Collective2 Collective2
Featured Strategy Quant AI pro +18.2% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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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 10/19/2023
Most recent certification approved 1/29/24 13:15 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 55%
# trading signals issued by system since certification 179
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 177
Percent signals followed since 10/19/2023 98.9%
This information was last updated 12/20/24 11:13 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 10/19/2023, 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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

Leveraged ETF Trading
(141736700)

Created by: BlackBoulderTrading BlackBoulderTrading
Started: 10/2022
Stocks
Last trade: 4 days ago
Trading style: Equity Trend-following Sector: Technology

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 $75.00 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.
Sector: Technology
Category: Equity

Sector: Technology

Focuses primarily on stocks of technology companies.
71.6%
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.

(26.6%)
Max Drawdown
133
Num Trades
66.2%
Win Trades
2.0 : 1
Profit Factor
74.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                               (5.8%)(5.2%)+18.8%+6.1%
2023(14.6%)+1.4%+45.4%(2.3%)+4.9%+22.9%+0.6%+8.1%+2.9%+7.6%+12.4%+13.7%+144.4%
2024+9.0%+0.6%+2.4%(13.2%)+16.7%+9.6%(10%)(4.4%)+6.8%+4.6%+4.8%+0.4%+26.0%

Model Account Details

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

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

System developer has asked us to delay this information by 72 hours.

Trading Record

This strategy has placed 289 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
12/11/24 12:16 NVDL GRANITESHARES 1.5X LONG NVDA DAILY ETF LONG 625 71.84 12/18 15:05 64.75 9.17%
Trade id #150302308
Max drawdown($7,545)
Time12/17/24 0:00
Quant open625
Worst price59.77
Drawdown as % of equity-9.17%
 ($4,441)
Includes Typical Broker Commissions trade costs of $5.00
12/5/24 13:50 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,004 30.23 12/11 11:33 29.15 1.29%
Trade id #150257690
Max drawdown($1,124)
Time12/11/24 11:31
Quant open1,004
Worst price29.11
Drawdown as % of equity-1.29%
 ($1,088)
Includes Typical Broker Commissions trade costs of $5.00
11/21/24 15:36 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,030 79.41 12/5 13:19 86.22 3.9%
Trade id #150146884
Max drawdown($3,170)
Time11/27/24 0:00
Quant open1,030
Worst price76.33
Drawdown as % of equity-3.90%
 $6,996
Includes Typical Broker Commissions trade costs of $13.43
11/12/24 14:27 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 850 31.86 11/15 9:39 34.08 0.39%
Trade id #150068468
Max drawdown($305)
Time11/13/24 0:00
Quant open850
Worst price31.50
Drawdown as % of equity-0.39%
 $1,886
Includes Typical Broker Commissions trade costs of $5.00
11/6/24 12:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 340 78.00 11/12 14:24 82.29 0.03%
Trade id #150012837
Max drawdown($23)
Time11/6/24 13:00
Quant open340
Worst price77.93
Drawdown as % of equity-0.03%
 $1,452
Includes Typical Broker Commissions trade costs of $6.80
9/12/24 15:57 NVDL GRANITESHARES 1.5X LONG NVDA DAILY ETF LONG 537 56.62 10/31 9:58 68.05 4.38%
Trade id #149377841
Max drawdown($2,980)
Time9/18/24 0:00
Quant open537
Worst price51.07
Drawdown as % of equity-4.38%
 $6,130
Includes Typical Broker Commissions trade costs of $5.00
9/16/24 12:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 600 65.87 10/31 9:58 72.68 0.43%
Trade id #149410662
Max drawdown($290)
Time9/18/24 0:00
Quant open600
Worst price65.39
Drawdown as % of equity-0.43%
 $4,075
Includes Typical Broker Commissions trade costs of $8.50
10/23/24 9:59 MSFL GRANITESHARES 2X LONG MSFT DAILY ETF LONG 903 24.74 10/31 9:58 22.48 2.7%
Trade id #149804282
Max drawdown($2,296)
Time10/31/24 9:33
Quant open903
Worst price22.20
Drawdown as % of equity-2.70%
 ($2,048)
Includes Typical Broker Commissions trade costs of $5.00
8/27/24 9:33 NVDL GRANITESHARES 1.5X LONG NVDA DAILY ETF LONG 195 64.82 8/29 15:57 56.63 2.41%
Trade id #149069618
Max drawdown($1,719)
Time8/29/24 14:47
Quant open195
Worst price56.00
Drawdown as % of equity-2.41%
 ($1,602)
Includes Typical Broker Commissions trade costs of $3.90
8/15/24 15:48 TQQQ PROSHARES ULTRAPRO QQQ LONG 525 68.87 8/29 15:57 66.15 2.66%
Trade id #148931861
Max drawdown($1,949)
Time8/28/24 0:00
Quant open525
Worst price65.16
Drawdown as % of equity-2.66%
 ($1,437)
Includes Typical Broker Commissions trade costs of $7.75
8/15/24 15:48 NVDL GRANITESHARES 1.5X LONG NVDA DAILY ETF LONG 195 62.69 8/26 10:04 68.59 0.37%
Trade id #148931837
Max drawdown($267)
Time8/16/24 0:00
Quant open195
Worst price61.32
Drawdown as % of equity-0.37%
 $1,147
Includes Typical Broker Commissions trade costs of $3.90
8/12/24 10:23 TQQQ PROSHARES ULTRAPRO QQQ LONG 450 59.87 8/12 13:51 58.85 0.78%
Trade id #148891280
Max drawdown($562)
Time8/12/24 11:25
Quant open450
Worst price58.62
Drawdown as % of equity-0.78%
 ($468)
Includes Typical Broker Commissions trade costs of $9.00
8/7/24 15:14 TQQQ PROSHARES ULTRAPRO QQQ LONG 450 54.26 8/8 9:51 54.23 0.79%
Trade id #148860422
Max drawdown($567)
Time8/7/24 15:57
Quant open450
Worst price53.00
Drawdown as % of equity-0.79%
 ($24)
Includes Typical Broker Commissions trade costs of $9.00
8/6/24 9:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 450 54.66 8/7 11:47 56.80 0.18%
Trade id #148841029
Max drawdown($129)
Time8/6/24 10:01
Quant open450
Worst price54.37
Drawdown as % of equity-0.18%
 $957
Includes Typical Broker Commissions trade costs of $9.00
8/5/24 12:19 TQQQ PROSHARES ULTRAPRO QQQ LONG 450 55.40 8/5 14:42 52.96 1.55%
Trade id #148833018
Max drawdown($1,109)
Time8/5/24 14:42
Quant open450
Worst price52.93
Drawdown as % of equity-1.55%
 ($1,104)
Includes Typical Broker Commissions trade costs of $9.00
7/31/24 11:19 NVDU DIREXION DAILY NVDA BULL 1.5X SHARES LONG 267 92.63 8/1 10:39 92.43 0.6%
Trade id #148784769
Max drawdown($435)
Time7/31/24 13:42
Quant open267
Worst price91.00
Drawdown as % of equity-0.60%
 ($59)
Includes Typical Broker Commissions trade costs of $5.34
6/28/24 13:39 TQQQ PROSHARES ULTRAPRO QQQ LONG 1,386 73.10 7/30 13:02 66.08 15.29%
Trade id #148533231
Max drawdown($11,048)
Time7/30/24 13:02
Quant open940
Worst price61.35
Drawdown as % of equity-15.29%
 ($9,745)
Includes Typical Broker Commissions trade costs of $15.92
6/24/24 14:49 TQQQ PROSHARES ULTRAPRO QQQ LONG 730 73.44 6/28 12:14 75.14 0.45%
Trade id #148486823
Max drawdown($350)
Time6/24/24 15:57
Quant open367
Worst price71.80
Drawdown as % of equity-0.45%
 $1,230
Includes Typical Broker Commissions trade costs of $9.80
6/14/24 9:47 TSLL DIREXION DAILY TSLA BULL 1.5X SHARES LONG 1,687 8.01 6/28 12:13 9.16 1.11%
Trade id #148408179
Max drawdown($875)
Time6/14/24 11:53
Quant open1,687
Worst price7.49
Drawdown as % of equity-1.11%
 $1,937
Includes Typical Broker Commissions trade costs of $5.00
6/18/24 10:49 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,500 8.16 6/24 14:45 8.61 0.23%
Trade id #148438562
Max drawdown($176)
Time6/20/24 0:00
Quant open1,500
Worst price8.04
Drawdown as % of equity-0.23%
 $674
Includes Typical Broker Commissions trade costs of $5.00
6/13/24 13:37 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 3,146 8.57 6/17 13:48 8.11 1.88%
Trade id #148402448
Max drawdown($1,476)
Time6/17/24 13:40
Quant open3,146
Worst price8.10
Drawdown as % of equity-1.88%
 ($1,448)
Includes Typical Broker Commissions trade costs of $7.50
6/6/24 10:38 AMZU DIREXION DAILY AMZN BULL 1.5X SHARES LONG 1,611 34.15 6/13 12:31 33.84 0.73%
Trade id #148344911
Max drawdown($583)
Time6/13/24 12:31
Quant open1,611
Worst price33.79
Drawdown as % of equity-0.73%
 ($509)
Includes Typical Broker Commissions trade costs of $5.00
6/3/24 9:40 SPXL DIREXION DAILY S&P500 BULL 3X LONG 200 134.38 6/6 10:08 138.81 1.27%
Trade id #148314020
Max drawdown($939)
Time6/3/24 13:11
Quant open200
Worst price129.68
Drawdown as % of equity-1.27%
 $882
Includes Typical Broker Commissions trade costs of $4.00
6/3/24 10:21 AAPU DIREXION DAILY AAPL BULL 1.5X SHARES LONG 400 28.50 6/6 10:08 28.68 0.33%
Trade id #148315018
Max drawdown($247)
Time6/3/24 13:11
Quant open400
Worst price27.88
Drawdown as % of equity-0.33%
 $64
Includes Typical Broker Commissions trade costs of $8.00
5/31/24 15:28 NVDL GRANITESHARES 1.5X LONG NVDA DAILY ETF LONG 600 57.61 6/6 10:01 66.90 0.05%
Trade id #148304345
Max drawdown($33)
Time5/31/24 15:31
Quant open400
Worst price55.96
Drawdown as % of equity-0.05%
 $5,566
Includes Typical Broker Commissions trade costs of $8.50
5/31/24 10:20 NVDL GRANITESHARES 1.5X LONG NVDA DAILY ETF LONG 400 57.26 5/31 10:33 56.19 0.85%
Trade id #148299611
Max drawdown($631)
Time5/31/24 10:33
Quant open400
Worst price55.68
Drawdown as % of equity-0.85%
 ($437)
Includes Typical Broker Commissions trade costs of $8.00
5/31/24 9:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 400 62.02 5/31 10:32 60.46 0.86%
Trade id #148299144
Max drawdown($640)
Time5/31/24 10:32
Quant open400
Worst price60.42
Drawdown as % of equity-0.86%
 ($633)
Includes Typical Broker Commissions trade costs of $8.00
5/28/24 9:36 QLD PROSHARES ULTRA QQQ LONG 85 91.97 5/30 15:50 88.64 0.37%
Trade id #148269127
Max drawdown($287)
Time5/30/24 15:49
Quant open85
Worst price88.59
Drawdown as % of equity-0.37%
 ($285)
Includes Typical Broker Commissions trade costs of $1.70
5/6/24 10:03 NVDL GRANITESHARES 1.5X LONG NVDA DAILY ETF LONG 600 51.63 5/30 15:50 56.88 1.32%
Trade id #148099458
Max drawdown($891)
Time5/9/24 0:00
Quant open300
Worst price37.63
Drawdown as % of equity-1.32%
 $3,143
Includes Typical Broker Commissions trade costs of $8.50
4/26/24 15:42 TQQQ PROSHARES ULTRAPRO QQQ LONG 800 55.61 5/30 15:50 63.48 5.66%
Trade id #148026134
Max drawdown($3,529)
Time5/2/24 0:00
Quant open800
Worst price51.20
Drawdown as % of equity-5.66%
 $6,281
Includes Typical Broker Commissions trade costs of $10.50
Next

Statistics

  • Strategy began
    10/17/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    797.46
  • Age
    27 months ago
  • What it trades
    Stocks
  • # Trades
    133
  • # Profitable
    88
  • % Profitable
    66.20%
  • Avg trade duration
    7.3 days
  • Max peak-to-valley drawdown
    26.64%
  • drawdown period
    Jan 05, 2023 - Feb 03, 2023
  • Annual Return (Compounded)
    71.6%
  • Avg win
    $1,377
  • Avg loss
    $1,396
  • Model Account Values (Raw)
  • Cash
    $22,828
  • Margin Used
    $0
  • Buying Power
    $22,291
  • Ratios
  • W:L ratio
    1.98:1
  • Sharpe Ratio
    1.45
  • Sortino Ratio
    2.42
  • Calmar Ratio
    3.192
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    165.61%
  • Correlation to SP500
    -0.00300
  • Return Percent SP500 (cumu) during strategy life
    61.25%
  • Return Statistics
  • Ann Return (w trading costs)
    71.6%
  • Slump
  • Current Slump as Pcnt Equity
    9.30%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.21%
  • Return Statistics
  • Return Pcnt Since TOS Status
    -14.400%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.716%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    74.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    42.50%
  • Chance of 20% account loss
    15.00%
  • Chance of 30% account loss
    6.50%
  • Chance of 40% account loss
    0.50%
  • 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
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    911
  • Popularity (Last 6 weeks)
    995
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    977
  • Popularity (7 days, Percentile 1000 scale)
    991
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    55%
  • Win / Loss
  • Avg Loss
    $1,397
  • Avg Win
    $1,377
  • Sum Trade PL (losers)
    $62,859.000
  • Age
  • Num Months filled monthly returns table
    27
  • Win / Loss
  • Sum Trade PL (winners)
    $121,217.000
  • # Winners
    88
  • Num Months Winners
    20
  • Dividends
  • Dividends Received in Model Acct
    1609
  • AUM
  • AUM (AutoTrader live capital)
    6077450
  • Win / Loss
  • # Losers
    45
  • % Winners
    66.2%
  • Frequency
  • Avg Position Time (mins)
    10558.80
  • Avg Position Time (hrs)
    175.98
  • Avg Trade Length
    7.3 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    2.02
  • Daily leverage (max)
    3.64
  • Regression
  • Alpha
    0.16
  • Beta
    -0.01
  • Treynor Index
    -22.17
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.17
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    2.204
  • 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
    0.384
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.036
  • Hold-and-Hope Ratio
    0.454
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.64114
  • SD
    0.31465
  • Sharpe ratio (Glass type estimate)
    2.03767
  • Sharpe ratio (Hedges UMVUE)
    1.97037
  • df
    23.00000
  • t
    2.88170
  • p
    0.00421
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.51440
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.52346
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47206
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.46868
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.15193
  • Upside Potential Ratio
    8.12455
  • Upside part of mean
    0.84672
  • Downside part of mean
    -0.20558
  • Upside SD
    0.34390
  • Downside SD
    0.10422
  • N nonnegative terms
    15.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.22171
  • Mean of criterion
    0.64114
  • SD of predictor
    0.10317
  • SD of criterion
    0.31465
  • Covariance
    -0.00016
  • r
    -0.00487
  • b (slope, estimate of beta)
    -0.01485
  • a (intercept, estimate of alpha)
    0.64443
  • Mean Square Error
    0.10350
  • DF error
    22.00000
  • t(b)
    -0.02284
  • p(b)
    0.50901
  • t(a)
    2.39289
  • p(a)
    0.01284
  • Lowerbound of 95% confidence interval for beta
    -1.36327
  • Upperbound of 95% confidence interval for beta
    1.33357
  • Lowerbound of 95% confidence interval for alpha
    0.08591
  • Upperbound of 95% confidence interval for alpha
    1.20295
  • Treynor index (mean / b)
    -43.18210
  • Jensen alpha (a)
    0.64443
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.58074
  • SD
    0.29751
  • Sharpe ratio (Glass type estimate)
    1.95201
  • Sharpe ratio (Hedges UMVUE)
    1.88754
  • df
    23.00000
  • t
    2.76057
  • p
    0.00557
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.43874
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.42896
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39816
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.37693
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.41905
  • Upside Potential Ratio
    7.38547
  • Upside part of mean
    0.79147
  • Downside part of mean
    -0.21073
  • Upside SD
    0.31850
  • Downside SD
    0.10716
  • N nonnegative terms
    15.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.21423
  • Mean of criterion
    0.58074
  • SD of predictor
    0.10182
  • SD of criterion
    0.29751
  • Covariance
    -0.00015
  • r
    -0.00500
  • b (slope, estimate of beta)
    -0.01460
  • a (intercept, estimate of alpha)
    0.58386
  • Mean Square Error
    0.09253
  • DF error
    22.00000
  • t(b)
    -0.02344
  • p(b)
    0.50924
  • t(a)
    2.30655
  • p(a)
    0.01544
  • Lowerbound of 95% confidence interval for beta
    -1.30653
  • Upperbound of 95% confidence interval for beta
    1.27732
  • Lowerbound of 95% confidence interval for alpha
    0.05890
  • Upperbound of 95% confidence interval for alpha
    1.10883
  • Treynor index (mean / b)
    -39.77010
  • Jensen alpha (a)
    0.58386
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08869
  • Expected Shortfall on VaR
    0.12037
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03357
  • Expected Shortfall on VaR
    0.06251
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.92453
  • Quartile 1
    0.96534
  • Median
    1.05961
  • Quartile 3
    1.13133
  • Maximum
    1.22210
  • Mean of quarter 1
    0.94730
  • Mean of quarter 2
    1.01314
  • Mean of quarter 3
    1.09341
  • Mean of quarter 4
    1.16918
  • Inter Quartile Range
    0.16598
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.07977
  • VaR(95%) (moments method)
    0.05733
  • Expected Shortfall (moments method)
    0.06908
  • Extreme Value Index (regression method)
    0.40872
  • VaR(95%) (regression method)
    0.05505
  • Expected Shortfall (regression method)
    0.07973
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.03349
  • Quartile 1
    0.03902
  • Median
    0.04047
  • Quartile 3
    0.06989
  • Maximum
    0.09572
  • Mean of quarter 1
    0.03582
  • Mean of quarter 2
    0.04018
  • Mean of quarter 3
    0.06430
  • Mean of quarter 4
    0.08560
  • Inter Quartile Range
    0.03086
  • 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)
    1.18900
  • Compounded annual return (geometric extrapolation)
    0.83793
  • Calmar ratio (compounded annual return / max draw down)
    8.75395
  • Compounded annual return / average of 25% largest draw downs
    9.78927
  • Compounded annual return / Expected Shortfall lognormal
    6.96127
  • 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
    0.63194
  • SD
    0.35910
  • Sharpe ratio (Glass type estimate)
    1.75981
  • Sharpe ratio (Hedges UMVUE)
    1.75737
  • df
    543.00000
  • t
    2.53579
  • p
    0.00575
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39484
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.12326
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.39318
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.12157
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.14833
  • Upside Potential Ratio
    10.43390
  • Upside part of mean
    2.09432
  • Downside part of mean
    -1.46238
  • Upside SD
    0.29992
  • Downside SD
    0.20072
  • N nonnegative terms
    296.00000
  • N negative terms
    248.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    544.00000
  • Mean of predictor
    0.21261
  • Mean of criterion
    0.63194
  • SD of predictor
    0.14370
  • SD of criterion
    0.35910
  • Covariance
    -0.00358
  • r
    -0.06944
  • b (slope, estimate of beta)
    -0.17353
  • a (intercept, estimate of alpha)
    0.66900
  • Mean Square Error
    0.12857
  • DF error
    542.00000
  • t(b)
    -1.62052
  • p(b)
    0.94715
  • t(a)
    2.67667
  • p(a)
    0.00383
  • Lowerbound of 95% confidence interval for beta
    -0.38387
  • Upperbound of 95% confidence interval for beta
    0.03682
  • Lowerbound of 95% confidence interval for alpha
    0.17799
  • Upperbound of 95% confidence interval for alpha
    1.15968
  • Treynor index (mean / b)
    -3.64177
  • Jensen alpha (a)
    0.66884
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56969
  • SD
    0.34754
  • Sharpe ratio (Glass type estimate)
    1.63924
  • Sharpe ratio (Hedges UMVUE)
    1.63697
  • df
    543.00000
  • t
    2.36206
  • p
    0.00926
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.27486
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.00222
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27330
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.00064
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.78040
  • Upside Potential Ratio
    10.01780
  • Upside part of mean
    2.05262
  • Downside part of mean
    -1.48292
  • Upside SD
    0.28252
  • Downside SD
    0.20490
  • N nonnegative terms
    296.00000
  • N negative terms
    248.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    544.00000
  • Mean of predictor
    0.20222
  • Mean of criterion
    0.56969
  • SD of predictor
    0.14353
  • SD of criterion
    0.34754
  • Covariance
    -0.00306
  • r
    -0.06137
  • b (slope, estimate of beta)
    -0.14859
  • a (intercept, estimate of alpha)
    0.59974
  • Mean Square Error
    0.12055
  • DF error
    542.00000
  • t(b)
    -1.43139
  • p(b)
    0.92355
  • t(a)
    2.47965
  • p(a)
    0.00673
  • Lowerbound of 95% confidence interval for beta
    -0.35251
  • Upperbound of 95% confidence interval for beta
    0.05533
  • Lowerbound of 95% confidence interval for alpha
    0.12463
  • Upperbound of 95% confidence interval for alpha
    1.07485
  • Treynor index (mean / b)
    -3.83397
  • Jensen alpha (a)
    0.59974
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03260
  • Expected Shortfall on VaR
    0.04121
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01201
  • Expected Shortfall on VaR
    0.02474
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    544.00000
  • Minimum
    0.91809
  • Quartile 1
    0.99375
  • Median
    1.00167
  • Quartile 3
    1.01048
  • Maximum
    1.27472
  • Mean of quarter 1
    0.97959
  • Mean of quarter 2
    0.99845
  • Mean of quarter 3
    1.00578
  • Mean of quarter 4
    1.02625
  • Inter Quartile Range
    0.01674
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.04228
  • Mean of outliers low
    0.95505
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.04779
  • Mean of outliers high
    1.05641
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11075
  • VaR(95%) (moments method)
    0.01730
  • Expected Shortfall (moments method)
    0.02572
  • Extreme Value Index (regression method)
    -0.14104
  • VaR(95%) (regression method)
    0.02107
  • Expected Shortfall (regression method)
    0.02824
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    37.00000
  • Minimum
    0.00050
  • Quartile 1
    0.00501
  • Median
    0.02035
  • Quartile 3
    0.05881
  • Maximum
    0.25620
  • Mean of quarter 1
    0.00284
  • Mean of quarter 2
    0.01233
  • Mean of quarter 3
    0.04627
  • Mean of quarter 4
    0.13511
  • Inter Quartile Range
    0.05380
  • 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
    0.08108
  • Mean of outliers high
    0.21138
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.10576
  • VaR(95%) (moments method)
    0.13153
  • Expected Shortfall (moments method)
    0.18735
  • Extreme Value Index (regression method)
    0.52816
  • VaR(95%) (regression method)
    0.12071
  • Expected Shortfall (regression method)
    0.23935
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.18404
  • Compounded annual return (geometric extrapolation)
    0.81776
  • Calmar ratio (compounded annual return / max draw down)
    3.19191
  • Compounded annual return / average of 25% largest draw downs
    6.05271
  • Compounded annual return / Expected Shortfall lognormal
    19.84410
  • 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
    0.14788
  • SD
    0.29377
  • Sharpe ratio (Glass type estimate)
    0.50340
  • Sharpe ratio (Hedges UMVUE)
    0.50049
  • df
    130.00000
  • t
    0.35596
  • p
    0.48440
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.27005
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.27492
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.27199
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.27296
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.69525
  • Upside Potential Ratio
    8.17286
  • Upside part of mean
    1.73842
  • Downside part of mean
    -1.59054
  • Upside SD
    0.20120
  • Downside SD
    0.21271
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14272
  • Mean of criterion
    0.14788
  • SD of predictor
    0.14146
  • SD of criterion
    0.29377
  • Covariance
    0.01179
  • r
    0.28364
  • b (slope, estimate of beta)
    0.58905
  • a (intercept, estimate of alpha)
    0.06381
  • Mean Square Error
    0.07997
  • DF error
    129.00000
  • t(b)
    3.35951
  • p(b)
    0.32188
  • t(a)
    0.15925
  • p(a)
    0.49107
  • Lowerbound of 95% confidence interval for beta
    0.24214
  • Upperbound of 95% confidence interval for beta
    0.93595
  • Lowerbound of 95% confidence interval for alpha
    -0.72902
  • Upperbound of 95% confidence interval for alpha
    0.85665
  • Treynor index (mean / b)
    0.25106
  • Jensen alpha (a)
    0.06381
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10484
  • SD
    0.29472
  • Sharpe ratio (Glass type estimate)
    0.35575
  • Sharpe ratio (Hedges UMVUE)
    0.35369
  • df
    130.00000
  • t
    0.25155
  • p
    0.48897
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.41700
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.12729
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.41845
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.12583
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.48369
  • Upside Potential Ratio
    7.92762
  • Upside part of mean
    1.71841
  • Downside part of mean
    -1.61356
  • Upside SD
    0.19812
  • Downside SD
    0.21676
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13271
  • Mean of criterion
    0.10484
  • SD of predictor
    0.14181
  • SD of criterion
    0.29472
  • Covariance
    0.01198
  • r
    0.28668
  • b (slope, estimate of beta)
    0.59579
  • a (intercept, estimate of alpha)
    0.02578
  • Mean Square Error
    0.08034
  • DF error
    129.00000
  • t(b)
    3.39866
  • p(b)
    0.32003
  • t(a)
    0.06420
  • p(a)
    0.49640
  • VAR (95 Confidence Intrvl)
    0.03300
  • Lowerbound of 95% confidence interval for beta
    0.24895
  • Upperbound of 95% confidence interval for beta
    0.94263
  • Lowerbound of 95% confidence interval for alpha
    -0.76864
  • Upperbound of 95% confidence interval for alpha
    0.82019
  • Treynor index (mean / b)
    0.17598
  • Jensen alpha (a)
    0.02578
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02912
  • Expected Shortfall on VaR
    0.03645
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01343
  • Expected Shortfall on VaR
    0.02720
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94519
  • Quartile 1
    0.99251
  • Median
    1.00184
  • Quartile 3
    1.00837
  • Maximum
    1.05489
  • Mean of quarter 1
    0.97764
  • Mean of quarter 2
    0.99860
  • Mean of quarter 3
    1.00470
  • Mean of quarter 4
    1.02187
  • Inter Quartile Range
    0.01586
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.95517
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.03818
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.09623
  • VaR(95%) (moments method)
    0.01930
  • Expected Shortfall (moments method)
    0.02550
  • Extreme Value Index (regression method)
    -0.19061
  • VaR(95%) (regression method)
    0.02455
  • Expected Shortfall (regression method)
    0.03208
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01067
  • Quartile 1
    0.04428
  • Median
    0.07789
  • Quartile 3
    0.15063
  • Maximum
    0.22338
  • Mean of quarter 1
    0.01067
  • Mean of quarter 2
    0.07789
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.22338
  • Inter Quartile Range
    0.10635
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -344297000
  • Max Equity Drawdown (num days)
    29
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13726
  • Compounded annual return (geometric extrapolation)
    0.14197
  • Calmar ratio (compounded annual return / max draw down)
    0.63554
  • Compounded annual return / average of 25% largest draw downs
    0.63554
  • Compounded annual return / Expected Shortfall lognormal
    3.89449

Strategy Description

I will trade leveraged ETFs using the rules I have developed over the past 20+ years of studying the markets. These rules help make both bull and bear market years profitable. Using leveraged products means there will potentially be wider swings than most systems however with good strategy management, the gains should far outweigh the losses.
I will send a message to subscribers Monday - Thursday evenings and Sundays to communicate about the strategy position and the market in general.
For those not subscribed, the position closings will have a 72 hour delay.
My goal is to be the best stock trading system in terms of average yearly returns that exists on collective2!!!
When my account is doubled (50k to 100k), I will rebalance back to 50k...each time.
Double #1 on collective2 occurred 10/2023. System was rebalanced.
1st full year profit, 20203, was 149.8%
THE PRICE OF THIS SYSTEM WILL INCREASE TO $75 ON 1/1/2024
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-10-17
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 2.3%
Rank # 
#17
# Trades
133
# Profitable
88
% Profitable
66.2%
Net Dividends
$1,608
Correlation S&P500
-0.003
Sharpe Ratio
1.45
Sortino Ratio
2.42
Beta
-0.01
Alpha
0.16
Leverage
2.02 Average
3.64 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

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.