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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast Share System More...

ETFs Fund

Started: 01/2008
Stocks
Last trade: 7 days ago
Trading style: 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 $420.00 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
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.
15.2%
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.

(44.2%)
Max Drawdown
173
Num Trades
80.3%
Win Trades
4.0 : 1
Profit Factor
55.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2008(0.9%)+4.5%+5.6%+4.1%+17.1%+2.2%  -  +0.2%+15.6%+2.1%+8.0%+1.0%+75.9%
2009+7.1%+0.8%+12.6%+16.0%+4.1%+2.1%(3%)+3.2%+6.1%(3.1%)+8.7%+4.6%+75.5%
2010(2.1%)+3.7%+10.2%  -  +8.4%(1.1%)(5%)(0.4%)(2.8%)(3.2%)+0.3%(1.2%)+5.8%
2011(2.1%)(4.2%)+0.5%+0.9%(3.9%)(2.2%)+0.1%(4.3%)(6.3%)(1.1%)(7.4%)(1.4%)(27.6%)
2012+10.0%+0.3%(2.1%)+2.2%+3.4%+0.6%+0.6%+4.0%+1.6%(5.1%)+3.4%(0.3%)+19.4%
2013+2.7%+1.3%+1.1%(2.7%)(3.7%)+6.5%(4.1%)+1.1%(4.3%)+3.3%(5.5%)(5.1%)(9.7%)
2014+2.9%+3.2%+4.7%+4.6%(2.4%)(3.6%)(0.6%)(7.5%)+0.7%+5.8%(3.8%)+4.3%+7.6%
2015(2.2%)+12.1%(4.3%)+3.0%+3.6%(4.5%)+7.5%(12.1%)(4.4%)+19.1%+1.0%(4.5%)+10.9%
2016(9.3%)(2.5%)+21.1%+0.6%+4.0%(3.9%)+9.3%+1.2%+0.9%(0.9%)+5.4%(0.1%)+25.3%
2017+3.7%+2.6%+1.1%+1.2%+1.1%+1.4%+3.9%(3%)+6.0%+0.6%+1.6%+1.2%+23.3%
2018+4.6%(4.3%)(2.4%)(1.3%)+8.9%+1.7%+3.0%+4.1%  -  (5.9%)+2.4%(14%)(5.1%)
2019+12.7%+5.7%+1.2%+3.1%(8.2%)+7.6%+1.3%(3.5%)+2.4%+3.0%+3.6%+1.7%+33.1%
2020(0.5%)(9.9%)(21.7%)+13.0%+6.9%+4.6%+4.1%+6.1%(5.2%)+1.6%+20.6%+4.5%+19.0%
2021  -    -    -    -    -    -    -    -    -    -    -    -  (0.5%)
2022  -    -    -    -    -    -    -  (5.6%)(10.8%)+11.8%+8.3%(7.6%)(6%)
2023+10.6%(3.8%)+1.5%(1%)+0.2%+6.6%+6.2%(1.2%)(8.3%)(8.5%)+20.5%+13.9%+38.0%
2024(2.5%)+6.2%+2.7%(7%)+7.3%+2.3%+2.8%+2.4%+2.0%(2.1%)+7.7%(2.9%)+19.5%

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.

System developer has asked us to delay this information by 96 hours.

Trading Record

This strategy has placed 206 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/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/27/24 14:57 MVV PROSHARES ULTRA MIDCAP400 LONG 150 67.70 12/19 10:34 71.19 1.16%
Trade id #149075966
Max drawdown($1,192)
Time9/11/24 0:00
Quant open150
Worst price59.75
Drawdown as % of equity-1.16%
 $520
Includes Typical Broker Commissions trade costs of $3.00
8/28/24 13:19 UWM PROSHARES ULTRA RUSSELL2000 LONG 200 41.80 12/19 10:06 44.21 0.99%
Trade id #149085124
Max drawdown($1,016)
Time9/11/24 0:00
Quant open200
Worst price36.72
Drawdown as % of equity-0.99%
 $479
Includes Typical Broker Commissions trade costs of $3.00
11/20/24 12:00 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 150 50.05 12/16 12:00 53.25 0.13%
Trade id #150134379
Max drawdown($139)
Time11/20/24 14:23
Quant open150
Worst price49.12
Drawdown as % of equity-0.13%
 $478
Includes Typical Broker Commissions trade costs of $2.00
8/22/24 14:29 SMH VANECK SEMICONDUCTOR ETF LONG 95 240.99 11/22 11:19 242.55 0.88%
Trade id #149011286
Max drawdown($911)
Time9/4/24 0:00
Quant open40
Worst price221.46
Drawdown as % of equity-0.88%
 $142
Includes Typical Broker Commissions trade costs of $6.00
9/5/24 15:06 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 400 26.09 11/6 11:56 26.55 0.7%
Trade id #149266685
Max drawdown($715)
Time9/11/24 0:00
Quant open400
Worst price24.30
Drawdown as % of equity-0.70%
 $177
Includes Typical Broker Commissions trade costs of $6.00
10/3/24 10:25 YXI PROSHARES SHORT FTSE CHINA 50 LONG 400 12.63 10/8 10:57 12.97 0.27%
Trade id #149569015
Max drawdown($288)
Time10/7/24 0:00
Quant open400
Worst price11.91
Drawdown as % of equity-0.27%
 $132
Includes Typical Broker Commissions trade costs of $4.00
8/20/24 17:00: Rescaled downward to 20% of previous Model Account size
8/9/24 13:28 SMH VANECK SEMICONDUCTOR ETF LONG 40 225.72 8/19 11:58 246.00 0.01%
Trade id #148879560
Max drawdown($13)
Time8/9/24 15:54
Quant open8
Worst price224.02
Drawdown as % of equity-0.01%
 $809
Includes Typical Broker Commissions trade costs of $2.00
8/29/23 14:36 IGV ISHARES EXPANDED TECH-SOFTWARE SECTOR ETF LONG 60 70.78 8/19/24 11:58 83.10 n/a $736
Includes Typical Broker Commissions trade costs of $3.00
8/5/24 14:26 SVIX VS TR -1X SHORT VIX FUTURES ETF LONG 400 22.07 8/19 11:56 32.73 0.2%
Trade id #148834587
Max drawdown($195)
Time8/5/24 15:54
Quant open40
Worst price18.46
Drawdown as % of equity-0.20%
 $4,258
Includes Typical Broker Commissions trade costs of $4.00
8/13/24 10:50 ETHE GRAYSCALE ETHEREUM TRUST (ETH) LONG 300 22.52 8/19 11:56 21.91 0.07%
Trade id #148903517
Max drawdown($71)
Time8/15/24 0:00
Quant open60
Worst price21.34
Drawdown as % of equity-0.07%
 ($186)
Includes Typical Broker Commissions trade costs of $3.00
8/8/24 14:16 ARKG ARK GENOMIC REVOLUTION ETF LONG 300 24.52 8/19 11:50 26.40 0.04%
Trade id #148870175
Max drawdown($42)
Time8/12/24 0:00
Quant open60
Worst price23.82
Drawdown as % of equity-0.04%
 $561
Includes Typical Broker Commissions trade costs of $3.00
6/15/23 13:45 IBB ISHARES BIOTECHNOLOGY ETF LONG 70 130.63 8/19/24 11:44 146.70 0.4%
Trade id #144936244
Max drawdown($263)
Time10/31/23 0:00
Quant open14
Worst price111.83
Drawdown as % of equity-0.40%
 $1,121
Includes Typical Broker Commissions trade costs of $4.00
7/19/23 10:19 TAN INVESCO SOLAR PORTFOLIO LONG 80 73.72 8/19/24 11:36 41.53 0.6%
Trade id #145260838
Max drawdown($580)
Time8/5/24 0:00
Quant open16
Worst price37.42
Drawdown as % of equity-0.60%
 ($2,577)
Includes Typical Broker Commissions trade costs of $2.00
8/19/22 12:00 UWM PROSHARES ULTRA RUSSELL2000 LONG 420 34.85 8/19/24 11:34 40.07 1.01%
Trade id #141478579
Max drawdown($661)
Time10/27/23 0:00
Quant open68
Worst price25.12
Drawdown as % of equity-1.01%
 $2,185
Includes Typical Broker Commissions trade costs of $6.70
8/19/22 12:00 MVV PROSHARES ULTRA MIDCAP400 LONG 150 53.68 8/19/24 11:28 62.48 0.54%
Trade id #141478575
Max drawdown($324)
Time10/13/22 0:00
Quant open20
Worst price39.73
Drawdown as % of equity-0.54%
 $1,316
Includes Typical Broker Commissions trade costs of $4.00
8/9/23 12:00 QLD PROSHARES ULTRA QQQ LONG 300 62.12 8/19/24 11:12 92.85 0.76%
Trade id #145483925
Max drawdown($504)
Time10/26/23 0:00
Quant open60
Worst price53.72
Drawdown as % of equity-0.76%
 $9,215
Includes Typical Broker Commissions trade costs of $4.00
5/23/23 10:05 QID PROSHARES ULTRASHORT QQQ LONG 40 80.45 8/19/24 9:48 62.49 0.2%
Trade id #144719092
Max drawdown($162)
Time7/19/23 0:00
Quant open8
Worst price60.15
Drawdown as % of equity-0.20%
 ($723)
Includes Typical Broker Commissions trade costs of $5.00
8/22/23 11:22 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 400 42.19 8/15/24 9:53 56.07 0.35%
Trade id #145604101
Max drawdown($237)
Time10/23/23 0:00
Quant open80
Worst price39.22
Drawdown as % of equity-0.35%
 $5,545
Includes Typical Broker Commissions trade costs of $6.20
8/24/23 12:26 SMH VANECK SEMICONDUCTOR ETF LONG 40 151.00 7/29/24 11:19 216.29 0.17%
Trade id #145630884
Max drawdown($119)
Time10/31/23 0:00
Quant open8
Worst price136.10
Drawdown as % of equity-0.17%
 $2,608
Includes Typical Broker Commissions trade costs of $4.00
9/11/23 10:07 WCLD WISDOMTREE CLOUD COMPUTING FUND LONG 120 31.82 5/10/24 9:37 33.21 0.19%
Trade id #145786478
Max drawdown($129)
Time11/1/23 0:00
Quant open24
Worst price26.42
Drawdown as % of equity-0.19%
 $164
Includes Typical Broker Commissions trade costs of $3.00
9/28/23 13:58 UBT PROSHARES ULTRA 20+ YEAR TREAS LONG 600 18.01 2/29/24 9:31 20.02 0.39%
Trade id #145964335
Max drawdown($273)
Time10/23/23 0:00
Quant open120
Worst price15.73
Drawdown as % of equity-0.39%
 $1,200
Includes Typical Broker Commissions trade costs of $6.00
6/9/23 12:00 SLV ISHARES SILVER TRUST LONG 200 22.36 12/20 9:49 22.55 0.19%
Trade id #144884155
Max drawdown($135)
Time10/4/23 0:00
Quant open40
Worst price18.97
Drawdown as % of equity-0.19%
 $36
Includes Typical Broker Commissions trade costs of $3.00
4/6/23 12:00 FCG FIRST TRUST NATURAL GAS ETF LONG 360 23.34 11/14 11:31 25.35 0.19%
Trade id #144213622
Max drawdown($139)
Time5/31/23 0:00
Quant open72
Worst price21.40
Drawdown as % of equity-0.19%
 $719
Includes Typical Broker Commissions trade costs of $6.20
6/7/23 12:00 OIH VANECK OIL SERVICES ETF LONG 20 279.77 8/29 13:56 329.07 0.09%
Trade id #144862177
Max drawdown($68)
Time6/23/23 0:00
Quant open4
Worst price262.75
Drawdown as % of equity-0.09%
 $983
Includes Typical Broker Commissions trade costs of $3.00
10/28/22 12:00 XLF FINANCIAL SELECT SECTOR SPDR LONG 200 33.53 8/17/23 11:03 34.49 0.12%
Trade id #142362459
Max drawdown($83)
Time3/24/23 0:00
Quant open24
Worst price30.39
Drawdown as % of equity-0.12%
 $187
Includes Typical Broker Commissions trade costs of $5.00
7/17/23 10:13 IAT ISHARES DOW JONES US REGIONAL LONG 140 35.86 8/16 10:14 36.54 0%
Trade id #145235157
Max drawdown($3)
Time7/17/23 10:23
Quant open28
Worst price35.73
Drawdown as % of equity-0.00%
 $92
Includes Typical Broker Commissions trade costs of $3.00
6/6/23 12:00 EEM ISHARES MSCI EMERGING MARKETS LONG 140 39.90 8/14 11:07 40.19 0.04%
Trade id #144848302
Max drawdown($30)
Time7/6/23 0:00
Quant open28
Worst price38.80
Drawdown as % of equity-0.04%
 $38
Includes Typical Broker Commissions trade costs of $3.00
5/9/23 11:38 SMH VANECK SEMICONDUCTOR ETF LONG 40 123.09 8/11 11:06 138.91 0.01%
Trade id #144567905
Max drawdown($10)
Time5/12/23 0:00
Quant open8
Worst price121.81
Drawdown as % of equity-0.01%
 $628
Includes Typical Broker Commissions trade costs of $5.00
11/18/22 12:00 IGV ISHARES EXPANDED TECH-SOFTWARE SECTOR ETF LONG 20 261.36 8/9/23 12:00 312.25 0.09%
Trade id #142616440
Max drawdown($57)
Time1/6/23 0:00
Quant open4
Worst price246.88
Drawdown as % of equity-0.09%
 $1,013
Includes Typical Broker Commissions trade costs of $5.00
5/24/23 14:22 WCLD WISDOMTREE CLOUD COMPUTING FUND LONG 160 28.87 8/8 12:00 31.80 0.02%
Trade id #144734905
Max drawdown($11)
Time5/25/23 0:00
Quant open32
Worst price28.52
Drawdown as % of equity-0.02%
 $465
Includes Typical Broker Commissions trade costs of $4.00
Next

Statistics

  • Strategy began
    1/31/2008
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    6174.81
  • Age
    206 months ago
  • What it trades
    Stocks
  • # Trades
    173
  • # Profitable
    139
  • % Profitable
    80.30%
  • Avg trade duration
    152.5 days
  • Max peak-to-valley drawdown
    44.23%
  • drawdown period
    June 18, 2010 - Nov 26, 2011
  • Annual Return (Compounded)
    15.3%
  • Avg win
    $1,011
  • Avg loss
    $1,077
  • Model Account Values (Raw)
  • Cash
    $73,670
  • Margin Used
    $0
  • Buying Power
    $76,852
  • Ratios
  • W:L ratio
    3.97:1
  • Sharpe Ratio
    0.65
  • Sortino Ratio
    0.93
  • Calmar Ratio
    0.126
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    677.57%
  • Correlation to SP500
    0.34690
  • Return Percent SP500 (cumu) during strategy life
    337.97%
  • Return Statistics
  • Ann Return (w trading costs)
    15.3%
  • Slump
  • Current Slump as Pcnt Equity
    3.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.153%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    15.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    51.50%
  • Chance of 20% account loss
    21.50%
  • Chance of 30% account loss
    10.50%
  • Chance of 40% account loss
    1.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    721
  • Popularity (Last 6 weeks)
    979
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Performance-weighted percentile
    988
  • Popularity (7 days, Percentile 1000 scale)
    943
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,101
  • Avg Win
    $1,031
  • Sum Trade PL (losers)
    $37,424.000
  • Age
  • Num Months filled monthly returns table
    204
  • Win / Loss
  • Sum Trade PL (winners)
    $143,306.000
  • # Winners
    139
  • Num Months Winners
    116
  • Dividends
  • Dividends Received in Model Acct
    2383
  • AUM
  • AUM (AutoTrader live capital)
    70396
  • Win / Loss
  • # Losers
    34
  • % Winners
    80.3%
  • Frequency
  • Avg Position Time (mins)
    219582.00
  • Avg Position Time (hrs)
    3659.69
  • Avg Trade Length
    152.5 days
  • Last Trade Ago
    7
  • Leverage
  • Daily leverage (average)
    1.11
  • Daily leverage (max)
    2.67
  • Regression
  • Alpha
    0.03
  • Beta
    0.31
  • Treynor Index
    0.12
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    86.64
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    40.37
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.06
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.422
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.188
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.423
  • Hold-and-Hope Ratio
    2.389
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11036
  • SD
    0.27152
  • Sharpe ratio (Glass type estimate)
    0.40647
  • Sharpe ratio (Hedges UMVUE)
    0.40481
  • df
    184.00000
  • t
    1.59595
  • p
    0.44158
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09497
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.90681
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09608
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90569
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.52246
  • Upside Potential Ratio
    1.55307
  • Upside part of mean
    0.32807
  • Downside part of mean
    -0.21770
  • Upside SD
    0.17239
  • Downside SD
    0.21124
  • N nonnegative terms
    108.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    185.00000
  • Mean of predictor
    0.08853
  • Mean of criterion
    0.11036
  • SD of predictor
    0.19087
  • SD of criterion
    0.27152
  • Covariance
    0.01737
  • r
    0.33508
  • b (slope, estimate of beta)
    0.47665
  • a (intercept, estimate of alpha)
    0.06816
  • Mean Square Error
    0.06580
  • DF error
    183.00000
  • t(b)
    4.81094
  • p(b)
    0.29075
  • t(a)
    1.03406
  • p(a)
    0.45153
  • Lowerbound of 95% confidence interval for beta
    0.28117
  • Upperbound of 95% confidence interval for beta
    0.67213
  • Lowerbound of 95% confidence interval for alpha
    -0.06189
  • Upperbound of 95% confidence interval for alpha
    0.19822
  • Treynor index (mean / b)
    0.23154
  • Jensen alpha (a)
    0.06816
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05759
  • SD
    0.36343
  • Sharpe ratio (Glass type estimate)
    0.15847
  • Sharpe ratio (Hedges UMVUE)
    0.15782
  • df
    184.00000
  • t
    0.62222
  • p
    0.47709
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34117
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.65771
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34161
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65726
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.17748
  • Upside Potential Ratio
    0.96645
  • Upside part of mean
    0.31362
  • Downside part of mean
    -0.25602
  • Upside SD
    0.16231
  • Downside SD
    0.32450
  • N nonnegative terms
    108.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    185.00000
  • Mean of predictor
    0.06969
  • Mean of criterion
    0.05759
  • SD of predictor
    0.19360
  • SD of criterion
    0.36343
  • Covariance
    0.01663
  • r
    0.23642
  • b (slope, estimate of beta)
    0.44384
  • a (intercept, estimate of alpha)
    0.02666
  • Mean Square Error
    0.12538
  • DF error
    183.00000
  • t(b)
    3.29162
  • p(b)
    0.35090
  • t(a)
    0.29408
  • p(a)
    0.48617
  • Lowerbound of 95% confidence interval for beta
    0.17780
  • Upperbound of 95% confidence interval for beta
    0.70987
  • Lowerbound of 95% confidence interval for alpha
    -0.15223
  • Upperbound of 95% confidence interval for alpha
    0.20556
  • Treynor index (mean / b)
    0.12976
  • Jensen alpha (a)
    0.02666
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15445
  • Expected Shortfall on VaR
    0.19012
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03534
  • Expected Shortfall on VaR
    0.08256
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    185.00000
  • Minimum
    0.30900
  • Quartile 1
    0.98301
  • Median
    1.01000
  • Quartile 3
    1.04045
  • Maximum
    1.20141
  • Mean of quarter 1
    0.93552
  • Mean of quarter 2
    0.99907
  • Mean of quarter 3
    1.02441
  • Mean of quarter 4
    1.08875
  • Inter Quartile Range
    0.05744
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.02703
  • Mean of outliers low
    0.74020
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.04865
  • Mean of outliers high
    1.16239
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53092
  • VaR(95%) (moments method)
    0.05881
  • Expected Shortfall (moments method)
    0.14139
  • Extreme Value Index (regression method)
    0.41330
  • VaR(95%) (regression method)
    0.05560
  • Expected Shortfall (regression method)
    0.11134
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00114
  • Quartile 1
    0.01995
  • Median
    0.04993
  • Quartile 3
    0.15795
  • Maximum
    0.69100
  • Mean of quarter 1
    0.00838
  • Mean of quarter 2
    0.04536
  • Mean of quarter 3
    0.10735
  • Mean of quarter 4
    0.38626
  • Inter Quartile Range
    0.13800
  • 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
    0.05882
  • Mean of outliers high
    0.69100
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.41759
  • VaR(95%) (moments method)
    0.36122
  • Expected Shortfall (moments method)
    0.42707
  • Extreme Value Index (regression method)
    0.20731
  • VaR(95%) (regression method)
    0.50944
  • Expected Shortfall (regression method)
    0.81670
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17750
  • Compounded annual return (geometric extrapolation)
    0.08926
  • Calmar ratio (compounded annual return / max draw down)
    0.12918
  • Compounded annual return / average of 25% largest draw downs
    0.23109
  • Compounded annual return / Expected Shortfall lognormal
    0.46952
  • 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
    0.15359
  • SD
    0.40945
  • Sharpe ratio (Glass type estimate)
    0.37512
  • Sharpe ratio (Hedges UMVUE)
    0.37505
  • df
    4058.00000
  • t
    1.47647
  • p
    0.06995
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12292
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.87312
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12297
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.87307
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.51780
  • Upside Potential Ratio
    4.50977
  • Upside part of mean
    1.33770
  • Downside part of mean
    -1.18411
  • Upside SD
    0.28234
  • Downside SD
    0.29662
  • N nonnegative terms
    1992.00000
  • N negative terms
    2067.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4059.00000
  • Mean of predictor
    0.12932
  • Mean of criterion
    0.15359
  • SD of predictor
    0.34595
  • SD of criterion
    0.40945
  • Covariance
    -0.03025
  • r
    -0.21356
  • b (slope, estimate of beta)
    -0.25276
  • a (intercept, estimate of alpha)
    0.18600
  • Mean Square Error
    0.16004
  • DF error
    4057.00000
  • t(b)
    -13.92410
  • p(b)
    1.00000
  • t(a)
    1.83227
  • p(a)
    0.03349
  • Lowerbound of 95% confidence interval for beta
    -0.28835
  • Upperbound of 95% confidence interval for beta
    -0.21717
  • Lowerbound of 95% confidence interval for alpha
    -0.01304
  • Upperbound of 95% confidence interval for alpha
    0.38560
  • Treynor index (mean / b)
    -0.60765
  • Jensen alpha (a)
    0.18628
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05593
  • SD
    0.46887
  • Sharpe ratio (Glass type estimate)
    0.11928
  • Sharpe ratio (Hedges UMVUE)
    0.11926
  • df
    4058.00000
  • t
    0.46949
  • p
    0.31937
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37868
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.61724
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37870
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61722
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.14355
  • Upside Potential Ratio
    3.34115
  • Upside part of mean
    1.30174
  • Downside part of mean
    -1.24582
  • Upside SD
    0.26078
  • Downside SD
    0.38961
  • N nonnegative terms
    1992.00000
  • N negative terms
    2067.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4059.00000
  • Mean of predictor
    0.06963
  • Mean of criterion
    0.05593
  • SD of predictor
    0.34650
  • SD of criterion
    0.46887
  • Covariance
    -0.03099
  • r
    -0.19072
  • b (slope, estimate of beta)
    -0.25808
  • a (intercept, estimate of alpha)
    0.07390
  • Mean Square Error
    0.21190
  • DF error
    4057.00000
  • t(b)
    -12.37530
  • p(b)
    1.00000
  • t(a)
    0.63181
  • p(a)
    0.26377
  • Lowerbound of 95% confidence interval for beta
    -0.29897
  • Upperbound of 95% confidence interval for beta
    -0.21719
  • Lowerbound of 95% confidence interval for alpha
    -0.15541
  • Upperbound of 95% confidence interval for alpha
    0.30320
  • Treynor index (mean / b)
    -0.21671
  • Jensen alpha (a)
    0.07390
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04633
  • Expected Shortfall on VaR
    0.05775
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01009
  • Expected Shortfall on VaR
    0.02347
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4059.00000
  • Minimum
    0.31783
  • Quartile 1
    0.99663
  • Median
    1.00000
  • Quartile 3
    1.00521
  • Maximum
    1.36095
  • Mean of quarter 1
    0.98317
  • Mean of quarter 2
    0.99897
  • Mean of quarter 3
    1.00225
  • Mean of quarter 4
    1.01838
  • Inter Quartile Range
    0.00857
  • Number outliers low
    259.00000
  • Percentage of outliers low
    0.06381
  • Mean of outliers low
    0.95683
  • Number of outliers high
    241.00000
  • Percentage of outliers high
    0.05937
  • Mean of outliers high
    1.04557
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.69319
  • VaR(95%) (moments method)
    0.01464
  • Expected Shortfall (moments method)
    0.05248
  • Extreme Value Index (regression method)
    0.52245
  • VaR(95%) (regression method)
    0.01242
  • Expected Shortfall (regression method)
    0.02982
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    105.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00288
  • Median
    0.00722
  • Quartile 3
    0.02776
  • Maximum
    0.69664
  • Mean of quarter 1
    0.00140
  • Mean of quarter 2
    0.00499
  • Mean of quarter 3
    0.01531
  • Mean of quarter 4
    0.13083
  • Inter Quartile Range
    0.02488
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.13333
  • Mean of outliers high
    0.20502
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.71483
  • VaR(95%) (moments method)
    0.12249
  • Expected Shortfall (moments method)
    0.47101
  • Extreme Value Index (regression method)
    0.65396
  • VaR(95%) (regression method)
    0.12497
  • Expected Shortfall (regression method)
    0.40537
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17201
  • Compounded annual return (geometric extrapolation)
    0.08745
  • Calmar ratio (compounded annual return / max draw down)
    0.12553
  • Compounded annual return / average of 25% largest draw downs
    0.66843
  • Compounded annual return / Expected Shortfall lognormal
    1.51439
  • 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
    0.20983
  • SD
    0.15940
  • Sharpe ratio (Glass type estimate)
    1.31636
  • Sharpe ratio (Hedges UMVUE)
    1.30875
  • df
    130.00000
  • t
    0.93081
  • p
    0.45932
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.46248
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.09037
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.46761
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.08512
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.85774
  • Upside Potential Ratio
    8.85812
  • Upside part of mean
    1.00050
  • Downside part of mean
    -0.79067
  • Upside SD
    0.11236
  • Downside SD
    0.11295
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17681
  • Mean of criterion
    0.20983
  • SD of predictor
    0.14232
  • SD of criterion
    0.15940
  • Covariance
    0.01581
  • r
    0.69711
  • b (slope, estimate of beta)
    0.78077
  • a (intercept, estimate of alpha)
    0.07177
  • Mean Square Error
    0.01316
  • DF error
    129.00000
  • t(b)
    11.04330
  • p(b)
    0.09538
  • t(a)
    0.44107
  • p(a)
    0.47530
  • Lowerbound of 95% confidence interval for beta
    0.64089
  • Upperbound of 95% confidence interval for beta
    0.92066
  • Lowerbound of 95% confidence interval for alpha
    -0.25018
  • Upperbound of 95% confidence interval for alpha
    0.39373
  • Treynor index (mean / b)
    0.26874
  • Jensen alpha (a)
    0.07177
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19710
  • SD
    0.15960
  • Sharpe ratio (Glass type estimate)
    1.23492
  • Sharpe ratio (Hedges UMVUE)
    1.22778
  • df
    130.00000
  • t
    0.87322
  • p
    0.46182
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.54324
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.00850
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54804
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.00360
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.72554
  • Upside Potential Ratio
    8.70352
  • Upside part of mean
    0.99416
  • Downside part of mean
    -0.79706
  • Upside SD
    0.11127
  • Downside SD
    0.11422
  • N nonnegative terms
    82.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16666
  • Mean of criterion
    0.19710
  • SD of predictor
    0.14266
  • SD of criterion
    0.15960
  • Covariance
    0.01592
  • r
    0.69936
  • b (slope, estimate of beta)
    0.78240
  • a (intercept, estimate of alpha)
    0.06671
  • Mean Square Error
    0.01312
  • DF error
    129.00000
  • t(b)
    11.11280
  • p(b)
    0.09435
  • t(a)
    0.41079
  • p(a)
    0.47700
  • VAR (95 Confidence Intrvl)
    0.04600
  • Lowerbound of 95% confidence interval for beta
    0.64310
  • Upperbound of 95% confidence interval for beta
    0.92170
  • Lowerbound of 95% confidence interval for alpha
    -0.25457
  • Upperbound of 95% confidence interval for alpha
    0.38799
  • Treynor index (mean / b)
    0.25192
  • Jensen alpha (a)
    0.06671
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01535
  • Expected Shortfall on VaR
    0.01939
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00564
  • Expected Shortfall on VaR
    0.01219
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96377
  • Quartile 1
    0.99689
  • Median
    1.00132
  • Quartile 3
    1.00568
  • Maximum
    1.03742
  • Mean of quarter 1
    0.98877
  • Mean of quarter 2
    0.99988
  • Mean of quarter 3
    1.00336
  • Mean of quarter 4
    1.01170
  • Inter Quartile Range
    0.00879
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.97491
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.02545
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21714
  • VaR(95%) (moments method)
    0.00966
  • Expected Shortfall (moments method)
    0.01580
  • Extreme Value Index (regression method)
    0.02332
  • VaR(95%) (regression method)
    0.01088
  • Expected Shortfall (regression method)
    0.01585
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00048
  • Quartile 1
    0.00156
  • Median
    0.01887
  • Quartile 3
    0.04323
  • Maximum
    0.11178
  • Mean of quarter 1
    0.00061
  • Mean of quarter 2
    0.00855
  • Mean of quarter 3
    0.03487
  • Mean of quarter 4
    0.07093
  • Inter Quartile Range
    0.04167
  • 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
    0.09091
  • Mean of outliers high
    0.11178
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.36777
  • VaR(95%) (moments method)
    0.08079
  • Expected Shortfall (moments method)
    0.09684
  • Extreme Value Index (regression method)
    1.19984
  • VaR(95%) (regression method)
    0.11717
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -340927000
  • Max Equity Drawdown (num days)
    526
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23815
  • Compounded annual return (geometric extrapolation)
    0.25233
  • Calmar ratio (compounded annual return / max draw down)
    2.25743
  • Compounded annual return / average of 25% largest draw downs
    3.55739
  • Compounded annual return / Expected Shortfall lognormal
    13.01360

Strategy Description

Methodology: Trades single and double leveraged ETFs using proprietary indicators focused on price, volume, and relative strength. Expands diversification across multiple ETFs to enhance returns and reduce drawdowns.

Market: Leveraged ETFs.

Risk Management: Avoids margin usage and diversifies across multiple ETFs to reduce overall portfolio risk. The strategy continuously learns from new data to refine its indicators, with significant enhancements made during the pandemic to improve performance.

—————————————————————————
AutoTrade Setup Recommendations (for Scaling 100%)

Stop loss: $3,000

Maximum position size:
○ Stocks: $20,000
○ Options: 0
○ Futures: 0
○ Forex: 0

Summary Statistics

Strategy began
2008-01-31
# Trades
173
# Profitable
139
% Profitable
80.3%
Net Dividends
$2,382
Correlation S&P500
0.347
Sharpe Ratio
0.65
Sortino Ratio
0.93
Beta
0.31
Alpha
0.03
Leverage
1.11 Average
2.67 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Lisa Chen Trading 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.

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.