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Recession Proof System
(139373540)

Created by: WallStForMainSt WallStForMainSt
Started: 02/2022
Stocks
Last trade: 5 days ago
Trading style: Equity Trend-following Short-term Reversal

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 $99.00 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.
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
-5.8%
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.

(44.0%)
Max Drawdown
527
Num Trades
62.4%
Win Trades
1.1 : 1
Profit Factor
40.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022       +2.4%+6.3%(6.7%)+5.5%+6.4%(1.7%)(1.2%)(1.9%)(1.9%)(7.7%)(5.1%)(6.6%)
2023(11%)+2.2%(6.2%)+0.6%(5.7%)+5.0%(3.2%)(1.6%)(4%)(6.8%)+7.4%+0.4%(21.8%)
2024+4.8%(0.1%)+5.4%(7%)(2.2%)+4.7%+1.9%  -  +1.2%(5.5%)+5.5%(6.2%)+1.3%
2025+7.8%(0.1%)+0.8%(1.5%)  -  (1.1%)(1.1%)(8.6%)+15.5%+8.3%(5.9%)(5%)+6.9%

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 25 hours.

Trading Record

This strategy has placed 996 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/6/25 11:14 PLTM ETFS PLATINUM ETC LONG 68 14.70 12/22 9:30 20.04 0.07%
Trade id #153364725
Max drawdown($13)
Time11/20/25 0:00
Quant open68
Worst price14.51
Drawdown as % of equity-0.07%
 $362
Includes Typical Broker Commissions trade costs of $1.36
12/8/25 9:51 ADBE ADOBE INC LONG 11 345.00 12/12 10:37 362.25 0.58%
Trade id #153730085
Max drawdown($123)
Time12/11/25 0:00
Quant open11
Worst price333.79
Drawdown as % of equity-0.58%
 $190
Includes Typical Broker Commissions trade costs of $0.22
12/9/25 9:30 UNG UNITED STATES NATURAL GAS LONG 135 14.60 12/12 9:30 12.71 1.22%
Trade id #153744554
Max drawdown($256)
Time12/12/25 9:30
Quant open135
Worst price12.70
Drawdown as % of equity-1.22%
 ($258)
Includes Typical Broker Commissions trade costs of $2.70
11/4/25 9:32 TRI THOMSON REUTERS CORPORATION LONG 13 151.00 12/8 11:11 130.94 1.22%
Trade id #153340787
Max drawdown($260)
Time12/8/25 11:11
Quant open13
Worst price130.94
Drawdown as % of equity-1.22%
 ($261)
Includes Typical Broker Commissions trade costs of $0.26
10/20/25 9:30 ALK ALASKA AIR GROUP LONG 84 47.25 12/8 9:34 48.86 2%
Trade id #153207853
Max drawdown($404)
Time11/20/25 0:00
Quant open42
Worst price37.63
Drawdown as % of equity-2.00%
 $134
Includes Typical Broker Commissions trade costs of $1.68
11/13/25 13:17 CMPS COMPASS PATHWAYS PLC - AMERICAN LONG 366 5.46 12/5 10:16 5.81 0.99%
Trade id #153432181
Max drawdown($203)
Time12/3/25 0:00
Quant open366
Worst price4.90
Drawdown as % of equity-0.99%
 $124
Includes Typical Broker Commissions trade costs of $7.32
12/1/25 9:30 S SENTINELONE INC LONG 246 15.98 12/4 9:30 17.02 0.1%
Trade id #153632048
Max drawdown($19)
Time12/1/25 10:30
Quant open246
Worst price15.90
Drawdown as % of equity-0.10%
 $251
Includes Typical Broker Commissions trade costs of $4.92
11/3/25 10:25 BEAM BEAM THERAPEUTICS INC. LONG 85 23.50 12/3 9:43 25.42 1.37%
Trade id #153330535
Max drawdown($277)
Time11/20/25 0:00
Quant open85
Worst price20.23
Drawdown as % of equity-1.37%
 $161
Includes Typical Broker Commissions trade costs of $1.70
11/21/25 10:17 ACHR ARCHER AVIATION INC LONG 296 6.77 12/2 9:52 7.62 0.33%
Trade id #153521826
Max drawdown($64)
Time11/21/25 11:05
Quant open296
Worst price6.55
Drawdown as % of equity-0.33%
 $248
Includes Typical Broker Commissions trade costs of $5.92
11/25/25 15:40 @MESZ5 MICRO E-MINI S&P 500 SHORT 4 6785.00 11/26 1:32 6805.00 2.08%
Trade id #153557505
Max drawdown($420)
Time11/26/25 1:32
Quant open4
Worst price6806.00
Drawdown as % of equity-2.08%
 ($405)
Includes Typical Broker Commissions trade costs of $4.80
11/25/25 11:56 @MESZ5 MICRO E-MINI S&P 500 SHORT 2 6750.00 11/25 12:33 6769.75 1%
Trade id #153555058
Max drawdown($205)
Time11/25/25 12:33
Quant open2
Worst price6770.50
Drawdown as % of equity-1.00%
 ($200)
Includes Typical Broker Commissions trade costs of $2.40
11/24/25 15:15 ZM ZOOM COMMUNICATIONS INC. CLASS A LONG 50 78.78 11/25 9:37 85.00 0.05%
Trade id #153545140
Max drawdown($9)
Time11/24/25 15:55
Quant open50
Worst price78.59
Drawdown as % of equity-0.05%
 $310
Includes Typical Broker Commissions trade costs of $1.00
11/21/25 10:35 HOOD ROBINHOOD MARKETS INC LONG 19 102.75 11/24 10:54 113.00 0.06%
Trade id #153522076
Max drawdown($12)
Time11/21/25 11:05
Quant open19
Worst price102.10
Drawdown as % of equity-0.06%
 $195
Includes Typical Broker Commissions trade costs of $0.38
11/20/25 15:41 @MNQZ5 MICRO E-MINI NASDAQ 100 LONG 1 24145.00 11/21 5:02 23999.00 1.75%
Trade id #153513241
Max drawdown($345)
Time11/21/25 5:02
Quant open1
Worst price23972.20
Drawdown as % of equity-1.75%
 ($293)
Includes Typical Broker Commissions trade costs of $0.94
11/4/25 13:19 BITX VOLATILITY SHARES TRUST 2X BITCOIN STRATEGY ETF LONG 49 40.25 11/20 11:57 30.24 2.44%
Trade id #153344225
Max drawdown($492)
Time11/20/25 11:57
Quant open49
Worst price30.19
Drawdown as % of equity-2.44%
 ($491)
Includes Typical Broker Commissions trade costs of $0.98
11/17/25 14:59 @MESZ5 MICRO E-MINI S&P 500 LONG 1 6666.00 11/17 20:23 6708.50 0.19%
Trade id #153462027
Max drawdown($38)
Time11/17/25 15:03
Quant open1
Worst price6658.25
Drawdown as % of equity-0.19%
 $212
Includes Typical Broker Commissions trade costs of $1.20
11/12/25 10:52 MARA MARATHON DIGITAL HOLDINGS INC LONG 140 14.25 11/17 14:16 11.26 2.04%
Trade id #153418782
Max drawdown($420)
Time11/17/25 14:16
Quant open140
Worst price11.25
Drawdown as % of equity-2.04%
 ($422)
Includes Typical Broker Commissions trade costs of $2.80
11/17/25 9:30 BRBR BELLRING BRANDS INC LONG 148 26.68 11/17 13:38 25.50 0.85%
Trade id #153455817
Max drawdown($174)
Time11/17/25 13:38
Quant open148
Worst price25.50
Drawdown as % of equity-0.85%
 ($177)
Includes Typical Broker Commissions trade costs of $2.96
11/3/25 9:30 COP CONOCOPHILLIPS LONG 45 88.66 11/11 9:30 89.18 0.64%
Trade id #153329104
Max drawdown($139)
Time11/6/25 0:00
Quant open45
Worst price85.57
Drawdown as % of equity-0.64%
 $22
Includes Typical Broker Commissions trade costs of $0.90
11/7/25 11:16 @MESZ5 MICRO E-MINI S&P 500 LONG 2 6666.50 11/7 13:56 6698.38 0.52%
Trade id #153376356
Max drawdown($110)
Time11/7/25 12:07
Quant open2
Worst price6655.50
Drawdown as % of equity-0.52%
 $317
Includes Typical Broker Commissions trade costs of $2.40
10/27/25 9:59 FSV FIRSTSERVICE CORPORATION LONG 12 163.50 11/7 10:57 152.34 0.63%
Trade id #153265412
Max drawdown($133)
Time11/7/25 10:57
Quant open12
Worst price152.35
Drawdown as % of equity-0.63%
 ($134)
Includes Typical Broker Commissions trade costs of $0.24
10/20/25 9:31 ALG ALAMO GROUP LONG 11 183.25 11/7 9:30 165.79 0.79%
Trade id #153208088
Max drawdown($168)
Time11/7/25 9:30
Quant open11
Worst price167.94
Drawdown as % of equity-0.79%
 ($192)
Includes Typical Broker Commissions trade costs of $0.22
10/9/25 14:06 MTCH MATCH GROUP LONG 61 32.50 11/5 9:32 30.91 0.46%
Trade id #153122147
Max drawdown($98)
Time11/5/25 9:32
Quant open61
Worst price30.88
Drawdown as % of equity-0.46%
 ($98)
Includes Typical Broker Commissions trade costs of $1.22
10/27/25 10:14 SMR NUSCALE POWER CORPORATION LONG 52 38.25 10/31 9:54 44.48 0.31%
Trade id #153265682
Max drawdown($68)
Time10/27/25 12:09
Quant open52
Worst price36.92
Drawdown as % of equity-0.31%
 $323
Includes Typical Broker Commissions trade costs of $1.04
10/27/25 9:30 CVS CVS HEALTH CORP LONG 49 81.35 10/29 9:35 84.75 0.23%
Trade id #153264332
Max drawdown($49)
Time10/29/25 9:30
Quant open49
Worst price80.33
Drawdown as % of equity-0.23%
 $166
Includes Typical Broker Commissions trade costs of $0.98
10/17/25 1:38 @MESZ5 MICRO E-MINI S&P 500 LONG 2 6622.00 10/17 14:46 6691.25 2.32%
Trade id #153188216
Max drawdown($507)
Time10/17/25 3:36
Quant open2
Worst price6571.25
Drawdown as % of equity-2.32%
 $691
Includes Typical Broker Commissions trade costs of $2.40
10/14/25 9:36 BITX VOLATILITY SHARES TRUST 2X BITCOIN STRATEGY ETF LONG 39 50.50 10/17 9:30 45.96 0.81%
Trade id #153156258
Max drawdown($180)
Time10/17/25 9:30
Quant open39
Worst price45.87
Drawdown as % of equity-0.81%
 ($178)
Includes Typical Broker Commissions trade costs of $0.78
10/14/25 9:43 WRD WERIDE INC. ADS LONG 200 10.00 10/15 9:40 11.24 n/a $244
Includes Typical Broker Commissions trade costs of $4.00
10/7/25 11:31 AUR AURORA INNOVATION INC. CLASS A LONG 373 5.35 10/8 12:54 5.63 0.12%
Trade id #153098510
Max drawdown($26)
Time10/7/25 11:39
Quant open373
Worst price5.28
Drawdown as % of equity-0.12%
 $99
Includes Typical Broker Commissions trade costs of $7.46
9/30/25 9:52 SERV SERVE ROBOTICS INC. LONG 173 11.50 10/3 9:34 13.00 0.23%
Trade id #153038015
Max drawdown($46)
Time9/30/25 12:16
Quant open173
Worst price11.23
Drawdown as % of equity-0.23%
 $257
Includes Typical Broker Commissions trade costs of $3.46

Statistics

  • Strategy began
    2/13/2022
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    1416.38
  • Age
    47 months ago
  • What it trades
    Stocks
  • # Trades
    527
  • # Profitable
    329
  • % Profitable
    62.40%
  • Avg trade duration
    14.2 days
  • Max peak-to-valley drawdown
    44%
  • drawdown period
    June 28, 2022 - July 27, 2025
  • Annual Return (Compounded)
    -5.8%
  • Avg win
    $156.18
  • Avg loss
    $252.49
  • Model Account Values (Raw)
  • Cash
    $19,147
  • Margin Used
    $0
  • Buying Power
    $16,644
  • Ratios
  • W:L ratio
    1.07:1
  • Sharpe Ratio
    -0.19
  • Sortino Ratio
    -0.28
  • Calmar Ratio
    0.066
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -76.71%
  • Correlation to SP500
    0.10590
  • Return Percent SP500 (cumu) during strategy life
    56.07%
  • Return Statistics
  • Ann Return (w trading costs)
    -5.8%
  • Slump
  • Current Slump as Pcnt Equity
    46.70%
  • Instruments
  • Percent Trades Futures
    0.04%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.91%
  • Return Statistics
  • Return Pcnt Since TOS Status
    -10.260%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.058%
  • Instruments
  • Percent Trades Options
    0.04%
  • Percent Trades Stocks
    0.93%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    80.00%
  • Chance of 20% account loss
    49.00%
  • Chance of 30% account loss
    22.00%
  • Chance of 40% account loss
    8.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    316
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    101
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $252
  • Avg Win
    $156
  • Sum Trade PL (losers)
    $49,994.000
  • Age
  • Num Months filled monthly returns table
    47
  • Win / Loss
  • Sum Trade PL (winners)
    $51,382.000
  • # Winners
    329
  • Num Months Winners
    20
  • Dividends
  • Dividends Received in Model Acct
    858
  • AUM
  • AUM (AutoTrader live capital)
    104709
  • Win / Loss
  • # Losers
    198
  • % Winners
    62.4%
  • Frequency
  • Avg Position Time (mins)
    20476.40
  • Avg Position Time (hrs)
    341.27
  • Avg Trade Length
    14.2 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    0.93
  • Daily leverage (max)
    13.61
  • Regression
  • Alpha
    -0.02
  • Beta
    0.14
  • Treynor Index
    -0.11
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.73
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -12.342
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.713
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.119
  • Hold-and-Hope Ratio
    -0.079
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02021
  • SD
    0.15173
  • Sharpe ratio (Glass type estimate)
    0.13321
  • Sharpe ratio (Hedges UMVUE)
    0.13093
  • df
    44.00000
  • t
    0.25796
  • p
    0.39882
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.88004
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.14496
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.88156
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.14342
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.21615
  • Upside Potential Ratio
    2.03875
  • Upside part of mean
    0.19064
  • Downside part of mean
    -0.17043
  • Upside SD
    0.11747
  • Downside SD
    0.09351
  • N nonnegative terms
    23.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    45.00000
  • Mean of predictor
    0.10204
  • Mean of criterion
    0.02021
  • SD of predictor
    0.14748
  • SD of criterion
    0.15173
  • Covariance
    -0.00131
  • r
    -0.05833
  • b (slope, estimate of beta)
    -0.06001
  • a (intercept, estimate of alpha)
    0.02634
  • Mean Square Error
    0.02348
  • DF error
    43.00000
  • t(b)
    -0.38317
  • p(b)
    0.64826
  • t(a)
    0.32626
  • p(a)
    0.37290
  • Lowerbound of 95% confidence interval for beta
    -0.37587
  • Upperbound of 95% confidence interval for beta
    0.25585
  • Lowerbound of 95% confidence interval for alpha
    -0.13645
  • Upperbound of 95% confidence interval for alpha
    0.18912
  • Treynor index (mean / b)
    -0.33679
  • Jensen alpha (a)
    0.02634
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00916
  • SD
    0.14938
  • Sharpe ratio (Glass type estimate)
    0.06131
  • Sharpe ratio (Hedges UMVUE)
    0.06026
  • df
    44.00000
  • t
    0.11874
  • p
    0.45301
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.95123
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.07318
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95194
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.07246
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.09494
  • Upside Potential Ratio
    1.90449
  • Upside part of mean
    0.18374
  • Downside part of mean
    -0.17458
  • Upside SD
    0.11188
  • Downside SD
    0.09648
  • N nonnegative terms
    23.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    45.00000
  • Mean of predictor
    0.09082
  • Mean of criterion
    0.00916
  • SD of predictor
    0.14749
  • SD of criterion
    0.14938
  • Covariance
    -0.00123
  • r
    -0.05598
  • b (slope, estimate of beta)
    -0.05670
  • a (intercept, estimate of alpha)
    0.01431
  • Mean Square Error
    0.02276
  • DF error
    43.00000
  • t(b)
    -0.36768
  • p(b)
    0.64254
  • t(a)
    0.18077
  • p(a)
    0.42870
  • Lowerbound of 95% confidence interval for beta
    -0.36771
  • Upperbound of 95% confidence interval for beta
    0.25430
  • Lowerbound of 95% confidence interval for alpha
    -0.14533
  • Upperbound of 95% confidence interval for alpha
    0.17395
  • Treynor index (mean / b)
    -0.16153
  • Jensen alpha (a)
    0.01431
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06776
  • Expected Shortfall on VaR
    0.08429
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03249
  • Expected Shortfall on VaR
    0.06120
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    45.00000
  • Minimum
    0.90223
  • Quartile 1
    0.98039
  • Median
    1.00309
  • Quartile 3
    1.01829
  • Maximum
    1.14073
  • Mean of quarter 1
    0.95475
  • Mean of quarter 2
    0.99620
  • Mean of quarter 3
    1.01060
  • Mean of quarter 4
    1.05897
  • Inter Quartile Range
    0.03790
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02222
  • Mean of outliers low
    0.90223
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.08889
  • Mean of outliers high
    1.10150
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.39077
  • VaR(95%) (moments method)
    0.04417
  • Expected Shortfall (moments method)
    0.04594
  • Extreme Value Index (regression method)
    0.00463
  • VaR(95%) (regression method)
    0.05387
  • Expected Shortfall (regression method)
    0.07477
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03113
  • Quartile 1
    0.09605
  • Median
    0.16098
  • Quartile 3
    0.22590
  • Maximum
    0.29083
  • Mean of quarter 1
    0.03113
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.29083
  • Inter Quartile Range
    0.12985
  • 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)
    0.03977
  • Compounded annual return (geometric extrapolation)
    0.03776
  • Calmar ratio (compounded annual return / max draw down)
    0.12984
  • Compounded annual return / average of 25% largest draw downs
    0.12984
  • Compounded annual return / Expected Shortfall lognormal
    0.44798
  • 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
    0.00530
  • SD
    0.15205
  • Sharpe ratio (Glass type estimate)
    0.03487
  • Sharpe ratio (Hedges UMVUE)
    0.03484
  • df
    999.00000
  • t
    0.06812
  • p
    0.47285
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.96836
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.03809
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.96839
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.03807
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.05030
  • Upside Potential Ratio
    7.63107
  • Upside part of mean
    0.80418
  • Downside part of mean
    -0.79888
  • Upside SD
    0.10949
  • Downside SD
    0.10538
  • N nonnegative terms
    487.00000
  • N negative terms
    513.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1000.00000
  • Mean of predictor
    0.10565
  • Mean of criterion
    0.00530
  • SD of predictor
    0.17851
  • SD of criterion
    0.15205
  • Covariance
    0.00368
  • r
    0.13575
  • b (slope, estimate of beta)
    0.11563
  • a (intercept, estimate of alpha)
    -0.00700
  • Mean Square Error
    0.02271
  • DF error
    998.00000
  • t(b)
    4.32871
  • p(b)
    0.00001
  • t(a)
    -0.08957
  • p(a)
    0.53568
  • Lowerbound of 95% confidence interval for beta
    0.06321
  • Upperbound of 95% confidence interval for beta
    0.16805
  • Lowerbound of 95% confidence interval for alpha
    -0.15840
  • Upperbound of 95% confidence interval for alpha
    0.14457
  • Treynor index (mean / b)
    0.04585
  • Jensen alpha (a)
    -0.00691
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00623
  • SD
    0.15194
  • Sharpe ratio (Glass type estimate)
    -0.04103
  • Sharpe ratio (Hedges UMVUE)
    -0.04100
  • df
    999.00000
  • t
    -0.08015
  • p
    0.53193
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04425
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.96220
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.04422
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.96223
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.05834
  • Upside Potential Ratio
    7.47089
  • Upside part of mean
    0.79822
  • Downside part of mean
    -0.80445
  • Upside SD
    0.10792
  • Downside SD
    0.10684
  • N nonnegative terms
    487.00000
  • N negative terms
    513.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1000.00000
  • Mean of predictor
    0.08973
  • Mean of criterion
    -0.00623
  • SD of predictor
    0.17831
  • SD of criterion
    0.15194
  • Covariance
    0.00369
  • r
    0.13628
  • b (slope, estimate of beta)
    0.11612
  • a (intercept, estimate of alpha)
    -0.01665
  • Mean Square Error
    0.02268
  • DF error
    998.00000
  • t(b)
    4.34564
  • p(b)
    0.00001
  • t(a)
    -0.21593
  • p(a)
    0.58546
  • Lowerbound of 95% confidence interval for beta
    0.06368
  • Upperbound of 95% confidence interval for beta
    0.16856
  • Lowerbound of 95% confidence interval for alpha
    -0.16799
  • Upperbound of 95% confidence interval for alpha
    0.13469
  • Treynor index (mean / b)
    -0.05368
  • Jensen alpha (a)
    -0.01665
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01534
  • Expected Shortfall on VaR
    0.01919
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00711
  • Expected Shortfall on VaR
    0.01416
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1000.00000
  • Minimum
    0.92561
  • Quartile 1
    0.99614
  • Median
    1.00000
  • Quartile 3
    1.00413
  • Maximum
    1.07112
  • Mean of quarter 1
    0.98978
  • Mean of quarter 2
    0.99824
  • Mean of quarter 3
    1.00175
  • Mean of quarter 4
    1.01073
  • Inter Quartile Range
    0.00798
  • Number outliers low
    33.00000
  • Percentage of outliers low
    0.03300
  • Mean of outliers low
    0.97540
  • Number of outliers high
    35.00000
  • Percentage of outliers high
    0.03500
  • Mean of outliers high
    1.02521
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18772
  • VaR(95%) (moments method)
    0.00974
  • Expected Shortfall (moments method)
    0.01492
  • Extreme Value Index (regression method)
    0.13406
  • VaR(95%) (regression method)
    0.00921
  • Expected Shortfall (regression method)
    0.01345
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00456
  • Quartile 1
    0.01159
  • Median
    0.01551
  • Quartile 3
    0.04626
  • Maximum
    0.33185
  • Mean of quarter 1
    0.00724
  • Mean of quarter 2
    0.01347
  • Mean of quarter 3
    0.02714
  • Mean of quarter 4
    0.20135
  • Inter Quartile Range
    0.03467
  • 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
    0.12500
  • Mean of outliers high
    0.33185
  • 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)
    0.02260
  • Compounded annual return (geometric extrapolation)
    0.02191
  • Calmar ratio (compounded annual return / max draw down)
    0.06602
  • Compounded annual return / average of 25% largest draw downs
    0.10881
  • Compounded annual return / Expected Shortfall lognormal
    1.14152
  • 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
    0.08426
  • SD
    0.15073
  • Sharpe ratio (Glass type estimate)
    0.55902
  • Sharpe ratio (Hedges UMVUE)
    0.55579
  • df
    130.00000
  • t
    0.39528
  • p
    0.48268
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.21459
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.33069
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.21684
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.32841
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.79369
  • Upside Potential Ratio
    8.32041
  • Upside part of mean
    0.88334
  • Downside part of mean
    -0.79908
  • Upside SD
    0.10632
  • Downside SD
    0.10617
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22611
  • Mean of criterion
    0.08426
  • SD of predictor
    0.10946
  • SD of criterion
    0.15073
  • Covariance
    0.00519
  • r
    0.31472
  • b (slope, estimate of beta)
    0.43339
  • a (intercept, estimate of alpha)
    -0.01373
  • Mean Square Error
    0.02063
  • DF error
    129.00000
  • t(b)
    3.76586
  • p(b)
    0.30300
  • t(a)
    -0.06706
  • p(a)
    0.50376
  • Lowerbound of 95% confidence interval for beta
    0.20569
  • Upperbound of 95% confidence interval for beta
    0.66108
  • Lowerbound of 95% confidence interval for alpha
    -0.41889
  • Upperbound of 95% confidence interval for alpha
    0.39143
  • Treynor index (mean / b)
    0.19443
  • Jensen alpha (a)
    -0.01373
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07296
  • SD
    0.15079
  • Sharpe ratio (Glass type estimate)
    0.48390
  • Sharpe ratio (Hedges UMVUE)
    0.48110
  • df
    130.00000
  • t
    0.34217
  • p
    0.48500
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.28938
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.25548
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.29132
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.25352
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.67920
  • Upside Potential Ratio
    8.17000
  • Upside part of mean
    0.87768
  • Downside part of mean
    -0.80472
  • Upside SD
    0.10508
  • Downside SD
    0.10743
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22004
  • Mean of criterion
    0.07296
  • SD of predictor
    0.10962
  • SD of criterion
    0.15079
  • Covariance
    0.00522
  • r
    0.31599
  • b (slope, estimate of beta)
    0.43467
  • a (intercept, estimate of alpha)
    -0.02268
  • Mean Square Error
    0.02062
  • DF error
    129.00000
  • t(b)
    3.78283
  • p(b)
    0.30223
  • t(a)
    -0.11082
  • p(a)
    0.50621
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    0.20733
  • Upperbound of 95% confidence interval for beta
    0.66202
  • Lowerbound of 95% confidence interval for alpha
    -0.42762
  • Upperbound of 95% confidence interval for alpha
    0.38226
  • Treynor index (mean / b)
    0.16786
  • Jensen alpha (a)
    -0.02268
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01493
  • Expected Shortfall on VaR
    0.01875
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00675
  • Expected Shortfall on VaR
    0.01363
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96134
  • Quartile 1
    0.99591
  • Median
    1.00061
  • Quartile 3
    1.00516
  • Maximum
    1.04555
  • Mean of quarter 1
    0.98991
  • Mean of quarter 2
    0.99823
  • Mean of quarter 3
    1.00271
  • Mean of quarter 4
    1.01092
  • Inter Quartile Range
    0.00925
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.97338
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.04555
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43881
  • VaR(95%) (moments method)
    0.01093
  • Expected Shortfall (moments method)
    0.02144
  • Extreme Value Index (regression method)
    0.33413
  • VaR(95%) (regression method)
    0.00844
  • Expected Shortfall (regression method)
    0.01357
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00129
  • Quartile 1
    0.00242
  • Median
    0.00799
  • Quartile 3
    0.02942
  • Maximum
    0.11482
  • Mean of quarter 1
    0.00177
  • Mean of quarter 2
    0.00477
  • Mean of quarter 3
    0.00974
  • Mean of quarter 4
    0.10042
  • Inter Quartile Range
    0.02700
  • 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
    0.25000
  • Mean of outliers high
    0.10042
  • 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
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -418901000
  • Max Equity Drawdown (num days)
    1125
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10346
  • Compounded annual return (geometric extrapolation)
    0.10613
  • Calmar ratio (compounded annual return / max draw down)
    0.92439
  • Compounded annual return / average of 25% largest draw downs
    1.05695
  • Compounded annual return / Expected Shortfall lognormal
    5.65965

Strategy Description

Hi, Yagami Consulting here!

We’re sending this message to invite you to simulate our strategy, “Bear Market System”.
on Collective2 https://collective2.com/details/139373540

What makes our system different?
-actively managed / trader style portfolio
-we only swing trade
-no long-term positions because we don't want exposure to the market like that.
-all the trades are both fundamentally researched and technically analyzed
-every trade has a stoploss and take profit planned to ensure limited losses
-everything is systematic

Here's a little more about us.
Yagami Consulting is a team of two professional analysts with over 15 years of experience, we designed a portfolio that can yield consistent and robust returns even in the harshest of market conditions. Many other portfolios only perform well during bull markets, and the ones that perform well are expensive to subscribe to. Our All-Conditions System is affordable and generates consistent returns.

New plays are added into the system every week as we find more opportunities to short or to buy the dip.

As you can see in our performance chart, we have been out-performing the S&P 500 so far in this time of great volatility. Please let us know if you have any questions (edited)
Collective2
Trade this strategy at Tradier

Summary Statistics

Strategy began
2022-02-13
Suggested Minimum Capital
$20,000
# Trades
527
# Profitable
329
% Profitable
62.4%
Net Dividends
$857
Correlation S&P500
0.106
Sharpe Ratio
-0.19
Sortino Ratio
-0.28
Beta
0.14
Alpha
-0.02
Leverage
0.93 Average
13.61 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

subscribed on started simulation

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.