Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, C2 training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

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

Resilient Investments
(134751192)

Created by: FormulaicSystems FormulaicSystems
Started: 03/2021
Stocks
Last trade: 10 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $125.00 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.

-19.9%
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.

(49.5%)
Max Drawdown
64
Num Trades
54.7%
Win Trades
0.9 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021              +3.0%+18.0%(2.3%)+1.6%+1.3%+6.7%(6.3%)+15.2%+1.7%+6.2%+52.2%
2022(8.7%)(3.6%)+4.5%(25.3%)(26.3%)                                          (49.3%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 120 hours.

Trading Record

This strategy has placed 12 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 371 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/6/22 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 272 46.84 5/10 15:59 42.69 7.06%
Trade id #140398618
Max drawdown($1,517)
Time5/10/22 12:33
Quant open272
Worst price41.26
Drawdown as % of equity-7.06%
($1,134)
Includes Typical Broker Commissions trade costs of $5.44
5/4/22 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 537 53.38 5/5 15:59 47.49 17.3%
Trade id #140371013
Max drawdown($3,920)
Time5/5/22 15:31
Quant open537
Worst price46.08
Drawdown as % of equity-17.30%
($3,168)
Includes Typical Broker Commissions trade costs of $5.00
4/28/22 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 607 53.17 4/29 15:59 47.23 13.61%
Trade id #140304601
Max drawdown($3,666)
Time4/29/22 15:58
Quant open607
Worst price47.13
Drawdown as % of equity-13.61%
($3,611)
Includes Typical Broker Commissions trade costs of $5.00
4/21/22 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 648 57.71 4/27 15:59 49.75 19.28%
Trade id #140219425
Max drawdown($5,786)
Time4/27/22 10:32
Quant open648
Worst price48.78
Drawdown as % of equity-19.28%
($5,163)
Includes Typical Broker Commissions trade costs of $5.00
4/12/22 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 633 58.03 4/19 15:59 59.10 2.23%
Trade id #140116847
Max drawdown($759)
Time4/18/22 0:00
Quant open633
Worst price56.83
Drawdown as % of equity-2.23%
$666
Includes Typical Broker Commissions trade costs of $8.83
4/4/22 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 590 63.47 4/7 15:59 62.20 5.88%
Trade id #140023478
Max drawdown($1,971)
Time4/7/22 12:50
Quant open590
Worst price60.13
Drawdown as % of equity-5.88%
($758)
Includes Typical Broker Commissions trade costs of $8.40
3/30/22 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 287 66.49 4/1 15:59 64.19 3.25%
Trade id #139972443
Max drawdown($1,133)
Time4/1/22 13:22
Quant open287
Worst price62.54
Drawdown as % of equity-3.25%
($666)
Includes Typical Broker Commissions trade costs of $5.74
3/25/22 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 555 64.80 3/29 15:59 67.85 0.95%
Trade id #139925884
Max drawdown($323)
Time3/28/22 0:00
Quant open284
Worst price63.03
Drawdown as % of equity-0.95%
$1,682
Includes Typical Broker Commissions trade costs of $8.05
3/22/22 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 289 62.93 3/24 15:59 63.15 2.08%
Trade id #139879833
Max drawdown($708)
Time3/23/22 0:00
Quant open289
Worst price60.48
Drawdown as % of equity-2.08%
$58
Includes Typical Broker Commissions trade costs of $5.78
3/15/22 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 319 53.05 3/18 15:59 60.90 0.3%
Trade id #139794862
Max drawdown($95)
Time3/16/22 0:00
Quant open319
Worst price52.75
Drawdown as % of equity-0.30%
$2,498
Includes Typical Broker Commissions trade costs of $6.38
3/3/22 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 974 55.09 3/9 15:59 53.30 11.9%
Trade id #139636421
Max drawdown($3,708)
Time3/8/22 0:00
Quant open658
Worst price49.45
Drawdown as % of equity-11.90%
($1,756)
Includes Typical Broker Commissions trade costs of $15.76
2/24/22 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 316 54.71 2/28 15:59 57.95 0.13%
Trade id #139537786
Max drawdown($42)
Time2/25/22 0:00
Quant open316
Worst price54.58
Drawdown as % of equity-0.13%
$1,018
Includes Typical Broker Commissions trade costs of $6.32
2/18/22 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 316 57.04 2/23 15:59 52.28 4.64%
Trade id #139458204
Max drawdown($1,548)
Time2/23/22 15:50
Quant open316
Worst price52.14
Drawdown as % of equity-4.64%
($1,510)
Includes Typical Broker Commissions trade costs of $6.32
2/14/22 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 620 59.34 2/17 15:59 58.29 2.35%
Trade id #139388581
Max drawdown($806)
Time2/17/22 15:53
Quant open620
Worst price58.04
Drawdown as % of equity-2.35%
($656)
Includes Typical Broker Commissions trade costs of $5.00
2/8/22 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 562 64.39 2/10 15:59 65.41 1.37%
Trade id #139311066
Max drawdown($477)
Time2/10/22 15:50
Quant open279
Worst price62.68
Drawdown as % of equity-1.37%
$564
Includes Typical Broker Commissions trade costs of $8.12
1/27/22 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 588 56.74 2/3 15:59 61.58 2.64%
Trade id #139135315
Max drawdown($829)
Time1/28/22 0:00
Quant open588
Worst price55.33
Drawdown as % of equity-2.64%
$2,836
Includes Typical Broker Commissions trade costs of $8.38
1/13/22 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 838 66.90 1/26 15:59 60.91 26.14%
Trade id #138946912
Max drawdown($8,301)
Time1/24/22 0:00
Quant open573
Worst price52.41
Drawdown as % of equity-26.14%
($5,032)
Includes Typical Broker Commissions trade costs of $13.85
1/11/22 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 129 147.17 1/12 15:59 148.23 0.22%
Trade id #138910299
Max drawdown($81)
Time1/12/22 11:17
Quant open129
Worst price146.54
Drawdown as % of equity-0.22%
$134
Includes Typical Broker Commissions trade costs of $2.58
1/4/22 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 267 149.36 1/10 15:59 143.49 10.36%
Trade id #138818038
Max drawdown($3,795)
Time1/10/22 10:49
Quant open267
Worst price135.14
Drawdown as % of equity-10.36%
($1,571)
Includes Typical Broker Commissions trade costs of $5.34
12/22/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 262 146.02 12/28 15:59 151.51 n/a $1,432
Includes Typical Broker Commissions trade costs of $5.24
12/21/21 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 140 137.81 12/21 15:59 141.83 0.8%
Trade id #138650932
Max drawdown($289)
Time12/21/21 10:38
Quant open140
Worst price135.74
Drawdown as % of equity-0.80%
$560
Includes Typical Broker Commissions trade costs of $2.80
12/7/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 128 145.59 12/10 15:59 147.94 0.69%
Trade id #138497849
Max drawdown($249)
Time12/9/21 0:00
Quant open128
Worst price143.64
Drawdown as % of equity-0.69%
$298
Includes Typical Broker Commissions trade costs of $2.56
12/3/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 138 132.58 12/6 15:59 136.97 0.01%
Trade id #138456105
Max drawdown($4)
Time12/6/21 9:38
Quant open138
Worst price132.55
Drawdown as % of equity-0.01%
$603
Includes Typical Broker Commissions trade costs of $2.76
11/26/21 12:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 278 136.55 12/2 15:59 132.97 5.21%
Trade id #138357251
Max drawdown($1,866)
Time12/1/21 0:00
Quant open278
Worst price129.84
Drawdown as % of equity-5.21%
($1,003)
Includes Typical Broker Commissions trade costs of $5.56
11/23/21 15:55 UPRO PROSHARES ULTRAPRO S&P500 LONG 128 146.61 11/24 15:59 147.70 1.01%
Trade id #138319293
Max drawdown($363)
Time11/24/21 9:47
Quant open128
Worst price143.77
Drawdown as % of equity-1.01%
$137
Includes Typical Broker Commissions trade costs of $2.56
11/8/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 388 146.43 11/22 15:59 145.99 4.07%
Trade id #138121155
Max drawdown($1,476)
Time11/10/21 0:00
Quant open258
Worst price141.00
Drawdown as % of equity-4.07%
($179)
Includes Typical Broker Commissions trade costs of $7.76
11/3/21 9:30 UPRO PROSHARES ULTRAPRO S&P500 LONG 257 142.89 11/5 15:59 147.12 0.15%
Trade id #138056387
Max drawdown($53)
Time11/3/21 10:05
Quant open130
Worst price140.04
Drawdown as % of equity-0.15%
$1,083
Includes Typical Broker Commissions trade costs of $5.14
10/27/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 397 135.52 11/1 15:59 138.79 n/a $1,292
Includes Typical Broker Commissions trade costs of $7.94
10/27/21 13:34 UPRO PROSHARES ULTRAPRO S&P500 SHORT 131 136.35 10/27 13:36 136.38 0.01%
Trade id #137979803
Max drawdown($4)
Time10/27/21 13:36
Quant open131
Worst price136.38
Drawdown as % of equity-0.01%
($7)
Includes Typical Broker Commissions trade costs of $2.62
10/6/21 15:59 UPRO PROSHARES ULTRAPRO S&P500 LONG 532 124.13 10/27 9:30 130.60 1.27%
Trade id #137699273
Max drawdown($388)
Time10/13/21 0:00
Quant open135
Worst price115.31
Drawdown as % of equity-1.27%
$3,431
Includes Typical Broker Commissions trade costs of $10.64

Statistics

  • Strategy began
    3/21/2021
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    424.87
  • Age
    14 months ago
  • What it trades
    Stocks
  • # Trades
    64
  • # Profitable
    35
  • % Profitable
    54.70%
  • Avg trade duration
    4.4 days
  • Max peak-to-valley drawdown
    49.51%
  • drawdown period
    Dec 28, 2021 - May 20, 2022
  • Annual Return (Compounded)
    -19.9%
  • Avg win
    $953.23
  • Avg loss
    $1,253
  • Model Account Values (Raw)
  • Cash
    $14,587
  • Margin Used
    $0
  • Buying Power
    $12,178
  • Ratios
  • W:L ratio
    0.92:1
  • Sharpe Ratio
    -0.58
  • Sortino Ratio
    -0.72
  • Calmar Ratio
    -0.198
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -21.07%
  • Correlation to SP500
    0.54820
  • Return Percent SP500 (cumu) during strategy life
    -1.11%
  • Return Statistics
  • Ann Return (w trading costs)
    -19.9%
  • Slump
  • Current Slump as Pcnt Equity
    98.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.34%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.199%
  • 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
    98.50%
  • Chance of 20% account loss
    61.00%
  • Chance of 30% account loss
    21.50%
  • Chance of 40% account loss
    2.00%
  • 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
    98.40%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    807
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    698
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,253
  • Avg Win
    $953
  • Sum Trade PL (losers)
    $36,346.000
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $33,363.000
  • # Winners
    35
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    34
  • Win / Loss
  • # Losers
    29
  • % Winners
    54.7%
  • Frequency
  • Avg Position Time (mins)
    6353.13
  • Avg Position Time (hrs)
    105.89
  • Avg Trade Length
    4.4 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.34
  • Daily leverage (max)
    3.87
  • Regression
  • Alpha
    -0.05
  • Beta
    0.86
  • Treynor Index
    -0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.32
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    -7.623
  • 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
    0.07
  • Avg(MAE) / Avg(PL) - Winning trades
    0.411
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.578
  • Hold-and-Hope Ratio
    -0.158
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32261
  • SD
    0.20601
  • Sharpe ratio (Glass type estimate)
    1.56598
  • Sharpe ratio (Hedges UMVUE)
    1.46567
  • df
    12.00000
  • t
    1.62993
  • p
    0.28713
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44552
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.51935
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50659
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.43793
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.42494
  • Upside Potential Ratio
    5.61042
  • Upside part of mean
    0.40904
  • Downside part of mean
    -0.08643
  • Upside SD
    0.20623
  • Downside SD
    0.07291
  • N nonnegative terms
    10.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.05278
  • Mean of criterion
    0.32261
  • SD of predictor
    0.11408
  • SD of criterion
    0.20601
  • Covariance
    0.01878
  • r
    0.79910
  • b (slope, estimate of beta)
    1.44299
  • a (intercept, estimate of alpha)
    0.24644
  • Mean Square Error
    0.01673
  • DF error
    11.00000
  • t(b)
    4.40839
  • p(b)
    0.00052
  • t(a)
    1.96398
  • p(a)
    0.03765
  • Lowerbound of 95% confidence interval for beta
    0.72255
  • Upperbound of 95% confidence interval for beta
    2.16344
  • Lowerbound of 95% confidence interval for alpha
    -0.02974
  • Upperbound of 95% confidence interval for alpha
    0.52262
  • Treynor index (mean / b)
    0.22357
  • Jensen alpha (a)
    0.24644
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29971
  • SD
    0.19550
  • Sharpe ratio (Glass type estimate)
    1.53302
  • Sharpe ratio (Hedges UMVUE)
    1.43482
  • df
    12.00000
  • t
    1.59562
  • p
    0.29082
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47396
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.48281
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53380
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.40344
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.97208
  • Upside Potential Ratio
    5.15168
  • Upside part of mean
    0.38871
  • Downside part of mean
    -0.08901
  • Upside SD
    0.19254
  • Downside SD
    0.07545
  • N nonnegative terms
    10.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.04659
  • Mean of criterion
    0.29971
  • SD of predictor
    0.11381
  • SD of criterion
    0.19550
  • Covariance
    0.01785
  • r
    0.80237
  • b (slope, estimate of beta)
    1.37829
  • a (intercept, estimate of alpha)
    0.23550
  • Mean Square Error
    0.01485
  • DF error
    11.00000
  • t(b)
    4.45883
  • p(b)
    0.00048
  • t(a)
    1.99627
  • p(a)
    0.03563
  • Lowerbound of 95% confidence interval for beta
    0.69793
  • Upperbound of 95% confidence interval for beta
    2.05865
  • Lowerbound of 95% confidence interval for alpha
    -0.02415
  • Upperbound of 95% confidence interval for alpha
    0.49515
  • Treynor index (mean / b)
    0.21745
  • Jensen alpha (a)
    0.23550
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06560
  • Expected Shortfall on VaR
    0.08718
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00885
  • Expected Shortfall on VaR
    0.02283
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.92833
  • Quartile 1
    1.00434
  • Median
    1.01387
  • Quartile 3
    1.04107
  • Maximum
    1.17907
  • Mean of quarter 1
    0.97942
  • Mean of quarter 2
    1.01340
  • Mean of quarter 3
    1.02767
  • Mean of quarter 4
    1.11295
  • Inter Quartile Range
    0.03673
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.07692
  • Mean of outliers low
    0.92833
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    1.17907
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -6.18435
  • VaR(95%) (moments method)
    0.00420
  • Expected Shortfall (moments method)
    0.00421
  • Extreme Value Index (regression method)
    1.10299
  • VaR(95%) (regression method)
    0.06253
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.07288
  • Quartile 1
    0.07288
  • Median
    0.07288
  • Quartile 3
    0.07288
  • Maximum
    0.07288
  • 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)
    0.39329
  • Compounded annual return (geometric extrapolation)
    0.38766
  • Calmar ratio (compounded annual return / max draw down)
    5.31904
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    4.44650
  • 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
    -0.08653
  • SD
    0.25142
  • Sharpe ratio (Glass type estimate)
    -0.34416
  • Sharpe ratio (Hedges UMVUE)
    -0.34331
  • df
    303.00000
  • t
    -0.37072
  • p
    0.64445
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.16365
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.47585
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.16305
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.47644
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.43673
  • Upside Potential Ratio
    6.45359
  • Upside part of mean
    1.27863
  • Downside part of mean
    -1.36516
  • Upside SD
    0.15420
  • Downside SD
    0.19813
  • N nonnegative terms
    158.00000
  • N negative terms
    146.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    304.00000
  • Mean of predictor
    -0.03458
  • Mean of criterion
    -0.08653
  • SD of predictor
    0.17210
  • SD of criterion
    0.25142
  • Covariance
    0.02453
  • r
    0.56685
  • b (slope, estimate of beta)
    0.82810
  • a (intercept, estimate of alpha)
    -0.05800
  • Mean Square Error
    0.04304
  • DF error
    302.00000
  • t(b)
    11.95730
  • p(b)
    0.00000
  • t(a)
    -0.30057
  • p(a)
    0.61802
  • Lowerbound of 95% confidence interval for beta
    0.69181
  • Upperbound of 95% confidence interval for beta
    0.96438
  • Lowerbound of 95% confidence interval for alpha
    -0.43694
  • Upperbound of 95% confidence interval for alpha
    0.32115
  • Treynor index (mean / b)
    -0.10449
  • Jensen alpha (a)
    -0.05789
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11842
  • SD
    0.25373
  • Sharpe ratio (Glass type estimate)
    -0.46673
  • Sharpe ratio (Hedges UMVUE)
    -0.46557
  • df
    303.00000
  • t
    -0.50275
  • p
    0.69225
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.28628
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35356
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.28549
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35435
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.58437
  • Upside Potential Ratio
    6.25136
  • Upside part of mean
    1.26682
  • Downside part of mean
    -1.38524
  • Upside SD
    0.15216
  • Downside SD
    0.20265
  • N nonnegative terms
    158.00000
  • N negative terms
    146.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    304.00000
  • Mean of predictor
    -0.04939
  • Mean of criterion
    -0.11842
  • SD of predictor
    0.17260
  • SD of criterion
    0.25373
  • Covariance
    0.02484
  • r
    0.56719
  • b (slope, estimate of beta)
    0.83378
  • a (intercept, estimate of alpha)
    -0.07724
  • Mean Square Error
    0.04381
  • DF error
    302.00000
  • t(b)
    11.96810
  • p(b)
    0.00000
  • t(a)
    -0.39742
  • p(a)
    0.65433
  • Lowerbound of 95% confidence interval for beta
    0.69669
  • Upperbound of 95% confidence interval for beta
    0.97088
  • Lowerbound of 95% confidence interval for alpha
    -0.45968
  • Upperbound of 95% confidence interval for alpha
    0.30521
  • Treynor index (mean / b)
    -0.14203
  • Jensen alpha (a)
    -0.07724
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02589
  • Expected Shortfall on VaR
    0.03224
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01155
  • Expected Shortfall on VaR
    0.02412
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    304.00000
  • Minimum
    0.91293
  • Quartile 1
    0.99466
  • Median
    1.00034
  • Quartile 3
    1.00720
  • Maximum
    1.05666
  • Mean of quarter 1
    0.98045
  • Mean of quarter 2
    0.99893
  • Mean of quarter 3
    1.00322
  • Mean of quarter 4
    1.01651
  • Inter Quartile Range
    0.01254
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.05921
  • Mean of outliers low
    0.95999
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.02961
  • Mean of outliers high
    1.03575
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09205
  • VaR(95%) (moments method)
    0.01553
  • Expected Shortfall (moments method)
    0.02303
  • Extreme Value Index (regression method)
    0.15645
  • VaR(95%) (regression method)
    0.02055
  • Expected Shortfall (regression method)
    0.03317
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00023
  • Quartile 1
    0.00368
  • Median
    0.02310
  • Quartile 3
    0.04378
  • Maximum
    0.43655
  • Mean of quarter 1
    0.00146
  • Mean of quarter 2
    0.01523
  • Mean of quarter 3
    0.03363
  • Mean of quarter 4
    0.15610
  • Inter Quartile Range
    0.04009
  • 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
    0.05882
  • Mean of outliers high
    0.43655
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.86329
  • VaR(95%) (moments method)
    0.16235
  • Expected Shortfall (moments method)
    1.17774
  • Extreme Value Index (regression method)
    1.86029
  • VaR(95%) (regression method)
    0.19511
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.08592
  • Compounded annual return (geometric extrapolation)
    -0.08654
  • Calmar ratio (compounded annual return / max draw down)
    -0.19823
  • Compounded annual return / average of 25% largest draw downs
    -0.55440
  • Compounded annual return / Expected Shortfall lognormal
    -2.68440
  • 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
    -1.02845
  • SD
    0.31611
  • Sharpe ratio (Glass type estimate)
    -3.25349
  • Sharpe ratio (Hedges UMVUE)
    -3.23468
  • df
    130.00000
  • t
    -2.30056
  • p
    0.59889
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.04727
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.44764
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.03424
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43513
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.69778
  • Upside Potential Ratio
    4.27055
  • Upside part of mean
    1.18775
  • Downside part of mean
    -2.21619
  • Upside SD
    0.16076
  • Downside SD
    0.27813
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.40588
  • Mean of criterion
    -1.02845
  • SD of predictor
    0.22836
  • SD of criterion
    0.31611
  • Covariance
    0.03994
  • r
    0.55336
  • b (slope, estimate of beta)
    0.76600
  • a (intercept, estimate of alpha)
    -0.71754
  • Mean Square Error
    0.06986
  • DF error
    129.00000
  • t(b)
    7.54558
  • p(b)
    0.16663
  • t(a)
    -1.90804
  • p(a)
    0.60499
  • Lowerbound of 95% confidence interval for beta
    0.56514
  • Upperbound of 95% confidence interval for beta
    0.96685
  • Lowerbound of 95% confidence interval for alpha
    -1.46159
  • Upperbound of 95% confidence interval for alpha
    0.02651
  • Treynor index (mean / b)
    -1.34263
  • Jensen alpha (a)
    -0.71754
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.08097
  • SD
    0.32043
  • Sharpe ratio (Glass type estimate)
    -3.37349
  • Sharpe ratio (Hedges UMVUE)
    -3.35399
  • df
    130.00000
  • t
    -2.38542
  • p
    0.60239
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.16913
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.56530
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.15562
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55237
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.79109
  • Upside Potential Ratio
    4.12075
  • Upside part of mean
    1.17497
  • Downside part of mean
    -2.25593
  • Upside SD
    0.15827
  • Downside SD
    0.28513
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.43217
  • Mean of criterion
    -1.08097
  • SD of predictor
    0.22909
  • SD of criterion
    0.32043
  • Covariance
    0.04061
  • r
    0.55326
  • b (slope, estimate of beta)
    0.77383
  • a (intercept, estimate of alpha)
    -0.74655
  • Mean Square Error
    0.07180
  • DF error
    129.00000
  • t(b)
    7.54350
  • p(b)
    0.16668
  • t(a)
    -1.95673
  • p(a)
    0.60756
  • VAR (95 Confidence Intrvl)
    0.02600
  • Lowerbound of 95% confidence interval for beta
    0.57087
  • Upperbound of 95% confidence interval for beta
    0.97679
  • Lowerbound of 95% confidence interval for alpha
    -1.50141
  • Upperbound of 95% confidence interval for alpha
    0.00832
  • Treynor index (mean / b)
    -1.39691
  • Jensen alpha (a)
    -0.74655
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03602
  • Expected Shortfall on VaR
    0.04394
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02120
  • Expected Shortfall on VaR
    0.04058
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91293
  • Quartile 1
    0.98728
  • Median
    1.00000
  • Quartile 3
    1.00572
  • Maximum
    1.05666
  • Mean of quarter 1
    0.97064
  • Mean of quarter 2
    0.99602
  • Mean of quarter 3
    1.00164
  • Mean of quarter 4
    1.01659
  • Inter Quartile Range
    0.01844
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.94195
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.04596
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08511
  • VaR(95%) (moments method)
    0.02869
  • Expected Shortfall (moments method)
    0.04024
  • Extreme Value Index (regression method)
    0.03795
  • VaR(95%) (regression method)
    0.03252
  • Expected Shortfall (regression method)
    0.04551
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01138
  • Quartile 1
    0.02758
  • Median
    0.04378
  • Quartile 3
    0.24016
  • Maximum
    0.43655
  • Mean of quarter 1
    0.01138
  • Mean of quarter 2
    0.04378
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.43655
  • Inter Quartile Range
    0.21258
  • 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
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -314429000
  • Max Equity Drawdown (num days)
    143
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.81870
  • Compounded annual return (geometric extrapolation)
    -0.65113
  • Calmar ratio (compounded annual return / max draw down)
    -1.49154
  • Compounded annual return / average of 25% largest draw downs
    -1.49154
  • Compounded annual return / Expected Shortfall lognormal
    -14.81920

Strategy Description

Dear Prospective Trader,

Thank you for checking out my strategy!

Resilient Investments is a 100% automated trading strategy that uses the 3x leveraged S&P 500 ETF, UPRO. A nearest-neighbor algorithm is used to predict the close-to-close change of the S&P 500 index on a daily basis using historical time-series data. Just before market close, a prediction of the market’s next day returns is performed to determine whether to increase, decrease, or remain at the current leverage points. The basic philosophy of the strategy (as with most machine learning techniques) is to “do what would’ve worked best, given historically similar conditions.” The optimization goal was to maximize daily Sharpe ratio performance while yielding a daily volatility that is twice the volatility of the S&P 500 index.

The high volume ETF UPRO (3x S&P 500 Index) is used to achieve the desired leverage. By varying the total proportion of investment into this fund, the account leverage against the S&P 500 index is varied from 0% to +300% in increments of 150%. This strategy was backtested and optimized using almost 30 years of S&P 500 index data. The use of a long-term data set ensures a generalized approach is applied for the various market conditions of the future. All trades are performed using an automated system which interfaces with the Collective 2 API through MATLAB scripts.

A few important notes about this strategy:
* Automation is highly recommended since trade timing is important maintaining the accuracy to the strategy. Trades are placed 15-20 seconds before market close each day, so it is essential that the user employs an automated trading capability which can receive and act upon the signals broadcasted through Collective2.
* No stops/limits are employed.
* This strategy places a maximum of one trade per day just before market close. Trades may be placed daily or the strategy may hold the current position for several days and not place a trade.

Summary Statistics

Strategy began
2021-03-21
Suggested Minimum Capital
$15,000
# Trades
64
# Profitable
35
% Profitable
54.7%
Net Dividends
Correlation S&P500
0.548
Sharpe Ratio
-0.58
Sortino Ratio
-0.72
Beta
0.86
Alpha
-0.05
Leverage
2.34 Average
3.87 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

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.