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

Trades-Own-Strategy Certification

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

Trades-Own-Strategy (TOS) Certification Details
Certification process started 01/09/2019
Most recent certification approved 1/10/19 12:53 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 432
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 426
Percent signals followed since 01/09/2019 98.6%
This information was last updated 6/18/19 15:53 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 01/09/2019, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results 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.

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

Forte Strategy
(116308970)

Created by: MaestroCapitalResrch MaestroCapitalResrch
Started: 02/2018
Stocks
Last trade: Yesterday
Trading style: Equity Hedged Equity Trend-following

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 $49.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
11.8%
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.

(13.4%)
Max Drawdown
633
Num Trades
64.8%
Win Trades
1.2 : 1
Profit Factor
58.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018       +1.1%+0.3%+5.9%(3%)+0.7%+4.0%+1.0%(0.7%)(5.2%)(1%)+4.1%+6.8%
2019+4.4%(0.6%)(3.9%)+9.2%(1.8%)+2.0%                                    +9.1%

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 24 hours.

Trading Record

This strategy has placed 462 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/12/19 9:32 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 242 22.35 6/17 15:52 20.39 0.81%
Trade id #124048642
Max drawdown($499)
Time6/17/19 10:39
Quant open242
Worst price20.29
Drawdown as % of equity-0.81%
($479)
Includes Typical Broker Commissions trade costs of $4.84
6/10/19 9:30 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 247 21.59 6/17 10:06 21.07 0.21%
Trade id #124001541
Max drawdown($127)
Time6/17/19 10:06
Quant open0
Worst price21.07
Drawdown as % of equity-0.21%
($132)
Includes Typical Broker Commissions trade costs of $4.94
6/14/19 9:30 NUGT DIREXION DAILY GOLD MINERS BUL LONG 259 21.48 6/14 15:53 21.09 0.38%
Trade id #124083253
Max drawdown($235)
Time6/14/19 14:29
Quant open259
Worst price20.57
Drawdown as % of equity-0.38%
($105)
Includes Typical Broker Commissions trade costs of $5.18
5/31/19 9:30 BRZU DIREXION DAILY BRAZIL BULL 3X LONG 185 27.56 6/14 15:52 29.16 0.06%
Trade id #123887116
Max drawdown($37)
Time5/31/19 9:35
Quant open185
Worst price27.36
Drawdown as % of equity-0.06%
$291
Includes Typical Broker Commissions trade costs of $3.70
6/11/19 9:30 SOXL DIREXION DAILY SEMICONDCT BULL LONG 38 144.33 6/14 9:30 118.83 1.6%
Trade id #124026199
Max drawdown($1,003)
Time6/14/19 7:03
Quant open38
Worst price117.92
Drawdown as % of equity-1.60%
($970)
Includes Typical Broker Commissions trade costs of $0.76
6/13/19 9:30 OILD PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF LONG 200 26.85 6/14 9:30 27.85 0.02%
Trade id #124064545
Max drawdown($11)
Time6/13/19 9:32
Quant open200
Worst price26.79
Drawdown as % of equity-0.02%
$196
Includes Typical Broker Commissions trade costs of $4.00
6/7/19 9:30 NUGT DIREXION DAILY GOLD MINERS BUL LONG 260 20.51 6/13 15:52 20.82 0.89%
Trade id #123976645
Max drawdown($550)
Time6/10/19 9:45
Quant open260
Worst price18.39
Drawdown as % of equity-0.89%
$76
Includes Typical Broker Commissions trade costs of $5.20
6/3/19 9:30 OILD PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF LONG 661 27.64 6/12 15:53 28.31 0.66%
Trade id #123910672
Max drawdown($403)
Time6/10/19 8:12
Quant open180
Worst price25.40
Drawdown as % of equity-0.66%
$427
Includes Typical Broker Commissions trade costs of $13.22
6/5/19 9:30 LABU DIREXION DAILY S&P BIOTECH BULL LONG 122 43.46 6/12 15:52 41.25 0.73%
Trade id #123946252
Max drawdown($456)
Time6/12/19 10:01
Quant open122
Worst price39.72
Drawdown as % of equity-0.73%
($272)
Includes Typical Broker Commissions trade costs of $2.44
5/28/19 10:17 SOXL DIREXION DAILY SEMICONDCT BULL LONG 68 109.10 6/10 10:21 137.64 0.26%
Trade id #123844037
Max drawdown($145)
Time5/29/19 9:31
Quant open45
Worst price103.55
Drawdown as % of equity-0.26%
$1,940
Includes Typical Broker Commissions trade costs of $1.36
6/7/19 12:15 UWT VELOCITY SHS 3X LONG CRUDE OIL TO S&P/GSCI INDEX LONG 440 12.27 6/10 9:30 12.32 0.23%
Trade id #123982437
Max drawdown($138)
Time6/7/19 13:22
Quant open440
Worst price11.96
Drawdown as % of equity-0.23%
$13
Includes Typical Broker Commissions trade costs of $8.80
5/29/19 9:30 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 202 25.11 6/7 15:18 21.72 1.32%
Trade id #123858148
Max drawdown($800)
Time6/7/19 5:31
Quant open202
Worst price21.15
Drawdown as % of equity-1.32%
($690)
Includes Typical Broker Commissions trade costs of $4.04
6/5/19 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 103 52.29 6/7 10:31 55.95 0.33%
Trade id #123946257
Max drawdown($197)
Time6/5/19 10:53
Quant open103
Worst price50.37
Drawdown as % of equity-0.33%
$375
Includes Typical Broker Commissions trade costs of $2.06
5/30/19 9:30 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 207 23.57 6/6 15:52 23.28 0.88%
Trade id #123872403
Max drawdown($531)
Time6/5/19 4:01
Quant open207
Worst price21.00
Drawdown as % of equity-0.88%
($64)
Includes Typical Broker Commissions trade costs of $4.14
6/5/19 9:30 NUGT DIREXION DAILY GOLD MINERS BUL LONG 271 20.00 6/6 9:30 19.54 0.58%
Trade id #123946253
Max drawdown($352)
Time6/5/19 11:38
Quant open271
Worst price18.70
Drawdown as % of equity-0.58%
($130)
Includes Typical Broker Commissions trade costs of $5.42
6/4/19 9:55 NUGT DIREXION DAILY GOLD MINERS BUL LONG 275 19.12 6/4 15:52 19.23 0.34%
Trade id #123930374
Max drawdown($209)
Time6/4/19 11:12
Quant open275
Worst price18.36
Drawdown as % of equity-0.34%
$25
Includes Typical Broker Commissions trade costs of $5.50
5/23/19 13:15 NUGT DIREXION DAILY GOLD MINERS BUL LONG 320 15.44 6/3 12:36 18.66 0.71%
Trade id #123800503
Max drawdown($399)
Time5/28/19 15:01
Quant open320
Worst price14.19
Drawdown as % of equity-0.71%
$1,025
Includes Typical Broker Commissions trade costs of $6.40
5/23/19 9:30 OILD PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF LONG 726 20.66 5/31 9:30 23.47 0.38%
Trade id #123793063
Max drawdown($211)
Time5/29/19 18:13
Quant open235
Worst price19.76
Drawdown as % of equity-0.38%
$2,025
Includes Typical Broker Commissions trade costs of $14.52
5/29/19 9:30 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 638 7.87 5/30 9:33 7.24 0.72%
Trade id #123858121
Max drawdown($399)
Time5/30/19 9:33
Quant open0
Worst price7.24
Drawdown as % of equity-0.72%
($404)
Includes Typical Broker Commissions trade costs of $5.00
5/21/19 9:30 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 211 23.91 5/29 15:52 23.61 0.8%
Trade id #123751148
Max drawdown($454)
Time5/28/19 8:55
Quant open211
Worst price21.75
Drawdown as % of equity-0.80%
($66)
Includes Typical Broker Commissions trade costs of $4.22
5/6/19 9:30 UDOW PROSHARES ULTRAPRO DOW30 LONG 60 96.94 5/29 11:41 86.16 1.14%
Trade id #123539926
Max drawdown($647)
Time5/29/19 11:41
Quant open4
Worst price85.91
Drawdown as % of equity-1.14%
($648)
Includes Typical Broker Commissions trade costs of $1.20
5/28/19 9:35 LABU DIREXION DAILY S&P BIOTECH BULL LONG 110 44.45 5/29 9:35 40.25 0.81%
Trade id #123842603
Max drawdown($461)
Time5/29/19 9:35
Quant open0
Worst price40.25
Drawdown as % of equity-0.81%
($463)
Includes Typical Broker Commissions trade costs of $2.20
5/16/19 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 98 51.27 5/29 9:30 50.34 0.17%
Trade id #123693119
Max drawdown($98)
Time5/29/19 5:29
Quant open98
Worst price50.26
Drawdown as % of equity-0.17%
($93)
Includes Typical Broker Commissions trade costs of $1.96
5/23/19 9:30 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 700 7.32 5/28 15:52 7.62 0.52%
Trade id #123792977
Max drawdown($295)
Time5/24/19 4:35
Quant open700
Worst price6.90
Drawdown as % of equity-0.52%
$203
Includes Typical Broker Commissions trade costs of $5.00
5/2/19 9:30 DRIP DIREXION DAILY S&P OIL GAS EXPL PROD BEA LONG 1,358 10.56 5/23 9:36 10.56 1.11%
Trade id #123503692
Max drawdown($642)
Time5/16/19 8:37
Quant open716
Worst price9.70
Drawdown as % of equity-1.11%
($29)
Includes Typical Broker Commissions trade costs of $20.97
5/20/19 9:30 SOXL DIREXION DAILY SEMICONDCT BULL LONG 40 123.17 5/23 9:30 112.06 0.83%
Trade id #123736134
Max drawdown($475)
Time5/23/19 9:05
Quant open40
Worst price111.28
Drawdown as % of equity-0.83%
($445)
Includes Typical Broker Commissions trade costs of $0.80
5/13/19 9:30 UWT VELOCITY SHS 3X LONG CRUDE OIL TO S&P/GSCI INDEX LONG 550 19.85 5/23 9:30 18.35 1.44%
Trade id #123641737
Max drawdown($824)
Time5/23/19 9:30
Quant open280
Worst price17.02
Drawdown as % of equity-1.44%
($835)
Includes Typical Broker Commissions trade costs of $11.00
5/17/19 15:10 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 801 6.22 5/20 14:24 6.96 0.06%
Trade id #123719679
Max drawdown($32)
Time5/17/19 19:55
Quant open801
Worst price6.18
Drawdown as % of equity-0.06%
$588
Includes Typical Broker Commissions trade costs of $5.00
5/13/19 9:34 SOXL DIREXION DAILY SEMICONDCT BULL LONG 65 147.45 5/17 15:21 140.59 0.78%
Trade id #123642045
Max drawdown($446)
Time5/17/19 15:21
Quant open35
Worst price134.06
Drawdown as % of equity-0.78%
($447)
Includes Typical Broker Commissions trade costs of $1.30
5/15/19 9:52 OILD PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF LONG 273 18.64 5/16 15:55 17.17 0.87%
Trade id #123678716
Max drawdown($498)
Time5/16/19 11:28
Quant open273
Worst price16.81
Drawdown as % of equity-0.87%
($406)
Includes Typical Broker Commissions trade costs of $5.46

Statistics

  • Strategy began
    2/5/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    498.06
  • Age
    17 months ago
  • What it trades
    Stocks
  • # Trades
    633
  • # Profitable
    410
  • % Profitable
    64.80%
  • Avg trade duration
    6.1 days
  • Max peak-to-valley drawdown
    13.4%
  • drawdown period
    Sept 21, 2018 - Nov 20, 2018
  • Annual Return (Compounded)
    11.8%
  • Avg win
    $201.28
  • Avg loss
    $328.85
  • Model Account Values (Raw)
  • Cash
    $27,552
  • Margin Used
    $0
  • Buying Power
    $30,172
  • Ratios
  • W:L ratio
    1.16:1
  • Sharpe Ratio
    0.67
  • Sortino Ratio
    1.01
  • Calmar Ratio
    1.398
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.32260
  • Return Statistics
  • Ann Return (w trading costs)
    11.8%
  • Ann Return (Compnd, No Fees)
    15.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    15.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    838
  • C2 Score
    58.3
  • Trades-Own-System Certification
  • Trades Own System?
    184818
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $329
  • Avg Win
    $202
  • # Winners
    410
  • # Losers
    223
  • % Winners
    64.8%
  • Frequency
  • Avg Position Time (mins)
    8749.10
  • Avg Position Time (hrs)
    145.82
  • Avg Trade Length
    6.1 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.41
  • Daily leverage (max)
    2.95
  • Unknown
  • Alpha
    0.02
  • Beta
    0.28
  • Treynor Index
    0.11
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15060
  • SD
    0.13686
  • Sharpe ratio (Glass type estimate)
    1.10039
  • Sharpe ratio (Hedges UMVUE)
    1.04428
  • df
    15.00000
  • t
    1.27062
  • p
    0.30481
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65856
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.82483
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69375
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78230
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.86449
  • Upside Potential Ratio
    4.83866
  • Upside part of mean
    0.25439
  • Downside part of mean
    -0.10379
  • Upside SD
    0.12918
  • Downside SD
    0.05257
  • N nonnegative terms
    9.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.04075
  • Mean of criterion
    0.15060
  • SD of predictor
    0.11149
  • SD of criterion
    0.13686
  • Covariance
    -0.00267
  • r
    -0.17490
  • b (slope, estimate of beta)
    -0.21470
  • a (intercept, estimate of alpha)
    0.15935
  • Mean Square Error
    0.01945
  • DF error
    14.00000
  • t(b)
    -0.66465
  • p(b)
    0.58745
  • t(a)
    1.31142
  • p(a)
    0.33462
  • Lowerbound of 95% confidence interval for beta
    -0.90751
  • Upperbound of 95% confidence interval for beta
    0.47812
  • Lowerbound of 95% confidence interval for alpha
    -0.10126
  • Upperbound of 95% confidence interval for alpha
    0.41996
  • Treynor index (mean / b)
    -0.70145
  • Jensen alpha (a)
    0.15935
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14102
  • SD
    0.13216
  • Sharpe ratio (Glass type estimate)
    1.06706
  • Sharpe ratio (Hedges UMVUE)
    1.01265
  • df
    15.00000
  • t
    1.23213
  • p
    0.31000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68878
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78936
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.72298
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74827
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.64623
  • Upside Potential Ratio
    4.61569
  • Upside part of mean
    0.24598
  • Downside part of mean
    -0.10496
  • Upside SD
    0.12325
  • Downside SD
    0.05329
  • N nonnegative terms
    9.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.03477
  • Mean of criterion
    0.14102
  • SD of predictor
    0.11164
  • SD of criterion
    0.13216
  • Covariance
    -0.00244
  • r
    -0.16571
  • b (slope, estimate of beta)
    -0.19617
  • a (intercept, estimate of alpha)
    0.14784
  • Mean Square Error
    0.01820
  • DF error
    14.00000
  • t(b)
    -0.62872
  • p(b)
    0.58286
  • t(a)
    1.26001
  • p(a)
    0.34043
  • Lowerbound of 95% confidence interval for beta
    -0.86536
  • Upperbound of 95% confidence interval for beta
    0.47303
  • Lowerbound of 95% confidence interval for alpha
    -0.10382
  • Upperbound of 95% confidence interval for alpha
    0.39950
  • Treynor index (mean / b)
    -0.71888
  • Jensen alpha (a)
    0.14784
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04972
  • Expected Shortfall on VaR
    0.06466
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01865
  • Expected Shortfall on VaR
    0.03384
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.96111
  • Quartile 1
    0.98817
  • Median
    1.01092
  • Quartile 3
    1.03649
  • Maximum
    1.12467
  • Mean of quarter 1
    0.97437
  • Mean of quarter 2
    0.99655
  • Mean of quarter 3
    1.02525
  • Mean of quarter 4
    1.06335
  • Inter Quartile Range
    0.04832
  • 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
    0.06250
  • Mean of outliers high
    1.12467
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.52795
  • VaR(95%) (moments method)
    0.02886
  • Expected Shortfall (moments method)
    0.03003
  • Extreme Value Index (regression method)
    -0.09793
  • VaR(95%) (regression method)
    0.03396
  • Expected Shortfall (regression method)
    0.04363
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01037
  • Quartile 1
    0.02862
  • Median
    0.04688
  • Quartile 3
    0.05501
  • Maximum
    0.06315
  • Mean of quarter 1
    0.01037
  • Mean of quarter 2
    0.04688
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06315
  • Inter Quartile Range
    0.02639
  • 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)
    0.18946
  • Compounded annual return (geometric extrapolation)
    0.18404
  • Calmar ratio (compounded annual return / max draw down)
    2.91439
  • Compounded annual return / average of 25% largest draw downs
    2.91439
  • Compounded annual return / Expected Shortfall lognormal
    2.84629
  • 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
    0.13459
  • SD
    0.13260
  • Sharpe ratio (Glass type estimate)
    1.01503
  • Sharpe ratio (Hedges UMVUE)
    1.01286
  • df
    352.00000
  • t
    1.17819
  • p
    0.11976
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67589
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.70451
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67733
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.70306
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.56902
  • Upside Potential Ratio
    9.65523
  • Upside part of mean
    0.82822
  • Downside part of mean
    -0.69363
  • Upside SD
    0.10121
  • Downside SD
    0.08578
  • N nonnegative terms
    182.00000
  • N negative terms
    171.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    353.00000
  • Mean of predictor
    0.05632
  • Mean of criterion
    0.13459
  • SD of predictor
    0.15812
  • SD of criterion
    0.13260
  • Covariance
    0.00696
  • r
    0.33219
  • b (slope, estimate of beta)
    0.27856
  • a (intercept, estimate of alpha)
    0.11900
  • Mean Square Error
    0.01569
  • DF error
    351.00000
  • t(b)
    6.59831
  • p(b)
    0.00000
  • t(a)
    1.10167
  • p(a)
    0.13568
  • Lowerbound of 95% confidence interval for beta
    0.19553
  • Upperbound of 95% confidence interval for beta
    0.36159
  • Lowerbound of 95% confidence interval for alpha
    -0.09336
  • Upperbound of 95% confidence interval for alpha
    0.33116
  • Treynor index (mean / b)
    0.48315
  • Jensen alpha (a)
    0.11890
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12581
  • SD
    0.13225
  • Sharpe ratio (Glass type estimate)
    0.95127
  • Sharpe ratio (Hedges UMVUE)
    0.94925
  • df
    352.00000
  • t
    1.10419
  • p
    0.13513
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73935
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.64065
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.74075
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.63924
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.45492
  • Upside Potential Ratio
    9.51857
  • Upside part of mean
    0.82308
  • Downside part of mean
    -0.69727
  • Upside SD
    0.10012
  • Downside SD
    0.08647
  • N nonnegative terms
    182.00000
  • N negative terms
    171.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    353.00000
  • Mean of predictor
    0.04383
  • Mean of criterion
    0.12581
  • SD of predictor
    0.15830
  • SD of criterion
    0.13225
  • Covariance
    0.00700
  • r
    0.33453
  • b (slope, estimate of beta)
    0.27949
  • a (intercept, estimate of alpha)
    0.11356
  • Mean Square Error
    0.01558
  • DF error
    351.00000
  • t(b)
    6.65056
  • p(b)
    0.00000
  • t(a)
    1.05595
  • p(a)
    0.14586
  • Lowerbound of 95% confidence interval for beta
    0.19684
  • Upperbound of 95% confidence interval for beta
    0.36214
  • Lowerbound of 95% confidence interval for alpha
    -0.09795
  • Upperbound of 95% confidence interval for alpha
    0.32507
  • Treynor index (mean / b)
    0.45014
  • Jensen alpha (a)
    0.11356
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01288
  • Expected Shortfall on VaR
    0.01624
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00599
  • Expected Shortfall on VaR
    0.01164
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    353.00000
  • Minimum
    0.97026
  • Quartile 1
    0.99636
  • Median
    1.00028
  • Quartile 3
    1.00491
  • Maximum
    1.05101
  • Mean of quarter 1
    0.99136
  • Mean of quarter 2
    0.99834
  • Mean of quarter 3
    1.00251
  • Mean of quarter 4
    1.01038
  • Inter Quartile Range
    0.00855
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.02266
  • Mean of outliers low
    0.97744
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.01983
  • Mean of outliers high
    1.02783
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28534
  • VaR(95%) (moments method)
    0.00896
  • Expected Shortfall (moments method)
    0.01474
  • Extreme Value Index (regression method)
    0.26145
  • VaR(95%) (regression method)
    0.00835
  • Expected Shortfall (regression method)
    0.01319
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00024
  • Quartile 1
    0.00468
  • Median
    0.01300
  • Quartile 3
    0.02331
  • Maximum
    0.11889
  • Mean of quarter 1
    0.00226
  • Mean of quarter 2
    0.00847
  • Mean of quarter 3
    0.01964
  • Mean of quarter 4
    0.06080
  • Inter Quartile Range
    0.01863
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.09123
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.12435
  • VaR(95%) (moments method)
    0.05642
  • Expected Shortfall (moments method)
    0.07478
  • Extreme Value Index (regression method)
    0.03616
  • VaR(95%) (regression method)
    0.08389
  • Expected Shortfall (regression method)
    0.12451
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17079
  • Compounded annual return (geometric extrapolation)
    0.16616
  • Calmar ratio (compounded annual return / max draw down)
    1.39763
  • Compounded annual return / average of 25% largest draw downs
    2.73277
  • Compounded annual return / Expected Shortfall lognormal
    10.23430
  • 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
    0.29461
  • SD
    0.15941
  • Sharpe ratio (Glass type estimate)
    1.84819
  • Sharpe ratio (Hedges UMVUE)
    1.83751
  • df
    130.00000
  • t
    1.30687
  • p
    0.44306
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93622
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.62558
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94328
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.61830
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.24929
  • Upside Potential Ratio
    11.66600
  • Upside part of mean
    1.05775
  • Downside part of mean
    -0.76314
  • Upside SD
    0.13163
  • Downside SD
    0.09067
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17646
  • Mean of criterion
    0.29461
  • SD of predictor
    0.15965
  • SD of criterion
    0.15941
  • Covariance
    0.00281
  • r
    0.11054
  • b (slope, estimate of beta)
    0.11037
  • a (intercept, estimate of alpha)
    0.27514
  • Mean Square Error
    0.02529
  • DF error
    129.00000
  • t(b)
    1.26323
  • p(b)
    0.42977
  • t(a)
    1.22040
  • p(a)
    0.43212
  • Lowerbound of 95% confidence interval for beta
    -0.06250
  • Upperbound of 95% confidence interval for beta
    0.28324
  • Lowerbound of 95% confidence interval for alpha
    -0.17092
  • Upperbound of 95% confidence interval for alpha
    0.72119
  • Treynor index (mean / b)
    2.66926
  • Jensen alpha (a)
    0.27514
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28192
  • SD
    0.15847
  • Sharpe ratio (Glass type estimate)
    1.77903
  • Sharpe ratio (Hedges UMVUE)
    1.76874
  • df
    130.00000
  • t
    1.25796
  • p
    0.44517
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00447
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.55587
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01139
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.54888
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.08391
  • Upside Potential Ratio
    11.47650
  • Upside part of mean
    1.04913
  • Downside part of mean
    -0.76722
  • Upside SD
    0.12987
  • Downside SD
    0.09142
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16379
  • Mean of criterion
    0.28192
  • SD of predictor
    0.15914
  • SD of criterion
    0.15847
  • Covariance
    0.00282
  • r
    0.11196
  • b (slope, estimate of beta)
    0.11149
  • a (intercept, estimate of alpha)
    0.26366
  • Mean Square Error
    0.02499
  • DF error
    129.00000
  • t(b)
    1.27971
  • p(b)
    0.42887
  • t(a)
    1.17697
  • p(a)
    0.43450
  • Lowerbound of 95% confidence interval for beta
    -0.06088
  • Upperbound of 95% confidence interval for beta
    0.28386
  • Lowerbound of 95% confidence interval for alpha
    -0.17956
  • Upperbound of 95% confidence interval for alpha
    0.70687
  • Treynor index (mean / b)
    2.52865
  • Jensen alpha (a)
    0.26366
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01491
  • Expected Shortfall on VaR
    0.01893
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00678
  • Expected Shortfall on VaR
    0.01281
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97209
  • Quartile 1
    0.99557
  • Median
    1.00003
  • Quartile 3
    1.00579
  • Maximum
    1.05101
  • Mean of quarter 1
    0.99078
  • Mean of quarter 2
    0.99787
  • Mean of quarter 3
    1.00295
  • Mean of quarter 4
    1.01338
  • Inter Quartile Range
    0.01022
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97338
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.03236
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27597
  • VaR(95%) (moments method)
    0.00992
  • Expected Shortfall (moments method)
    0.01576
  • Extreme Value Index (regression method)
    0.38194
  • VaR(95%) (regression method)
    0.00933
  • Expected Shortfall (regression method)
    0.01584
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00322
  • Quartile 1
    0.01042
  • Median
    0.01323
  • Quartile 3
    0.02195
  • Maximum
    0.09106
  • Mean of quarter 1
    0.00694
  • Mean of quarter 2
    0.01252
  • Mean of quarter 3
    0.02122
  • Mean of quarter 4
    0.07741
  • Inter Quartile Range
    0.01153
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.22222
  • Mean of outliers high
    0.07741
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -22.64500
  • VaR(95%) (moments method)
    0.05048
  • Expected Shortfall (moments method)
    0.05048
  • Extreme Value Index (regression method)
    -1.61503
  • VaR(95%) (regression method)
    0.11609
  • Expected Shortfall (regression method)
    0.11950
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33511
  • Compounded annual return (geometric extrapolation)
    0.36318
  • Calmar ratio (compounded annual return / max draw down)
    3.98855
  • Compounded annual return / average of 25% largest draw downs
    4.69179
  • Compounded annual return / Expected Shortfall lognormal
    19.18560

Strategy Description

Maestro Capital Research’s flagship strategy, Forte, which is the result of over 17 years of research and development, is a rules-based trading method using a basket of NYSE- and Nasdaq-listed stocks and exchange traded funds (ETFs).

Historically, certain stocks and ETFs have predictable tendencies depending on industry characteristics, size, trading volume, market volatility, seasonality, economic, monthly cycles, etc. The Forte Strategy is designed to capitalize on mean-reversion, trend and consolidation patterns driven by these factors using optimal risk-controlled position sizing, profit targets, and stop losses while achieving consistent returns with minimal drawdowns.

The Forte Strategy attempts to minimize the use of margin, so returns are achievable for both trading and retirement accounts. It also takes only long positions, utilizing short ETFs as a hedge when necessary. The Forte Strategy will generate 2-3 trade signals per day on average, so we encourage you to use C2's AutoTrade feature to minimize the risk of missing a trade. As a subscriber, we will also provide profit target and stop losses for all positions.

Summary Statistics

Strategy began
2018-02-05
Suggested Minimum Capital
$35,000
# Trades
633
# Profitable
410
% Profitable
64.8%
Net Dividends
Correlation S&P500
0.323
Sharpe Ratio
0.67
Sortino Ratio
1.01
Beta
0.28
Alpha
0.02
Leverage
1.41 Average
2.95 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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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.