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Trend Countertrend V1
(105929505)

Created by: MaxProbTrading MaxProbTrading
Started: 09/2016
Stocks
Last trade: Today

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 $60.00 per month.

29.6%
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.

(22.9%)
Max Drawdown
83
Num Trades
63.9%
Win Trades
1.8 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                        +0.5%(1.2%)+10.4%+3.9%+13.9%
2017+15.6%+2.1%+11.6%(1.4%)(3.4%)+3.6%+5.1%+4.0%+4.9%+10.1%+3.6%+7.6%+83.0%
2018+4.6%(9.9%)+0.3%(1.1%)+2.2%(0.4%)+0.5%+2.0%+2.2%(7%)(8%)+1.2%(13.7%)

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.

Trading Record

This strategy has placed 156 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/14/18 15:53 TQQQ PROSHARES ULTRAPRO QQQ LONG 147 43.01 12/18 15:55 41.30 n/a ($254)
Includes Typical Broker Commissions trade costs of $2.94
12/7/18 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 146 43.57 12/10 15:13 44.36 1.31%
Trade id #121406953
Max drawdown($255)
Time12/10/18 11:25
Quant open146
Worst price41.82
Drawdown as % of equity-1.31%
$113
Includes Typical Broker Commissions trade costs of $2.92
12/4/18 15:54 TQQQ PROSHARES ULTRAPRO QQQ LONG 137 47.51 12/6 9:30 44.41 2.57%
Trade id #121344527
Max drawdown($502)
Time12/6/18 5:51
Quant open137
Worst price43.84
Drawdown as % of equity-2.57%
($427)
Includes Typical Broker Commissions trade costs of $2.74
11/20/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E LONG 170 39.53 11/28 9:30 35.35 3.65%
Trade id #121070931
Max drawdown($715)
Time11/28/18 9:29
Quant open170
Worst price35.32
Drawdown as % of equity-3.65%
($714)
Includes Typical Broker Commissions trade costs of $3.40
11/20/18 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 149 41.61 11/26 15:57 45.34 0.69%
Trade id #121070973
Max drawdown($135)
Time11/20/18 10:16
Quant open149
Worst price40.70
Drawdown as % of equity-0.69%
$553
Includes Typical Broker Commissions trade costs of $2.98
11/13/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E LONG 188 36.08 11/19 9:30 35.19 1.32%
Trade id #120903543
Max drawdown($259)
Time11/19/18 4:01
Quant open188
Worst price34.70
Drawdown as % of equity-1.32%
($171)
Includes Typical Broker Commissions trade costs of $3.76
11/12/18 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 129 52.50 11/16 9:30 48.74 4.04%
Trade id #120880228
Max drawdown($811)
Time11/15/18 10:38
Quant open129
Worst price46.21
Drawdown as % of equity-4.04%
($488)
Includes Typical Broker Commissions trade costs of $2.58
10/31/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E LONG 185 38.00 11/7 9:30 33.80 4.22%
Trade id #120639303
Max drawdown($869)
Time11/7/18 5:12
Quant open185
Worst price33.30
Drawdown as % of equity-4.22%
($781)
Includes Typical Broker Commissions trade costs of $3.70
10/24/18 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 140 49.01 10/30 15:52 48.80 3.6%
Trade id #120521771
Max drawdown($723)
Time10/29/18 15:45
Quant open140
Worst price43.84
Drawdown as % of equity-3.60%
($32)
Includes Typical Broker Commissions trade costs of $2.80
10/23/18 15:59 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 293 47.89 10/30 15:52 47.85 3.05%
Trade id #120497979
Max drawdown($612)
Time10/29/18 15:46
Quant open293
Worst price45.80
Drawdown as % of equity-3.05%
($18)
Includes Typical Broker Commissions trade costs of $5.86
10/18/18 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 123 56.56 10/22 15:56 57.51 0.45%
Trade id #120426828
Max drawdown($95)
Time10/19/18 14:07
Quant open123
Worst price55.79
Drawdown as % of equity-0.45%
$114
Includes Typical Broker Commissions trade costs of $2.46
9/4/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 668 56.36 10/16 15:55 55.05 51.44%
Trade id #119711960
Max drawdown($11,004)
Time9/7/18 8:47
Quant open257
Worst price13.70
Drawdown as % of equity-51.44%
($886)
Includes Typical Broker Commissions trade costs of $13.36
10/10/18 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 125 55.88 10/12 15:57 58.40 2.53%
Trade id #120284885
Max drawdown($506)
Time10/11/18 14:47
Quant open125
Worst price51.83
Drawdown as % of equity-2.53%
$313
Includes Typical Broker Commissions trade costs of $2.50
10/4/18 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 110 67.23 10/8 15:58 63.71 3.09%
Trade id #120190291
Max drawdown($658)
Time10/8/18 13:01
Quant open110
Worst price61.24
Drawdown as % of equity-3.09%
($389)
Includes Typical Broker Commissions trade costs of $2.20
9/17/18 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 110 65.87 9/18 15:58 67.74 0.47%
Trade id #119897303
Max drawdown($103)
Time9/17/18 19:51
Quant open110
Worst price64.93
Drawdown as % of equity-0.47%
$204
Includes Typical Broker Commissions trade costs of $2.20
9/5/18 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 106 68.62 9/12 9:31 67.87 1.79%
Trade id #119737184
Max drawdown($382)
Time9/7/18 9:07
Quant open106
Worst price65.01
Drawdown as % of equity-1.79%
($82)
Includes Typical Broker Commissions trade costs of $2.12
8/17/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,045 13.85 8/31 9:30 14.00 0.38%
Trade id #119485144
Max drawdown($83)
Time8/17/18 10:27
Quant open1,045
Worst price13.77
Drawdown as % of equity-0.38%
$152
Includes Typical Broker Commissions trade costs of $5.00
7/9/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,906 13.52 8/16 15:57 13.81 2.33%
Trade id #118821874
Max drawdown($487)
Time8/15/18 10:57
Quant open1,061
Worst price13.06
Drawdown as % of equity-2.33%
$538
Includes Typical Broker Commissions trade costs of $12.50
8/13/18 12:27 TQQQ PROSHARES ULTRAPRO QQQ LONG 104 65.73 8/14 15:57 66.70 0.24%
Trade id #119412868
Max drawdown($52)
Time8/14/18 10:06
Quant open104
Worst price65.23
Drawdown as % of equity-0.24%
$99
Includes Typical Broker Commissions trade costs of $2.08
7/27/18 15:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 111 62.91 7/31 15:59 61.37 1.88%
Trade id #119169705
Max drawdown($398)
Time7/30/18 12:50
Quant open111
Worst price59.32
Drawdown as % of equity-1.88%
($173)
Includes Typical Broker Commissions trade costs of $2.22
6/25/18 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 126 57.23 6/28 15:57 56.87 1.59%
Trade id #118639556
Max drawdown($335)
Time6/28/18 8:38
Quant open126
Worst price54.57
Drawdown as % of equity-1.59%
($48)
Includes Typical Broker Commissions trade costs of $2.52
6/25/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,086 13.35 6/26 15:55 12.86 5.87%
Trade id #118621116
Max drawdown($1,225)
Time6/25/18 14:56
Quant open1,086
Worst price12.22
Drawdown as % of equity-5.87%
($537)
Includes Typical Broker Commissions trade costs of $5.00
6/4/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,077 13.33 6/22 9:30 13.59 0.5%
Trade id #118247566
Max drawdown($107)
Time6/21/18 15:46
Quant open1,077
Worst price13.23
Drawdown as % of equity-0.50%
$275
Includes Typical Broker Commissions trade costs of $5.00
5/31/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,089 12.99 6/1 9:30 13.20 1.24%
Trade id #118186967
Max drawdown($261)
Time5/31/18 10:51
Quant open1,089
Worst price12.75
Drawdown as % of equity-1.24%
$224
Includes Typical Broker Commissions trade costs of $5.00
5/3/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 1,120 12.36 5/30 9:30 12.86 2.2%
Trade id #117772535
Max drawdown($448)
Time5/3/18 10:57
Quant open1,120
Worst price11.96
Drawdown as % of equity-2.20%
$555
Includes Typical Broker Commissions trade costs of $5.00
4/20/18 15:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 48 147.53 4/25 15:58 137.09 3.65%
Trade id #117604662
Max drawdown($751)
Time4/25/18 10:04
Quant open48
Worst price131.88
Drawdown as % of equity-3.65%
($502)
Includes Typical Broker Commissions trade costs of $0.96
3/23/18 9:30 VXX IPATH S&P 500 VIX ST FUTURES E LONG 144 46.53 4/16 9:30 44.27 1.91%
Trade id #117202770
Max drawdown($408)
Time4/16/18 9:12
Quant open144
Worst price43.69
Drawdown as % of equity-1.91%
($328)
Includes Typical Broker Commissions trade costs of $2.88
4/6/18 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 55 134.21 4/10 15:58 144.73 0.31%
Trade id #117411635
Max drawdown($66)
Time4/6/18 20:00
Quant open55
Worst price133.00
Drawdown as % of equity-0.31%
$578
Includes Typical Broker Commissions trade costs of $1.10
4/2/18 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 55 131.47 4/3 15:58 135.23 0.79%
Trade id #117335792
Max drawdown($169)
Time4/3/18 10:21
Quant open55
Worst price128.39
Drawdown as % of equity-0.79%
$206
Includes Typical Broker Commissions trade costs of $1.10
3/28/18 15:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 50 136.79 3/29 15:58 144.13 0.54%
Trade id #117287328
Max drawdown($112)
Time3/29/18 9:54
Quant open50
Worst price134.53
Drawdown as % of equity-0.54%
$366
Includes Typical Broker Commissions trade costs of $1.00

Statistics

  • Strategy began
    9/17/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    822.86
  • Age
    27 months ago
  • What it trades
    Stocks
  • # Trades
    83
  • # Profitable
    53
  • % Profitable
    63.90%
  • Avg trade duration
    9.6 days
  • Max peak-to-valley drawdown
    22.92%
  • drawdown period
    Jan 11, 2018 - Dec 07, 2018
  • Annual Return (Compounded)
    29.6%
  • Avg win
    $418.42
  • Avg loss
    $411.70
  • Model Account Values (Raw)
  • Cash
    $13,263
  • Margin Used
    $0
  • Buying Power
    $14,110
  • Ratios
  • W:L ratio
    1.80:1
  • Sharpe Ratio
    1.49
  • Sortino Ratio
    2.082
  • Calmar Ratio
    2.024
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.20500
  • Return Statistics
  • Ann Return (w trading costs)
    29.6%
  • Ann Return (Compnd, No Fees)
    35.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    29.50%
  • Chance of 20% account loss
    4.00%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    510
  • Popularity (Last 6 weeks)
    846
  • C2 Score
    84.5
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    30
  • Win / Loss
  • Avg Loss
    $412
  • Avg Win
    $418
  • # Winners
    53
  • # Losers
    30
  • % Winners
    63.9%
  • Frequency
  • Avg Position Time (mins)
    13873.70
  • Avg Position Time (hrs)
    231.23
  • Avg Trade Length
    9.6 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30667
  • SD
    0.19107
  • Sharpe ratio (Glass type estimate)
    1.60499
  • Sharpe ratio (Hedges UMVUE)
    1.55628
  • df
    25.00000
  • t
    2.36249
  • p
    0.01312
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18746
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.99376
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.15661
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.95594
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.93806
  • Upside Potential Ratio
    4.44811
  • Upside part of mean
    0.46428
  • Downside part of mean
    -0.15762
  • Upside SD
    0.17902
  • Downside SD
    0.10438
  • N nonnegative terms
    20.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.08007
  • Mean of criterion
    0.30667
  • SD of predictor
    0.09795
  • SD of criterion
    0.19107
  • Covariance
    0.01183
  • r
    0.63201
  • b (slope, estimate of beta)
    1.23291
  • a (intercept, estimate of alpha)
    0.20795
  • Mean Square Error
    0.02284
  • DF error
    24.00000
  • t(b)
    3.99533
  • p(b)
    0.00027
  • t(a)
    1.96922
  • p(a)
    0.03029
  • Lowerbound of 95% confidence interval for beta
    0.59601
  • Upperbound of 95% confidence interval for beta
    1.86980
  • Lowerbound of 95% confidence interval for alpha
    -0.01000
  • Upperbound of 95% confidence interval for alpha
    0.42590
  • Treynor index (mean / b)
    0.24874
  • Jensen alpha (a)
    0.20795
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28506
  • SD
    0.18968
  • Sharpe ratio (Glass type estimate)
    1.50285
  • Sharpe ratio (Hedges UMVUE)
    1.45723
  • df
    25.00000
  • t
    2.21213
  • p
    0.01816
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09466
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.88374
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06578
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.84868
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.62566
  • Upside Potential Ratio
    4.12685
  • Upside part of mean
    0.44804
  • Downside part of mean
    -0.16298
  • Upside SD
    0.17199
  • Downside SD
    0.10857
  • N nonnegative terms
    20.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    26.00000
  • Mean of predictor
    0.07500
  • Mean of criterion
    0.28506
  • SD of predictor
    0.09841
  • SD of criterion
    0.18968
  • Covariance
    0.01183
  • r
    0.63401
  • b (slope, estimate of beta)
    1.22199
  • a (intercept, estimate of alpha)
    0.19340
  • Mean Square Error
    0.02241
  • DF error
    24.00000
  • t(b)
    4.01637
  • p(b)
    0.00025
  • t(a)
    1.85544
  • p(a)
    0.03793
  • Lowerbound of 95% confidence interval for beta
    0.59404
  • Upperbound of 95% confidence interval for beta
    1.84994
  • Lowerbound of 95% confidence interval for alpha
    -0.02173
  • Upperbound of 95% confidence interval for alpha
    0.40854
  • Treynor index (mean / b)
    0.23327
  • Jensen alpha (a)
    0.19340
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06416
  • Expected Shortfall on VaR
    0.08514
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01685
  • Expected Shortfall on VaR
    0.04044
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    26.00000
  • Minimum
    0.90695
  • Quartile 1
    1.00679
  • Median
    1.03396
  • Quartile 3
    1.06989
  • Maximum
    1.11279
  • Mean of quarter 1
    0.95400
  • Mean of quarter 2
    1.02010
  • Mean of quarter 3
    1.05362
  • Mean of quarter 4
    1.08638
  • Inter Quartile Range
    0.06309
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.07692
  • Mean of outliers low
    0.90838
  • 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)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.95420
  • VaR(95%) (regression method)
    0.02799
  • Expected Shortfall (regression method)
    0.03229
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03743
  • Quartile 1
    0.06483
  • Median
    0.09223
  • Quartile 3
    0.11964
  • Maximum
    0.14704
  • Mean of quarter 1
    0.03743
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14704
  • Inter Quartile Range
    0.05481
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.44775
  • Compounded annual return (geometric extrapolation)
    0.36747
  • Calmar ratio (compounded annual return / max draw down)
    2.49914
  • Compounded annual return / average of 25% largest draw downs
    2.49914
  • Compounded annual return / Expected Shortfall lognormal
    4.31608
  • 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
    0.29636
  • SD
    0.19865
  • Sharpe ratio (Glass type estimate)
    1.49187
  • Sharpe ratio (Hedges UMVUE)
    1.48995
  • df
    583.00000
  • t
    2.22734
  • p
    0.01315
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.17570
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.80684
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17438
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.80551
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.08152
  • Upside Potential Ratio
    8.29371
  • Upside part of mean
    1.18082
  • Downside part of mean
    -0.88446
  • Upside SD
    0.13949
  • Downside SD
    0.14238
  • N nonnegative terms
    324.00000
  • N negative terms
    260.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    584.00000
  • Mean of predictor
    0.05734
  • Mean of criterion
    0.29636
  • SD of predictor
    0.11884
  • SD of criterion
    0.19865
  • Covariance
    0.00464
  • r
    0.19641
  • b (slope, estimate of beta)
    0.32831
  • a (intercept, estimate of alpha)
    0.27800
  • Mean Square Error
    0.03800
  • DF error
    582.00000
  • t(b)
    4.83242
  • p(b)
    0.00000
  • t(a)
    2.12452
  • p(a)
    0.01702
  • Lowerbound of 95% confidence interval for beta
    0.19487
  • Upperbound of 95% confidence interval for beta
    0.46175
  • Lowerbound of 95% confidence interval for alpha
    0.02096
  • Upperbound of 95% confidence interval for alpha
    0.53410
  • Treynor index (mean / b)
    0.90267
  • Jensen alpha (a)
    0.27753
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27631
  • SD
    0.19991
  • Sharpe ratio (Glass type estimate)
    1.38217
  • Sharpe ratio (Hedges UMVUE)
    1.38039
  • df
    583.00000
  • t
    2.06356
  • p
    0.01975
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06645
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.69680
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06522
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.69556
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.89630
  • Upside Potential Ratio
    8.03731
  • Upside part of mean
    1.17113
  • Downside part of mean
    -0.89482
  • Upside SD
    0.13768
  • Downside SD
    0.14571
  • N nonnegative terms
    324.00000
  • N negative terms
    260.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    584.00000
  • Mean of predictor
    0.05024
  • Mean of criterion
    0.27631
  • SD of predictor
    0.11930
  • SD of criterion
    0.19991
  • Covariance
    0.00464
  • r
    0.19463
  • b (slope, estimate of beta)
    0.32615
  • a (intercept, estimate of alpha)
    0.25993
  • Mean Square Error
    0.03852
  • DF error
    582.00000
  • t(b)
    4.78683
  • p(b)
    0.00000
  • t(a)
    1.97667
  • p(a)
    0.02428
  • Lowerbound of 95% confidence interval for beta
    0.19233
  • Upperbound of 95% confidence interval for beta
    0.45996
  • Lowerbound of 95% confidence interval for alpha
    0.00166
  • Upperbound of 95% confidence interval for alpha
    0.51820
  • Treynor index (mean / b)
    0.84722
  • Jensen alpha (a)
    0.25993
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01908
  • Expected Shortfall on VaR
    0.02412
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00704
  • Expected Shortfall on VaR
    0.01538
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    584.00000
  • Minimum
    0.90086
  • Quartile 1
    0.99747
  • Median
    1.00096
  • Quartile 3
    1.00679
  • Maximum
    1.05466
  • Mean of quarter 1
    0.98727
  • Mean of quarter 2
    0.99952
  • Mean of quarter 3
    1.00377
  • Mean of quarter 4
    1.01438
  • Inter Quartile Range
    0.00933
  • Number outliers low
    37.00000
  • Percentage of outliers low
    0.06336
  • Mean of outliers low
    0.97281
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.03767
  • Mean of outliers high
    1.03135
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28511
  • VaR(95%) (moments method)
    0.00941
  • Expected Shortfall (moments method)
    0.01685
  • Extreme Value Index (regression method)
    0.05106
  • VaR(95%) (regression method)
    0.01257
  • Expected Shortfall (regression method)
    0.01940
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    46.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00233
  • Median
    0.00476
  • Quartile 3
    0.02151
  • Maximum
    0.17568
  • Mean of quarter 1
    0.00077
  • Mean of quarter 2
    0.00356
  • Mean of quarter 3
    0.01267
  • Mean of quarter 4
    0.06060
  • Inter Quartile Range
    0.01918
  • 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
    0.08696
  • Mean of outliers high
    0.11201
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.28239
  • VaR(95%) (moments method)
    0.05952
  • Expected Shortfall (moments method)
    0.10114
  • Extreme Value Index (regression method)
    0.27210
  • VaR(95%) (regression method)
    0.07114
  • Expected Shortfall (regression method)
    0.12268
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43524
  • Compounded annual return (geometric extrapolation)
    0.35557
  • Calmar ratio (compounded annual return / max draw down)
    2.02394
  • Compounded annual return / average of 25% largest draw downs
    5.86728
  • Compounded annual return / Expected Shortfall lognormal
    14.74460
  • 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
    -0.25106
  • SD
    0.15536
  • Sharpe ratio (Glass type estimate)
    -1.61600
  • Sharpe ratio (Hedges UMVUE)
    -1.60666
  • df
    130.00000
  • t
    -1.14269
  • p
    0.54986
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.39174
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.16578
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.38534
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.17202
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.95524
  • Upside Potential Ratio
    5.68977
  • Upside part of mean
    0.73060
  • Downside part of mean
    -0.98167
  • Upside SD
    0.08778
  • Downside SD
    0.12841
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.18747
  • Mean of criterion
    -0.25106
  • SD of predictor
    0.15311
  • SD of criterion
    0.15536
  • Covariance
    0.00949
  • r
    0.39906
  • b (slope, estimate of beta)
    0.40493
  • a (intercept, estimate of alpha)
    -0.17516
  • Mean Square Error
    0.02045
  • DF error
    129.00000
  • t(b)
    4.94304
  • p(b)
    0.25287
  • t(a)
    -0.86358
  • p(a)
    0.54822
  • Lowerbound of 95% confidence interval for beta
    0.24285
  • Upperbound of 95% confidence interval for beta
    0.56700
  • Lowerbound of 95% confidence interval for alpha
    -0.57645
  • Upperbound of 95% confidence interval for alpha
    0.22614
  • Treynor index (mean / b)
    -0.62003
  • Jensen alpha (a)
    -0.17516
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.26323
  • SD
    0.15621
  • Sharpe ratio (Glass type estimate)
    -1.68508
  • Sharpe ratio (Hedges UMVUE)
    -1.67534
  • df
    130.00000
  • t
    -1.19153
  • p
    0.55197
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.46130
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.09743
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.45462
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.10394
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.02549
  • Upside Potential Ratio
    5.59189
  • Upside part of mean
    0.72671
  • Downside part of mean
    -0.98994
  • Upside SD
    0.08713
  • Downside SD
    0.12996
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.19922
  • Mean of criterion
    -0.26323
  • SD of predictor
    0.15382
  • SD of criterion
    0.15621
  • Covariance
    0.00961
  • r
    0.39993
  • b (slope, estimate of beta)
    0.40616
  • a (intercept, estimate of alpha)
    -0.18231
  • Mean Square Error
    0.02066
  • DF error
    129.00000
  • t(b)
    4.95598
  • p(b)
    0.25235
  • t(a)
    -0.89406
  • p(a)
    0.54991
  • Lowerbound of 95% confidence interval for beta
    0.24401
  • Upperbound of 95% confidence interval for beta
    0.56830
  • Lowerbound of 95% confidence interval for alpha
    -0.58577
  • Upperbound of 95% confidence interval for alpha
    0.22114
  • Treynor index (mean / b)
    -0.64810
  • Jensen alpha (a)
    -0.18231
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01674
  • Expected Shortfall on VaR
    0.02069
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00913
  • Expected Shortfall on VaR
    0.01794
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95853
  • Quartile 1
    0.99658
  • Median
    1.00000
  • Quartile 3
    1.00450
  • Maximum
    1.02683
  • Mean of quarter 1
    0.98684
  • Mean of quarter 2
    0.99852
  • Mean of quarter 3
    1.00182
  • Mean of quarter 4
    1.00950
  • Inter Quartile Range
    0.00791
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.97675
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.02468
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.29525
  • VaR(95%) (moments method)
    0.01029
  • Expected Shortfall (moments method)
    0.01287
  • Extreme Value Index (regression method)
    -0.11270
  • VaR(95%) (regression method)
    0.01702
  • Expected Shortfall (regression method)
    0.02388
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00437
  • Quartile 1
    0.03396
  • Median
    0.04478
  • Quartile 3
    0.07102
  • Maximum
    0.14689
  • Mean of quarter 1
    0.00437
  • Mean of quarter 2
    0.04382
  • Mean of quarter 3
    0.04573
  • Mean of quarter 4
    0.14689
  • Inter Quartile Range
    0.03706
  • 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
    0.14689
  • 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)
    -0.22201
  • Compounded annual return (geometric extrapolation)
    -0.20968
  • Calmar ratio (compounded annual return / max draw down)
    -1.42747
  • Compounded annual return / average of 25% largest draw downs
    -1.42747
  • Compounded annual return / Expected Shortfall lognormal
    -10.13550

Strategy Description

This system is a mix of trend following and countertrend trading using SVXY, VXX and TQQQ (an ETF aiming for daily 3x leverage of the Nasdaq-100 index). Changes were made to the system after XIV was scheduled for liquidation in February 2018. Trend following trades may last weeks to months, but may sometimes last only 1-2 days. There will be periods, which can last weeks or longer, when this portion of the strategy is in cash. Countertrend trades are initiated only during periods when the Nasdaq-100 is determined to be oversold or VXX is determined to be overbought and technical trading criteria are met. Most countertrend trades will typically last from 1 day to 1 week, but may last weeks or longer. The majority of time the countertrend portion of this strategy will likely be spent in the safety of cash.

Trading frequency varies depending upon market conditions. Because this strategy is non-diversified and trades using leverage and volatile financial instruments, it is highly risky. Traders may decide to adjust the strategy or limit the proportion of funds allocated to this strategy based upon their own risk tolerance. Trading signals will generally be issued at the open or during the last 5 minutes of active trading, from 3:55PM-4:00PM, but this may occasionally vary.

Although mostly a technical strategy, I may subjectively choose not to initiate a trade, vary the exact date or time of a trade, or vary the degree of leverage or proportion of funds allocated to a given trade or position. I am not a professional trader or money manager.

This system is based on the opinion that the combination of trend following and countertrend trading provides for a nice balanced strategy for navigating the market.

Summary Statistics

Strategy began
2016-09-17
Suggested Minimum Capital
$15,000
# Trades
83
# Profitable
53
% Profitable
63.9%
Correlation S&P500
0.205
Sharpe Ratio
1.490

Latest Activity

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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.