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

Trades-Own-Strategy Certification

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

Trades-Own-Strategy (TOS) Certification Details
Certification process started 04/20/2020
Most recent certification approved 4/20/20 13:35 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 131
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 131
Percent signals followed since 04/20/2020 100%
This information was last updated 10/25/20 18:25 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 04/20/2020, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results 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.

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

ALPS 1
(128415506)

Created by: TerryWhalen TerryWhalen
Started: 04/2020
Stocks, Forex
Last trade: 9 days ago
Trading style: Equity Trend-following

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $299.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
60.2%
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.

(14.8%)
Max Drawdown
51
Num Trades
70.6%
Win Trades
4.5 : 1
Profit Factor
57.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                       -  (0.6%)+12.8%(5.4%)+22.7%+19.4%+3.2%            +60.2%

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.

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

Trading Record

This strategy has placed 123 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/7/20 16:47 AUD/JPY AUD/JPY SHORT 10 75.655 10/9 8:44 76.295 0.13%
Trade id #131575131
Max drawdown($602)
Time10/9/20 8:42
Quant open10
Worst price76.291
Drawdown as % of equity-0.13%
($604)
9/29/20 15:19 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 4,000 38.59 10/2 14:50 39.51 1.88%
Trade id #131422073
Max drawdown($8,733)
Time10/1/20 0:00
Quant open4,000
Worst price36.41
Drawdown as % of equity-1.88%
$3,661
Includes Typical Broker Commissions trade costs of $6.25
10/1/20 15:54 AGQ PROSHARES ULTRA SILVER LONG 4,000 43.80 10/2 13:59 43.82 0.39%
Trade id #131470293
Max drawdown($1,800)
Time10/2/20 12:04
Quant open4,000
Worst price43.35
Drawdown as % of equity-0.39%
$61
Includes Typical Broker Commissions trade costs of $5.00
9/21/20 10:32 WEBL DIREXION DAILY DOW JONES INTERNET BULL 3X SHARES LONG 2,500 40.00 9/29 12:42 47.67 0.17%
Trade id #131271299
Max drawdown($700)
Time9/21/20 10:40
Quant open2,500
Worst price39.72
Drawdown as % of equity-0.17%
$19,161
Includes Typical Broker Commissions trade costs of $6.00
9/21/20 10:31 FNGU MICROSECTORS FANG+ 3X LEVERAGED ETN LONG 1,000 154.00 9/28 9:30 181.50 0.59%
Trade id #131271245
Max drawdown($2,390)
Time9/21/20 10:39
Quant open1,000
Worst price151.61
Drawdown as % of equity-0.59%
$27,495
Includes Typical Broker Commissions trade costs of $5.00
9/21/20 10:28 SOXL DIREXION DAILY SEMICONDCT BULL LONG 475 210.00 9/28 9:30 240.65 0.19%
Trade id #131271027
Max drawdown($755)
Time9/21/20 10:40
Quant open475
Worst price208.41
Drawdown as % of equity-0.19%
$14,550
Includes Typical Broker Commissions trade costs of $9.50
9/16/20 13:30 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 4,000 24.70 9/18 12:31 27.72 0.64%
Trade id #131205142
Max drawdown($2,560)
Time9/16/20 14:17
Quant open4,000
Worst price24.06
Drawdown as % of equity-0.64%
$12,075
Includes Typical Broker Commissions trade costs of $5.00
9/11/20 14:46 FNGU MICROSECTORS FANG+ 3X LEVERAGED ETN LONG 630 158.71 9/15 9:04 182.50 0.6%
Trade id #131138504
Max drawdown($2,274)
Time9/11/20 15:09
Quant open630
Worst price155.10
Drawdown as % of equity-0.60%
$14,986
Includes Typical Broker Commissions trade costs of $5.00
8/11/20 13:02 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 1,125 89.06 9/9 14:30 99.25 1.02%
Trade id #130563217
Max drawdown($3,862)
Time8/11/20 15:34
Quant open1,125
Worst price85.63
Drawdown as % of equity-1.02%
$11,454
Includes Typical Broker Commissions trade costs of $6.25
8/21/20 13:02 DFEN DIREXION DAILY AEROSPACE & DEFENSE BULL 3X LONG 17,000 11.80 9/3 11:11 12.59 0.09%
Trade id #130733899
Max drawdown($340)
Time8/21/20 13:23
Quant open17,000
Worst price11.78
Drawdown as % of equity-0.09%
$13,425
Includes Typical Broker Commissions trade costs of $5.00
7/20/20 14:04 NKLA NIKOLA CORP LONG 1,500 39.00 8/18 15:31 41.74 4.49%
Trade id #130172311
Max drawdown($15,000)
Time7/30/20 0:00
Quant open1,500
Worst price29.00
Drawdown as % of equity-4.49%
$4,102
Includes Typical Broker Commissions trade costs of $5.00
7/21/20 12:09 DFEN DIREXION DAILY AEROSPACE & DEFENSE BULL 3X LONG 18,250 11.97 8/10 14:32 13.30 11.8%
Trade id #130191393
Max drawdown($37,509)
Time8/3/20 0:00
Quant open18,250
Worst price9.91
Drawdown as % of equity-11.80%
$24,338
Includes Typical Broker Commissions trade costs of $7.50
6/23/20 10:19 NOC NORTHROP GRUMMAN LONG 50 312.90 8/10 13:05 335.00 0.42%
Trade id #129704571
Max drawdown($1,370)
Time7/9/20 0:00
Quant open50
Worst price285.49
Drawdown as % of equity-0.42%
$1,104
Includes Typical Broker Commissions trade costs of $1.00
7/17/20 15:34 SMICY SEMICONDUCTOR MANUFACTURING INT'L. LONG 300 18.90 7/31 14:50 19.21 0.26%
Trade id #130142354
Max drawdown($870)
Time7/27/20 0:00
Quant open300
Worst price16.00
Drawdown as % of equity-0.26%
$87
Includes Typical Broker Commissions trade costs of $6.00
6/4/20 13:34 NVR NVR LONG 2 3434.41 7/30 14:23 3959.15 0.26%
Trade id #129360983
Max drawdown($768)
Time6/15/20 0:00
Quant open2
Worst price3050.00
Drawdown as % of equity-0.26%
$1,049
Includes Typical Broker Commissions trade costs of $0.04
6/23/20 12:51 GUSH DIREXION DAILY S&P OIL GAS EXPL BULL 2X LONG 1,200 34.00 7/30 12:53 32.60 2.27%
Trade id #129707882
Max drawdown($7,008)
Time7/10/20 0:00
Quant open600
Worst price27.82
Drawdown as % of equity-2.27%
($1,688)
Includes Typical Broker Commissions trade costs of $7.50
6/11/20 11:27 BIIB BIOGEN INC. COMMON STOCK LONG 40 288.00 7/30 12:43 276.77 0.37%
Trade id #129495272
Max drawdown($1,216)
Time6/26/20 0:00
Quant open40
Worst price257.60
Drawdown as % of equity-0.37%
($450)
Includes Typical Broker Commissions trade costs of $0.80
6/4/20 13:34 AXP AMERICAN EXPRESS LONG 100 105.83 7/27 14:00 95.52 0.5%
Trade id #129360981
Max drawdown($1,625)
Time7/9/20 0:00
Quant open100
Worst price89.58
Drawdown as % of equity-0.50%
($1,033)
Includes Typical Broker Commissions trade costs of $2.00
6/4/20 13:34 CTAS CINTAS LONG 20 268.62 7/15 12:35 275.06 0.09%
Trade id #129360979
Max drawdown($291)
Time6/26/20 0:00
Quant open20
Worst price254.07
Drawdown as % of equity-0.09%
$129
Includes Typical Broker Commissions trade costs of $0.40
6/25/20 12:11 DFEN DIREXION DAILY AEROSPACE & DEFENSE BULL 3X LONG 17,000 10.95 7/15 12:16 12.05 5.2%
Trade id #129758889
Max drawdown($16,077)
Time7/10/20 0:00
Quant open17,000
Worst price10.00
Drawdown as % of equity-5.20%
$18,766
Includes Typical Broker Commissions trade costs of $7.50
6/26/20 11:56 HSY HERSHEY COMPANY LONG 100 126.50 7/7 14:03 129.27 0.03%
Trade id #129777349
Max drawdown($100)
Time6/29/20 0:00
Quant open100
Worst price125.50
Drawdown as % of equity-0.03%
$275
Includes Typical Broker Commissions trade costs of $2.00
7/2/20 14:00 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 3,000 7.42 7/6 8:39 7.18 0.04%
Trade id #129882739
Max drawdown($120)
Time7/2/20 14:32
Quant open3,000
Worst price7.38
Drawdown as % of equity-0.04%
($725)
Includes Typical Broker Commissions trade costs of $5.00
6/24/20 11:49 NAIL MARKET VECTORS HOMEBUILDR & SPS BULL 3X LONG 6,000 23.30 6/24 13:02 25.40 0.35%
Trade id #129729829
Max drawdown($1,080)
Time6/24/20 11:54
Quant open6,000
Worst price23.12
Drawdown as % of equity-0.35%
$12,595
Includes Typical Broker Commissions trade costs of $5.00
6/23/20 10:22 DFEN DIREXION DAILY AEROSPACE & DEFENSE BULL 3X LONG 11,400 13.19 6/24 11:28 11.83 4.97%
Trade id #129704628
Max drawdown($15,786)
Time6/24/20 11:23
Quant open11,400
Worst price11.81
Drawdown as % of equity-4.97%
($15,566)
Includes Typical Broker Commissions trade costs of $7.50
6/19/20 6:11 GBP/USD GBP/USD LONG 15 1.23885 6/22 12:12 1.24505 0.21%
Trade id #129656121
Max drawdown($696)
Time6/19/20 16:59
Quant open15
Worst price1.23421
Drawdown as % of equity-0.21%
$930
6/19/20 10:49 EUR/JPY EUR/JPY LONG 20 119.634 6/22 12:09 120.341 0.15%
Trade id #129660804
Max drawdown($482)
Time6/19/20 16:43
Quant open20
Worst price119.375
Drawdown as % of equity-0.15%
$1,323
6/17/20 16:18 USD/CAD USD/CAD LONG 20 1.35732 6/18 14:28 1.36119 0.23%
Trade id #129625498
Max drawdown($765)
Time6/18/20 5:31
Quant open20
Worst price1.35212
Drawdown as % of equity-0.23%
$568
6/12/20 11:18 DFEN DIREXION DAILY AEROSPACE & DEFENSE BULL 3X LONG 3,500 13.35 6/18 12:10 14.31 1.25%
Trade id #129531661
Max drawdown($3,745)
Time6/15/20 0:00
Quant open3,500
Worst price12.28
Drawdown as % of equity-1.25%
$3,340
Includes Typical Broker Commissions trade costs of $10.00
6/11/20 12:04 NAIL MARKET VECTORS HOMEBUILDR & SPS BULL 3X LONG 7,025 24.08 6/18 9:36 28.20 5.53%
Trade id #129497639
Max drawdown($16,582)
Time6/15/20 0:00
Quant open5,025
Worst price21.60
Drawdown as % of equity-5.53%
$28,956
Includes Typical Broker Commissions trade costs of $7.50
6/10/20 14:00 USD/CAD USD/CAD LONG 5 1.33525 6/16 1:42 1.35241 0.05%
Trade id #129474556
Max drawdown($138)
Time6/10/20 14:22
Quant open5
Worst price1.33154
Drawdown as % of equity-0.05%
$634

Statistics

  • Strategy began
    4/20/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    188.15
  • Age
    6 months ago
  • What it trades
    Stocks, Forex
  • # Trades
    51
  • # Profitable
    36
  • % Profitable
    70.60%
  • Avg trade duration
    19.4 days
  • Max peak-to-valley drawdown
    14.8%
  • drawdown period
    July 21, 2020 - July 31, 2020
  • Cumul. Return
    60.2%
  • Avg win
    $6,548
  • Avg loss
    $3,519
  • Model Account Values (Raw)
  • Cash
    $384,262
  • Margin Used
    $0
  • Buying Power
    $374,621
  • Ratios
  • W:L ratio
    4.47:1
  • Sharpe Ratio
    2.43
  • Sortino Ratio
    4.7
  • Calmar Ratio
    13.558
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    37.42%
  • Correlation to SP500
    0.24810
  • Return Percent SP500 (cumu) during strategy life
    22.75%
  • Return Statistics
  • Ann Return (w trading costs)
    145.2%
  • Slump
  • Current Slump as Pcnt Equity
    1.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.602%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.60%
  • Percent Trades Forex
    0.40%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    150.7%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    875
  • Popularity (Last 6 weeks)
    954
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    948
  • Popularity (7 days, Percentile 1000 scale)
    932
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $3,520
  • Avg Win
    $6,548
  • Sum Trade PL (losers)
    $52,795.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $235,744.000
  • # Winners
    36
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    43
  • AUM
  • AUM (AutoTrader live capital)
    48283
  • Win / Loss
  • # Losers
    15
  • % Winners
    70.6%
  • Frequency
  • Avg Position Time (mins)
    27921.40
  • Avg Position Time (hrs)
    465.36
  • Avg Trade Length
    19.4 days
  • Last Trade Ago
    9
  • Leverage
  • Daily leverage (average)
    1.10
  • Daily leverage (max)
    3.09
  • Regression
  • Alpha
    0.22
  • Beta
    0.38
  • Treynor Index
    0.68
  • 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)
    -6.09
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.302
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    0.550
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.844
  • Hold-and-Hope Ratio
    0.786
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.96082
  • SD
    0.21430
  • Sharpe ratio (Glass type estimate)
    4.48363
  • Sharpe ratio (Hedges UMVUE)
    3.76960
  • df
    5.00000
  • t
    3.17040
  • p
    0.01240
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.51275
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.24892
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14447
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.39474
  • Statistics related to Sortino ratio
  • Sortino ratio
    42.84010
  • Upside Potential Ratio
    44.25430
  • Upside part of mean
    0.99254
  • Downside part of mean
    -0.03172
  • Upside SD
    0.33867
  • Downside SD
    0.02243
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.37899
  • Mean of criterion
    0.96082
  • SD of predictor
    0.08871
  • SD of criterion
    0.21430
  • Covariance
    0.00181
  • r
    0.09538
  • b (slope, estimate of beta)
    0.23039
  • a (intercept, estimate of alpha)
    0.87350
  • Mean Square Error
    0.05688
  • DF error
    4.00000
  • t(b)
    0.19163
  • p(b)
    0.42868
  • t(a)
    1.54082
  • p(a)
    0.09910
  • Lowerbound of 95% confidence interval for beta
    -3.10835
  • Upperbound of 95% confidence interval for beta
    3.56913
  • Lowerbound of 95% confidence interval for alpha
    -0.70079
  • Upperbound of 95% confidence interval for alpha
    2.44780
  • Treynor index (mean / b)
    4.17039
  • Jensen alpha (a)
    0.87350
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.90571
  • SD
    0.19967
  • Sharpe ratio (Glass type estimate)
    4.53607
  • Sharpe ratio (Hedges UMVUE)
    3.81369
  • df
    5.00000
  • t
    3.20748
  • p
    0.01190
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.54335
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.32350
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17089
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.45650
  • Statistics related to Sortino ratio
  • Sortino ratio
    40.15590
  • Upside Potential Ratio
    41.57010
  • Upside part of mean
    0.93761
  • Downside part of mean
    -0.03190
  • Upside SD
    0.31792
  • Downside SD
    0.02255
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.36913
  • Mean of criterion
    0.90571
  • SD of predictor
    0.08732
  • SD of criterion
    0.19967
  • Covariance
    0.00160
  • r
    0.09151
  • b (slope, estimate of beta)
    0.20926
  • a (intercept, estimate of alpha)
    0.82847
  • Mean Square Error
    0.04942
  • DF error
    4.00000
  • t(b)
    0.18379
  • p(b)
    0.43156
  • t(a)
    1.57845
  • p(a)
    0.09480
  • Lowerbound of 95% confidence interval for beta
    -2.95258
  • Upperbound of 95% confidence interval for beta
    3.37109
  • Lowerbound of 95% confidence interval for alpha
    -0.62907
  • Upperbound of 95% confidence interval for alpha
    2.28600
  • Treynor index (mean / b)
    4.32823
  • Jensen alpha (a)
    0.82847
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01915
  • Expected Shortfall on VaR
    0.04227
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00245
  • Expected Shortfall on VaR
    0.00673
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.98647
  • Quartile 1
    1.05639
  • Median
    1.08910
  • Quartile 3
    1.10859
  • Maximum
    1.16913
  • Mean of quarter 1
    1.01644
  • Mean of quarter 2
    1.08632
  • Mean of quarter 3
    1.09187
  • Mean of quarter 4
    1.14165
  • Inter Quartile Range
    0.05220
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.01353
  • Quartile 1
    0.01353
  • Median
    0.01353
  • Quartile 3
    0.01353
  • Maximum
    0.01353
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.18979
  • Compounded annual return (geometric extrapolation)
    1.54369
  • Calmar ratio (compounded annual return / max draw down)
    114.08800
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    36.51880
  • 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
    0.97615
  • SD
    0.34579
  • Sharpe ratio (Glass type estimate)
    2.82297
  • Sharpe ratio (Hedges UMVUE)
    2.80702
  • df
    133.00000
  • t
    2.01887
  • p
    0.39077
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05634
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.57926
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04574
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.56830
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.88244
  • Upside Potential Ratio
    13.52120
  • Upside part of mean
    2.24375
  • Downside part of mean
    -1.26760
  • Upside SD
    0.30786
  • Downside SD
    0.16594
  • N nonnegative terms
    70.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    134.00000
  • Mean of predictor
    0.39549
  • Mean of criterion
    0.97615
  • SD of predictor
    0.21125
  • SD of criterion
    0.34579
  • Covariance
    0.01718
  • r
    0.23520
  • b (slope, estimate of beta)
    0.38498
  • a (intercept, estimate of alpha)
    0.82400
  • Mean Square Error
    0.11381
  • DF error
    132.00000
  • t(b)
    2.78020
  • p(b)
    0.38240
  • t(a)
    1.73489
  • p(a)
    0.42534
  • Lowerbound of 95% confidence interval for beta
    0.11107
  • Upperbound of 95% confidence interval for beta
    0.65890
  • Lowerbound of 95% confidence interval for alpha
    -0.11550
  • Upperbound of 95% confidence interval for alpha
    1.76328
  • Treynor index (mean / b)
    2.53557
  • Jensen alpha (a)
    0.82389
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.91649
  • SD
    0.33948
  • Sharpe ratio (Glass type estimate)
    2.69967
  • Sharpe ratio (Hedges UMVUE)
    2.68442
  • df
    133.00000
  • t
    1.93069
  • p
    0.39537
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.06494
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.45442
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07511
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.44394
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.43995
  • Upside Potential Ratio
    13.04660
  • Upside part of mean
    2.19801
  • Downside part of mean
    -1.28152
  • Upside SD
    0.29868
  • Downside SD
    0.16847
  • N nonnegative terms
    70.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    134.00000
  • Mean of predictor
    0.37285
  • Mean of criterion
    0.91649
  • SD of predictor
    0.21253
  • SD of criterion
    0.33948
  • Covariance
    0.01699
  • r
    0.23549
  • b (slope, estimate of beta)
    0.37616
  • a (intercept, estimate of alpha)
    0.77624
  • Mean Square Error
    0.10968
  • DF error
    132.00000
  • t(b)
    2.78387
  • p(b)
    0.38226
  • t(a)
    1.66639
  • p(a)
    0.42823
  • Lowerbound of 95% confidence interval for beta
    0.10888
  • Upperbound of 95% confidence interval for beta
    0.64343
  • Lowerbound of 95% confidence interval for alpha
    -0.14520
  • Upperbound of 95% confidence interval for alpha
    1.69768
  • Treynor index (mean / b)
    2.43647
  • Jensen alpha (a)
    0.77624
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03052
  • Expected Shortfall on VaR
    0.03895
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01079
  • Expected Shortfall on VaR
    0.02161
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    134.00000
  • Minimum
    0.95070
  • Quartile 1
    0.99443
  • Median
    1.00036
  • Quartile 3
    1.00859
  • Maximum
    1.09202
  • Mean of quarter 1
    0.98269
  • Mean of quarter 2
    0.99841
  • Mean of quarter 3
    1.00436
  • Mean of quarter 4
    1.02972
  • Inter Quartile Range
    0.01416
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03731
  • Mean of outliers low
    0.96291
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08209
  • Mean of outliers high
    1.05799
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.20183
  • VaR(95%) (moments method)
    0.01489
  • Expected Shortfall (moments method)
    0.01896
  • Extreme Value Index (regression method)
    -0.05875
  • VaR(95%) (regression method)
    0.01801
  • Expected Shortfall (regression method)
    0.02487
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00271
  • Quartile 1
    0.00786
  • Median
    0.01464
  • Quartile 3
    0.04930
  • Maximum
    0.11589
  • Mean of quarter 1
    0.00512
  • Mean of quarter 2
    0.01328
  • Mean of quarter 3
    0.03497
  • Mean of quarter 4
    0.08631
  • Inter Quartile Range
    0.04144
  • 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
    0.07692
  • Mean of outliers high
    0.11589
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.96793
  • VaR(95%) (moments method)
    0.08999
  • Expected Shortfall (moments method)
    0.09588
  • Extreme Value Index (regression method)
    -0.05951
  • VaR(95%) (regression method)
    0.11316
  • Expected Shortfall (regression method)
    0.14598
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.21409
  • Compounded annual return (geometric extrapolation)
    1.57126
  • Calmar ratio (compounded annual return / max draw down)
    13.55780
  • Compounded annual return / average of 25% largest draw downs
    18.20420
  • Compounded annual return / Expected Shortfall lognormal
    40.33580
  • 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
    1.01488
  • SD
    0.34932
  • Sharpe ratio (Glass type estimate)
    2.90526
  • Sharpe ratio (Hedges UMVUE)
    2.88847
  • df
    130.00000
  • t
    2.05433
  • p
    0.41134
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10569
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.69400
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09451
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.68242
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.05641
  • Upside Potential Ratio
    13.69650
  • Upside part of mean
    2.29514
  • Downside part of mean
    -1.28026
  • Upside SD
    0.31136
  • Downside SD
    0.16757
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.42176
  • Mean of criterion
    1.01488
  • SD of predictor
    0.20647
  • SD of criterion
    0.34932
  • Covariance
    0.01737
  • r
    0.24079
  • b (slope, estimate of beta)
    0.40741
  • a (intercept, estimate of alpha)
    0.84305
  • Mean Square Error
    0.11584
  • DF error
    129.00000
  • t(b)
    2.81781
  • p(b)
    0.34820
  • t(a)
    1.73759
  • p(a)
    0.40409
  • Lowerbound of 95% confidence interval for beta
    0.12135
  • Upperbound of 95% confidence interval for beta
    0.69346
  • Lowerbound of 95% confidence interval for alpha
    -0.11690
  • Upperbound of 95% confidence interval for alpha
    1.80301
  • Treynor index (mean / b)
    2.49108
  • Jensen alpha (a)
    0.84305
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.95390
  • SD
    0.34296
  • Sharpe ratio (Glass type estimate)
    2.78134
  • Sharpe ratio (Hedges UMVUE)
    2.76526
  • df
    130.00000
  • t
    1.96670
  • p
    0.41501
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01624
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.56846
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02685
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.55737
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.60676
  • Upside Potential Ratio
    13.21520
  • Upside part of mean
    2.24834
  • Downside part of mean
    -1.29445
  • Upside SD
    0.30208
  • Downside SD
    0.17013
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.40008
  • Mean of criterion
    0.95390
  • SD of predictor
    0.20772
  • SD of criterion
    0.34296
  • Covariance
    0.01717
  • r
    0.24109
  • b (slope, estimate of beta)
    0.39806
  • a (intercept, estimate of alpha)
    0.79464
  • Mean Square Error
    0.11165
  • DF error
    129.00000
  • t(b)
    2.82146
  • p(b)
    0.34802
  • t(a)
    1.66978
  • p(a)
    0.40773
  • VAR (95 Confidence Intrvl)
    0.03100
  • Lowerbound of 95% confidence interval for beta
    0.11892
  • Upperbound of 95% confidence interval for beta
    0.67720
  • Lowerbound of 95% confidence interval for alpha
    -0.14693
  • Upperbound of 95% confidence interval for alpha
    1.73621
  • Treynor index (mean / b)
    2.39636
  • Jensen alpha (a)
    0.79464
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03073
  • Expected Shortfall on VaR
    0.03924
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01072
  • Expected Shortfall on VaR
    0.02155
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95070
  • Quartile 1
    0.99456
  • Median
    1.00119
  • Quartile 3
    1.00889
  • Maximum
    1.09202
  • Mean of quarter 1
    0.98236
  • Mean of quarter 2
    0.99851
  • Mean of quarter 3
    1.00472
  • Mean of quarter 4
    1.03035
  • Inter Quartile Range
    0.01433
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.96037
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.05799
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.37299
  • VaR(95%) (moments method)
    0.01518
  • Expected Shortfall (moments method)
    0.01837
  • Extreme Value Index (regression method)
    -0.13371
  • VaR(95%) (regression method)
    0.01885
  • Expected Shortfall (regression method)
    0.02531
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00122
  • Quartile 1
    0.00518
  • Median
    0.01464
  • Quartile 3
    0.04930
  • Maximum
    0.11589
  • Mean of quarter 1
    0.00346
  • Mean of quarter 2
    0.01328
  • Mean of quarter 3
    0.03497
  • Mean of quarter 4
    0.08631
  • Inter Quartile Range
    0.04412
  • 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
    0.07692
  • Mean of outliers high
    0.11589
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.96793
  • VaR(95%) (moments method)
    0.08999
  • Expected Shortfall (moments method)
    0.09588
  • Extreme Value Index (regression method)
    -0.05951
  • VaR(95%) (regression method)
    0.11316
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.14598
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -307471000
  • Max Equity Drawdown (num days)
    10
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.26758
  • Compounded annual return (geometric extrapolation)
    1.66926
  • Calmar ratio (compounded annual return / max draw down)
    14.40340
  • Compounded annual return / average of 25% largest draw downs
    19.33960
  • Compounded annual return / Expected Shortfall lognormal
    42.53660

Strategy Description

Growth based on asset diversification – or concentration?

Which one is better? Jim Rogers was the co-founder of the Quantum Fund, one of the world's most successful hedge funds, and used the concentration method.

Investing 101 is all about diversification and reducing your risk by spreading money around. Mr. Rogers said, “that it's much smarter to really concentrate your risks, and understand your risks and manage them that way. If you want to succeed, put all of your eggs in one basket... It has to be the right basket, and you better watch that basket very, very closely. But that's how you succeed. You don't get rich diversifying”.

I employ the same strategy here utilizing the concentration method for our funds. I trade my own funds with every trade. This is not a hypothetical trading account, I use my own money and the risk is very real. If you are opposed to the risk and do not want this type of trading please do not follow me, I understand that this type of trading is not for everyone.

I have been trading and investing since 1991 and have had the opportunity of starting and running my own successful registered investment advisory firm. I have retired and only trade/invest my own personal accounts currently.

My strategy is a three-pronged strategy. First, I establish a long term strategy by buying investments/crypto-currency at discounted valuations to build our base (by receiving price appreciation and dividends over long periods of time, holding period (1- 10 yrs)). Next, I trade leveraged ETFs to build capital and to add additional growth to the portfolio (growth and income generator, holding period (1 day - weeks)). Next, I utilize the Forex market to take advantage of currency fluctuations in the market, (growth and income generator, holding period (hours - weeks)).

If you would like to follow me, I welcome you.
Sit Down, Strap In, and Enjoy the Ride.

Summary Statistics

Strategy began
2020-04-20
Suggested Minimum Capital
$100,000
Rank at C2 %
Top 5.2%
Rank # 
#35
# Trades
51
# Profitable
36
% Profitable
70.6%
Net Dividends
Correlation S&P500
0.248
Sharpe Ratio
2.43
Sortino Ratio
4.70
Beta
0.38
Alpha
0.22
Leverage
1.10 Average
3.09 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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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.