Collective2 Collective2
C2Star Strategy Better do now Followed by live capital $392,000 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast More...

Leveraged ETF Trading
(141736700)

Created by: BlackBoulderTrading BlackBoulderTrading
Started: 09/2022
Stocks
Last trade: 7 days ago
Trading style: Equity Trend-following Sector: Technology

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 $50.00 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.
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
80.2%
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.

(53.6%)
Max Drawdown
62
Num Trades
74.2%
Win Trades
2.5 : 1
Profit Factor
61.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                        (0.2%)(5.7%)(5.2%)+19.0%+6.2%
2023(14.5%)+1.5%+45.5%(2.2%)+5.0%+23.0%+0.7%+8.2%+0.5%                  +74.6%

Model Account Details

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

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

System developer has asked us to delay this information by 72 hours.

Trading Record

This strategy has placed 83 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/11/23 13:41 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,983 41.13 9/15 10:54 40.45 2.81%
Trade id #145789940
Max drawdown($2,516)
Time9/15/23 10:53
Quant open2,238
Worst price40.01
Drawdown as % of equity-2.81%
 ($2,072)
Includes Typical Broker Commissions trade costs of $24.94
9/7/23 14:32 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,700 18.66 9/11 13:38 17.98 1.27%
Trade id #145763360
Max drawdown($1,165)
Time9/11/23 13:37
Quant open1,700
Worst price17.97
Drawdown as % of equity-1.27%
 ($1,162)
Includes Typical Broker Commissions trade costs of $5.00
9/6/23 10:03 NVDS AXS 1.25X NVDA BEAR DAILY ETF LONG 900 35.71 9/7 13:47 37.19 n/a $1,324
Includes Typical Broker Commissions trade costs of $5.00
9/6/23 12:05 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,650 18.23 9/7 13:46 18.62 0.12%
Trade id #145750433
Max drawdown($107)
Time9/6/23 15:59
Quant open1,650
Worst price18.16
Drawdown as % of equity-0.12%
 $647
Includes Typical Broker Commissions trade costs of $5.00
8/29/23 11:08 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,906 41.49 9/6 10:00 41.87 n/a $1,091
Includes Typical Broker Commissions trade costs of $15.00
8/24/23 12:02 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 3,168 19.88 8/29 10:30 18.57 4.59%
Trade id #145630496
Max drawdown($4,231)
Time8/29/23 10:30
Quant open3,168
Worst price18.54
Drawdown as % of equity-4.59%
 ($4,160)
Includes Typical Broker Commissions trade costs of $7.50
8/22/23 15:08 FAS DIREXION DAILY FINANCIAL BULL LONG 1,000 62.77 8/24 10:09 64.79 0.37%
Trade id #145606812
Max drawdown($343)
Time8/22/23 15:42
Quant open500
Worst price61.40
Drawdown as % of equity-0.37%
 $2,006
Includes Typical Broker Commissions trade costs of $12.50
8/21/23 11:23 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,500 20.61 8/23 13:28 18.93 2.74%
Trade id #145591197
Max drawdown($2,527)
Time8/23/23 13:26
Quant open1,500
Worst price18.93
Drawdown as % of equity-2.74%
 ($2,530)
Includes Typical Broker Commissions trade costs of $5.00
8/18/23 14:09 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,260 36.34 8/21 9:51 37.28 0.25%
Trade id #145575641
Max drawdown($236)
Time8/18/23 14:12
Quant open1,260
Worst price36.15
Drawdown as % of equity-0.25%
 $1,181
Includes Typical Broker Commissions trade costs of $5.00
8/18/23 13:25 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,460 21.23 8/18 14:54 20.89 0.73%
Trade id #145575357
Max drawdown($678)
Time8/18/23 14:40
Quant open1,460
Worst price20.76
Drawdown as % of equity-0.73%
 ($501)
Includes Typical Broker Commissions trade costs of $5.00
8/18/23 9:34 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,285 35.82 8/18 13:14 36.11 0.35%
Trade id #145571109
Max drawdown($328)
Time8/18/23 10:30
Quant open1,285
Worst price35.56
Drawdown as % of equity-0.35%
 $372
Includes Typical Broker Commissions trade costs of $7.50
8/11/23 11:36 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,280 19.70 8/18 10:26 21.25 2.17%
Trade id #145505645
Max drawdown($1,938)
Time8/14/23 0:00
Quant open2,280
Worst price18.84
Drawdown as % of equity-2.17%
 $3,548
Includes Typical Broker Commissions trade costs of $7.50
8/11/23 10:15 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,500 39.40 8/11 11:27 38.84 1.08%
Trade id #145504565
Max drawdown($974)
Time8/11/23 11:25
Quant open1,500
Worst price38.75
Drawdown as % of equity-1.08%
 ($857)
Includes Typical Broker Commissions trade costs of $10.00
8/9/23 14:13 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,432 18.88 8/11 10:07 19.47 1.06%
Trade id #145485199
Max drawdown($952)
Time8/10/23 0:00
Quant open1,432
Worst price18.21
Drawdown as % of equity-1.06%
 $847
Includes Typical Broker Commissions trade costs of $5.00
8/9/23 13:16 SQQQ PROSHARES ULTRAPRO SHORT QQQ SHORT 10 18.98 8/9 13:17 18.98 n/a $0
Includes Typical Broker Commissions trade costs of $0.20
8/7/23 13:43 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 3,160 18.48 8/9 13:16 18.91 0.39%
Trade id #145462710
Max drawdown($346)
Time8/7/23 15:56
Quant open1,580
Worst price18.10
Drawdown as % of equity-0.39%
 $1,352
Includes Typical Broker Commissions trade costs of $10.00
8/7/23 12:04 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,000 41.58 8/7 13:41 41.74 0.2%
Trade id #145461465
Max drawdown($175)
Time8/7/23 12:40
Quant open1,000
Worst price41.40
Drawdown as % of equity-0.20%
 $161
Includes Typical Broker Commissions trade costs of $5.00
8/4/23 9:31 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 2,090 18.08 8/7 12:00 18.39 0.18%
Trade id #145429900
Max drawdown($159)
Time8/4/23 12:45
Quant open540
Worst price17.69
Drawdown as % of equity-0.18%
 $626
Includes Typical Broker Commissions trade costs of $10.00
8/3/23 12:33 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,300 42.22 8/4 9:30 42.38 1%
Trade id #145420288
Max drawdown($868)
Time8/3/23 16:00
Quant open1,300
Worst price41.55
Drawdown as % of equity-1.00%
 $203
Includes Typical Broker Commissions trade costs of $7.50
7/24/23 15:44 SDOW PROSHARES ULTRAPRO SHORT DOW30 LONG 7,200 21.96 8/3 12:32 22.30 1.6%
Trade id #145308759
Max drawdown($1,362)
Time8/1/23 0:00
Quant open3,600
Worst price21.58
Drawdown as % of equity-1.60%
 $2,413
Includes Typical Broker Commissions trade costs of $20.00
7/20/23 10:00 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 4,700 17.02 7/24 9:50 17.99 n/a $4,534
Includes Typical Broker Commissions trade costs of $5.00
7/6/23 12:24 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 2,600 10.95 7/12 15:40 9.44 4.98%
Trade id #145134879
Max drawdown($4,022)
Time7/12/23 15:14
Quant open2,600
Worst price9.40
Drawdown as % of equity-4.98%
 ($3,924)
Includes Typical Broker Commissions trade costs of $5.00
7/5/23 14:33 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 5,000 14.04 7/5 15:02 13.97 0.44%
Trade id #145124256
Max drawdown($375)
Time7/5/23 15:00
Quant open5,000
Worst price13.97
Drawdown as % of equity-0.44%
 ($355)
Includes Typical Broker Commissions trade costs of $5.00
7/5/23 13:50 SPXL DIREXION DAILY S&P500 BULL 3X LONG 900 89.97 7/5 14:23 89.42 0.64%
Trade id #145123833
Max drawdown($545)
Time7/5/23 14:22
Quant open900
Worst price89.36
Drawdown as % of equity-0.64%
 ($496)
Includes Typical Broker Commissions trade costs of $5.00
7/5/23 9:33 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,000 41.02 7/5 10:01 41.43 n/a $824
Includes Typical Broker Commissions trade costs of $5.00
6/29/23 10:16 TQQQ PROSHARES ULTRAPRO QQQ LONG 2,000 39.02 6/30 9:31 40.42 0.85%
Trade id #145064645
Max drawdown($695)
Time6/29/23 10:46
Quant open2,000
Worst price38.67
Drawdown as % of equity-0.85%
 $2,800
Includes Typical Broker Commissions trade costs of $5.00
6/28/23 12:33 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,300 19.68 6/28 13:29 19.70 0.04%
Trade id #145056092
Max drawdown($32)
Time6/28/23 12:36
Quant open1,300
Worst price19.65
Drawdown as % of equity-0.04%
 $30
Includes Typical Broker Commissions trade costs of $5.00
6/27/23 10:48 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,200 20.55 6/27 13:34 19.85 1.04%
Trade id #145042690
Max drawdown($846)
Time6/27/23 13:32
Quant open1,200
Worst price19.84
Drawdown as % of equity-1.04%
 ($839)
Includes Typical Broker Commissions trade costs of $5.00
6/26/23 13:40 FAS DIREXION DAILY FINANCIAL BULL LONG 450 58.66 6/27 10:27 58.82 0.36%
Trade id #145034104
Max drawdown($295)
Time6/26/23 15:57
Quant open450
Worst price58.00
Drawdown as % of equity-0.36%
 $63
Includes Typical Broker Commissions trade costs of $9.00
6/26/23 13:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 700 37.90 6/26 14:47 38.01 0.21%
Trade id #145034047
Max drawdown($175)
Time6/26/23 14:00
Quant open700
Worst price37.65
Drawdown as % of equity-0.21%
 $72
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    9/11/2022
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    379.53
  • Age
    13 months ago
  • What it trades
    Stocks
  • # Trades
    62
  • # Profitable
    46
  • % Profitable
    74.20%
  • Avg trade duration
    6.6 days
  • Max peak-to-valley drawdown
    53.63%
  • drawdown period
    Aug 25, 2023 - Sept 25, 2023
  • Annual Return (Compounded)
    80.2%
  • Avg win
    $1,580
  • Avg loss
    $1,833
  • Model Account Values (Raw)
  • Cash
    $57,072
  • Margin Used
    $0
  • Buying Power
    $60,360
  • Ratios
  • W:L ratio
    2.54:1
  • Sharpe Ratio
    1.53
  • Sortino Ratio
    2.96
  • Calmar Ratio
    4.055
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    78.75%
  • Correlation to SP500
    -0.30400
  • Return Percent SP500 (cumu) during strategy life
    6.64%
  • Return Statistics
  • Ann Return (w trading costs)
    80.2%
  • Slump
  • Current Slump as Pcnt Equity
    3.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.08%
  • 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)
    0.802%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    83.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    58.00%
  • Chance of 20% account loss
    53.50%
  • Chance of 30% account loss
    43.50%
  • Chance of 40% account loss
    35.50%
  • Chance of 60% account loss (Monte Carlo)
    4.00%
  • 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
    23.50%
  • Popularity
  • Popularity (Today)
    924
  • Popularity (Last 6 weeks)
    997
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    986
  • Popularity (7 days, Percentile 1000 scale)
    979
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,834
  • Avg Win
    $1,581
  • Sum Trade PL (losers)
    $29,339.000
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $72,712.000
  • # Winners
    46
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    846
  • AUM
  • AUM (AutoTrader live capital)
    281330
  • Win / Loss
  • # Losers
    16
  • % Winners
    74.2%
  • Frequency
  • Avg Position Time (mins)
    9477.05
  • Avg Position Time (hrs)
    157.95
  • Avg Trade Length
    6.6 days
  • Last Trade Ago
    6
  • Leverage
  • Daily leverage (average)
    2.37
  • Daily leverage (max)
    3.64
  • Regression
  • Alpha
    0.18
  • Beta
    -0.62
  • Treynor Index
    -0.28
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.76
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    2.735
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.809
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.318
  • Hold-and-Hope Ratio
    0.361
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.92390
  • SD
    0.67407
  • Sharpe ratio (Glass type estimate)
    1.37064
  • Sharpe ratio (Hedges UMVUE)
    1.25259
  • df
    9.00000
  • t
    1.25121
  • p
    0.12120
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89965
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.57197
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.97105
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.47623
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.16935
  • Upside Potential Ratio
    6.02236
  • Upside part of mean
    1.33451
  • Downside part of mean
    -0.41062
  • Upside SD
    0.65647
  • Downside SD
    0.22159
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.09408
  • Mean of criterion
    0.92390
  • SD of predictor
    0.17331
  • SD of criterion
    0.67407
  • Covariance
    -0.01884
  • r
    -0.16124
  • b (slope, estimate of beta)
    -0.62713
  • a (intercept, estimate of alpha)
    0.98290
  • Mean Square Error
    0.49787
  • DF error
    8.00000
  • t(b)
    -0.46212
  • p(b)
    0.67185
  • t(a)
    1.25463
  • p(a)
    0.12251
  • Lowerbound of 95% confidence interval for beta
    -3.75658
  • Upperbound of 95% confidence interval for beta
    2.50232
  • Lowerbound of 95% confidence interval for alpha
    -0.82367
  • Upperbound of 95% confidence interval for alpha
    2.78947
  • Treynor index (mean / b)
    -1.47321
  • Jensen alpha (a)
    0.98290
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72537
  • SD
    0.59139
  • Sharpe ratio (Glass type estimate)
    1.22656
  • Sharpe ratio (Hedges UMVUE)
    1.12092
  • df
    9.00000
  • t
    1.11969
  • p
    0.14592
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.02320
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.41369
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08767
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.32952
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.03230
  • Upside Potential Ratio
    4.85828
  • Upside part of mean
    1.16217
  • Downside part of mean
    -0.43680
  • Upside SD
    0.54899
  • Downside SD
    0.23921
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.07991
  • Mean of criterion
    0.72537
  • SD of predictor
    0.17485
  • SD of criterion
    0.59139
  • Covariance
    -0.01870
  • r
    -0.18087
  • b (slope, estimate of beta)
    -0.61175
  • a (intercept, estimate of alpha)
    0.77426
  • Mean Square Error
    0.38059
  • DF error
    8.00000
  • t(b)
    -0.52015
  • p(b)
    0.69148
  • t(a)
    1.13477
  • p(a)
    0.14466
  • Lowerbound of 95% confidence interval for beta
    -3.32383
  • Upperbound of 95% confidence interval for beta
    2.10034
  • Lowerbound of 95% confidence interval for alpha
    -0.79914
  • Upperbound of 95% confidence interval for alpha
    2.34765
  • Treynor index (mean / b)
    -1.18573
  • Jensen alpha (a)
    0.77426
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19777
  • Expected Shortfall on VaR
    0.25155
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06916
  • Expected Shortfall on VaR
    0.13295
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.82867
  • Quartile 1
    0.94322
  • Median
    1.04821
  • Quartile 3
    1.14704
  • Maximum
    1.51675
  • Mean of quarter 1
    0.89720
  • Mean of quarter 2
    1.00998
  • Mean of quarter 3
    1.09300
  • Mean of quarter 4
    1.29854
  • Inter Quartile Range
    0.20381
  • 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
    1.51675
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.41386
  • VaR(95%) (moments method)
    0.12823
  • Expected Shortfall (moments method)
    0.22636
  • Extreme Value Index (regression method)
    4.68901
  • VaR(95%) (regression method)
    0.42562
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.06952
  • Quartile 1
    0.07994
  • Median
    0.09036
  • Quartile 3
    0.13084
  • Maximum
    0.17133
  • Mean of quarter 1
    0.06952
  • Mean of quarter 2
    0.09036
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.17133
  • Inter Quartile Range
    0.05090
  • 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)
    1.04803
  • Compounded annual return (geometric extrapolation)
    1.12395
  • Calmar ratio (compounded annual return / max draw down)
    6.56028
  • Compounded annual return / average of 25% largest draw downs
    6.56028
  • Compounded annual return / Expected Shortfall lognormal
    4.46818
  • 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
    0.77141
  • SD
    0.43118
  • Sharpe ratio (Glass type estimate)
    1.78908
  • Sharpe ratio (Hedges UMVUE)
    1.78329
  • df
    232.00000
  • t
    1.68716
  • p
    0.04646
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.29755
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.87190
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30139
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.86797
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.83252
  • Upside Potential Ratio
    11.16640
  • Upside part of mean
    2.24759
  • Downside part of mean
    -1.47618
  • Upside SD
    0.38324
  • Downside SD
    0.20128
  • N nonnegative terms
    115.00000
  • N negative terms
    118.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    233.00000
  • Mean of predictor
    0.04970
  • Mean of criterion
    0.77141
  • SD of predictor
    0.18535
  • SD of criterion
    0.43118
  • Covariance
    -0.02755
  • r
    -0.34467
  • b (slope, estimate of beta)
    -0.80181
  • a (intercept, estimate of alpha)
    0.81100
  • Mean Square Error
    0.16454
  • DF error
    231.00000
  • t(b)
    -5.58055
  • p(b)
    1.00000
  • t(a)
    1.88580
  • p(a)
    0.03029
  • Lowerbound of 95% confidence interval for beta
    -1.08490
  • Upperbound of 95% confidence interval for beta
    -0.51872
  • Lowerbound of 95% confidence interval for alpha
    -0.03634
  • Upperbound of 95% confidence interval for alpha
    1.65887
  • Treynor index (mean / b)
    -0.96209
  • Jensen alpha (a)
    0.81126
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.68454
  • SD
    0.40796
  • Sharpe ratio (Glass type estimate)
    1.67797
  • Sharpe ratio (Hedges UMVUE)
    1.67254
  • df
    232.00000
  • t
    1.58239
  • p
    0.05746
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40775
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.76017
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41138
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.75647
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.33059
  • Upside Potential Ratio
    10.61340
  • Upside part of mean
    2.18139
  • Downside part of mean
    -1.49685
  • Upside SD
    0.35392
  • Downside SD
    0.20553
  • N nonnegative terms
    115.00000
  • N negative terms
    118.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    233.00000
  • Mean of predictor
    0.03255
  • Mean of criterion
    0.68454
  • SD of predictor
    0.18571
  • SD of criterion
    0.40796
  • Covariance
    -0.02641
  • r
    -0.34859
  • b (slope, estimate of beta)
    -0.76577
  • a (intercept, estimate of alpha)
    0.70946
  • Mean Square Error
    0.14684
  • DF error
    231.00000
  • t(b)
    -5.65269
  • p(b)
    1.00000
  • t(a)
    1.74587
  • p(a)
    0.04108
  • Lowerbound of 95% confidence interval for beta
    -1.03269
  • Upperbound of 95% confidence interval for beta
    -0.49886
  • Lowerbound of 95% confidence interval for alpha
    -0.09119
  • Upperbound of 95% confidence interval for alpha
    1.51012
  • Treynor index (mean / b)
    -0.89392
  • Jensen alpha (a)
    0.70946
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03810
  • Expected Shortfall on VaR
    0.04813
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01300
  • Expected Shortfall on VaR
    0.02630
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    233.00000
  • Minimum
    0.91807
  • Quartile 1
    0.99320
  • Median
    1.00000
  • Quartile 3
    1.00990
  • Maximum
    1.27474
  • Mean of quarter 1
    0.97984
  • Mean of quarter 2
    0.99809
  • Mean of quarter 3
    1.00468
  • Mean of quarter 4
    1.02999
  • Inter Quartile Range
    0.01670
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.04292
  • Mean of outliers low
    0.95583
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.06438
  • Mean of outliers high
    1.06425
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29698
  • VaR(95%) (moments method)
    0.01948
  • Expected Shortfall (moments method)
    0.03360
  • Extreme Value Index (regression method)
    -0.06243
  • VaR(95%) (regression method)
    0.02291
  • Expected Shortfall (regression method)
    0.03182
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00406
  • Quartile 1
    0.01093
  • Median
    0.04891
  • Quartile 3
    0.06206
  • Maximum
    0.25620
  • Mean of quarter 1
    0.00676
  • Mean of quarter 2
    0.02382
  • Mean of quarter 3
    0.05532
  • Mean of quarter 4
    0.14235
  • Inter Quartile Range
    0.05112
  • 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
    0.25620
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.83672
  • VaR(95%) (moments method)
    0.14724
  • Expected Shortfall (moments method)
    0.15175
  • Extreme Value Index (regression method)
    0.04640
  • VaR(95%) (regression method)
    0.20189
  • Expected Shortfall (regression method)
    0.29425
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.99443
  • Compounded annual return (geometric extrapolation)
    1.03897
  • Calmar ratio (compounded annual return / max draw down)
    4.05535
  • Compounded annual return / average of 25% largest draw downs
    7.29867
  • Compounded annual return / Expected Shortfall lognormal
    21.58490
  • 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
    0.74327
  • SD
    0.20827
  • Sharpe ratio (Glass type estimate)
    3.56870
  • Sharpe ratio (Hedges UMVUE)
    3.54807
  • df
    130.00000
  • t
    2.52345
  • p
    0.39195
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.75656
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.36753
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.74292
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.35323
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.42936
  • Upside Potential Ratio
    13.63600
  • Upside part of mean
    1.57639
  • Downside part of mean
    -0.83312
  • Upside SD
    0.17830
  • Downside SD
    0.11560
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15192
  • Mean of criterion
    0.74327
  • SD of predictor
    0.11476
  • SD of criterion
    0.20827
  • Covariance
    0.00299
  • r
    0.12528
  • b (slope, estimate of beta)
    0.22737
  • a (intercept, estimate of alpha)
    0.70872
  • Mean Square Error
    0.04303
  • DF error
    129.00000
  • t(b)
    1.43420
  • p(b)
    0.42045
  • t(a)
    2.40784
  • p(a)
    0.36893
  • Lowerbound of 95% confidence interval for beta
    -0.08629
  • Upperbound of 95% confidence interval for beta
    0.54104
  • Lowerbound of 95% confidence interval for alpha
    0.12636
  • Upperbound of 95% confidence interval for alpha
    1.29108
  • Treynor index (mean / b)
    3.26893
  • Jensen alpha (a)
    0.70872
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72082
  • SD
    0.20710
  • Sharpe ratio (Glass type estimate)
    3.48062
  • Sharpe ratio (Hedges UMVUE)
    3.46050
  • df
    130.00000
  • t
    2.46117
  • p
    0.39450
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.67024
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.27794
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65696
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.26404
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.16355
  • Upside Potential Ratio
    13.34470
  • Upside part of mean
    1.56064
  • Downside part of mean
    -0.83982
  • Upside SD
    0.17569
  • Downside SD
    0.11695
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14534
  • Mean of criterion
    0.72082
  • SD of predictor
    0.11461
  • SD of criterion
    0.20710
  • Covariance
    0.00291
  • r
    0.12261
  • b (slope, estimate of beta)
    0.22156
  • a (intercept, estimate of alpha)
    0.68862
  • Mean Square Error
    0.04257
  • DF error
    129.00000
  • t(b)
    1.40319
  • p(b)
    0.42214
  • t(a)
    2.35270
  • p(a)
    0.37176
  • VAR (95 Confidence Intrvl)
    0.03800
  • Lowerbound of 95% confidence interval for beta
    -0.09084
  • Upperbound of 95% confidence interval for beta
    0.53396
  • Lowerbound of 95% confidence interval for alpha
    0.10952
  • Upperbound of 95% confidence interval for alpha
    1.26771
  • Treynor index (mean / b)
    3.25342
  • Jensen alpha (a)
    0.68862
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01813
  • Expected Shortfall on VaR
    0.02335
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00686
  • Expected Shortfall on VaR
    0.01418
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96135
  • Quartile 1
    0.99663
  • Median
    1.00164
  • Quartile 3
    1.00877
  • Maximum
    1.05772
  • Mean of quarter 1
    0.98822
  • Mean of quarter 2
    0.99954
  • Mean of quarter 3
    1.00521
  • Mean of quarter 4
    1.01887
  • Inter Quartile Range
    0.01213
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.96915
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.03733
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.48290
  • VaR(95%) (moments method)
    0.00969
  • Expected Shortfall (moments method)
    0.01145
  • Extreme Value Index (regression method)
    -0.07131
  • VaR(95%) (regression method)
    0.01292
  • Expected Shortfall (regression method)
    0.01808
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00406
  • Quartile 1
    0.00779
  • Median
    0.01300
  • Quartile 3
    0.04977
  • Maximum
    0.13204
  • Mean of quarter 1
    0.00454
  • Mean of quarter 2
    0.01066
  • Mean of quarter 3
    0.03115
  • Mean of quarter 4
    0.09219
  • Inter Quartile Range
    0.04198
  • 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
    0.12500
  • Mean of outliers high
    0.13204
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -411060000
  • Max Equity Drawdown (num days)
    31
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.90813
  • Compounded annual return (geometric extrapolation)
    1.11430
  • Calmar ratio (compounded annual return / max draw down)
    8.43909
  • Compounded annual return / average of 25% largest draw downs
    12.08710
  • Compounded annual return / Expected Shortfall lognormal
    47.71840

Strategy Description

I will trade leveraged ETFs using the rules I have developed over the past 20+ years of studying the markets. These rules help make both bull and bear market years profitable. Using leveraged products means there will potentially be wider swings than most systems however with good strategy management, the gains should far outweigh the losses.
I will send a message to subscribers at least each week to communicate about the strategy position.
For those not subscribed, the position closings will have a 72 hour delay.
My goal is to be the best stock trading system in terms of average yearly returns that exists on collective2!!!
When my account is doubled (50k to 100k), I will rebalance back to 50k.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-09-11
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 1.4%
Rank # 
#11
# Trades
62
# Profitable
46
% Profitable
74.2%
Net Dividends
$845
Correlation S&P500
-0.304
Sharpe Ratio
1.53
Sortino Ratio
2.96
Beta
-0.62
Alpha
0.18
Leverage
2.37 Average
3.64 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.

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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.