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IRA Truck
(116548176)

Created by: v1Trader v1Trader
Started: 02/2018
Stocks
Last trade: 3 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. You can subscribe to this system for free.

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.
29.3%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(18.5%)
Max Drawdown
54
Num Trades
44.4%
Win Trades
1.8 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Standard commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018       (0.8%)(0.1%)+1.6%+3.5%+1.7%(1.6%)(1.3%)(0.3%)(5.4%)(4.8%)+19.1%+10.1%
2019+2.2%+7.7%+8.9%+10.8%(5.2%)                                          +25.9%

Model Account Details

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

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

System developer has asked us to delay this information by 28 hours.

Trading Record

This strategy has placed 19 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/9/19 12:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 500 59.48 5/13 9:30 57.08 1.72%
Trade id #123593028
Max drawdown($1,200)
Time5/13/19 9:30
Quant open250
Worst price56.37
Drawdown as % of equity-1.72%
($1,210)
Includes Typical Broker Commissions trade costs of $10.00
5/7/19 14:59 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 1,000 30.96 5/8 15:56 30.60 1.95%
Trade id #123563621
Max drawdown($1,348)
Time5/8/19 11:16
Quant open1,000
Worst price29.61
Drawdown as % of equity-1.95%
($361)
Includes Typical Broker Commissions trade costs of $5.00
4/26/19 12:11 TQQQ PROSHARES ULTRAPRO QQQ LONG 800 66.99 5/7 11:04 62.25 5.34%
Trade id #123445239
Max drawdown($3,795)
Time5/7/19 11:04
Quant open0
Worst price62.25
Drawdown as % of equity-5.34%
($3,806)
Includes Typical Broker Commissions trade costs of $10.50
4/24/19 9:54 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 8,500 8.63 4/25 15:57 8.55 2.61%
Trade id #123412413
Max drawdown($1,955)
Time4/25/19 8:20
Quant open8,500
Worst price8.40
Drawdown as % of equity-2.61%
($643)
Includes Typical Broker Commissions trade costs of $5.00
4/8/19 10:14 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,000 61.03 4/24 9:30 67.11 0.08%
Trade id #123239073
Max drawdown($53)
Time4/8/19 10:31
Quant open500
Worst price60.79
Drawdown as % of equity-0.08%
$6,065
Includes Typical Broker Commissions trade costs of $12.50
1/31/19 9:51 TQQQ PROSHARES ULTRAPRO QQQ LONG 900 46.19 4/2 12:49 59.24 n/a $11,742
Includes Typical Broker Commissions trade costs of $5.00
1/31/19 9:50 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 250 47.52 4/2 12:49 52.84 n/a $1,325
Includes Typical Broker Commissions trade costs of $5.00
1/8/19 15:24 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 500 44.60 1/23 12:08 44.25 0.32%
Trade id #121854869
Max drawdown($175)
Time1/23/19 12:08
Quant open0
Worst price44.25
Drawdown as % of equity-0.32%
($185)
Includes Typical Broker Commissions trade costs of $10.00
1/8/19 15:23 TQQQ PROSHARES ULTRAPRO QQQ LONG 600 40.64 1/23 11:57 41.35 0.83%
Trade id #121854852
Max drawdown($468)
Time1/14/19 9:36
Quant open600
Worst price39.86
Drawdown as % of equity-0.83%
$421
Includes Typical Broker Commissions trade costs of $5.00
12/19/18 15:09 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 1,000 43.39 12/28 14:24 48.15 2.2%
Trade id #121581147
Max drawdown($1,020)
Time12/19/18 15:59
Quant open1,000
Worst price42.37
Drawdown as % of equity-2.20%
$4,755
Includes Typical Broker Commissions trade costs of $5.00
12/19/18 15:11 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 600 17.45 12/28 10:12 17.10 1.04%
Trade id #121581223
Max drawdown($582)
Time12/28/18 6:36
Quant open600
Worst price16.48
Drawdown as % of equity-1.04%
($215)
Includes Typical Broker Commissions trade costs of $5.00
12/4/18 15:08 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 900 36.19 12/10 15:52 40.02 0.62%
Trade id #121343125
Max drawdown($288)
Time12/4/18 15:16
Quant open900
Worst price35.87
Drawdown as % of equity-0.62%
$3,442
Includes Typical Broker Commissions trade costs of $5.00
12/4/18 15:07 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,000 14.06 12/10 15:51 14.91 0.23%
Trade id #121343100
Max drawdown($110)
Time12/6/18 17:40
Quant open1,000
Worst price13.95
Drawdown as % of equity-0.23%
$845
Includes Typical Broker Commissions trade costs of $5.00
11/8/18 15:19 AGG ISHARES CORE US AGGREGATE BOND LONG 200 104.05 11/13 13:34 104.30 0.02%
Trade id #120837325
Max drawdown($10)
Time11/8/18 15:48
Quant open200
Worst price104.00
Drawdown as % of equity-0.02%
$46
Includes Typical Broker Commissions trade costs of $4.00
11/8/18 15:17 VMIN REX INVERSE VIX WEEKLY FUT STRAT LONG 4,000 2.95 11/13 13:34 2.74 2.25%
Trade id #120837303
Max drawdown($1,040)
Time11/13/18 10:27
Quant open4,000
Worst price2.69
Drawdown as % of equity-2.25%
($845)
Includes Typical Broker Commissions trade costs of $5.00
11/8/18 15:17 TQQQ PROSHARES ULTRAPRO QQQ LONG 250 56.10 11/13 13:34 49.94 4.26%
Trade id #120837275
Max drawdown($1,967)
Time11/12/18 19:45
Quant open250
Worst price48.23
Drawdown as % of equity-4.26%
($1,545)
Includes Typical Broker Commissions trade costs of $5.00
10/10/18 15:46 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 1,100 33.39 10/15 11:05 34.85 1.74%
Trade id #120284382
Max drawdown($825)
Time10/11/18 10:00
Quant open1,100
Worst price32.64
Drawdown as % of equity-1.74%
$1,601
Includes Typical Broker Commissions trade costs of $5.00
10/10/18 15:48 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 500 13.67 10/12 10:08 13.33 0.41%
Trade id #120284466
Max drawdown($210)
Time10/12/18 9:31
Quant open500
Worst price13.25
Drawdown as % of equity-0.41%
($180)
Includes Typical Broker Commissions trade costs of $10.00
9/11/18 13:04 VMIN REX INVERSE VIX WEEKLY FUT STRAT LONG 4,500 3.28 10/10 14:44 3.05 2.18%
Trade id #119806596
Max drawdown($1,035)
Time10/10/18 14:44
Quant open0
Worst price3.05
Drawdown as % of equity-2.18%
($1,040)
Includes Typical Broker Commissions trade costs of $5.00
9/11/18 12:52 TQQQ PROSHARES ULTRAPRO QQQ LONG 110 67.97 10/10 12:03 59.50 2.08%
Trade id #119806188
Max drawdown($986)
Time10/10/18 11:23
Quant open110
Worst price59.00
Drawdown as % of equity-2.08%
($934)
Includes Typical Broker Commissions trade costs of $2.20
9/11/18 12:58 QQQ POWERSHARES QQQ LONG 41 183.09 10/10 11:42 175.48 0.71%
Trade id #119806292
Max drawdown($337)
Time10/10/18 11:23
Quant open41
Worst price174.85
Drawdown as % of equity-0.71%
($313)
Includes Typical Broker Commissions trade costs of $0.82
9/11/18 12:50 AGG ISHARES CORE US AGGREGATE BOND LONG 95 105.78 10/10 11:42 104.39 0.31%
Trade id #119806149
Max drawdown($151)
Time10/5/18 13:57
Quant open95
Worst price104.19
Drawdown as % of equity-0.31%
($134)
Includes Typical Broker Commissions trade costs of $1.90
9/11/18 12:53 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 550 18.20 10/10 11:42 15.72 3.18%
Trade id #119806215
Max drawdown($1,540)
Time10/8/18 19:23
Quant open550
Worst price15.40
Drawdown as % of equity-3.18%
($1,369)
Includes Typical Broker Commissions trade costs of $5.00
8/7/18 14:59 ANET ARISTA NETWORKS INC LONG 20 270.99 9/11 12:47 268.00 0.33%
Trade id #119325940
Max drawdown($169)
Time8/15/18 14:15
Quant open20
Worst price262.52
Drawdown as % of equity-0.33%
($60)
Includes Typical Broker Commissions trade costs of $0.40
8/7/18 15:01 XPO XPO LOGISTICS LONG 50 104.84 8/15 9:32 101.00 0.38%
Trade id #119325992
Max drawdown($192)
Time8/15/18 9:32
Quant open0
Worst price101.00
Drawdown as % of equity-0.38%
($193)
Includes Typical Broker Commissions trade costs of $1.00
7/30/18 12:47 EDU NEW ORIENTAL LONG 50 87.57 8/2 12:21 82.40 0.51%
Trade id #119188341
Max drawdown($259)
Time8/2/18 12:21
Quant open0
Worst price82.40
Drawdown as % of equity-0.51%
($260)
Includes Typical Broker Commissions trade costs of $1.00
7/30/18 12:51 EDC DIREXION DAILY EMRG MKTS BULL LONG 100 97.40 8/2 9:30 90.85 1.34%
Trade id #119188509
Max drawdown($696)
Time8/2/18 7:01
Quant open100
Worst price90.44
Drawdown as % of equity-1.34%
($657)
Includes Typical Broker Commissions trade costs of $2.00
2/16/18 13:00 XPO XPO LOGISTICS LONG 150 98.71 7/30 13:45 98.50 0.69%
Trade id #116563583
Max drawdown($362)
Time7/30/18 13:31
Quant open100
Worst price95.09
Drawdown as % of equity-0.69%
($35)
Includes Typical Broker Commissions trade costs of $3.00
5/29/18 13:08 EDZ DIREXION DAILY EMRG MKTS BEAR 3X LONG 200 45.92 7/30 12:50 46.90 0.27%
Trade id #118151007
Max drawdown($142)
Time7/25/18 15:56
Quant open200
Worst price45.21
Drawdown as % of equity-0.27%
$192
Includes Typical Broker Commissions trade costs of $4.00
7/17/18 11:46 NFLX NETFLIX LONG 10 369.41 7/30 9:31 349.00 0.39%
Trade id #118976177
Max drawdown($204)
Time7/30/18 9:31
Quant open0
Worst price349.00
Drawdown as % of equity-0.39%
($204)
Includes Typical Broker Commissions trade costs of $0.20

Statistics

  • Strategy began
    2/16/2018
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    460.72
  • Age
    15 months ago
  • What it trades
    Stocks
  • # Trades
    54
  • # Profitable
    24
  • % Profitable
    44.40%
  • Avg trade duration
    25.1 days
  • Max peak-to-valley drawdown
    18.49%
  • drawdown period
    July 10, 2018 - Nov 13, 2018
  • Annual Return (Compounded)
    29.3%
  • Avg win
    $1,573
  • Avg loss
    $685.87
  • Model Account Values (Raw)
  • Cash
    $26,708
  • Margin Used
    $0
  • Buying Power
    $25,351
  • Ratios
  • W:L ratio
    1.85:1
  • Sharpe Ratio
    1.12
  • Sortino Ratio
    1.74
  • Calmar Ratio
    1.743
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.19320
  • Return Statistics
  • Ann Return (w trading costs)
    29.3%
  • Ann Return (Compnd, No Fees)
    29.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    43.50%
  • Chance of 20% account loss
    16.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    0.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    863
  • Popularity (Last 6 weeks)
    967
  • C2 Score
    92.6
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $663
  • Avg Win
    $1,544
  • # Winners
    25
  • # Losers
    29
  • % Winners
    46.3%
  • Frequency
  • Avg Position Time (mins)
    36171.20
  • Avg Position Time (hrs)
    602.85
  • Avg Trade Length
    25.1 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    1.47
  • Daily leverage (max)
    2.95
  • Unknown
  • Alpha
    0.07
  • Beta
    0.26
  • Treynor Index
    0.28
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33845
  • SD
    0.26078
  • Sharpe ratio (Glass type estimate)
    1.29786
  • Sharpe ratio (Hedges UMVUE)
    1.22126
  • df
    13.00000
  • t
    1.40185
  • p
    0.27446
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60572
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.15545
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65305
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09557
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.86110
  • Upside Potential Ratio
    5.77725
  • Upside part of mean
    0.50642
  • Downside part of mean
    -0.16796
  • Upside SD
    0.25497
  • Downside SD
    0.08766
  • N nonnegative terms
    8.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.03846
  • Mean of criterion
    0.33845
  • SD of predictor
    0.13207
  • SD of criterion
    0.26078
  • Covariance
    -0.00406
  • r
    -0.11775
  • b (slope, estimate of beta)
    -0.23249
  • a (intercept, estimate of alpha)
    0.34739
  • Mean Square Error
    0.07265
  • DF error
    12.00000
  • t(b)
    -0.41074
  • p(b)
    0.55887
  • t(a)
    1.38685
  • p(a)
    0.31417
  • Lowerbound of 95% confidence interval for beta
    -1.46575
  • Upperbound of 95% confidence interval for beta
    1.00077
  • Lowerbound of 95% confidence interval for alpha
    -0.19838
  • Upperbound of 95% confidence interval for alpha
    0.89317
  • Treynor index (mean / b)
    -1.45579
  • Jensen alpha (a)
    0.34739
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30447
  • SD
    0.24543
  • Sharpe ratio (Glass type estimate)
    1.24055
  • Sharpe ratio (Hedges UMVUE)
    1.16734
  • df
    13.00000
  • t
    1.33995
  • p
    0.28280
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65649
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09344
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.70189
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.03657
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.39145
  • Upside Potential Ratio
    5.30211
  • Upside part of mean
    0.47601
  • Downside part of mean
    -0.17153
  • Upside SD
    0.23580
  • Downside SD
    0.08978
  • N nonnegative terms
    8.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.03016
  • Mean of criterion
    0.30447
  • SD of predictor
    0.13301
  • SD of criterion
    0.24543
  • Covariance
    -0.00322
  • r
    -0.09857
  • b (slope, estimate of beta)
    -0.18188
  • a (intercept, estimate of alpha)
    0.30996
  • Mean Square Error
    0.06462
  • DF error
    12.00000
  • t(b)
    -0.34313
  • p(b)
    0.54929
  • t(a)
    1.31396
  • p(a)
    0.32267
  • Lowerbound of 95% confidence interval for beta
    -1.33679
  • Upperbound of 95% confidence interval for beta
    0.97303
  • Lowerbound of 95% confidence interval for alpha
    -0.20402
  • Upperbound of 95% confidence interval for alpha
    0.82393
  • Treynor index (mean / b)
    -1.67403
  • Jensen alpha (a)
    0.30996
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08713
  • Expected Shortfall on VaR
    0.11346
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02969
  • Expected Shortfall on VaR
    0.05522
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.94191
  • Quartile 1
    0.98504
  • Median
    1.01596
  • Quartile 3
    1.07793
  • Maximum
    1.21629
  • Mean of quarter 1
    0.95853
  • Mean of quarter 2
    0.99730
  • Mean of quarter 3
    1.03053
  • Mean of quarter 4
    1.12746
  • Inter Quartile Range
    0.09289
  • 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)
    -53.86910
  • VaR(95%) (moments method)
    0.03376
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.67677
  • VaR(95%) (regression method)
    0.05333
  • Expected Shortfall (regression method)
    0.05486
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01534
  • Quartile 1
    0.05074
  • Median
    0.08614
  • Quartile 3
    0.12153
  • Maximum
    0.15693
  • Mean of quarter 1
    0.01534
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.15693
  • Inter Quartile Range
    0.07079
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.40603
  • Compounded annual return (geometric extrapolation)
    0.39428
  • Calmar ratio (compounded annual return / max draw down)
    2.51247
  • Compounded annual return / average of 25% largest draw downs
    2.51247
  • Compounded annual return / Expected Shortfall lognormal
    3.47508
  • 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
    0.26410
  • SD
    0.20540
  • Sharpe ratio (Glass type estimate)
    1.28574
  • Sharpe ratio (Hedges UMVUE)
    1.28273
  • df
    321.00000
  • t
    1.42537
  • p
    0.07751
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48600
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.05550
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48801
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.05346
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.05746
  • Upside Potential Ratio
    9.35977
  • Upside part of mean
    1.20142
  • Downside part of mean
    -0.93732
  • Upside SD
    0.16078
  • Downside SD
    0.12836
  • N nonnegative terms
    156.00000
  • N negative terms
    166.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    322.00000
  • Mean of predictor
    0.01998
  • Mean of criterion
    0.26410
  • SD of predictor
    0.15356
  • SD of criterion
    0.20540
  • Covariance
    0.00610
  • r
    0.19329
  • b (slope, estimate of beta)
    0.25855
  • a (intercept, estimate of alpha)
    0.25900
  • Mean Square Error
    0.04074
  • DF error
    320.00000
  • t(b)
    3.52409
  • p(b)
    0.00024
  • t(a)
    1.42209
  • p(a)
    0.07799
  • Lowerbound of 95% confidence interval for beta
    0.11421
  • Upperbound of 95% confidence interval for beta
    0.40289
  • Lowerbound of 95% confidence interval for alpha
    -0.09929
  • Upperbound of 95% confidence interval for alpha
    0.61715
  • Treynor index (mean / b)
    1.02146
  • Jensen alpha (a)
    0.25893
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24307
  • SD
    0.20433
  • Sharpe ratio (Glass type estimate)
    1.18962
  • Sharpe ratio (Hedges UMVUE)
    1.18683
  • df
    321.00000
  • t
    1.31881
  • p
    0.09409
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.58162
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.95908
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58350
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.95717
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.87213
  • Upside Potential Ratio
    9.15513
  • Upside part of mean
    1.18866
  • Downside part of mean
    -0.94559
  • Upside SD
    0.15807
  • Downside SD
    0.12984
  • N nonnegative terms
    156.00000
  • N negative terms
    166.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    322.00000
  • Mean of predictor
    0.00822
  • Mean of criterion
    0.24307
  • SD of predictor
    0.15359
  • SD of criterion
    0.20433
  • Covariance
    0.00620
  • r
    0.19764
  • b (slope, estimate of beta)
    0.26293
  • a (intercept, estimate of alpha)
    0.24091
  • Mean Square Error
    0.04024
  • DF error
    320.00000
  • t(b)
    3.60672
  • p(b)
    0.00018
  • t(a)
    1.33130
  • p(a)
    0.09202
  • Lowerbound of 95% confidence interval for beta
    0.11950
  • Upperbound of 95% confidence interval for beta
    0.40635
  • Lowerbound of 95% confidence interval for alpha
    -0.11511
  • Upperbound of 95% confidence interval for alpha
    0.59692
  • Treynor index (mean / b)
    0.92448
  • Jensen alpha (a)
    0.24091
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01964
  • Expected Shortfall on VaR
    0.02479
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00835
  • Expected Shortfall on VaR
    0.01687
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    322.00000
  • Minimum
    0.96491
  • Quartile 1
    0.99614
  • Median
    1.00004
  • Quartile 3
    1.00574
  • Maximum
    1.06577
  • Mean of quarter 1
    0.98681
  • Mean of quarter 2
    0.99917
  • Mean of quarter 3
    1.00257
  • Mean of quarter 4
    1.01590
  • Inter Quartile Range
    0.00960
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.06832
  • Mean of outliers low
    0.97496
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.05590
  • Mean of outliers high
    1.03350
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28460
  • VaR(95%) (moments method)
    0.01202
  • Expected Shortfall (moments method)
    0.02082
  • Extreme Value Index (regression method)
    -0.14922
  • VaR(95%) (regression method)
    0.01283
  • Expected Shortfall (regression method)
    0.01709
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00118
  • Quartile 1
    0.00334
  • Median
    0.03531
  • Quartile 3
    0.05679
  • Maximum
    0.17857
  • Mean of quarter 1
    0.00215
  • Mean of quarter 2
    0.02147
  • Mean of quarter 3
    0.04569
  • Mean of quarter 4
    0.09894
  • Inter Quartile Range
    0.05345
  • 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
    0.05882
  • Mean of outliers high
    0.17857
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.28512
  • VaR(95%) (moments method)
    0.10831
  • Expected Shortfall (moments method)
    0.16586
  • Extreme Value Index (regression method)
    0.47789
  • VaR(95%) (regression method)
    0.08473
  • Expected Shortfall (regression method)
    0.13044
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.32155
  • Compounded annual return (geometric extrapolation)
    0.31124
  • Calmar ratio (compounded annual return / max draw down)
    1.74301
  • Compounded annual return / average of 25% largest draw downs
    3.14581
  • Compounded annual return / Expected Shortfall lognormal
    12.55670
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.81171
  • SD
    0.26479
  • Sharpe ratio (Glass type estimate)
    3.06548
  • Sharpe ratio (Hedges UMVUE)
    3.04776
  • df
    130.00000
  • t
    2.16762
  • p
    0.40662
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.26302
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.85638
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25131
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.84422
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.41553
  • Upside Potential Ratio
    12.41720
  • Upside part of mean
    1.86116
  • Downside part of mean
    -1.04945
  • Upside SD
    0.22277
  • Downside SD
    0.14988
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08227
  • Mean of criterion
    0.81171
  • SD of predictor
    0.16813
  • SD of criterion
    0.26479
  • Covariance
    0.00454
  • r
    0.10205
  • b (slope, estimate of beta)
    0.16071
  • a (intercept, estimate of alpha)
    0.79849
  • Mean Square Error
    0.06992
  • DF error
    129.00000
  • t(b)
    1.16511
  • p(b)
    0.43515
  • t(a)
    2.13426
  • p(a)
    0.38310
  • Lowerbound of 95% confidence interval for beta
    -0.11220
  • Upperbound of 95% confidence interval for beta
    0.43363
  • Lowerbound of 95% confidence interval for alpha
    0.05827
  • Upperbound of 95% confidence interval for alpha
    1.53871
  • Treynor index (mean / b)
    5.05067
  • Jensen alpha (a)
    0.79849
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.77600
  • SD
    0.26283
  • Sharpe ratio (Glass type estimate)
    2.95250
  • Sharpe ratio (Hedges UMVUE)
    2.93544
  • df
    130.00000
  • t
    2.08773
  • p
    0.40994
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15208
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.74185
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14076
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.73011
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.10976
  • Upside Potential Ratio
    12.09470
  • Upside part of mean
    1.83677
  • Downside part of mean
    -1.06077
  • Upside SD
    0.21860
  • Downside SD
    0.15187
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06826
  • Mean of criterion
    0.77600
  • SD of predictor
    0.16779
  • SD of criterion
    0.26283
  • Covariance
    0.00473
  • r
    0.10725
  • b (slope, estimate of beta)
    0.16800
  • a (intercept, estimate of alpha)
    0.76453
  • Mean Square Error
    0.06881
  • DF error
    129.00000
  • t(b)
    1.22519
  • p(b)
    0.43185
  • t(a)
    2.06019
  • p(a)
    0.38698
  • Lowerbound of 95% confidence interval for beta
    -0.10330
  • Upperbound of 95% confidence interval for beta
    0.43929
  • Lowerbound of 95% confidence interval for alpha
    0.03030
  • Upperbound of 95% confidence interval for alpha
    1.49876
  • Treynor index (mean / b)
    4.61909
  • Jensen alpha (a)
    0.76453
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02347
  • Expected Shortfall on VaR
    0.03005
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00899
  • Expected Shortfall on VaR
    0.01862
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96491
  • Quartile 1
    0.99649
  • Median
    1.00089
  • Quartile 3
    1.01089
  • Maximum
    1.06577
  • Mean of quarter 1
    0.98464
  • Mean of quarter 2
    0.99970
  • Mean of quarter 3
    1.00499
  • Mean of quarter 4
    1.02354
  • Inter Quartile Range
    0.01439
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.96981
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.04799
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18094
  • VaR(95%) (moments method)
    0.01196
  • Expected Shortfall (moments method)
    0.01930
  • Extreme Value Index (regression method)
    -0.44709
  • VaR(95%) (regression method)
    0.01596
  • Expected Shortfall (regression method)
    0.01956
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00118
  • Quartile 1
    0.00359
  • Median
    0.02474
  • Quartile 3
    0.05789
  • Maximum
    0.07672
  • Mean of quarter 1
    0.00208
  • Mean of quarter 2
    0.00840
  • Mean of quarter 3
    0.04814
  • Mean of quarter 4
    0.06731
  • Inter Quartile Range
    0.05430
  • 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)
    -0.48470
  • VaR(95%) (moments method)
    0.07243
  • Expected Shortfall (moments method)
    0.07706
  • Extreme Value Index (regression method)
    1.17408
  • VaR(95%) (regression method)
    0.07617
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.98948
  • Compounded annual return (geometric extrapolation)
    1.23425
  • Calmar ratio (compounded annual return / max draw down)
    16.08710
  • Compounded annual return / average of 25% largest draw downs
    18.33750
  • Compounded annual return / Expected Shortfall lognormal
    41.06970

Strategy Description

IRA Truck is designed for significant gains with moderate losses. IRA Truck is algorithmically controlled to predict trends in the equities and volatility ETP markets, and on occasion diversifies by holding a significant bond portion. Average trade length is expected in the 3-30 day range, but on strong trends may stay in one direction for weeks. Of course these are estimates based on past markets only. No future performance or behavior can be guaranteed.

Before Sept 2018, IRA Truck was a discretionary stock and ETF trading strategy, and its results remain here for posterity. Subscription price is expected to remain free until a track record is established with the new algorithmic approach.

Summary Statistics

Includes fees & commissions
Strategy began
2018-02-16
Suggested Minimum Capital
$15,000
# Trades
54
# Profitable
24
% Profitable
44.4%
Net Dividends
Correlation S&P500
0.193
Sharpe Ratio
1.12
Sortino Ratio
1.74
Beta
0.26
Alpha
0.07
Leverage
1.47 Average
2.95 Maximum

Collective2 AutoTrade Systems 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 nominal 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.

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.

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