Collective2 Collective2
Featured Strategy Iberia Capital Strategy +15.0% Cumul. Return since Apr 15, 2026 Hypothetical

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Small Cap (5X) Turbo Timer

By GilbertArevalo

Stocks · Started Aug 2012

hypothetical · Annual Return (Compounded)
-5.8%
Max Drawdown
76.3%
Trades
29
Win Trades
24.1%
Profit Factor
0.60
Win Months
7.1%

About this strategy

Welcome! Our proven EOD long-term system capitalizes on uptrends and downtrends. This trend following ETF system trades Direxion Daily Small Cap Bull/Bear 3X Shares (TNA and TZA).

All 100% mechanical (long-only) trades placed before 9:30 am EST to be executed at the US Stock Market open. Appropriate leverage (5.0X max) ALWAYS used.

Investors Business Daily or IBD provides extensive research for institutional clients. Historically, every market uptrend has been "confirmed" with a follow-through day. Conversely, a multiple distribution day stack can point to a market correction.

This system is designed to profit from IBD's market shift calls as outlined in the newspaper's "The Big Picture". Other proprietary measures are used that have been back-tested for over 5 years at Collective2.

Capital preservation is the top priority. The system is developed to greatly out-perform stocks for the long-term, while keeping loss periods contained.

Thank you for considering Small Cap (5X) Timer!

Gilbert J. Arevalo
Kingdom Capital Management

Affiliate site: best-tradingsystems.collective2.com

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20120.8-8.10.112.517.122.3
201329.0-5.84.0-28.915.2-11.2-12.7-3.9-4.7-14.0-0.9-2.9-39.1
2014-6.08.4-7.7-7.3-4.18.0-12.1-3.4-8.81.50.1-14.8-39.6
20153.6-7.2-0.10.00.00.00.00.00.00.00.00.0-3.9
20160.00.00.00.00.00.00.00.00.00.00.00.00.0
20170.00.00.00.00.00.00.00.00.00.00.00.00.0
20180.00.00.00.00.00.00.00.00.00.00.00.00.0
20190.00.00.00.00.00.00.00.00.00.00.00.0
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 began8/17/2012
Suggested Minimum Capital$100,000
Age171 months
What it tradesStocks
# Trades29
# Profitable7
% Profitable24.1%
Avg trade duration33.1 days
Max peak-to-valley drawdown76.3%
drawdown periodFeb 19, 2013 - March 19, 2015
Annual Return (Compounded)-5.8%
Avg win$14,002
Avg loss$6,939

Ratios

W:L ratio0.64
Sharpe Ratio-0.43
Sortino Ratio-0.60
Calmar Ratio-0.22

CORRELATION STATISTICS

Correlation to SP5000.05
Return Percent SP500 (cumu) during strategy life436.6%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-496.7%

Return Statistics

Ann Return (w trading costs)-5.8%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.1%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-5.4%

Slump

Current Slump as Pcnt Equity321.2%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.0%
Percent Trades Options0.0%
Percent Trades Stocks1.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss100.0%
Chance of 20% account loss100.0%
Chance of 30% account loss100.0%
Chance of 40% account loss100.0%
Chance of 50% account loss100.0%
Chance of 60% account loss (Monte Carlo)42.0%
Chance of 70% account loss (Monte Carlo)7.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%
Chance of 100% account loss (Monte Carlo)—

Automation

Percentage Signals Automated0.0%

Popularity

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

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$6,939
Avg Win$14,002
# Winners7
Sum Trade PL (losers)$152,665
Sum Trade PL (winners)$98,013
Num Months Winners13
# Losers22
% Winners24.1%

Dividends

Dividends Received in Model Acct448

Age

Num Months filled monthly returns table170

Frequency

Avg Position Time (mins)47621.53
Avg Position Time (hrs)793.69
Avg Trade Length33.10
Last Trade Ago4196

Regression

Alpha-0.02
Beta0.05
Treynor Index-0.43

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.07
MAE:Equity, 95th Percentile Value for this strat0.06
MAE:Equity, average, losing trades0.09
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-3.48
MAE:PL (avg, all trades)0.60
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats15.45
MAE:PL - Winning Trades - this strat Percentile of All Strats92.05
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.14
Avg(MAE) / Avg(PL) - Losing trades-1.16
Hold-and-Hope Ratio-0.29

RATIO STATISTICS

Mean-0.16
SD0.32
Sharpe ratio (Glass type estimate)-0.49
Sharpe ratio (Hedges UMVUE)-0.49
df51
t-1.03
p0.85
Lowerbound of 95% confidence interval for Sharpe Ratio-1.44
Upperbound of 95% confidence interval for Sharpe Ratio0.45
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.43
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.46
Sortino ratio-0.64
Upside Potential Ratio1.10
Upside part of mean0.27
Downside part of mean-0.43
Upside SD0.20
Downside SD0.24
N nonnegative terms11
N negative terms41
N of observations52
Mean of predictor0.36
Mean of criterion-0.16
SD of predictor0.24
SD of criterion0.32
Covariance0.01
r0.10
b (slope, estimate of beta)0.14
a (intercept, estimate of alpha)-0.21
Mean Square Error0.10
DF error50
t(b)0.75
p(b)0.23
t(a)-1.24
p(a)0.89
Lowerbound of 95% confidence interval for beta-0.24
Upperbound of 95% confidence interval for beta0.52
Lowerbound of 95% confidence interval for alpha-0.54
Upperbound of 95% confidence interval for alpha0.13
Treynor index (mean / b)-1.12
Jensen alpha (a)-0.21
Mean-0.21
SD0.32
Sharpe ratio (Glass type estimate)-0.64
Sharpe ratio (Hedges UMVUE)-0.64
df51
t-1.34
p0.91
Lowerbound of 95% confidence interval for Sharpe Ratio-1.59
Upperbound of 95% confidence interval for Sharpe Ratio0.31
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.58
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.31
Sortino ratio-0.78
Upside Potential Ratio0.94
Upside part of mean0.25
Downside part of mean-0.46
Upside SD0.19
Downside SD0.27
N nonnegative terms11
N negative terms41
N of observations52
Mean of predictor0.33
Mean of criterion-0.21
SD of predictor0.23
SD of criterion0.32
Covariance0.01
r0.11
b (slope, estimate of beta)0.16
a (intercept, estimate of alpha)-0.26
Mean Square Error0.10
DF error50
t(b)0.78
p(b)0.22
t(a)-1.54
p(a)0.93
Lowerbound of 95% confidence interval for beta-0.24
Upperbound of 95% confidence interval for beta0.56
Lowerbound of 95% confidence interval for alpha-0.60
Upperbound of 95% confidence interval for alpha0.08
Treynor index (mean / b)-1.33
Jensen alpha (a)-0.26
VaR(95%)0.16
Expected Shortfall on VaR0.19
VaR(95%)0.11
Expected Shortfall on VaR0.19
Mean-0.18
SD0.24
Sharpe ratio (Glass type estimate)-0.75
Sharpe ratio (Hedges UMVUE)-0.75
df1150
t-1.57
p0.52
Lowerbound of 95% confidence interval for Sharpe Ratio-1.68
Upperbound of 95% confidence interval for Sharpe Ratio0.19
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.68
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.19
Sortino ratio-1.03
Upside Potential Ratio5.15
Upside part of mean0.89
Downside part of mean-1.07
Upside SD0.16
Downside SD0.17
N nonnegative terms311
N negative terms840
N of observations1151
Mean of predictor0.39
Mean of criterion-0.18
SD of predictor0.26
SD of criterion0.24
Covariance0.00
r0.05
b (slope, estimate of beta)0.05
a (intercept, estimate of alpha)-0.20
Mean Square Error0.06
DF error1149
t(b)1.73
p(b)0.47
t(a)-1.72
p(a)0.53
Lowerbound of 95% confidence interval for beta-0.01
Upperbound of 95% confidence interval for beta0.10
Lowerbound of 95% confidence interval for alpha-0.42
Upperbound of 95% confidence interval for alpha0.03
Treynor index (mean / b)-3.84
Jensen alpha (a)-0.20
Mean-0.21
SD0.24
Sharpe ratio (Glass type estimate)-0.87
Sharpe ratio (Hedges UMVUE)-0.87
df1150
t-1.82
p0.53
Lowerbound of 95% confidence interval for Sharpe Ratio-1.80
Upperbound of 95% confidence interval for Sharpe Ratio0.07
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.80
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.07
Sortino ratio-1.16
Upside Potential Ratio4.96
Upside part of mean0.88
Downside part of mean-1.08
Upside SD0.16
Downside SD0.18
N nonnegative terms311
N negative terms840
N of observations1151
Mean of predictor0.35
Mean of criterion-0.21
SD of predictor0.27
SD of criterion0.24
Covariance0.00
r0.05
b (slope, estimate of beta)0.05
a (intercept, estimate of alpha)-0.22
Mean Square Error0.06
DF error1149
t(b)1.75
p(b)0.47
t(a)-1.95
p(a)0.54
Lowerbound of 95% confidence interval for beta-0.01
Upperbound of 95% confidence interval for beta0.10
Lowerbound of 95% confidence interval for alpha-0.44
Upperbound of 95% confidence interval for alpha0.00
Treynor index (mean / b)-4.47
Jensen alpha (a)-0.22
VaR(95%)0.02
Expected Shortfall on VaR0.03
VaR(95%)0.01
Expected Shortfall on VaR0.02
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 predictor1.18
Mean of criterion-0.03
SD of predictor0.49
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 predictor1.05
Mean of criterion-0.03
SD of predictor0.50
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)-6808090099843072
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)-8.59415693757483e+31
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 observations52
Minimum0.78
Quartile 10.96
Median1
Quartile 31.00
Maximum1.25
Mean of quarter 10.88
Mean of quarter 20.99
Mean of quarter 31
Mean of quarter 41.09
Inter Quartile Range0.04
Number outliers low9
Percentage of outliers low0.17
Mean of outliers low0.84
Number of outliers high8
Percentage of outliers high0.15
Mean of outliers high1.14
Extreme Value Index (moments method)-1.07
VaR(95%) (moments method)0.10
Expected Shortfall (moments method)0.11
Extreme Value Index (regression method)-0.75
VaR(95%) (regression method)0.13
Expected Shortfall (regression method)0.15
Number of observations1151
Minimum0.89
Quartile 11.00
Median1
Quartile 31.00
Maximum1.13
Mean of quarter 10.98
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.01
Inter Quartile Range0.00
Number outliers low188
Percentage of outliers low0.16
Mean of outliers low0.98
Number of outliers high189
Percentage of outliers high0.16
Mean of outliers high1.02
Extreme Value Index (moments method)0.27
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.02
Extreme Value Index (regression method)0.06
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.02
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
Minimum0.14
Quartile 10.29
Median0.44
Quartile 30.59
Maximum0.74
Mean of quarter 10.14
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40.74
Inter Quartile Range0.30
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 observations14
Minimum0.00
Quartile 10.00
Median0.02
Quartile 30.07
Maximum0.74
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.03
Mean of quarter 40.27
Inter Quartile Range0.06
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high2
Percentage of outliers high0.14
Mean of outliers high0.46
Extreme Value Index (moments method)0.88
VaR(95%) (moments method)0.31
Expected Shortfall (moments method)2.64
Extreme Value Index (regression method)2.72
VaR(95%) (regression method)0.64
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?-404890784
Max Equity Drawdown (num days)758
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)-0.13
Compounded annual return (geometric extrapolation)-0.16
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-0.87
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)-0.12
Compounded annual return (geometric extrapolation)-0.16
Calmar ratio (compounded annual return / max draw down)-0.22
Compounded annual return / average of 25% largest draw downs-0.60
Compounded annual return / Expected Shortfall lognormal-5.33
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

SymbolSideQtyOpenedClosedP/L
JDST long25Mar 19, 2015Mar 19, 2015$1
TZA long446Dec 17, 2014Feb 17, 2015($5,807)
TNA long559Oct 22, 2014Dec 17, 2014$594
TZA long530Oct 2, 2014Oct 22, 2014($2,684)
TNA long376Aug 15, 2014Oct 2, 2014($4,494)
TZA long468Aug 6, 2014Aug 15, 2014($3,098)
TNA long784May 28, 2014Aug 6, 2014($3,886)
TZA long676Apr 7, 2014May 28, 2014($832)
TNA long557Apr 2, 2014Apr 7, 2014($4,751)
TZA long569Mar 27, 2014Apr 2, 2014($3,533)
TNA long1048Feb 12, 2014Mar 27, 2014$3,507
TZA long1401Oct 9, 2013Feb 12, 2014($10,492)
TNA long749Dec 23, 2013Jan 30, 2014($3,157)
TNA long544Nov 25, 2013Dec 5, 2013($701)
TNA long1835Sep 10, 2013Oct 9, 2013($4,312)
TZA long546Aug 16, 2013Sep 10, 2013($5,268)
TNA long2000Jul 12, 2013Aug 16, 2013($2,671)
TZA long811Jun 21, 2013Jul 12, 2013($21,383)
TNA long2354Jun 14, 2013Jun 21, 2013($9,209)
TZA long901Jun 12, 2013Jun 14, 2013$31
TNA long3656Apr 30, 2013Jun 12, 2013$17,836
TZA long665Apr 18, 2013Apr 30, 2013($12,108)
TNA long5680Mar 6, 2013Apr 18, 2013($17,982)
TZA long842Feb 26, 2013Mar 6, 2013($14,689)
TNA long6600Feb 11, 2013Feb 26, 2013($12,545)
TNA long5748Nov 26, 2012Feb 11, 2013$72,247
TZA long189Oct 11, 2012Nov 26, 2012$3,746
TNA long5090Sep 7, 2012Oct 11, 2012($2,779)
TZA long288Aug 20, 2012Sep 7, 2012($6,457)

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.