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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 05/03/2021
Most recent certification approved 5/3/21 15:58 ET
Trades at broker Israel Interactive Trading
Scaling percentage used 100%
# trading signals issued by system since certification 215
# trading signals executed in manager's Israel Interactive Trading account 215
Percent signals followed since 05/03/2021 100%
This information was last updated 7/6/22 3:47 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 05/03/2021, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

3x SPX swing
(135367907)

Created by: ShlomiArviv ShlomiArviv
Started: 04/2021
Stocks
Last trade: Yesterday

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 $20.00 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.

-3.6%
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.

(31.7%)
Max Drawdown
102
Num Trades
53.9%
Win Trades
1.0 : 1
Profit Factor
56.2%
Win Months
Hypothetical Monthly Returns (includes system fee and C2 Israel commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                     (0.1%)+8.8%+2.3%+0.5%+4.2%(3.7%)(3.2%)+2.2%+2.6%+13.7%
2022+0.3%(1.9%)(9.7%)(17.2%)+3.7%+10.4%  -                                (15.8%)

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

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/1/22 10:12 UPRO PROSHARES ULTRAPRO S&P 500 LONG 746 34.58 7/5 9:30 34.52 1.86%
Trade id #140933867
Max drawdown($483)
Time7/1/22 10:40
Quant open746
Worst price33.93
Drawdown as % of equity-1.86%
($58)
Includes Typical Broker Commissions trade costs of $14.92
6/22/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 688 34.47 6/24 10:02 37.59 1.7%
Trade id #140835813
Max drawdown($404)
Time6/23/22 0:00
Quant open688
Worst price33.88
Drawdown as % of equity-1.70%
$2,134
Includes Typical Broker Commissions trade costs of $13.76
6/17/22 9:41 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 1,075 21.93 6/17 13:10 22.09 0.61%
Trade id #140794857
Max drawdown($144)
Time6/17/22 9:55
Quant open1,075
Worst price21.80
Drawdown as % of equity-0.61%
$147
Includes Typical Broker Commissions trade costs of $21.50
6/15/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 716 35.39 6/16 9:30 32.96 8.58%
Trade id #140778269
Max drawdown($2,187)
Time6/16/22 0:00
Quant open716
Worst price32.33
Drawdown as % of equity-8.58%
($1,750)
Includes Typical Broker Commissions trade costs of $14.32
6/15/22 14:03 UPRO PROSHARES ULTRAPRO S&P 500 LONG 713 34.62 6/15 14:45 36.22 3.31%
Trade id #140776065
Max drawdown($806)
Time6/15/22 14:33
Quant open713
Worst price33.49
Drawdown as % of equity-3.31%
$1,126
Includes Typical Broker Commissions trade costs of $14.26
6/9/22 15:59 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 1,292 17.54 6/10 10:44 18.76 n/a $1,559
Includes Typical Broker Commissions trade costs of $25.84
6/8/22 9:30 UPRO PROSHARES ULTRAPRO S&P 500 LONG 495 46.64 6/8 15:55 45.76 2.57%
Trade id #140706606
Max drawdown($603)
Time6/8/22 15:07
Quant open495
Worst price45.42
Drawdown as % of equity-2.57%
($447)
Includes Typical Broker Commissions trade costs of $9.90
6/6/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 490 46.00 6/7 15:59 47.24 3.16%
Trade id #140692291
Max drawdown($714)
Time6/7/22 0:00
Quant open490
Worst price44.54
Drawdown as % of equity-3.16%
$600
Includes Typical Broker Commissions trade costs of $9.80
6/2/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 489 47.90 6/3 9:44 46.05 4.13%
Trade id #140667046
Max drawdown($972)
Time6/3/22 9:44
Quant open489
Worst price45.91
Drawdown as % of equity-4.13%
($912)
Includes Typical Broker Commissions trade costs of $9.78
5/25/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 550 41.54 5/26 9:40 42.70 n/a $626
Includes Typical Broker Commissions trade costs of $11.00
5/24/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 558 40.31 5/25 11:44 40.81 1.07%
Trade id #140586522
Max drawdown($243)
Time5/25/22 0:00
Quant open558
Worst price39.87
Drawdown as % of equity-1.07%
$271
Includes Typical Broker Commissions trade costs of $11.16
5/20/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 573 39.22 5/24 10:00 39.36 n/a $72
Includes Typical Broker Commissions trade costs of $11.46
5/20/22 10:50 UPRO PROSHARES ULTRAPRO S&P 500 LONG 580 39.21 5/20 12:09 37.71 3.92%
Trade id #140544852
Max drawdown($920)
Time5/20/22 12:09
Quant open580
Worst price37.62
Drawdown as % of equity-3.92%
($882)
Includes Typical Broker Commissions trade costs of $11.60
5/18/22 9:30 UPRO PROSHARES ULTRAPRO S&P 500 LONG 544 43.84 5/18 10:31 42.85 2.53%
Trade id #140514993
Max drawdown($607)
Time5/18/22 10:30
Quant open544
Worst price42.72
Drawdown as % of equity-2.53%
($551)
Includes Typical Broker Commissions trade costs of $10.88
5/12/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 565 40.37 5/13 14:02 42.18 n/a $1,013
Includes Typical Broker Commissions trade costs of $11.30
5/2/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 450 48.31 5/3 15:59 48.99 0.88%
Trade id #140340427
Max drawdown($199)
Time5/3/22 9:45
Quant open450
Worst price47.87
Drawdown as % of equity-0.88%
$298
Includes Typical Broker Commissions trade costs of $9.00
4/28/22 15:58 UPRO PROSHARES ULTRAPRO S&P 500 LONG 457 53.15 4/29 12:54 49.36 7.51%
Trade id #140304469
Max drawdown($1,731)
Time4/29/22 12:54
Quant open457
Worst price49.36
Drawdown as % of equity-7.51%
($1,740)
Includes Typical Broker Commissions trade costs of $9.14
4/28/22 9:36 UPRO PROSHARES ULTRAPRO S&P 500 LONG 480 50.84 4/28 9:44 50.50 0.81%
Trade id #140296959
Max drawdown($206)
Time4/28/22 9:44
Quant open480
Worst price50.41
Drawdown as % of equity-0.81%
($176)
Includes Typical Broker Commissions trade costs of $9.60
4/27/22 15:59 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 1,520 16.64 4/28 9:34 16.16 4.1%
Trade id #140290103
Max drawdown($1,042)
Time4/28/22 9:31
Quant open1,520
Worst price15.95
Drawdown as % of equity-4.10%
($750)
Includes Typical Broker Commissions trade costs of $30.40
4/25/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 482 53.77 4/26 9:45 52.21 2.9%
Trade id #140258545
Max drawdown($758)
Time4/26/22 9:43
Quant open482
Worst price52.20
Drawdown as % of equity-2.90%
($764)
Includes Typical Broker Commissions trade costs of $9.64
4/21/22 15:59 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 1,764 14.53 4/22 9:38 14.74 n/a $345
Includes Typical Broker Commissions trade costs of $35.28
4/21/22 10:57 UPRO PROSHARES ULTRAPRO S&P 500 LONG 419 61.35 4/21 11:42 60.79 1.09%
Trade id #140213163
Max drawdown($284)
Time4/21/22 11:42
Quant open419
Worst price60.67
Drawdown as % of equity-1.09%
($242)
Includes Typical Broker Commissions trade costs of $8.38
4/19/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 419 60.60 4/21 10:27 61.79 0.63%
Trade id #140189126
Max drawdown($161)
Time4/20/22 0:00
Quant open235
Worst price59.91
Drawdown as % of equity-0.63%
$487
Includes Typical Broker Commissions trade costs of $10.00
4/18/22 9:32 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 1,700 14.53 4/18 15:57 14.64 0.92%
Trade id #140166439
Max drawdown($235)
Time4/18/22 14:25
Quant open1,700
Worst price14.39
Drawdown as % of equity-0.92%
$150
Includes Typical Broker Commissions trade costs of $34.00
4/13/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 437 59.89 4/18 9:30 57.70 4.52%
Trade id #140130005
Max drawdown($1,148)
Time4/18/22 9:30
Quant open437
Worst price57.26
Drawdown as % of equity-4.52%
($965)
Includes Typical Broker Commissions trade costs of $8.74
4/11/22 15:59 SPXU PROSHARES ULTRAPRO SHORT S&P50 LONG 1,861 14.17 4/12 13:39 14.27 2.5%
Trade id #140102294
Max drawdown($653)
Time4/12/22 9:54
Quant open1,861
Worst price13.82
Drawdown as % of equity-2.50%
$149
Includes Typical Broker Commissions trade costs of $37.22
4/8/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 430 61.62 4/11 9:30 60.35 2.06%
Trade id #140080143
Max drawdown($553)
Time4/11/22 9:30
Quant open430
Worst price60.33
Drawdown as % of equity-2.06%
($555)
Includes Typical Broker Commissions trade costs of $8.60
4/5/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 432 63.17 4/6 9:30 61.51 3.05%
Trade id #140036047
Max drawdown($822)
Time4/6/22 0:00
Quant open432
Worst price61.27
Drawdown as % of equity-3.05%
($729)
Includes Typical Broker Commissions trade costs of $8.64
4/1/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 425 64.13 4/5 15:36 64.40 1.66%
Trade id #140003567
Max drawdown($450)
Time4/5/22 15:36
Quant open425
Worst price63.07
Drawdown as % of equity-1.66%
$107
Includes Typical Broker Commissions trade costs of $8.50
3/30/22 15:59 UPRO PROSHARES ULTRAPRO S&P 500 LONG 425 66.53 3/31 15:56 64.07 3.92%
Trade id #139972448
Max drawdown($1,097)
Time3/31/22 15:56
Quant open425
Worst price63.95
Drawdown as % of equity-3.92%
($1,057)
Includes Typical Broker Commissions trade costs of $8.50

Statistics

  • Strategy began
    4/29/2021
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    432.76
  • Age
    14 months ago
  • What it trades
    Stocks
  • # Trades
    102
  • # Profitable
    55
  • % Profitable
    53.90%
  • Avg trade duration
    2.0 days
  • Max peak-to-valley drawdown
    31.66%
  • drawdown period
    Feb 09, 2022 - June 07, 2022
  • Annual Return (Compounded)
    -3.0%
  • Avg win
    $623.64
  • Avg loss
    $721.13
  • Model Account Values (Raw)
  • Cash
    $7,987
  • Margin Used
    $0
  • Buying Power
    $8,051
  • Ratios
  • W:L ratio
    1.01:1
  • Sharpe Ratio
    -0.09
  • Sortino Ratio
    -0.13
  • Calmar Ratio
    0.05
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    5.44%
  • Correlation to SP500
    0.28930
  • Return Percent SP500 (cumu) during strategy life
    -9.02%
  • Return Statistics
  • Ann Return (w trading costs)
    -3.0%
  • Slump
  • Current Slump as Pcnt Equity
    24.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.34%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.030%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.3%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    603
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    721
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $721
  • Avg Win
    $624
  • Sum Trade PL (losers)
    $33,893.000
  • Age
  • Num Months filled monthly returns table
    16
  • Win / Loss
  • Sum Trade PL (winners)
    $34,300.000
  • # Winners
    55
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    12
  • AUM
  • AUM (AutoTrader live capital)
    61454
  • Win / Loss
  • # Losers
    47
  • % Winners
    53.9%
  • Frequency
  • Avg Position Time (mins)
    2808.45
  • Avg Position Time (hrs)
    46.81
  • Avg Trade Length
    1.9 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    2.79
  • Daily leverage (max)
    3.22
  • Regression
  • Alpha
    0.00
  • Beta
    0.35
  • Treynor Index
    -0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.12
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -7.299
  • 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
    0.372
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.115
  • Hold-and-Hope Ratio
    -0.137
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04052
  • SD
    0.18273
  • Sharpe ratio (Glass type estimate)
    -0.22178
  • Sharpe ratio (Hedges UMVUE)
    -0.20757
  • df
    12.00000
  • t
    -0.23083
  • p
    0.53324
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.10238
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66788
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.09247
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67733
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.28529
  • Upside Potential Ratio
    1.58472
  • Upside part of mean
    0.22511
  • Downside part of mean
    -0.26563
  • Upside SD
    0.10383
  • Downside SD
    0.14205
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    -0.10905
  • Mean of criterion
    -0.04052
  • SD of predictor
    0.18348
  • SD of criterion
    0.18273
  • Covariance
    0.01383
  • r
    0.41243
  • b (slope, estimate of beta)
    0.41074
  • a (intercept, estimate of alpha)
    0.00427
  • Mean Square Error
    0.03023
  • DF error
    11.00000
  • t(b)
    1.50154
  • p(b)
    0.08068
  • t(a)
    0.02515
  • p(a)
    0.49019
  • Lowerbound of 95% confidence interval for beta
    -0.19133
  • Upperbound of 95% confidence interval for beta
    1.01282
  • Lowerbound of 95% confidence interval for alpha
    -0.36921
  • Upperbound of 95% confidence interval for alpha
    0.37774
  • Treynor index (mean / b)
    -0.09866
  • Jensen alpha (a)
    0.00427
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05625
  • SD
    0.18566
  • Sharpe ratio (Glass type estimate)
    -0.30295
  • Sharpe ratio (Hedges UMVUE)
    -0.28355
  • df
    12.00000
  • t
    -0.31533
  • p
    0.54533
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.18367
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.59014
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.17003
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60294
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.37898
  • Upside Potential Ratio
    1.47861
  • Upside part of mean
    0.21945
  • Downside part of mean
    -0.27570
  • Upside SD
    0.10027
  • Downside SD
    0.14842
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    -0.12524
  • Mean of criterion
    -0.05625
  • SD of predictor
    0.18650
  • SD of criterion
    0.18566
  • Covariance
    0.01534
  • r
    0.44295
  • b (slope, estimate of beta)
    0.44095
  • a (intercept, estimate of alpha)
    -0.00102
  • Mean Square Error
    0.03023
  • DF error
    11.00000
  • t(b)
    1.63860
  • p(b)
    0.06478
  • t(a)
    -0.00598
  • p(a)
    0.50233
  • Lowerbound of 95% confidence interval for beta
    -0.15134
  • Upperbound of 95% confidence interval for beta
    1.03325
  • Lowerbound of 95% confidence interval for alpha
    -0.37607
  • Upperbound of 95% confidence interval for alpha
    0.37403
  • Treynor index (mean / b)
    -0.12756
  • Jensen alpha (a)
    -0.00102
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08866
  • Expected Shortfall on VaR
    0.10867
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04368
  • Expected Shortfall on VaR
    0.08404
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.90300
  • Quartile 1
    0.97244
  • Median
    1.01828
  • Quartile 3
    1.02500
  • Maximum
    1.09022
  • Mean of quarter 1
    0.93743
  • Mean of quarter 2
    1.00200
  • Mean of quarter 3
    1.02244
  • Mean of quarter 4
    1.05444
  • Inter Quartile Range
    0.05257
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.16886
  • VaR(95%) (moments method)
    0.06589
  • Expected Shortfall (moments method)
    0.08468
  • Extreme Value Index (regression method)
    -1.62339
  • VaR(95%) (regression method)
    0.06882
  • Expected Shortfall (regression method)
    0.07042
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.20996
  • Quartile 1
    0.20996
  • Median
    0.20996
  • Quartile 3
    0.20996
  • Maximum
    0.20996
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    -0.02791
  • Compounded annual return (geometric extrapolation)
    -0.02794
  • Calmar ratio (compounded annual return / max draw down)
    -0.13308
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.25712
  • 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
    0.01076
  • SD
    0.22509
  • Sharpe ratio (Glass type estimate)
    0.04779
  • Sharpe ratio (Hedges UMVUE)
    0.04766
  • df
    298.00000
  • t
    0.05105
  • p
    0.47966
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.78691
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.88248
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.78703
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88236
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.07208
  • Upside Potential Ratio
    8.01302
  • Upside part of mean
    1.19580
  • Downside part of mean
    -1.18505
  • Upside SD
    0.16801
  • Downside SD
    0.14923
  • N nonnegative terms
    124.00000
  • N negative terms
    175.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    299.00000
  • Mean of predictor
    -0.09302
  • Mean of criterion
    0.01076
  • SD of predictor
    0.18839
  • SD of criterion
    0.22509
  • Covariance
    0.01102
  • r
    0.25989
  • b (slope, estimate of beta)
    0.31054
  • a (intercept, estimate of alpha)
    0.04000
  • Mean Square Error
    0.04740
  • DF error
    297.00000
  • t(b)
    4.63833
  • p(b)
    0.00000
  • t(a)
    0.19442
  • p(a)
    0.42299
  • Lowerbound of 95% confidence interval for beta
    0.17878
  • Upperbound of 95% confidence interval for beta
    0.44229
  • Lowerbound of 95% confidence interval for alpha
    -0.36164
  • Upperbound of 95% confidence interval for alpha
    0.44092
  • Treynor index (mean / b)
    0.03464
  • Jensen alpha (a)
    0.03964
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01435
  • SD
    0.22416
  • Sharpe ratio (Glass type estimate)
    -0.06401
  • Sharpe ratio (Hedges UMVUE)
    -0.06385
  • df
    298.00000
  • t
    -0.06839
  • p
    0.52724
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.89871
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.77068
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.89855
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.77084
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.09495
  • Upside Potential Ratio
    7.82094
  • Upside part of mean
    1.18189
  • Downside part of mean
    -1.19624
  • Upside SD
    0.16505
  • Downside SD
    0.15112
  • N nonnegative terms
    124.00000
  • N negative terms
    175.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    299.00000
  • Mean of predictor
    -0.11079
  • Mean of criterion
    -0.01435
  • SD of predictor
    0.18895
  • SD of criterion
    0.22416
  • Covariance
    0.01101
  • r
    0.26003
  • b (slope, estimate of beta)
    0.30848
  • a (intercept, estimate of alpha)
    0.01983
  • Mean Square Error
    0.04701
  • DF error
    297.00000
  • t(b)
    4.64100
  • p(b)
    0.00000
  • t(a)
    0.09763
  • p(a)
    0.46115
  • Lowerbound of 95% confidence interval for beta
    0.17767
  • Upperbound of 95% confidence interval for beta
    0.43929
  • Lowerbound of 95% confidence interval for alpha
    -0.37984
  • Upperbound of 95% confidence interval for alpha
    0.41950
  • Treynor index (mean / b)
    -0.04652
  • Jensen alpha (a)
    0.01983
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02257
  • Expected Shortfall on VaR
    0.02820
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01148
  • Expected Shortfall on VaR
    0.02196
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    299.00000
  • Minimum
    0.94786
  • Quartile 1
    0.99322
  • Median
    1.00000
  • Quartile 3
    1.00623
  • Maximum
    1.06583
  • Mean of quarter 1
    0.98376
  • Mean of quarter 2
    0.99846
  • Mean of quarter 3
    1.00166
  • Mean of quarter 4
    1.01673
  • Inter Quartile Range
    0.01300
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.02676
  • Mean of outliers low
    0.96650
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.04348
  • Mean of outliers high
    1.03898
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.25721
  • VaR(95%) (moments method)
    0.01550
  • Expected Shortfall (moments method)
    0.01900
  • Extreme Value Index (regression method)
    -0.10912
  • VaR(95%) (regression method)
    0.01691
  • Expected Shortfall (regression method)
    0.02210
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00131
  • Quartile 1
    0.00201
  • Median
    0.02367
  • Quartile 3
    0.06215
  • Maximum
    0.27320
  • Mean of quarter 1
    0.00154
  • Mean of quarter 2
    0.00778
  • Mean of quarter 3
    0.04672
  • Mean of quarter 4
    0.16120
  • Inter Quartile Range
    0.06014
  • 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
    0.08333
  • Mean of outliers high
    0.27320
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.36216
  • VaR(95%) (moments method)
    0.16908
  • Expected Shortfall (moments method)
    0.17321
  • Extreme Value Index (regression method)
    0.12965
  • VaR(95%) (regression method)
    0.27457
  • Expected Shortfall (regression method)
    0.44073
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.01366
  • Compounded annual return (geometric extrapolation)
    0.01365
  • Calmar ratio (compounded annual return / max draw down)
    0.04996
  • Compounded annual return / average of 25% largest draw downs
    0.08468
  • Compounded annual return / Expected Shortfall lognormal
    0.48401
  • 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
    -0.26437
  • SD
    0.27277
  • Sharpe ratio (Glass type estimate)
    -0.96921
  • Sharpe ratio (Hedges UMVUE)
    -0.96361
  • df
    130.00000
  • t
    -0.68534
  • p
    0.53000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.74171
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80691
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.73789
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81067
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.40936
  • Upside Potential Ratio
    7.28226
  • Upside part of mean
    1.36602
  • Downside part of mean
    -1.63039
  • Upside SD
    0.19727
  • Downside SD
    0.18758
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.44538
  • Mean of criterion
    -0.26437
  • SD of predictor
    0.24218
  • SD of criterion
    0.27277
  • Covariance
    0.01716
  • r
    0.25979
  • b (slope, estimate of beta)
    0.29260
  • a (intercept, estimate of alpha)
    -0.13405
  • Mean Square Error
    0.06992
  • DF error
    129.00000
  • t(b)
    3.05552
  • p(b)
    0.33649
  • t(a)
    -0.35617
  • p(a)
    0.51995
  • Lowerbound of 95% confidence interval for beta
    0.10313
  • Upperbound of 95% confidence interval for beta
    0.48206
  • Lowerbound of 95% confidence interval for alpha
    -0.87872
  • Upperbound of 95% confidence interval for alpha
    0.61061
  • Treynor index (mean / b)
    -0.90353
  • Jensen alpha (a)
    -0.13405
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.30120
  • SD
    0.27158
  • Sharpe ratio (Glass type estimate)
    -1.10905
  • Sharpe ratio (Hedges UMVUE)
    -1.10264
  • df
    130.00000
  • t
    -0.78422
  • p
    0.53431
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.88208
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66808
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.87769
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67240
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.58359
  • Upside Potential Ratio
    7.08176
  • Upside part of mean
    1.34694
  • Downside part of mean
    -1.64813
  • Upside SD
    0.19330
  • Downside SD
    0.19020
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.47501
  • Mean of criterion
    -0.30120
  • SD of predictor
    0.24320
  • SD of criterion
    0.27158
  • Covariance
    0.01711
  • r
    0.25906
  • b (slope, estimate of beta)
    0.28929
  • a (intercept, estimate of alpha)
    -0.16378
  • Mean Square Error
    0.06934
  • DF error
    129.00000
  • t(b)
    3.04638
  • p(b)
    0.33694
  • t(a)
    -0.43662
  • p(a)
    0.52445
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    0.10140
  • Upperbound of 95% confidence interval for beta
    0.47717
  • Lowerbound of 95% confidence interval for alpha
    -0.90596
  • Upperbound of 95% confidence interval for alpha
    0.57839
  • Treynor index (mean / b)
    -1.04116
  • Jensen alpha (a)
    -0.16378
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02834
  • Expected Shortfall on VaR
    0.03511
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01601
  • Expected Shortfall on VaR
    0.02901
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94786
  • Quartile 1
    0.98906
  • Median
    1.00000
  • Quartile 3
    1.00621
  • Maximum
    1.06583
  • Mean of quarter 1
    0.97940
  • Mean of quarter 2
    0.99615
  • Mean of quarter 3
    1.00152
  • Mean of quarter 4
    1.01939
  • Inter Quartile Range
    0.01715
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.95476
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.04784
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.33732
  • VaR(95%) (moments method)
    0.02146
  • Expected Shortfall (moments method)
    0.02518
  • Extreme Value Index (regression method)
    0.14432
  • VaR(95%) (regression method)
    0.02015
  • Expected Shortfall (regression method)
    0.02758
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04560
  • Quartile 1
    0.10250
  • Median
    0.15940
  • Quartile 3
    0.21630
  • Maximum
    0.27320
  • Mean of quarter 1
    0.04560
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.27320
  • Inter Quartile Range
    0.11380
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -314454000
  • Max Equity Drawdown (num days)
    118
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.25544
  • Compounded annual return (geometric extrapolation)
    -0.23913
  • Calmar ratio (compounded annual return / max draw down)
    -0.87527
  • Compounded annual return / average of 25% largest draw downs
    -0.87527
  • Compounded annual return / Expected Shortfall lognormal
    -6.81123

Strategy Description

I developed a unique index that gives the market (S&P 500) score.

With 3x leverage and good chances of success, the results can be great with the time.

Despite everything the road can be very bumpy.

Summary Statistics

Includes fees & commissions C2 Israel
Strategy began
2021-04-29
Suggested Minimum Capital
$15,000
# Trades
102
# Profitable
55
% Profitable
53.9%
Net Dividends
Correlation S&P500
0.289
Sharpe Ratio
-0.09
Sortino Ratio
-0.13
Beta
0.35
Alpha
0.00
Leverage
2.79 Average
3.22 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.

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.

0