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

Ethos Swing Star
(127986661)

Created by: EthosPortfolio EthosPortfolio
Started: 03/2020
Stocks
Last trade: 4 days ago
Trading style: 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 $125.00 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
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).
-1.1%
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.

(4.9%)
Max Drawdown
15
Num Trades
46.7%
Win Trades
1.0 : 1
Profit Factor
33.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              (3.2%)(1.6%)+3.8%                                          (1.1%)

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/19/20 15:01 SH PROSHARES SHORT S&P500 LONG 2,000 23.76 5/22 14:06 23.69 1.11%
Trade id #129095381
Max drawdown($560)
Time5/20/20 0:00
Quant open2,000
Worst price23.48
Drawdown as % of equity-1.11%
($145)
Includes Typical Broker Commissions trade costs of $5.00
5/14/20 12:56 SSO PROSHARES ULTRA S&P500 LONG 470 104.95 5/15 9:47 105.39 0.9%
Trade id #129025177
Max drawdown($451)
Time5/14/20 14:44
Quant open470
Worst price103.99
Drawdown as % of equity-0.90%
$198
Includes Typical Broker Commissions trade costs of $9.40
5/5/20 15:43 SH PROSHARES SHORT S&P500 LONG 1,950 24.53 5/14 12:55 24.84 2.83%
Trade id #128878816
Max drawdown($1,365)
Time5/12/20 0:00
Quant open1,950
Worst price23.83
Drawdown as % of equity-2.83%
$589
Includes Typical Broker Commissions trade costs of $7.50
5/4/20 10:07 SPY SPDR S&P 500 LONG 165 281.31 5/5 15:39 286.81 0.31%
Trade id #128855424
Max drawdown($152)
Time5/4/20 13:19
Quant open165
Worst price280.38
Drawdown as % of equity-0.31%
$905
Includes Typical Broker Commissions trade costs of $3.30
4/30/20 9:33 SH PROSHARES SHORT S&P500 LONG 1,800 24.17 5/4 10:04 24.75 0.49%
Trade id #128803337
Max drawdown($234)
Time4/30/20 10:31
Quant open1,800
Worst price24.04
Drawdown as % of equity-0.49%
$1,046
Includes Typical Broker Commissions trade costs of $7.50
4/28/20 10:58 SH PROSHARES SHORT S&P500 LONG 1,900 24.56 4/29 9:52 24.07 2.93%
Trade id #128770260
Max drawdown($1,425)
Time4/29/20 0:00
Quant open1,900
Worst price23.81
Drawdown as % of equity-2.93%
($936)
Includes Typical Broker Commissions trade costs of $5.00
4/23/20 14:13 SH PROSHARES SHORT S&P500 LONG 1,800 25.17 4/24 13:42 25.06 1.4%
Trade id #128714573
Max drawdown($684)
Time4/24/20 0:00
Quant open1,800
Worst price24.79
Drawdown as % of equity-1.40%
($203)
Includes Typical Broker Commissions trade costs of $5.00
4/13/20 9:47 SH PROSHARES SHORT S&P500 LONG 900 25.71 4/14 9:36 25.42 0.86%
Trade id #128533561
Max drawdown($423)
Time4/14/20 0:00
Quant open450
Worst price24.77
Drawdown as % of equity-0.86%
($273)
Includes Typical Broker Commissions trade costs of $11.50
4/8/20 10:19 SPY SPDR S&P 500 LONG 225 268.87 4/9 13:44 274.94 0.16%
Trade id #128473532
Max drawdown($75)
Time4/8/20 10:26
Quant open150
Worst price266.88
Drawdown as % of equity-0.16%
$1,360
Includes Typical Broker Commissions trade costs of $4.50
4/7/20 14:48 SH PROSHARES SHORT S&P500 LONG 1,000 26.42 4/8 10:17 26.49 1.61%
Trade id #128460320
Max drawdown($770)
Time4/8/20 0:00
Quant open1,000
Worst price25.65
Drawdown as % of equity-1.61%
$65
Includes Typical Broker Commissions trade costs of $5.00
4/1/20 12:44 SH PROSHARES SHORT S&P500 LONG 850 28.88 4/6 12:36 28.03 1.67%
Trade id #128362307
Max drawdown($799)
Time4/6/20 12:25
Quant open425
Worst price27.00
Drawdown as % of equity-1.67%
($734)
Includes Typical Broker Commissions trade costs of $11.00
3/30/20 9:32 SPY SPDR S&P 500 LONG 175 257.08 3/30 12:07 258.49 1.31%
Trade id #128313844
Max drawdown($621)
Time3/30/20 9:44
Quant open175
Worst price253.53
Drawdown as % of equity-1.31%
$244
Includes Typical Broker Commissions trade costs of $3.50
3/20/20 12:54 SPY SPDR S&P 500 LONG 100 238.62 3/20 14:27 234.71 0.97%
Trade id #128163604
Max drawdown($469)
Time3/20/20 14:27
Quant open100
Worst price233.93
Drawdown as % of equity-0.97%
($393)
Includes Typical Broker Commissions trade costs of $2.00
3/20/20 10:49 SPY SPDR S&P 500 LONG 200 242.36 3/20 12:25 235.84 2.79%
Trade id #128159997
Max drawdown($1,376)
Time3/20/20 12:24
Quant open200
Worst price235.48
Drawdown as % of equity-2.79%
($1,308)
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    3/12/2020
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    79.36
  • Age
    79 days ago
  • What it trades
    Stocks
  • # Trades
    15
  • # Profitable
    7
  • % Profitable
    46.70%
  • Avg trade duration
    2.1 days
  • Max peak-to-valley drawdown
    4.87%
  • drawdown period
    March 19, 2020 - April 30, 2020
  • Cumul. Return
    -1.1%
  • Avg win
    $635.00
  • Avg loss
    $568.50
  • Model Account Values (Raw)
  • Cash
    $27,217
  • Margin Used
    $0
  • Buying Power
    $26,617
  • Ratios
  • W:L ratio
    0.98:1
  • Sharpe Ratio
    -0.31
  • Sortino Ratio
    -0.49
  • Calmar Ratio
    0.305
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.05550
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -23.85%
  • Return Percent SP500 (cumu) during strategy life
    22.72%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    -4.9%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.18%
  • Instruments
  • Percent Trades Stocks
    1.00%
  • Slump
  • Current Slump as Pcnt Equity
    0.03%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.011%
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.9%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    538
  • Popularity (Last 6 weeks)
    855
  • Popularity (7 days, Percentile 1000 scale)
    653
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    758
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $635
  • Avg Loss
    $568
  • Sum Trade PL (losers)
    $4,548.000
  • Sum Trade PL (winners)
    $4,445.000
  • # Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • Num Months Winners
    1
  • Age
  • Num Months filled monthly returns table
    3
  • Win / Loss
  • # Losers
    8
  • % Winners
    46.7%
  • Frequency
  • Avg Position Time (mins)
    3066.05
  • Avg Position Time (hrs)
    51.10
  • Avg Trade Length
    2.1 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    0.83
  • Daily leverage (max)
    1.97
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.01
  • Treynor Index
    1.01
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    0.21
  • MAE:Equity, average, all trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -42.822
  • 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
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.825
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.437
  • Hold-and-Hope Ratio
    -0.010
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    -0.00100
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.01300
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    42
  • Last 4 Months - Pcnt Negative
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -268104000

Strategy Description

Ethos Swing Star is based on my top ranked Ethos Swing strategy on C2, but is more focused on reducing risk and large draw drowns. I do this by selecting ETFs that have less leverage than the 3x leveraged ETFs traded on the original Ethos Swing. Ethos Swing Star buys SPY (no leverage) or SSO (2x leverage) when the strategy believes the market is trending higher and SH (no leverage) during down turns.

While the original Ethos Swing aims to place trades that capture the entirety of medium term swings in the market, this strategy is actively managed to profit from the smaller swings within the larger trend. Ethos Swing Star makes approximately 20-50 trades per year.

Ethos Swing Star is compatible with IRA and other retirement accounts since it only holds long positions in popular ETFs. Annual commissions are low because relatively few trades are placed throughout the year. The ETFs we trade are extremely liquid making this strategy easily scalable for account sizes from $10,000 to over a million dollars. This strategy is compatible with auto trading and manual trading on Collective2.

Please message me on C2 or via email at info@ethosportfolio.com if you have any questions or would like an in-depth FAQ on Ethos Swing.

- Strategy Type: Medium term market reversal

- Account Compatibility: Any stock trading account (IRA and retirement account friendly)

- Instruments Traded: 3 ETFs (SPY, SSO, & SH - Long Only)

- Trading Times: Only during live US market hours

- Position Sizing: 100% of capital on each trade (No Averaging or Martingale)

- Positions Held Overnight: Yes

- Positions Held Through Weekends: Yes

- Average Holding Time: 2 Weeks - 2 Months

- Number of Trades per Year: 20 - 50

- Update Messages: Every weekend

Summary Statistics

Strategy began
2020-03-12
Suggested Minimum Capital
$15,000
# Trades
15
# Profitable
7
% Profitable
46.7%
Correlation S&P500
-0.056
Sharpe Ratio
-0.31
Sortino Ratio
-0.49
Beta
-0.01
Alpha
-0.01
Leverage
0.83 Average
1.97 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.