Collective2 Collective2
Featured Strategy Easiest +109.2% Annual Return (Compounded) since Mar 27, 2023 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Channel Trading
(98852649)

Created by: RichardDiehl RichardDiehl
Started: 12/2015
Stocks
Last trade: 1,940 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. Subscriptions to this system cost $79.00 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.

1.8%
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.

(61.4%)
Max Drawdown
34
Num Trades
32.4%
Win Trades
1.2 : 1
Profit Factor
22.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                                                             +1.2%+1.2%
2016(0.9%)(3.8%)+10.5%(1.7%)+9.4%(0.2%)+13.7%+1.0%(2.4%)(8.2%)(1.5%)+4.1%+19.3%
2017+13.3%+6.9%+5.4%+3.3%+5.0%+3.3%+7.1%(2.9%)+7.1%+9.0%+5.9%+9.1%+100.6%
2018+2.9%(19.5%)(9%)+0.3%+12.1%+1.1%+3.7%+9.1%(1.5%)(22.4%)(6.9%)(24.5%)(48%)
2019(8.1%)  -    -    -    -    -    -    -    -    -    -    -  (8.1%)
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

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

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/26/18 9:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 400 31.94 1/3/19 14:45 34.50 4.64%
Trade id #121660829
Max drawdown($519)
Time12/26/18 11:00
Quant open400
Worst price30.64
Drawdown as % of equity-4.64%
 $1,017
Includes Typical Broker Commissions trade costs of $8.00
12/7/18 10:10 TQQQ PROSHARES ULTRAPRO QQQ LONG 350 47.35 12/24 14:08 29.85 51.18%
Trade id #121397309
Max drawdown($6,125)
Time12/24/18 14:08
Quant open0
Worst price29.85
Drawdown as % of equity-51.18%
 ($6,132)
Includes Typical Broker Commissions trade costs of $7.00
11/21/18 12:45 SSO PROSHARES ULTRA S&P 500 LONG 280 105.94 11/30 12:12 112.03 5.56%
Trade id #121105429
Max drawdown($864)
Time11/23/18 8:44
Quant open280
Worst price102.85
Drawdown as % of equity-5.56%
 $1,699
Includes Typical Broker Commissions trade costs of $5.60
2/12/18 10:12 TQQQ PROSHARES ULTRAPRO QQQ LONG 273 46.69 11/20 10:09 41.46 9.26%
Trade id #116459733
Max drawdown($1,482)
Time11/20/18 9:57
Quant open273
Worst price41.26
Drawdown as % of equity-9.26%
 ($1,433)
Includes Typical Broker Commissions trade costs of $5.46
1/24/18 10:23 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 130 37.34 9/26 13:46 13.04 15.43%
Trade id #116069714
Max drawdown($3,481)
Time9/11/18 9:57
Quant open130
Worst price10.56
Drawdown as % of equity-15.43%
 ($3,162)
Includes Typical Broker Commissions trade costs of $2.60
3/3/16 11:58 UPRO PROSHARES ULTRAPRO S&P 500 LONG 62 70.73 2/12/18 10:07 133.17 0.48%
Trade id #100972433
Max drawdown($49)
Time3/10/16 13:14
Quant open53
Worst price55.27
Drawdown as % of equity-0.48%
 $3,870
Includes Typical Broker Commissions trade costs of $1.24
3/3/16 11:58 XIV VELOCITYSHARES DAILY INVERSE V LONG 93 21.29 2/12/18 10:06 95.92 2.86%
Trade id #100972410
Max drawdown($534)
Time2/8/18 16:00
Quant open33
Worst price5.10
Drawdown as % of equity-2.86%
 $6,939
Includes Typical Broker Commissions trade costs of $1.86
3/3/16 11:59 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 212 23.24 1/24/18 10:21 19.88 2.7%
Trade id #100972451
Max drawdown($733)
Time1/24/18 8:37
Quant open212
Worst price19.78
Drawdown as % of equity-2.70%
 ($716)
Includes Typical Broker Commissions trade costs of $4.24
1/12/16 9:30 MORL UBS E-TRACS MTHLY PAY 2X MORTG LONG 1,040 11.86 3/3 10:57 12.06 14.42%
Trade id #99166161
Max drawdown($1,283)
Time2/11/16 14:31
Quant open600
Worst price9.51
Drawdown as % of equity-14.42%
 $200
Includes Typical Broker Commissions trade costs of $14.50
1/22/16 9:30 EVC ENTRAVISION COMMUNICATION LONG 260 7.60 2/8 9:30 6.52 2.89%
Trade id #100150146
Max drawdown($281)
Time2/8/16 9:30
Quant open0
Worst price6.52
Drawdown as % of equity-2.89%
 ($286)
Includes Typical Broker Commissions trade costs of $5.20
1/8/16 12:36 TDOC TELADOC HEALTH INC SHORT 100 19.11 2/5 11:31 13.97 0.63%
Trade id #99112680
Max drawdown($63)
Time1/11/16 9:39
Quant open-100
Worst price19.75
Drawdown as % of equity-0.63%
 $512
Includes Typical Broker Commissions trade costs of $2.00
2/1/16 10:28 NSR NOMAD ROYALTY COMPANY LTD SHORT 90 24.08 2/4 15:13 24.42 0.31%
Trade id #100285747
Max drawdown($31)
Time2/4/16 15:13
Quant open0
Worst price24.42
Drawdown as % of equity-0.31%
 ($33)
Includes Typical Broker Commissions trade costs of $1.80
1/28/16 9:41 LQDT LIQUIDITY SERVICE LONG 300 6.20 2/4 13:42 5.19 3.09%
Trade id #100240352
Max drawdown($307)
Time2/4/16 13:41
Quant open300
Worst price5.17
Drawdown as % of equity-3.09%
 ($308)
Includes Typical Broker Commissions trade costs of $6.00
1/25/16 9:37 FIVE FIVE BELOW INC SHORT 60 33.46 2/4 12:24 34.95 1.85%
Trade id #100171972
Max drawdown($181)
Time2/2/16 11:16
Quant open-60
Worst price36.49
Drawdown as % of equity-1.85%
 ($90)
Includes Typical Broker Commissions trade costs of $1.20
2/1/16 10:28 NSR NOMAD ROYALTY COMPANY LTD LONG 90 24.12 2/1 10:28 24.08 0.03%
Trade id #100285730
Max drawdown($3)
Time2/1/16 10:28
Quant open0
Worst price24.08
Drawdown as % of equity-0.03%
 ($5)
Includes Typical Broker Commissions trade costs of $1.80
12/31/15 12:44 OSTK OVERSTOCK.COM SHORT 200 12.35 2/1/16 9:30 12.35 0.2%
Trade id #98983631
Max drawdown($20)
Time12/31/15 15:34
Quant open-200
Worst price12.45
Drawdown as % of equity-0.20%
 ($4)
Includes Typical Broker Commissions trade costs of $4.00
1/22/16 15:28 LQDT LIQUIDITY SERVICE LONG 300 6.35 1/27 14:12 6.04 1.13%
Trade id #100158151
Max drawdown($107)
Time1/26/16 9:43
Quant open300
Worst price5.99
Drawdown as % of equity-1.13%
 ($99)
Includes Typical Broker Commissions trade costs of $6.00
1/13/16 9:30 CSAL COMMUNICATIONS SALES & LEASING INC. COMMON STOCK LONG 110 19.11 1/20 10:09 17.23 2.2%
Trade id #99191643
Max drawdown($207)
Time1/20/16 10:09
Quant open0
Worst price17.23
Drawdown as % of equity-2.20%
 ($209)
Includes Typical Broker Commissions trade costs of $2.20
1/4/16 10:39 PSMT PRICESMART SHORT 25 80.55 1/20 9:58 70.00 0.22%
Trade id #99009896
Max drawdown($21)
Time1/5/16 9:44
Quant open-25
Worst price81.41
Drawdown as % of equity-0.22%
 $264
Includes Typical Broker Commissions trade costs of $0.50
1/4/16 10:16 HDP HORTONWORKS INC. COMMON STOCK SHORT 100 21.24 1/19 15:36 10.84 0.24%
Trade id #99009165
Max drawdown($24)
Time1/4/16 10:51
Quant open-100
Worst price21.48
Drawdown as % of equity-0.24%
 $1,038
Includes Typical Broker Commissions trade costs of $2.00
1/5/16 9:59 SPA SPARTON LONG 100 19.41 1/12 11:36 18.21 1.27%
Trade id #99029514
Max drawdown($128)
Time1/8/16 11:32
Quant open100
Worst price18.13
Drawdown as % of equity-1.27%
 ($122)
Includes Typical Broker Commissions trade costs of $2.00
1/5/16 13:23 EXTN EXTERRAN CORP LONG 100 15.90 1/12 10:23 15.14 0.77%
Trade id #99034848
Max drawdown($76)
Time1/12/16 10:23
Quant open0
Worst price15.14
Drawdown as % of equity-0.77%
 ($78)
Includes Typical Broker Commissions trade costs of $2.00
1/6/16 10:32 PTLA PORTOLA PHARMACEUTICALS INC. LONG 40 47.49 1/11 9:37 41.62 2.33%
Trade id #99052149
Max drawdown($235)
Time1/11/16 9:37
Quant open0
Worst price41.62
Drawdown as % of equity-2.33%
 ($236)
Includes Typical Broker Commissions trade costs of $0.80
1/6/16 10:56 FIVE FIVE BELOW INC SHORT 60 34.07 1/7 10:28 33.52 0.1%
Trade id #99052673
Max drawdown($9)
Time1/7/16 9:59
Quant open-60
Worst price34.23
Drawdown as % of equity-0.10%
 $32
Includes Typical Broker Commissions trade costs of $1.20
1/5/16 13:56 OEC ORION S.A. LONG 160 12.52 1/7 10:08 11.64 1.43%
Trade id #99035398
Max drawdown($142)
Time1/7/16 9:31
Quant open160
Worst price11.63
Drawdown as % of equity-1.43%
 ($143)
Includes Typical Broker Commissions trade costs of $3.20
1/5/16 10:27 CLD CLOUD PEAK ENERGY LONG 950 2.08 1/7 9:43 1.91 1.99%
Trade id #99030618
Max drawdown($197)
Time1/7/16 9:36
Quant open950
Worst price1.87
Drawdown as % of equity-1.99%
 ($163)
Includes Typical Broker Commissions trade costs of $5.00
12/29/15 10:15 KODK EASTMAN KODAK COMPANY SHORT 100 12.98 1/7/16 9:30 11.12 0.16%
Trade id #98951254
Max drawdown($16)
Time12/29/15 12:30
Quant open-100
Worst price13.14
Drawdown as % of equity-0.16%
 $184
Includes Typical Broker Commissions trade costs of $2.00
1/5/16 9:30 CLD CLOUD PEAK ENERGY LONG 900 2.21 1/5 9:41 2.12 0.8%
Trade id #99028165
Max drawdown($79)
Time1/5/16 9:41
Quant open0
Worst price2.12
Drawdown as % of equity-0.80%
 ($84)
Includes Typical Broker Commissions trade costs of $5.00
1/4/16 11:08 FIVE FIVE BELOW INC SHORT 65 32.05 1/4 15:49 32.76 0.45%
Trade id #99010754
Max drawdown($46)
Time1/4/16 15:49
Quant open0
Worst price32.76
Drawdown as % of equity-0.45%
 ($47)
Includes Typical Broker Commissions trade costs of $1.30
12/29/15 10:17 EXTN EXTERRAN CORP LONG 100 15.76 1/4/16 11:52 15.40 0.35%
Trade id #98951300
Max drawdown($36)
Time1/4/16 11:52
Quant open0
Worst price15.40
Drawdown as % of equity-0.35%
 ($38)
Includes Typical Broker Commissions trade costs of $2.00
Next

Statistics

  • Strategy began
    12/20/2015
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    3045.66
  • Age
    102 months ago
  • What it trades
    Stocks
  • # Trades
    34
  • # Profitable
    11
  • % Profitable
    32.40%
  • Avg trade duration
    85.9 days
  • Max peak-to-valley drawdown
    61.41%
  • drawdown period
    Jan 23, 2018 - Dec 26, 2018
  • Annual Return (Compounded)
    1.8%
  • Avg win
    $1,447
  • Avg loss
    $585.17
  • Model Account Values (Raw)
  • Cash
    $12,527
  • Margin Used
    $0
  • Buying Power
    $12,527
  • Ratios
  • W:L ratio
    1.19:1
  • Sharpe Ratio
    0.08
  • Sortino Ratio
    0.1
  • Calmar Ratio
    0.095
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -131.90%
  • Correlation to SP500
    0.25170
  • Return Percent SP500 (cumu) during strategy life
    151.72%
  • Return Statistics
  • Ann Return (w trading costs)
    1.8%
  • Slump
  • Current Slump as Pcnt Equity
    127.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.75%
  • 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)
    0.018%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    82.50%
  • Chance of 20% account loss
    58.50%
  • Chance of 30% account loss
    41.00%
  • Chance of 40% account loss
    15.00%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    3.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • 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
    $585
  • Avg Win
    $1,447
  • Sum Trade PL (losers)
    $13,459.000
  • Age
  • Num Months filled monthly returns table
    101
  • Win / Loss
  • Sum Trade PL (winners)
    $15,919.000
  • # Winners
    11
  • Num Months Winners
    23
  • Dividends
  • Dividends Received in Model Acct
    67
  • Win / Loss
  • # Losers
    23
  • % Winners
    32.4%
  • Frequency
  • Avg Position Time (mins)
    123748.00
  • Avg Position Time (hrs)
    2062.46
  • Avg Trade Length
    85.9 days
  • Last Trade Ago
    1936
  • Regression
  • Alpha
    -0.00
  • Beta
    0.28
  • Treynor Index
    0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    13.41
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    7.87
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.57
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    7.147
  • 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
    0.10
  • Avg(MAE) / Avg(PL) - Winning trades
    0.217
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.049
  • Hold-and-Hope Ratio
    0.140
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05810
  • SD
    0.25336
  • Sharpe ratio (Glass type estimate)
    0.22932
  • Sharpe ratio (Hedges UMVUE)
    0.22593
  • df
    51.00000
  • t
    0.47737
  • p
    0.31757
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71437
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.17080
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71663
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.16849
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.30403
  • Upside Potential Ratio
    1.66598
  • Upside part of mean
    0.31836
  • Downside part of mean
    -0.26026
  • Upside SD
    0.16346
  • Downside SD
    0.19110
  • N nonnegative terms
    22.00000
  • N negative terms
    30.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    52.00000
  • Mean of predictor
    0.18723
  • Mean of criterion
    0.05810
  • SD of predictor
    0.19004
  • SD of criterion
    0.25336
  • Covariance
    0.01356
  • r
    0.28159
  • b (slope, estimate of beta)
    0.37540
  • a (intercept, estimate of alpha)
    -0.01219
  • Mean Square Error
    0.06028
  • DF error
    50.00000
  • t(b)
    2.07509
  • p(b)
    0.02157
  • t(a)
    -0.09932
  • p(a)
    0.53936
  • Lowerbound of 95% confidence interval for beta
    0.01204
  • Upperbound of 95% confidence interval for beta
    0.73876
  • Lowerbound of 95% confidence interval for alpha
    -0.25866
  • Upperbound of 95% confidence interval for alpha
    0.23429
  • Treynor index (mean / b)
    0.15477
  • Jensen alpha (a)
    -0.01219
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02419
  • SD
    0.26776
  • Sharpe ratio (Glass type estimate)
    0.09035
  • Sharpe ratio (Hedges UMVUE)
    0.08902
  • df
    51.00000
  • t
    0.18808
  • p
    0.42578
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85177
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.03163
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85268
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.03071
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.11263
  • Upside Potential Ratio
    1.42047
  • Upside part of mean
    0.30513
  • Downside part of mean
    -0.28094
  • Upside SD
    0.15564
  • Downside SD
    0.21481
  • N nonnegative terms
    22.00000
  • N negative terms
    30.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    52.00000
  • Mean of predictor
    0.16893
  • Mean of criterion
    0.02419
  • SD of predictor
    0.18133
  • SD of criterion
    0.26776
  • Covariance
    0.01466
  • r
    0.30187
  • b (slope, estimate of beta)
    0.44575
  • a (intercept, estimate of alpha)
    -0.05111
  • Mean Square Error
    0.06647
  • DF error
    50.00000
  • t(b)
    2.23900
  • p(b)
    0.01482
  • t(a)
    -0.39824
  • p(a)
    0.65393
  • Lowerbound of 95% confidence interval for beta
    0.04588
  • Upperbound of 95% confidence interval for beta
    0.84562
  • Lowerbound of 95% confidence interval for alpha
    -0.30887
  • Upperbound of 95% confidence interval for alpha
    0.20666
  • Treynor index (mean / b)
    0.05428
  • Jensen alpha (a)
    -0.05111
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11761
  • Expected Shortfall on VaR
    0.14531
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05388
  • Expected Shortfall on VaR
    0.11279
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    52.00000
  • Minimum
    0.71069
  • Quartile 1
    0.99257
  • Median
    1.00000
  • Quartile 3
    1.04661
  • Maximum
    1.14057
  • Mean of quarter 1
    0.91913
  • Mean of quarter 2
    0.99949
  • Mean of quarter 3
    1.02100
  • Mean of quarter 4
    1.08906
  • Inter Quartile Range
    0.05404
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.09615
  • Mean of outliers low
    0.85043
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01923
  • Mean of outliers high
    1.14057
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.35491
  • VaR(95%) (moments method)
    0.03883
  • Expected Shortfall (moments method)
    0.04942
  • Extreme Value Index (regression method)
    0.41997
  • VaR(95%) (regression method)
    0.08789
  • Expected Shortfall (regression method)
    0.20410
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01757
  • Quartile 1
    0.03468
  • Median
    0.06929
  • Quartile 3
    0.20367
  • Maximum
    0.52007
  • Mean of quarter 1
    0.01757
  • Mean of quarter 2
    0.04038
  • Mean of quarter 3
    0.09820
  • Mean of quarter 4
    0.52007
  • Inter Quartile Range
    0.16899
  • 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
    0.25000
  • Mean of outliers high
    0.52007
  • 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)
    0.05845
  • Compounded annual return (geometric extrapolation)
    0.05348
  • Calmar ratio (compounded annual return / max draw down)
    0.10283
  • Compounded annual return / average of 25% largest draw downs
    0.10283
  • Compounded annual return / Expected Shortfall lognormal
    0.36805
  • 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
    0.05345
  • SD
    0.24172
  • Sharpe ratio (Glass type estimate)
    0.22113
  • Sharpe ratio (Hedges UMVUE)
    0.22099
  • df
    1143.00000
  • t
    0.46208
  • p
    0.49130
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71690
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.15911
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71702
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.15900
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.28412
  • Upside Potential Ratio
    6.03537
  • Upside part of mean
    1.13546
  • Downside part of mean
    -1.08200
  • Upside SD
    0.15164
  • Downside SD
    0.18813
  • N nonnegative terms
    446.00000
  • N negative terms
    698.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1144.00000
  • Mean of predictor
    0.21559
  • Mean of criterion
    0.05345
  • SD of predictor
    0.22884
  • SD of criterion
    0.24172
  • Covariance
    0.01416
  • r
    0.25598
  • b (slope, estimate of beta)
    0.27039
  • a (intercept, estimate of alpha)
    -0.00500
  • Mean Square Error
    0.05465
  • DF error
    1142.00000
  • t(b)
    8.94872
  • p(b)
    0.37201
  • t(a)
    -0.04320
  • p(a)
    0.50064
  • Lowerbound of 95% confidence interval for beta
    0.21111
  • Upperbound of 95% confidence interval for beta
    0.32968
  • Lowerbound of 95% confidence interval for alpha
    -0.22471
  • Upperbound of 95% confidence interval for alpha
    0.21503
  • Treynor index (mean / b)
    0.19768
  • Jensen alpha (a)
    -0.00484
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02380
  • SD
    0.24463
  • Sharpe ratio (Glass type estimate)
    0.09728
  • Sharpe ratio (Hedges UMVUE)
    0.09722
  • df
    1143.00000
  • t
    0.20328
  • p
    0.49617
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84069
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.03526
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84075
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.03519
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.12289
  • Upside Potential Ratio
    5.80448
  • Upside part of mean
    1.12408
  • Downside part of mean
    -1.10028
  • Upside SD
    0.14930
  • Downside SD
    0.19366
  • N nonnegative terms
    446.00000
  • N negative terms
    698.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1144.00000
  • Mean of predictor
    0.18871
  • Mean of criterion
    0.02380
  • SD of predictor
    0.23305
  • SD of criterion
    0.24463
  • Covariance
    0.01436
  • r
    0.25184
  • b (slope, estimate of beta)
    0.26436
  • a (intercept, estimate of alpha)
    -0.02609
  • Mean Square Error
    0.05610
  • DF error
    1142.00000
  • t(b)
    8.79415
  • p(b)
    0.37408
  • t(a)
    -0.22988
  • p(a)
    0.50340
  • Lowerbound of 95% confidence interval for beta
    0.20538
  • Upperbound of 95% confidence interval for beta
    0.32334
  • Lowerbound of 95% confidence interval for alpha
    -0.24876
  • Upperbound of 95% confidence interval for alpha
    0.19658
  • Treynor index (mean / b)
    0.09002
  • Jensen alpha (a)
    -0.02609
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02446
  • Expected Shortfall on VaR
    0.03059
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01058
  • Expected Shortfall on VaR
    0.02262
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1144.00000
  • Minimum
    0.86500
  • Quartile 1
    0.99809
  • Median
    1.00000
  • Quartile 3
    1.00616
  • Maximum
    1.08500
  • Mean of quarter 1
    0.98387
  • Mean of quarter 2
    0.99987
  • Mean of quarter 3
    1.00171
  • Mean of quarter 4
    1.01579
  • Inter Quartile Range
    0.00807
  • Number outliers low
    107.00000
  • Percentage of outliers low
    0.09353
  • Mean of outliers low
    0.96871
  • Number of outliers high
    80.00000
  • Percentage of outliers high
    0.06993
  • Mean of outliers high
    1.02777
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40864
  • VaR(95%) (moments method)
    0.00947
  • Expected Shortfall (moments method)
    0.02028
  • Extreme Value Index (regression method)
    0.21172
  • VaR(95%) (regression method)
    0.01412
  • Expected Shortfall (regression method)
    0.02546
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    47.00000
  • Minimum
    0.00018
  • Quartile 1
    0.00452
  • Median
    0.01489
  • Quartile 3
    0.04326
  • Maximum
    0.56087
  • Mean of quarter 1
    0.00243
  • Mean of quarter 2
    0.00876
  • Mean of quarter 3
    0.02304
  • Mean of quarter 4
    0.12192
  • Inter Quartile Range
    0.03874
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.08511
  • Mean of outliers high
    0.23920
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.59078
  • VaR(95%) (moments method)
    0.13011
  • Expected Shortfall (moments method)
    0.33680
  • Extreme Value Index (regression method)
    1.15152
  • VaR(95%) (regression method)
    0.10688
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05801
  • Compounded annual return (geometric extrapolation)
    0.05307
  • Calmar ratio (compounded annual return / max draw down)
    0.09461
  • Compounded annual return / average of 25% largest draw downs
    0.43524
  • Compounded annual return / Expected Shortfall lognormal
    1.73473
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.02371
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44596
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.92183
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.45068
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6812020000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    124614000000000002586551980654592.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -620912000
  • Max Equity Drawdown (num days)
    337
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Channel Trading uses 3x leverage to accomplish high returns. Etfs will at times be matched with other non correlated etfs to reduce drawdown. System is discretionary and based on reviewing the results of 4 systems which I subscribe to as well as my own judgement as to what the best non correlated asset may be at a particular time. Trading is kept to a minimum.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2015-12-20
Suggested Minimum Capital
$15,000
# Trades
34
# Profitable
11
% Profitable
32.4%
Net Dividends
$67
Correlation S&P500
0.252
Sharpe Ratio
0.08
Sortino Ratio
0.10
Beta
0.28
Alpha
-0.00

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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