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C2Star Strategy Sarita Agrawal Steady C2Star Certified Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 12/23/2022
Most recent certification approved 12/23/22 13:36 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 384
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 384
Percent signals followed since 12/23/2022 100%
This information was last updated 12/9/23 7:06 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 12/23/2022, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

S2Pro7
(142893710)

Created by: S2Pro S2Pro
Started: 12/2022
Stocks
Last trade: 3 days ago
Trading style: Equity Momentum Short-term Reversal

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 $49.00 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
Momentum
Category: Equity

Momentum

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

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
-17.1%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(40.7%)
Max Drawdown
106
Num Trades
56.6%
Win Trades
0.9 : 1
Profit Factor
53.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                             (0.5%)(0.5%)
2023+6.7%(12.1%)+17.3%(13.8%)(2.1%)(13.8%)+1.2%(10%)+1.0%+6.5%+4.6%+1.6%(16.7%)

Model Account Details

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

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

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 384 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
11/29/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 424 23.23 11/30 9:32 23.27 0.08%
Trade id #146570313
Max drawdown($19)
Time11/30/23 9:32
Quant open424
Worst price23.18
Drawdown as % of equity-0.08%
 $11
Includes Typical Broker Commissions trade costs of $8.48
11/22/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 580 23.00 11/29 15:28 23.21 2.36%
Trade id #146516567
Max drawdown($534)
Time11/28/23 0:00
Quant open519
Worst price21.97
Drawdown as % of equity-2.36%
 $118
Includes Typical Broker Commissions trade costs of $6.18
11/21/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 519 22.83 11/22 10:01 23.08 n/a $124
Includes Typical Broker Commissions trade costs of $5.00
11/14/23 16:11 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 507 8.67 11/21 15:59 8.44 1.73%
Trade id #146439000
Max drawdown($389)
Time11/20/23 0:00
Quant open488
Worst price7.90
Drawdown as % of equity-1.73%
 ($125)
Includes Typical Broker Commissions trade costs of $7.57
11/14/23 16:09: Rescaled downward to 28% of previous Model Account size
11/13/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 116.760000000 20.00 11/14 15:59 22.14 n/a $248
Includes Typical Broker Commissions trade costs of $2.34
11/10/23 10:29 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 146.160000000 10.32 11/13 15:59 9.80 0.16%
Trade id #146396830
Max drawdown($36)
Time11/10/23 15:14
Quant open38
Worst price9.42
Drawdown as % of equity-0.16%
 ($79)
Includes Typical Broker Commissions trade costs of $2.92
11/9/23 15:39 SOXL DIREXION DAILY SEMICONDCT BULL LONG 121.240000000 18.39 11/10 9:32 18.78 0.02%
Trade id #146390801
Max drawdown($3)
Time11/9/23 15:53
Quant open34
Worst price18.28
Drawdown as % of equity-0.02%
 $45
Includes Typical Broker Commissions trade costs of $2.42
11/7/23 14:38 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 1,021.160000000 10.62 11/9 15:10 10.79 0.69%
Trade id #146359638
Max drawdown($154)
Time11/9/23 11:58
Quant open286
Worst price10.09
Drawdown as % of equity-0.69%
 $158
Includes Typical Broker Commissions trade costs of $5.00
10/27/23 14:17 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 420 22.98 11/1 15:43 27.14 0.22%
Trade id #146261776
Max drawdown($46)
Time10/27/23 14:26
Quant open118
Worst price22.59
Drawdown as % of equity-0.22%
 $1,739
Includes Typical Broker Commissions trade costs of $8.40
10/27/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 263.480000000 15.11 10/30 10:23 14.27 0.3%
Trade id #146263211
Max drawdown($63)
Time10/30/23 10:23
Quant open74
Worst price14.25
Drawdown as % of equity-0.30%
 ($225)
Includes Typical Broker Commissions trade costs of $5.26
10/26/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 306.880000000 14.73 10/27 9:32 15.17 n/a $132
Includes Typical Broker Commissions trade costs of $6.14
10/25/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 297.360000000 14.97 10/26 9:36 15.60 n/a $181
Includes Typical Broker Commissions trade costs of $5.94
10/24/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,286.600000000 17.04 10/25 9:42 16.10 1.68%
Trade id #146224473
Max drawdown($367)
Time10/25/23 9:42
Quant open360
Worst price16.02
Drawdown as % of equity-1.68%
 ($1,216)
Includes Typical Broker Commissions trade costs of $5.00
10/19/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,323.280000000 17.45 10/24 9:36 16.63 2.35%
Trade id #146179620
Max drawdown($515)
Time10/23/23 0:00
Quant open368
Worst price16.05
Drawdown as % of equity-2.35%
 ($1,089)
Includes Typical Broker Commissions trade costs of $5.07
10/18/23 16:21 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,043.280000000 18.29 10/19 9:34 18.53 n/a $242
Includes Typical Broker Commissions trade costs of $5.00
10/16/23 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 1,275.680000000 10.52 10/18 16:00 11.16 0%
Trade id #146145061
Max drawdown($0)
Time10/17/23 0:00
Quant open326
Worst price10.49
Drawdown as % of equity-0.00%
 $817
Includes Typical Broker Commissions trade costs of $6.13
10/13/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 842.800000000 18.98 10/16 15:59 19.76 n/a $651
Includes Typical Broker Commissions trade costs of $5.00
10/10/23 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 1,163.400000000 10.41 10/13 15:59 10.84 1.05%
Trade id #146093323
Max drawdown($214)
Time10/12/23 0:00
Quant open291
Worst price9.67
Drawdown as % of equity-1.05%
 $495
Includes Typical Broker Commissions trade costs of $6.60
10/5/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,079.680000000 18.38 10/10 9:34 19.46 1.06%
Trade id #146047854
Max drawdown($207)
Time10/6/23 0:00
Quant open297
Worst price17.66
Drawdown as % of equity-1.06%
 $1,158
Includes Typical Broker Commissions trade costs of $7.77
10/4/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,039.360000000 18.68 10/5 9:32 18.65 0.15%
Trade id #146034680
Max drawdown($29)
Time10/5/23 9:30
Quant open291
Worst price18.58
Drawdown as % of equity-0.15%
 ($41)
Includes Typical Broker Commissions trade costs of $5.00
10/3/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,085.560000000 17.90 10/4 9:33 17.99 n/a $101
Includes Typical Broker Commissions trade costs of $5.00
10/2/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,047.200000000 19.10 10/3 11:03 18.02 1.6%
Trade id #146000964
Max drawdown($330)
Time10/3/23 11:03
Quant open293
Worst price17.97
Drawdown as % of equity-1.60%
 ($1,132)
Includes Typical Broker Commissions trade costs of $5.00
9/29/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,085.560000000 18.86 10/2 9:31 18.93 n/a $74
Includes Typical Broker Commissions trade costs of $5.00
9/27/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,067.640000000 17.69 9/29 9:43 19.19 0.55%
Trade id #145952561
Max drawdown($104)
Time9/28/23 0:00
Quant open299
Worst price17.34
Drawdown as % of equity-0.55%
 $1,593
Includes Typical Broker Commissions trade costs of $5.01
9/26/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 242.200000000 17.26 9/27 10:10 17.48 n/a $49
Includes Typical Broker Commissions trade costs of $4.84
9/22/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,095.360000000 17.87 9/26 14:19 17.21 1.07%
Trade id #145911418
Max drawdown($207)
Time9/26/23 14:19
Quant open306
Worst price17.19
Drawdown as % of equity-1.07%
 ($723)
Includes Typical Broker Commissions trade costs of $5.01
9/21/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 241.920000000 17.42 9/22 9:40 17.67 n/a $56
Includes Typical Broker Commissions trade costs of $4.84
9/20/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,114.960000000 18.46 9/21 15:17 17.46 1.61%
Trade id #145884072
Max drawdown($333)
Time9/21/23 0:00
Quant open312
Worst price17.39
Drawdown as % of equity-1.61%
 ($1,119)
Includes Typical Broker Commissions trade costs of $5.00
9/15/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 1,072.120000000 19.73 9/20 9:38 19.58 0.9%
Trade id #145842492
Max drawdown($190)
Time9/19/23 0:00
Quant open289
Worst price19.08
Drawdown as % of equity-0.90%
 ($164)
Includes Typical Broker Commissions trade costs of $5.41
9/14/23 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 721.280000000 21.67 9/15 10:15 20.45 1.18%
Trade id #145831108
Max drawdown($246)
Time9/15/23 10:15
Quant open202
Worst price20.45
Drawdown as % of equity-1.18%
 ($881)
Includes Typical Broker Commissions trade costs of $5.00
Next

Statistics

  • Strategy began
    12/15/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    358.65
  • Age
    12 months ago
  • What it trades
    Stocks
  • # Trades
    106
  • # Profitable
    60
  • % Profitable
    56.60%
  • Avg trade duration
    3.1 days
  • Max peak-to-valley drawdown
    40.71%
  • drawdown period
    March 29, 2023 - Aug 18, 2023
  • Cumul. Return
    -17.1%
  • Avg win
    $574.22
  • Avg loss
    $833.00
  • Model Account Values (Raw)
  • Cash
    $18,618
  • Margin Used
    $0
  • Buying Power
    $19,016
  • Ratios
  • W:L ratio
    0.90:1
  • Sharpe Ratio
    -0.37
  • Sortino Ratio
    -0.51
  • Calmar Ratio
    -0.366
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -35.31%
  • Correlation to SP500
    0.24600
  • Return Percent SP500 (cumu) during strategy life
    18.19%
  • Return Statistics
  • Ann Return (w trading costs)
    -17.3%
  • Slump
  • Current Slump as Pcnt Equity
    36.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.71%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.171%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -13.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    81.00%
  • Chance of 30% account loss
    38.00%
  • Chance of 40% account loss
    11.50%
  • 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
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    441
  • Popularity (Last 6 weeks)
    886
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    793
  • Popularity (7 days, Percentile 1000 scale)
    771
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $833
  • Avg Win
    $574
  • Sum Trade PL (losers)
    $38,318.000
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $34,453.000
  • # Winners
    60
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    92
  • AUM
  • AUM (AutoTrader live capital)
    30524
  • Win / Loss
  • # Losers
    46
  • % Winners
    56.6%
  • Frequency
  • Avg Position Time (mins)
    4438.40
  • Avg Position Time (hrs)
    73.97
  • Avg Trade Length
    3.1 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.63
  • Daily leverage (max)
    3.30
  • Regression
  • Alpha
    -0.07
  • Beta
    0.63
  • Treynor Index
    -0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.35
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -1.302
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.212
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.380
  • Hold-and-Hope Ratio
    -0.756
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.17451
  • SD
    0.28433
  • Sharpe ratio (Glass type estimate)
    -0.61376
  • Sharpe ratio (Hedges UMVUE)
    -0.56634
  • df
    10.00000
  • t
    -0.58763
  • p
    0.71509
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.66319
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46530
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.62845
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.49576
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.74940
  • Upside Potential Ratio
    1.43082
  • Upside part of mean
    0.33319
  • Downside part of mean
    -0.50770
  • Upside SD
    0.14767
  • Downside SD
    0.23287
  • N nonnegative terms
    6.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.14040
  • Mean of criterion
    -0.17451
  • SD of predictor
    0.13246
  • SD of criterion
    0.28433
  • Covariance
    0.00444
  • r
    0.11797
  • b (slope, estimate of beta)
    0.25323
  • a (intercept, estimate of alpha)
    -0.21007
  • Mean Square Error
    0.08858
  • DF error
    9.00000
  • t(b)
    0.35640
  • p(b)
    0.36488
  • t(a)
    -0.64345
  • p(a)
    0.73201
  • Lowerbound of 95% confidence interval for beta
    -1.35412
  • Upperbound of 95% confidence interval for beta
    1.86058
  • Lowerbound of 95% confidence interval for alpha
    -0.94859
  • Upperbound of 95% confidence interval for alpha
    0.52846
  • Treynor index (mean / b)
    -0.68913
  • Jensen alpha (a)
    -0.21007
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.21378
  • SD
    0.29210
  • Sharpe ratio (Glass type estimate)
    -0.73187
  • Sharpe ratio (Hedges UMVUE)
    -0.67533
  • df
    10.00000
  • t
    -0.70071
  • p
    0.75027
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.78575
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.35718
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.74373
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39307
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.86422
  • Upside Potential Ratio
    1.30200
  • Upside part of mean
    0.32208
  • Downside part of mean
    -0.53586
  • Upside SD
    0.14207
  • Downside SD
    0.24737
  • N nonnegative terms
    6.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.13139
  • Mean of criterion
    -0.21378
  • SD of predictor
    0.13216
  • SD of criterion
    0.29210
  • Covariance
    0.00502
  • r
    0.13008
  • b (slope, estimate of beta)
    0.28752
  • a (intercept, estimate of alpha)
    -0.25156
  • Mean Square Error
    0.09320
  • DF error
    9.00000
  • t(b)
    0.39359
  • p(b)
    0.35152
  • t(a)
    -0.75544
  • p(a)
    0.76535
  • Lowerbound of 95% confidence interval for beta
    -1.36500
  • Upperbound of 95% confidence interval for beta
    1.94003
  • Lowerbound of 95% confidence interval for alpha
    -1.00485
  • Upperbound of 95% confidence interval for alpha
    0.50173
  • Treynor index (mean / b)
    -0.74355
  • Jensen alpha (a)
    -0.25156
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14488
  • Expected Shortfall on VaR
    0.17409
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09405
  • Expected Shortfall on VaR
    0.15590
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.85032
  • Quartile 1
    0.91697
  • Median
    1.01554
  • Quartile 3
    1.05415
  • Maximum
    1.10014
  • Mean of quarter 1
    0.88840
  • Mean of quarter 2
    0.96553
  • Mean of quarter 3
    1.03803
  • Mean of quarter 4
    1.07593
  • Inter Quartile Range
    0.13717
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.61553
  • VaR(95%) (moments method)
    0.12919
  • Expected Shortfall (moments method)
    0.14280
  • Extreme Value Index (regression method)
    0.89863
  • VaR(95%) (regression method)
    0.15362
  • Expected Shortfall (regression method)
    0.93969
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.08024
  • Quartile 1
    0.14192
  • Median
    0.20359
  • Quartile 3
    0.26527
  • Maximum
    0.32695
  • Mean of quarter 1
    0.08024
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.32695
  • Inter Quartile Range
    0.12336
  • 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)
    -0.17090
  • Compounded annual return (geometric extrapolation)
    -0.16962
  • Calmar ratio (compounded annual return / max draw down)
    -0.51880
  • Compounded annual return / average of 25% largest draw downs
    -0.51880
  • Compounded annual return / Expected Shortfall lognormal
    -0.97436
  • 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
    -0.12188
  • SD
    0.33175
  • Sharpe ratio (Glass type estimate)
    -0.36738
  • Sharpe ratio (Hedges UMVUE)
    -0.36629
  • df
    255.00000
  • t
    -0.36315
  • p
    0.64160
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.35012
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.61599
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.34935
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61676
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.50622
  • Upside Potential Ratio
    7.53218
  • Upside part of mean
    1.81345
  • Downside part of mean
    -1.93533
  • Upside SD
    0.22742
  • Downside SD
    0.24076
  • N nonnegative terms
    130.00000
  • N negative terms
    126.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    256.00000
  • Mean of predictor
    0.15215
  • Mean of criterion
    -0.12188
  • SD of predictor
    0.13427
  • SD of criterion
    0.33175
  • Covariance
    0.01138
  • r
    0.25552
  • b (slope, estimate of beta)
    0.63132
  • a (intercept, estimate of alpha)
    -0.21800
  • Mean Square Error
    0.10328
  • DF error
    254.00000
  • t(b)
    4.21218
  • p(b)
    0.00002
  • t(a)
    -0.66870
  • p(a)
    0.74785
  • Lowerbound of 95% confidence interval for beta
    0.33616
  • Upperbound of 95% confidence interval for beta
    0.92649
  • Lowerbound of 95% confidence interval for alpha
    -0.85977
  • Upperbound of 95% confidence interval for alpha
    0.42390
  • Treynor index (mean / b)
    -0.19305
  • Jensen alpha (a)
    -0.21794
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.17698
  • SD
    0.33299
  • Sharpe ratio (Glass type estimate)
    -0.53150
  • Sharpe ratio (Hedges UMVUE)
    -0.52993
  • df
    255.00000
  • t
    -0.52538
  • p
    0.70011
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.51434
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.45233
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.51326
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.45340
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.71793
  • Upside Potential Ratio
    7.25325
  • Upside part of mean
    1.78805
  • Downside part of mean
    -1.96503
  • Upside SD
    0.22315
  • Downside SD
    0.24652
  • N nonnegative terms
    130.00000
  • N negative terms
    126.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    256.00000
  • Mean of predictor
    0.14313
  • Mean of criterion
    -0.17698
  • SD of predictor
    0.13415
  • SD of criterion
    0.33299
  • Covariance
    0.01133
  • r
    0.25355
  • b (slope, estimate of beta)
    0.62933
  • a (intercept, estimate of alpha)
    -0.26706
  • Mean Square Error
    0.10416
  • DF error
    254.00000
  • t(b)
    4.17735
  • p(b)
    0.00002
  • t(a)
    -0.81617
  • p(a)
    0.79241
  • Lowerbound of 95% confidence interval for beta
    0.33264
  • Upperbound of 95% confidence interval for beta
    0.92602
  • Lowerbound of 95% confidence interval for alpha
    -0.91145
  • Upperbound of 95% confidence interval for alpha
    0.37733
  • Treynor index (mean / b)
    -0.28122
  • Jensen alpha (a)
    -0.26706
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03392
  • Expected Shortfall on VaR
    0.04217
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01688
  • Expected Shortfall on VaR
    0.03282
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    256.00000
  • Minimum
    0.90157
  • Quartile 1
    0.98976
  • Median
    1.00035
  • Quartile 3
    1.00889
  • Maximum
    1.06105
  • Mean of quarter 1
    0.97457
  • Mean of quarter 2
    0.99610
  • Mean of quarter 3
    1.00392
  • Mean of quarter 4
    1.02397
  • Inter Quartile Range
    0.01914
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.03125
  • Mean of outliers low
    0.94610
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.04297
  • Mean of outliers high
    1.04858
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.30254
  • VaR(95%) (moments method)
    0.02387
  • Expected Shortfall (moments method)
    0.02898
  • Extreme Value Index (regression method)
    0.01509
  • VaR(95%) (regression method)
    0.02440
  • Expected Shortfall (regression method)
    0.03346
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00725
  • Quartile 1
    0.01180
  • Median
    0.05722
  • Quartile 3
    0.13468
  • Maximum
    0.37860
  • Mean of quarter 1
    0.00769
  • Mean of quarter 2
    0.02282
  • Mean of quarter 3
    0.09163
  • Mean of quarter 4
    0.26382
  • Inter Quartile Range
    0.12288
  • 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
    0.16667
  • Mean of outliers high
    0.37860
  • 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)
    -0.13873
  • Compounded annual return (geometric extrapolation)
    -0.13850
  • Calmar ratio (compounded annual return / max draw down)
    -0.36581
  • Compounded annual return / average of 25% largest draw downs
    -0.52496
  • Compounded annual return / Expected Shortfall lognormal
    -3.28455
  • 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
    -0.16704
  • SD
    0.34521
  • Sharpe ratio (Glass type estimate)
    -0.48389
  • Sharpe ratio (Hedges UMVUE)
    -0.48110
  • df
    130.00000
  • t
    -0.34216
  • p
    0.51500
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.25548
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.28938
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.25352
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29133
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.66924
  • Upside Potential Ratio
    7.85876
  • Upside part of mean
    1.96157
  • Downside part of mean
    -2.12861
  • Upside SD
    0.23678
  • Downside SD
    0.24960
  • 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
    0.11852
  • Mean of criterion
    -0.16704
  • SD of predictor
    0.11693
  • SD of criterion
    0.34521
  • Covariance
    0.01547
  • r
    0.38337
  • b (slope, estimate of beta)
    1.13185
  • a (intercept, estimate of alpha)
    -0.30119
  • Mean Square Error
    0.10244
  • DF error
    129.00000
  • t(b)
    4.71447
  • p(b)
    0.26206
  • t(a)
    -0.66409
  • p(a)
    0.53714
  • Lowerbound of 95% confidence interval for beta
    0.65685
  • Upperbound of 95% confidence interval for beta
    1.60686
  • Lowerbound of 95% confidence interval for alpha
    -1.19853
  • Upperbound of 95% confidence interval for alpha
    0.59615
  • Treynor index (mean / b)
    -0.14758
  • Jensen alpha (a)
    -0.30119
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.22633
  • SD
    0.34567
  • Sharpe ratio (Glass type estimate)
    -0.65476
  • Sharpe ratio (Hedges UMVUE)
    -0.65097
  • df
    130.00000
  • t
    -0.46298
  • p
    0.52029
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.42650
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11940
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.42391
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12196
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.88938
  • Upside Potential Ratio
    7.59982
  • Upside part of mean
    1.93402
  • Downside part of mean
    -2.16035
  • Upside SD
    0.23240
  • Downside SD
    0.25448
  • 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
    0.11170
  • Mean of criterion
    -0.22633
  • SD of predictor
    0.11689
  • SD of criterion
    0.34567
  • Covariance
    0.01558
  • r
    0.38565
  • b (slope, estimate of beta)
    1.14048
  • a (intercept, estimate of alpha)
    -0.35372
  • Mean Square Error
    0.10251
  • DF error
    129.00000
  • t(b)
    4.74734
  • p(b)
    0.26072
  • t(a)
    -0.77985
  • p(a)
    0.54358
  • VAR (95 Confidence Intrvl)
    0.03400
  • Lowerbound of 95% confidence interval for beta
    0.66517
  • Upperbound of 95% confidence interval for beta
    1.61580
  • Lowerbound of 95% confidence interval for alpha
    -1.25114
  • Upperbound of 95% confidence interval for alpha
    0.54369
  • Treynor index (mean / b)
    -0.19845
  • Jensen alpha (a)
    -0.35372
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03535
  • Expected Shortfall on VaR
    0.04389
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01804
  • Expected Shortfall on VaR
    0.03419
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92665
  • Quartile 1
    0.98756
  • Median
    1.00094
  • Quartile 3
    1.00946
  • Maximum
    1.05568
  • Mean of quarter 1
    0.97218
  • Mean of quarter 2
    0.99586
  • Mean of quarter 3
    1.00474
  • Mean of quarter 4
    1.02526
  • Inter Quartile Range
    0.02190
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.94050
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.04871
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.20641
  • VaR(95%) (moments method)
    0.02740
  • Expected Shortfall (moments method)
    0.02879
  • Extreme Value Index (regression method)
    0.00251
  • VaR(95%) (regression method)
    0.02508
  • Expected Shortfall (regression method)
    0.03276
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.28659
  • Quartile 1
    0.28659
  • Median
    0.28659
  • Quartile 3
    0.28659
  • Maximum
    0.28659
  • 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
  • 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?
    -331369000
  • Max Equity Drawdown (num days)
    142
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.18890
  • Compounded annual return (geometric extrapolation)
    -0.17998
  • Calmar ratio (compounded annual return / max draw down)
    -0.62799
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -4.10058

Strategy Description

Predicting whether the stock market will rise or fall is very difficult, but predicting market fluctuations is relatively easy. However, the ability to forecast volatility does not mean returns are guaranteed, because there isn’t a fixed relationship between them. In this paper, we propose a disruptive trading strategy, and design an algorithm using the basic model of severe decay loss of leveraged ETF in the volatile market, which makes the investment become more easily predictable. We will start with the basic theory of the significant decay loss problem of leveraged ETFs, and then explain the entire trading system and logic clearly according to the development and optimization timeline of the S2Pro series products. We will use data graphs instead of mathematical formulas to show the progression of S2Pro's products in the past few decades including drawdown range, position control, stop loss, take profit points, annual earnings, and other related parameters. S2Pro series products are based on a strategy that abandons both the unilateral bullish and bearish market and instead focuses on the continuous accumulation of profits in the volatility market. In the past 20 years, the maximum annual return of S2Pro3, the most basic product of the S2Pro series, reached 300% (2008), and the minimum annual return was 1.2% (2016). Theoretically, the greater the volatility of the stock, the greater the return of the S2Pro series products, which has little correlation with the overall market's return in the current year. The current cutting-edge version of the S2Pro series, S2Pro7, corresponds to a cumulative return of more than 200,000 times the principal amount when projected to market data from the past 22 years. Thanks to the powerful API trading algorithm provided by IBKR, the S2Pro series products have realized fully automatic quantitative trading, and the trading strategy is adjusted according to the closing price every day. This automatic trading strategy will liberate investors from the troublesome and tedious work of trading. Therefore, from the perspective of the investor, purchasing S2Pro products will be similar to investing in other ETFs. Furthermore, the mathematical formula behind the current S2Pro series (SOXX) can also be directly applied to ETFS such as SPY and QQQ, each yielding returns up to hundreds or thousands of times the principal amount. The investor can buy in at any time, at any position. After 2-3 weeks of fluctuation, the positions will converge to the real data of the S2Pro trading system. Lastly, we made a prediction: in view of our judgment that the volatility of the U.S. stock market in 2023 will still be significant, our trading strategy S2Pro7 can bring at least a 40% return in such a market regardless of general market fluctuations.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-12-15
Suggested Minimum Capital
$15,000
Rank at C2 
#160
# Trades
106
# Profitable
60
% Profitable
56.6%
Net Dividends
$91
Correlation S&P500
0.246
Sharpe Ratio
-0.37
Sortino Ratio
-0.51
Beta
0.63
Alpha
-0.07
Leverage
1.63 Average
3.30 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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