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

Quantex Efficient
(125401215)

Created by: GonzaloLoayza2 GonzaloLoayza2
Started: 09/2019
Stocks
Last trade: 28 days ago
Trading style: Equity Hedged 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 $39.00 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
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
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.
11.0%
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.

(42.3%)
Max Drawdown
157
Num Trades
55.4%
Win Trades
1.8 : 1
Profit Factor
58.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                          -  +1.3%+2.1%+1.2%+4.6%
2020+4.0%(4.4%)+11.9%+7.1%+1.6%+2.9%+8.9%+0.9%(3%)(4.7%)+6.8%+1.4%+37.0%
2021(2.3%)(2.1%)+0.5%+5.6%(0.5%)+4.6%+3.4%+2.7%(5.9%)+7.4%+1.1%+1.6%+16.3%
2022(7.2%)(4.2%)(1.4%)(14%)(0.8%)(4.3%)+2.0%(1.2%)(1.6%)(3.2%)(0.2%)(0.9%)(32%)
2023+0.5%(2.2%)+3.5%+1.0%+3.3%+6.0%+4.7%(4.7%)(8.9%)(4.2%)+17.0%+8.5%+24.3%
2024+2.3%+8.7%+2.7%                                                      +14.2%

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.

Trading Record

This strategy has placed 97 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 758 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/1/23 11:24 SPY SPDR S&P 500 LONG 11 451.04 2/29/24 11:35 506.83 1.71%
Trade id #145712257
Max drawdown($460)
Time10/27/23 0:00
Quant open11
Worst price409.21
Drawdown as % of equity-1.71%
$614
Includes Typical Broker Commissions trade costs of $0.22
9/1/23 11:24 QQQ POWERSHARES QQQ LONG 29 377.69 2/29/24 11:35 436.46 3.69%
Trade id #145712261
Max drawdown($1,024)
Time10/26/23 0:00
Quant open29
Worst price342.35
Drawdown as % of equity-3.69%
$1,703
Includes Typical Broker Commissions trade costs of $0.58
9/1/23 11:23 QLD PROSHARES ULTRA QQQ LONG 96 66.18 2/29/24 11:34 85.14 4.31%
Trade id #145712245
Max drawdown($1,196)
Time10/26/23 0:00
Quant open96
Worst price53.72
Drawdown as % of equity-4.31%
$1,818
Includes Typical Broker Commissions trade costs of $1.92
9/1/23 11:23 SSO PROSHARES ULTRA S&P 500 LONG 54 59.43 2/29/24 11:33 72.99 2.17%
Trade id #145712241
Max drawdown($585)
Time10/27/23 0:00
Quant open54
Worst price48.59
Drawdown as % of equity-2.17%
$731
Includes Typical Broker Commissions trade costs of $1.08
9/1/23 11:22 TQQQ PROSHARES ULTRAPRO QQQ LONG 105 42.28 2/29/24 11:33 59.50 4.47%
Trade id #145712235
Max drawdown($1,240)
Time10/26/23 0:00
Quant open105
Worst price30.47
Drawdown as % of equity-4.47%
$1,806
Includes Typical Broker Commissions trade costs of $2.10
9/1/23 11:21 SPXL DIREXION DAILY S&P500 BULL 3X LONG 21 92.31 2/29/24 11:33 122.79 1.92%
Trade id #145712227
Max drawdown($518)
Time10/27/23 0:00
Quant open21
Worst price67.60
Drawdown as % of equity-1.92%
$640
Includes Typical Broker Commissions trade costs of $0.42
7/31/23 15:39 SPY SPDR S&P 500 LONG 11 456.34 8/31 15:56 450.70 0.87%
Trade id #145385536
Max drawdown($256)
Time8/18/23 0:00
Quant open11
Worst price433.01
Drawdown as % of equity-0.87%
($62)
Includes Typical Broker Commissions trade costs of $0.22
7/31/23 15:36 SPXL DIREXION DAILY S&P500 BULL 3X LONG 14 97.26 8/31 15:56 92.12 0.71%
Trade id #145385504
Max drawdown($210)
Time8/18/23 0:00
Quant open14
Worst price82.19
Drawdown as % of equity-0.71%
($72)
Includes Typical Broker Commissions trade costs of $0.28
7/31/23 15:37 SSO PROSHARES ULTRA S&P 500 LONG 45 61.30 8/31 15:56 59.32 0.97%
Trade id #145385519
Max drawdown($287)
Time8/18/23 0:00
Quant open45
Worst price54.92
Drawdown as % of equity-0.97%
($90)
Includes Typical Broker Commissions trade costs of $0.90
7/31/23 15:37 TQQQ PROSHARES ULTRAPRO QQQ LONG 46 44.93 8/31 15:56 42.46 1.48%
Trade id #145385515
Max drawdown($439)
Time8/18/23 0:00
Quant open46
Worst price35.37
Drawdown as % of equity-1.48%
($115)
Includes Typical Broker Commissions trade costs of $0.92
7/31/23 15:39 QQQ POWERSHARES QQQ LONG 29 382.68 8/31 15:56 378.17 2.74%
Trade id #145385539
Max drawdown($811)
Time8/18/23 0:00
Quant open29
Worst price354.71
Drawdown as % of equity-2.74%
($132)
Includes Typical Broker Commissions trade costs of $0.58
7/31/23 15:38 QLD PROSHARES ULTRA QQQ LONG 67 68.61 8/31 15:56 66.36 2.25%
Trade id #145385522
Max drawdown($667)
Time8/18/23 0:00
Quant open67
Worst price58.64
Drawdown as % of equity-2.25%
($152)
Includes Typical Broker Commissions trade costs of $1.34
7/31/23 15:40 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 959 7.08 8/31 15:56 6.35 4.91%
Trade id #145385548
Max drawdown($1,457)
Time8/21/23 0:00
Quant open959
Worst price5.56
Drawdown as % of equity-4.91%
($705)
Includes Typical Broker Commissions trade costs of $5.00
7/3/23 9:42 QLD PROSHARES ULTRA QQQ LONG 99 64.74 7/31 15:35 68.60 0.81%
Trade id #145099196
Max drawdown($251)
Time7/10/23 0:00
Quant open99
Worst price62.20
Drawdown as % of equity-0.81%
$380
Includes Typical Broker Commissions trade costs of $1.98
7/3/23 9:43 SPY SPDR S&P 500 LONG 10 443.21 7/31 15:35 456.45 0.19%
Trade id #145099210
Max drawdown($61)
Time7/6/23 0:00
Quant open10
Worst price437.06
Drawdown as % of equity-0.19%
$132
Includes Typical Broker Commissions trade costs of $0.20
7/3/23 9:43 QQQ POWERSHARES QQQ LONG 26 370.49 7/31 15:35 382.79 0.59%
Trade id #145099225
Max drawdown($184)
Time7/10/23 0:00
Quant open26
Worst price363.41
Drawdown as % of equity-0.59%
$319
Includes Typical Broker Commissions trade costs of $0.52
7/3/23 9:44 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 276 7.82 7/31 15:35 7.05 0.77%
Trade id #145099240
Max drawdown($253)
Time7/27/23 0:00
Quant open276
Worst price6.90
Drawdown as % of equity-0.77%
($219)
Includes Typical Broker Commissions trade costs of $5.52
7/3/23 9:42 SSO PROSHARES ULTRA S&P 500 LONG 55 58.07 7/31 15:35 61.31 0.28%
Trade id #145099182
Max drawdown($88)
Time7/6/23 0:00
Quant open55
Worst price56.46
Drawdown as % of equity-0.28%
$177
Includes Typical Broker Commissions trade costs of $1.10
7/3/23 9:41 TQQQ PROSHARES ULTRAPRO QQQ LONG 108 41.34 7/31 15:35 44.96 0.84%
Trade id #145099165
Max drawdown($260)
Time7/10/23 0:00
Quant open108
Worst price38.93
Drawdown as % of equity-0.84%
$389
Includes Typical Broker Commissions trade costs of $2.16
7/3/23 9:40 SPXL DIREXION DAILY S&P500 BULL 3X LONG 21 89.80 7/31 15:35 97.20 0.25%
Trade id #145099110
Max drawdown($77)
Time7/6/23 0:00
Quant open21
Worst price86.09
Drawdown as % of equity-0.25%
$155
Includes Typical Broker Commissions trade costs of $0.42
5/31/23 15:40 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 785 7.93 7/3 9:39 7.81 1.18%
Trade id #144794370
Max drawdown($361)
Time6/7/23 0:00
Quant open785
Worst price7.47
Drawdown as % of equity-1.18%
($99)
Includes Typical Broker Commissions trade costs of $5.00
5/31/23 15:40 QQQ POWERSHARES QQQ LONG 26 348.36 7/3 9:39 370.23 0.15%
Trade id #144794361
Max drawdown($44)
Time6/1/23 0:00
Quant open26
Worst price346.66
Drawdown as % of equity-0.15%
$568
Includes Typical Broker Commissions trade costs of $0.52
5/31/23 15:39 SPY SPDR S&P 500 LONG 22 418.34 7/3 9:39 443.15 0.11%
Trade id #144794356
Max drawdown($34)
Time6/1/23 0:00
Quant open22
Worst price416.79
Drawdown as % of equity-0.11%
$546
Includes Typical Broker Commissions trade costs of $0.44
5/31/23 15:39 QLD PROSHARES ULTRA QQQ LONG 34 57.57 7/3 9:39 64.63 0.07%
Trade id #144794354
Max drawdown($21)
Time6/1/23 0:00
Quant open34
Worst price56.95
Drawdown as % of equity-0.07%
$239
Includes Typical Broker Commissions trade costs of $0.68
5/31/23 15:38 SSO PROSHARES ULTRA S&P 500 LONG 42 51.78 7/3 9:39 58.09 0.06%
Trade id #144794350
Max drawdown($18)
Time6/1/23 0:00
Quant open42
Worst price51.34
Drawdown as % of equity-0.06%
$264
Includes Typical Broker Commissions trade costs of $0.84
5/31/23 15:37 TQQQ PROSHARES ULTRAPRO QQQ LONG 21 34.99 7/3 9:39 41.28 0.04%
Trade id #144794331
Max drawdown($12)
Time6/1/23 0:00
Quant open21
Worst price34.41
Drawdown as % of equity-0.04%
$132
Includes Typical Broker Commissions trade costs of $0.42
5/31/23 15:37 SPXL DIREXION DAILY S&P500 BULL 3X LONG 11 76.09 7/3 9:39 89.89 0.03%
Trade id #144794326
Max drawdown($9)
Time6/1/23 0:00
Quant open11
Worst price75.19
Drawdown as % of equity-0.03%
$152
Includes Typical Broker Commissions trade costs of $0.22
5/15/23 11:36 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 636 8.09 5/31 15:36 7.91 1.78%
Trade id #144615120
Max drawdown($521)
Time5/26/23 0:00
Quant open636
Worst price7.27
Drawdown as % of equity-1.78%
($119)
Includes Typical Broker Commissions trade costs of $5.00
5/15/23 11:35 QLD PROSHARES ULTRA QQQ LONG 39 50.59 5/31 15:36 57.49 0.01%
Trade id #144615111
Max drawdown($3)
Time5/15/23 11:45
Quant open39
Worst price50.49
Drawdown as % of equity-0.01%
$268
Includes Typical Broker Commissions trade costs of $0.78
5/15/23 11:34 SSO PROSHARES ULTRA S&P 500 LONG 43 50.34 5/31 15:36 51.75 0.09%
Trade id #144615090
Max drawdown($25)
Time5/24/23 0:00
Quant open43
Worst price49.75
Drawdown as % of equity-0.09%
$60
Includes Typical Broker Commissions trade costs of $0.86

Statistics

  • Strategy began
    9/18/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1653.2
  • Age
    55 months ago
  • What it trades
    Stocks
  • # Trades
    157
  • # Profitable
    87
  • % Profitable
    55.40%
  • Avg trade duration
    37.2 days
  • Max peak-to-valley drawdown
    42.31%
  • drawdown period
    Dec 28, 2021 - Feb 04, 2023
  • Annual Return (Compounded)
    11.0%
  • Avg win
    $496.76
  • Avg loss
    $359.74
  • Model Account Values (Raw)
  • Cash
    $21,453
  • Margin Used
    $0
  • Buying Power
    $22,779
  • Ratios
  • W:L ratio
    1.83:1
  • Sharpe Ratio
    0.48
  • Sortino Ratio
    0.7
  • Calmar Ratio
    0.472
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -14.08%
  • Correlation to SP500
    0.34460
  • Return Percent SP500 (cumu) during strategy life
    74.65%
  • Return Statistics
  • Ann Return (w trading costs)
    11.0%
  • Slump
  • Current Slump as Pcnt Equity
    4.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.50%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.110%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    13.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    33.50%
  • Chance of 20% account loss
    9.50%
  • 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)
    518
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    355
  • Popularity (7 days, Percentile 1000 scale)
    329
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $360
  • Avg Win
    $498
  • Sum Trade PL (losers)
    $25,182.000
  • Age
  • Num Months filled monthly returns table
    55
  • Win / Loss
  • Sum Trade PL (winners)
    $43,309.000
  • # Winners
    87
  • Num Months Winners
    33
  • Dividends
  • Dividends Received in Model Acct
    1350
  • Win / Loss
  • # Losers
    70
  • % Winners
    55.4%
  • Frequency
  • Avg Position Time (mins)
    53549.30
  • Avg Position Time (hrs)
    892.49
  • Avg Trade Length
    37.2 days
  • Last Trade Ago
    28
  • Leverage
  • Daily leverage (average)
    1.24
  • Daily leverage (max)
    2.07
  • Regression
  • Alpha
    0.02
  • Beta
    0.28
  • Treynor Index
    0.10
  • 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)
    -0.22
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    3.171
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.358
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.609
  • Hold-and-Hope Ratio
    0.324
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10816
  • SD
    0.14207
  • Sharpe ratio (Glass type estimate)
    0.76132
  • Sharpe ratio (Hedges UMVUE)
    0.75007
  • df
    51.00000
  • t
    1.58481
  • p
    0.05960
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19529
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.71069
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20265
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.70279
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.22084
  • Upside Potential Ratio
    2.75689
  • Upside part of mean
    0.24425
  • Downside part of mean
    -0.13609
  • Upside SD
    0.11367
  • Downside SD
    0.08860
  • N nonnegative terms
    31.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    52.00000
  • Mean of predictor
    0.12777
  • Mean of criterion
    0.10816
  • SD of predictor
    0.24365
  • SD of criterion
    0.14207
  • Covariance
    0.02053
  • r
    0.59304
  • b (slope, estimate of beta)
    0.34580
  • a (intercept, estimate of alpha)
    0.06398
  • Mean Square Error
    0.01335
  • DF error
    50.00000
  • t(b)
    5.20805
  • p(b)
    0.00000
  • t(a)
    1.13959
  • p(a)
    0.12994
  • Lowerbound of 95% confidence interval for beta
    0.21244
  • Upperbound of 95% confidence interval for beta
    0.47916
  • Lowerbound of 95% confidence interval for alpha
    -0.04879
  • Upperbound of 95% confidence interval for alpha
    0.17675
  • Treynor index (mean / b)
    0.31279
  • Jensen alpha (a)
    0.06398
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09760
  • SD
    0.14214
  • Sharpe ratio (Glass type estimate)
    0.68668
  • Sharpe ratio (Hedges UMVUE)
    0.67654
  • df
    51.00000
  • t
    1.42945
  • p
    0.07949
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26746
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.63429
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27411
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62718
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.05465
  • Upside Potential Ratio
    2.56662
  • Upside part of mean
    0.23753
  • Downside part of mean
    -0.13993
  • Upside SD
    0.10974
  • Downside SD
    0.09255
  • N nonnegative terms
    31.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    52.00000
  • Mean of predictor
    0.09480
  • Mean of criterion
    0.09760
  • SD of predictor
    0.26447
  • SD of criterion
    0.14214
  • Covariance
    0.02040
  • r
    0.54267
  • b (slope, estimate of beta)
    0.29165
  • a (intercept, estimate of alpha)
    0.06996
  • Mean Square Error
    0.01454
  • DF error
    50.00000
  • t(b)
    4.56842
  • p(b)
    0.00002
  • t(a)
    1.20119
  • p(a)
    0.11767
  • Lowerbound of 95% confidence interval for beta
    0.16342
  • Upperbound of 95% confidence interval for beta
    0.41988
  • Lowerbound of 95% confidence interval for alpha
    -0.04702
  • Upperbound of 95% confidence interval for alpha
    0.18693
  • Treynor index (mean / b)
    0.33466
  • Jensen alpha (a)
    0.06996
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05763
  • Expected Shortfall on VaR
    0.07354
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02245
  • Expected Shortfall on VaR
    0.04741
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    52.00000
  • Minimum
    0.88752
  • Quartile 1
    0.98613
  • Median
    1.01216
  • Quartile 3
    1.02921
  • Maximum
    1.09882
  • Mean of quarter 1
    0.96196
  • Mean of quarter 2
    1.00041
  • Mean of quarter 3
    1.02306
  • Mean of quarter 4
    1.05994
  • Inter Quartile Range
    0.04307
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.03846
  • Mean of outliers low
    0.89248
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01923
  • Mean of outliers high
    1.09882
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43461
  • VaR(95%) (moments method)
    0.04000
  • Expected Shortfall (moments method)
    0.07959
  • Extreme Value Index (regression method)
    0.31178
  • VaR(95%) (regression method)
    0.02805
  • Expected Shortfall (regression method)
    0.04319
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00048
  • Quartile 1
    0.00896
  • Median
    0.01498
  • Quartile 3
    0.04293
  • Maximum
    0.29449
  • Mean of quarter 1
    0.00378
  • Mean of quarter 2
    0.01290
  • Mean of quarter 3
    0.03265
  • Mean of quarter 4
    0.17385
  • Inter Quartile Range
    0.03397
  • 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
    0.14286
  • Mean of outliers high
    0.29449
  • 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)
    0.16677
  • Compounded annual return (geometric extrapolation)
    0.13373
  • Calmar ratio (compounded annual return / max draw down)
    0.45410
  • Compounded annual return / average of 25% largest draw downs
    0.76923
  • Compounded annual return / Expected Shortfall lognormal
    1.81836
  • 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
    0.11231
  • SD
    0.12627
  • Sharpe ratio (Glass type estimate)
    0.88942
  • Sharpe ratio (Hedges UMVUE)
    0.88884
  • df
    1143.00000
  • t
    1.85853
  • p
    0.46507
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04945
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82790
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04983
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82751
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.26869
  • Upside Potential Ratio
    8.83057
  • Upside part of mean
    0.78173
  • Downside part of mean
    -0.66941
  • Upside SD
    0.09024
  • Downside SD
    0.08852
  • N nonnegative terms
    620.00000
  • N negative terms
    524.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1144.00000
  • Mean of predictor
    0.12478
  • Mean of criterion
    0.11231
  • SD of predictor
    0.22098
  • SD of criterion
    0.12627
  • Covariance
    0.01225
  • r
    0.43888
  • b (slope, estimate of beta)
    0.25079
  • a (intercept, estimate of alpha)
    0.08100
  • Mean Square Error
    0.01289
  • DF error
    1142.00000
  • t(b)
    16.50610
  • p(b)
    0.28056
  • t(a)
    1.49047
  • p(a)
    0.47797
  • Lowerbound of 95% confidence interval for beta
    0.22098
  • Upperbound of 95% confidence interval for beta
    0.28061
  • Lowerbound of 95% confidence interval for alpha
    -0.02563
  • Upperbound of 95% confidence interval for alpha
    0.18766
  • Treynor index (mean / b)
    0.44782
  • Jensen alpha (a)
    0.08102
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10430
  • SD
    0.12635
  • Sharpe ratio (Glass type estimate)
    0.82551
  • Sharpe ratio (Hedges UMVUE)
    0.82497
  • df
    1143.00000
  • t
    1.72499
  • p
    0.46757
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.11323
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76392
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.11360
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76354
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.16815
  • Upside Potential Ratio
    8.70874
  • Upside part of mean
    0.77761
  • Downside part of mean
    -0.67331
  • Upside SD
    0.08955
  • Downside SD
    0.08929
  • N nonnegative terms
    620.00000
  • N negative terms
    524.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1144.00000
  • Mean of predictor
    0.10021
  • Mean of criterion
    0.10430
  • SD of predictor
    0.22203
  • SD of criterion
    0.12635
  • Covariance
    0.01224
  • r
    0.43647
  • b (slope, estimate of beta)
    0.24838
  • a (intercept, estimate of alpha)
    0.07942
  • Mean Square Error
    0.01293
  • DF error
    1142.00000
  • t(b)
    16.39370
  • p(b)
    0.28177
  • t(a)
    1.45853
  • p(a)
    0.47844
  • Lowerbound of 95% confidence interval for beta
    0.21866
  • Upperbound of 95% confidence interval for beta
    0.27811
  • Lowerbound of 95% confidence interval for alpha
    -0.02742
  • Upperbound of 95% confidence interval for alpha
    0.18625
  • Treynor index (mean / b)
    0.41994
  • Jensen alpha (a)
    0.07942
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01236
  • Expected Shortfall on VaR
    0.01558
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00554
  • Expected Shortfall on VaR
    0.01122
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1144.00000
  • Minimum
    0.95598
  • Quartile 1
    0.99699
  • Median
    1.00051
  • Quartile 3
    1.00482
  • Maximum
    1.03512
  • Mean of quarter 1
    0.99094
  • Mean of quarter 2
    0.99908
  • Mean of quarter 3
    1.00242
  • Mean of quarter 4
    1.00969
  • Inter Quartile Range
    0.00782
  • Number outliers low
    40.00000
  • Percentage of outliers low
    0.03497
  • Mean of outliers low
    0.97976
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.02360
  • Mean of outliers high
    1.02184
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.05651
  • VaR(95%) (moments method)
    0.00775
  • Expected Shortfall (moments method)
    0.01102
  • Extreme Value Index (regression method)
    0.02456
  • VaR(95%) (regression method)
    0.00814
  • Expected Shortfall (regression method)
    0.01147
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    40.00000
  • Minimum
    0.00036
  • Quartile 1
    0.00430
  • Median
    0.00955
  • Quartile 3
    0.01723
  • Maximum
    0.29979
  • Mean of quarter 1
    0.00233
  • Mean of quarter 2
    0.00752
  • Mean of quarter 3
    0.01313
  • Mean of quarter 4
    0.07373
  • Inter Quartile Range
    0.01293
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.11826
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.47107
  • VaR(95%) (moments method)
    0.06504
  • Expected Shortfall (moments method)
    0.14566
  • Extreme Value Index (regression method)
    0.71858
  • VaR(95%) (regression method)
    0.08294
  • Expected Shortfall (regression method)
    0.32277
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17891
  • Compounded annual return (geometric extrapolation)
    0.14135
  • Calmar ratio (compounded annual return / max draw down)
    0.47151
  • Compounded annual return / average of 25% largest draw downs
    1.91711
  • Compounded annual return / Expected Shortfall lognormal
    9.07444
  • 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
    0.59044
  • SD
    0.17330
  • Sharpe ratio (Glass type estimate)
    3.40697
  • Sharpe ratio (Hedges UMVUE)
    3.38728
  • df
    130.00000
  • t
    2.40909
  • p
    0.39664
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.59805
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.20308
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58506
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.18949
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.67041
  • Upside Potential Ratio
    13.26770
  • Upside part of mean
    1.38152
  • Downside part of mean
    -0.79108
  • Upside SD
    0.14245
  • Downside SD
    0.10413
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36512
  • Mean of criterion
    0.59044
  • SD of predictor
    0.11713
  • SD of criterion
    0.17330
  • Covariance
    0.01610
  • r
    0.79325
  • b (slope, estimate of beta)
    1.17372
  • a (intercept, estimate of alpha)
    0.16190
  • Mean Square Error
    0.01122
  • DF error
    129.00000
  • t(b)
    14.79660
  • p(b)
    0.05464
  • t(a)
    1.06101
  • p(a)
    0.44087
  • Lowerbound of 95% confidence interval for beta
    1.01677
  • Upperbound of 95% confidence interval for beta
    1.33066
  • Lowerbound of 95% confidence interval for alpha
    -0.14000
  • Upperbound of 95% confidence interval for alpha
    0.46379
  • Treynor index (mean / b)
    0.50305
  • Jensen alpha (a)
    0.16190
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57488
  • SD
    0.17290
  • Sharpe ratio (Glass type estimate)
    3.32488
  • Sharpe ratio (Hedges UMVUE)
    3.30566
  • df
    130.00000
  • t
    2.35104
  • p
    0.39902
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.51767
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.11978
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.50488
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.10644
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.47175
  • Upside Potential Ratio
    13.05270
  • Upside part of mean
    1.37136
  • Downside part of mean
    -0.79648
  • Upside SD
    0.14103
  • Downside SD
    0.10506
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35804
  • Mean of criterion
    0.57488
  • SD of predictor
    0.11699
  • SD of criterion
    0.17290
  • Covariance
    0.01605
  • r
    0.79321
  • b (slope, estimate of beta)
    1.17230
  • a (intercept, estimate of alpha)
    0.15515
  • Mean Square Error
    0.01117
  • DF error
    129.00000
  • t(b)
    14.79450
  • p(b)
    0.05466
  • t(a)
    1.01977
  • p(a)
    0.44315
  • VAR (95 Confidence Intrvl)
    0.01200
  • Lowerbound of 95% confidence interval for beta
    1.01553
  • Upperbound of 95% confidence interval for beta
    1.32908
  • Lowerbound of 95% confidence interval for alpha
    -0.14587
  • Upperbound of 95% confidence interval for alpha
    0.45618
  • Treynor index (mean / b)
    0.49039
  • Jensen alpha (a)
    0.15515
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01526
  • Expected Shortfall on VaR
    0.01964
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00595
  • Expected Shortfall on VaR
    0.01230
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97300
  • Quartile 1
    0.99626
  • Median
    1.00218
  • Quartile 3
    1.00899
  • Maximum
    1.03512
  • Mean of quarter 1
    0.98908
  • Mean of quarter 2
    0.99969
  • Mean of quarter 3
    1.00545
  • Mean of quarter 4
    1.01531
  • Inter Quartile Range
    0.01273
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.97451
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.03142
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.05173
  • VaR(95%) (moments method)
    0.00964
  • Expected Shortfall (moments method)
    0.01365
  • Extreme Value Index (regression method)
    -0.18591
  • VaR(95%) (regression method)
    0.01061
  • Expected Shortfall (regression method)
    0.01365
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00088
  • Quartile 1
    0.00569
  • Median
    0.01154
  • Quartile 3
    0.02478
  • Maximum
    0.09802
  • Mean of quarter 1
    0.00306
  • Mean of quarter 2
    0.00906
  • Mean of quarter 3
    0.01550
  • Mean of quarter 4
    0.05152
  • Inter Quartile Range
    0.01909
  • 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
    0.07143
  • Mean of outliers high
    0.09802
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.32490
  • VaR(95%) (moments method)
    0.05559
  • Expected Shortfall (moments method)
    0.06767
  • Extreme Value Index (regression method)
    0.56004
  • VaR(95%) (regression method)
    0.08189
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.19923
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -337641000
  • Max Equity Drawdown (num days)
    403
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.70349
  • Compounded annual return (geometric extrapolation)
    0.82721
  • Calmar ratio (compounded annual return / max draw down)
    8.43898
  • Compounded annual return / average of 25% largest draw downs
    16.05610
  • Compounded annual return / Expected Shortfall lognormal
    42.12610

Strategy Description

As of December 1, 2022, we are incorporating some improvements to the Original strategy (Misti Strategy), especially related to risk management. These mechanisms have been developed and implemented by Quantex Capital, a company dedicated to the development of investment strategies.

Quantex Efficient is an Adaptive Asset Allocation (AAA) Strategy

*Adaptive Asset Allocation (AAA) is based on the Nobel Prize winning portfolio theory of Markowitz (1952).
*AAA combines asset's momentum, volatilities, and cross-correlations for building diversified investment portfolios.
*In a tactical application AAA exploits momentum for crash detection and results in consistent returns at mitigated risk levels.
*In up-trending markets capital is allocated into offensive assets, like stocks, some ETFs, REITs, and commodities, while during market sell-offs especially intermediate US-treasuries are in vogue or ETFs and Stocks with low correlation.

This strategy opens the possibility of capturing high returns in the short term of the leveraged ETFs. Through the use of ETFs with a low correlation between them, we seek to identify market anomalies with a Low ratio: Risk / Reward.

Through a quantitative methodology called "Adaptive Asset Allocation" (AAA), this strategy allows to adapt each month, both the composition of the portfolio and the size of each position. In this way, it seeks to maximize profitability over the medium term and control portfolio volatility.

The system has been backtested since 2011 and in this testing has produced consistently profitable results.

Backtesting data is hypothetical and it has not been verified by C2.
Our system generates around 50 trades a year. This is not a high frequency system, we would expect 4 trades per month on average. This is a purely mechanical system with no discretionary elements. If you wish to receive the results of the Back Testing applied to this strategy, feel free to request them.

I invite you to see an additional strategy that has been recording similar results: https://collective2.com/editSystem/125401215

Summary Statistics

Strategy began
2019-09-18
Suggested Minimum Capital
$15,000
# Trades
157
# Profitable
87
% Profitable
55.4%
Net Dividends
Correlation S&P500
0.345
Sharpe Ratio
0.48
Sortino Ratio
0.70
Beta
0.28
Alpha
0.02
Leverage
1.24 Average
2.07 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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