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ETFX2
(132067605)

Created by: ETFX2 ETFX2
Started: 11/2020
Stocks
Last trade: 905 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 $95.00 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.
-4.9%
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.

(71.5%)
Max Drawdown
37
Num Trades
73.0%
Win Trades
0.9 : 1
Profit Factor
47.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                      +7.8%+3.3%+11.4%
2021+2.5%+1.7%+0.6%+4.0%+30.0%+2.4%(1.4%)(1.8%)(9%)+9.1%(6.8%)(10.5%)+16.3%
2022(13.2%)(1.4%)(0.6%)(16.2%)+0.6%(8.4%)+11.9%(2.5%)(12.9%)+2.8%+0.4%(4.7%)(38.6%)
2023+15.0%(3.4%)(3.6%)  -  +4.2%+7.5%+2.8%(6.8%)(11.3%)(10.3%)+14.8%+8.9%+14.4%
2024(4.2%)+0.9%(0.6%)(4%)                                                (7.7%)

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 100 hours.

Trading Record

This strategy has placed 19 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1113 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/8/21 10:34 ARKK ARK INNOVATION ETF LONG 30 122.21 11/2 9:53 124.50 1.7%
Trade id #136380218
Max drawdown($475)
Time10/4/21 0:00
Quant open30
Worst price106.35
Drawdown as % of equity-1.70%
 $68
Includes Typical Broker Commissions trade costs of $0.60
7/8/21 12:17 SNOW SNOWFLAKE INC LONG 20 248.48 10/22 10:17 303.38 0.22%
Trade id #136384245
Max drawdown($64)
Time7/19/21 0:00
Quant open10
Worst price242.01
Drawdown as % of equity-0.22%
 $1,098
Includes Typical Broker Commissions trade costs of $0.40
7/6/21 10:22 GBTC GRAYSCALE BITCOIN TRUST (BTC) LONG 100 29.08 10/18 9:31 45.66 1.71%
Trade id #136342257
Max drawdown($507)
Time7/20/21 0:00
Quant open100
Worst price24.01
Drawdown as % of equity-1.71%
 $1,656
Includes Typical Broker Commissions trade costs of $2.00
6/30/21 9:55: Rescaled upward by +-525% of previous Model Account size
6/29/21 20:29: Rescaled downward to 40% of previous Model Account size
6/29/21 20:16: Rescaled downward to 40% of previous Model Account size
6/29/21 20:05: Rescaled downward to 40% of previous Model Account size
3/12/21 9:30 FNGO MICROSECTORS FANG 2X LEVERAGED ETNS DUE 1/8/38 LONG 64 38.13 6/29 9:34 46.43 0.47%
Trade id #134583987
Max drawdown($106)
Time3/26/21 0:00
Quant open0
Worst price33.58
Drawdown as % of equity-0.47%
 $530
Includes Typical Broker Commissions trade costs of $1.28
3/31/21 9:30 MVV PROSHARES ULTRA MIDCAP400 LONG 48 61.79 6/25 9:31 64.54 0.07%
Trade id #134944357
Max drawdown($23)
Time6/18/21 0:00
Quant open0
Worst price60.16
Drawdown as % of equity-0.07%
 $131
Includes Typical Broker Commissions trade costs of $0.96
4/13/21 9:30 HAIL SPDR S&P KENSHO SMART MOBILITY ETF LONG 42 61.18 6/23 13:22 61.58 0.43%
Trade id #135121240
Max drawdown($96)
Time5/13/21 0:00
Quant open0
Worst price55.45
Drawdown as % of equity-0.43%
 $16
Includes Typical Broker Commissions trade costs of $0.84
4/20/21 9:31 ARKF ARK FINTECH INNOVATION ETF LONG 48 52.48 6/23 10:37 52.98 0.71%
Trade id #135228043
Max drawdown($160)
Time5/13/21 0:00
Quant open0
Worst price44.10
Drawdown as % of equity-0.71%
 $23
Includes Typical Broker Commissions trade costs of $0.96
4/8/21 9:30 EET PROSHARES ULTRA MSCI EMERGING LONG 24 103.44 6/23 9:53 106.10 0.38%
Trade id #135058872
Max drawdown($85)
Time5/13/21 0:00
Quant open0
Worst price94.53
Drawdown as % of equity-0.38%
 $64
Includes Typical Broker Commissions trade costs of $0.48
2/24/21 9:30 CLDL DIREXION DAILY CLOUD COMPUTING BULL 2X SHARES LONG 80 26.52 6/22 15:42 26.76 1.14%
Trade id #134249958
Max drawdown($255)
Time5/13/21 0:00
Quant open38
Worst price18.53
Drawdown as % of equity-1.14%
 $17
Includes Typical Broker Commissions trade costs of $1.60
5/6/21 9:30 DUG PROSHARES ULTRASHORT ENERGY TRADING LONG 180 13.19 5/25 10:54 13.24 0.38%
Trade id #135482117
Max drawdown($91)
Time5/10/21 0:00
Quant open75
Worst price11.92
Drawdown as % of equity-0.38%
 $5
Includes Typical Broker Commissions trade costs of $3.60
11/6/20 9:31 QLD PROSHARES ULTRA QQQ LONG 120 57.27 5/24/21 9:44 104.35 n/a $5,647
Includes Typical Broker Commissions trade costs of $2.40
3/29/21 9:30 UWM PROSHARES ULTRA RUSSELL2000 LONG 52 54.76 5/24 9:42 98.73 n/a $2,285
Includes Typical Broker Commissions trade costs of $1.04
3/22/21 9:30 USD PROSHARES ULTRA SEMICONDUCTORS LONG 20 115.68 5/5 9:30 121.58 0.45%
Trade id #134760861
Max drawdown($102)
Time3/25/21 0:00
Quant open0
Worst price102.86
Drawdown as % of equity-0.45%
 $118
Includes Typical Broker Commissions trade costs of $0.40
4/22/21 9:30 AGQ PROSHARES ULTRA SILVER LONG 48 47.70 5/4 9:30 49.82 0.21%
Trade id #135265813
Max drawdown($51)
Time4/22/21 14:02
Quant open0
Worst price45.00
Drawdown as % of equity-0.21%
 $101
Includes Typical Broker Commissions trade costs of $0.96
11/6/20 9:31 SSO PROSHARES ULTRA S&P 500 LONG 20 79.74 4/20/21 9:31 97.23 0.04%
Trade id #132114183
Max drawdown($8)
Time11/6/20 9:57
Quant open0
Worst price78.70
Drawdown as % of equity-0.04%
 $350
Includes Typical Broker Commissions trade costs of $0.40
2/4/21 9:30 UYM PROSHARES ULTRA MATERIALS TRADING LONG 32 73.83 4/7 9:30 86.61 0.11%
Trade id #133845189
Max drawdown($25)
Time2/4/21 10:04
Quant open0
Worst price71.86
Drawdown as % of equity-0.11%
 $408
Includes Typical Broker Commissions trade costs of $0.64
2/18/21 9:30 UGL PROSHARES ULTRA GOLD LONG 30 58.93 3/30 9:30 52.49 0.36%
Trade id #134130602
Max drawdown($83)
Time3/8/21 0:00
Quant open0
Worst price51.97
Drawdown as % of equity-0.36%
 ($194)
Includes Typical Broker Commissions trade costs of $0.60
3/4/21 9:30 EET PROSHARES ULTRA MSCI EMERGING LONG 20 105.15 3/25 9:30 93.90 0.39%
Trade id #134412643
Max drawdown($89)
Time3/25/21 9:30
Quant open0
Worst price93.90
Drawdown as % of equity-0.39%
 ($225)
Includes Typical Broker Commissions trade costs of $0.40
1/29/21 9:30 DDM PROSHARES ULTRA DOW30 LONG 32 55.73 3/19 9:30 63.34 0.11%
Trade id #133699387
Max drawdown($25)
Time1/29/21 13:17
Quant open0
Worst price53.78
Drawdown as % of equity-0.11%
 $243
Includes Typical Broker Commissions trade costs of $0.64
12/29/20 9:31 DIG PROSHARES ULTRA ENERGY TRADING LONG 32 73.75 3/9/21 9:30 104.70 0.14%
Trade id #133066704
Max drawdown($31)
Time12/29/20 13:06
Quant open0
Worst price71.30
Drawdown as % of equity-0.14%
 $990
Includes Typical Broker Commissions trade costs of $0.64
11/10/20 9:32 BIB PROSHARES ULTRA NASDAQ BIOTECH LONG 20 71.51 3/3/21 9:30 85.94 0.06%
Trade id #132173886
Max drawdown($12)
Time11/10/20 10:48
Quant open0
Worst price69.92
Drawdown as % of equity-0.06%
 $289
Includes Typical Broker Commissions trade costs of $0.40
1/19/21 9:30 UPW PROSHARES ULTRA UTILITIES LONG 40 57.82 2/24 9:30 53.34 0.4%
Trade id #133451830
Max drawdown($95)
Time2/22/21 0:00
Quant open0
Worst price51.84
Drawdown as % of equity-0.40%
 ($180)
Includes Typical Broker Commissions trade costs of $0.80
11/5/20 9:31 USD PROSHARES ULTRA SEMICONDUCTORS LONG 20 85.53 2/9/21 9:31 104.54 0.17%
Trade id #132089199
Max drawdown($35)
Time11/10/20 0:00
Quant open0
Worst price81.06
Drawdown as % of equity-0.17%
 $380
Includes Typical Broker Commissions trade costs of $0.40
11/5/20 9:31 EET PROSHARES ULTRA MSCI EMERGING LONG 20 80.43 2/4/21 9:31 100.36 0.04%
Trade id #132089192
Max drawdown($8)
Time11/5/20 10:31
Quant open0
Worst price79.42
Drawdown as % of equity-0.04%
 $399
Includes Typical Broker Commissions trade costs of $0.40
12/17/20 9:31 AGQ PROSHARES ULTRA SILVER LONG 32 49.69 1/28/21 9:30 51.68 0.25%
Trade id #132883746
Max drawdown($57)
Time1/8/21 0:00
Quant open0
Worst price43.14
Drawdown as % of equity-0.25%
 $63
Includes Typical Broker Commissions trade costs of $0.64
12/9/20 9:30 TBT PROSHARES ULTRASHORT 20+ YEAR LONG 100 16.74 1/19/21 9:33 17.81 0.11%
Trade id #132717672
Max drawdown($23)
Time12/11/20 0:00
Quant open38
Worst price16.14
Drawdown as % of equity-0.11%
 $105
Includes Typical Broker Commissions trade costs of $2.00
11/10/20 9:32 DDM PROSHARES ULTRA DOW30 LONG 40 51.83 12/29 9:31 56.41 0.11%
Trade id #132173889
Max drawdown($22)
Time11/12/20 0:00
Quant open0
Worst price50.44
Drawdown as % of equity-0.11%
 $182
Includes Typical Broker Commissions trade costs of $0.80
11/4/20 9:31 MVV PROSHARES ULTRA MIDCAP400 LONG 60 34.66 12/16 9:30 43.13 0.02%
Trade id #132068315
Max drawdown($3)
Time11/4/20 9:38
Quant open38
Worst price34.51
Drawdown as % of equity-0.02%
 $507
Includes Typical Broker Commissions trade costs of $1.20
11/4/20 9:31 UWM PROSHARES ULTRA RUSSELL2000 LONG 40 58.21 11/24 9:30 69.88 n/a $466
Includes Typical Broker Commissions trade costs of $0.80
Next

Statistics

  • Strategy began
    11/4/2020
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    1263.93
  • Age
    42 months ago
  • What it trades
    Stocks
  • # Trades
    37
  • # Profitable
    27
  • % Profitable
    73.00%
  • Avg trade duration
    275.8 days
  • Max peak-to-valley drawdown
    71.48%
  • drawdown period
    July 12, 2021 - Dec 21, 2023
  • Annual Return (Compounded)
    -4.9%
  • Avg win
    $611.26
  • Avg loss
    $1,870
  • Model Account Values (Raw)
  • Cash
    $19,283
  • Margin Used
    $0
  • Buying Power
    $9,756
  • Ratios
  • W:L ratio
    0.89:1
  • Sharpe Ratio
    -0.02
  • Sortino Ratio
    -0.04
  • Calmar Ratio
    -0.019
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -60.32%
  • Correlation to SP500
    0.48370
  • Return Percent SP500 (cumu) during strategy life
    46.18%
  • Return Statistics
  • Ann Return (w trading costs)
    -4.9%
  • Slump
  • Current Slump as Pcnt Equity
    94.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.80%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.049%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -3.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    9.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,871
  • Avg Win
    $611
  • Sum Trade PL (losers)
    $18,708.000
  • Age
  • Num Months filled monthly returns table
    42
  • Win / Loss
  • Sum Trade PL (winners)
    $16,504.000
  • # Winners
    27
  • Num Months Winners
    21
  • Dividends
  • Dividends Received in Model Acct
    85
  • Win / Loss
  • # Losers
    10
  • % Winners
    73.0%
  • Frequency
  • Avg Position Time (mins)
    397194.00
  • Avg Position Time (hrs)
    6619.91
  • Avg Trade Length
    275.8 days
  • Last Trade Ago
    901
  • Leverage
  • Daily leverage (average)
    0.88
  • Daily leverage (max)
    1.54
  • Regression
  • Alpha
    -0.03
  • Beta
    1.05
  • Treynor Index
    -0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.24
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.13
  • Avg(MAE) / Avg(PL) - All trades
    -2.595
  • 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
    0.17
  • Avg(MAE) / Avg(PL) - Winning trades
    0.451
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.195
  • Hold-and-Hope Ratio
    -1.321
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05145
  • SD
    0.36077
  • Sharpe ratio (Glass type estimate)
    -0.14260
  • Sharpe ratio (Hedges UMVUE)
    -0.13743
  • df
    21.00000
  • t
    -0.19308
  • p
    0.52679
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.58908
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.30723
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.58556
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.31069
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.24799
  • Upside Potential Ratio
    2.01475
  • Upside part of mean
    0.41796
  • Downside part of mean
    -0.46941
  • Upside SD
    0.28535
  • Downside SD
    0.20745
  • N nonnegative terms
    8.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.13814
  • Mean of criterion
    -0.05145
  • SD of predictor
    0.15960
  • SD of criterion
    0.36077
  • Covariance
    0.02768
  • r
    0.48065
  • b (slope, estimate of beta)
    1.08648
  • a (intercept, estimate of alpha)
    -0.20154
  • Mean Square Error
    0.10509
  • DF error
    20.00000
  • t(b)
    2.45128
  • p(b)
    0.25967
  • t(a)
    -0.81552
  • p(a)
    0.58970
  • Lowerbound of 95% confidence interval for beta
    0.16192
  • Upperbound of 95% confidence interval for beta
    2.01104
  • Lowerbound of 95% confidence interval for alpha
    -0.71704
  • Upperbound of 95% confidence interval for alpha
    0.31396
  • Treynor index (mean / b)
    -0.04735
  • Jensen alpha (a)
    -0.20154
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10876
  • SD
    0.34000
  • Sharpe ratio (Glass type estimate)
    -0.31989
  • Sharpe ratio (Hedges UMVUE)
    -0.30830
  • df
    21.00000
  • t
    -0.43313
  • p
    0.55982
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.76687
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.13457
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.75883
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.14222
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.49484
  • Upside Potential Ratio
    1.74146
  • Upside part of mean
    0.38276
  • Downside part of mean
    -0.49152
  • Upside SD
    0.25105
  • Downside SD
    0.21979
  • N nonnegative terms
    8.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.12521
  • Mean of criterion
    -0.10876
  • SD of predictor
    0.15752
  • SD of criterion
    0.34000
  • Covariance
    0.02788
  • r
    0.52066
  • b (slope, estimate of beta)
    1.12386
  • a (intercept, estimate of alpha)
    -0.24948
  • Mean Square Error
    0.08848
  • DF error
    20.00000
  • t(b)
    2.72730
  • p(b)
    0.23967
  • t(a)
    -1.10555
  • p(a)
    0.61999
  • Lowerbound of 95% confidence interval for beta
    0.26428
  • Upperbound of 95% confidence interval for beta
    1.98344
  • Lowerbound of 95% confidence interval for alpha
    -0.72019
  • Upperbound of 95% confidence interval for alpha
    0.22124
  • Treynor index (mean / b)
    -0.09678
  • Jensen alpha (a)
    -0.24948
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15676
  • Expected Shortfall on VaR
    0.19012
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10256
  • Expected Shortfall on VaR
    0.15672
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.85201
  • Quartile 1
    0.94749
  • Median
    0.98036
  • Quartile 3
    1.04185
  • Maximum
    1.34612
  • Mean of quarter 1
    0.89968
  • Mean of quarter 2
    0.96407
  • Mean of quarter 3
    1.00322
  • Mean of quarter 4
    1.12040
  • Inter Quartile Range
    0.09437
  • 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
    0.04545
  • Mean of outliers high
    1.34612
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.33013
  • VaR(95%) (moments method)
    0.10393
  • Expected Shortfall (moments method)
    0.10501
  • Extreme Value Index (regression method)
    -0.79412
  • VaR(95%) (regression method)
    0.12455
  • Expected Shortfall (regression method)
    0.13626
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01821
  • Quartile 1
    0.02432
  • Median
    0.05565
  • Quartile 3
    0.18387
  • Maximum
    0.48063
  • Mean of quarter 1
    0.01821
  • Mean of quarter 2
    0.02636
  • Mean of quarter 3
    0.08495
  • Mean of quarter 4
    0.48063
  • Inter Quartile Range
    0.15955
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.48063
  • 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)
    -0.07515
  • Compounded annual return (geometric extrapolation)
    -0.07767
  • Calmar ratio (compounded annual return / max draw down)
    -0.16161
  • Compounded annual return / average of 25% largest draw downs
    -0.16161
  • Compounded annual return / Expected Shortfall lognormal
    -0.40856
  • 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
    0.05661
  • SD
    0.44075
  • Sharpe ratio (Glass type estimate)
    0.12843
  • Sharpe ratio (Hedges UMVUE)
    0.12824
  • df
    493.00000
  • t
    0.17636
  • p
    0.43004
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.29902
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.55576
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.29915
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55562
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.20191
  • Upside Potential Ratio
    7.30660
  • Upside part of mean
    2.04848
  • Downside part of mean
    -1.99187
  • Upside SD
    0.33953
  • Downside SD
    0.28036
  • N nonnegative terms
    256.00000
  • N negative terms
    238.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    494.00000
  • Mean of predictor
    0.20913
  • Mean of criterion
    0.05661
  • SD of predictor
    0.21768
  • SD of criterion
    0.44075
  • Covariance
    0.04625
  • r
    0.48202
  • b (slope, estimate of beta)
    0.97600
  • a (intercept, estimate of alpha)
    -0.14800
  • Mean Square Error
    0.14943
  • DF error
    492.00000
  • t(b)
    12.20300
  • p(b)
    0.00000
  • t(a)
    -0.52303
  • p(a)
    0.69940
  • Lowerbound of 95% confidence interval for beta
    0.81885
  • Upperbound of 95% confidence interval for beta
    1.13314
  • Lowerbound of 95% confidence interval for alpha
    -0.70160
  • Upperbound of 95% confidence interval for alpha
    0.40660
  • Treynor index (mean / b)
    0.05800
  • Jensen alpha (a)
    -0.14750
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03801
  • SD
    0.43327
  • Sharpe ratio (Glass type estimate)
    -0.08773
  • Sharpe ratio (Hedges UMVUE)
    -0.08759
  • df
    493.00000
  • t
    -0.12046
  • p
    0.54792
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.51510
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33965
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51497
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.33978
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.13064
  • Upside Potential Ratio
    6.85655
  • Upside part of mean
    1.99493
  • Downside part of mean
    -2.03294
  • Upside SD
    0.32046
  • Downside SD
    0.29095
  • N nonnegative terms
    256.00000
  • N negative terms
    238.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    494.00000
  • Mean of predictor
    0.18529
  • Mean of criterion
    -0.03801
  • SD of predictor
    0.21840
  • SD of criterion
    0.43327
  • Covariance
    0.04650
  • r
    0.49138
  • b (slope, estimate of beta)
    0.97483
  • a (intercept, estimate of alpha)
    -0.21863
  • Mean Square Error
    0.14269
  • DF error
    492.00000
  • t(b)
    12.51440
  • p(b)
    0.00000
  • t(a)
    -0.79368
  • p(a)
    0.78612
  • Lowerbound of 95% confidence interval for beta
    0.82178
  • Upperbound of 95% confidence interval for beta
    1.12788
  • Lowerbound of 95% confidence interval for alpha
    -0.75988
  • Upperbound of 95% confidence interval for alpha
    0.32261
  • Treynor index (mean / b)
    -0.03899
  • Jensen alpha (a)
    -0.21863
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04321
  • Expected Shortfall on VaR
    0.05381
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01693
  • Expected Shortfall on VaR
    0.03494
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    494.00000
  • Minimum
    0.85171
  • Quartile 1
    0.99069
  • Median
    1.00059
  • Quartile 3
    1.00802
  • Maximum
    1.22799
  • Mean of quarter 1
    0.97350
  • Mean of quarter 2
    0.99641
  • Mean of quarter 3
    1.00382
  • Mean of quarter 4
    1.02755
  • Inter Quartile Range
    0.01733
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.04656
  • Mean of outliers low
    0.93767
  • Number of outliers high
    32.00000
  • Percentage of outliers high
    0.06478
  • Mean of outliers high
    1.06381
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.36771
  • VaR(95%) (moments method)
    0.02646
  • Expected Shortfall (moments method)
    0.04877
  • Extreme Value Index (regression method)
    0.17963
  • VaR(95%) (regression method)
    0.02656
  • Expected Shortfall (regression method)
    0.04156
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00030
  • Quartile 1
    0.00166
  • Median
    0.00565
  • Quartile 3
    0.01519
  • Maximum
    0.52836
  • Mean of quarter 1
    0.00077
  • Mean of quarter 2
    0.00402
  • Mean of quarter 3
    0.00923
  • Mean of quarter 4
    0.14279
  • Inter Quartile Range
    0.01353
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.20129
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.79573
  • VaR(95%) (moments method)
    0.10605
  • Expected Shortfall (moments method)
    0.59762
  • Extreme Value Index (regression method)
    1.17218
  • VaR(95%) (regression method)
    0.20845
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01001
  • Compounded annual return (geometric extrapolation)
    -0.01005
  • Calmar ratio (compounded annual return / max draw down)
    -0.01902
  • Compounded annual return / average of 25% largest draw downs
    -0.07039
  • Compounded annual return / Expected Shortfall lognormal
    -0.18679
  • 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
    0.07483
  • SD
    0.65297
  • Sharpe ratio (Glass type estimate)
    0.11460
  • Sharpe ratio (Hedges UMVUE)
    0.11394
  • df
    130.00000
  • t
    0.08104
  • p
    0.49645
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.65736
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.88633
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.65790
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.88578
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.17054
  • Upside Potential Ratio
    7.76975
  • Upside part of mean
    3.40939
  • Downside part of mean
    -3.33455
  • Upside SD
    0.48019
  • Downside SD
    0.43880
  • 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
    0.34673
  • Mean of criterion
    0.07483
  • SD of predictor
    0.34056
  • SD of criterion
    0.65297
  • Covariance
    0.12005
  • r
    0.53984
  • b (slope, estimate of beta)
    1.03506
  • a (intercept, estimate of alpha)
    -0.28405
  • Mean Square Error
    0.30445
  • DF error
    129.00000
  • t(b)
    7.28395
  • p(b)
    0.17384
  • t(a)
    -0.36329
  • p(a)
    0.52035
  • Lowerbound of 95% confidence interval for beta
    0.75391
  • Upperbound of 95% confidence interval for beta
    1.31621
  • Lowerbound of 95% confidence interval for alpha
    -1.83102
  • Upperbound of 95% confidence interval for alpha
    1.26292
  • Treynor index (mean / b)
    0.07230
  • Jensen alpha (a)
    -0.28405
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.13481
  • SD
    0.64919
  • Sharpe ratio (Glass type estimate)
    -0.20766
  • Sharpe ratio (Hedges UMVUE)
    -0.20646
  • df
    130.00000
  • t
    -0.14684
  • p
    0.50644
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.97922
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.56462
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.97838
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.56546
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.29335
  • Upside Potential Ratio
    7.18452
  • Upside part of mean
    3.30175
  • Downside part of mean
    -3.43656
  • Upside SD
    0.45508
  • Downside SD
    0.45956
  • 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
    0.28868
  • Mean of criterion
    -0.13481
  • SD of predictor
    0.34188
  • SD of criterion
    0.64919
  • Covariance
    0.12099
  • r
    0.54516
  • b (slope, estimate of beta)
    1.03518
  • a (intercept, estimate of alpha)
    -0.43365
  • Mean Square Error
    0.29849
  • DF error
    129.00000
  • t(b)
    7.38583
  • p(b)
    0.17100
  • t(a)
    -0.56048
  • p(a)
    0.53136
  • VAR (95 Confidence Intrvl)
    0.04300
  • Lowerbound of 95% confidence interval for beta
    0.75788
  • Upperbound of 95% confidence interval for beta
    1.31249
  • Lowerbound of 95% confidence interval for alpha
    -1.96443
  • Upperbound of 95% confidence interval for alpha
    1.09714
  • Treynor index (mean / b)
    -0.13023
  • Jensen alpha (a)
    -0.43365
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06432
  • Expected Shortfall on VaR
    0.07977
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02936
  • Expected Shortfall on VaR
    0.05850
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.85171
  • Quartile 1
    0.98527
  • Median
    1.00006
  • Quartile 3
    1.01257
  • Maximum
    1.19504
  • Mean of quarter 1
    0.95611
  • Mean of quarter 2
    0.99358
  • Mean of quarter 3
    1.00583
  • Mean of quarter 4
    1.04621
  • Inter Quartile Range
    0.02730
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.90751
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.09189
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24040
  • VaR(95%) (moments method)
    0.04140
  • Expected Shortfall (moments method)
    0.06763
  • Extreme Value Index (regression method)
    0.19325
  • VaR(95%) (regression method)
    0.04257
  • Expected Shortfall (regression method)
    0.06716
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.17905
  • Quartile 1
    0.19765
  • Median
    0.21624
  • Quartile 3
    0.23484
  • Maximum
    0.25344
  • Mean of quarter 1
    0.17905
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.25344
  • Inter Quartile Range
    0.03719
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -407703000
  • Max Equity Drawdown (num days)
    892
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.10410
  • Compounded annual return (geometric extrapolation)
    -0.10139
  • Calmar ratio (compounded annual return / max draw down)
    -0.40005
  • Compounded annual return / average of 25% largest draw downs
    -0.40005
  • Compounded annual return / Expected Shortfall lognormal
    -1.27098

Strategy Description

ETFX2 primarily trades double leveraged Exchange Traded Funds based on my technical indicators.

Single leveraged ETFs and stocks may also be utilized.

ETFX2 uses no margin so it can be traded in retirement accounts.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-11-04
Suggested Minimum Capital
$15,000
# Trades
37
# Profitable
27
% Profitable
73.0%
Net Dividends
$85
Correlation S&P500
0.484
Sharpe Ratio
-0.02
Sortino Ratio
-0.04
Beta
1.05
Alpha
-0.03
Leverage
0.88 Average
1.54 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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