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These are hypothetical performance results that have certain inherent limitations. Learn more

ETF Leverage Reversal
(104155140)

Created by: AKOK AKOK
Started: 06/2016
Stocks
Last trade: 1,007 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

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.

22.8%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(35.6%)
Max Drawdown
74
Num Trades
82.4%
Win Trades
2.3 : 1
Profit Factor
69.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                   +0.8%(0.9%)(1.4%)+21.3%+9.0%(9%)+14.6%+35.8%
2017+7.2%+4.2%+10.3%(4.8%)+3.4%+5.6%+1.8%(0.3%)+1.4%(0.6%)+1.3%+1.9%+35.0%
2018+4.7%+3.1%+1.5%+0.7%+0.8%(0.3%)(0.2%)(7%)+0.9%+2.7%(1.2%)+21.1%+27.7%
2019+10.5%+2.3%+2.4%+0.9%(3.9%)+10.1%+1.7%(3.4%)+10.3%+1.2%+0.3%(1.3%)+34.0%
2020+1.4%+3.4%(28.7%)+28.9%+0.2%+9.6%(9.1%)+7.7%+4.9%+2.0%+11.1%+0.8%+24.2%
2021+2.4%(6.6%)(5.6%)(8.4%)+4.6%+25.0%+0.8%(0.5%)(3.2%)+4.3%+0.2%+0.1%+9.8%
2022+0.3%+2.9%+0.9%+0.5%+0.1%(1.5%)(1.6%)(2.1%)+0.9%+0.4%+8.0%+1.0%+10.0%
2023+1.5%(1.8%)+2.9%+0.3%(0.3%)+0.2%+0.4%(0.5%)(1.2%)+1.0%+1.6%+0.5%+4.5%
2024(1.1%)(1%)+2.3%                                                      +0.2%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 125 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
2/22/21 11:01 SPCE VIRGIN GALACTIC HOLDINGS INC LONG 1,000 45.26 6/25 9:36 47.69 44.61%
Trade id #134194784
Max drawdown($30,992)
Time5/11/21 0:00
Quant open1,000
Worst price14.27
Drawdown as % of equity-44.61%
$2,412
Includes Typical Broker Commissions trade costs of $12.50
2/12/21 14:45 DUST DIREXION DAILY GOLD MINERS BEAR 2X SHORT 1,230 20.34 6/14 12:05 15.46 7.26%
Trade id #134042907
Max drawdown($6,306)
Time3/1/21 0:00
Quant open1,230
Worst price25.47
Drawdown as % of equity-7.26%
$6,001
Includes Typical Broker Commissions trade costs of $5.00
2/12/21 14:45 NUGT DIREXION DAILY GOLD MINERS BULL 2X SHORT 395 63.32 6/14 12:05 73.31 10.77%
Trade id #134042898
Max drawdown($7,308)
Time5/19/21 0:00
Quant open395
Worst price81.82
Drawdown as % of equity-10.77%
($3,953)
Includes Typical Broker Commissions trade costs of $7.90
2/18/21 9:41 SPCE VIRGIN GALACTIC HOLDINGS INC LONG 500 48.68 2/19 12:23 51.46 0.89%
Trade id #134131370
Max drawdown($837)
Time2/18/21 10:27
Quant open500
Worst price47.01
Drawdown as % of equity-0.89%
$1,378
Includes Typical Broker Commissions trade costs of $10.00
11/30/20 10:19 NUGT DIREXION DAILY GOLD MINERS BULL 2X SHORT 572 61.73 2/4/21 10:05 60.01 12.2%
Trade id #132529034
Max drawdown($10,988)
Time1/5/21 0:00
Quant open572
Worst price80.94
Drawdown as % of equity-12.20%
$978
Includes Typical Broker Commissions trade costs of $5.00
11/30/20 10:18 DUST DIREXION DAILY GOLD MINERS BEAR 2X SHORT 1,500 23.26 2/4/21 10:04 21.60 0.62%
Trade id #132528998
Max drawdown($562)
Time11/30/20 10:45
Quant open1,500
Worst price23.64
Drawdown as % of equity-0.62%
$2,497
Includes Typical Broker Commissions trade costs of $5.00
6/8/20 11:13 DUST DIREXION DAILY GOLD MINERS BEAR 2X SHORT 670 32.75 11/30 9:54 22.97 1.41%
Trade id #129412185
Max drawdown($1,166)
Time6/15/20 0:00
Quant open670
Worst price34.49
Drawdown as % of equity-1.41%
$6,545
Includes Typical Broker Commissions trade costs of $5.00
6/8/20 11:14 NUGT DIREXION DAILY GOLD MINERS BULL 2X SHORT 355 61.88 11/30 9:54 62.51 30.12%
Trade id #129412198
Max drawdown($20,560)
Time8/5/20 0:00
Quant open355
Worst price119.80
Drawdown as % of equity-30.12%
($230)
Includes Typical Broker Commissions trade costs of $7.10
6/11/20 13:51 NCLH NORWEGIAN CRUISE LINE HOLDINGS LONG 1,000 17.53 11/30 9:53 23.34 7.1%
Trade id #129511191
Max drawdown($4,974)
Time8/3/20 0:00
Quant open1,000
Worst price12.56
Drawdown as % of equity-7.10%
$5,803
Includes Typical Broker Commissions trade costs of $5.00
3/16/20 9:52 COP CONOCOPHILLIPS LONG 1,500 27.86 6/5 10:28 47.71 20.01%
Trade id #128062788
Max drawdown($10,536)
Time3/18/20 0:00
Quant open1,500
Worst price20.84
Drawdown as % of equity-20.01%
$29,757
Includes Typical Broker Commissions trade costs of $5.00
3/11/20 9:44 CENX CENTURY ALUMINUM LONG 5,000 4.61 3/16 9:49 3.80 4.58%
Trade id #127972408
Max drawdown($3,074)
Time3/16/20 9:47
Quant open5,000
Worst price4.00
Drawdown as % of equity-4.58%
($4,067)
Includes Typical Broker Commissions trade costs of $5.00
3/3/20 14:26 DUST DIREXION DAILY GOLD MINERS BEAR 2X SHORT 3,125 5.39 3/16 9:49 17.67 57.75%
Trade id #127832577
Max drawdown($38,779)
Time3/16/20 9:31
Quant open3,125
Worst price17.80
Drawdown as % of equity-57.75%
($38,363)
Includes Typical Broker Commissions trade costs of $5.00
3/3/20 14:26 NUGT DIREXION DAILY GOLD MINERS BULL 2X SHORT 684 29.38 3/16 9:49 5.95 4.19%
Trade id #127832568
Max drawdown($3,293)
Time3/6/20 0:00
Quant open684
Worst price34.20
Drawdown as % of equity-4.19%
$16,022
Includes Typical Broker Commissions trade costs of $5.00
2/28/20 12:27 INTC INTEL LONG 350 55.10 3/13 11:43 48.15 4.23%
Trade id #127770539
Max drawdown($3,406)
Time3/12/20 0:00
Quant open350
Worst price45.37
Drawdown as % of equity-4.23%
($2,441)
Includes Typical Broker Commissions trade costs of $7.00
3/9/20 9:58 CENX CENTURY ALUMINUM LONG 5,000 4.43 3/10 15:26 4.63 2.32%
Trade id #127919059
Max drawdown($1,782)
Time3/9/20 16:00
Quant open5,000
Worst price4.07
Drawdown as % of equity-2.32%
$1,031
Includes Typical Broker Commissions trade costs of $5.00
2/14/20 11:36 DUST DIREXION DAILY GOLD MINERS BEAR 2X SHORT 2,874 6.07 2/27 15:52 5.86 0.18%
Trade id #127515969
Max drawdown($139)
Time2/14/20 11:46
Quant open2,874
Worst price6.12
Drawdown as % of equity-0.18%
$611
Includes Typical Broker Commissions trade costs of $5.00
2/14/20 11:37 NUGT DIREXION DAILY GOLD MINERS BULL 2X SHORT 576 30.32 2/27 15:52 29.71 9.32%
Trade id #127515979
Max drawdown($7,199)
Time2/24/20 0:00
Quant open576
Worst price42.82
Drawdown as % of equity-9.32%
$344
Includes Typical Broker Commissions trade costs of $5.00
11/11/19 10:53 DUST DIREXION DAILY GOLD MINERS BEAR 2X SHORT 1,937 8.28 2/11/20 11:09 6.17 0.72%
Trade id #126154656
Max drawdown($546)
Time11/12/19 0:00
Quant open1,937
Worst price8.56
Drawdown as % of equity-0.72%
$4,079
Includes Typical Broker Commissions trade costs of $5.00
11/11/19 10:52 NUGT DIREXION DAILY GOLD MINERS BULL 2X SHORT 626 25.55 2/11/20 11:08 29.90 9.39%
Trade id #126154638
Max drawdown($7,065)
Time1/3/20 0:00
Quant open626
Worst price36.84
Drawdown as % of equity-9.39%
($2,728)
Includes Typical Broker Commissions trade costs of $5.00
1/30/20 11:16 CENX CENTURY ALUMINUM LONG 1,200 5.29 2/6 13:25 5.84 0.18%
Trade id #127289912
Max drawdown($141)
Time1/31/20 0:00
Quant open1,200
Worst price5.17
Drawdown as % of equity-0.18%
$655
Includes Typical Broker Commissions trade costs of $5.00
10/18/19 12:55 NUGT DIREXION DAILY GOLD MINERS BULL 2X SHORT 640 28.08 11/5 14:01 27.36 3.14%
Trade id #125856130
Max drawdown($2,391)
Time10/25/19 0:00
Quant open640
Worst price31.82
Drawdown as % of equity-3.14%
$459
Includes Typical Broker Commissions trade costs of $5.00
10/18/19 12:56 DUST DIREXION DAILY GOLD MINERS BEAR 2X SHORT 2,800 7.82 11/5 14:01 7.78 2.43%
Trade id #125856164
Max drawdown($1,842)
Time10/22/19 0:00
Quant open2,800
Worst price8.48
Drawdown as % of equity-2.43%
$99
Includes Typical Broker Commissions trade costs of $5.00
7/10/19 11:39 DUST DIREXION DAILY GOLD MINERS BEAR 2X SHORT 1,875 10.68 10/15 9:39 8.02 0.57%
Trade id #124404952
Max drawdown($396)
Time7/11/19 0:00
Quant open1,875
Worst price10.89
Drawdown as % of equity-0.57%
$4,977
Includes Typical Broker Commissions trade costs of $5.00
7/10/19 11:39 NUGT DIREXION DAILY GOLD MINERS BULL 2X SHORT 780 28.25 10/15 9:39 27.84 19.7%
Trade id #124404946
Max drawdown($13,141)
Time9/4/19 0:00
Quant open780
Worst price45.10
Drawdown as % of equity-19.70%
$313
Includes Typical Broker Commissions trade costs of $5.00
8/29/19 9:39 CENX CENTURY ALUMINUM LONG 2,000 5.46 9/9 12:57 6.00 0.73%
Trade id #125139088
Max drawdown($500)
Time9/3/19 0:00
Quant open2,000
Worst price5.21
Drawdown as % of equity-0.73%
$1,073
Includes Typical Broker Commissions trade costs of $5.00
8/6/19 11:07 INTC INTEL LONG 300 47.10 8/30 12:57 47.46 0.99%
Trade id #124792544
Max drawdown($688)
Time8/23/19 0:00
Quant open300
Worst price44.80
Drawdown as % of equity-0.99%
$102
Includes Typical Broker Commissions trade costs of $6.00
4/26/19 12:14 INTC INTEL LONG 500 51.65 7/10 11:36 48.31 6.64%
Trade id #123445300
Max drawdown($4,392)
Time4/26/19 12:14
Quant open500
Worst price42.86
Drawdown as % of equity-6.64%
($1,676)
Includes Typical Broker Commissions trade costs of $10.00
6/10/19 14:22 CENX CENTURY ALUMINUM LONG 4,000 5.73 7/10 9:33 6.86 0.51%
Trade id #124015198
Max drawdown($330)
Time6/10/19 14:22
Quant open4,000
Worst price5.65
Drawdown as % of equity-0.51%
$4,493
Includes Typical Broker Commissions trade costs of $5.00
4/22/19 11:43 DUST DIREXION DAILY GOLD MINERS BEAR 2X SHORT 950 21.12 6/10 14:21 17.27 4.5%
Trade id #123387320
Max drawdown($3,019)
Time5/13/19 5:54
Quant open-950
Worst price24.30
Drawdown as % of equity-4.50%
$3,649
Includes Typical Broker Commissions trade costs of $5.00
4/22/19 11:44 NUGT DIREXION DAILY GOLD MINERS BULL 2X SHORT 1,203 16.63 6/10 14:21 18.84 7.31%
Trade id #123387332
Max drawdown($4,899)
Time6/7/19 8:37
Quant open-1,203
Worst price20.70
Drawdown as % of equity-7.31%
($2,673)
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    6/19/2016
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2833.27
  • Age
    95 months ago
  • What it trades
    Stocks
  • # Trades
    74
  • # Profitable
    61
  • % Profitable
    82.40%
  • Avg trade duration
    81.1 days
  • Max peak-to-valley drawdown
    35.58%
  • drawdown period
    March 10, 2020 - March 30, 2020
  • Annual Return (Compounded)
    22.8%
  • Avg win
    $2,916
  • Avg loss
    $5,965
  • Model Account Values (Raw)
  • Cash
    $146,445
  • Margin Used
    $75,577
  • Buying Power
    $88,782
  • Ratios
  • W:L ratio
    2.34:1
  • Sharpe Ratio
    0.86
  • Sortino Ratio
    1.33
  • Calmar Ratio
    1.089
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    239.58%
  • Correlation to SP500
    0.13210
  • Return Percent SP500 (cumu) during strategy life
    153.40%
  • Return Statistics
  • Ann Return (w trading costs)
    22.8%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.228%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    22.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    34.00%
  • Chance of 20% account loss
    14.00%
  • Chance of 30% account loss
    3.00%
  • Chance of 40% account loss
    1.00%
  • 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)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    520
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $5,965
  • Avg Win
    $2,915
  • Sum Trade PL (losers)
    $77,550.000
  • Age
  • Num Months filled monthly returns table
    94
  • Win / Loss
  • Sum Trade PL (winners)
    $177,794.000
  • # Winners
    61
  • Num Months Winners
    65
  • Dividends
  • Dividends Received in Model Acct
    -499
  • Win / Loss
  • # Losers
    13
  • % Winners
    82.4%
  • Frequency
  • Avg Position Time (mins)
    116579.00
  • Avg Position Time (hrs)
    1942.99
  • Avg Trade Length
    81.0 days
  • Last Trade Ago
    1001
  • Leverage
  • Daily leverage (average)
    2.63
  • Daily leverage (max)
    5.78
  • Regression
  • Alpha
    0.05
  • Beta
    0.15
  • Treynor Index
    0.39
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.15
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    61.97
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    15.26
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.19
  • MAE:Equity, average, winning trades
    0.14
  • MAE:Equity, average, losing trades
    0.17
  • Avg(MAE) / Avg(PL) - All trades
    4.588
  • 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
    0.28
  • Avg(MAE) / Avg(PL) - Winning trades
    1.900
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.561
  • Hold-and-Hope Ratio
    0.226
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31453
  • SD
    0.30379
  • Sharpe ratio (Glass type estimate)
    1.03536
  • Sharpe ratio (Hedges UMVUE)
    1.02299
  • df
    63.00000
  • t
    2.39107
  • p
    0.00990
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16379
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89909
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15571
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89027
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.25122
  • Upside Potential Ratio
    3.53942
  • Upside part of mean
    0.49451
  • Downside part of mean
    -0.17998
  • Upside SD
    0.28208
  • Downside SD
    0.13972
  • N nonnegative terms
    42.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    64.00000
  • Mean of predictor
    0.12036
  • Mean of criterion
    0.31453
  • SD of predictor
    0.14102
  • SD of criterion
    0.30379
  • Covariance
    -0.00107
  • r
    -0.02497
  • b (slope, estimate of beta)
    -0.05380
  • a (intercept, estimate of alpha)
    0.32100
  • Mean Square Error
    0.09372
  • DF error
    62.00000
  • t(b)
    -0.19670
  • p(b)
    0.57765
  • t(a)
    2.35022
  • p(a)
    0.01098
  • Lowerbound of 95% confidence interval for beta
    -0.60050
  • Upperbound of 95% confidence interval for beta
    0.49291
  • Lowerbound of 95% confidence interval for alpha
    0.04798
  • Upperbound of 95% confidence interval for alpha
    0.59403
  • Treynor index (mean / b)
    -5.84655
  • Jensen alpha (a)
    0.32100
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26845
  • SD
    0.28761
  • Sharpe ratio (Glass type estimate)
    0.93339
  • Sharpe ratio (Hedges UMVUE)
    0.92223
  • df
    63.00000
  • t
    2.15557
  • p
    0.01747
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06569
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79395
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05840
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78606
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.77087
  • Upside Potential Ratio
    3.02701
  • Upside part of mean
    0.45887
  • Downside part of mean
    -0.19042
  • Upside SD
    0.25387
  • Downside SD
    0.15159
  • N nonnegative terms
    42.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    64.00000
  • Mean of predictor
    0.10952
  • Mean of criterion
    0.26845
  • SD of predictor
    0.14380
  • SD of criterion
    0.28761
  • Covariance
    -0.00095
  • r
    -0.02287
  • b (slope, estimate of beta)
    -0.04573
  • a (intercept, estimate of alpha)
    0.27346
  • Mean Square Error
    0.08401
  • DF error
    62.00000
  • t(b)
    -0.18009
  • p(b)
    0.57117
  • t(a)
    2.12725
  • p(a)
    0.01869
  • Lowerbound of 95% confidence interval for beta
    -0.55335
  • Upperbound of 95% confidence interval for beta
    0.46189
  • Lowerbound of 95% confidence interval for alpha
    0.01649
  • Upperbound of 95% confidence interval for alpha
    0.53043
  • Treynor index (mean / b)
    -5.87009
  • Jensen alpha (a)
    0.27346
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10791
  • Expected Shortfall on VaR
    0.13793
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02584
  • Expected Shortfall on VaR
    0.05953
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    64.00000
  • Minimum
    0.78018
  • Quartile 1
    0.99818
  • Median
    1.01362
  • Quartile 3
    1.04517
  • Maximum
    1.35229
  • Mean of quarter 1
    0.94327
  • Mean of quarter 2
    1.00545
  • Mean of quarter 3
    1.02627
  • Mean of quarter 4
    1.13917
  • Inter Quartile Range
    0.04699
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.07812
  • Mean of outliers low
    0.87932
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.14062
  • Mean of outliers high
    1.19205
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.72575
  • VaR(95%) (moments method)
    0.02364
  • Expected Shortfall (moments method)
    0.10508
  • Extreme Value Index (regression method)
    0.01693
  • VaR(95%) (regression method)
    0.05494
  • Expected Shortfall (regression method)
    0.08861
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00013
  • Quartile 1
    0.00438
  • Median
    0.03457
  • Quartile 3
    0.09876
  • Maximum
    0.21982
  • Mean of quarter 1
    0.00248
  • Mean of quarter 2
    0.02448
  • Mean of quarter 3
    0.07107
  • Mean of quarter 4
    0.19279
  • Inter Quartile Range
    0.09438
  • 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)
    -13.22100
  • VaR(95%) (moments method)
    0.16902
  • Expected Shortfall (moments method)
    0.16902
  • Extreme Value Index (regression method)
    -1.84014
  • VaR(95%) (regression method)
    0.24862
  • Expected Shortfall (regression method)
    0.25271
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.72332
  • Compounded annual return (geometric extrapolation)
    0.34495
  • Calmar ratio (compounded annual return / max draw down)
    1.56923
  • Compounded annual return / average of 25% largest draw downs
    1.78920
  • Compounded annual return / Expected Shortfall lognormal
    2.50092
  • 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
    0.29686
  • SD
    0.23395
  • Sharpe ratio (Glass type estimate)
    1.26893
  • Sharpe ratio (Hedges UMVUE)
    1.26825
  • df
    1417.00000
  • t
    2.95205
  • p
    0.45028
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.42495
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11248
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.42448
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11203
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.94476
  • Upside Potential Ratio
    7.44051
  • Upside part of mean
    1.13578
  • Downside part of mean
    -0.83892
  • Upside SD
    0.17813
  • Downside SD
    0.15265
  • N nonnegative terms
    751.00000
  • N negative terms
    667.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1418.00000
  • Mean of predictor
    0.16545
  • Mean of criterion
    0.29686
  • SD of predictor
    0.21296
  • SD of criterion
    0.23395
  • Covariance
    0.00707
  • r
    0.14186
  • b (slope, estimate of beta)
    0.15584
  • a (intercept, estimate of alpha)
    0.27100
  • Mean Square Error
    0.05367
  • DF error
    1416.00000
  • t(b)
    5.39288
  • p(b)
    0.42907
  • t(a)
    2.71910
  • p(a)
    0.46396
  • Lowerbound of 95% confidence interval for beta
    0.09916
  • Upperbound of 95% confidence interval for beta
    0.21253
  • Lowerbound of 95% confidence interval for alpha
    0.07551
  • Upperbound of 95% confidence interval for alpha
    0.46665
  • Treynor index (mean / b)
    1.90489
  • Jensen alpha (a)
    0.27108
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26928
  • SD
    0.23445
  • Sharpe ratio (Glass type estimate)
    1.14853
  • Sharpe ratio (Hedges UMVUE)
    1.14792
  • df
    1417.00000
  • t
    2.67196
  • p
    0.45496
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.30481
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99189
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30438
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99146
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.70234
  • Upside Potential Ratio
    7.08252
  • Upside part of mean
    1.12032
  • Downside part of mean
    -0.85104
  • Upside SD
    0.17374
  • Downside SD
    0.15818
  • N nonnegative terms
    751.00000
  • N negative terms
    667.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1418.00000
  • Mean of predictor
    0.14257
  • Mean of criterion
    0.26928
  • SD of predictor
    0.21410
  • SD of criterion
    0.23445
  • Covariance
    0.00712
  • r
    0.14187
  • b (slope, estimate of beta)
    0.15536
  • a (intercept, estimate of alpha)
    0.24713
  • Mean Square Error
    0.05390
  • DF error
    1416.00000
  • t(b)
    5.39323
  • p(b)
    0.42906
  • t(a)
    2.47425
  • p(a)
    0.46720
  • Lowerbound of 95% confidence interval for beta
    0.09885
  • Upperbound of 95% confidence interval for beta
    0.21187
  • Lowerbound of 95% confidence interval for alpha
    0.05120
  • Upperbound of 95% confidence interval for alpha
    0.44305
  • Treynor index (mean / b)
    1.73324
  • Jensen alpha (a)
    0.24713
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02254
  • Expected Shortfall on VaR
    0.02842
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00687
  • Expected Shortfall on VaR
    0.01535
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1418.00000
  • Minimum
    0.85646
  • Quartile 1
    0.99765
  • Median
    1.00040
  • Quartile 3
    1.00419
  • Maximum
    1.09715
  • Mean of quarter 1
    0.98817
  • Mean of quarter 2
    0.99926
  • Mean of quarter 3
    1.00188
  • Mean of quarter 4
    1.01564
  • Inter Quartile Range
    0.00654
  • Number outliers low
    102.00000
  • Percentage of outliers low
    0.07193
  • Mean of outliers low
    0.97348
  • Number of outliers high
    130.00000
  • Percentage of outliers high
    0.09168
  • Mean of outliers high
    1.02942
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59318
  • VaR(95%) (moments method)
    0.01015
  • Expected Shortfall (moments method)
    0.02862
  • Extreme Value Index (regression method)
    0.26318
  • VaR(95%) (regression method)
    0.01046
  • Expected Shortfall (regression method)
    0.01884
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    131.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00118
  • Median
    0.00388
  • Quartile 3
    0.01261
  • Maximum
    0.31788
  • Mean of quarter 1
    0.00048
  • Mean of quarter 2
    0.00228
  • Mean of quarter 3
    0.00782
  • Mean of quarter 4
    0.06302
  • Inter Quartile Range
    0.01143
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.12214
  • Mean of outliers high
    0.10962
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.83082
  • VaR(95%) (moments method)
    0.06102
  • Expected Shortfall (moments method)
    0.38557
  • Extreme Value Index (regression method)
    0.71734
  • VaR(95%) (regression method)
    0.05001
  • Expected Shortfall (regression method)
    0.18856
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.73813
  • Compounded annual return (geometric extrapolation)
    0.34606
  • Calmar ratio (compounded annual return / max draw down)
    1.08864
  • Compounded annual return / average of 25% largest draw downs
    5.49125
  • Compounded annual return / Expected Shortfall lognormal
    12.17520
  • 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
    0.28412
  • SD
    0.21002
  • Sharpe ratio (Glass type estimate)
    1.35278
  • Sharpe ratio (Hedges UMVUE)
    1.34496
  • df
    130.00000
  • t
    0.95656
  • p
    0.45820
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42644
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.12692
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.43167
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.12158
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.61709
  • Upside Potential Ratio
    10.39880
  • Upside part of mean
    1.12892
  • Downside part of mean
    -0.84480
  • Upside SD
    0.17971
  • Downside SD
    0.10856
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.39854
  • Mean of criterion
    0.28412
  • SD of predictor
    0.39488
  • SD of criterion
    0.21002
  • Covariance
    0.02842
  • r
    0.34264
  • b (slope, estimate of beta)
    0.18224
  • a (intercept, estimate of alpha)
    0.21149
  • Mean Square Error
    0.03923
  • DF error
    129.00000
  • t(b)
    4.14234
  • p(b)
    0.28622
  • t(a)
    0.75351
  • p(a)
    0.45789
  • Lowerbound of 95% confidence interval for beta
    0.09519
  • Upperbound of 95% confidence interval for beta
    0.26928
  • Lowerbound of 95% confidence interval for alpha
    -0.34382
  • Upperbound of 95% confidence interval for alpha
    0.76680
  • Treynor index (mean / b)
    1.55905
  • Jensen alpha (a)
    0.21149
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26258
  • SD
    0.20633
  • Sharpe ratio (Glass type estimate)
    1.27260
  • Sharpe ratio (Hedges UMVUE)
    1.26525
  • df
    130.00000
  • t
    0.89987
  • p
    0.46066
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.50594
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.04631
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51082
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.04131
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.39447
  • Upside Potential Ratio
    10.15190
  • Upside part of mean
    1.11326
  • Downside part of mean
    -0.85068
  • Upside SD
    0.17460
  • Downside SD
    0.10966
  • N nonnegative terms
    62.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32089
  • Mean of criterion
    0.26258
  • SD of predictor
    0.39501
  • SD of criterion
    0.20633
  • Covariance
    0.02795
  • r
    0.34289
  • b (slope, estimate of beta)
    0.17911
  • a (intercept, estimate of alpha)
    0.20511
  • Mean Square Error
    0.03786
  • DF error
    129.00000
  • t(b)
    4.14580
  • p(b)
    0.28607
  • t(a)
    0.74443
  • p(a)
    0.45839
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    0.09363
  • Upperbound of 95% confidence interval for beta
    0.26459
  • Lowerbound of 95% confidence interval for alpha
    -0.34002
  • Upperbound of 95% confidence interval for alpha
    0.75022
  • Treynor index (mean / b)
    1.46604
  • Jensen alpha (a)
    0.20511
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01977
  • Expected Shortfall on VaR
    0.02496
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00766
  • Expected Shortfall on VaR
    0.01501
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96964
  • Quartile 1
    0.99616
  • Median
    1.00000
  • Quartile 3
    1.00511
  • Maximum
    1.09197
  • Mean of quarter 1
    0.98909
  • Mean of quarter 2
    0.99833
  • Mean of quarter 3
    1.00199
  • Mean of quarter 4
    1.01537
  • Inter Quartile Range
    0.00895
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.97655
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.03618
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25127
  • VaR(95%) (moments method)
    0.01048
  • Expected Shortfall (moments method)
    0.01722
  • Extreme Value Index (regression method)
    -0.26648
  • VaR(95%) (regression method)
    0.01097
  • Expected Shortfall (regression method)
    0.01376
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00621
  • Median
    0.01155
  • Quartile 3
    0.02213
  • Maximum
    0.09588
  • Mean of quarter 1
    0.00146
  • Mean of quarter 2
    0.00782
  • Mean of quarter 3
    0.01827
  • Mean of quarter 4
    0.05287
  • Inter Quartile Range
    0.01592
  • 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
    0.09588
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.16826
  • VaR(95%) (moments method)
    0.05330
  • Expected Shortfall (moments method)
    0.07085
  • Extreme Value Index (regression method)
    1.44411
  • VaR(95%) (regression method)
    0.09378
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -519765000
  • Max Equity Drawdown (num days)
    20
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31264
  • Compounded annual return (geometric extrapolation)
    0.33708
  • Calmar ratio (compounded annual return / max draw down)
    3.51551
  • Compounded annual return / average of 25% largest draw downs
    6.37513
  • Compounded annual return / Expected Shortfall lognormal
    13.50270

Strategy Description

Broker issued leveraged 3x ETFs always loose money in long term, that is how brokers and hedge funds get sustainable income by creating these investment tools. This algorithmic system uses the same strategy and auto adjusts based on the market conditions. It uses leveraged ETFs and shorts the opposite pairs: BULL vs BEAR ETFs. Adjustments are done to keep the pairs in sync to ensure, they track each other.
System every once in a while takes profits and re-invests into most active leveraged ETFs. To ensure there is plenty barrow-able shares, system uses most active ETFs. When subscribed, ensure to join open trades as we keep them managed rather than re-entering.
I trade Gold Bear/Bull pair which happens to have good liquidity to barrow shares. The pair also has good stability in terms of avoiding jerk reactions, Gold has been fairly stable compared to market conditions which seem to be too much emotional.
System evaluates the pairs periodically and makes adjustments in the favor of market directions to maximize profits. I keep the pair at close proximity to keep the disparity low, but avoid out of cycle adjustment. It has been times, I have let the pairs off up to 50% from each other based on market conditions, they tend to stabilize in time.
Please look at the comparison chart of pair in Yahoo Finance or other interactive charts to get an idea of how the system will behave.

My expectation is fairly stable sometimes boring system which has a proven track record as it is already a tool that investment brokers heavily favor and keep generating opposing leveraged ETFs.

Summary Statistics

Strategy began
2016-06-19
Suggested Minimum Capital
$15,000
# Trades
74
# Profitable
61
% Profitable
82.4%
Net Dividends
Correlation S&P500
0.132
Sharpe Ratio
0.86
Sortino Ratio
1.33
Beta
0.15
Alpha
0.05
Leverage
2.63 Average
5.78 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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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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