This system has earned TradesOwnStrategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details
Certification process started
05/23/2022
Most recent certification approved
5/23/22 9:32 ET
Trades at broker
C2 Gateway
Scaling percentage used
100%
# trading signals issued by system since certification
3,174
# trading signals executed in manager's C2 Gateway account
3,174
Percent signals followed since 05/23/2022
100%
This information was last updated
10/4/24 17:59 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife 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 05/23/2022,
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.
SP500 Stocks spike Live
(140513127)
This system has earned TradesOwnStrategy (TOS) Certification. This means that the manager of this system trades his own strategy in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details  

Certification process started  05/23/2022 
Most recent certification approved  5/23/22 9:32 ET 
Trades at broker  C2 Gateway 
Scaling percentage used  100% 
# trading signals issued by system since certification  3,174 
# trading signals executed in manager's C2 Gateway account  3,174 
Percent signals followed since 05/23/2022  100% 
This information was last updated  10/4/24 17:59 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife 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 05/23/2022, 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.
Subscription terms. Subscriptions to this system cost $49.00 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.
Shortterm Reversal
Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a shortterm time frame (up to one month).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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2022  +13.7%  +3.9%  +7.1%  (0.6%)  (4.8%)  +20.8%  +12.4%  (1.1%)  +60.9%  
2023  +0.9%  (0.5%)  (9.3%)  +1.6%  +0.7%  (0.3%)  +3.0%  (4.5%)  (3.9%)  (0.6%)  +8.0%  +4.5%  (1.8%) 
2024  (4%)  +4.6%  +3.2%  (5.7%)  +2.4%  +0.8%  +3.9%  (14.8%)  +0.9%  (1.8%)  (11.6%) 
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.
Started  $59,786  
Buy Power  $73,961  
Cash  $1  
Equity  $1  
Cumulative $  $33,286  
Includes dividends and cashsettled expirations:  $2,147  Itemized 
Total System Equity  $93,072  
Margined  $1  
Open P/L  $586  
Data has been delayed by 48 hours for nonsubscribers 
System developer has asked us to delay this information by 48 hours.
Trading Record
Statistics

Strategy began5/18/2022

Suggested Minimum Cap$90,000

Strategy Age (days)870.52

Age29 months ago

What it tradesStocks

# Trades1580

# Profitable932

% Profitable59.00%

Avg trade duration6.2 days

Max peaktovalley drawdown20.78%

drawdown periodApril 28, 2023  Sept 05, 2023

Annual Return (Compounded)17.2%

Avg win$194.77

Avg loss$232.07
 Model Account Values (Raw)

Cash$80,267

Margin Used$7,300

Buying Power$73,961
 Ratios

W:L ratio1.22:1

Sharpe Ratio0.58

Sortino Ratio0.91

Calmar Ratio1.224
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)0.45%

Correlation to SP5000.42070

Return Percent SP500 (cumu) during strategy life46.04%
 Return Statistics

Ann Return (w trading costs)17.2%
 Slump

Current Slump as Pcnt Equity17.40%
 Instruments

Percent Trades Futures0.01%
 Slump

Current Slump, time of slump as pcnt of strategy life0.07%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.172%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocks0.99%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)20.4%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss65.50%

Chance of 20% account loss30.50%

Chance of 30% account loss15.00%

Chance of 40% account loss3.00%

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

Chance of 100% account loss (Monte Carlo)n/a
 Automation

Percentage Signals Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)436

Popularity (Last 6 weeks)773
 Trading Style

Any stock shorts? 0/11
 Popularity

Performanceweighted percentile402

Popularity (7 days, Percentile 1000 scale)0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$232

Avg Win$195

Sum Trade PL (losers)$150,381.000
 Age

Num Months filled monthly returns table30
 Win / Loss

Sum Trade PL (winners)$181,524.000

# Winners932

Num Months Winners17
 Dividends

Dividends Received in Model Acct2147
 AUM

AUM (AutoTrader live capital)93804
 Win / Loss

# Losers648

% Winners59.0%
 Frequency

Avg Position Time (mins)8985.75

Avg Position Time (hrs)149.76

Avg Trade Length6.2 days

Last Trade Ago0
 Leverage

Daily leverage (average)0.82

Daily leverage (max)4.68
 Regression

Alpha0.02

Beta0.60

Treynor Index0.08
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.00

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.21

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  All trades23.948

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 strat0.01

Avg(MAE) / Avg(PL)  Winning trades1.196

Avg(MAE) / Avg(PL)  Losing trades1.850

HoldandHope Ratio0.042
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.18677

SD0.24948

Sharpe ratio (Glass type estimate)0.74864

Sharpe ratio (Hedges UMVUE)0.72762

df27.00000

t1.14357

p0.13142

Lowerbound of 95% confidence interval for Sharpe Ratio0.55647

Upperbound of 95% confidence interval for Sharpe Ratio2.04034

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.57007

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.02531
 Statistics related to Sortino ratio

Sortino ratio1.66860

Upside Potential Ratio3.34335

Upside part of mean0.37423

Downside part of mean0.18746

Upside SD0.22449

Downside SD0.11193

N nonnegative terms16.00000

N negative terms12.00000
 Statistics related to linear regression on benchmark

N of observations28.00000

Mean of predictor0.14602

Mean of criterion0.18677

SD of predictor0.15353

SD of criterion0.24948

Covariance0.01482

r0.38694

b (slope, estimate of beta)0.62877

a (intercept, estimate of alpha)0.09495

Mean Square Error0.05496

DF error26.00000

t(b)2.13970

p(b)0.02097

t(a)0.59587

p(a)0.27821

Lowerbound of 95% confidence interval for beta0.02473

Upperbound of 95% confidence interval for beta1.23280

Lowerbound of 95% confidence interval for alpha0.23260

Upperbound of 95% confidence interval for alpha0.42251

Treynor index (mean / b)0.29704

Jensen alpha (a)0.09495
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.15752

SD0.23528

Sharpe ratio (Glass type estimate)0.66951

Sharpe ratio (Hedges UMVUE)0.65071

df27.00000

t1.02269

p0.15776

Lowerbound of 95% confidence interval for Sharpe Ratio0.63187

Upperbound of 95% confidence interval for Sharpe Ratio1.95881

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.64407

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.94549
 Statistics related to Sortino ratio

Sortino ratio1.34675

Upside Potential Ratio3.00244

Upside part of mean0.35118

Downside part of mean0.19366

Upside SD0.20437

Downside SD0.11696

N nonnegative terms16.00000

N negative terms12.00000
 Statistics related to linear regression on benchmark

N of observations28.00000

Mean of predictor0.13353

Mean of criterion0.15752

SD of predictor0.15376

SD of criterion0.23528

Covariance0.01382

r0.38211

b (slope, estimate of beta)0.58469

a (intercept, estimate of alpha)0.07945

Mean Square Error0.04909

DF error26.00000

t(b)2.10836

p(b)0.02240

t(a)0.53070

p(a)0.30007

Lowerbound of 95% confidence interval for beta0.01465

Upperbound of 95% confidence interval for beta1.15473

Lowerbound of 95% confidence interval for alpha0.22827

Upperbound of 95% confidence interval for alpha0.38716

Treynor index (mean / b)0.26941

Jensen alpha (a)0.07945
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.09389

Expected Shortfall on VaR0.11896
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.03255

Expected Shortfall on VaR0.06551
 ORDER STATISTICS
 Quartiles of return rates

Number of observations28.00000

Minimum0.89694

Quartile 10.98167

Median1.01405

Quartile 31.03709

Maximum1.27014

Mean of quarter 10.94827

Mean of quarter 20.99639

Mean of quarter 31.02189

Mean of quarter 41.10502

Inter Quartile Range0.05541

Number outliers low2.00000

Percentage of outliers low0.07143

Mean of outliers low0.89705

Number of outliers high3.00000

Percentage of outliers high0.10714

Mean of outliers high1.17567
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.07813

VaR(95%) (moments method)0.04636

Expected Shortfall (moments method)0.06802

Extreme Value Index (regression method)2.20525

VaR(95%) (regression method)0.04814

Expected Shortfall (regression method)0.04879
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations6.00000

Minimum0.01034

Quartile 10.01914

Median0.03179

Quartile 30.08832

Maximum0.11980

Mean of quarter 10.01424

Mean of quarter 20.02212

Mean of quarter 30.04145

Mean of quarter 40.11187

Inter Quartile Range0.06919

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)0.23201

Compounded annual return (geometric extrapolation)0.20373

Calmar ratio (compounded annual return / max draw down)1.70061

Compounded annual return / average of 25% largest draw downs1.82110

Compounded annual return / Expected Shortfall lognormal1.71257

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.18295

SD0.23187

Sharpe ratio (Glass type estimate)0.78899

Sharpe ratio (Hedges UMVUE)0.78803

df619.00000

t1.21371

p0.11266

Lowerbound of 95% confidence interval for Sharpe Ratio0.48617

Upperbound of 95% confidence interval for Sharpe Ratio2.06354

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.48682

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.06289
 Statistics related to Sortino ratio

Sortino ratio1.22407

Upside Potential Ratio6.75071

Upside part of mean1.00894

Downside part of mean0.82600

Upside SD0.17740

Downside SD0.14946

N nonnegative terms326.00000

N negative terms294.00000
 Statistics related to linear regression on benchmark

N of observations620.00000

Mean of predictor0.14745

Mean of criterion0.18295

SD of predictor0.16589

SD of criterion0.23187

Covariance0.01539

r0.40021

b (slope, estimate of beta)0.55942

a (intercept, estimate of alpha)0.10000

Mean Square Error0.04523

DF error618.00000

t(b)10.85650

p(b)0.00000

t(a)0.72559

p(a)0.23418

Lowerbound of 95% confidence interval for beta0.45822

Upperbound of 95% confidence interval for beta0.66061

Lowerbound of 95% confidence interval for alpha0.17144

Upperbound of 95% confidence interval for alpha0.37236

Treynor index (mean / b)0.32703

Jensen alpha (a)0.10046
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.15615

SD0.23124

Sharpe ratio (Glass type estimate)0.67527

Sharpe ratio (Hedges UMVUE)0.67445

df619.00000

t1.03878

p0.14966

Lowerbound of 95% confidence interval for Sharpe Ratio0.59964

Upperbound of 95% confidence interval for Sharpe Ratio1.94967

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.60020

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.94910
 Statistics related to Sortino ratio

Sortino ratio1.01070

Upside Potential Ratio6.43198

Upside part of mean0.99373

Downside part of mean0.83758

Upside SD0.17208

Downside SD0.15450

N nonnegative terms326.00000

N negative terms294.00000
 Statistics related to linear regression on benchmark

N of observations620.00000

Mean of predictor0.13367

Mean of criterion0.15615

SD of predictor0.16580

SD of criterion0.23124

Covariance0.01514

r0.39486

b (slope, estimate of beta)0.55071

a (intercept, estimate of alpha)0.08254

Mean Square Error0.04521

DF error618.00000

t(b)10.68440

p(b)0.00000

t(a)0.59642

p(a)0.27556

Lowerbound of 95% confidence interval for beta0.44949

Upperbound of 95% confidence interval for beta0.65193

Lowerbound of 95% confidence interval for alpha0.18923

Upperbound of 95% confidence interval for alpha0.35431

Treynor index (mean / b)0.28355

Jensen alpha (a)0.08254
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02264

Expected Shortfall on VaR0.02845
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00680

Expected Shortfall on VaR0.01517
 ORDER STATISTICS
 Quartiles of return rates

Number of observations620.00000

Minimum0.87474

Quartile 10.99747

Median1.00035

Quartile 31.00348

Maximum1.11976

Mean of quarter 10.98841

Mean of quarter 20.99920

Mean of quarter 31.00170

Mean of quarter 41.01390

Inter Quartile Range0.00601

Number outliers low41.00000

Percentage of outliers low0.06613

Mean of outliers low0.97276

Number of outliers high46.00000

Percentage of outliers high0.07419

Mean of outliers high1.03202
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.55566

VaR(95%) (moments method)0.01010

Expected Shortfall (moments method)0.02615

Extreme Value Index (regression method)0.31519

VaR(95%) (regression method)0.00918

Expected Shortfall (regression method)0.01687
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations27.00000

Minimum0.00026

Quartile 10.00329

Median0.01856

Quartile 30.04405

Maximum0.16507

Mean of quarter 10.00132

Mean of quarter 20.00894

Mean of quarter 30.02872

Mean of quarter 40.09627

Inter Quartile Range0.04076

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high3.00000

Percentage of outliers high0.11111

Mean of outliers high0.14194
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.32336

VaR(95%) (moments method)0.10046

Expected Shortfall (moments method)0.12116

Extreme Value Index (regression method)0.26254

VaR(95%) (regression method)0.11154

Expected Shortfall (regression method)0.13669
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.23065

Compounded annual return (geometric extrapolation)0.20209

Calmar ratio (compounded annual return / max draw down)1.22428

Compounded annual return / average of 25% largest draw downs2.09916

Compounded annual return / Expected Shortfall lognormal7.10421

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

Mean0.26719

SD0.17119

Sharpe ratio (Glass type estimate)1.56075

Sharpe ratio (Hedges UMVUE)1.55173

df130.00000

t1.10362

p0.54817

Lowerbound of 95% confidence interval for Sharpe Ratio4.33614

Upperbound of 95% confidence interval for Sharpe Ratio1.22044

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.32995

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.22649
 Statistics related to Sortino ratio

Sortino ratio1.81108

Upside Potential Ratio4.59251

Upside part of mean0.67752

Downside part of mean0.94471

Upside SD0.08712

Downside SD0.14753

N nonnegative terms69.00000

N negative terms62.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.20307

Mean of criterion0.26719

SD of predictor0.13467

SD of criterion0.17119

Covariance0.01381

r0.59882

b (slope, estimate of beta)0.76120

a (intercept, estimate of alpha)0.42176

Mean Square Error0.01894

DF error129.00000

t(b)8.49213

p(b)0.14298

t(a)2.15743

p(a)0.61811

Lowerbound of 95% confidence interval for beta0.58386

Upperbound of 95% confidence interval for beta0.93855

Lowerbound of 95% confidence interval for alpha0.80855

Upperbound of 95% confidence interval for alpha0.03497

Treynor index (mean / b)0.35100

Jensen alpha (a)0.42176
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.28209

SD0.17337

Sharpe ratio (Glass type estimate)1.62706

Sharpe ratio (Hedges UMVUE)1.61766

df130.00000

t1.15051

p0.55020

Lowerbound of 95% confidence interval for Sharpe Ratio4.40289

Upperbound of 95% confidence interval for Sharpe Ratio1.15481

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation4.39643

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.16111
 Statistics related to Sortino ratio

Sortino ratio1.87239

Upside Potential Ratio4.47181

Upside part of mean0.67371

Downside part of mean0.95580

Upside SD0.08623

Downside SD0.15066

N nonnegative terms69.00000

N negative terms62.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.19395

Mean of criterion0.28209

SD of predictor0.13492

SD of criterion0.17337

Covariance0.01408

r0.60191

b (slope, estimate of beta)0.77348

a (intercept, estimate of alpha)0.43211

Mean Square Error0.01932

DF error129.00000

t(b)8.56091

p(b)0.14141

t(a)2.18974

p(a)0.61979

VAR (95 Confidence Intrvl)0.02300

Lowerbound of 95% confidence interval for beta0.59472

Upperbound of 95% confidence interval for beta0.95225

Lowerbound of 95% confidence interval for alpha0.82254

Upperbound of 95% confidence interval for alpha0.04168

Treynor index (mean / b)0.36470

Jensen alpha (a)0.43211
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01852

Expected Shortfall on VaR0.02290
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00786

Expected Shortfall on VaR0.01687
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.94237

Quartile 10.99636

Median1.00065

Quartile 31.00361

Maximum1.03784

Mean of quarter 10.98747

Mean of quarter 20.99847

Mean of quarter 31.00191

Mean of quarter 41.00858

Inter Quartile Range0.00725

Number outliers low9.00000

Percentage of outliers low0.06870

Mean of outliers low0.97138

Number of outliers high3.00000

Percentage of outliers high0.02290

Mean of outliers high1.02311
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.65621

VaR(95%) (moments method)0.01320

Expected Shortfall (moments method)0.04111

Extreme Value Index (regression method)0.26350

VaR(95%) (regression method)0.01008

Expected Shortfall (regression method)0.01663
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations5.00000

Minimum0.00112

Quartile 10.01856

Median0.03589

Quartile 30.06089

Maximum0.16507

Mean of quarter 10.00984

Mean of quarter 20.03589

Mean of quarter 30.06089

Mean of quarter 40.16507

Inter Quartile Range0.04233

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.20000

Mean of outliers high0.16507
 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 Negative0.50%

Expected Shortfall (regression method)0.00000

Strat Max DD how much worse than SP500 max DD during strat life?351043000

Max Equity Drawdown (num days)130
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.23869

Compounded annual return (geometric extrapolation)0.22445

Calmar ratio (compounded annual return / max draw down)1.35976

Compounded annual return / average of 25% largest draw downs1.35976

Compounded annual return / Expected Shortfall lognormal9.80285
Strategy Description
The 2nd main system trades the SPY. Since I, as an EU citizen, cannot trade the SPY directly, I trade this system with the EMirco Future. (If you want to trade SPY directly, then check out my nonTOS systems.)
The 1st system is leading. The SPY system only becomes active if there are few trades open in the 1st system.
The SPY system always trades with half of the total capital including leverage!
The SPY trade cannot be closed until the next day at the earliest! Then a stop loss of 0.3% and a take profit of 2.3% apply!
The 1st main system generate trades from several subsystems. There are both long subsystems and short subsystems. All subsystems run fully automatically and before trading begins, the stocks that are eligible for a trade are selected. If the stock reaches the price generated by my system intraday, the trade is entered.
There is no classic stop loss, but if a trade has lost 10% (long trade) or 8% (short trade) or more, it will be closed the next day.
To prevent stocks from being bought in a crash, there are several safety features. These security features can cause my system to close positions in a pullback as the system anticipates further losses. See August 2024 and March 2023. This is unpleasant, but necessary. In a crash, the losses would be many times higher.
Max 60 trades can be open at the same time.
Each trade is therefore entered into with 1/60th of the available capital (incl. leverage). There is no weighting that a trade is entered with more capital. In addition, there is no martingale or something like that. When a trade is open on a stock, another subsystem cannot open a trade until the open trade has been closed.
No intraday trading! Opened trades cannot be closed until the next day.
No Pattern Day Trader!
The majority of subsystems are not trend following systems! Therefore, the performance in strong bull markets is worse than the S&P 500 (for example the year 2023).
The core systems try to generate profits from a countermovement when stocks are overbought or oversold.
See for example the year 2022:
S&P 500:
YTD 18% DD 26%
My System (with 3.5 leverage):
YTD: 61% DD 20%
My system had a smaller draw down even though I trade with a maximum leverage of 3.5.
I recommend at least $10,000 for my system. Since up to 60 trades can be open at a time, at $10,000 only $583 per trade is buying shares.
Max leverage 3.5 (also overnight max leverage 3.5!)
The scaling factor for autotrading must be determined using the following formula:
("your capital"
divided by
"current equity of the system")
divided by
(3.5 (my max leverage)
divided by "your leverage").
So if you want to invest $10,000 in my system with a leverage of 2 and my current equity is $84.000, that would be a scaling factor of:
($10,000 / $84.000(get the current equity!!!) / (3.5 / 2) = 8%.
If you only want to trade the long systems, you can follow this system.
https://collective2.com/details/148698883
There is only a max leverage of 2 here!
If you have any questions, get in touch with me.
Latest Activity
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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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