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Trend Countertrend V1
(105929505)

Created by: MaxProbTrading MaxProbTrading
Started: 09/2016
Stocks
Last trade: 13 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 $60.00 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.

26.8%
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.

(22.9%)
Max Drawdown
104
Num Trades
62.5%
Win Trades
1.8 : 1
Profit Factor
70.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                        +0.5%(1.2%)+10.4%+3.9%+13.9%
2017+15.6%+2.1%+11.6%(1.4%)(3.4%)+3.6%+5.1%+4.0%+4.9%+10.1%+3.6%+7.6%+83.0%
2018+4.6%(9.9%)+0.3%(1.1%)+2.2%(0.4%)+0.5%+2.0%+2.2%(7%)(8%)+2.7%(12.4%)
2019+3.0%+4.0%(6.3%)+4.4%+2.9%(2.2%)                                    +5.5%

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 191 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/24/19 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 252 28.17 6/5 9:30 28.65 0.48%
Trade id #123809957
Max drawdown($103)
Time5/28/19 9:43
Quant open252
Worst price27.76
Drawdown as % of equity-0.48%
$116
Includes Typical Broker Commissions trade costs of $5.04
5/31/19 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 141 50.32 6/4 15:57 50.78 2.7%
Trade id #123894359
Max drawdown($590)
Time6/3/19 15:33
Quant open141
Worst price46.13
Drawdown as % of equity-2.70%
$62
Includes Typical Broker Commissions trade costs of $2.82
5/28/19 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 133 53.69 5/29 15:58 52.17 1.48%
Trade id #123850111
Max drawdown($323)
Time5/29/19 11:56
Quant open133
Worst price51.26
Drawdown as % of equity-1.48%
($205)
Includes Typical Broker Commissions trade costs of $2.66
5/23/19 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 132 54.12 5/24 9:30 55.07 0.07%
Trade id #123802947
Max drawdown($15)
Time5/23/19 16:20
Quant open132
Worst price54.00
Drawdown as % of equity-0.07%
$122
Includes Typical Broker Commissions trade costs of $2.64
5/22/19 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 274 52.57 5/24 9:30 51.94 2.34%
Trade id #123766669
Max drawdown($507)
Time5/23/19 14:52
Quant open274
Worst price50.72
Drawdown as % of equity-2.34%
($177)
Includes Typical Broker Commissions trade costs of $5.48
5/20/19 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 127 55.98 5/21 15:57 57.52 0.11%
Trade id #123742931
Max drawdown($22)
Time5/20/19 16:01
Quant open127
Worst price55.80
Drawdown as % of equity-0.11%
$193
Includes Typical Broker Commissions trade costs of $2.54
5/13/19 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 129 54.83 5/14 15:57 56.64 0.57%
Trade id #123652378
Max drawdown($119)
Time5/13/19 18:03
Quant open129
Worst price53.90
Drawdown as % of equity-0.57%
$231
Includes Typical Broker Commissions trade costs of $2.58
5/7/19 15:54 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 28 49.67 5/10 15:58 52.33 0.17%
Trade id #123564684
Max drawdown($36)
Time5/9/19 10:27
Quant open28
Worst price48.37
Drawdown as % of equity-0.17%
$74
Includes Typical Broker Commissions trade costs of $0.56
5/7/19 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 113 62.46 5/9 15:57 60.99 2.23%
Trade id #123564738
Max drawdown($473)
Time5/9/19 10:27
Quant open113
Worst price58.27
Drawdown as % of equity-2.23%
($168)
Includes Typical Broker Commissions trade costs of $2.26
5/6/19 9:31 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 268 53.06 5/7 9:30 52.71 0.54%
Trade id #123540172
Max drawdown($117)
Time5/7/19 9:22
Quant open268
Worst price52.62
Drawdown as % of equity-0.54%
($99)
Includes Typical Broker Commissions trade costs of $5.36
5/3/19 15:58 SVXY PROSHARES SHORT VIX SHORT-TERM SHORT 78 55.90 5/3 15:59 55.88 n/a $0
Includes Typical Broker Commissions trade costs of $1.56
5/2/19 9:33 TQQQ PROSHARES ULTRAPRO QQQ LONG 103 65.33 5/3 15:59 67.61 1.02%
Trade id #123503966
Max drawdown($214)
Time5/2/19 11:58
Quant open103
Worst price63.25
Drawdown as % of equity-1.02%
$233
Includes Typical Broker Commissions trade costs of $2.06
3/29/19 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 312 52.43 5/3 15:58 55.04 n/a $807
Includes Typical Broker Commissions trade costs of $6.24
3/27/19 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 264 51.49 3/28 9:30 51.18 2.02%
Trade id #123094781
Max drawdown($409)
Time3/27/19 11:45
Quant open264
Worst price49.94
Drawdown as % of equity-2.02%
($87)
Includes Typical Broker Commissions trade costs of $5.28
3/22/19 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 122 55.75 3/25 15:56 55.19 0.94%
Trade id #123041372
Max drawdown($191)
Time3/25/19 10:15
Quant open122
Worst price54.18
Drawdown as % of equity-0.94%
($70)
Includes Typical Broker Commissions trade costs of $2.44
3/12/19 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 266 51.65 3/25 9:30 50.09 2.28%
Trade id #122876664
Max drawdown($484)
Time3/22/19 12:46
Quant open266
Worst price49.83
Drawdown as % of equity-2.28%
($420)
Includes Typical Broker Commissions trade costs of $5.32
3/7/19 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 138 49.43 3/8 15:54 49.03 1.28%
Trade id #122826296
Max drawdown($270)
Time3/8/19 9:09
Quant open138
Worst price47.47
Drawdown as % of equity-1.28%
($58)
Includes Typical Broker Commissions trade costs of $2.76
1/31/19 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 288 47.30 3/8 9:30 48.92 n/a $461
Includes Typical Broker Commissions trade costs of $5.76
1/14/19 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 165 40.49 1/15 14:52 42.28 0.21%
Trade id #121965035
Max drawdown($42)
Time1/14/19 16:13
Quant open165
Worst price40.23
Drawdown as % of equity-0.21%
$293
Includes Typical Broker Commissions trade costs of $3.30
12/6/18 15:56 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 168 37.80 1/8/19 9:30 42.15 n/a $728
Includes Typical Broker Commissions trade costs of $3.36
1/3/19 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 186 33.87 1/7 9:30 38.47 0.34%
Trade id #121772741
Max drawdown($68)
Time1/3/19 19:18
Quant open186
Worst price33.50
Drawdown as % of equity-0.34%
$852
Includes Typical Broker Commissions trade costs of $3.72
12/19/18 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 158 38.36 12/26 15:57 35.80 6.88%
Trade id #121582883
Max drawdown($1,352)
Time12/24/18 14:09
Quant open158
Worst price29.80
Drawdown as % of equity-6.88%
($407)
Includes Typical Broker Commissions trade costs of $3.16
12/14/18 15:53 TQQQ PROSHARES ULTRAPRO QQQ LONG 147 43.01 12/18 15:55 41.30 2.93%
Trade id #121509123
Max drawdown($576)
Time12/17/18 15:50
Quant open147
Worst price39.09
Drawdown as % of equity-2.93%
($254)
Includes Typical Broker Commissions trade costs of $2.94
12/7/18 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 146 43.57 12/10 15:13 44.36 1.31%
Trade id #121406953
Max drawdown($255)
Time12/10/18 11:25
Quant open146
Worst price41.82
Drawdown as % of equity-1.31%
$113
Includes Typical Broker Commissions trade costs of $2.92
12/4/18 15:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 137 47.51 12/6 9:30 44.41 2.57%
Trade id #121344527
Max drawdown($502)
Time12/6/18 5:51
Quant open137
Worst price43.84
Drawdown as % of equity-2.57%
($427)
Includes Typical Broker Commissions trade costs of $2.74
11/20/18 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 170 39.53 11/28 9:30 35.35 3.65%
Trade id #121070931
Max drawdown($715)
Time11/28/18 9:29
Quant open170
Worst price35.32
Drawdown as % of equity-3.65%
($714)
Includes Typical Broker Commissions trade costs of $3.40
11/20/18 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 149 41.61 11/26 15:57 45.34 0.69%
Trade id #121070973
Max drawdown($135)
Time11/20/18 10:16
Quant open149
Worst price40.70
Drawdown as % of equity-0.69%
$553
Includes Typical Broker Commissions trade costs of $2.98
11/13/18 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 188 36.08 11/19 9:30 35.19 1.32%
Trade id #120903543
Max drawdown($259)
Time11/19/18 4:01
Quant open188
Worst price34.70
Drawdown as % of equity-1.32%
($171)
Includes Typical Broker Commissions trade costs of $3.76
11/12/18 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 129 52.50 11/16 9:30 48.74 4.04%
Trade id #120880228
Max drawdown($811)
Time11/15/18 10:38
Quant open129
Worst price46.21
Drawdown as % of equity-4.04%
($488)
Includes Typical Broker Commissions trade costs of $2.58
10/31/18 9:30 VXX IPATH SER B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 185 38.00 11/7 9:30 33.80 4.22%
Trade id #120639303
Max drawdown($869)
Time11/7/18 5:12
Quant open185
Worst price33.30
Drawdown as % of equity-4.22%
($781)
Includes Typical Broker Commissions trade costs of $3.70

Statistics

  • Strategy began
    9/17/2016
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1004.67
  • Age
    34 months ago
  • What it trades
    Stocks
  • # Trades
    104
  • # Profitable
    65
  • % Profitable
    62.50%
  • Avg trade duration
    9.1 days
  • Max peak-to-valley drawdown
    22.92%
  • drawdown period
    Jan 11, 2018 - Dec 07, 2018
  • Annual Return (Compounded)
    26.8%
  • Avg win
    $393.00
  • Avg loss
    $359.21
  • Model Account Values (Raw)
  • Cash
    $21,542
  • Margin Used
    $0
  • Buying Power
    $21,542
  • Ratios
  • W:L ratio
    1.82:1
  • Sharpe Ratio
    1.02
  • Sortino Ratio
    1.42
  • Calmar Ratio
    1.857
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.23190
  • Return Statistics
  • Ann Return (w trading costs)
    26.8%
  • Ann Return (Compnd, No Fees)
    32.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    23.00%
  • Chance of 20% account loss
    2.50%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    305
  • Popularity (Last 6 weeks)
    850
  • C2 Score
    91.4
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    30
  • Win / Loss
  • Avg Loss
    $359
  • Avg Win
    $393
  • # Winners
    65
  • # Losers
    39
  • % Winners
    62.5%
  • Frequency
  • Avg Position Time (mins)
    13155.40
  • Avg Position Time (hrs)
    219.26
  • Avg Trade Length
    9.1 days
  • Last Trade Ago
    13
  • Leverage
  • Daily leverage (average)
    0.86
  • Daily leverage (max)
    2.16
  • Unknown
  • Alpha
    0.06
  • Beta
    0.36
  • Treynor Index
    0.18
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28133
  • SD
    0.18101
  • Sharpe ratio (Glass type estimate)
    1.55420
  • Sharpe ratio (Hedges UMVUE)
    1.51624
  • df
    31.00000
  • t
    2.53800
  • p
    0.00820
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28234
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.80341
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25807
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77441
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.80482
  • Upside Potential Ratio
    4.31449
  • Upside part of mean
    0.43276
  • Downside part of mean
    -0.15143
  • Upside SD
    0.16816
  • Downside SD
    0.10030
  • N nonnegative terms
    24.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.07875
  • Mean of criterion
    0.28133
  • SD of predictor
    0.11801
  • SD of criterion
    0.18101
  • Covariance
    0.00903
  • r
    0.42267
  • b (slope, estimate of beta)
    0.64830
  • a (intercept, estimate of alpha)
    0.23028
  • Mean Square Error
    0.02781
  • DF error
    30.00000
  • t(b)
    2.55446
  • p(b)
    0.00798
  • t(a)
    2.21300
  • p(a)
    0.01732
  • Lowerbound of 95% confidence interval for beta
    0.12999
  • Upperbound of 95% confidence interval for beta
    1.16661
  • Lowerbound of 95% confidence interval for alpha
    0.01776
  • Upperbound of 95% confidence interval for alpha
    0.44279
  • Treynor index (mean / b)
    0.43395
  • Jensen alpha (a)
    0.23028
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26199
  • SD
    0.17975
  • Sharpe ratio (Glass type estimate)
    1.45749
  • Sharpe ratio (Hedges UMVUE)
    1.42189
  • df
    31.00000
  • t
    2.38007
  • p
    0.01182
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.19330
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.70019
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17057
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67322
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.51511
  • Upside Potential Ratio
    4.01612
  • Upside part of mean
    0.41835
  • Downside part of mean
    -0.15635
  • Upside SD
    0.16178
  • Downside SD
    0.10417
  • N nonnegative terms
    24.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    32.00000
  • Mean of predictor
    0.07156
  • Mean of criterion
    0.26199
  • SD of predictor
    0.11863
  • SD of criterion
    0.17975
  • Covariance
    0.00901
  • r
    0.42235
  • b (slope, estimate of beta)
    0.63995
  • a (intercept, estimate of alpha)
    0.21620
  • Mean Square Error
    0.02743
  • DF error
    30.00000
  • t(b)
    2.55210
  • p(b)
    0.00802
  • t(a)
    2.09897
  • p(a)
    0.02217
  • Lowerbound of 95% confidence interval for beta
    0.12784
  • Upperbound of 95% confidence interval for beta
    1.15206
  • Lowerbound of 95% confidence interval for alpha
    0.00584
  • Upperbound of 95% confidence interval for alpha
    0.42655
  • Treynor index (mean / b)
    0.40939
  • Jensen alpha (a)
    0.21620
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06154
  • Expected Shortfall on VaR
    0.08150
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01733
  • Expected Shortfall on VaR
    0.04069
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    32.00000
  • Minimum
    0.90695
  • Quartile 1
    1.00328
  • Median
    1.03396
  • Quartile 3
    1.06326
  • Maximum
    1.11279
  • Mean of quarter 1
    0.95185
  • Mean of quarter 2
    1.01842
  • Mean of quarter 3
    1.04909
  • Mean of quarter 4
    1.08372
  • Inter Quartile Range
    0.05998
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.06250
  • Mean of outliers low
    0.90838
  • 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)
    -17.12260
  • VaR(95%) (moments method)
    0.01333
  • Expected Shortfall (moments method)
    0.01333
  • Extreme Value Index (regression method)
    -0.79087
  • VaR(95%) (regression method)
    0.04062
  • Expected Shortfall (regression method)
    0.04722
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03743
  • Quartile 1
    0.06483
  • Median
    0.09223
  • Quartile 3
    0.11964
  • Maximum
    0.14704
  • Mean of quarter 1
    0.03743
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14704
  • Inter Quartile Range
    0.05481
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43739
  • Compounded annual return (geometric extrapolation)
    0.33629
  • Calmar ratio (compounded annual return / max draw down)
    2.28705
  • Compounded annual return / average of 25% largest draw downs
    2.28705
  • Compounded annual return / Expected Shortfall lognormal
    4.12600
  • 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
    0.27229
  • SD
    0.18784
  • Sharpe ratio (Glass type estimate)
    1.44959
  • Sharpe ratio (Hedges UMVUE)
    1.44806
  • df
    711.00000
  • t
    2.38966
  • p
    0.00856
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25778
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.64043
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25675
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.63938
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.02962
  • Upside Potential Ratio
    8.25773
  • Upside part of mean
    1.10784
  • Downside part of mean
    -0.83555
  • Upside SD
    0.13236
  • Downside SD
    0.13416
  • N nonnegative terms
    387.00000
  • N negative terms
    325.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    712.00000
  • Mean of predictor
    0.09432
  • Mean of criterion
    0.27229
  • SD of predictor
    0.12626
  • SD of criterion
    0.18784
  • Covariance
    0.00534
  • r
    0.22520
  • b (slope, estimate of beta)
    0.33503
  • a (intercept, estimate of alpha)
    0.24100
  • Mean Square Error
    0.03354
  • DF error
    710.00000
  • t(b)
    6.15883
  • p(b)
    0.00000
  • t(a)
    2.16419
  • p(a)
    0.01539
  • Lowerbound of 95% confidence interval for beta
    0.22823
  • Upperbound of 95% confidence interval for beta
    0.44183
  • Lowerbound of 95% confidence interval for alpha
    0.02234
  • Upperbound of 95% confidence interval for alpha
    0.45904
  • Treynor index (mean / b)
    0.81274
  • Jensen alpha (a)
    0.24069
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25438
  • SD
    0.18893
  • Sharpe ratio (Glass type estimate)
    1.34643
  • Sharpe ratio (Hedges UMVUE)
    1.34500
  • df
    711.00000
  • t
    2.21958
  • p
    0.01338
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15499
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.53698
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15402
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.53599
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.85470
  • Upside Potential Ratio
    8.01358
  • Upside part of mean
    1.09911
  • Downside part of mean
    -0.84473
  • Upside SD
    0.13069
  • Downside SD
    0.13716
  • N nonnegative terms
    387.00000
  • N negative terms
    325.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    712.00000
  • Mean of predictor
    0.08632
  • Mean of criterion
    0.25438
  • SD of predictor
    0.12648
  • SD of criterion
    0.18893
  • Covariance
    0.00534
  • r
    0.22327
  • b (slope, estimate of beta)
    0.33352
  • a (intercept, estimate of alpha)
    0.22559
  • Mean Square Error
    0.03396
  • DF error
    710.00000
  • t(b)
    6.10328
  • p(b)
    0.00000
  • t(a)
    2.01615
  • p(a)
    0.02208
  • Lowerbound of 95% confidence interval for beta
    0.22623
  • Upperbound of 95% confidence interval for beta
    0.44081
  • Lowerbound of 95% confidence interval for alpha
    0.00591
  • Upperbound of 95% confidence interval for alpha
    0.44528
  • Treynor index (mean / b)
    0.76272
  • Jensen alpha (a)
    0.22559
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01806
  • Expected Shortfall on VaR
    0.02283
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00677
  • Expected Shortfall on VaR
    0.01472
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    712.00000
  • Minimum
    0.90086
  • Quartile 1
    0.99754
  • Median
    1.00079
  • Quartile 3
    1.00661
  • Maximum
    1.05466
  • Mean of quarter 1
    0.98800
  • Mean of quarter 2
    0.99952
  • Mean of quarter 3
    1.00346
  • Mean of quarter 4
    1.01361
  • Inter Quartile Range
    0.00907
  • Number outliers low
    40.00000
  • Percentage of outliers low
    0.05618
  • Mean of outliers low
    0.97308
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.03792
  • Mean of outliers high
    1.02994
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26808
  • VaR(95%) (moments method)
    0.00895
  • Expected Shortfall (moments method)
    0.01570
  • Extreme Value Index (regression method)
    0.07810
  • VaR(95%) (regression method)
    0.01157
  • Expected Shortfall (regression method)
    0.01807
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    46.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00233
  • Median
    0.00476
  • Quartile 3
    0.02151
  • Maximum
    0.17568
  • Mean of quarter 1
    0.00077
  • Mean of quarter 2
    0.00356
  • Mean of quarter 3
    0.01267
  • Mean of quarter 4
    0.06060
  • Inter Quartile Range
    0.01918
  • 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
    0.08696
  • Mean of outliers high
    0.11201
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.28239
  • VaR(95%) (moments method)
    0.05952
  • Expected Shortfall (moments method)
    0.10114
  • Extreme Value Index (regression method)
    0.27210
  • VaR(95%) (regression method)
    0.07114
  • Expected Shortfall (regression method)
    0.12268
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.42450
  • Compounded annual return (geometric extrapolation)
    0.32616
  • Calmar ratio (compounded annual return / max draw down)
    1.85656
  • Compounded annual return / average of 25% largest draw downs
    5.38206
  • Compounded annual return / Expected Shortfall lognormal
    14.28560
  • 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
    0.18234
  • SD
    0.12662
  • Sharpe ratio (Glass type estimate)
    1.44012
  • Sharpe ratio (Hedges UMVUE)
    1.43179
  • df
    130.00000
  • t
    1.01832
  • p
    0.45552
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.33987
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.21479
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.34547
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.20906
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.11169
  • Upside Potential Ratio
    9.04137
  • Upside part of mean
    0.78072
  • Downside part of mean
    -0.59837
  • Upside SD
    0.09263
  • Downside SD
    0.08635
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17686
  • Mean of criterion
    0.18234
  • SD of predictor
    0.15965
  • SD of criterion
    0.12662
  • Covariance
    0.00816
  • r
    0.40362
  • b (slope, estimate of beta)
    0.32012
  • a (intercept, estimate of alpha)
    0.12573
  • Mean Square Error
    0.01352
  • DF error
    129.00000
  • t(b)
    5.01054
  • p(b)
    0.25020
  • t(a)
    0.76268
  • p(a)
    0.45738
  • Lowerbound of 95% confidence interval for beta
    0.19371
  • Upperbound of 95% confidence interval for beta
    0.44653
  • Lowerbound of 95% confidence interval for alpha
    -0.20043
  • Upperbound of 95% confidence interval for alpha
    0.45189
  • Treynor index (mean / b)
    0.56961
  • Jensen alpha (a)
    0.12573
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17431
  • SD
    0.12662
  • Sharpe ratio (Glass type estimate)
    1.37659
  • Sharpe ratio (Hedges UMVUE)
    1.36863
  • df
    130.00000
  • t
    0.97340
  • p
    0.45747
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.40280
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.15091
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40816
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.14543
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.00057
  • Upside Potential Ratio
    8.91075
  • Upside part of mean
    0.77639
  • Downside part of mean
    -0.60208
  • Upside SD
    0.09185
  • Downside SD
    0.08713
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16419
  • Mean of criterion
    0.17431
  • SD of predictor
    0.15914
  • SD of criterion
    0.12662
  • Covariance
    0.00809
  • r
    0.40150
  • b (slope, estimate of beta)
    0.31946
  • a (intercept, estimate of alpha)
    0.12186
  • Mean Square Error
    0.01355
  • DF error
    129.00000
  • t(b)
    4.97909
  • p(b)
    0.25144
  • t(a)
    0.73862
  • p(a)
    0.45872
  • Lowerbound of 95% confidence interval for beta
    0.19252
  • Upperbound of 95% confidence interval for beta
    0.44641
  • Lowerbound of 95% confidence interval for alpha
    -0.20455
  • Upperbound of 95% confidence interval for alpha
    0.44827
  • Treynor index (mean / b)
    0.54563
  • Jensen alpha (a)
    0.12186
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01213
  • Expected Shortfall on VaR
    0.01535
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00517
  • Expected Shortfall on VaR
    0.01074
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97003
  • Quartile 1
    0.99782
  • Median
    1.00016
  • Quartile 3
    1.00495
  • Maximum
    1.02985
  • Mean of quarter 1
    0.99151
  • Mean of quarter 2
    0.99964
  • Mean of quarter 3
    1.00236
  • Mean of quarter 4
    1.00975
  • Inter Quartile Range
    0.00713
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98169
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.02485
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.09763
  • VaR(95%) (moments method)
    0.00632
  • Expected Shortfall (moments method)
    0.00852
  • Extreme Value Index (regression method)
    -0.05740
  • VaR(95%) (regression method)
    0.00901
  • Expected Shortfall (regression method)
    0.01284
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00401
  • Quartile 1
    0.00802
  • Median
    0.01332
  • Quartile 3
    0.02256
  • Maximum
    0.07090
  • Mean of quarter 1
    0.00551
  • Mean of quarter 2
    0.01121
  • Mean of quarter 3
    0.01895
  • Mean of quarter 4
    0.04842
  • Inter Quartile Range
    0.01454
  • 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
    0.11111
  • Mean of outliers high
    0.07090
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.32688
  • VaR(95%) (moments method)
    0.05041
  • Expected Shortfall (moments method)
    0.08546
  • Extreme Value Index (regression method)
    2.73778
  • VaR(95%) (regression method)
    0.13131
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21279
  • Compounded annual return (geometric extrapolation)
    0.22411
  • Calmar ratio (compounded annual return / max draw down)
    3.16098
  • Compounded annual return / average of 25% largest draw downs
    4.62878
  • Compounded annual return / Expected Shortfall lognormal
    14.60230

Strategy Description

This system is a mix of trend following and countertrend trading using SVXY, VXX and TQQQ (an ETF aiming for daily 3x leverage of the Nasdaq-100 index). Changes were made to the system after XIV was scheduled for liquidation in February 2018. Trend following trades may last weeks to months, but may sometimes last only 1-2 days. There will be periods, which can last weeks or longer, when this portion of the strategy is in cash. Countertrend trades are initiated only during periods when the Nasdaq-100 is determined to be oversold or VXXB is determined to be overbought and technical trading criteria are met. Most countertrend trades will typically last from 1 day to 1 week, but may last weeks or longer. The majority of time the countertrend portion of this strategy will likely be spent in the safety of cash.

Trading frequency varies depending upon market conditions. Because this strategy is non-diversified and trades using leverage and volatile financial instruments, it is highly risky. Traders may decide to adjust the strategy or limit the proportion of funds allocated to this strategy based upon their own risk tolerance. Trading signals will generally be issued at the open or during the last 5 minutes of active trading, from 3:55PM-4:00PM, but this may occasionally vary.

Although mostly a technical strategy, I may subjectively choose not to initiate a trade, vary the exact date or time of a trade, or vary the degree of leverage or proportion of funds allocated to a given trade or position. I am not a professional trader or money manager.

This system is based on the opinion that the combination of trend following and countertrend trading provides for a nice balanced strategy for navigating the market.

Summary Statistics

Strategy began
2016-09-17
Suggested Minimum Capital
$35,000
# Trades
104
# Profitable
65
% Profitable
62.5%
Net Dividends
Correlation S&P500
0.232
Sharpe Ratio
1.02
Sortino Ratio
1.42
Beta
0.36
Alpha
0.06
Leverage
0.86 Average
2.16 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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