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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 03/10/2020
Most recent certification approved 3/10/20 9:45 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 174
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 174
Percent signals followed since 03/10/2020 100%
This information was last updated 10/1/20 17:52 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 03/10/2020, 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.

AI SOXL SOXS swing
(127841340)

Created by: QuantTiger QuantTiger
Started: 03/2020
Stocks
Last trade: 3 days ago
Trading style: Equity Trend-following Sector: Technology

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 $120.00 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.
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
72.9%
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.

(36.2%)
Max Drawdown
85
Num Trades
44.7%
Win Trades
1.4 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              +18.9%(15.6%)+32.4%+25.5%+12.2%+6.1%(16.9%)+5.0%            +73.5%

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 24 hours.

Trading Record

This strategy has placed 174 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
9/25/20 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 790 43.10 9/28 10:18 40.81 4.35%
Trade id #131373060
Max drawdown($1,807)
Time9/28/20 10:18
Quant open790
Worst price40.81
Drawdown as % of equity-4.35%
($1,809)
Includes Typical Broker Commissions trade costs of $5.00
9/22/20 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 166 232.89 9/25 15:59 231.80 9.06%
Trade id #131302097
Max drawdown($3,633)
Time9/24/20 0:00
Quant open166
Worst price211.00
Drawdown as % of equity-9.06%
($184)
Includes Typical Broker Commissions trade costs of $3.32
9/21/20 15:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 392 45.01 9/22 15:59 43.29 1.71%
Trade id #131279670
Max drawdown($739)
Time9/22/20 15:55
Quant open392
Worst price43.12
Drawdown as % of equity-1.71%
($681)
Includes Typical Broker Commissions trade costs of $7.84
9/18/20 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 175 226.55 9/21 15:59 224.27 7.61%
Trade id #131250557
Max drawdown($3,174)
Time9/21/20 10:40
Quant open175
Worst price208.41
Drawdown as % of equity-7.61%
($403)
Includes Typical Broker Commissions trade costs of $3.50
9/17/20 9:30 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 414 45.87 9/18 15:59 44.60 4.09%
Trade id #131219548
Max drawdown($1,765)
Time9/18/20 0:00
Quant open414
Worst price41.61
Drawdown as % of equity-4.09%
($534)
Includes Typical Broker Commissions trade costs of $8.28
9/10/20 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 182 220.99 9/17 9:30 219.83 3.31%
Trade id #131117090
Max drawdown($1,478)
Time9/11/20 0:00
Quant open182
Worst price212.87
Drawdown as % of equity-3.31%
($215)
Includes Typical Broker Commissions trade costs of $3.64
9/10/20 15:20 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 394 47.09 9/10 15:59 46.24 1.09%
Trade id #131115930
Max drawdown($492)
Time9/10/20 15:45
Quant open394
Worst price45.84
Drawdown as % of equity-1.09%
($342)
Includes Typical Broker Commissions trade costs of $7.88
9/8/20 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 177 212.52 9/10 15:20 216.51 n/a $703
Includes Typical Broker Commissions trade costs of $3.54
9/4/20 10:35 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 347 45.22 9/8 15:59 48.59 3.25%
Trade id #131003626
Max drawdown($1,372)
Time9/4/20 15:29
Quant open347
Worst price41.27
Drawdown as % of equity-3.25%
$1,160
Includes Typical Broker Commissions trade costs of $6.94
8/27/20 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 170 253.71 9/4 10:34 230.04 8.79%
Trade id #130828068
Max drawdown($4,091)
Time9/4/20 10:34
Quant open170
Worst price229.64
Drawdown as % of equity-8.79%
($4,026)
Includes Typical Broker Commissions trade costs of $3.40
8/27/20 10:01 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 5,033 3.61 8/27 15:59 3.62 0.96%
Trade id #130817784
Max drawdown($452)
Time8/27/20 11:03
Quant open5,033
Worst price3.52
Drawdown as % of equity-0.96%
$45
Includes Typical Broker Commissions trade costs of $5.00
8/21/20 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 170 245.71 8/27 10:01 254.56 n/a $1,501
Includes Typical Broker Commissions trade costs of $3.40
8/21/20 9:32 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 4,300 3.89 8/21 15:58 3.75 1.29%
Trade id #130727635
Max drawdown($594)
Time8/21/20 15:55
Quant open4,300
Worst price3.75
Drawdown as % of equity-1.29%
($586)
Includes Typical Broker Commissions trade costs of $5.00
8/20/20 15:58 SOXL DIREXION DAILY SEMICONDCT BULL LONG 177 240.85 8/21 9:32 238.39 1.64%
Trade id #130716869
Max drawdown($769)
Time8/21/20 0:00
Quant open177
Worst price236.50
Drawdown as % of equity-1.64%
($439)
Includes Typical Broker Commissions trade costs of $3.54
8/20/20 9:31 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 4,375 3.90 8/20 15:58 3.83 1.07%
Trade id #130706810
Max drawdown($503)
Time8/20/20 9:54
Quant open4,375
Worst price3.78
Drawdown as % of equity-1.07%
($282)
Includes Typical Broker Commissions trade costs of $5.00
8/19/20 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 178 246.85 8/20 9:31 237.15 4.15%
Trade id #130696585
Max drawdown($2,037)
Time8/20/20 0:00
Quant open178
Worst price235.40
Drawdown as % of equity-4.15%
($1,731)
Includes Typical Broker Commissions trade costs of $3.56
8/19/20 14:17 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 4,821 3.72 8/19 15:59 3.74 0.26%
Trade id #130693735
Max drawdown($125)
Time8/19/20 14:57
Quant open4,821
Worst price3.69
Drawdown as % of equity-0.26%
$115
Includes Typical Broker Commissions trade costs of $5.00
8/18/20 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 178 251.56 8/19 14:17 248.83 1%
Trade id #130676246
Max drawdown($498)
Time8/19/20 14:17
Quant open178
Worst price248.76
Drawdown as % of equity-1.00%
($491)
Includes Typical Broker Commissions trade costs of $3.56
8/18/20 9:59 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 5,560 3.66 8/18 15:59 3.67 0.31%
Trade id #130668192
Max drawdown($153)
Time8/18/20 10:51
Quant open5,560
Worst price3.63
Drawdown as % of equity-0.31%
$90
Includes Typical Broker Commissions trade costs of $5.00
8/13/20 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 149 247.67 8/18 9:59 253.05 0.93%
Trade id #130609802
Max drawdown($452)
Time8/14/20 0:00
Quant open149
Worst price244.63
Drawdown as % of equity-0.93%
$798
Includes Typical Broker Commissions trade costs of $2.98
8/13/20 9:30 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 4,700 3.66 8/13 15:59 3.73 0.32%
Trade id #130600304
Max drawdown($153)
Time8/13/20 9:40
Quant open4,700
Worst price3.63
Drawdown as % of equity-0.32%
$334
Includes Typical Broker Commissions trade costs of $5.00
8/11/20 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 149 232.15 8/13 9:30 254.70 n/a $3,357
Includes Typical Broker Commissions trade costs of $2.98
8/11/20 15:47 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 4,500 4.02 8/11 15:59 4.03 0.09%
Trade id #130567423
Max drawdown($41)
Time8/11/20 15:50
Quant open4,500
Worst price4.01
Drawdown as % of equity-0.09%
$65
Includes Typical Broker Commissions trade costs of $5.00
8/10/20 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 160 240.36 8/11 15:47 233.42 2.48%
Trade id #130546143
Max drawdown($1,147)
Time8/11/20 15:47
Quant open160
Worst price233.19
Drawdown as % of equity-2.48%
($1,114)
Includes Typical Broker Commissions trade costs of $3.20
8/10/20 9:30 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 4,800 3.88 8/10 15:59 3.90 0.27%
Trade id #130535965
Max drawdown($123)
Time8/10/20 9:38
Quant open4,800
Worst price3.85
Drawdown as % of equity-0.27%
$112
Includes Typical Broker Commissions trade costs of $5.00
8/7/20 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 160 239.93 8/10 9:30 241.89 n/a $310
Includes Typical Broker Commissions trade costs of $3.20
8/6/20 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 161 248.40 8/7 14:23 231.87 5.83%
Trade id #130497651
Max drawdown($2,672)
Time8/7/20 14:23
Quant open161
Worst price231.79
Drawdown as % of equity-5.83%
($2,664)
Includes Typical Broker Commissions trade costs of $3.22
8/6/20 9:48 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 5,000 3.84 8/6 15:59 3.78 0.87%
Trade id #130487750
Max drawdown($422)
Time8/6/20 14:42
Quant open5,000
Worst price3.76
Drawdown as % of equity-0.87%
($327)
Includes Typical Broker Commissions trade costs of $5.00
8/5/20 15:59 SOXL DIREXION DAILY SEMICONDCT BULL LONG 168 249.55 8/6 9:48 244.58 1.73%
Trade id #130476612
Max drawdown($848)
Time8/6/20 9:48
Quant open168
Worst price244.50
Drawdown as % of equity-1.73%
($838)
Includes Typical Broker Commissions trade costs of $3.36
8/5/20 12:29 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 5,500 3.81 8/5 15:59 3.77 0.64%
Trade id #130472404
Max drawdown($319)
Time8/5/20 14:05
Quant open5,500
Worst price3.75
Drawdown as % of equity-0.64%
($242)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    3/4/2020
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    211.52
  • Age
    7 months ago
  • What it trades
    Stocks
  • # Trades
    85
  • # Profitable
    38
  • % Profitable
    44.70%
  • Avg trade duration
    3.3 days
  • Max peak-to-valley drawdown
    36.22%
  • drawdown period
    March 26, 2020 - April 22, 2020
  • Cumul. Return
    72.9%
  • Avg win
    $1,699
  • Avg loss
    $954.38
  • Model Account Values (Raw)
  • Cash
    $17,575
  • Margin Used
    $0
  • Buying Power
    $20,019
  • Ratios
  • W:L ratio
    1.44:1
  • Sharpe Ratio
    1.25
  • Sortino Ratio
    1.97
  • Calmar Ratio
    5.286
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    64.85%
  • Correlation to SP500
    0.34660
  • Return Percent SP500 (cumu) during strategy life
    8.02%
  • Return Statistics
  • Ann Return (w trading costs)
    153.6%
  • Slump
  • Current Slump as Pcnt Equity
    32.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.14%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.729%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    172.4%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    882
  • Popularity (Last 6 weeks)
    986
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    858
  • Popularity (7 days, Percentile 1000 scale)
    917
  • 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
    $954
  • Avg Win
    $1,700
  • Sum Trade PL (losers)
    $44,856.000
  • AUM
  • AUM (AutoTrader num accounts)
    3
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $64,599.000
  • # Winners
    38
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    65
  • AUM
  • AUM (AutoTrader live capital)
    100056
  • Win / Loss
  • # Losers
    47
  • % Winners
    44.7%
  • Frequency
  • Avg Position Time (mins)
    4716.08
  • Avg Position Time (hrs)
    78.60
  • Avg Trade Length
    3.3 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    2.37
  • Daily leverage (max)
    4.08
  • Regression
  • Alpha
    0.28
  • Beta
    0.63
  • Treynor Index
    0.50
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.20
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    17.868
  • 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
    0.360
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.468
  • Hold-and-Hope Ratio
    0.066
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.51288
  • SD
    0.37349
  • Sharpe ratio (Glass type estimate)
    4.05062
  • Sharpe ratio (Hedges UMVUE)
    3.40556
  • df
    5.00000
  • t
    2.86422
  • p
    0.01762
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25514
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.63862
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07843
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.88954
  • Statistics related to Sortino ratio
  • Sortino ratio
    188.50700
  • Upside Potential Ratio
    189.92100
  • Upside part of mean
    1.52423
  • Downside part of mean
    -0.01135
  • Upside SD
    0.55400
  • Downside SD
    0.00803
  • 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
    0.25145
  • Mean of criterion
    1.51288
  • SD of predictor
    0.42284
  • SD of criterion
    0.37349
  • Covariance
    0.11482
  • r
    0.72706
  • b (slope, estimate of beta)
    0.64222
  • a (intercept, estimate of alpha)
    1.35139
  • Mean Square Error
    0.08220
  • DF error
    4.00000
  • t(b)
    2.11795
  • p(b)
    0.05079
  • t(a)
    3.27564
  • p(a)
    0.01531
  • Lowerbound of 95% confidence interval for beta
    -0.19984
  • Upperbound of 95% confidence interval for beta
    1.48427
  • Lowerbound of 95% confidence interval for alpha
    0.20572
  • Upperbound of 95% confidence interval for alpha
    2.49706
  • Treynor index (mean / b)
    2.35571
  • Jensen alpha (a)
    1.35139
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.37516
  • SD
    0.33592
  • Sharpe ratio (Glass type estimate)
    4.09375
  • Sharpe ratio (Hedges UMVUE)
    3.44181
  • df
    5.00000
  • t
    2.89472
  • p
    0.01700
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28115
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.69882
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.05583
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.93946
  • Statistics related to Sortino ratio
  • Sortino ratio
    171.25900
  • Upside Potential Ratio
    172.67300
  • Upside part of mean
    1.38652
  • Downside part of mean
    -0.01136
  • Upside SD
    0.50155
  • Downside SD
    0.00803
  • 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
    0.16963
  • Mean of criterion
    1.37516
  • SD of predictor
    0.44570
  • SD of criterion
    0.33592
  • Covariance
    0.10807
  • r
    0.72184
  • b (slope, estimate of beta)
    0.54403
  • a (intercept, estimate of alpha)
    1.28287
  • Mean Square Error
    0.06756
  • DF error
    4.00000
  • t(b)
    2.08605
  • p(b)
    0.05265
  • t(a)
    3.46509
  • p(a)
    0.01285
  • Lowerbound of 95% confidence interval for beta
    -0.18019
  • Upperbound of 95% confidence interval for beta
    1.26826
  • Lowerbound of 95% confidence interval for alpha
    0.25476
  • Upperbound of 95% confidence interval for alpha
    2.31099
  • Treynor index (mean / b)
    2.52771
  • Jensen alpha (a)
    1.28287
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04391
  • Expected Shortfall on VaR
    0.08129
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00088
  • Expected Shortfall on VaR
    0.00241
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.99665
  • Quartile 1
    1.03420
  • Median
    1.15146
  • Quartile 3
    1.20401
  • Maximum
    1.25420
  • Mean of quarter 1
    1.00141
  • Mean of quarter 2
    1.11831
  • Mean of quarter 3
    1.18461
  • Mean of quarter 4
    1.23234
  • Inter Quartile Range
    0.16982
  • 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
    0.00335
  • Quartile 1
    0.00335
  • Median
    0.00335
  • Quartile 3
    0.00335
  • Maximum
    0.00335
  • 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)
    2.03368
  • Compounded annual return (geometric extrapolation)
    3.06765
  • Calmar ratio (compounded annual return / max draw down)
    916.62900
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    37.73550
  • 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
    1.19508
  • SD
    0.72879
  • Sharpe ratio (Glass type estimate)
    1.63982
  • Sharpe ratio (Hedges UMVUE)
    1.63161
  • df
    150.00000
  • t
    1.24490
  • p
    0.44944
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.95119
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.22548
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95671
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.21993
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.62708
  • Upside Potential Ratio
    10.25470
  • Upside part of mean
    4.66497
  • Downside part of mean
    -3.46988
  • Upside SD
    0.57107
  • Downside SD
    0.45491
  • N nonnegative terms
    87.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    151.00000
  • Mean of predictor
    0.19458
  • Mean of criterion
    1.19508
  • SD of predictor
    0.42049
  • SD of criterion
    0.72879
  • Covariance
    0.12620
  • r
    0.41183
  • b (slope, estimate of beta)
    0.71378
  • a (intercept, estimate of alpha)
    1.05600
  • Mean Square Error
    0.44401
  • DF error
    149.00000
  • t(b)
    5.51651
  • p(b)
    0.24543
  • t(a)
    1.20284
  • p(a)
    0.43767
  • Lowerbound of 95% confidence interval for beta
    0.45810
  • Upperbound of 95% confidence interval for beta
    0.96945
  • Lowerbound of 95% confidence interval for alpha
    -0.67891
  • Upperbound of 95% confidence interval for alpha
    2.79131
  • Treynor index (mean / b)
    1.67431
  • Jensen alpha (a)
    1.05620
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.93489
  • SD
    0.71767
  • Sharpe ratio (Glass type estimate)
    1.30267
  • Sharpe ratio (Hedges UMVUE)
    1.29615
  • df
    150.00000
  • t
    0.98895
  • p
    0.45976
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.28536
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.88651
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.28974
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.88204
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.97170
  • Upside Potential Ratio
    9.51956
  • Upside part of mean
    4.51373
  • Downside part of mean
    -3.57884
  • Upside SD
    0.53866
  • Downside SD
    0.47415
  • N nonnegative terms
    87.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    151.00000
  • Mean of predictor
    0.10577
  • Mean of criterion
    0.93489
  • SD of predictor
    0.42406
  • SD of criterion
    0.71767
  • Covariance
    0.12173
  • r
    0.39998
  • b (slope, estimate of beta)
    0.67691
  • a (intercept, estimate of alpha)
    0.86330
  • Mean Square Error
    0.43556
  • DF error
    149.00000
  • t(b)
    5.32706
  • p(b)
    0.25233
  • t(a)
    0.99294
  • p(a)
    0.44844
  • Lowerbound of 95% confidence interval for beta
    0.42582
  • Upperbound of 95% confidence interval for beta
    0.92800
  • Lowerbound of 95% confidence interval for alpha
    -0.85471
  • Upperbound of 95% confidence interval for alpha
    2.58130
  • Treynor index (mean / b)
    1.38111
  • Jensen alpha (a)
    0.86330
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06701
  • Expected Shortfall on VaR
    0.08401
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02730
  • Expected Shortfall on VaR
    0.05573
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    151.00000
  • Minimum
    0.88524
  • Quartile 1
    0.98482
  • Median
    1.00523
  • Quartile 3
    1.02429
  • Maximum
    1.24077
  • Mean of quarter 1
    0.95213
  • Mean of quarter 2
    0.99609
  • Mean of quarter 3
    1.01516
  • Mean of quarter 4
    1.05557
  • Inter Quartile Range
    0.03946
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.04636
  • Mean of outliers low
    0.90062
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03311
  • Mean of outliers high
    1.13544
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.22523
  • VaR(95%) (moments method)
    0.04068
  • Expected Shortfall (moments method)
    0.05148
  • Extreme Value Index (regression method)
    -0.27026
  • VaR(95%) (regression method)
    0.04475
  • Expected Shortfall (regression method)
    0.05622
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00347
  • Quartile 1
    0.01418
  • Median
    0.06839
  • Quartile 3
    0.08609
  • Maximum
    0.30628
  • Mean of quarter 1
    0.00588
  • Mean of quarter 2
    0.05142
  • Mean of quarter 3
    0.07277
  • Mean of quarter 4
    0.20784
  • Inter Quartile Range
    0.07191
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.27571
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -5.45704
  • VaR(95%) (moments method)
    0.20447
  • Expected Shortfall (moments method)
    0.20453
  • Extreme Value Index (regression method)
    -1.16939
  • VaR(95%) (regression method)
    0.32395
  • Expected Shortfall (regression method)
    0.34721
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.28702
  • Compounded annual return (geometric extrapolation)
    1.61901
  • Calmar ratio (compounded annual return / max draw down)
    5.28613
  • Compounded annual return / average of 25% largest draw downs
    7.78971
  • Compounded annual return / Expected Shortfall lognormal
    19.27090
  • 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
    1.08467
  • SD
    0.62543
  • Sharpe ratio (Glass type estimate)
    1.73427
  • Sharpe ratio (Hedges UMVUE)
    1.72425
  • df
    130.00000
  • t
    1.22632
  • p
    0.44653
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04881
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.51082
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.05547
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.50397
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.61062
  • Upside Potential Ratio
    10.19530
  • Upside part of mean
    4.23599
  • Downside part of mean
    -3.15131
  • Upside SD
    0.46909
  • Downside SD
    0.41549
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.63029
  • Mean of criterion
    1.08467
  • SD of predictor
    0.24629
  • SD of criterion
    0.62543
  • Covariance
    0.07807
  • r
    0.50683
  • b (slope, estimate of beta)
    1.28705
  • a (intercept, estimate of alpha)
    0.27346
  • Mean Square Error
    0.29294
  • DF error
    129.00000
  • t(b)
    6.67766
  • p(b)
    0.19174
  • t(a)
    0.35285
  • p(a)
    0.48024
  • Lowerbound of 95% confidence interval for beta
    0.90571
  • Upperbound of 95% confidence interval for beta
    1.66839
  • Lowerbound of 95% confidence interval for alpha
    -1.25992
  • Upperbound of 95% confidence interval for alpha
    1.80683
  • Treynor index (mean / b)
    0.84276
  • Jensen alpha (a)
    0.27346
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.88888
  • SD
    0.62544
  • Sharpe ratio (Glass type estimate)
    1.42122
  • Sharpe ratio (Hedges UMVUE)
    1.41301
  • df
    130.00000
  • t
    1.00495
  • p
    0.45610
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.35863
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.19575
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36412
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.19013
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.05660
  • Upside Potential Ratio
    9.55742
  • Upside part of mean
    4.13082
  • Downside part of mean
    -3.24194
  • Upside SD
    0.45210
  • Downside SD
    0.43221
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.59948
  • Mean of criterion
    0.88888
  • SD of predictor
    0.24595
  • SD of criterion
    0.62544
  • Covariance
    0.07691
  • r
    0.49997
  • b (slope, estimate of beta)
    1.27140
  • a (intercept, estimate of alpha)
    0.12671
  • Mean Square Error
    0.29566
  • DF error
    129.00000
  • t(b)
    6.55695
  • p(b)
    0.19552
  • t(a)
    0.16293
  • p(a)
    0.49087
  • VAR (95 Confidence Intrvl)
    0.06700
  • Lowerbound of 95% confidence interval for beta
    0.88776
  • Upperbound of 95% confidence interval for beta
    1.65503
  • Lowerbound of 95% confidence interval for alpha
    -1.41202
  • Upperbound of 95% confidence interval for alpha
    1.66544
  • Treynor index (mean / b)
    0.69914
  • Jensen alpha (a)
    0.12671
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05839
  • Expected Shortfall on VaR
    0.07338
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02432
  • Expected Shortfall on VaR
    0.04999
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.88836
  • Quartile 1
    0.98511
  • Median
    1.00570
  • Quartile 3
    1.02417
  • Maximum
    1.15141
  • Mean of quarter 1
    0.95686
  • Mean of quarter 2
    0.99649
  • Mean of quarter 3
    1.01478
  • Mean of quarter 4
    1.04918
  • Inter Quartile Range
    0.03905
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.89657
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.10333
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02438
  • VaR(95%) (moments method)
    0.03703
  • Expected Shortfall (moments method)
    0.05034
  • Extreme Value Index (regression method)
    -0.21674
  • VaR(95%) (regression method)
    0.03991
  • Expected Shortfall (regression method)
    0.05055
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00347
  • Quartile 1
    0.01418
  • Median
    0.06839
  • Quartile 3
    0.08407
  • Maximum
    0.24516
  • Mean of quarter 1
    0.00588
  • Mean of quarter 2
    0.05142
  • Mean of quarter 3
    0.07277
  • Mean of quarter 4
    0.16932
  • Inter Quartile Range
    0.06989
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.23957
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.16529
  • VaR(95%) (moments method)
    0.17963
  • Expected Shortfall (moments method)
    0.22878
  • Extreme Value Index (regression method)
    -1.11884
  • VaR(95%) (regression method)
    0.16868
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.17703
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -251785000
  • Max Equity Drawdown (num days)
    27
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.16307
  • Compounded annual return (geometric extrapolation)
    1.50125
  • Calmar ratio (compounded annual return / max draw down)
    6.12368
  • Compounded annual return / average of 25% largest draw downs
    8.86650
  • Compounded annual return / Expected Shortfall lognormal
    20.45970

Strategy Description

SOXL is a very high risk/reward ETF, and can move up and down a lot each day. For something that's still high risk/reward but more stable, look at "AI TQQQ SQQQ swing" which trades the leveraged NASDAQ fund TQQQ.

Leveraged ETFs are great for making outsized returns. The disadvantage is the huge potential drawdowns (again due to 3x leverage), that prevent long term buy and hold. You can think of this strategy as one that buys and holds SOXL, and tries to be short (using SOXS) during what could be a intraday or longer drawdown for a buy-and-hold investor. We use machine learning (AI) to determine help determine the proper moves.

NOTES:
1. $10k+ recommended, but minimum of $5k+ is ok to start. Account size system resides in must be $25k+ to avoid pattern day trading (PDT) restrictions.
2. Must have margin account to enable swapping and avoid freeriding (T+2) restrictions.
3. No Martingale used.
4. Stops used, but still exposed to overnight gap risk. This is the "price" to pay for higher rewards of system.
5. May be short on a huge up day, this is "price" to pay to reduce the huge occasional drawdowns.
6. If starting system, enter any existing open positions.
7. Suggest auto-trading be used. System can make trades at open and close (after hours trading helps).
8. Not IRA compatible, due to swapping which can result in being in both opposing positions for short periods of time, and trades back and forth can violate 2-day freeriding rule of most IRA's.

Summary Statistics

Strategy began
2020-03-04
Suggested Minimum Capital
$35,000
Rank at C2 
#96
# Trades
85
# Profitable
38
% Profitable
44.7%
Net Dividends
Correlation S&P500
0.347
Sharpe Ratio
1.25
Sortino Ratio
1.97
Beta
0.63
Alpha
0.28
Leverage
2.37 Average
4.08 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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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.