1.00617
  • Quartile 3
    1.01964
  • Maximum
    1.05291
  • Mean of quarter 1
    0.98857
  • Mean of quarter 2
    1.00195
  • Mean of quarter 3
    1.01312
  • Mean of quarter 4
    1.03284
  • Inter Quartile Range
    0.02364
  • 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)
    0.37737
  • VaR(95%) (moments method)
    0.01334
  • Expected Shortfall (moments method)
    0.02460
  • Extreme Value Index (regression method)
    1.84600
  • VaR(95%) (regression method)
    0.02014
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00594
  • Quartile 1
    0.01110
  • Median
    0.01625
  • Quartile 3
    0.01987
  • Maximum
    0.02348
  • Mean of quarter 1
    0.00594
  • Mean of quarter 2
    0.01625
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.02348
  • Inter Quartile Range
    0.00877
  • 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)
    0.11682
  • Compounded annual return (geometric extrapolation)
    0.11574
  • Calmar ratio (compounded annual return / max draw down)
    4.92848
  • Compounded annual return / average of 25% largest draw downs
    4.92848
  • Compounded annual return / Expected Shortfall lognormal
    3.56046
  • 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
    0.08337
  • SD
    0.06120
  • Sharpe ratio (Glass type estimate)
    1.36226
  • Sharpe ratio (Hedges UMVUE)
    1.35891
  • df
    305.00000
  • t
    1.47222
  • p
    0.07100
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45563
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.17798
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45788
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.17570
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.44080
  • Upside Potential Ratio
    8.86151
  • Upside part of mean
    0.30268
  • Downside part of mean
    -0.21931
  • Upside SD
    0.05092
  • Downside SD
    0.03416
  • N nonnegative terms
    119.00000
  • N negative terms
    187.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    306.00000
  • Mean of predictor
    0.22118
  • Mean of criterion
    0.08337
  • SD of predictor
    0.13375
  • SD of criterion
    0.06120
  • Covariance
    0.00280
  • r
    0.34222
  • b (slope, estimate of beta)
    0.15659
  • a (intercept, estimate of alpha)
    0.04900
  • Mean Square Error
    0.00332
  • DF error
    304.00000
  • t(b)
    6.35028
  • p(b)
    0.00000
  • t(a)
    0.90966
  • p(a)
    0.18186
  • Lowerbound of 95% confidence interval for beta
    0.10807
  • Upperbound of 95% confidence interval for beta
    0.20511
  • Lowerbound of 95% confidence interval for alpha
    -0.05669
  • Upperbound of 95% confidence interval for alpha
    0.15416
  • Treynor index (mean / b)
    0.53239
  • Jensen alpha (a)
    0.04873
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.08149
  • SD
    0.06100
  • Sharpe ratio (Glass type estimate)
    1.33579
  • Sharpe ratio (Hedges UMVUE)
    1.33250
  • df
    305.00000
  • t
    1.44361
  • p
    0.07494
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48192
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.15139
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48416
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.14917
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.37649
  • Upside Potential Ratio
    8.78868
  • Upside part of mean
    0.30136
  • Downside part of mean
    -0.21987
  • Upside SD
    0.05059
  • Downside SD
    0.03429
  • N nonnegative terms
    119.00000
  • N negative terms
    187.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    306.00000
  • Mean of predictor
    0.21216
  • Mean of criterion
    0.08149
  • SD of predictor
    0.13358
  • SD of criterion
    0.06100
  • Covariance
    0.00279
  • r
    0.34208
  • b (slope, estimate of beta)
    0.15622
  • a (intercept, estimate of alpha)
    0.04834
  • Mean Square Error
    0.00330
  • DF error
    304.00000
  • t(b)
    6.34723
  • p(b)
    0.00000
  • t(a)
    0.90557
  • p(a)
    0.18294
  • Lowerbound of 95% confidence interval for beta
    0.10779
  • Upperbound of 95% confidence interval for beta
    0.20465
  • Lowerbound of 95% confidence interval for alpha
    -0.05671
  • Upperbound of 95% confidence interval for alpha
    0.15340
  • Treynor index (mean / b)
    0.52163
  • Jensen alpha (a)
    0.04834
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00587
  • Expected Shortfall on VaR
    0.00743
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00216
  • Expected Shortfall on VaR
    0.00448
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    306.00000
  • Minimum
    0.98623
  • Quartile 1
    0.99941
  • Median
    1.00000
  • Quartile 3
    1.00090
  • Maximum
    1.02136
  • Mean of quarter 1
    0.99698
  • Mean of quarter 2
    0.99993
  • Mean of quarter 3
    1.00021
  • Mean of quarter 4
    1.00457
  • Inter Quartile Range
    0.00149
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.08497
  • Mean of outliers low
    0.99375
  • Number of outliers high
    41.00000
  • Percentage of outliers high
    0.13399
  • Mean of outliers high
    1.00713
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.61352
  • VaR(95%) (moments method)
    0.00316
  • Expected Shortfall (moments method)
    0.00917
  • Extreme Value Index (regression method)
    0.41668
  • VaR(95%) (regression method)
    0.00265
  • Expected Shortfall (regression method)
    0.00533
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00217
  • Median
    0.00830
  • Quartile 3
    0.01705
  • Maximum
    0.04001
  • Mean of quarter 1
    0.00034
  • Mean of quarter 2
    0.00659
  • Mean of quarter 3
    0.01212
  • Mean of quarter 4
    0.02621
  • Inter Quartile Range
    0.01488
  • 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
    0.06667
  • Mean of outliers high
    0.04001
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.08212
  • VaR(95%) (moments method)
    0.02919
  • Expected Shortfall (moments method)
    0.03739
  • Extreme Value Index (regression method)
    1.26851
  • VaR(95%) (regression method)
    0.03443
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11669
  • Compounded annual return (geometric extrapolation)
    0.11560
  • Calmar ratio (compounded annual return / max draw down)
    2.88900
  • Compounded annual return / average of 25% largest draw downs
    4.41139
  • Compounded annual return / Expected Shortfall lognormal
    15.55010
  • 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
    0.06940
  • SD
    0.04338
  • Sharpe ratio (Glass type estimate)
    1.59991
  • Sharpe ratio (Hedges UMVUE)
    1.59066
  • df
    130.00000
  • t
    1.13130
  • p
    0.45063
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18174
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.37550
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.18788
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.36920
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.70337
  • Upside Potential Ratio
    8.68822
  • Upside part of mean
    0.22304
  • Downside part of mean
    -0.15364
  • Upside SD
    0.03502
  • Downside SD
    0.02567
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34481
  • Mean of criterion
    0.06940
  • SD of predictor
    0.11664
  • SD of criterion
    0.04338
  • Covariance
    0.00142
  • r
    0.28108
  • b (slope, estimate of beta)
    0.10453
  • a (intercept, estimate of alpha)
    0.03336
  • Mean Square Error
    0.00175
  • DF error
    129.00000
  • t(b)
    3.32651
  • p(b)
    0.32345
  • t(a)
    0.55516
  • p(a)
    0.46893
  • Lowerbound of 95% confidence interval for beta
    0.04236
  • Upperbound of 95% confidence interval for beta
    0.16671
  • Lowerbound of 95% confidence interval for alpha
    -0.08552
  • Upperbound of 95% confidence interval for alpha
    0.15224
  • Treynor index (mean / b)
    0.66391
  • Jensen alpha (a)
    0.03336
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06845
  • SD
    0.04333
  • Sharpe ratio (Glass type estimate)
    1.57995
  • Sharpe ratio (Hedges UMVUE)
    1.57082
  • df
    130.00000
  • t
    1.11720
  • p
    0.45124
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20140
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.35538
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.20755
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.34919
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.65763
  • Upside Potential Ratio
    8.63494
  • Upside part of mean
    0.22241
  • Downside part of mean
    -0.15396
  • Upside SD
    0.03489
  • Downside SD
    0.02576
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33781
  • Mean of criterion
    0.06845
  • SD of predictor
    0.11647
  • SD of criterion
    0.04333
  • Covariance
    0.00142
  • r
    0.28140
  • b (slope, estimate of beta)
    0.10468
  • a (intercept, estimate of alpha)
    0.03309
  • Mean Square Error
    0.00174
  • DF error
    129.00000
  • t(b)
    3.33063
  • p(b)
    0.32325
  • t(a)
    0.55178
  • p(a)
    0.46912
  • VAR (95 Confidence Intrvl)
    0.00600
  • Lowerbound of 95% confidence interval for beta
    0.04250
  • Upperbound of 95% confidence interval for beta
    0.16686
  • Lowerbound of 95% confidence interval for alpha
    -0.08556
  • Upperbound of 95% confidence interval for alpha
    0.15174
  • Treynor index (mean / b)
    0.65393
  • Jensen alpha (a)
    0.03309
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00413
  • Expected Shortfall on VaR
    0.00525
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00141
  • Expected Shortfall on VaR
    0.00301
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98927
  • Quartile 1
    0.99985
  • Median
    1.00008
  • Quartile 3
    1.00075
  • Maximum
    1.01016
  • Mean of quarter 1
    0.99787
  • Mean of quarter 2
    1.00002
  • Mean of quarter 3
    1.00024
  • Mean of quarter 4
    1.00336
  • Inter Quartile Range
    0.00091
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.99609
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.00516
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45030
  • VaR(95%) (moments method)
    0.00224
  • Expected Shortfall (moments method)
    0.00487
  • Extreme Value Index (regression method)
    0.56076
  • VaR(95%) (regression method)
    0.00199
  • Expected Shortfall (regression method)
    0.00480
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00106
  • Median
    0.00181
  • Quartile 3
    0.00656
  • Maximum
    0.02050
  • Mean of quarter 1
    0.00036
  • Mean of quarter 2
    0.00130
  • Mean of quarter 3
    0.00283
  • Mean of quarter 4
    0.01213
  • Inter Quartile Range
    0.00550
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.02050
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.32597
  • VaR(95%) (moments method)
    0.01479
  • Expected Shortfall (moments method)
    0.02436
  • Extreme Value Index (regression method)
    3.11789
  • VaR(95%) (regression method)
    0.03271
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -373607000
  • Max Equity Drawdown (num days)
    55
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09872
  • Compounded annual return (geometric extrapolation)
    0.10115
  • Calmar ratio (compounded annual return / max draw down)
    4.93461
  • Compounded annual return / average of 25% largest draw downs
    8.33979
  • Compounded annual return / Expected Shortfall lognormal
    19.28370

Strategy Description

RISK ON <-> RISK OFF
Ideal for Manual or auto-trade. IRA friendly.
Strategy rides market trends for swing trading ETFs.
The strategy will invest in one or more ETFs during a Risk On swing trading cycle.
Strategy will switch either to cash and/or one or more defensive ETFs during a Risk Off trading cycle.
Strategy signal generation will typically occur either before market close or next trading day.
Stops may be used for positions.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-01-04
Suggested Minimum Capital
$15,000
# Trades
50
# Profitable
20
% Profitable
40.0%
Net Dividends
$1,944
Correlation S&P500
0.339
Sharpe Ratio
0.92
Sortino Ratio
1.63
Beta
0.15
Alpha
0.01
Leverage
0.91 Average
2.00 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.