Collective2 Collective2
C2Star Strategy SP500 trend +21.0% Cumul. Return since Apr 12, 2023 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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ETF Timer
(30415311)

Created by: ETFTIMER ETFTIMER
Started: 01/2008
Stocks
Last trade: 15 days ago
Trading style: Equity Trend-following

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $79.00 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.
13.6%
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.

(44.2%)
Max Drawdown
151
Num Trades
76.8%
Win Trades
3.0 : 1
Profit Factor
55.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2008(0.7%)+4.6%+5.7%+4.3%+16.9%+2.3%+0.1%+0.3%+15.6%+2.2%+8.0%+1.0%+77.0%
2009+7.1%+0.9%+12.5%+15.9%+4.0%+2.1%(3%)+3.2%+6.1%(3.1%)+8.7%+4.6%+75.1%
2010(2.1%)+3.7%+10.1%  -  +8.4%(1.1%)(5%)(0.4%)(2.8%)(3.1%)+0.3%(1.1%)+5.9%
2011(2.1%)(4.2%)+0.5%+0.9%(3.8%)(2.1%)+0.1%(4.3%)(6.2%)(1.1%)(7.3%)(1.4%)(27.3%)
2012+9.9%+0.3%(2.1%)+2.2%+3.4%+0.6%+0.6%+4.0%+1.6%(5%)+3.4%(0.3%)+19.5%
2013+2.7%+1.3%+1.1%(2.6%)(3.7%)+6.4%(4%)+1.1%(4.2%)+3.3%(5.4%)(5%)(9.3%)
2014+2.9%+3.2%+4.7%+4.6%(2.4%)(3.6%)(0.5%)(7.4%)+0.7%+5.7%(3.8%)+4.3%+7.7%
2015(2.1%)+11.9%(4.3%)+2.9%+3.6%(4.4%)+7.4%(11.9%)(4.3%)+18.8%+1.0%(4.4%)+11.1%
2016(9.1%)(2.4%)+20.7%+0.6%+3.9%(3.8%)+9.1%+1.2%+0.9%(0.9%)+5.3%  -  +25.2%
2017+3.7%+2.6%+1.1%+1.2%+1.1%+1.4%+3.8%(2.9%)+5.9%+0.6%+1.6%+1.2%+23.2%
2018+4.6%(4.2%)(2.3%)(1.3%)+8.7%+1.7%+3.0%+4.1%  -  (5.8%)+2.4%(13.8%)(4.8%)
2019+12.5%+5.6%+1.2%+3.0%(8.1%)+7.5%+1.3%(3.4%)+2.4%+3.0%+3.5%+1.6%+32.8%
2020(0.5%)(9.7%)(21.3%)+12.7%+6.8%+4.6%+4.0%+6.0%(5.1%)+1.6%+20.2%+4.4%+18.9%
2021  -    -    -    -    -    -    -    -    -    -    -    -  (0.4%)
2022  -    -    -    -    -    -    -  (5.5%)(10.6%)+11.6%+8.2%(7.4%)(5.7%)
2023+10.4%(3.7%)+1.5%(0.9%)+0.2%+6.5%+6.1%(1.2%)(8%)                  +10.1%

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 96 hours.

Trading Record

This strategy has placed 196 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1420 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/7/23 12:00 OIH VANECK OIL SERVICES ETF LONG 100 279.77 8/29 13:56 329.07 0.45%
Trade id #144862177
Max drawdown($1,702)
Time6/23/23 0:00
Quant open100
Worst price262.75
Drawdown as % of equity-0.45%
 $4,928
Includes Typical Broker Commissions trade costs of $2.00
10/28/22 12:00 XLF FINANCIAL SELECT SECTOR SPDR LONG 1,000 33.53 8/17/23 11:03 34.49 0.61%
Trade id #142362459
Max drawdown($2,094)
Time3/24/23 0:00
Quant open600
Worst price30.39
Drawdown as % of equity-0.61%
 $946
Includes Typical Broker Commissions trade costs of $16.50
7/17/23 10:13 IAT ISHARES DOW JONES US REGIONAL LONG 700 35.86 8/16 10:14 36.54 0.02%
Trade id #145235157
Max drawdown($91)
Time7/17/23 10:23
Quant open700
Worst price35.73
Drawdown as % of equity-0.02%
 $466
Includes Typical Broker Commissions trade costs of $9.50
6/6/23 12:00 EEM ISHARES MSCI EMERGING MARKETS LONG 700 39.90 8/14 11:07 40.19 0.2%
Trade id #144848302
Max drawdown($766)
Time7/6/23 0:00
Quant open700
Worst price38.80
Drawdown as % of equity-0.20%
 $194
Includes Typical Broker Commissions trade costs of $9.50
5/9/23 11:38 SMH VANECK SEMICONDUCTOR ETF LONG 200 123.09 8/11 11:06 138.91 0.07%
Trade id #144567905
Max drawdown($256)
Time5/12/23 0:00
Quant open200
Worst price121.81
Drawdown as % of equity-0.07%
 $3,159
Includes Typical Broker Commissions trade costs of $4.00
11/18/22 12:00 IGV ISHARES EXPANDED TECH-SOFTWARE SECTOR ETF LONG 100 261.36 8/9/23 12:00 312.25 0.43%
Trade id #142616440
Max drawdown($1,448)
Time1/6/23 0:00
Quant open100
Worst price246.88
Drawdown as % of equity-0.43%
 $5,087
Includes Typical Broker Commissions trade costs of $2.00
5/24/23 14:22 WCLD WISDOMTREE CLOUD COMPUTING FUND LONG 800 28.87 8/8 12:00 31.80 0.08%
Trade id #144734905
Max drawdown($280)
Time5/25/23 0:00
Quant open800
Worst price28.52
Drawdown as % of equity-0.08%
 $2,335
Includes Typical Broker Commissions trade costs of $10.50
6/29/23 11:14 ARKG ARK GENOMIC REVOLUTION ETF LONG 600 34.02 8/4 9:48 35.05 0.27%
Trade id #145065587
Max drawdown($1,017)
Time7/6/23 0:00
Quant open600
Worst price32.33
Drawdown as % of equity-0.27%
 $607
Includes Typical Broker Commissions trade costs of $8.50
8/19/22 12:00 DDM PROSHARES ULTRA DOW30 LONG 400 67.75 7/14/23 9:39 68.03 2.57%
Trade id #141478578
Max drawdown($7,732)
Time10/13/22 0:00
Quant open400
Worst price48.42
Drawdown as % of equity-2.57%
 $104
Includes Typical Broker Commissions trade costs of $8.00
8/19/22 12:00 SSO PROSHARES ULTRA S&P 500 LONG 500 55.82 6/28/23 10:02 56.03 3.03%
Trade id #141478576
Max drawdown($9,145)
Time10/13/22 0:00
Quant open500
Worst price37.53
Drawdown as % of equity-3.03%
 $95
Includes Typical Broker Commissions trade costs of $10.00
8/23/22 12:00 ARKG ARK GENOMIC REVOLUTION ETF LONG 1,000 33.68 6/6/23 11:23 34.22 1.66%
Trade id #141510371
Max drawdown($5,811)
Time3/10/23 0:00
Quant open600
Worst price26.77
Drawdown as % of equity-1.66%
 $533
Includes Typical Broker Commissions trade costs of $9.00
4/4/23 14:52 ARKK ARK INNOVATION ETF LONG 600 39.25 5/30 9:30 40.07 0.77%
Trade id #144186080
Max drawdown($2,718)
Time5/3/23 0:00
Quant open600
Worst price34.72
Drawdown as % of equity-0.77%
 $487
Includes Typical Broker Commissions trade costs of $5.00
9/12/22 12:00 IBB ISHARES BIOTECHNOLOGY ETF LONG 200 128.10 5/19/23 11:39 129.70 0.97%
Trade id #141750047
Max drawdown($2,946)
Time9/26/22 0:00
Quant open200
Worst price113.37
Drawdown as % of equity-0.97%
 $316
Includes Typical Broker Commissions trade costs of $4.00
5/2/23 15:40 OIH VANECK OIL SERVICES ETF LONG 150 258.05 5/19 11:34 259.02 0.38%
Trade id #144506281
Max drawdown($1,383)
Time5/16/23 0:00
Quant open150
Worst price248.83
Drawdown as % of equity-0.38%
 $143
Includes Typical Broker Commissions trade costs of $3.00
8/29/22 12:00 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 750 51.69 5/18/23 12:00 62.10 1.07%
Trade id #141579397
Max drawdown($3,265)
Time10/11/22 0:00
Quant open750
Worst price47.34
Drawdown as % of equity-1.07%
 $7,793
Includes Typical Broker Commissions trade costs of $15.00
8/19/22 12:00 QLD PROSHARES ULTRA QQQ LONG 750 49.56 5/17/23 9:59 50.50 3.64%
Trade id #141478577
Max drawdown($12,132)
Time12/28/22 0:00
Quant open750
Worst price33.38
Drawdown as % of equity-3.64%
 $693
Includes Typical Broker Commissions trade costs of $15.00
8/26/22 12:00 BJK VANECK GAMING ETF LONG 500 36.27 5/9/23 11:38 42.71 0.77%
Trade id #141560023
Max drawdown($2,400)
Time9/23/22 0:00
Quant open500
Worst price31.47
Drawdown as % of equity-0.77%
 $3,210
Includes Typical Broker Commissions trade costs of $10.00
11/15/22 14:10 EEM ISHARES MSCI EMERGING MARKETS LONG 800 38.99 4/25/23 9:46 39.21 0.19%
Trade id #142574729
Max drawdown($650)
Time11/21/22 0:00
Quant open500
Worst price37.35
Drawdown as % of equity-0.19%
 $166
Includes Typical Broker Commissions trade costs of $12.50
12/14/22 12:00 WCLD WISDOMTREE CLOUD COMPUTING FUND LONG 700 27.05 4/21/23 12:00 28.09 0.79%
Trade id #142877404
Max drawdown($2,655)
Time1/6/23 0:00
Quant open700
Worst price23.26
Drawdown as % of equity-0.79%
 $723
Includes Typical Broker Commissions trade costs of $5.00
10/5/22 12:00 SLV ISHARES SILVER TRUST LONG 1,000 18.79 2/28/23 14:16 20.29 0.67%
Trade id #142048609
Max drawdown($2,128)
Time10/14/22 0:00
Quant open1,000
Worst price16.66
Drawdown as % of equity-0.67%
 $1,483
Includes Typical Broker Commissions trade costs of $12.50
10/12/22 12:00 TLT ISHARES 20+ YEAR TREASURY BOND LONG 200 100.15 12/29 12:00 104.96 0.52%
Trade id #142142646
Max drawdown($1,660)
Time10/24/22 0:00
Quant open200
Worst price91.85
Drawdown as % of equity-0.52%
 $958
Includes Typical Broker Commissions trade costs of $4.00
9/26/22 12:00 TAN INVESCO SOLAR PORTFOLIO LONG 300 74.94 12/28 12:00 77.20 1.14%
Trade id #141932077
Max drawdown($3,591)
Time10/24/22 0:00
Quant open300
Worst price62.97
Drawdown as % of equity-1.14%
 $672
Includes Typical Broker Commissions trade costs of $6.00
9/8/22 12:00 IGN ISHARES S&P NORTH AMER TECH-MU LONG 400 69.38 12/21 12:00 72.32 0.87%
Trade id #141708199
Max drawdown($2,628)
Time10/13/22 0:00
Quant open400
Worst price62.81
Drawdown as % of equity-0.87%
 $1,168
Includes Typical Broker Commissions trade costs of $8.00
8/24/22 12:00 OIH VANECK OIL SERVICES ETF LONG 100 248.70 11/18 11:48 287.91 1.64%
Trade id #141523281
Max drawdown($5,011)
Time9/26/22 0:00
Quant open100
Worst price198.59
Drawdown as % of equity-1.64%
 $3,919
Includes Typical Broker Commissions trade costs of $2.00
12/16/14 14:47 QLD PROSHARES ULTRA QQQ LONG 12,260 28.91 12/24/20 12:45 36.34 0.28%
Trade id #91359805
Max drawdown($382)
Time12/16/14 16:00
Quant open920
Worst price15.95
Drawdown as % of equity-0.28%
 $90,966
Includes Typical Broker Commissions trade costs of $116.00
2/20/20 13:36 MVV PROSHARES ULTRA MIDCAP400 LONG 3,500 34.17 12/22 15:45 37.69 10.14%
Trade id #127624326
Max drawdown($19,980)
Time3/23/20 0:00
Quant open600
Worst price13.47
Drawdown as % of equity-10.14%
 $12,294
Includes Typical Broker Commissions trade costs of $37.00
2/7/20 15:45 UWM PROSHARES ULTRA RUSSELL2000 LONG 1,000 61.92 12/21 15:45 73.77 10.7%
Trade id #127419030
Max drawdown($21,068)
Time3/23/20 0:00
Quant open400
Worst price23.20
Drawdown as % of equity-10.70%
 $11,825
Includes Typical Broker Commissions trade costs of $20.00
5/30/19 9:30 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 2,500 22.96 12/18/20 9:30 16.57 6.76%
Trade id #123872354
Max drawdown($19,393)
Time8/6/20 0:00
Quant open1,400
Worst price14.28
Drawdown as % of equity-6.76%
 ($15,991)
Includes Typical Broker Commissions trade costs of $12.50
9/18/20 9:30 WCLD WISDOMTREE CLOUD COMPUTING FUND LONG 1,350 42.12 12/17 15:45 51.30 0.2%
Trade id #131240218
Max drawdown($553)
Time9/18/20 13:31
Quant open700
Worst price39.25
Drawdown as % of equity-0.20%
 $12,366
Includes Typical Broker Commissions trade costs of $18.50
7/23/20 9:30 ZSL PROSHARES ULTRASHORT SILVER LONG 1,500 12.45 12/16 15:45 7.57 2.9%
Trade id #130236594
Max drawdown($8,575)
Time9/1/20 0:00
Quant open1,500
Worst price6.73
Drawdown as % of equity-2.90%
 ($7,325)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    1/31/2008
  • Suggested Minimum Cap
    $380,000
  • Strategy Age (days)
    5716.47
  • Age
    191 months ago
  • What it trades
    Stocks
  • # Trades
    151
  • # Profitable
    116
  • % Profitable
    76.80%
  • Avg trade duration
    143.7 days
  • Max peak-to-valley drawdown
    44.18%
  • drawdown period
    June 18, 2010 - Nov 26, 2011
  • Annual Return (Compounded)
    13.6%
  • Avg win
    $4,470
  • Avg loss
    $5,114
  • Model Account Values (Raw)
  • Cash
    $208,629
  • Margin Used
    $0
  • Buying Power
    $182,149
  • Ratios
  • W:L ratio
    3.00:1
  • Sharpe Ratio
    0.58
  • Sortino Ratio
    0.84
  • Calmar Ratio
    0.093
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    426.84%
  • Correlation to SP500
    0.33080
  • Return Percent SP500 (cumu) during strategy life
    214.64%
  • Return Statistics
  • Ann Return (w trading costs)
    13.6%
  • Slump
  • Current Slump as Pcnt Equity
    10.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.136%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    14.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    50.50%
  • Chance of 20% account loss
    23.50%
  • Chance of 30% account loss
    6.50%
  • Chance of 40% account loss
    3.50%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    942
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    950
  • Popularity (7 days, Percentile 1000 scale)
    804
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $5,250
  • Avg Win
    $4,492
  • Sum Trade PL (losers)
    $183,741.000
  • Age
  • Num Months filled monthly returns table
    189
  • Win / Loss
  • Sum Trade PL (winners)
    $521,124.000
  • # Winners
    116
  • Num Months Winners
    107
  • Dividends
  • Dividends Received in Model Acct
    9117
  • Win / Loss
  • # Losers
    35
  • % Winners
    76.8%
  • Frequency
  • Avg Position Time (mins)
    206900.00
  • Avg Position Time (hrs)
    3448.33
  • Avg Trade Length
    143.7 days
  • Last Trade Ago
    15
  • Leverage
  • Daily leverage (average)
    1.09
  • Daily leverage (max)
    2.67
  • Regression
  • Alpha
    0.03
  • Beta
    0.29
  • Treynor Index
    0.12
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    86.64
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    40.37
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    5.54
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    2.271
  • 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
    0.786
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.547
  • Hold-and-Hope Ratio
    0.450
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09018
  • SD
    0.27343
  • Sharpe ratio (Glass type estimate)
    0.32980
  • Sharpe ratio (Hedges UMVUE)
    0.32834
  • df
    170.00000
  • t
    1.24498
  • p
    0.45247
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19106
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.84972
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19203
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84872
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.41417
  • Upside Potential Ratio
    1.44463
  • Upside part of mean
    0.31454
  • Downside part of mean
    -0.22436
  • Upside SD
    0.16613
  • Downside SD
    0.21773
  • N nonnegative terms
    97.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    171.00000
  • Mean of predictor
    0.07451
  • Mean of criterion
    0.09018
  • SD of predictor
    0.19587
  • SD of criterion
    0.27343
  • Covariance
    0.01673
  • r
    0.31236
  • b (slope, estimate of beta)
    0.43605
  • a (intercept, estimate of alpha)
    0.05769
  • Mean Square Error
    0.06787
  • DF error
    169.00000
  • t(b)
    4.27452
  • p(b)
    0.30443
  • t(a)
    0.83088
  • p(a)
    0.45942
  • Lowerbound of 95% confidence interval for beta
    0.23467
  • Upperbound of 95% confidence interval for beta
    0.63743
  • Lowerbound of 95% confidence interval for alpha
    -0.07937
  • Upperbound of 95% confidence interval for alpha
    0.19475
  • Treynor index (mean / b)
    0.20681
  • Jensen alpha (a)
    0.05769
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03567
  • SD
    0.37183
  • Sharpe ratio (Glass type estimate)
    0.09594
  • Sharpe ratio (Hedges UMVUE)
    0.09551
  • df
    170.00000
  • t
    0.36216
  • p
    0.48612
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42351
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.61511
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42379
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61482
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.10613
  • Upside Potential Ratio
    0.89569
  • Upside part of mean
    0.30106
  • Downside part of mean
    -0.26539
  • Upside SD
    0.15677
  • Downside SD
    0.33612
  • N nonnegative terms
    97.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    171.00000
  • Mean of predictor
    0.05480
  • Mean of criterion
    0.03567
  • SD of predictor
    0.19875
  • SD of criterion
    0.37183
  • Covariance
    0.01600
  • r
    0.21644
  • b (slope, estimate of beta)
    0.40492
  • a (intercept, estimate of alpha)
    0.01348
  • Mean Square Error
    0.13256
  • DF error
    169.00000
  • t(b)
    2.88211
  • p(b)
    0.36329
  • t(a)
    0.13935
  • p(a)
    0.49318
  • Lowerbound of 95% confidence interval for beta
    0.12757
  • Upperbound of 95% confidence interval for beta
    0.68227
  • Lowerbound of 95% confidence interval for alpha
    -0.17752
  • Upperbound of 95% confidence interval for alpha
    0.20449
  • Treynor index (mean / b)
    0.08810
  • Jensen alpha (a)
    0.01348
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15935
  • Expected Shortfall on VaR
    0.19559
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03747
  • Expected Shortfall on VaR
    0.08700
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    171.00000
  • Minimum
    0.30899
  • Quartile 1
    0.98197
  • Median
    1.00806
  • Quartile 3
    1.03881
  • Maximum
    1.20142
  • Mean of quarter 1
    0.93365
  • Mean of quarter 2
    0.99752
  • Mean of quarter 3
    1.02272
  • Mean of quarter 4
    1.08579
  • Inter Quartile Range
    0.05683
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.02924
  • Mean of outliers low
    0.74020
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.04094
  • Mean of outliers high
    1.15999
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.57618
  • VaR(95%) (moments method)
    0.06258
  • Expected Shortfall (moments method)
    0.16221
  • Extreme Value Index (regression method)
    0.50091
  • VaR(95%) (regression method)
    0.05511
  • Expected Shortfall (regression method)
    0.12136
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00114
  • Quartile 1
    0.02806
  • Median
    0.06219
  • Quartile 3
    0.17709
  • Maximum
    0.69101
  • Mean of quarter 1
    0.00818
  • Mean of quarter 2
    0.04955
  • Mean of quarter 3
    0.09210
  • Mean of quarter 4
    0.38626
  • Inter Quartile Range
    0.14903
  • 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
    0.69101
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.50797
  • VaR(95%) (moments method)
    0.42479
  • Expected Shortfall (moments method)
    0.49502
  • Extreme Value Index (regression method)
    0.44321
  • VaR(95%) (regression method)
    0.53941
  • Expected Shortfall (regression method)
    1.05092
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10347
  • Compounded annual return (geometric extrapolation)
    0.06564
  • Calmar ratio (compounded annual return / max draw down)
    0.09500
  • Compounded annual return / average of 25% largest draw downs
    0.16995
  • Compounded annual return / Expected Shortfall lognormal
    0.33561
  • 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
    0.13985
  • SD
    0.42376
  • Sharpe ratio (Glass type estimate)
    0.33002
  • Sharpe ratio (Hedges UMVUE)
    0.32995
  • df
    3735.00000
  • t
    1.24620
  • p
    0.10638
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18909
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.84909
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18914
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84904
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.45514
  • Upside Potential Ratio
    4.40715
  • Upside part of mean
    1.35415
  • Downside part of mean
    -1.21430
  • Upside SD
    0.29187
  • Downside SD
    0.30726
  • N nonnegative terms
    1798.00000
  • N negative terms
    1938.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3736.00000
  • Mean of predictor
    0.11902
  • Mean of criterion
    0.13985
  • SD of predictor
    0.35868
  • SD of criterion
    0.42376
  • Covariance
    -0.03418
  • r
    -0.22489
  • b (slope, estimate of beta)
    -0.26569
  • a (intercept, estimate of alpha)
    0.17100
  • Mean Square Error
    0.17053
  • DF error
    3734.00000
  • t(b)
    -14.10350
  • p(b)
    1.00000
  • t(a)
    1.56764
  • p(a)
    0.05853
  • Lowerbound of 95% confidence interval for beta
    -0.30263
  • Upperbound of 95% confidence interval for beta
    -0.22876
  • Lowerbound of 95% confidence interval for alpha
    -0.04298
  • Upperbound of 95% confidence interval for alpha
    0.38592
  • Treynor index (mean / b)
    -0.52635
  • Jensen alpha (a)
    0.17147
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03504
  • SD
    0.48606
  • Sharpe ratio (Glass type estimate)
    0.07210
  • Sharpe ratio (Hedges UMVUE)
    0.07208
  • df
    3735.00000
  • t
    0.27225
  • p
    0.39272
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44694
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.59113
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44695
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.59112
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.08661
  • Upside Potential Ratio
    3.25205
  • Upside part of mean
    1.31579
  • Downside part of mean
    -1.28075
  • Upside SD
    0.26925
  • Downside SD
    0.40460
  • N nonnegative terms
    1798.00000
  • N negative terms
    1938.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3736.00000
  • Mean of predictor
    0.05487
  • Mean of criterion
    0.03504
  • SD of predictor
    0.35924
  • SD of criterion
    0.48606
  • Covariance
    -0.03499
  • r
    -0.20039
  • b (slope, estimate of beta)
    -0.27114
  • a (intercept, estimate of alpha)
    0.04992
  • Mean Square Error
    0.22683
  • DF error
    3734.00000
  • t(b)
    -12.49890
  • p(b)
    1.00000
  • t(a)
    0.39577
  • p(a)
    0.34615
  • Lowerbound of 95% confidence interval for beta
    -0.31367
  • Upperbound of 95% confidence interval for beta
    -0.22860
  • Lowerbound of 95% confidence interval for alpha
    -0.19737
  • Upperbound of 95% confidence interval for alpha
    0.29721
  • Treynor index (mean / b)
    -0.12924
  • Jensen alpha (a)
    0.04992
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04807
  • Expected Shortfall on VaR
    0.05988
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01048
  • Expected Shortfall on VaR
    0.02434
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3736.00000
  • Minimum
    0.31784
  • Quartile 1
    0.99665
  • Median
    1.00000
  • Quartile 3
    1.00508
  • Maximum
    1.36094
  • Mean of quarter 1
    0.98272
  • Mean of quarter 2
    0.99896
  • Mean of quarter 3
    1.00208
  • Mean of quarter 4
    1.01880
  • Inter Quartile Range
    0.00844
  • Number outliers low
    249.00000
  • Percentage of outliers low
    0.06665
  • Mean of outliers low
    0.95636
  • Number of outliers high
    235.00000
  • Percentage of outliers high
    0.06290
  • Mean of outliers high
    1.04576
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.71824
  • VaR(95%) (moments method)
    0.01495
  • Expected Shortfall (moments method)
    0.05810
  • Extreme Value Index (regression method)
    0.52080
  • VaR(95%) (regression method)
    0.01285
  • Expected Shortfall (regression method)
    0.03104
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    83.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00314
  • Median
    0.00703
  • Quartile 3
    0.02198
  • Maximum
    0.69663
  • Mean of quarter 1
    0.00154
  • Mean of quarter 2
    0.00503
  • Mean of quarter 3
    0.01383
  • Mean of quarter 4
    0.13926
  • Inter Quartile Range
    0.01884
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.16867
  • Mean of outliers high
    0.19259
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.71314
  • VaR(95%) (moments method)
    0.11309
  • Expected Shortfall (moments method)
    0.44877
  • Extreme Value Index (regression method)
    0.54123
  • VaR(95%) (regression method)
    0.13028
  • Expected Shortfall (regression method)
    0.34984
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10195
  • Compounded annual return (geometric extrapolation)
    0.06497
  • Calmar ratio (compounded annual return / max draw down)
    0.09327
  • Compounded annual return / average of 25% largest draw downs
    0.46655
  • Compounded annual return / Expected Shortfall lognormal
    1.08510
  • 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
    0.11051
  • SD
    0.13563
  • Sharpe ratio (Glass type estimate)
    0.81476
  • Sharpe ratio (Hedges UMVUE)
    0.81005
  • df
    130.00000
  • t
    0.57612
  • p
    0.47477
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.96026
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.58689
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.96350
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.58361
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.17741
  • Upside Potential Ratio
    9.68567
  • Upside part of mean
    0.90905
  • Downside part of mean
    -0.79854
  • Upside SD
    0.09743
  • Downside SD
    0.09386
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16666
  • Mean of criterion
    0.11051
  • SD of predictor
    0.11641
  • SD of criterion
    0.13563
  • Covariance
    0.01111
  • r
    0.70358
  • b (slope, estimate of beta)
    0.81973
  • a (intercept, estimate of alpha)
    -0.02611
  • Mean Square Error
    0.00936
  • DF error
    129.00000
  • t(b)
    11.24530
  • p(b)
    0.09244
  • t(a)
    -0.19004
  • p(a)
    0.51065
  • Lowerbound of 95% confidence interval for beta
    0.67550
  • Upperbound of 95% confidence interval for beta
    0.96395
  • Lowerbound of 95% confidence interval for alpha
    -0.29789
  • Upperbound of 95% confidence interval for alpha
    0.24568
  • Treynor index (mean / b)
    0.13481
  • Jensen alpha (a)
    -0.02611
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10134
  • SD
    0.13571
  • Sharpe ratio (Glass type estimate)
    0.74674
  • Sharpe ratio (Hedges UMVUE)
    0.74243
  • df
    130.00000
  • t
    0.52803
  • p
    0.47687
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.02788
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.51871
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.03085
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.51570
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.07148
  • Upside Potential Ratio
    9.56073
  • Upside part of mean
    0.90425
  • Downside part of mean
    -0.80291
  • Upside SD
    0.09680
  • Downside SD
    0.09458
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15988
  • Mean of criterion
    0.10134
  • SD of predictor
    0.11623
  • SD of criterion
    0.13571
  • Covariance
    0.01110
  • r
    0.70385
  • b (slope, estimate of beta)
    0.82183
  • a (intercept, estimate of alpha)
    -0.03005
  • Mean Square Error
    0.00937
  • DF error
    129.00000
  • t(b)
    11.25400
  • p(b)
    0.09231
  • t(a)
    -0.21880
  • p(a)
    0.51226
  • VAR (95 Confidence Intrvl)
    0.04800
  • Lowerbound of 95% confidence interval for beta
    0.67734
  • Upperbound of 95% confidence interval for beta
    0.96631
  • Lowerbound of 95% confidence interval for alpha
    -0.30181
  • Upperbound of 95% confidence interval for alpha
    0.24171
  • Treynor index (mean / b)
    0.12331
  • Jensen alpha (a)
    -0.03005
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01331
  • Expected Shortfall on VaR
    0.01676
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00677
  • Expected Shortfall on VaR
    0.01284
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97058
  • Quartile 1
    0.99506
  • Median
    1.00069
  • Quartile 3
    1.00595
  • Maximum
    1.02010
  • Mean of quarter 1
    0.98997
  • Mean of quarter 2
    0.99820
  • Mean of quarter 3
    1.00305
  • Mean of quarter 4
    1.01097
  • Inter Quartile Range
    0.01088
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.97058
  • 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)
    -0.11670
  • VaR(95%) (moments method)
    0.01007
  • Expected Shortfall (moments method)
    0.01266
  • Extreme Value Index (regression method)
    -0.02750
  • VaR(95%) (regression method)
    0.00904
  • Expected Shortfall (regression method)
    0.01141
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00020
  • Quartile 1
    0.00266
  • Median
    0.01201
  • Quartile 3
    0.02381
  • Maximum
    0.08501
  • Mean of quarter 1
    0.00130
  • Mean of quarter 2
    0.00457
  • Mean of quarter 3
    0.01971
  • Mean of quarter 4
    0.05342
  • Inter Quartile Range
    0.02115
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    0.08501
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.10955
  • VaR(95%) (moments method)
    0.06062
  • Expected Shortfall (moments method)
    0.06623
  • Extreme Value Index (regression method)
    0.55359
  • VaR(95%) (regression method)
    0.08375
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.19887
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -378985000
  • Max Equity Drawdown (num days)
    526
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13351
  • Compounded annual return (geometric extrapolation)
    0.13797
  • Calmar ratio (compounded annual return / max draw down)
    1.62302
  • Compounded annual return / average of 25% largest draw downs
    2.58278
  • Compounded annual return / Expected Shortfall lognormal
    8.23199

Strategy Description

ETF Timer is a market-timing trading system in which I utilize my proprietary technical indicators for price, volume, and relative strength. For this system, I trade various single and double leveraged Exchange Traded Products.

Also, ETF Timer may be traded in retirement accounts since it uses no margin.

Prior to October 2015, the only ETFs traded were QID and QLD. However, in order to better diversify its holdings and reduce potential drawdowns, ETF Timer now trades a number of diversified Exchange Traded Products.

I temporarily paused trading ETF Timer on December 31, 2020 during the Pandemic. During that time, I improved my proprietary technical indicators to be more responsive to current market conditions. I restarted trading ETF Timer on August 19, 2022 once the Pandemic was substantially under control.

Unfortunately, while ETF Timer was paused the S&P 500 gained 14.0%, so ETF Timer didn’t participate in that gain. However, since I restarted ETF Timer it’s now back to outperforming the S&P 500.

DISCLAIMER: PAST PERFORMANCE IS NO GUARANTEE OF FUTURE RESULTS.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2008-01-31
Suggested Minimum Capital
$380,000
Rank at C2 %
Top 5.0%
Rank # 
#39
# Trades
151
# Profitable
116
% Profitable
76.8%
Net Dividends
$9,116
Correlation S&P500
0.331
Sharpe Ratio
0.58
Sortino Ratio
0.84
Beta
0.29
Alpha
0.03
Leverage
1.09 Average
2.67 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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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?

Mark as Private Keep Public

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.