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

JARBA-1
(121627733)

Started: 01/2018
Stocks
Last trade: 3 days ago

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 $100.00 per month.

48.3%
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.

(10.9%)
Max Drawdown
127
Num Trades
57.5%
Win Trades
1.8 : 1
Profit Factor
68.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Standard commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018+4.7%+10.6%+13.2%+7.3%+3.0%(1.6%)(1.2%)(1.7%)+1.2%+6.6%+7.3%+3.8%+66.4%
2019+0.3%+10.9%(6.8%)(2%)                                                +1.6%

Model Account Details

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

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

Trading Record

This strategy has placed 59 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/17/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,671 51.08 4/18 9:30 50.37 1.59%
Trade id #123340610
Max drawdown($2,690)
Time4/18/19 4:15
Quant open1,671
Worst price49.47
Drawdown as % of equity-1.59%
($1,191)
Includes Typical Broker Commissions trade costs of $5.00
4/15/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,666 50.49 4/16 9:30 50.85 0.6%
Trade id #123312570
Max drawdown($1,016)
Time4/15/19 10:44
Quant open1,666
Worst price49.88
Drawdown as % of equity-0.60%
$595
Includes Typical Broker Commissions trade costs of $5.00
4/10/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 4,280 19.81 4/15 9:30 19.30 1.37%
Trade id #123266129
Max drawdown($2,354)
Time4/12/19 9:44
Quant open4,280
Worst price19.26
Drawdown as % of equity-1.37%
($2,188)
Includes Typical Broker Commissions trade costs of $5.00
4/5/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,741 49.39 4/8 9:30 49.43 0.18%
Trade id #123217554
Max drawdown($312)
Time4/5/19 9:41
Quant open1,741
Worst price49.21
Drawdown as % of equity-0.18%
$65
Includes Typical Broker Commissions trade costs of $5.00
4/1/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 4,098 20.41 4/5 9:30 19.75 1.68%
Trade id #123150234
Max drawdown($2,909)
Time4/5/19 8:31
Quant open4,098
Worst price19.70
Drawdown as % of equity-1.68%
($2,710)
Includes Typical Broker Commissions trade costs of $5.00
3/29/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,878 46.67 4/1 9:30 47.79 0.68%
Trade id #123125051
Max drawdown($1,168)
Time3/29/19 10:56
Quant open1,878
Worst price46.05
Drawdown as % of equity-0.68%
$2,098
Includes Typical Broker Commissions trade costs of $5.00
3/28/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 4,000 21.39 3/29 9:30 20.92 1.12%
Trade id #123111541
Max drawdown($1,960)
Time3/29/19 9:30
Quant open4,000
Worst price20.90
Drawdown as % of equity-1.12%
($1,885)
Includes Typical Broker Commissions trade costs of $5.00
3/27/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,886 46.08 3/28 9:30 45.66 1.71%
Trade id #123094757
Max drawdown($2,979)
Time3/27/19 11:54
Quant open1,886
Worst price44.50
Drawdown as % of equity-1.71%
($797)
Includes Typical Broker Commissions trade costs of $5.00
3/22/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 4,233 20.77 3/27 9:30 21.19 0.32%
Trade id #123028847
Max drawdown($550)
Time3/22/19 9:34
Quant open4,233
Worst price20.64
Drawdown as % of equity-0.32%
$1,773
Includes Typical Broker Commissions trade costs of $5.00
3/20/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,819 46.72 3/22 9:30 47.18 1.13%
Trade id #122987715
Max drawdown($1,946)
Time3/21/19 7:35
Quant open1,819
Worst price45.65
Drawdown as % of equity-1.13%
$832
Includes Typical Broker Commissions trade costs of $5.00
3/19/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 4,025 20.71 3/20 9:30 21.01 0.49%
Trade id #122968923
Max drawdown($845)
Time3/19/19 12:03
Quant open4,025
Worst price20.50
Drawdown as % of equity-0.49%
$1,203
Includes Typical Broker Commissions trade costs of $5.00
3/18/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,814 46.44 3/19 9:30 47.40 0.13%
Trade id #122950214
Max drawdown($223)
Time3/18/19 11:39
Quant open1,814
Worst price46.32
Drawdown as % of equity-0.13%
$1,736
Includes Typical Broker Commissions trade costs of $5.00
3/15/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 3,912 21.44 3/18 9:30 21.18 0.92%
Trade id #122924848
Max drawdown($1,564)
Time3/15/19 12:54
Quant open3,912
Worst price21.04
Drawdown as % of equity-0.92%
($1,022)
Includes Typical Broker Commissions trade costs of $5.00
3/13/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,871 45.36 3/15 9:30 45.92 0.11%
Trade id #122891518
Max drawdown($187)
Time3/13/19 9:34
Quant open1,871
Worst price45.26
Drawdown as % of equity-0.11%
$1,047
Includes Typical Broker Commissions trade costs of $5.00
3/8/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 3,840 23.59 3/12 10:33 21.82 3.98%
Trade id #122833749
Max drawdown($6,796)
Time3/12/19 10:33
Quant open0
Worst price21.82
Drawdown as % of equity-3.98%
($6,801)
Includes Typical Broker Commissions trade costs of $5.00
3/6/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 2,021 44.80 3/8 9:30 41.80 3.62%
Trade id #122802157
Max drawdown($6,467)
Time3/8/19 9:08
Quant open2,021
Worst price41.60
Drawdown as % of equity-3.62%
($6,068)
Includes Typical Broker Commissions trade costs of $5.00
3/5/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 4,103 21.95 3/6 9:30 22.02 0.16%
Trade id #122787536
Max drawdown($287)
Time3/5/19 15:48
Quant open4,103
Worst price21.88
Drawdown as % of equity-0.16%
$282
Includes Typical Broker Commissions trade costs of $5.00
3/1/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 2,058 45.46 3/5 9:30 44.99 2.02%
Trade id #122747333
Max drawdown($3,642)
Time3/4/19 13:09
Quant open2,058
Worst price43.69
Drawdown as % of equity-2.02%
($972)
Includes Typical Broker Commissions trade costs of $5.00
2/28/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 4,166 22.06 3/1 9:30 21.70 0.81%
Trade id #122730795
Max drawdown($1,500)
Time3/1/19 9:30
Quant open0
Worst price21.70
Drawdown as % of equity-0.81%
($1,505)
Includes Typical Broker Commissions trade costs of $5.00
2/26/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 2,028 44.85 2/28 9:30 44.75 0.87%
Trade id #122684043
Max drawdown($1,612)
Time2/27/19 10:29
Quant open2,028
Worst price44.05
Drawdown as % of equity-0.87%
($208)
Includes Typical Broker Commissions trade costs of $5.00
2/25/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 4,098 21.63 2/26 9:30 22.00 0.34%
Trade id #122666266
Max drawdown($614)
Time2/25/19 11:08
Quant open4,098
Worst price21.48
Drawdown as % of equity-0.34%
$1,511
Includes Typical Broker Commissions trade costs of $5.00
2/19/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 2,008 43.66 2/25 9:30 45.63 0.12%
Trade id #122583558
Max drawdown($220)
Time2/21/19 15:33
Quant open2,008
Worst price43.55
Drawdown as % of equity-0.12%
$3,951
Includes Typical Broker Commissions trade costs of $5.00
2/15/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 3,812 22.65 2/19 9:30 22.60 0.75%
Trade id #122541575
Max drawdown($1,334)
Time2/15/19 17:53
Quant open3,812
Worst price22.30
Drawdown as % of equity-0.75%
($196)
Includes Typical Broker Commissions trade costs of $5.00
2/8/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 2,076 40.16 2/15 9:30 43.60 0.49%
Trade id #122429396
Max drawdown($851)
Time2/8/19 11:48
Quant open2,076
Worst price39.75
Drawdown as % of equity-0.49%
$7,136
Includes Typical Broker Commissions trade costs of $5.00
2/5/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 3,516 23.63 2/8 9:30 24.61 0.56%
Trade id #122362873
Max drawdown($949)
Time2/5/19 15:41
Quant open3,516
Worst price23.36
Drawdown as % of equity-0.56%
$3,441
Includes Typical Broker Commissions trade costs of $5.00
2/1/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 2,029 40.87 2/5 9:30 41.93 0.75%
Trade id #122312605
Max drawdown($1,257)
Time2/1/19 17:59
Quant open2,029
Worst price40.25
Drawdown as % of equity-0.75%
$2,146
Includes Typical Broker Commissions trade costs of $5.00
1/31/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 3,373 24.95 2/1 9:30 24.23 1.91%
Trade id #122289150
Max drawdown($3,204)
Time1/31/19 17:13
Quant open3,373
Worst price24.00
Drawdown as % of equity-1.91%
($2,434)
Includes Typical Broker Commissions trade costs of $5.00
1/22/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 2,104 38.65 1/31 9:30 39.73 2.34%
Trade id #122105196
Max drawdown($3,829)
Time1/23/19 12:20
Quant open2,104
Worst price36.83
Drawdown as % of equity-2.34%
$2,267
Includes Typical Broker Commissions trade costs of $5.00
1/17/19 9:30 SPXL DIREXION DAILY S&P500 BULL 3X LONG 2,173 36.64 1/18 9:30 38.78 0.01%
Trade id #122028340
Max drawdown($21)
Time1/17/19 9:32
Quant open2,173
Worst price36.63
Drawdown as % of equity-0.01%
$4,645
Includes Typical Broker Commissions trade costs of $5.00
1/11/19 9:30 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 2,934 27.95 1/14 9:30 28.23 0.75%
Trade id #121917201
Max drawdown($1,202)
Time1/11/19 15:51
Quant open2,934
Worst price27.54
Drawdown as % of equity-0.75%
$817
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    1/2/2018
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    474.76
  • Age
    16 months ago
  • What it trades
    Stocks
  • # Trades
    127
  • # Profitable
    73
  • % Profitable
    57.50%
  • Avg trade duration
    3.1 days
  • Max peak-to-valley drawdown
    10.92%
  • drawdown period
    Dec 24, 2018 - Jan 10, 2019
  • Annual Return (Compounded)
    48.3%
  • Avg win
    $2,136
  • Avg loss
    $1,597
  • Model Account Values (Raw)
  • Cash
    $107,439
  • Margin Used
    $0
  • Buying Power
    $107,567
  • Ratios
  • W:L ratio
    1.81:1
  • Sharpe Ratio
    2.163
  • Sortino Ratio
    3.827
  • Calmar Ratio
    5.018
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.08300
  • Return Statistics
  • Ann Return (w trading costs)
    48.3%
  • Ann Return (Compnd, No Fees)
    50.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    3.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    965
  • Popularity (Last 6 weeks)
    999
  • C2 Score
    98.4
  • 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
    $1,597
  • Avg Win
    $2,137
  • # Winners
    73
  • # Losers
    54
  • % Winners
    57.5%
  • Frequency
  • Avg Position Time (mins)
    4449.20
  • Avg Position Time (hrs)
    74.15
  • Avg Trade Length
    3.1 days
  • Last Trade Ago
    2
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43913
  • SD
    0.19137
  • Sharpe ratio (Glass type estimate)
    2.29466
  • Sharpe ratio (Hedges UMVUE)
    2.16912
  • df
    14.00000
  • t
    2.56551
  • p
    0.21725
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.31687
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.20642
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.24073
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.09750
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.18642
  • Upside Potential Ratio
    10.80590
  • Upside part of mean
    0.51655
  • Downside part of mean
    -0.07742
  • Upside SD
    0.21901
  • Downside SD
    0.04780
  • N nonnegative terms
    10.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.02762
  • Mean of criterion
    0.43913
  • SD of predictor
    0.10758
  • SD of criterion
    0.19137
  • Covariance
    -0.00446
  • r
    -0.21680
  • b (slope, estimate of beta)
    -0.38566
  • a (intercept, estimate of alpha)
    0.44978
  • Mean Square Error
    0.03759
  • DF error
    13.00000
  • t(b)
    -0.80074
  • p(b)
    0.63693
  • t(a)
    2.58626
  • p(a)
    0.15118
  • Lowerbound of 95% confidence interval for beta
    -1.42618
  • Upperbound of 95% confidence interval for beta
    0.65485
  • Lowerbound of 95% confidence interval for alpha
    0.07407
  • Upperbound of 95% confidence interval for alpha
    0.82550
  • Treynor index (mean / b)
    -1.13863
  • Jensen alpha (a)
    0.44978
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41457
  • SD
    0.18333
  • Sharpe ratio (Glass type estimate)
    2.26126
  • Sharpe ratio (Hedges UMVUE)
    2.13754
  • df
    14.00000
  • t
    2.52817
  • p
    0.22007
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28904
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.16806
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.21400
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.06109
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.53420
  • Upside Potential Ratio
    10.14820
  • Upside part of mean
    0.49297
  • Downside part of mean
    -0.07840
  • Upside SD
    0.20817
  • Downside SD
    0.04858
  • N nonnegative terms
    10.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.02214
  • Mean of criterion
    0.41457
  • SD of predictor
    0.10763
  • SD of criterion
    0.18333
  • Covariance
    -0.00403
  • r
    -0.20401
  • b (slope, estimate of beta)
    -0.34751
  • a (intercept, estimate of alpha)
    0.42226
  • Mean Square Error
    0.03469
  • DF error
    13.00000
  • t(b)
    -0.75137
  • p(b)
    0.62897
  • t(a)
    2.52995
  • p(a)
    0.15558
  • Lowerbound of 95% confidence interval for beta
    -1.34668
  • Upperbound of 95% confidence interval for beta
    0.65167
  • Lowerbound of 95% confidence interval for alpha
    0.06169
  • Upperbound of 95% confidence interval for alpha
    0.78284
  • Treynor index (mean / b)
    -1.19298
  • Jensen alpha (a)
    0.42226
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05115
  • Expected Shortfall on VaR
    0.07173
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01124
  • Expected Shortfall on VaR
    0.02401
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.95806
  • Quartile 1
    0.99440
  • Median
    1.02475
  • Quartile 3
    1.08109
  • Maximum
    1.12837
  • Mean of quarter 1
    0.97867
  • Mean of quarter 2
    1.00829
  • Mean of quarter 3
    1.06604
  • Mean of quarter 4
    1.10948
  • Inter Quartile Range
    0.08669
  • 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)
    0.36968
  • VaR(95%) (moments method)
    0.02457
  • Expected Shortfall (moments method)
    0.04384
  • Extreme Value Index (regression method)
    2.12349
  • VaR(95%) (regression method)
    0.03334
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04194
  • Quartile 1
    0.04215
  • Median
    0.04236
  • Quartile 3
    0.04258
  • Maximum
    0.04279
  • Mean of quarter 1
    0.04194
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04279
  • Inter Quartile Range
    0.00042
  • 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)
    0.59090
  • Compounded annual return (geometric extrapolation)
    0.55656
  • Calmar ratio (compounded annual return / max draw down)
    13.00720
  • Compounded annual return / average of 25% largest draw downs
    13.00720
  • Compounded annual return / Expected Shortfall lognormal
    7.75943
  • 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
    0.41097
  • SD
    0.18956
  • Sharpe ratio (Glass type estimate)
    2.16797
  • Sharpe ratio (Hedges UMVUE)
    2.16310
  • df
    334.00000
  • t
    2.45147
  • p
    0.00737
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42532
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.90745
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42205
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.90416
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.82689
  • Upside Potential Ratio
    10.75780
  • Upside part of mean
    1.15528
  • Downside part of mean
    -0.74431
  • Upside SD
    0.15792
  • Downside SD
    0.10739
  • N nonnegative terms
    169.00000
  • N negative terms
    166.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    335.00000
  • Mean of predictor
    0.03876
  • Mean of criterion
    0.41097
  • SD of predictor
    0.16244
  • SD of criterion
    0.18956
  • Covariance
    -0.00272
  • r
    -0.08847
  • b (slope, estimate of beta)
    -0.10324
  • a (intercept, estimate of alpha)
    0.41500
  • Mean Square Error
    0.03576
  • DF error
    333.00000
  • t(b)
    -1.62078
  • p(b)
    0.94699
  • t(a)
    2.48108
  • p(a)
    0.00680
  • Lowerbound of 95% confidence interval for beta
    -0.22854
  • Upperbound of 95% confidence interval for beta
    0.02206
  • Lowerbound of 95% confidence interval for alpha
    0.08596
  • Upperbound of 95% confidence interval for alpha
    0.74398
  • Treynor index (mean / b)
    -3.98066
  • Jensen alpha (a)
    0.41497
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39291
  • SD
    0.18798
  • Sharpe ratio (Glass type estimate)
    2.09017
  • Sharpe ratio (Hedges UMVUE)
    2.08547
  • df
    334.00000
  • t
    2.36348
  • p
    0.00934
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34811
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.82919
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34496
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.82598
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.60897
  • Upside Potential Ratio
    10.49880
  • Upside part of mean
    1.14301
  • Downside part of mean
    -0.75010
  • Upside SD
    0.15482
  • Downside SD
    0.10887
  • N nonnegative terms
    169.00000
  • N negative terms
    166.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    335.00000
  • Mean of predictor
    0.02556
  • Mean of criterion
    0.39291
  • SD of predictor
    0.16278
  • SD of criterion
    0.18798
  • Covariance
    -0.00267
  • r
    -0.08739
  • b (slope, estimate of beta)
    -0.10092
  • a (intercept, estimate of alpha)
    0.39549
  • Mean Square Error
    0.03517
  • DF error
    333.00000
  • t(b)
    -1.60091
  • p(b)
    0.94483
  • t(a)
    2.38445
  • p(a)
    0.00883
  • Lowerbound of 95% confidence interval for beta
    -0.22493
  • Upperbound of 95% confidence interval for beta
    0.02309
  • Lowerbound of 95% confidence interval for alpha
    0.06922
  • Upperbound of 95% confidence interval for alpha
    0.72176
  • Treynor index (mean / b)
    -3.89324
  • Jensen alpha (a)
    0.39549
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01745
  • Expected Shortfall on VaR
    0.02220
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00643
  • Expected Shortfall on VaR
    0.01334
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    335.00000
  • Minimum
    0.94390
  • Quartile 1
    0.99672
  • Median
    1.00063
  • Quartile 3
    1.00517
  • Maximum
    1.08290
  • Mean of quarter 1
    0.98986
  • Mean of quarter 2
    0.99903
  • Mean of quarter 3
    1.00267
  • Mean of quarter 4
    1.01515
  • Inter Quartile Range
    0.00845
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.04179
  • Mean of outliers low
    0.97495
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.07164
  • Mean of outliers high
    1.02871
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32856
  • VaR(95%) (moments method)
    0.00982
  • Expected Shortfall (moments method)
    0.01741
  • 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
    30.00000
  • Minimum
    0.00096
  • Quartile 1
    0.00297
  • Median
    0.00821
  • Quartile 3
    0.02719
  • Maximum
    0.10428
  • Mean of quarter 1
    0.00218
  • Mean of quarter 2
    0.00469
  • Mean of quarter 3
    0.01434
  • Mean of quarter 4
    0.06007
  • Inter Quartile Range
    0.02422
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.09548
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.14412
  • VaR(95%) (moments method)
    0.06369
  • Expected Shortfall (moments method)
    0.09288
  • Extreme Value Index (regression method)
    0.22982
  • VaR(95%) (regression method)
    0.05650
  • Expected Shortfall (regression method)
    0.08243
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.55739
  • Compounded annual return (geometric extrapolation)
    0.52321
  • Calmar ratio (compounded annual return / max draw down)
    5.01753
  • Compounded annual return / average of 25% largest draw downs
    8.70940
  • Compounded annual return / Expected Shortfall lognormal
    23.57180
  • 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
    0.28274
  • SD
    0.17258
  • Sharpe ratio (Glass type estimate)
    1.63824
  • Sharpe ratio (Hedges UMVUE)
    1.62877
  • df
    130.00000
  • t
    1.15841
  • p
    0.44946
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.14374
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.41405
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.15010
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.40764
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.50357
  • Upside Potential Ratio
    10.11500
  • Upside part of mean
    1.14232
  • Downside part of mean
    -0.85958
  • Upside SD
    0.13080
  • Downside SD
    0.11293
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05545
  • Mean of criterion
    0.28274
  • SD of predictor
    0.18398
  • SD of criterion
    0.17258
  • Covariance
    -0.00868
  • r
    -0.27332
  • b (slope, estimate of beta)
    -0.25638
  • a (intercept, estimate of alpha)
    0.29695
  • Mean Square Error
    0.02777
  • DF error
    129.00000
  • t(b)
    -3.22718
  • p(b)
    0.67181
  • t(a)
    1.25973
  • p(a)
    0.42996
  • Lowerbound of 95% confidence interval for beta
    -0.41357
  • Upperbound of 95% confidence interval for beta
    -0.09920
  • Lowerbound of 95% confidence interval for alpha
    -0.16944
  • Upperbound of 95% confidence interval for alpha
    0.76335
  • Treynor index (mean / b)
    -1.10278
  • Jensen alpha (a)
    0.29695
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26780
  • SD
    0.17244
  • Sharpe ratio (Glass type estimate)
    1.55299
  • Sharpe ratio (Hedges UMVUE)
    1.54401
  • df
    130.00000
  • t
    1.09813
  • p
    0.45207
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.22814
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.32832
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.23414
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.32217
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.34789
  • Upside Potential Ratio
    9.93994
  • Upside part of mean
    1.13376
  • Downside part of mean
    -0.86595
  • Upside SD
    0.12951
  • Downside SD
    0.11406
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.03867
  • Mean of criterion
    0.26780
  • SD of predictor
    0.18383
  • SD of criterion
    0.17244
  • Covariance
    -0.00867
  • r
    -0.27340
  • b (slope, estimate of beta)
    -0.25645
  • a (intercept, estimate of alpha)
    0.27772
  • Mean Square Error
    0.02773
  • DF error
    129.00000
  • t(b)
    -3.22818
  • p(b)
    0.67186
  • t(a)
    1.17924
  • p(a)
    0.43437
  • Lowerbound of 95% confidence interval for beta
    -0.41363
  • Upperbound of 95% confidence interval for beta
    -0.09928
  • Lowerbound of 95% confidence interval for alpha
    -0.18824
  • Upperbound of 95% confidence interval for alpha
    0.74368
  • Treynor index (mean / b)
    -1.04424
  • Jensen alpha (a)
    0.27772
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01637
  • Expected Shortfall on VaR
    0.02073
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00735
  • Expected Shortfall on VaR
    0.01473
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96760
  • Quartile 1
    0.99570
  • Median
    1.00066
  • Quartile 3
    1.00678
  • Maximum
    1.03386
  • Mean of quarter 1
    0.98823
  • Mean of quarter 2
    0.99899
  • Mean of quarter 3
    1.00316
  • Mean of quarter 4
    1.01441
  • Inter Quartile Range
    0.01108
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97341
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.02936
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22773
  • VaR(95%) (moments method)
    0.01159
  • Expected Shortfall (moments method)
    0.01847
  • Extreme Value Index (regression method)
    0.17880
  • VaR(95%) (regression method)
    0.01197
  • Expected Shortfall (regression method)
    0.01847
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00242
  • Quartile 1
    0.00253
  • Median
    0.00451
  • Quartile 3
    0.04808
  • Maximum
    0.10428
  • Mean of quarter 1
    0.00247
  • Mean of quarter 2
    0.00405
  • Mean of quarter 3
    0.03162
  • Mean of quarter 4
    0.09568
  • Inter Quartile Range
    0.04555
  • 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)
    -27.69720
  • VaR(95%) (moments method)
    0.08216
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.18323
  • VaR(95%) (regression method)
    0.13297
  • Expected Shortfall (regression method)
    0.13415
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31869
  • Compounded annual return (geometric extrapolation)
    0.34408
  • Calmar ratio (compounded annual return / max draw down)
    3.29971
  • Compounded annual return / average of 25% largest draw downs
    3.59597
  • Compounded annual return / Expected Shortfall lognormal
    16.60020

Strategy Description

Completely automated. Goal is to try to be "right" about 53% of the time, with wins larger than losses. Even though it bets whether the market will go up or down, it only uses long positions in triple-levered ETFs. (In other words, it never shorts anything. It only "buys" - even when it bets the market will decline.) This makes it a good choice for C2Broker (commission-free trading) or for broker accounts where you cannot short.

Uses a proprietary market sentiment score, and does rolling backtest and rolling out-of-sample tests (re-building parameters each morning before trading begins) to determine statistical validity of parameters.

Keep in mind that when your best-case scenario is to be right 53% of the time, probability theory tells us there will definitely be occasional long periods of being mostly wrong. You can see in the track record long periods of flat or negative performance. (Three months in a row of 1% declines!) So please expect something similar in the future. This is not magic, and there are no guarantees.

But if you can stand being bored for a few months at a time, it seems like a decent strategy for a small portion of your risk capital.

Summary Statistics

Includes fees & commissions
Strategy began
2018-01-02
Suggested Minimum Capital
$5,000
# Trades
127
# Profitable
73
% Profitable
57.5%
Correlation S&P500
-0.083
Sharpe Ratio
2.163

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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