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

***PROFESSIONAL CLIENT ONLY STRATEGY*** PROFIT DIVERSIFICATION
(123937705)

Started: 06/2019
Stocks
Last trade: 8 days ago
Trading style: Equity Trend-following Sector Rotation

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 $200.00 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 Rotation
Category: Equity

Sector Rotation

Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.
42.1%
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.

(42.1%)
Max Drawdown
99
Num Trades
49.5%
Win Trades
1.9 : 1
Profit Factor
61.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                   +16.9%(0.8%)+3.3%(8.1%)+1.5%+0.6%+7.2%+20.5%
2020+9.5%+9.5%+30.2%+8.5%(0.8%)+4.3%+15.4%+18.4%(17.8%)+5.8%+20.4%+15.6%+189.6%
2021(1.1%)+7.9%+7.4%+7.2%(6.8%)+2.3%+2.9%+9.1%(12.1%)+15.3%(0.3%)(2.9%)+29.0%
2022(13.6%)(4.1%)(2.6%)(14.2%)(8.6%)                                          (36.6%)

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 168 hours.

Trading Record

This strategy has placed 874 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/29/22 15:54 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 6,015 14.31 5/6 15:51 13.32 5.73%
Trade id #140318026
Max drawdown($6,735)
Time5/5/22 0:00
Quant open3,674
Worst price12.48
Drawdown as % of equity-5.73%
($6,012)
Includes Typical Broker Commissions trade costs of $61.15
4/22/22 15:54 SVIX VS TRUST - VOLATILITY SHARES SHORT VIX F LONG 1,950 11.94 5/6 15:51 10.92 2.52%
Trade id #140234516
Max drawdown($2,967)
Time5/5/22 0:00
Quant open1,454
Worst price9.90
Drawdown as % of equity-2.52%
($2,009)
Includes Typical Broker Commissions trade costs of $25.64
1/31/22 15:05 UPRO PROSHARES ULTRAPRO S&P500 LONG 17,398 58.89 5/6 15:51 57.93 11.83%
Trade id #139179291
Max drawdown($14,424)
Time4/29/22 0:00
Quant open1,204
Worst price47.13
Drawdown as % of equity-11.83%
($16,820)
Includes Typical Broker Commissions trade costs of $221.41
4/21/22 15:54 SVIX VS TRUST - VOLATILITY SHARES SHORT VIX F LONG 1,132 13.79 4/22 13:37 12.72 0.98%
Trade id #140219273
Max drawdown($1,223)
Time4/22/22 13:37
Quant open1,132
Worst price12.71
Drawdown as % of equity-0.98%
($1,223)
Includes Typical Broker Commissions trade costs of $11.32
4/6/22 15:54 SVIX VS TRUST - VOLATILITY SHARES SHORT VIX F LONG 989 13.85 4/21 14:46 13.86 0.24%
Trade id #140049587
Max drawdown($311)
Time4/13/22 0:00
Quant open625
Worst price13.10
Drawdown as % of equity-0.24%
($4)
Includes Typical Broker Commissions trade costs of $14.07
4/5/22 15:54 SVIX VS TRUST - VOLATILITY SHARES SHORT VIX F LONG 416 14.18 4/6 10:04 12.98 0.38%
Trade id #140035873
Max drawdown($497)
Time4/6/22 10:04
Quant open416
Worst price12.98
Drawdown as % of equity-0.38%
($501)
Includes Typical Broker Commissions trade costs of $4.16
4/5/22 10:33 SVIX VS TRUST - VOLATILITY SHARES SHORT VIX F LONG 202 14.84 4/5 15:36 14.21 0.09%
Trade id #140030451
Max drawdown($129)
Time4/5/22 15:36
Quant open202
Worst price14.20
Drawdown as % of equity-0.09%
($130)
Includes Typical Broker Commissions trade costs of $2.02
4/1/22 15:54 SVIX VS TRUST - VOLATILITY SHARES SHORT VIX F LONG 202 14.53 4/1 15:55 14.57 n/a $6
Includes Typical Broker Commissions trade costs of $2.02
3/8/22 15:54 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 19,544 19.76 3/31 15:45 19.32 5.4%
Trade id #139704657
Max drawdown($7,342)
Time3/22/22 0:00
Quant open2,988
Worst price17.97
Drawdown as % of equity-5.40%
($9,611)
Includes Typical Broker Commissions trade costs of $221.83
3/2/22 15:06 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 2,307 22.57 3/8 9:33 22.40 1.32%
Trade id #139616252
Max drawdown($1,853)
Time3/2/22 15:59
Quant open2,307
Worst price21.77
Drawdown as % of equity-1.32%
($428)
Includes Typical Broker Commissions trade costs of $24.07
2/28/22 15:05 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 2,221 23.40 3/2 9:30 23.52 0.2%
Trade id #139579169
Max drawdown($280)
Time2/28/22 15:58
Quant open2,221
Worst price23.27
Drawdown as % of equity-0.20%
$254
Includes Typical Broker Commissions trade costs of $22.22
8/25/21 13:05 ETHE GRAYSCALE ETHEREUM TR ETH COMMON UNITS OF FRACTION LONG 352 30.87 1/31/22 15:09 24.89 2.49%
Trade id #137121111
Max drawdown($3,615)
Time1/24/22 0:00
Quant open257
Worst price16.80
Drawdown as % of equity-2.49%
($2,136)
Includes Typical Broker Commissions trade costs of $31.16
1/20/22 15:05 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,513 24.54 1/31 15:02 25.01 0.69%
Trade id #139035053
Max drawdown($980)
Time1/26/22 0:00
Quant open1,513
Worst price23.89
Drawdown as % of equity-0.69%
$699
Includes Typical Broker Commissions trade costs of $15.14
12/23/21 15:01 GLD SPDR GOLD SHARES LONG 92 169.02 1/31/22 15:02 168.14 0.16%
Trade id #138690313
Max drawdown($223)
Time1/28/22 0:00
Quant open84
Worst price166.37
Drawdown as % of equity-0.16%
($87)
Includes Typical Broker Commissions trade costs of $6.00
6/30/21 13:06 TQQQ PROSHARES ULTRAPRO QQQ LONG 969 63.51 1/31/22 15:02 66.64 5.85%
Trade id #136271776
Max drawdown($8,484)
Time1/24/22 0:00
Quant open553
Worst price48.17
Drawdown as % of equity-5.85%
$2,995
Includes Typical Broker Commissions trade costs of $33.75
12/7/21 14:54 SPXL DIREXION DAILY S&P500 BULL 3X LONG 640 135.16 1/20/22 15:02 125.49 5.05%
Trade id #138496523
Max drawdown($7,456)
Time1/19/22 0:00
Quant open593
Worst price122.59
Drawdown as % of equity-5.05%
($6,205)
Includes Typical Broker Commissions trade costs of $13.01
12/6/21 15:02 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 805 53.49 1/14/22 15:14 60.45 0.1%
Trade id #138480668
Max drawdown($164)
Time12/6/21 15:05
Quant open745
Worst price52.61
Drawdown as % of equity-0.10%
$5,593
Includes Typical Broker Commissions trade costs of $13.15
10/29/21 15:25 GBTC GRAYSCALE BITCOIN TRUST (BTC) COMMON STOCK LONG 423 47.72 12/31 15:17 35.20 3.5%
Trade id #138010676
Max drawdown($5,419)
Time12/20/21 0:00
Quant open347
Worst price33.20
Drawdown as % of equity-3.50%
($5,306)
Includes Typical Broker Commissions trade costs of $10.57
12/1/21 15:08 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,361 30.50 12/7 14:51 30.13 0.38%
Trade id #138418837
Max drawdown($600)
Time12/7/21 14:42
Quant open1,361
Worst price30.06
Drawdown as % of equity-0.38%
($517)
Includes Typical Broker Commissions trade costs of $14.03
11/26/21 12:09 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 828 56.41 12/3 15:01 48.91 3.8%
Trade id #138356365
Max drawdown($6,270)
Time12/3/21 14:39
Quant open828
Worst price48.84
Drawdown as % of equity-3.80%
($6,225)
Includes Typical Broker Commissions trade costs of $10.08
12/1/21 10:03 SPXL DIREXION DAILY S&P500 BULL 3X LONG 324 132.35 12/1 15:02 128.17 0.91%
Trade id #138411389
Max drawdown($1,553)
Time12/1/21 14:17
Quant open324
Worst price127.56
Drawdown as % of equity-0.91%
($1,360)
Includes Typical Broker Commissions trade costs of $3.24
11/26/21 9:51 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,546 28.81 12/1 10:07 29.49 0.55%
Trade id #138352160
Max drawdown($926)
Time11/29/21 0:00
Quant open1,546
Worst price28.21
Drawdown as % of equity-0.55%
$1,030
Includes Typical Broker Commissions trade costs of $19.16
10/7/21 10:41 SPXL DIREXION DAILY S&P500 BULL 3X LONG 421 115.57 11/26 9:50 129.64 1.97%
Trade id #137712134
Max drawdown($2,985)
Time10/13/21 0:00
Quant open419
Worst price108.39
Drawdown as % of equity-1.97%
$5,907
Includes Typical Broker Commissions trade costs of $16.44
2/19/21 11:38 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,277 45.48 11/26 9:49 56.04 2.04%
Trade id #134162344
Max drawdown($2,850)
Time3/4/21 0:00
Quant open960
Worst price39.03
Drawdown as % of equity-2.04%
$13,444
Includes Typical Broker Commissions trade costs of $41.54
9/28/21 10:25 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,764 26.35 10/7 10:30 25.67 0.9%
Trade id #137561140
Max drawdown($1,271)
Time10/7/21 9:52
Quant open1,764
Worst price25.62
Drawdown as % of equity-0.90%
($1,209)
Includes Typical Broker Commissions trade costs of $19.77
8/25/21 13:07 GBTC GRAYSCALE BITCOIN TRUST (BTC) COMMON STOCK LONG 231 39.22 9/30 15:10 34.39 1.17%
Trade id #137121156
Max drawdown($1,623)
Time9/29/21 0:00
Quant open228
Worst price32.10
Drawdown as % of equity-1.17%
($1,122)
Includes Typical Broker Commissions trade costs of $7.11
9/23/21 10:05 SPXL DIREXION DAILY S&P500 BULL 3X LONG 408 117.81 9/28 10:03 112.78 1.3%
Trade id #137496926
Max drawdown($2,108)
Time9/28/21 10:03
Quant open408
Worst price112.64
Drawdown as % of equity-1.30%
($2,056)
Includes Typical Broker Commissions trade costs of $4.08
9/20/21 10:04 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,555 29.94 9/23 10:04 29.72 0.21%
Trade id #137441048
Max drawdown($345)
Time9/23/21 9:56
Quant open1,555
Worst price29.72
Drawdown as % of equity-0.21%
($356)
Includes Typical Broker Commissions trade costs of $16.11
7/20/21 10:09 SPXL DIREXION DAILY S&P500 BULL 3X LONG 462 106.70 9/20 10:02 112.79 0.05%
Trade id #136588680
Max drawdown($73)
Time7/20/21 10:13
Quant open449
Worst price106.11
Drawdown as % of equity-0.05%
$2,804
Includes Typical Broker Commissions trade costs of $9.48
7/19/21 10:09 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,575 30.59 7/20 10:16 30.69 0.52%
Trade id #136556343
Max drawdown($772)
Time7/19/21 11:56
Quant open1,575
Worst price30.10
Drawdown as % of equity-0.52%
$133
Includes Typical Broker Commissions trade costs of $17.66

Statistics

  • Strategy began
    6/4/2019
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    1085.25
  • Age
    36 months ago
  • What it trades
    Stocks
  • # Trades
    99
  • # Profitable
    49
  • % Profitable
    49.50%
  • Avg trade duration
    54.8 days
  • Max peak-to-valley drawdown
    42.12%
  • drawdown period
    Nov 22, 2021 - May 24, 2022
  • Annual Return (Compounded)
    42.6%
  • Avg win
    $3,432
  • Avg loss
    $1,818
  • Model Account Values (Raw)
  • Cash
    $83,572
  • Margin Used
    $0
  • Buying Power
    $82,169
  • Ratios
  • W:L ratio
    1.85:1
  • Sharpe Ratio
    1.05
  • Sortino Ratio
    1.53
  • Calmar Ratio
    1.179
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    147.56%
  • Correlation to SP500
    0.18740
  • Return Percent SP500 (cumu) during strategy life
    40.60%
  • Return Statistics
  • Ann Return (w trading costs)
    42.6%
  • Slump
  • Current Slump as Pcnt Equity
    72.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.17%
  • Return Statistics
  • Return Pcnt Since TOS Status
    143.940%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.426%
  • Instruments
  • Percent Trades Options
    0.03%
  • Percent Trades Stocks
    0.97%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    45.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    49.50%
  • Chance of 20% account loss
    19.00%
  • Chance of 30% account loss
    2.50%
  • Chance of 40% account loss
    1.00%
  • 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)
    755
  • Popularity (Last 6 weeks)
    964
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    923
  • Popularity (7 days, Percentile 1000 scale)
    895
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $1,818
  • Avg Win
    $3,432
  • Sum Trade PL (losers)
    $90,915.000
  • Age
  • Num Months filled monthly returns table
    36
  • Win / Loss
  • Sum Trade PL (winners)
    $168,181.000
  • # Winners
    49
  • Num Months Winners
    22
  • Dividends
  • Dividends Received in Model Acct
    293
  • AUM
  • AUM (AutoTrader live capital)
    1590160
  • Win / Loss
  • # Losers
    50
  • % Winners
    49.5%
  • Frequency
  • Avg Position Time (mins)
    78841.80
  • Avg Position Time (hrs)
    1314.03
  • Avg Trade Length
    54.8 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.64
  • Daily leverage (max)
    3.62
  • Regression
  • Alpha
    0.10
  • Beta
    0.24
  • Treynor Index
    0.44
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.44
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    2.339
  • 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
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    0.272
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.157
  • Hold-and-Hope Ratio
    0.425
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44762
  • SD
    0.34282
  • Sharpe ratio (Glass type estimate)
    1.30571
  • Sharpe ratio (Hedges UMVUE)
    1.27666
  • df
    34.00000
  • t
    2.22993
  • p
    0.01623
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10824
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.48536
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.08959
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.46373
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.78115
  • Upside Potential Ratio
    4.46829
  • Upside part of mean
    0.71917
  • Downside part of mean
    -0.27154
  • Upside SD
    0.32398
  • Downside SD
    0.16095
  • N nonnegative terms
    21.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    35.00000
  • Mean of predictor
    0.14275
  • Mean of criterion
    0.44762
  • SD of predictor
    0.18977
  • SD of criterion
    0.34282
  • Covariance
    0.01603
  • r
    0.24634
  • b (slope, estimate of beta)
    0.44503
  • a (intercept, estimate of alpha)
    0.38409
  • Mean Square Error
    0.11374
  • DF error
    33.00000
  • t(b)
    1.46013
  • p(b)
    0.07686
  • t(a)
    1.89947
  • p(a)
    0.03314
  • Lowerbound of 95% confidence interval for beta
    -0.17506
  • Upperbound of 95% confidence interval for beta
    1.06512
  • Lowerbound of 95% confidence interval for alpha
    -0.02731
  • Upperbound of 95% confidence interval for alpha
    0.79549
  • Treynor index (mean / b)
    1.00584
  • Jensen alpha (a)
    0.38409
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38625
  • SD
    0.33152
  • Sharpe ratio (Glass type estimate)
    1.16510
  • Sharpe ratio (Hedges UMVUE)
    1.13917
  • df
    34.00000
  • t
    1.98978
  • p
    0.02735
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02328
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33737
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03997
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.31832
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.25345
  • Upside Potential Ratio
    3.91985
  • Upside part of mean
    0.67187
  • Downside part of mean
    -0.28563
  • Upside SD
    0.29969
  • Downside SD
    0.17140
  • N nonnegative terms
    21.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    35.00000
  • Mean of predictor
    0.12393
  • Mean of criterion
    0.38625
  • SD of predictor
    0.19505
  • SD of criterion
    0.33152
  • Covariance
    0.01629
  • r
    0.25188
  • b (slope, estimate of beta)
    0.42811
  • a (intercept, estimate of alpha)
    0.33319
  • Mean Square Error
    0.10605
  • DF error
    33.00000
  • t(b)
    1.49515
  • p(b)
    0.07219
  • t(a)
    1.71787
  • p(a)
    0.04760
  • Lowerbound of 95% confidence interval for beta
    -0.15444
  • Upperbound of 95% confidence interval for beta
    1.01066
  • Lowerbound of 95% confidence interval for alpha
    -0.06141
  • Upperbound of 95% confidence interval for alpha
    0.72780
  • Treynor index (mean / b)
    0.90221
  • Jensen alpha (a)
    0.33319
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11770
  • Expected Shortfall on VaR
    0.15176
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04508
  • Expected Shortfall on VaR
    0.09140
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    35.00000
  • Minimum
    0.84267
  • Quartile 1
    0.97022
  • Median
    1.01916
  • Quartile 3
    1.12132
  • Maximum
    1.21850
  • Mean of quarter 1
    0.91895
  • Mean of quarter 2
    1.00038
  • Mean of quarter 3
    1.06214
  • Mean of quarter 4
    1.17050
  • Inter Quartile Range
    0.15110
  • 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)
    -0.02880
  • VaR(95%) (moments method)
    0.07775
  • Expected Shortfall (moments method)
    0.10430
  • Extreme Value Index (regression method)
    -0.04232
  • VaR(95%) (regression method)
    0.10072
  • Expected Shortfall (regression method)
    0.13840
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.01571
  • Quartile 1
    0.04158
  • Median
    0.07903
  • Quartile 3
    0.09905
  • Maximum
    0.37595
  • Mean of quarter 1
    0.02309
  • Mean of quarter 2
    0.07491
  • Mean of quarter 3
    0.08315
  • Mean of quarter 4
    0.24015
  • Inter Quartile Range
    0.05747
  • 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
    0.16667
  • Mean of outliers high
    0.37595
  • 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)
    0.71486
  • Compounded annual return (geometric extrapolation)
    0.47145
  • Calmar ratio (compounded annual return / max draw down)
    1.25401
  • Compounded annual return / average of 25% largest draw downs
    1.96313
  • Compounded annual return / Expected Shortfall lognormal
    3.10651
  • 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
    0.42406
  • SD
    0.29375
  • Sharpe ratio (Glass type estimate)
    1.44361
  • Sharpe ratio (Hedges UMVUE)
    1.44220
  • df
    770.00000
  • t
    2.47642
  • p
    0.00674
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29834
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.58797
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29739
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.58701
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.11407
  • Upside Potential Ratio
    9.58741
  • Upside part of mean
    1.92315
  • Downside part of mean
    -1.49908
  • Upside SD
    0.21594
  • Downside SD
    0.20059
  • N nonnegative terms
    436.00000
  • N negative terms
    335.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    771.00000
  • Mean of predictor
    0.14442
  • Mean of criterion
    0.42406
  • SD of predictor
    0.23839
  • SD of criterion
    0.29375
  • Covariance
    0.01375
  • r
    0.19639
  • b (slope, estimate of beta)
    0.24200
  • a (intercept, estimate of alpha)
    0.38900
  • Mean Square Error
    0.08307
  • DF error
    769.00000
  • t(b)
    5.55412
  • p(b)
    0.00000
  • t(a)
    2.31433
  • p(a)
    0.01046
  • Lowerbound of 95% confidence interval for beta
    0.15646
  • Upperbound of 95% confidence interval for beta
    0.32753
  • Lowerbound of 95% confidence interval for alpha
    0.05906
  • Upperbound of 95% confidence interval for alpha
    0.71917
  • Treynor index (mean / b)
    1.75235
  • Jensen alpha (a)
    0.38911
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38064
  • SD
    0.29396
  • Sharpe ratio (Glass type estimate)
    1.29489
  • Sharpe ratio (Hedges UMVUE)
    1.29363
  • df
    770.00000
  • t
    2.22132
  • p
    0.01331
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15011
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.43885
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14927
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.43800
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.86152
  • Upside Potential Ratio
    9.29365
  • Upside part of mean
    1.90037
  • Downside part of mean
    -1.51972
  • Upside SD
    0.21222
  • Downside SD
    0.20448
  • N nonnegative terms
    436.00000
  • N negative terms
    335.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    771.00000
  • Mean of predictor
    0.11580
  • Mean of criterion
    0.38064
  • SD of predictor
    0.23983
  • SD of criterion
    0.29396
  • Covariance
    0.01395
  • r
    0.19784
  • b (slope, estimate of beta)
    0.24250
  • a (intercept, estimate of alpha)
    0.35256
  • Mean Square Error
    0.08314
  • DF error
    769.00000
  • t(b)
    5.59693
  • p(b)
    0.00000
  • t(a)
    2.09664
  • p(a)
    0.01818
  • Lowerbound of 95% confidence interval for beta
    0.15744
  • Upperbound of 95% confidence interval for beta
    0.32755
  • Lowerbound of 95% confidence interval for alpha
    0.02246
  • Upperbound of 95% confidence interval for alpha
    0.68266
  • Treynor index (mean / b)
    1.56968
  • Jensen alpha (a)
    0.35256
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02802
  • Expected Shortfall on VaR
    0.03535
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01196
  • Expected Shortfall on VaR
    0.02455
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    771.00000
  • Minimum
    0.93610
  • Quartile 1
    0.99314
  • Median
    1.00206
  • Quartile 3
    1.01043
  • Maximum
    1.09412
  • Mean of quarter 1
    0.97944
  • Mean of quarter 2
    0.99797
  • Mean of quarter 3
    1.00610
  • Mean of quarter 4
    1.02299
  • Inter Quartile Range
    0.01729
  • Number outliers low
    33.00000
  • Percentage of outliers low
    0.04280
  • Mean of outliers low
    0.95446
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.03372
  • Mean of outliers high
    1.04637
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23467
  • VaR(95%) (moments method)
    0.01915
  • Expected Shortfall (moments method)
    0.03112
  • Extreme Value Index (regression method)
    -0.08596
  • VaR(95%) (regression method)
    0.02005
  • Expected Shortfall (regression method)
    0.02707
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    50.00000
  • Minimum
    0.00005
  • Quartile 1
    0.00774
  • Median
    0.01789
  • Quartile 3
    0.04462
  • Maximum
    0.39304
  • Mean of quarter 1
    0.00327
  • Mean of quarter 2
    0.01232
  • Mean of quarter 3
    0.03243
  • Mean of quarter 4
    0.12773
  • Inter Quartile Range
    0.03688
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.14000
  • Mean of outliers high
    0.18946
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.47421
  • VaR(95%) (moments method)
    0.13665
  • Expected Shortfall (moments method)
    0.29474
  • Extreme Value Index (regression method)
    0.66128
  • VaR(95%) (regression method)
    0.12472
  • Expected Shortfall (regression method)
    0.36173
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.70182
  • Compounded annual return (geometric extrapolation)
    0.46323
  • Calmar ratio (compounded annual return / max draw down)
    1.17856
  • Compounded annual return / average of 25% largest draw downs
    3.62653
  • Compounded annual return / Expected Shortfall lognormal
    13.10580
  • 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
    -0.94694
  • SD
    0.30289
  • Sharpe ratio (Glass type estimate)
    -3.12636
  • Sharpe ratio (Hedges UMVUE)
    -3.10829
  • df
    130.00000
  • t
    -2.21067
  • p
    0.59517
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.91825
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.32278
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.90572
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31085
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.85271
  • Upside Potential Ratio
    5.55183
  • Upside part of mean
    1.36456
  • Downside part of mean
    -2.31150
  • Upside SD
    0.18454
  • Downside SD
    0.24579
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.31828
  • Mean of criterion
    -0.94694
  • SD of predictor
    0.22951
  • SD of criterion
    0.30289
  • Covariance
    0.03331
  • r
    0.47913
  • b (slope, estimate of beta)
    0.63231
  • a (intercept, estimate of alpha)
    -0.74569
  • Mean Square Error
    0.07123
  • DF error
    129.00000
  • t(b)
    6.19979
  • p(b)
    0.20709
  • t(a)
    -1.96840
  • p(a)
    0.60818
  • Lowerbound of 95% confidence interval for beta
    0.43052
  • Upperbound of 95% confidence interval for beta
    0.83409
  • Lowerbound of 95% confidence interval for alpha
    -1.49521
  • Upperbound of 95% confidence interval for alpha
    0.00384
  • Treynor index (mean / b)
    -1.49759
  • Jensen alpha (a)
    -0.74569
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.99452
  • SD
    0.30405
  • Sharpe ratio (Glass type estimate)
    -3.27089
  • Sharpe ratio (Hedges UMVUE)
    -3.25198
  • df
    130.00000
  • t
    -2.31287
  • p
    0.59940
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -6.06485
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.46462
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -6.05183
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45213
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.97752
  • Upside Potential Ratio
    5.39082
  • Upside part of mean
    1.34789
  • Downside part of mean
    -2.34240
  • Upside SD
    0.18166
  • Downside SD
    0.25003
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.34474
  • Mean of criterion
    -0.99452
  • SD of predictor
    0.23023
  • SD of criterion
    0.30405
  • Covariance
    0.03347
  • r
    0.47813
  • b (slope, estimate of beta)
    0.63143
  • a (intercept, estimate of alpha)
    -0.77684
  • Mean Square Error
    0.07187
  • DF error
    129.00000
  • t(b)
    6.18303
  • p(b)
    0.20765
  • t(a)
    -2.04028
  • p(a)
    0.61197
  • VAR (95 Confidence Intrvl)
    0.02800
  • Lowerbound of 95% confidence interval for beta
    0.42938
  • Upperbound of 95% confidence interval for beta
    0.83348
  • Lowerbound of 95% confidence interval for alpha
    -1.53016
  • Upperbound of 95% confidence interval for alpha
    -0.02351
  • Treynor index (mean / b)
    -1.57502
  • Jensen alpha (a)
    -0.77684
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03410
  • Expected Shortfall on VaR
    0.04163
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02316
  • Expected Shortfall on VaR
    0.03951
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94054
  • Quartile 1
    0.98704
  • Median
    0.99754
  • Quartile 3
    1.00484
  • Maximum
    1.05039
  • Mean of quarter 1
    0.97269
  • Mean of quarter 2
    0.99286
  • Mean of quarter 3
    1.00065
  • Mean of quarter 4
    1.01946
  • Inter Quartile Range
    0.01780
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.95088
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.04128
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.59301
  • VaR(95%) (moments method)
    0.02784
  • Expected Shortfall (moments method)
    0.03133
  • Extreme Value Index (regression method)
    -0.20349
  • VaR(95%) (regression method)
    0.02755
  • Expected Shortfall (regression method)
    0.03382
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.39180
  • Quartile 1
    0.39180
  • Median
    0.39180
  • Quartile 3
    0.39180
  • Maximum
    0.39180
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -341448000
  • Max Equity Drawdown (num days)
    183
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.78361
  • Compounded annual return (geometric extrapolation)
    -0.63010
  • Calmar ratio (compounded annual return / max draw down)
    -1.60820
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -15.13680

Strategy Description

AS A UK INVESTOR YOU SHOULD ONLY CONSIDER SUBSCRIBING TO THIS STRATEGY IF YOU HAVE A 'PROFESSIONAL CLIENT CLASSIFICATION' WITH YOUR BROKER. THIS WILL ALLOW ALL INSTRUMENTS ON THIS PORTFOLIO TO BE TRADED. NON PROFESSIONAL CLIENTS WILL NOT BE ABLE TO PURCHASE US ETF'S. PLEASE CONTACT OUR TEAM IF YOU HAVE ANY QUERIES ABOUT THIS.

Trader Name: Interact Assets
Location: London
Experience in Markets: 30 years
Job Title: Retired fund manager
Preferred Markets: Shares, options, ETF's
Sharpe Ratio On Strategy Launch With TPP: 2.45


Comments From The Strategy Designer:

If you're looking for something that trades multiple strategies within one, to provide strong diversification then this is an excellent option.

We use a mix of short, medium and long-term signals to algorithmically determine the best entry points into the market. This is a very robust strategy that has many different timing and indicator types.

We've worked hard and back-tested a great deal to build a strategy that profits from over half the trades we place, with a very high profit factor. Recent results suggest we're achieving this, and we hope you consider our strategy as part of your overall portfolio.

The market has a habit of transferring money from the impatient to the patient. We must accept that temporary drawdowns are inevitable, however, this portfolio is very well suited to perform over the long term. It has for us, and we hope it will for you.

Summary Statistics

Strategy began
2019-06-04
Suggested Minimum Capital
$15,000
# Trades
99
# Profitable
49
% Profitable
49.5%
Net Dividends
Correlation S&P500
0.187
Sharpe Ratio
1.05
Sortino Ratio
1.53
Beta
0.24
Alpha
0.10
Leverage
1.64 Average
3.62 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

The Portfolio Platform 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.

0