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Dual Leverage
(106804598)

Created by: GonzaloLoayza2 GonzaloLoayza2
Started: 10/2016
Stocks
Last trade: 83 days ago
Trading style: Equity Hedged Equity Momentum

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 $129.00 per month.

Trading Category: Equity
Hedged Equity
Category: Equity

Hedged Equity

Core holding of long equities hedged at all times with short sales of stocks and/or stock index options.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
27.9%
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.

(28.9%)
Max Drawdown
17
Num Trades
76.5%
Win Trades
9.6 : 1
Profit Factor
65.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                               (0.1%)+0.5%+5.7%+6.2%
2017+11.3%+13.3%+5.3%+4.8%+8.0%(3.1%)+2.0%(0.4%)(3.6%)+7.2%+8.1%+3.1%+70.5%
2018+9.8%(12.8%)(8.1%)(3.9%)+3.7%(1.9%)+8.4%+8.3%+0.9%(9.2%)+4.8%+5.7%+2.6%
2019+4.0%(2.2%)+2.0%+11.7%(12.6%)                                          +1.3%

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 55 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/1/19 13:59 TQQQ PROSHARES ULTRAPRO QQQ LONG 168 46.55 3/1 9:33 52.03 0.31%
Trade id #122323040
Max drawdown($159)
Time2/8/19 8:01
Quant open168
Worst price45.60
Drawdown as % of equity-0.31%
$918
Includes Typical Broker Commissions trade costs of $3.36
11/2/18 13:39 SHY ISHARES BARCLAYS 1-3 YEAR TREA LONG 126 82.92 3/1/19 9:32 83.34 0.02%
Trade id #120703075
Max drawdown($11)
Time11/7/18 16:09
Quant open126
Worst price82.83
Drawdown as % of equity-0.02%
$50
Includes Typical Broker Commissions trade costs of $2.52
11/2/18 13:41 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 2,014 16.01 3/1/19 9:32 18.36 0.43%
Trade id #120703149
Max drawdown($194)
Time11/5/18 7:01
Quant open1,406
Worst price15.20
Drawdown as % of equity-0.43%
$4,724
Includes Typical Broker Commissions trade costs of $11.08
11/2/18 13:40 SPXL DIREXION DAILY S&P500 BULL 3X LONG 228 42.94 2/1/19 13:56 41.36 5.18%
Trade id #120703130
Max drawdown($2,644)
Time1/3/19 19:18
Quant open207
Worst price30.16
Drawdown as % of equity-5.18%
($365)
Includes Typical Broker Commissions trade costs of $4.56
5/1/18 9:50 SPXL DIREXION DAILY S&P500 BULL 3X LONG 899 45.36 10/10 14:07 49.18 2.43%
Trade id #117735290
Max drawdown($986)
Time6/28/18 10:38
Quant open773
Worst price43.11
Drawdown as % of equity-2.43%
$3,429
Includes Typical Broker Commissions trade costs of $8.14
4/2/18 9:44 SHY ISHARES BARCLAYS 1-3 YEAR TREA LONG 143 83.44 9/4 12:06 83.20 0.12%
Trade id #117323867
Max drawdown($48)
Time5/15/18 14:23
Quant open138
Worst price83.09
Drawdown as % of equity-0.12%
($38)
Includes Typical Broker Commissions trade costs of $2.86
1/2/18 10:13 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,692 20.11 6/1 15:01 19.10 9.08%
Trade id #115643760
Max drawdown($3,629)
Time5/17/18 15:49
Quant open1,142
Worst price16.93
Drawdown as % of equity-9.08%
($1,725)
Includes Typical Broker Commissions trade costs of $13.00
4/2/18 9:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 37 139.91 5/1 9:47 142.00 1.3%
Trade id #117323932
Max drawdown($539)
Time4/4/18 6:21
Quant open37
Worst price125.33
Drawdown as % of equity-1.30%
$76
Includes Typical Broker Commissions trade costs of $0.74
10/2/17 9:57 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,105 40.87 4/2/18 9:39 41.75 9.01%
Trade id #113971540
Max drawdown($3,510)
Time2/9/18 13:39
Quant open885
Worst price36.82
Drawdown as % of equity-9.01%
$960
Includes Typical Broker Commissions trade costs of $9.39
12/1/17 9:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 26 135.26 1/2/18 10:08 143.47 0.38%
Trade id #115139499
Max drawdown($170)
Time12/5/17 6:10
Quant open26
Worst price128.70
Drawdown as % of equity-0.38%
$212
Includes Typical Broker Commissions trade costs of $0.52
9/1/17 10:11 TQQQ PROSHARES ULTRAPRO QQQ LONG 97 114.88 12/1 9:30 122.83 1.99%
Trade id #113492019
Max drawdown($798)
Time9/25/17 14:37
Quant open97
Worst price106.65
Drawdown as % of equity-1.99%
$769
Includes Typical Broker Commissions trade costs of $1.94
9/1/17 10:12 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 1,284 21.89 10/2 9:53 20.97 5.36%
Trade id #113492099
Max drawdown($2,105)
Time10/2/17 4:35
Quant open1,284
Worst price20.25
Drawdown as % of equity-5.36%
($1,186)
Includes Typical Broker Commissions trade costs of $5.00
7/3/17 9:32 SPXL DIREXION DAILY S&P500 BULL 3X LONG 1,102 35.34 9/1 10:10 36.29 4.24%
Trade id #112383261
Max drawdown($1,630)
Time8/21/17 10:22
Quant open1,102
Worst price33.86
Drawdown as % of equity-4.24%
$1,039
Includes Typical Broker Commissions trade costs of $9.47
6/1/17 9:59 TMF DIREXION DAILY 20+ YR TRSY BUL LONG 924 20.44 8/1 9:38 20.50 1.25%
Trade id #111869125
Max drawdown($486)
Time7/7/17 9:02
Quant open760
Worst price19.80
Drawdown as % of equity-1.25%
$52
Includes Typical Broker Commissions trade costs of $6.64
10/31/16 15:02 TQQQ PROSHARES ULTRAPRO QQQ LONG 433 63.61 7/3/17 9:30 95.33 n/a $13,725
Includes Typical Broker Commissions trade costs of $8.66
4/5/17 10:25 SPXL DIREXION DAILY S&P500 BULL 3X LONG 560 32.19 6/1 9:57 33.70 1.55%
Trade id #110724429
Max drawdown($575)
Time5/18/17 5:57
Quant open484
Worst price31.00
Drawdown as % of equity-1.55%
$837
Includes Typical Broker Commissions trade costs of $8.10

Statistics

  • Strategy began
    10/31/2016
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    934.05
  • Age
    31 months ago
  • What it trades
    Stocks
  • # Trades
    17
  • # Profitable
    13
  • % Profitable
    76.50%
  • Avg trade duration
    99.7 days
  • Max peak-to-valley drawdown
    28.88%
  • drawdown period
    Jan 26, 2018 - Feb 09, 2018
  • Annual Return (Compounded)
    27.9%
  • Avg win
    $2,096
  • Avg loss
    $822.00
  • Model Account Values (Raw)
  • Cash
    $15,282
  • Margin Used
    $0
  • Buying Power
    $15,679
  • Ratios
  • W:L ratio
    9.59:1
  • Sharpe Ratio
    1.02
  • Sortino Ratio
    1.39
  • Calmar Ratio
    1.331
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.43140
  • Return Statistics
  • Ann Return (w trading costs)
    27.9%
  • Ann Return (Compnd, No Fees)
    32.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    32.00%
  • Chance of 20% account loss
    10.00%
  • Chance of 30% account loss
    1.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    551
  • Popularity (Last 6 weeks)
    921
  • C2 Score
    87.3
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    15
  • Win / Loss
  • Avg Loss
    $822
  • Avg Win
    $2,097
  • # Winners
    13
  • # Losers
    4
  • % Winners
    76.5%
  • Frequency
  • Avg Position Time (mins)
    143581.00
  • Avg Position Time (hrs)
    2393.01
  • Avg Trade Length
    99.7 days
  • Last Trade Ago
    26
  • Leverage
  • Daily leverage (average)
    2.84
  • Daily leverage (max)
    3.23
  • Unknown
  • Alpha
    0.05
  • Beta
    0.76
  • Treynor Index
    0.10
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28751
  • SD
    0.22211
  • Sharpe ratio (Glass type estimate)
    1.29442
  • Sharpe ratio (Hedges UMVUE)
    1.26060
  • df
    29.00000
  • t
    2.04666
  • p
    0.02493
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00086
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.56725
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02074
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54194
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.35515
  • Upside Potential Ratio
    3.94893
  • Upside part of mean
    0.48207
  • Downside part of mean
    -0.19456
  • Upside SD
    0.19919
  • Downside SD
    0.12208
  • N nonnegative terms
    20.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.08854
  • Mean of criterion
    0.28751
  • SD of predictor
    0.09228
  • SD of criterion
    0.22211
  • Covariance
    0.01099
  • r
    0.53626
  • b (slope, estimate of beta)
    1.29072
  • a (intercept, estimate of alpha)
    0.17322
  • Mean Square Error
    0.03640
  • DF error
    28.00000
  • t(b)
    3.36193
  • p(b)
    0.00113
  • t(a)
    1.38175
  • p(a)
    0.08899
  • Lowerbound of 95% confidence interval for beta
    0.50429
  • Upperbound of 95% confidence interval for beta
    2.07715
  • Lowerbound of 95% confidence interval for alpha
    -0.08357
  • Upperbound of 95% confidence interval for alpha
    0.43002
  • Treynor index (mean / b)
    0.22275
  • Jensen alpha (a)
    0.17322
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26040
  • SD
    0.21956
  • Sharpe ratio (Glass type estimate)
    1.18599
  • Sharpe ratio (Hedges UMVUE)
    1.15500
  • df
    29.00000
  • t
    1.87521
  • p
    0.03543
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09992
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.45267
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.11973
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42973
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.03761
  • Upside Potential Ratio
    3.61838
  • Upside part of mean
    0.46242
  • Downside part of mean
    -0.20202
  • Upside SD
    0.18952
  • Downside SD
    0.12780
  • N nonnegative terms
    20.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.08391
  • Mean of criterion
    0.26040
  • SD of predictor
    0.09256
  • SD of criterion
    0.21956
  • Covariance
    0.01079
  • r
    0.53113
  • b (slope, estimate of beta)
    1.25986
  • a (intercept, estimate of alpha)
    0.15469
  • Mean Square Error
    0.03584
  • DF error
    28.00000
  • t(b)
    3.31703
  • p(b)
    0.00126
  • t(a)
    1.24839
  • p(a)
    0.11111
  • Lowerbound of 95% confidence interval for beta
    0.48184
  • Upperbound of 95% confidence interval for beta
    2.03787
  • Lowerbound of 95% confidence interval for alpha
    -0.09913
  • Upperbound of 95% confidence interval for alpha
    0.40850
  • Treynor index (mean / b)
    0.20669
  • Jensen alpha (a)
    0.15469
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07924
  • Expected Shortfall on VaR
    0.10306
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02816
  • Expected Shortfall on VaR
    0.06061
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    30.00000
  • Minimum
    0.88074
  • Quartile 1
    0.98440
  • Median
    1.03311
  • Quartile 3
    1.07052
  • Maximum
    1.15783
  • Mean of quarter 1
    0.94231
  • Mean of quarter 2
    1.01483
  • Mean of quarter 3
    1.05140
  • Mean of quarter 4
    1.09831
  • Inter Quartile Range
    0.08611
  • 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)
    -0.51075
  • VaR(95%) (moments method)
    0.05273
  • Expected Shortfall (moments method)
    0.06204
  • Extreme Value Index (regression method)
    -0.30516
  • VaR(95%) (regression method)
    0.07894
  • Expected Shortfall (regression method)
    0.10023
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.04610
  • Quartile 1
    0.05729
  • Median
    0.06207
  • Quartile 3
    0.09111
  • Maximum
    0.17512
  • Mean of quarter 1
    0.04610
  • Mean of quarter 2
    0.06102
  • Mean of quarter 3
    0.06311
  • Mean of quarter 4
    0.17512
  • Inter Quartile Range
    0.03383
  • 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
    0.17512
  • 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)
    0.42240
  • Compounded annual return (geometric extrapolation)
    0.33416
  • Calmar ratio (compounded annual return / max draw down)
    1.90825
  • Compounded annual return / average of 25% largest draw downs
    1.90825
  • Compounded annual return / Expected Shortfall lognormal
    3.24246
  • 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
    0.29062
  • SD
    0.21026
  • Sharpe ratio (Glass type estimate)
    1.38218
  • Sharpe ratio (Hedges UMVUE)
    1.38062
  • df
    662.00000
  • t
    2.19873
  • p
    0.01412
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.14737
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.61604
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14629
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.61495
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.91281
  • Upside Potential Ratio
    8.89990
  • Upside part of mean
    1.35219
  • Downside part of mean
    -1.06157
  • Upside SD
    0.14622
  • Downside SD
    0.15193
  • N nonnegative terms
    375.00000
  • N negative terms
    288.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    663.00000
  • Mean of predictor
    0.09217
  • Mean of criterion
    0.29062
  • SD of predictor
    0.12786
  • SD of criterion
    0.21026
  • Covariance
    0.01173
  • r
    0.43627
  • b (slope, estimate of beta)
    0.71744
  • a (intercept, estimate of alpha)
    0.22400
  • Mean Square Error
    0.03585
  • DF error
    661.00000
  • t(b)
    12.46520
  • p(b)
    -0.00000
  • t(a)
    1.88421
  • p(a)
    0.02999
  • Lowerbound of 95% confidence interval for beta
    0.60442
  • Upperbound of 95% confidence interval for beta
    0.83045
  • Lowerbound of 95% confidence interval for alpha
    -0.00945
  • Upperbound of 95% confidence interval for alpha
    0.45843
  • Treynor index (mean / b)
    0.40508
  • Jensen alpha (a)
    0.22449
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.26824
  • SD
    0.21120
  • Sharpe ratio (Glass type estimate)
    1.27006
  • Sharpe ratio (Hedges UMVUE)
    1.26862
  • df
    662.00000
  • t
    2.02037
  • p
    0.02187
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03560
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.50357
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03464
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.50260
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.73524
  • Upside Potential Ratio
    8.67811
  • Upside part of mean
    1.34151
  • Downside part of mean
    -1.07326
  • Upside SD
    0.14463
  • Downside SD
    0.15459
  • N nonnegative terms
    375.00000
  • N negative terms
    288.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    663.00000
  • Mean of predictor
    0.08397
  • Mean of criterion
    0.26824
  • SD of predictor
    0.12810
  • SD of criterion
    0.21120
  • Covariance
    0.01184
  • r
    0.43760
  • b (slope, estimate of beta)
    0.72151
  • a (intercept, estimate of alpha)
    0.20766
  • Mean Square Error
    0.03612
  • DF error
    661.00000
  • t(b)
    12.51220
  • p(b)
    -0.00000
  • t(a)
    1.73670
  • p(a)
    0.04145
  • Lowerbound of 95% confidence interval for beta
    0.60828
  • Upperbound of 95% confidence interval for beta
    0.83474
  • Lowerbound of 95% confidence interval for alpha
    -0.02713
  • Upperbound of 95% confidence interval for alpha
    0.44244
  • Treynor index (mean / b)
    0.37178
  • Jensen alpha (a)
    0.20766
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02023
  • Expected Shortfall on VaR
    0.02555
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00840
  • Expected Shortfall on VaR
    0.01773
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    663.00000
  • Minimum
    0.92341
  • Quartile 1
    0.99564
  • Median
    1.00182
  • Quartile 3
    1.00820
  • Maximum
    1.04219
  • Mean of quarter 1
    0.98522
  • Mean of quarter 2
    0.99905
  • Mean of quarter 3
    1.00474
  • Mean of quarter 4
    1.01588
  • Inter Quartile Range
    0.01256
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.04676
  • Mean of outliers low
    0.96615
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.02262
  • Mean of outliers high
    1.03409
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28288
  • VaR(95%) (moments method)
    0.01324
  • Expected Shortfall (moments method)
    0.02285
  • Extreme Value Index (regression method)
    0.11845
  • VaR(95%) (regression method)
    0.01374
  • Expected Shortfall (regression method)
    0.02100
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    36.00000
  • Minimum
    0.00110
  • Quartile 1
    0.00471
  • Median
    0.00881
  • Quartile 3
    0.03789
  • Maximum
    0.25899
  • Mean of quarter 1
    0.00201
  • Mean of quarter 2
    0.00721
  • Mean of quarter 3
    0.02279
  • Mean of quarter 4
    0.09280
  • Inter Quartile Range
    0.03318
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    0.15793
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.39659
  • VaR(95%) (moments method)
    0.10335
  • Expected Shortfall (moments method)
    0.18714
  • Extreme Value Index (regression method)
    0.55787
  • VaR(95%) (regression method)
    0.10518
  • Expected Shortfall (regression method)
    0.23164
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.44092
  • Compounded annual return (geometric extrapolation)
    0.34467
  • Calmar ratio (compounded annual return / max draw down)
    1.33084
  • Compounded annual return / average of 25% largest draw downs
    3.71425
  • Compounded annual return / Expected Shortfall lognormal
    13.49150
  • 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
    0.25158
  • SD
    0.18285
  • Sharpe ratio (Glass type estimate)
    1.37590
  • Sharpe ratio (Hedges UMVUE)
    1.36794
  • df
    130.00000
  • t
    0.97291
  • p
    0.45749
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.40349
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.15021
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40885
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.14473
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.05011
  • Upside Potential Ratio
    10.09400
  • Upside part of mean
    1.23870
  • Downside part of mean
    -0.98711
  • Upside SD
    0.13550
  • Downside SD
    0.12272
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08186
  • Mean of criterion
    0.25158
  • SD of predictor
    0.17132
  • SD of criterion
    0.18285
  • Covariance
    0.01089
  • r
    0.34776
  • b (slope, estimate of beta)
    0.37116
  • a (intercept, estimate of alpha)
    0.22120
  • Mean Square Error
    0.02962
  • DF error
    129.00000
  • t(b)
    4.21272
  • p(b)
    0.28316
  • t(a)
    0.90843
  • p(a)
    0.44930
  • Lowerbound of 95% confidence interval for beta
    0.19684
  • Upperbound of 95% confidence interval for beta
    0.54547
  • Lowerbound of 95% confidence interval for alpha
    -0.26056
  • Upperbound of 95% confidence interval for alpha
    0.70295
  • Treynor index (mean / b)
    0.67783
  • Jensen alpha (a)
    0.22120
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23486
  • SD
    0.18286
  • Sharpe ratio (Glass type estimate)
    1.28437
  • Sharpe ratio (Hedges UMVUE)
    1.27694
  • df
    130.00000
  • t
    0.90819
  • p
    0.46030
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.49425
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.05815
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.49920
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.05309
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.89407
  • Upside Potential Ratio
    9.91570
  • Upside part of mean
    1.22950
  • Downside part of mean
    -0.99464
  • Upside SD
    0.13423
  • Downside SD
    0.12399
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06731
  • Mean of criterion
    0.23486
  • SD of predictor
    0.17110
  • SD of criterion
    0.18286
  • Covariance
    0.01095
  • r
    0.35005
  • b (slope, estimate of beta)
    0.37410
  • a (intercept, estimate of alpha)
    0.20968
  • Mean Square Error
    0.02957
  • DF error
    129.00000
  • t(b)
    4.24429
  • p(b)
    0.28179
  • t(a)
    0.86198
  • p(a)
    0.45187
  • Lowerbound of 95% confidence interval for beta
    0.19971
  • Upperbound of 95% confidence interval for beta
    0.54849
  • Lowerbound of 95% confidence interval for alpha
    -0.27160
  • Upperbound of 95% confidence interval for alpha
    0.69095
  • Treynor index (mean / b)
    0.62779
  • Jensen alpha (a)
    0.20968
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01753
  • Expected Shortfall on VaR
    0.02215
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00840
  • Expected Shortfall on VaR
    0.01642
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96513
  • Quartile 1
    0.99546
  • Median
    1.00054
  • Quartile 3
    1.00783
  • Maximum
    1.02942
  • Mean of quarter 1
    0.98712
  • Mean of quarter 2
    0.99817
  • Mean of quarter 3
    1.00391
  • Mean of quarter 4
    1.01515
  • Inter Quartile Range
    0.01237
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.97187
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.02860
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.06930
  • VaR(95%) (moments method)
    0.01160
  • Expected Shortfall (moments method)
    0.01656
  • Extreme Value Index (regression method)
    -0.09685
  • VaR(95%) (regression method)
    0.01114
  • Expected Shortfall (regression method)
    0.01453
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00110
  • Quartile 1
    0.00507
  • Median
    0.01002
  • Quartile 3
    0.02535
  • Maximum
    0.11068
  • Mean of quarter 1
    0.00343
  • Mean of quarter 2
    0.00803
  • Mean of quarter 3
    0.01608
  • Mean of quarter 4
    0.08420
  • Inter Quartile Range
    0.02028
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    0.10968
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.23068
  • VaR(95%) (moments method)
    0.06825
  • Expected Shortfall (moments method)
    0.08725
  • Extreme Value Index (regression method)
    -2.67789
  • VaR(95%) (regression method)
    0.08434
  • Expected Shortfall (regression method)
    0.08474
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28081
  • Compounded annual return (geometric extrapolation)
    0.30052
  • Calmar ratio (compounded annual return / max draw down)
    2.71511
  • Compounded annual return / average of 25% largest draw downs
    3.56892
  • Compounded annual return / Expected Shortfall lognormal
    13.56850

Strategy Description

Dual Leverage is a Adaptive Asset Allocation (AAA) Strategy.

*Adaptive Asset Allocation (AAA) is based on the Nobel Prize winning portfolio theory of Markowitz (1952).
*AAA combines asset’s momentum, volatilities, and cross-correlations for building diversified investment portfolios.
*In a tactical application AAA exploits momentum for crash detection and results in consistent returns at mitigated risk levels.
*In up-trending markets capital is allocated into offensive assets, like stocks, some ETFs, REITs, and commodities, while during market sell-offs especially intermediate US-treasuries are in vogue or ETFs and Stocks with low correlation.

This strategy opens the possibility of capturing high returns in the short term of the leveraged ETFs. Through the use of ETFs with a low correlation between them, we seek to identify market anomalies with a Low ratio: Risk / Reward.

Through a quantitative methodology called "Adaptive Asset Allocation" (AAA), this strategy allows to adapt each month, both the composition of the portfolio and the size of each position. In this way, it seeks to maximize profitability over the medium term and control portfolio volatility.

The system has been backtested from 2011 and in this testing has produced consistently profitable results. Based on this backtesting staking levels are set to target an average return of around 100% every two years.
Backtesting data is hypothetical and it has not been verified by C2.
My system generates around 50 trades a year. This is not a high frequency system, we would expect 4 trades per month on average . This is a purely mechanical system with no discretionary elements. If you wish to receive the results of the Back Testing applied to this strategy, feel free to request them.

I invite you to see an additional strategy that has been recording similar results: https://collective2.com/details/106187009

Summary Statistics

Strategy began
2016-10-31
Suggested Minimum Capital
$15,000
# Trades
17
# Profitable
13
% Profitable
76.5%
Net Dividends
Correlation S&P500
0.431
Sharpe Ratio
1.02
Sortino Ratio
1.39
Beta
0.76
Alpha
0.05
Leverage
2.84 Average
3.23 Maximum

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 nominal 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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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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