Collective2 Collective2
C2Star Strategy TRADE FUTURES NOW +48.5% Cumul. Return since Jul 10, 2026 Hypothetical

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Small Cap ETFs Trader

By SmallCapTrader

Equity · Stocks, Options · Started Jan 2019

hypothetical · Annual Return (Compounded)
-1.7%
Max Drawdown
38.8%
Trades
32
Win Trades
50.0%
Profit Factor
0.80
Win Months
5.4%

About this strategy

This is a discretionary strategy with the primary goal of capital appreciation and high growth. The strategy mainly trades small cap 3X ETF (TNA/TZA) and uses options to maximize the gain. The buy/sell decision is based on my proprietary technical indicators. Occasionally I will trade individual stock and stock options. The trading period could be days, weeks or months. Stops are employed and adjusted based on the market conditions and proprietary technical indicators. Please be patient with the intra-day fluctuations and drawdown. So far this system performs good with very small drawdown.
For normal margin account, margin will be used based on market conditions.
For IRA/401k accounts, please trade TNA/TZA only and ignore my trading signals if the margin is used.
Good luck and happy trading!

Trend-following Momentum

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20192.426.1-2.59.0-24.15.27.9-25.80.00.00.00.0-12.1
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began1/25/2019
Suggested Minimum Capital$50,000
Age93 months
What it tradesStocks, Options
# Trades32
# Profitable16
% Profitable50.0%
Avg trade duration14.5 days
Max peak-to-valley drawdown38.8%
drawdown periodMay 06, 2019 - Aug 10, 2019
Annual Return (Compounded)-1.7%
Avg win$1,589
Avg loss$1,929

Ratios

W:L ratio0.83
Sharpe Ratio-0.18
Sortino Ratio-0.24
Calmar Ratio-0.21

CORRELATION STATISTICS

Correlation to SP5000.11
Return Percent SP500 (cumu) during strategy life184.9%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-198.7%

Return Statistics

Ann Return (w trading costs)-1.7%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-1.4%

Slump

Current Slump as Pcnt Equity63.3%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.4%
Short Options - Percent Covered0.0%
Percent Trades Stocks0.6%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss68.0%
Chance of 30% account loss31.5%
Chance of 40% account loss4.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)320
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/11

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$1,929
Avg Win$1,589
# Winners16
Sum Trade PL (losers)$30,859
Sum Trade PL (winners)$25,431
Num Months Winners5
# Losers16
% Winners50.0%

Dividends

Dividends Received in Model Acct176

Age

Num Months filled monthly returns table93

Frequency

Avg Position Time (mins)20883.68
Avg Position Time (hrs)348.06
Avg Trade Length14.50
Last Trade Ago2588

Leverage

Daily leverage (average)3.39
Daily leverage (max)5.59

Regression

Alpha-0.01
Beta0.08
Treynor Index-0.10

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.03
MAE:Equity, 95th Percentile Value for this strat0.03
MAE:Equity, average, losing trades0.04
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.02
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-9.68
MAE:PL (avg, all trades)-1.14
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats49.66
MAE:PL - Winning Trades - this strat Percentile of All Strats22.30
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.71
Avg(MAE) / Avg(PL) - Losing trades-1.23
Hold-and-Hope Ratio-0.10

RATIO STATISTICS

Mean-0.02
SD0.43
Sharpe ratio (Glass type estimate)-0.06
Sharpe ratio (Hedges UMVUE)-0.05
df15
t-0.07
p0.51
Lowerbound of 95% confidence interval for Sharpe Ratio-1.75
Upperbound of 95% confidence interval for Sharpe Ratio1.64
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.75
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.64
Sortino ratio-0.09
Upside Potential Ratio1.44
Upside part of mean0.41
Downside part of mean-0.44
Upside SD0.30
Downside SD0.29
N nonnegative terms3
N negative terms13
N of observations16
Mean of predictor0.78
Mean of criterion-0.02
SD of predictor0.43
SD of criterion0.43
Covariance0.02
r0.10
b (slope, estimate of beta)0.10
a (intercept, estimate of alpha)-0.10
Mean Square Error0.19
DF error14
t(b)0.39
p(b)0.45
t(a)-0.24
p(a)0.53
Lowerbound of 95% confidence interval for beta-0.46
Upperbound of 95% confidence interval for beta0.67
Lowerbound of 95% confidence interval for alpha-1.03
Upperbound of 95% confidence interval for alpha0.82
Treynor index (mean / b)-0.24
Jensen alpha (a)-0.10
Mean-0.11
SD0.43
Sharpe ratio (Glass type estimate)-0.26
Sharpe ratio (Hedges UMVUE)-0.24
df15
t-0.30
p0.55
Lowerbound of 95% confidence interval for Sharpe Ratio-1.95
Upperbound of 95% confidence interval for Sharpe Ratio1.45
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.94
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.46
Sortino ratio-0.34
Upside Potential Ratio1.15
Upside part of mean0.37
Downside part of mean-0.48
Upside SD0.27
Downside SD0.32
N nonnegative terms3
N negative terms13
N of observations16
Mean of predictor0.67
Mean of criterion-0.11
SD of predictor0.40
SD of criterion0.43
Covariance0.02
r0.13
b (slope, estimate of beta)0.14
a (intercept, estimate of alpha)-0.21
Mean Square Error0.20
DF error14
t(b)0.50
p(b)0.43
t(a)-0.48
p(a)0.56
Lowerbound of 95% confidence interval for beta-0.47
Upperbound of 95% confidence interval for beta0.76
Lowerbound of 95% confidence interval for alpha-1.13
Upperbound of 95% confidence interval for alpha0.71
Treynor index (mean / b)-0.77
Jensen alpha (a)-0.21
VaR(95%)0.19
Expected Shortfall on VaR0.23
VaR(95%)0.11
Expected Shortfall on VaR0.22
Mean-0.07
SD0.29
Sharpe ratio (Glass type estimate)-0.23
Sharpe ratio (Hedges UMVUE)-0.23
df362
t-0.27
p0.61
Lowerbound of 95% confidence interval for Sharpe Ratio-1.89
Upperbound of 95% confidence interval for Sharpe Ratio1.44
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.89
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.44
Sortino ratio-0.30
Upside Potential Ratio4.44
Upside part of mean0.99
Downside part of mean-1.05
Upside SD0.18
Downside SD0.22
N nonnegative terms70
N negative terms293
N of observations363
Mean of predictor0.84
Mean of criterion-0.07
SD of predictor0.44
SD of criterion0.29
Covariance0.01
r0.11
b (slope, estimate of beta)0.07
a (intercept, estimate of alpha)-0.13
Mean Square Error0.08
DF error361
t(b)2.14
p(b)0.02
t(a)-0.52
p(a)0.70
Lowerbound of 95% confidence interval for beta0.01
Upperbound of 95% confidence interval for beta0.14
Lowerbound of 95% confidence interval for alpha-0.61
Upperbound of 95% confidence interval for alpha0.35
Treynor index (mean / b)-0.90
Jensen alpha (a)-0.13
Mean-0.11
SD0.29
Sharpe ratio (Glass type estimate)-0.37
Sharpe ratio (Hedges UMVUE)-0.37
df362
t-0.43
p0.67
Lowerbound of 95% confidence interval for Sharpe Ratio-2.03
Upperbound of 95% confidence interval for Sharpe Ratio1.30
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-2.03
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.30
Sortino ratio-0.46
Upside Potential Ratio4.19
Upside part of mean0.97
Downside part of mean-1.08
Upside SD0.18
Downside SD0.23
N nonnegative terms70
N negative terms293
N of observations363
Mean of predictor0.74
Mean of criterion-0.11
SD of predictor0.43
SD of criterion0.29
Covariance0.01
r0.11
b (slope, estimate of beta)0.08
a (intercept, estimate of alpha)-0.17
Mean Square Error0.08
DF error361
t(b)2.19
p(b)0.01
t(a)-0.67
p(a)0.75
Lowerbound of 95% confidence interval for beta0.01
Upperbound of 95% confidence interval for beta0.15
Lowerbound of 95% confidence interval for alpha-0.65
Upperbound of 95% confidence interval for alpha0.32
Treynor index (mean / b)-1.39
Jensen alpha (a)-0.17
VaR(95%)0.03
Expected Shortfall on VaR0.04
VaR(95%)0.01
Expected Shortfall on VaR0.03
Mean-0.03
SD0
Sharpe ratio (Glass type estimate)0
Sharpe ratio (Hedges UMVUE)0
df0
t0
p0
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0
Sortino ratio-16.19
Upside Potential Ratio0
Upside part of mean0
Downside part of mean-0.03
Upside SD0
Downside SD0.00
N nonnegative terms0
N negative terms131
N of observations131
Mean of predictor1.07
Mean of criterion-0.03
SD of predictor0.44
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)0
Mean Square Error0
DF error0
t(b)0
p(b)0
t(a)0
p(a)0
Lowerbound of 95% confidence interval for beta0
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha0
Upperbound of 95% confidence interval for alpha0
Treynor index (mean / b)0
Jensen alpha (a)0
Mean-0.03
SD0
Sharpe ratio (Glass type estimate)-9.74841826823373e+15
Sharpe ratio (Hedges UMVUE)-9.69206937105203e+15
df130
t-6893172865105920
p1
Lowerbound of 95% confidence interval for Sharpe Ratio0
Upperbound of 95% confidence interval for Sharpe Ratio0
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.08701574255084e+16
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation-8513981316595712
Sortino ratio-16.19
Upside Potential Ratio0
Upside part of mean0
Downside part of mean-0.03
Upside SD0
Downside SD0.00
N nonnegative terms0
N negative terms131
N of observations131
Mean of predictor0.97
Mean of criterion-0.03
SD of predictor0.44
SD of criterion0
Covariance0
r0
b (slope, estimate of beta)0
a (intercept, estimate of alpha)-0.03
Mean Square Error0
DF error129
t(b)0
p(b)0.50
t(a)-6804527961341952
p(a)1
Lowerbound of 95% confidence interval for beta0
VAR (95 Confidence Intrvl)0.03
Upperbound of 95% confidence interval for beta0
Lowerbound of 95% confidence interval for alpha-0.03
Upperbound of 95% confidence interval for alpha-0.03
Treynor index (mean / b)1.93361468067225e+33
Jensen alpha (a)-0.03
VaR(95%)0.00
Expected Shortfall on VaR0.00
VaR(95%)0
Expected Shortfall on VaR0

ORDER STATISTICS

Number of observations16
Minimum0.76
Quartile 10.99
Median1
Quartile 31
Maximum1.30
Mean of quarter 10.86
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.14
Inter Quartile Range0.01
Number outliers low4
Percentage of outliers low0.25
Mean of outliers low0.86
Number of outliers high3
Percentage of outliers high0.19
Mean of outliers high1.19
Extreme Value Index (moments method)-0.26
VaR(95%) (moments method)0.12
Expected Shortfall (moments method)0.15
Extreme Value Index (regression method)-0.97
VaR(95%) (regression method)0.17
Expected Shortfall (regression method)0.19
Number of observations363
Minimum0.87
Quartile 11
Median1
Quartile 31
Maximum1.09
Mean of quarter 10.98
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41.02
Inter Quartile Range0
Number outliers low71
Percentage of outliers low0.20
Mean of outliers low0.98
Number of outliers high70
Percentage of outliers high0.19
Mean of outliers high1.02
Extreme Value Index (moments method)-1.39
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)0.10
VaR(95%) (regression method)0.02
Expected Shortfall (regression method)0.03
Number of observations131
Minimum1
Quartile 11
Median1
Quartile 31
Maximum1
Mean of quarter 11
Mean of quarter 21
Mean of quarter 31
Mean of quarter 41
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0

DRAW DOWN STATISTICS

Number of observations2
Minimum0.04
Quartile 10.12
Median0.20
Quartile 30.28
Maximum0.37
Mean of quarter 10.04
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40.37
Inter Quartile Range0.16
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations12
Minimum0.00
Quartile 10.01
Median0.02
Quartile 30.05
Maximum0.37
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.04
Mean of quarter 40.18
Inter Quartile Range0.05
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.08
Mean of outliers high0.37
Extreme Value Index (moments method)0.13
VaR(95%) (moments method)0.16
Expected Shortfall (moments method)0.25
Extreme Value Index (regression method)1.82
VaR(95%) (regression method)0.37
Expected Shortfall (regression method)0
Number of observations0
Minimum0
Quartile 10
Median0
Quartile 30
Maximum0
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-466252704
Max Equity Drawdown (num days)96
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)-0.08
Compounded annual return (geometric extrapolation)-0.08
Calmar ratio (compounded annual return / max draw down)-0.22
Compounded annual return / average of 25% largest draw downs-0.22
Compounded annual return / Expected Shortfall lognormal-0.34
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)-0.08
Compounded annual return (geometric extrapolation)-0.08
Calmar ratio (compounded annual return / max draw down)-0.21
Compounded annual return / average of 25% largest draw downs-0.43
Compounded annual return / Expected Shortfall lognormal-2.08
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0
Compounded annual return (geometric extrapolation)0
Calmar ratio (compounded annual return / max draw down)0
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal0

Trading record

Placed 56 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
BYND1909H192.5 long2Jul 30, 2019Aug 10, 2019($2,361)
TNA long1200Jun 10, 2019Aug 5, 2019($7,422)
BYND1926G177.5 long2Jul 19, 2019Jul 22, 2019$1,917
BYND1919G167.5 long1Jul 8, 2019Jul 19, 2019$423
AMD1928F31.5 long10Jun 13, 2019Jun 29, 2019($1,082)
AMD1928F33.5 long15Jun 11, 2019Jun 29, 2019($1,456)
AMD1928F30.5 long15Jun 14, 2019Jun 29, 2019($1,691)
AMD1928F35 long35Jun 10, 2019Jun 29, 2019($3,778)
SPXS long2000Jun 7, 2019Jun 10, 2019($775)
SOXL long280May 21, 2019Jun 7, 2019($192)
TNA long1000Apr 9, 2019Jun 6, 2019($7,012)
AMD1907F28 long7May 7, 2019Jun 6, 2019$1,017
SPY1922E295 long5May 9, 2019May 23, 2019($306)
AMD1903E30.5 long8Apr 9, 2019May 4, 2019($814)
SOXL short100Apr 19, 2019Apr 22, 2019($1,988)
SOXL1918D168 short1Apr 8, 2019Apr 19, 2019$389
TNA long1000Mar 13, 2019Apr 5, 2019$2,761
AMD1918D26 long2Mar 28, 2019Apr 5, 2019$481
AMD1918D28 long11Mar 22, 2019Apr 5, 2019$695
AMD1915C24 long3Feb 5, 2019Mar 15, 2019($445)
TZA long2000Mar 11, 2019Mar 13, 2019($961)
TVIX long200Mar 11, 2019Mar 13, 2019($640)
TNA long500Mar 7, 2019Mar 11, 2019$572
TVIX long250Feb 26, 2019Mar 7, 2019$474
TZA long2200Feb 26, 2019Mar 6, 2019$1,627
TNA long400Mar 1, 2019Mar 1, 2019($64)
TNA long1000Feb 14, 2019Feb 25, 2019$6,795
TNA1908O67.5 short1Feb 21, 2019Feb 25, 2019$181
TNA1908O60 short1Feb 5, 2019Feb 13, 2019$113
TNA long1030Feb 5, 2019Feb 13, 2019$2,832

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.