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Featured Strategy TQQQ Aspire Followed by live capital $5.89 million Hypothetical

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POWER BEHIND THE THRONE
(140330667)

Created by: GREY_EMINENCE GREY_EMINENCE
Started: 05/2022
Stocks
Last trade: 27 days ago
Trading style: Equity Momentum 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 $100.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
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).
90.9%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(40.7%)
Max Drawdown
356
Num Trades
94.4%
Win Trades
2.3 : 1
Profit Factor
90.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                            +15.7%+29.2%(20.8%)+12.8%+7.9%+10.1%+5.3%+0.1%+67.3%
2023+4.9%+1.7%+7.0%                                                      +14.1%

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 307 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 223 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/25/23 11:29 TQQQ PROSHARES ULTRAPRO QQQ SHORT 1,100 22.35 2/24 15:53 22.57 6.67%
Trade id #143336729
Max drawdown($5,529)
Time2/2/23 0:00
Quant open1,000
Worst price27.45
Drawdown as % of equity-6.67%
 ($256)
Includes Typical Broker Commissions trade costs of $15.63
1/31/23 10:52 UPRO PROSHARES ULTRAPRO S&P 500 SHORT 500 37.65 2/24 15:43 36.78 2.68%
Trade id #143400088
Max drawdown($2,217)
Time2/2/23 0:00
Quant open500
Worst price42.09
Drawdown as % of equity-2.68%
 $425
Includes Typical Broker Commissions trade costs of $10.00
1/10/23 11:48 FIS FIDELITY NATIONAL INFO SHORT 200 70.82 2/14 9:44 72.16 2.05%
Trade id #143165315
Max drawdown($1,700)
Time2/2/23 0:00
Quant open200
Worst price79.32
Drawdown as % of equity-2.05%
 ($273)
Includes Typical Broker Commissions trade costs of $4.00
1/23/23 14:17 GPC2317N160 GPC Feb17'23 160 put LONG 20 2.35 1/31 11:49 1.15 2.65%
Trade id #143308002
Max drawdown($2,400)
Time1/26/23 0:00
Quant open20
Worst price1.15
Drawdown as % of equity-2.65%
 ($2,428)
Includes Typical Broker Commissions trade costs of $28.00
1/30/23 13:47 AAPL APPLE LONG 400 143.12 1/31 10:38 143.12 0.37%
Trade id #143389140
Max drawdown($338)
Time1/31/23 9:40
Quant open400
Worst price142.28
Drawdown as % of equity-0.37%
 ($10)
Includes Typical Broker Commissions trade costs of $8.00
1/25/23 11:29 UPRO PROSHARES ULTRAPRO S&P 500 SHORT 400 37.17 1/30 15:19 37.15 0.75%
Trade id #143336692
Max drawdown($667)
Time1/27/23 0:00
Quant open200
Worst price39.26
Drawdown as % of equity-0.75%
 $0
Includes Typical Broker Commissions trade costs of $8.00
1/18/23 15:45 MARA MARATHON DIGITAL HOLDINGS INC SHORT 1,000 7.53 1/30 13:47 7.51 2.02%
Trade id #143258407
Max drawdown($1,835)
Time1/26/23 0:00
Quant open1,000
Worst price9.36
Drawdown as % of equity-2.02%
 $3
Includes Typical Broker Commissions trade costs of $12.50
1/30/23 11:10 AAPL APPLE LONG 200 143.95 1/30 11:13 144.07 n/a $20
Includes Typical Broker Commissions trade costs of $4.00
1/30/23 10:44 AAPL APPLE LONG 200 143.72 1/30 11:02 143.87 0.03%
Trade id #143385764
Max drawdown($30)
Time1/30/23 10:54
Quant open200
Worst price143.57
Drawdown as % of equity-0.03%
 $26
Includes Typical Broker Commissions trade costs of $4.00
1/26/23 11:50 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 300 40.94 1/30 10:42 41.07 0.79%
Trade id #143353167
Max drawdown($702)
Time1/27/23 0:00
Quant open200
Worst price38.00
Drawdown as % of equity-0.79%
 $32
Includes Typical Broker Commissions trade costs of $6.00
1/27/23 9:57 UDOW PROSHARES ULTRAPRO DOW30 SHORT 100 60.67 1/27 10:28 60.62 0.06%
Trade id #143363877
Max drawdown($55)
Time1/27/23 10:08
Quant open100
Worst price61.22
Drawdown as % of equity-0.06%
 $3
Includes Typical Broker Commissions trade costs of $2.00
1/11/23 10:14 GPC GENUINE PARTS LONG 200 169.48 1/27 9:47 167.50 2.13%
Trade id #143177548
Max drawdown($1,901)
Time1/20/23 0:00
Quant open200
Worst price159.97
Drawdown as % of equity-2.13%
 ($400)
Includes Typical Broker Commissions trade costs of $4.00
1/26/23 10:59 SQQQ PROSHARES ULTRAPRO SHORT QQQ SHORT 100 41.93 1/26 11:44 41.46 0.02%
Trade id #143351637
Max drawdown($19)
Time1/26/23 11:25
Quant open100
Worst price42.12
Drawdown as % of equity-0.02%
 $45
Includes Typical Broker Commissions trade costs of $2.00
1/26/23 10:38 DOW DOW INC SHORT 100 57.09 1/26 10:56 56.83 0.03%
Trade id #143351265
Max drawdown($31)
Time1/26/23 10:42
Quant open100
Worst price57.40
Drawdown as % of equity-0.03%
 $24
Includes Typical Broker Commissions trade costs of $2.00
1/25/23 11:30 DOW DOW INC SHORT 200 57.23 1/26 10:05 56.03 0.24%
Trade id #143336750
Max drawdown($216)
Time1/26/23 9:36
Quant open200
Worst price58.31
Drawdown as % of equity-0.24%
 $236
Includes Typical Broker Commissions trade costs of $4.00
1/25/23 10:30 DOW DOW INC LONG 200 57.14 1/25 11:23 57.18 0.06%
Trade id #143335507
Max drawdown($58)
Time1/25/23 10:51
Quant open200
Worst price56.85
Drawdown as % of equity-0.06%
 $4
Includes Typical Broker Commissions trade costs of $4.00
1/25/23 10:30 UPRO PROSHARES ULTRAPRO S&P 500 LONG 300 35.62 1/25 11:20 35.81 0.09%
Trade id #143335498
Max drawdown($78)
Time1/25/23 10:40
Quant open200
Worst price35.23
Drawdown as % of equity-0.09%
 $52
Includes Typical Broker Commissions trade costs of $6.00
1/25/23 10:29 TQQQ PROSHARES ULTRAPRO QQQ LONG 300 20.26 1/25 11:20 20.59 0.05%
Trade id #143335488
Max drawdown($48)
Time1/25/23 10:37
Quant open200
Worst price19.98
Drawdown as % of equity-0.05%
 $92
Includes Typical Broker Commissions trade costs of $6.00
1/20/23 10:00 KHC THE KRAFT HEINZ COMPANY COMMON STOCK SHORT 200 39.76 1/25 11:00 39.74 0.12%
Trade id #143281572
Max drawdown($108)
Time1/23/23 0:00
Quant open100
Worst price40.46
Drawdown as % of equity-0.12%
 ($1)
Includes Typical Broker Commissions trade costs of $4.00
1/20/23 10:02 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,000 9.19 1/25 10:20 9.51 0.27%
Trade id #143281631
Max drawdown($240)
Time1/24/23 0:00
Quant open500
Worst price8.89
Drawdown as % of equity-0.27%
 $308
Includes Typical Broker Commissions trade costs of $12.50
1/20/23 9:55 BTBT BIT DIGITAL INC SHORT 3,000 1.32 1/25 10:04 1.28 0.58%
Trade id #143281461
Max drawdown($520)
Time1/24/23 0:00
Quant open2,000
Worst price1.50
Drawdown as % of equity-0.58%
 $103
Includes Typical Broker Commissions trade costs of $7.50
1/20/23 9:50 HUT HUT 8 MINING CORP. COMMON SHARES SHORT 3,000 1.79 1/25 10:00 1.71 0.99%
Trade id #143281283
Max drawdown($880)
Time1/23/23 0:00
Quant open2,000
Worst price2.12
Drawdown as % of equity-0.99%
 $223
Includes Typical Broker Commissions trade costs of $7.50
1/20/23 9:49 RIOT RIOT BLOCKCHAIN INC. COMMON STOCK SHORT 800 6.01 1/25 9:31 5.80 0.49%
Trade id #143281264
Max drawdown($435)
Time1/23/23 0:00
Quant open500
Worst price6.63
Drawdown as % of equity-0.49%
 $156
Includes Typical Broker Commissions trade costs of $10.50
1/20/23 9:56 PLTR PALANTIR TECHNOLOGIES INC SHORT 1,000 6.94 1/25 9:30 6.87 1.12%
Trade id #143281479
Max drawdown($1,000)
Time1/24/23 0:00
Quant open500
Worst price8.76
Drawdown as % of equity-1.12%
 $58
Includes Typical Broker Commissions trade costs of $12.50
1/24/23 9:53 UDOW PROSHARES ULTRAPRO DOW30 SHORT 100 58.17 1/25 9:30 57.84 0.15%
Trade id #143317035
Max drawdown($137)
Time1/24/23 14:55
Quant open100
Worst price59.54
Drawdown as % of equity-0.15%
 $31
Includes Typical Broker Commissions trade costs of $2.00
1/24/23 9:52 UPRO PROSHARES ULTRAPRO S&P 500 SHORT 200 36.95 1/25 9:30 35.88 0.09%
Trade id #143317025
Max drawdown($80)
Time1/24/23 13:47
Quant open200
Worst price37.35
Drawdown as % of equity-0.09%
 $209
Includes Typical Broker Commissions trade costs of $4.00
1/24/23 9:53 TQQQ PROSHARES ULTRAPRO QQQ SHORT 200 21.78 1/25 9:30 20.53 0.01%
Trade id #143317042
Max drawdown($5)
Time1/24/23 10:57
Quant open200
Worst price21.81
Drawdown as % of equity-0.01%
 $246
Includes Typical Broker Commissions trade costs of $4.00
1/23/23 11:52 TQQQ PROSHARES ULTRAPRO QQQ SHORT 100 21.75 1/24 9:42 21.54 0.03%
Trade id #143306187
Max drawdown($25)
Time1/23/23 13:46
Quant open100
Worst price22.00
Drawdown as % of equity-0.03%
 $19
Includes Typical Broker Commissions trade costs of $2.00
1/23/23 12:25 CPB CAMPBELL SOUP SHORT 100 51.74 1/24 9:41 51.10 0.02%
Trade id #143306723
Max drawdown($16)
Time1/23/23 13:01
Quant open100
Worst price51.90
Drawdown as % of equity-0.02%
 $62
Includes Typical Broker Commissions trade costs of $2.00
1/23/23 12:13 BKR BAKER HUGHES CO SHORT 100 30.80 1/24 9:40 29.78 0.02%
Trade id #143306618
Max drawdown($21)
Time1/23/23 12:39
Quant open100
Worst price31.01
Drawdown as % of equity-0.02%
 $100
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    5/2/2022
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    324.77
  • Age
    11 months ago
  • What it trades
    Stocks
  • # Trades
    356
  • # Profitable
    336
  • % Profitable
    94.40%
  • Avg trade duration
    2.8 days
  • Max peak-to-valley drawdown
    40.66%
  • drawdown period
    July 14, 2022 - Aug 16, 2022
  • Cumul. Return
    90.9%
  • Avg win
    $257.38
  • Avg loss
    $1,867
  • Model Account Values (Raw)
  • Cash
    $193,650
  • Margin Used
    $140,550
  • Buying Power
    $51,259
  • Ratios
  • W:L ratio
    2.31:1
  • Sharpe Ratio
    1.47
  • Sortino Ratio
    2.25
  • Calmar Ratio
    3.172
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    96.16%
  • Correlation to SP500
    -0.11500
  • Return Percent SP500 (cumu) during strategy life
    -5.26%
  • Return Statistics
  • Ann Return (w trading costs)
    105.5%
  • Slump
  • Current Slump as Pcnt Equity
    1.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.30%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.909%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.99%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    114.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    53.00%
  • Chance of 20% account loss
    21.50%
  • Chance of 30% account loss
    4.50%
  • Chance of 40% account loss
    3.00%
  • 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)
    643
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    402
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,868
  • Avg Win
    $257
  • Sum Trade PL (losers)
    $37,353.000
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $86,480.000
  • # Winners
    336
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    -216
  • Win / Loss
  • # Losers
    20
  • % Winners
    94.4%
  • Frequency
  • Avg Position Time (mins)
    4068.13
  • Avg Position Time (hrs)
    67.80
  • Avg Trade Length
    2.8 days
  • Last Trade Ago
    26
  • Leverage
  • Daily leverage (average)
    2.56
  • Daily leverage (max)
    5.50
  • Regression
  • Alpha
    0.22
  • Beta
    -0.22
  • Treynor Index
    -0.99
  • 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)
    2.22
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    6.185
  • 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
    0.09
  • Avg(MAE) / Avg(PL) - Winning trades
    1.822
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.053
  • Hold-and-Hope Ratio
    0.173
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.86684
  • SD
    0.43473
  • Sharpe ratio (Glass type estimate)
    1.99396
  • Sharpe ratio (Hedges UMVUE)
    1.82223
  • df
    9.00000
  • t
    1.82023
  • p
    0.05103
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38310
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.27881
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48394
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.12839
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.06907
  • Upside Potential Ratio
    5.19039
  • Upside part of mean
    1.10572
  • Downside part of mean
    -0.23888
  • Upside SD
    0.43282
  • Downside SD
    0.21303
  • N nonnegative terms
    8.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    -0.09710
  • Mean of criterion
    0.86684
  • SD of predictor
    0.21303
  • SD of criterion
    0.43473
  • Covariance
    -0.05429
  • r
    -0.58624
  • b (slope, estimate of beta)
    -1.19634
  • a (intercept, estimate of alpha)
    0.75068
  • Mean Square Error
    0.13955
  • DF error
    8.00000
  • t(b)
    -2.04674
  • p(b)
    0.96256
  • t(a)
    1.81706
  • p(a)
    0.05337
  • Lowerbound of 95% confidence interval for beta
    -2.54423
  • Upperbound of 95% confidence interval for beta
    0.15155
  • Lowerbound of 95% confidence interval for alpha
    -0.20200
  • Upperbound of 95% confidence interval for alpha
    1.70337
  • Treynor index (mean / b)
    -0.72458
  • Jensen alpha (a)
    0.75068
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.75731
  • SD
    0.42247
  • Sharpe ratio (Glass type estimate)
    1.79256
  • Sharpe ratio (Hedges UMVUE)
    1.63817
  • df
    9.00000
  • t
    1.63637
  • p
    0.06809
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54698
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.04671
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.63833
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.91467
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.20536
  • Upside Potential Ratio
    4.32417
  • Upside part of mean
    1.02164
  • Downside part of mean
    -0.26433
  • Upside SD
    0.39065
  • Downside SD
    0.23626
  • N nonnegative terms
    8.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    -0.11771
  • Mean of criterion
    0.75731
  • SD of predictor
    0.21264
  • SD of criterion
    0.42247
  • Covariance
    -0.05281
  • r
    -0.58781
  • b (slope, estimate of beta)
    -1.16788
  • a (intercept, estimate of alpha)
    0.61984
  • Mean Square Error
    0.13142
  • DF error
    8.00000
  • t(b)
    -2.05512
  • p(b)
    0.96304
  • t(a)
    1.53918
  • p(a)
    0.08116
  • Lowerbound of 95% confidence interval for beta
    -2.47834
  • Upperbound of 95% confidence interval for beta
    0.14257
  • Lowerbound of 95% confidence interval for alpha
    -0.30881
  • Upperbound of 95% confidence interval for alpha
    1.54848
  • Treynor index (mean / b)
    -0.64844
  • Jensen alpha (a)
    0.61984
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12846
  • Expected Shortfall on VaR
    0.17093
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02126
  • Expected Shortfall on VaR
    0.05797
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.80791
  • Quartile 1
    1.03984
  • Median
    1.08347
  • Quartile 3
    1.10177
  • Maximum
    1.30318
  • Mean of quarter 1
    0.94525
  • Mean of quarter 2
    1.07463
  • Mean of quarter 3
    1.09309
  • Mean of quarter 4
    1.19149
  • Inter Quartile Range
    0.06193
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.80791
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    1.30318
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.54728
  • VaR(95%) (regression method)
    0.25675
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00232
  • Quartile 1
    0.04976
  • Median
    0.09720
  • Quartile 3
    0.14465
  • Maximum
    0.19209
  • Mean of quarter 1
    0.00232
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.19209
  • Inter Quartile Range
    0.09488
  • 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)
    1.10866
  • Compounded annual return (geometric extrapolation)
    1.19287
  • Calmar ratio (compounded annual return / max draw down)
    6.21007
  • Compounded annual return / average of 25% largest draw downs
    6.21007
  • Compounded annual return / Expected Shortfall lognormal
    6.97876
  • 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
    0.85908
  • SD
    0.45731
  • Sharpe ratio (Glass type estimate)
    1.87854
  • Sharpe ratio (Hedges UMVUE)
    1.87227
  • df
    225.00000
  • t
    1.74471
  • p
    0.04120
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.24093
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.99393
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24511
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.98965
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.92826
  • Upside Potential Ratio
    10.44200
  • Upside part of mean
    3.06342
  • Downside part of mean
    -2.20434
  • Upside SD
    0.35349
  • Downside SD
    0.29337
  • N nonnegative terms
    122.00000
  • N negative terms
    104.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    226.00000
  • Mean of predictor
    -0.06178
  • Mean of criterion
    0.85908
  • SD of predictor
    0.23991
  • SD of criterion
    0.45731
  • Covariance
    -0.01367
  • r
    -0.12460
  • b (slope, estimate of beta)
    -0.23751
  • a (intercept, estimate of alpha)
    0.84400
  • Mean Square Error
    0.20681
  • DF error
    224.00000
  • t(b)
    -1.87950
  • p(b)
    0.96926
  • t(a)
    1.72432
  • p(a)
    0.04302
  • Lowerbound of 95% confidence interval for beta
    -0.48653
  • Upperbound of 95% confidence interval for beta
    0.01151
  • Lowerbound of 95% confidence interval for alpha
    -0.12061
  • Upperbound of 95% confidence interval for alpha
    1.80943
  • Treynor index (mean / b)
    -3.61703
  • Jensen alpha (a)
    0.84441
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.75450
  • SD
    0.45484
  • Sharpe ratio (Glass type estimate)
    1.65882
  • Sharpe ratio (Hedges UMVUE)
    1.65329
  • df
    225.00000
  • t
    1.54065
  • p
    0.06240
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45886
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.77286
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46254
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.76911
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.50676
  • Upside Potential Ratio
    9.97767
  • Upside part of mean
    3.00312
  • Downside part of mean
    -2.24863
  • Upside SD
    0.34285
  • Downside SD
    0.30098
  • N nonnegative terms
    122.00000
  • N negative terms
    104.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    226.00000
  • Mean of predictor
    -0.09050
  • Mean of criterion
    0.75450
  • SD of predictor
    0.24034
  • SD of criterion
    0.45484
  • Covariance
    -0.01376
  • r
    -0.12591
  • b (slope, estimate of beta)
    -0.23828
  • a (intercept, estimate of alpha)
    0.73293
  • Mean Square Error
    0.20451
  • DF error
    224.00000
  • t(b)
    -1.89955
  • p(b)
    0.97061
  • t(a)
    1.50485
  • p(a)
    0.06689
  • Lowerbound of 95% confidence interval for beta
    -0.48547
  • Upperbound of 95% confidence interval for beta
    0.00891
  • Lowerbound of 95% confidence interval for alpha
    -0.22684
  • Upperbound of 95% confidence interval for alpha
    1.69271
  • Treynor index (mean / b)
    -3.16645
  • Jensen alpha (a)
    0.73293
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04241
  • Expected Shortfall on VaR
    0.05354
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01828
  • Expected Shortfall on VaR
    0.03710
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    226.00000
  • Minimum
    0.92004
  • Quartile 1
    0.98905
  • Median
    1.00179
  • Quartile 3
    1.01893
  • Maximum
    1.13399
  • Mean of quarter 1
    0.96875
  • Mean of quarter 2
    0.99819
  • Mean of quarter 3
    1.00979
  • Mean of quarter 4
    1.03683
  • Inter Quartile Range
    0.02988
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.03097
  • Mean of outliers low
    0.93367
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.01327
  • Mean of outliers high
    1.10743
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.01433
  • VaR(95%) (moments method)
    0.02754
  • Expected Shortfall (moments method)
    0.03791
  • Extreme Value Index (regression method)
    -0.04673
  • VaR(95%) (regression method)
    0.02984
  • Expected Shortfall (regression method)
    0.04037
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00088
  • Quartile 1
    0.00924
  • Median
    0.07142
  • Quartile 3
    0.09540
  • Maximum
    0.37418
  • Mean of quarter 1
    0.00459
  • Mean of quarter 2
    0.06460
  • Mean of quarter 3
    0.08676
  • Mean of quarter 4
    0.27090
  • Inter Quartile Range
    0.08616
  • 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
    0.11111
  • Mean of outliers high
    0.37418
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.42450
  • VaR(95%) (moments method)
    0.23339
  • Expected Shortfall (moments method)
    0.24439
  • Extreme Value Index (regression method)
    0.51576
  • VaR(95%) (regression method)
    0.44073
  • Expected Shortfall (regression method)
    1.05057
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.11736
  • Compounded annual return (geometric extrapolation)
    1.18672
  • Calmar ratio (compounded annual return / max draw down)
    3.17155
  • Compounded annual return / average of 25% largest draw downs
    4.38060
  • Compounded annual return / Expected Shortfall lognormal
    22.16440
  • 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
    0.97411
  • SD
    0.41786
  • Sharpe ratio (Glass type estimate)
    2.33120
  • Sharpe ratio (Hedges UMVUE)
    2.31773
  • df
    130.00000
  • t
    1.64841
  • p
    0.42846
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45942
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.11309
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46836
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.10381
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.06035
  • Upside Potential Ratio
    11.05410
  • Upside part of mean
    2.65197
  • Downside part of mean
    -1.67786
  • Upside SD
    0.34546
  • Downside SD
    0.23991
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08701
  • Mean of criterion
    0.97411
  • SD of predictor
    0.23367
  • SD of criterion
    0.41786
  • Covariance
    0.00014
  • r
    0.00138
  • b (slope, estimate of beta)
    0.00247
  • a (intercept, estimate of alpha)
    0.97433
  • Mean Square Error
    0.17596
  • DF error
    129.00000
  • t(b)
    0.01571
  • p(b)
    0.49912
  • t(a)
    1.64198
  • p(a)
    0.40922
  • Lowerbound of 95% confidence interval for beta
    -0.30904
  • Upperbound of 95% confidence interval for beta
    0.31398
  • Lowerbound of 95% confidence interval for alpha
    -0.19970
  • Upperbound of 95% confidence interval for alpha
    2.14836
  • Treynor index (mean / b)
    393.77300
  • Jensen alpha (a)
    0.97433
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.88741
  • SD
    0.41211
  • Sharpe ratio (Glass type estimate)
    2.15334
  • Sharpe ratio (Hedges UMVUE)
    2.14089
  • df
    130.00000
  • t
    1.52264
  • p
    0.43382
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63480
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.93336
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.64310
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.92489
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.60694
  • Upside Potential Ratio
    10.54690
  • Upside part of mean
    2.59484
  • Downside part of mean
    -1.70744
  • Upside SD
    0.33318
  • Downside SD
    0.24603
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.11413
  • Mean of criterion
    0.88741
  • SD of predictor
    0.23380
  • SD of criterion
    0.41211
  • Covariance
    0.00021
  • r
    0.00221
  • b (slope, estimate of beta)
    0.00390
  • a (intercept, estimate of alpha)
    0.88785
  • Mean Square Error
    0.17115
  • DF error
    129.00000
  • t(b)
    0.02515
  • p(b)
    0.49859
  • t(a)
    1.51684
  • p(a)
    0.41597
  • VAR (95 Confidence Intrvl)
    0.04200
  • Lowerbound of 95% confidence interval for beta
    -0.30315
  • Upperbound of 95% confidence interval for beta
    0.31095
  • Lowerbound of 95% confidence interval for alpha
    -0.27024
  • Upperbound of 95% confidence interval for alpha
    2.04594
  • Treynor index (mean / b)
    227.40200
  • Jensen alpha (a)
    0.88785
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03776
  • Expected Shortfall on VaR
    0.04790
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01467
  • Expected Shortfall on VaR
    0.03026
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92004
  • Quartile 1
    0.99432
  • Median
    1.00009
  • Quartile 3
    1.01480
  • Maximum
    1.13399
  • Mean of quarter 1
    0.97594
  • Mean of quarter 2
    0.99885
  • Mean of quarter 3
    1.00607
  • Mean of quarter 4
    1.03451
  • Inter Quartile Range
    0.02048
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.94673
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.08467
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.33662
  • VaR(95%) (moments method)
    0.01785
  • Expected Shortfall (moments method)
    0.02213
  • Extreme Value Index (regression method)
    0.09980
  • VaR(95%) (regression method)
    0.02171
  • Expected Shortfall (regression method)
    0.03354
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01923
  • Quartile 1
    0.04120
  • Median
    0.07812
  • Quartile 3
    0.10749
  • Maximum
    0.16763
  • Mean of quarter 1
    0.03022
  • Mean of quarter 2
    0.07812
  • Mean of quarter 3
    0.10749
  • Mean of quarter 4
    0.16763
  • Inter Quartile Range
    0.06629
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -371456000
  • Max Equity Drawdown (num days)
    33
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.16073
  • Compounded annual return (geometric extrapolation)
    1.49756
  • Calmar ratio (compounded annual return / max draw down)
    8.93369
  • Compounded annual return / average of 25% largest draw downs
    8.93369
  • Compounded annual return / Expected Shortfall lognormal
    31.26430

Strategy Description

My system consists of 4 different types of analysis, price action, spread, volume, volume delta. Many years of experience allows me to analyze and predict price movements on any time periods. The system was developed by me personally 8 years ago and is constantly being improved. The type of system is pattern. I don't chase big profits with low odds. Game theory has taught me to take highly probable small profits. My systems are fully automated, but in order to demonstrate the possibilities of my system, I conduct public trading in person, without the use of robots, anyone can join. I am also open for cooperation, ready to consider your suggestions, feel free to write to me.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-05-02
Suggested Minimum Capital
$100,000
# Trades
356
# Profitable
336
% Profitable
94.4%
Net Dividends
($216)
Correlation S&P500
-0.115
Sharpe Ratio
1.47
Sortino Ratio
2.25
Beta
-0.22
Alpha
0.22
Leverage
2.56 Average
5.50 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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