Collective2 Collective2
Featured Strategy Day Trade Algo V30/10 Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

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

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

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

Okay, no problem

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

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

Got it

Later

You can find it here.

Got it

Video Saved for Later

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

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

RankOne
(143440978)

Created by: X-ING X-ING
Started: 02/2023
Stocks
Last trade: 225 days ago
Trading style: Equity Non-hedged Equity 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 $80.00 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
Non-hedged Equity
Category: Equity

Non-hedged Equity

Predominantly long equities, although some hedging with short sales of stocks and/or stock index options. Commonly known as "stock-pickers."
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).
4.5%
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.

(11.6%)
Max Drawdown
85
Num Trades
52.9%
Win Trades
1.4 : 1
Profit Factor
57.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023       +2.4%+3.7%(0.7%)(0.5%)+2.9%(0.7%)+2.2%+0.5%(2%)+8.3%+0.5%+17.3%
2024(2%)(7.2%)(0.5%)(0.8%)+0.4%+1.2%(0.2%)+0.6%+0.2%+0.3%            (7.9%)

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 168 hours.

Trading Record

This strategy has placed 224 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
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/5/24 15:59 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 50 107.99 3/8 15:57 107.08 0.16%
Trade id #147547266
Max drawdown($83)
Time3/6/24 0:00
Quant open50
Worst price109.66
Drawdown as % of equity-0.16%
 $45
Includes Typical Broker Commissions trade costs of $1.00
3/6/24 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 712 9.52 3/7 15:55 9.26 0.38%
Trade id #147551237
Max drawdown($199)
Time3/7/24 13:56
Quant open712
Worst price9.24
Drawdown as % of equity-0.38%
 ($190)
Includes Typical Broker Commissions trade costs of $5.00
2/20/24 15:56 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 54 105.39 2/29 9:32 110.60 0.53%
Trade id #147384387
Max drawdown($282)
Time2/29/24 9:32
Quant open54
Worst price110.62
Drawdown as % of equity-0.53%
 ($283)
Includes Typical Broker Commissions trade costs of $1.08
2/20/24 15:56 SPY SPDR S&P 500 SHORT 57 496.08 2/26 15:58 506.13 1.49%
Trade id #147384379
Max drawdown($800)
Time2/23/24 0:00
Quant open57
Worst price510.13
Drawdown as % of equity-1.49%
 ($574)
Includes Typical Broker Commissions trade costs of $1.14
2/9/24 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 153 109.47 2/20 15:55 104.07 2.55%
Trade id #147267039
Max drawdown($1,421)
Time2/13/24 0:00
Quant open153
Worst price100.18
Drawdown as % of equity-2.55%
 ($829)
Includes Typical Broker Commissions trade costs of $3.06
2/9/24 9:30 SPY SPDR S&P 500 LONG 84 498.84 2/20 15:55 494.37 1.22%
Trade id #147267047
Max drawdown($682)
Time2/13/24 0:00
Quant open84
Worst price490.71
Drawdown as % of equity-1.22%
 ($378)
Includes Typical Broker Commissions trade costs of $1.68
2/9/24 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 48 118.00 2/20 15:55 114.84 0.51%
Trade id #147267024
Max drawdown($283)
Time2/13/24 0:00
Quant open48
Worst price112.09
Drawdown as % of equity-0.51%
 ($153)
Includes Typical Broker Commissions trade costs of $0.96
2/9/24 15:56 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 548 7.12 2/15 15:59 7.43 1.76%
Trade id #147278466
Max drawdown($983)
Time2/13/24 0:00
Quant open548
Worst price8.91
Drawdown as % of equity-1.76%
 ($180)
Includes Typical Broker Commissions trade costs of $5.00
1/31/24 15:52 SPY SPDR S&P 500 SHORT 60 483.24 2/9 9:30 498.39 1.63%
Trade id #147185764
Max drawdown($917)
Time2/7/24 0:00
Quant open60
Worst price498.53
Drawdown as % of equity-1.63%
 ($910)
Includes Typical Broker Commissions trade costs of $1.20
1/31/24 15:51 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 56 104.32 2/9 9:30 109.40 0.53%
Trade id #147185756
Max drawdown($294)
Time2/9/24 9:30
Quant open56
Worst price109.57
Drawdown as % of equity-0.53%
 ($285)
Includes Typical Broker Commissions trade costs of $1.12
1/31/24 15:52 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 435 11.11 2/2 15:55 10.34 0.64%
Trade id #147185971
Max drawdown($358)
Time2/2/24 15:11
Quant open435
Worst price10.28
Drawdown as % of equity-0.64%
 ($344)
Includes Typical Broker Commissions trade costs of $8.70
1/26/24 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 106 106.72 1/31 15:51 104.33 0.47%
Trade id #147133071
Max drawdown($268)
Time1/31/24 11:44
Quant open106
Worst price104.19
Drawdown as % of equity-0.47%
 ($255)
Includes Typical Broker Commissions trade costs of $2.12
1/8/24 15:54 SPXL DIREXION DAILY S&P500 BULL 3X LONG 417 105.81 1/31 15:51 106.05 2.05%
Trade id #146941294
Max drawdown($1,160)
Time1/17/24 0:00
Quant open241
Worst price99.72
Drawdown as % of equity-2.05%
 $92
Includes Typical Broker Commissions trade costs of $8.34
1/8/24 15:53 SPY SPDR S&P 500 LONG 115 475.64 1/31 15:51 479.61 1.17%
Trade id #146941279
Max drawdown($663)
Time1/17/24 0:00
Quant open115
Worst price469.87
Drawdown as % of equity-1.17%
 $455
Includes Typical Broker Commissions trade costs of $2.30
1/12/24 15:55 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 54 106.28 1/17 15:58 102.33 0.52%
Trade id #146990073
Max drawdown($291)
Time1/17/24 10:00
Quant open54
Worst price100.89
Drawdown as % of equity-0.52%
 ($214)
Includes Typical Broker Commissions trade costs of $1.08
1/3/24 15:55 SPY SPDR S&P 500 SHORT 62 468.82 1/8 15:52 474.49 0.62%
Trade id #146896841
Max drawdown($356)
Time1/8/24 15:52
Quant open62
Worst price474.58
Drawdown as % of equity-0.62%
 ($352)
Includes Typical Broker Commissions trade costs of $1.24
12/21/23 15:52 SPXL DIREXION DAILY S&P500 BULL 3X LONG 290 103.95 1/3/24 15:54 101.43 1.08%
Trade id #146780381
Max drawdown($631)
Time1/2/24 0:00
Quant open290
Worst price101.77
Drawdown as % of equity-1.08%
 ($736)
Includes Typical Broker Commissions trade costs of $5.80
12/21/23 15:52 SPY SPDR S&P 500 LONG 56 472.66 1/3/24 15:54 470.29 0.22%
Trade id #146780373
Max drawdown($125)
Time1/3/24 15:54
Quant open28
Worst price468.17
Drawdown as % of equity-0.22%
 ($133)
Includes Typical Broker Commissions trade costs of $1.12
12/20/23 15:52 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 408 12.03 12/29 9:30 11.47 0.45%
Trade id #146763870
Max drawdown($263)
Time12/28/23 0:00
Quant open408
Worst price11.38
Drawdown as % of equity-0.45%
 ($234)
Includes Typical Broker Commissions trade costs of $8.16
12/15/23 15:58 SPY SPDR S&P 500 SHORT 95 469.95 12/21 15:51 473.11 0.51%
Trade id #146717871
Max drawdown($298)
Time12/19/23 0:00
Quant open63
Worst price474.92
Drawdown as % of equity-0.51%
 ($303)
Includes Typical Broker Commissions trade costs of $1.90
12/19/23 15:21 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 58 101.04 12/20 15:52 97.92 0.02%
Trade id #146749685
Max drawdown($12)
Time12/20/23 9:44
Quant open58
Worst price101.25
Drawdown as % of equity-0.02%
 $180
Includes Typical Broker Commissions trade costs of $1.16
12/15/23 15:57 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 58 101.69 12/18 9:30 101.72 0%
Trade id #146717835
Max drawdown($1)
Time12/18/23 9:30
Quant open58
Worst price101.72
Drawdown as % of equity-0.00%
 ($3)
Includes Typical Broker Commissions trade costs of $1.16
12/13/23 15:41 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 57 103.21 12/15 15:53 101.84 0.18%
Trade id #146687455
Max drawdown($105)
Time12/15/23 14:01
Quant open57
Worst price101.36
Drawdown as % of equity-0.18%
 ($79)
Includes Typical Broker Commissions trade costs of $1.14
12/12/23 15:49 SPXL DIREXION DAILY S&P500 BULL 3X LONG 60 96.58 12/15 15:53 101.64 0.01%
Trade id #146675158
Max drawdown($5)
Time12/12/23 15:54
Quant open60
Worst price96.50
Drawdown as % of equity-0.01%
 $303
Includes Typical Broker Commissions trade costs of $1.20
12/12/23 15:48 SPY SPDR S&P 500 LONG 118 464.17 12/15 15:53 470.25 0.11%
Trade id #146675150
Max drawdown($63)
Time12/12/23 16:00
Quant open56
Worst price462.71
Drawdown as % of equity-0.11%
 $715
Includes Typical Broker Commissions trade costs of $2.36
11/30/23 9:30 SPY SPDR S&P 500 SHORT 32 455.47 12/12 15:48 463.80 0.48%
Trade id #146575409
Max drawdown($277)
Time12/12/23 15:30
Quant open32
Worst price464.14
Drawdown as % of equity-0.48%
 ($267)
Includes Typical Broker Commissions trade costs of $0.64
11/30/23 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 60 97.53 12/12 13:32 102.52 0.52%
Trade id #146575402
Max drawdown($300)
Time12/12/23 13:32
Quant open60
Worst price102.53
Drawdown as % of equity-0.52%
 ($300)
Includes Typical Broker Commissions trade costs of $1.20
11/30/23 15:53 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 410 10.00 12/8 15:57 9.52 0.29%
Trade id #146582197
Max drawdown($171)
Time12/4/23 0:00
Quant open410
Worst price10.42
Drawdown as % of equity-0.29%
 $190
Includes Typical Broker Commissions trade costs of $8.20
11/10/23 15:54 SPY SPDR S&P 500 LONG 145 444.15 11/29 15:59 452.30 0.43%
Trade id #146405595
Max drawdown($235)
Time11/13/23 0:00
Quant open105
Worst price438.42
Drawdown as % of equity-0.43%
 $1,178
Includes Typical Broker Commissions trade costs of $2.90
10/31/23 15:55 UVXY PROSHARES ULTRA VIX SHORT-TERM SHORT 233 16.00 11/29 15:58 10.21 0%
Trade id #146294132
Max drawdown($2)
Time10/31/23 15:58
Quant open233
Worst price16.01
Drawdown as % of equity-0.00%
 $1,343
Includes Typical Broker Commissions trade costs of $4.66
Next

Statistics

  • Strategy began
    2/3/2023
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    628.91
  • Age
    21 months ago
  • What it trades
    Stocks
  • # Trades
    85
  • # Profitable
    45
  • % Profitable
    52.90%
  • Avg trade duration
    11.3 days
  • Max peak-to-valley drawdown
    11.56%
  • drawdown period
    Dec 14, 2023 - April 18, 2024
  • Annual Return (Compounded)
    4.5%
  • Avg win
    $441.84
  • Avg loss
    $372.18
  • Model Account Values (Raw)
  • Cash
    $48,154
  • Margin Used
    $0
  • Buying Power
    $49,650
  • Ratios
  • W:L ratio
    1.40:1
  • Sharpe Ratio
    0.3
  • Sortino Ratio
    0.44
  • Calmar Ratio
    1.003
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -32.16%
  • Correlation to SP500
    0.15220
  • Return Percent SP500 (cumu) during strategy life
    41.18%
  • Return Statistics
  • Ann Return (w trading costs)
    4.5%
  • Slump
  • Current Slump as Pcnt Equity
    9.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.50%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.045%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    12.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    348
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $372
  • Avg Win
    $468
  • Sum Trade PL (losers)
    $14,887.000
  • Age
  • Num Months filled monthly returns table
    21
  • Win / Loss
  • Sum Trade PL (winners)
    $21,073.000
  • # Winners
    45
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    492
  • Win / Loss
  • # Losers
    40
  • % Winners
    52.9%
  • Frequency
  • Avg Position Time (mins)
    16211.50
  • Avg Position Time (hrs)
    270.19
  • Avg Trade Length
    11.3 days
  • Last Trade Ago
    219
  • Leverage
  • Daily leverage (average)
    0.70
  • Daily leverage (max)
    3.59
  • Regression
  • Alpha
    0.00
  • Beta
    0.10
  • Treynor Index
    0.08
  • 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)
    -0.13
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    5.432
  • 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
    0.417
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.491
  • Hold-and-Hope Ratio
    0.171
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06231
  • SD
    0.08434
  • Sharpe ratio (Glass type estimate)
    0.73876
  • Sharpe ratio (Hedges UMVUE)
    0.69834
  • df
    14.00000
  • t
    0.82596
  • p
    0.39222
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04784
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49991
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.07369
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.47036
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10052
  • Upside Potential Ratio
    2.64587
  • Upside part of mean
    0.14980
  • Downside part of mean
    -0.08749
  • Upside SD
    0.06130
  • Downside SD
    0.05662
  • N nonnegative terms
    11.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.20005
  • Mean of criterion
    0.06231
  • SD of predictor
    0.09902
  • SD of criterion
    0.08434
  • Covariance
    -0.00107
  • r
    -0.12769
  • b (slope, estimate of beta)
    -0.10877
  • a (intercept, estimate of alpha)
    0.08407
  • Mean Square Error
    0.00754
  • DF error
    13.00000
  • t(b)
    -0.46421
  • p(b)
    0.58107
  • t(a)
    0.92691
  • p(a)
    0.34315
  • Lowerbound of 95% confidence interval for beta
    -0.61495
  • Upperbound of 95% confidence interval for beta
    0.39742
  • Lowerbound of 95% confidence interval for alpha
    -0.11187
  • Upperbound of 95% confidence interval for alpha
    0.28000
  • Treynor index (mean / b)
    -0.57285
  • Jensen alpha (a)
    0.08407
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05868
  • SD
    0.08462
  • Sharpe ratio (Glass type estimate)
    0.69347
  • Sharpe ratio (Hedges UMVUE)
    0.65553
  • df
    14.00000
  • t
    0.77532
  • p
    0.39855
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08992
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.45292
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11425
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42531
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.01495
  • Upside Potential Ratio
    2.55308
  • Upside part of mean
    0.14762
  • Downside part of mean
    -0.08893
  • Upside SD
    0.06023
  • Downside SD
    0.05782
  • N nonnegative terms
    11.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.19347
  • Mean of criterion
    0.05868
  • SD of predictor
    0.09822
  • SD of criterion
    0.08462
  • Covariance
    -0.00110
  • r
    -0.13182
  • b (slope, estimate of beta)
    -0.11357
  • a (intercept, estimate of alpha)
    0.08066
  • Mean Square Error
    0.00758
  • DF error
    13.00000
  • t(b)
    -0.47947
  • p(b)
    0.58368
  • t(a)
    0.89274
  • p(a)
    0.34848
  • Lowerbound of 95% confidence interval for beta
    -0.62530
  • Upperbound of 95% confidence interval for beta
    0.39815
  • Lowerbound of 95% confidence interval for alpha
    -0.11453
  • Upperbound of 95% confidence interval for alpha
    0.27584
  • Treynor index (mean / b)
    -0.51672
  • Jensen alpha (a)
    0.08066
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03468
  • Expected Shortfall on VaR
    0.04444
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01061
  • Expected Shortfall on VaR
    0.02428
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.94755
  • Quartile 1
    0.99528
  • Median
    1.01408
  • Quartile 3
    1.01910
  • Maximum
    1.04219
  • Mean of quarter 1
    0.97499
  • Mean of quarter 2
    1.00941
  • Mean of quarter 3
    1.01569
  • Mean of quarter 4
    1.03203
  • Inter Quartile Range
    0.02383
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.06667
  • Mean of outliers low
    0.94755
  • 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)
    0.41237
  • VaR(95%) (moments method)
    0.02888
  • Expected Shortfall (moments method)
    0.05417
  • Extreme Value Index (regression method)
    1.42083
  • VaR(95%) (regression method)
    0.03531
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01319
  • Quartile 1
    0.03109
  • Median
    0.04898
  • Quartile 3
    0.06688
  • Maximum
    0.08478
  • Mean of quarter 1
    0.01319
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08478
  • Inter Quartile Range
    0.03579
  • 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)
    0.09145
  • Compounded annual return (geometric extrapolation)
    0.09045
  • Calmar ratio (compounded annual return / max draw down)
    1.06691
  • Compounded annual return / average of 25% largest draw downs
    1.06691
  • Compounded annual return / Expected Shortfall lognormal
    2.03532
  • 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
    0.07172
  • SD
    0.09424
  • Sharpe ratio (Glass type estimate)
    0.76104
  • Sharpe ratio (Hedges UMVUE)
    0.75938
  • df
    344.00000
  • t
    0.87331
  • p
    0.19155
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94846
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.46945
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94956
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.46833
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.14034
  • Upside Potential Ratio
    7.94300
  • Upside part of mean
    0.49955
  • Downside part of mean
    -0.42783
  • Upside SD
    0.07014
  • Downside SD
    0.06289
  • N nonnegative terms
    166.00000
  • N negative terms
    179.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    345.00000
  • Mean of predictor
    0.23980
  • Mean of criterion
    0.07172
  • SD of predictor
    0.14997
  • SD of criterion
    0.09424
  • Covariance
    0.00265
  • r
    0.18774
  • b (slope, estimate of beta)
    0.11797
  • a (intercept, estimate of alpha)
    0.04300
  • Mean Square Error
    0.00859
  • DF error
    343.00000
  • t(b)
    3.53999
  • p(b)
    0.00023
  • t(a)
    0.53500
  • p(a)
    0.29650
  • Lowerbound of 95% confidence interval for beta
    0.05242
  • Upperbound of 95% confidence interval for beta
    0.18352
  • Lowerbound of 95% confidence interval for alpha
    -0.11623
  • Upperbound of 95% confidence interval for alpha
    0.20309
  • Treynor index (mean / b)
    0.60791
  • Jensen alpha (a)
    0.04343
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06728
  • SD
    0.09410
  • Sharpe ratio (Glass type estimate)
    0.71498
  • Sharpe ratio (Hedges UMVUE)
    0.71342
  • df
    344.00000
  • t
    0.82045
  • p
    0.20626
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99437
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42332
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99542
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42226
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.06250
  • Upside Potential Ratio
    7.84938
  • Upside part of mean
    0.49706
  • Downside part of mean
    -0.42978
  • Upside SD
    0.06955
  • Downside SD
    0.06333
  • N nonnegative terms
    166.00000
  • N negative terms
    179.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    345.00000
  • Mean of predictor
    0.22845
  • Mean of criterion
    0.06728
  • SD of predictor
    0.15010
  • SD of criterion
    0.09410
  • Covariance
    0.00266
  • r
    0.18816
  • b (slope, estimate of beta)
    0.11796
  • a (intercept, estimate of alpha)
    0.04033
  • Mean Square Error
    0.00857
  • DF error
    343.00000
  • t(b)
    3.54807
  • p(b)
    0.00022
  • t(a)
    0.49786
  • p(a)
    0.30945
  • Lowerbound of 95% confidence interval for beta
    0.05257
  • Upperbound of 95% confidence interval for beta
    0.18335
  • Lowerbound of 95% confidence interval for alpha
    -0.11902
  • Upperbound of 95% confidence interval for alpha
    0.19969
  • Treynor index (mean / b)
    0.57038
  • Jensen alpha (a)
    0.04033
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00926
  • Expected Shortfall on VaR
    0.01166
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00380
  • Expected Shortfall on VaR
    0.00790
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    345.00000
  • Minimum
    0.97321
  • Quartile 1
    0.99870
  • Median
    1.00004
  • Quartile 3
    1.00239
  • Maximum
    1.03688
  • Mean of quarter 1
    0.99413
  • Mean of quarter 2
    0.99960
  • Mean of quarter 3
    1.00094
  • Mean of quarter 4
    1.00692
  • Inter Quartile Range
    0.00369
  • Number outliers low
    27.00000
  • Percentage of outliers low
    0.07826
  • Mean of outliers low
    0.98802
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.07826
  • Mean of outliers high
    1.01298
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.47106
  • VaR(95%) (moments method)
    0.00509
  • Expected Shortfall (moments method)
    0.01146
  • Extreme Value Index (regression method)
    0.20588
  • VaR(95%) (regression method)
    0.00501
  • Expected Shortfall (regression method)
    0.00841
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00097
  • Median
    0.00578
  • Quartile 3
    0.02381
  • Maximum
    0.09960
  • Mean of quarter 1
    0.00060
  • Mean of quarter 2
    0.00371
  • Mean of quarter 3
    0.01633
  • Mean of quarter 4
    0.04245
  • Inter Quartile Range
    0.02284
  • 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
    0.04000
  • Mean of outliers high
    0.09960
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.59917
  • VaR(95%) (moments method)
    0.04981
  • Expected Shortfall (moments method)
    0.11360
  • Extreme Value Index (regression method)
    2.49746
  • VaR(95%) (regression method)
    0.04572
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10141
  • Compounded annual return (geometric extrapolation)
    0.09987
  • Calmar ratio (compounded annual return / max draw down)
    1.00273
  • Compounded annual return / average of 25% largest draw downs
    2.35277
  • Compounded annual return / Expected Shortfall lognormal
    8.56166
  • 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
    -0.13186
  • SD
    0.07716
  • Sharpe ratio (Glass type estimate)
    -1.70880
  • Sharpe ratio (Hedges UMVUE)
    -1.69893
  • df
    130.00000
  • t
    -1.20831
  • p
    0.55269
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.48512
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.07392
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.47842
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.08056
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.05675
  • Upside Potential Ratio
    4.72494
  • Upside part of mean
    0.30291
  • Downside part of mean
    -0.43477
  • Upside SD
    0.04319
  • Downside SD
    0.06411
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.46512
  • Mean of criterion
    -0.13186
  • SD of predictor
    0.17832
  • SD of criterion
    0.07716
  • Covariance
    0.00595
  • r
    0.43220
  • b (slope, estimate of beta)
    0.18702
  • a (intercept, estimate of alpha)
    -0.21884
  • Mean Square Error
    0.00488
  • DF error
    129.00000
  • t(b)
    5.44353
  • p(b)
    0.23368
  • t(a)
    -2.18687
  • p(a)
    0.61965
  • Lowerbound of 95% confidence interval for beta
    0.11904
  • Upperbound of 95% confidence interval for beta
    0.25499
  • Lowerbound of 95% confidence interval for alpha
    -0.41684
  • Upperbound of 95% confidence interval for alpha
    -0.02085
  • Treynor index (mean / b)
    -0.70505
  • Jensen alpha (a)
    -0.21884
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.13485
  • SD
    0.07747
  • Sharpe ratio (Glass type estimate)
    -1.74069
  • Sharpe ratio (Hedges UMVUE)
    -1.73063
  • df
    130.00000
  • t
    -1.23086
  • p
    0.55366
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.51730
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.04244
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.51041
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.04914
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.08653
  • Upside Potential Ratio
    4.67224
  • Upside part of mean
    0.30195
  • Downside part of mean
    -0.43680
  • Upside SD
    0.04299
  • Downside SD
    0.06463
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.44886
  • Mean of criterion
    -0.13485
  • SD of predictor
    0.17873
  • SD of criterion
    0.07747
  • Covariance
    0.00599
  • r
    0.43238
  • b (slope, estimate of beta)
    0.18740
  • a (intercept, estimate of alpha)
    -0.21896
  • Mean Square Error
    0.00492
  • DF error
    129.00000
  • t(b)
    5.44623
  • p(b)
    0.23358
  • t(a)
    -2.18172
  • p(a)
    0.61938
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    0.11932
  • Upperbound of 95% confidence interval for beta
    0.25549
  • Lowerbound of 95% confidence interval for alpha
    -0.41753
  • Upperbound of 95% confidence interval for alpha
    -0.02039
  • Treynor index (mean / b)
    -0.71955
  • Jensen alpha (a)
    -0.21896
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00835
  • Expected Shortfall on VaR
    0.01033
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00401
  • Expected Shortfall on VaR
    0.00827
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97321
  • Quartile 1
    0.99842
  • Median
    0.99996
  • Quartile 3
    1.00135
  • Maximum
    1.01399
  • Mean of quarter 1
    0.99436
  • Mean of quarter 2
    0.99928
  • Mean of quarter 3
    1.00053
  • Mean of quarter 4
    1.00427
  • Inter Quartile Range
    0.00293
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.98707
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.00930
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.61972
  • VaR(95%) (moments method)
    0.00578
  • Expected Shortfall (moments method)
    0.01667
  • Extreme Value Index (regression method)
    0.51037
  • VaR(95%) (regression method)
    0.00559
  • Expected Shortfall (regression method)
    0.01302
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00547
  • Quartile 1
    0.02900
  • Median
    0.05253
  • Quartile 3
    0.07606
  • Maximum
    0.09960
  • Mean of quarter 1
    0.00547
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09960
  • Inter Quartile Range
    0.04706
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -338633000
  • Max Equity Drawdown (num days)
    126
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.10413
  • Compounded annual return (geometric extrapolation)
    -0.10142
  • Calmar ratio (compounded annual return / max draw down)
    -1.01832
  • Compounded annual return / average of 25% largest draw downs
    -1.01832
  • Compounded annual return / Expected Shortfall lognormal
    -9.81672

Strategy Description

The primary instrument used is the ProShares Short VIX Short-Term Futures ETF (SVXY).
Because this is a less liquid instrument, I will be restricting the number of subscriptions. This number will be subject to change.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-02-03
Suggested Minimum Capital
$15,000
# Trades
85
# Profitable
45
% Profitable
52.9%
Net Dividends
$492
Correlation S&P500
0.152
Sharpe Ratio
0.30
Sortino Ratio
0.44
Beta
0.10
Alpha
0.00
Leverage
0.70 Average
3.59 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

Okay, gotcha.

Not available

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

Want to see available plans and features?

Please hold...

Strategy is now visible

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

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

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

Continue to designate your strategy as Private?

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.