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Risk Parity Opportunity
(113470933)

Created by: JohnNetto2 JohnNetto2
Started: 08/2017
Futures
Last trade: Yesterday
Trading style: Equity 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. You can subscribe to this system for free.

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
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.
21.3%
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.

(13.1%)
Max Drawdown
278
Num Trades
59.7%
Win Trades
1.7 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                                   -    -    -    -    -  0.0
2018+0.1%+3.8%(2.7%)(5.3%)+13.2%+5.9%+8.8%(5.7%)(5%)+1.5%  -  +1.7%+15.2%
2019+5.6%+1.2%+2.3%+3.1%+2.7%+4.0%+3.1%+2.7%                        +27.5%

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 7 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/22/19 9:59 QNGU9 Natural Gas SHORT 10 2.177 8/22 10:31 2.184 n/a ($780)
Includes Typical Broker Commissions trade costs of $80.00
8/21/19 9:52 QCLV9 CRUDE OIL LONG 3 56.97 8/21 10:33 56.55 0.38%
Trade id #125018162
Max drawdown($1,410)
Time8/21/19 10:31
Quant open3
Worst price56.50
Drawdown as % of equity-0.38%
($1,284)
Includes Typical Broker Commissions trade costs of $24.00
8/14/19 16:08 @ESU9 E-MINI S&P 500 SHORT 10 2838.00 8/15 11:07 2842.25 4.55%
Trade id #124938001
Max drawdown($16,875)
Time8/14/19 16:08
Quant open10
Worst price2871.75
Drawdown as % of equity-4.55%
($2,205)
Includes Typical Broker Commissions trade costs of $80.00
8/14/19 15:32 @ESU9 E-MINI S&P 500 SHORT 10 2840.75 8/14 16:02 2842.88 1.21%
Trade id #124937082
Max drawdown($4,500)
Time8/14/19 15:32
Quant open10
Worst price2849.75
Drawdown as % of equity-1.21%
($1,143)
Includes Typical Broker Commissions trade costs of $80.00
8/14/19 8:01 QCLU9 CRUDE OIL SHORT 10 55.12 8/14 10:30 55.23 0.38%
Trade id #124926364
Max drawdown($1,420)
Time8/14/19 8:01
Quant open4
Worst price55.63
Drawdown as % of equity-0.38%
($1,220)
Includes Typical Broker Commissions trade costs of $80.00
8/7/19 14:52 @ESU9 E-MINI S&P 500 SHORT 2 2881.88 8/8 9:17 2900.00 1.57%
Trade id #124821228
Max drawdown($5,887)
Time8/7/19 14:52
Quant open2
Worst price2940.75
Drawdown as % of equity-1.57%
($1,829)
Includes Typical Broker Commissions trade costs of $16.00
8/7/19 11:05 @ESU9 E-MINI S&P 500 SHORT 4 2858.25 8/7 12:30 2849.88 0.45%
Trade id #124814315
Max drawdown($1,700)
Time8/7/19 11:05
Quant open4
Worst price2866.75
Drawdown as % of equity-0.45%
$1,643
Includes Typical Broker Commissions trade costs of $32.00
8/7/19 10:24 QCLU9 CRUDE OIL SHORT 8 52.18 8/7 10:30 51.85 0.5%
Trade id #124813052
Max drawdown($1,840)
Time8/7/19 10:24
Quant open8
Worst price52.41
Drawdown as % of equity-0.50%
$2,576
Includes Typical Broker Commissions trade costs of $64.00
8/6/19 15:46 QCLU9 CRUDE OIL SHORT 10 53.67 8/6 16:34 53.74 0.38%
Trade id #124798452
Max drawdown($1,400)
Time8/6/19 15:46
Quant open10
Worst price53.81
Drawdown as % of equity-0.38%
($780)
Includes Typical Broker Commissions trade costs of $80.00
8/6/19 14:31 QCLU9 CRUDE OIL LONG 1 53.56 8/6 14:31 53.54 0.01%
Trade id #124797028
Max drawdown($20)
Time8/6/19 14:31
Quant open1
Worst price53.54
Drawdown as % of equity-0.01%
($28)
Includes Typical Broker Commissions trade costs of $8.00
8/6/19 8:39 QCLU9 CRUDE OIL SHORT 6 54.84 8/6 14:31 54.20 0.2%
Trade id #124787620
Max drawdown($720)
Time8/6/19 8:39
Quant open3
Worst price55.14
Drawdown as % of equity-0.20%
$3,792
Includes Typical Broker Commissions trade costs of $48.00
8/1/19 21:39 QGCZ9 Gold 100 oz LONG 2 1445.0 8/2 9:01 1443.3 0.14%
Trade id #124730334
Max drawdown($500)
Time8/1/19 21:39
Quant open2
Worst price1442.5
Drawdown as % of equity-0.14%
($356)
Includes Typical Broker Commissions trade costs of $16.00
8/1/19 10:14 @ESU9 E-MINI S&P 500 SHORT 2 2994.00 8/1 18:18 2947.50 0.56%
Trade id #124716335
Max drawdown($2,025)
Time8/1/19 10:14
Quant open2
Worst price3014.25
Drawdown as % of equity-0.56%
$4,634
Includes Typical Broker Commissions trade costs of $16.00
8/1/19 11:19 QGCZ9 Gold 100 oz LONG 2 1427.0 8/1 18:18 1453.1 0.07%
Trade id #124718605
Max drawdown($260)
Time8/1/19 11:19
Quant open2
Worst price1425.7
Drawdown as % of equity-0.07%
$5,204
Includes Typical Broker Commissions trade costs of $16.00
8/1/19 0:15 QNGU9 Natural Gas LONG 2 2.234 8/1 8:30 2.307 0.03%
Trade id #124708654
Max drawdown($100)
Time8/1/19 0:15
Quant open2
Worst price2.229
Drawdown as % of equity-0.03%
$1,444
Includes Typical Broker Commissions trade costs of $16.00
7/31/19 8:28 QCLU9 CRUDE OIL LONG 12 58.47 7/31 10:31 58.64 0.42%
Trade id #124692784
Max drawdown($1,500)
Time7/31/19 8:28
Quant open12
Worst price58.34
Drawdown as % of equity-0.42%
$2,004
Includes Typical Broker Commissions trade costs of $96.00
7/19/19 10:03 QGCQ9 Gold 100 oz LONG 4 1442.6 7/19 10:09 1437.7 0.55%
Trade id #124533025
Max drawdown($1,960)
Time7/19/19 10:09
Quant open4
Worst price1437.7
Drawdown as % of equity-0.55%
($1,992)
Includes Typical Broker Commissions trade costs of $32.00
7/17/19 11:50 QGCQ9 Gold 100 oz LONG 8 1427.2 7/18 8:35 1420.4 2.55%
Trade id #124499643
Max drawdown($9,240)
Time7/17/19 11:50
Quant open8
Worst price1415.6
Drawdown as % of equity-2.55%
($5,464)
Includes Typical Broker Commissions trade costs of $64.00
7/17/19 10:17 QCLQ9 CRUDE OIL SHORT 12 57.94 7/17 10:31 57.78 0.13%
Trade id #124496398
Max drawdown($480)
Time7/17/19 10:17
Quant open12
Worst price57.98
Drawdown as % of equity-0.13%
$1,824
Includes Typical Broker Commissions trade costs of $96.00
7/16/19 22:44 QCLQ9 CRUDE OIL SHORT 4 57.59 7/17 9:07 58.29 0.85%
Trade id #124487896
Max drawdown($3,080)
Time7/16/19 22:44
Quant open4
Worst price58.36
Drawdown as % of equity-0.85%
($2,832)
Includes Typical Broker Commissions trade costs of $32.00
7/16/19 15:18 QCLQ9 CRUDE OIL SHORT 10 57.96 7/16 16:31 57.71 0.78%
Trade id #124484732
Max drawdown($2,820)
Time7/16/19 15:18
Quant open10
Worst price58.24
Drawdown as % of equity-0.78%
$2,400
Includes Typical Broker Commissions trade costs of $80.00
7/16/19 14:23 QCLQ9 CRUDE OIL SHORT 4 57.49 7/16 14:35 57.80 0.38%
Trade id #124483385
Max drawdown($1,380)
Time7/16/19 14:23
Quant open4
Worst price57.84
Drawdown as % of equity-0.38%
($1,252)
Includes Typical Broker Commissions trade costs of $32.00
7/16/19 13:29 QCLQ9 CRUDE OIL SHORT 4 57.88 7/16 13:51 57.35 0.11%
Trade id #124481796
Max drawdown($400)
Time7/16/19 13:29
Quant open4
Worst price57.98
Drawdown as % of equity-0.11%
$2,068
Includes Typical Broker Commissions trade costs of $32.00
7/10/19 10:25 QCLQ9 CRUDE OIL LONG 8 59.46 7/10 10:31 59.67 0.16%
Trade id #124402517
Max drawdown($560)
Time7/10/19 10:25
Quant open8
Worst price59.39
Drawdown as % of equity-0.16%
$1,616
Includes Typical Broker Commissions trade costs of $64.00
7/9/19 14:26 QCLQ9 CRUDE OIL LONG 12 57.97 7/9 16:30 58.43 0.17%
Trade id #124391970
Max drawdown($600)
Time7/9/19 14:26
Quant open4
Worst price57.76
Drawdown as % of equity-0.17%
$5,464
Includes Typical Broker Commissions trade costs of $96.00
7/8/19 13:05 QCLQ9 CRUDE OIL LONG 1 57.96 7/8 15:03 57.47 0.17%
Trade id #124375512
Max drawdown($610)
Time7/8/19 13:05
Quant open1
Worst price57.35
Drawdown as % of equity-0.17%
($498)
Includes Typical Broker Commissions trade costs of $8.00
7/1/19 10:15 @CZ9 CORN SHORT 2 422 1/4 7/3 10:15 434 1/4 0.34%
Trade id #124288972
Max drawdown($1,200)
Time7/3/19 10:15
Quant open2
Worst price434 1/4
Drawdown as % of equity-0.34%
($1,216)
Includes Typical Broker Commissions trade costs of $16.00
7/2/19 12:23 QGCQ9 Gold 100 oz LONG 3 1406.9 7/2 18:15 1435.5 0.08%
Trade id #124311315
Max drawdown($270)
Time7/2/19 12:23
Quant open3
Worst price1406.0
Drawdown as % of equity-0.08%
$8,556
Includes Typical Broker Commissions trade costs of $24.00
6/30/19 18:12 @ESU9 E-MINI S&P 500 SHORT 3 2973.00 6/30 19:28 2970.50 0.11%
Trade id #124281003
Max drawdown($375)
Time6/30/19 18:12
Quant open3
Worst price2975.50
Drawdown as % of equity-0.11%
$351
Includes Typical Broker Commissions trade costs of $24.00
6/27/19 6:55 @TYU9 US T-NOTE 10 YR LONG 2 127 42/64 6/27 11:08 127 48/64 0.02%
Trade id #124251406
Max drawdown($62)
Time6/27/19 6:55
Quant open2
Worst price127 40/64
Drawdown as % of equity-0.02%
$172
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    8/31/2017
  • Suggested Minimum Cap
    $140,000
  • Strategy Age (days)
    721.75
  • Age
    24 months ago
  • What it trades
    Futures
  • # Trades
    278
  • # Profitable
    166
  • % Profitable
    59.70%
  • Avg trade duration
    11.6 hours
  • Max peak-to-valley drawdown
    13.11%
  • drawdown period
    Aug 06, 2018 - Sept 19, 2018
  • Annual Return (Compounded)
    21.3%
  • Avg win
    $1,940
  • Avg loss
    $1,674
  • Model Account Values (Raw)
  • Cash
    $384,576
  • Margin Used
    $0
  • Buying Power
    $384,576
  • Ratios
  • W:L ratio
    1.72:1
  • Sharpe Ratio
    1.51
  • Sortino Ratio
    2.36
  • Calmar Ratio
    2.19
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.00420
  • Return Statistics
  • Ann Return (w trading costs)
    21.3%
  • Ann Return (Compnd, No Fees)
    24.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    0.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    821
  • Popularity (Last 6 weeks)
    939
  • C2 Score
    895
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,675
  • Avg Win
    $1,941
  • # Winners
    166
  • # Losers
    112
  • % Winners
    59.7%
  • Frequency
  • Avg Position Time (mins)
    696.93
  • Avg Position Time (hrs)
    11.62
  • Avg Trade Length
    0.5 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    3.84
  • Daily leverage (max)
    29.05
  • Regression
  • Alpha
    0.05
  • Beta
    -0.00
  • Treynor Index
    -17.62
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    3.392
  • Avg(MAE) / Avg(PL) - Winning trades
    0.433
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.475
  • Hold-and-Hope Ratio
    0.293
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20269
  • SD
    0.15662
  • Sharpe ratio (Glass type estimate)
    1.29420
  • Sharpe ratio (Hedges UMVUE)
    1.24733
  • df
    21.00000
  • t
    1.75236
  • p
    0.27755
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21897
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77882
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24855
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74320
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.18874
  • Upside Potential Ratio
    3.28456
  • Upside part of mean
    0.30417
  • Downside part of mean
    -0.10148
  • Upside SD
    0.13514
  • Downside SD
    0.09261
  • N nonnegative terms
    16.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.09262
  • Mean of criterion
    0.20269
  • SD of predictor
    0.14639
  • SD of criterion
    0.15662
  • Covariance
    0.00766
  • r
    0.33408
  • b (slope, estimate of beta)
    0.35742
  • a (intercept, estimate of alpha)
    0.16959
  • Mean Square Error
    0.02288
  • DF error
    20.00000
  • t(b)
    1.58514
  • p(b)
    0.33296
  • t(a)
    1.49221
  • p(a)
    0.34174
  • Lowerbound of 95% confidence interval for beta
    -0.11293
  • Upperbound of 95% confidence interval for beta
    0.82778
  • Lowerbound of 95% confidence interval for alpha
    -0.06748
  • Upperbound of 95% confidence interval for alpha
    0.40666
  • Treynor index (mean / b)
    0.56710
  • Jensen alpha (a)
    0.16959
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18909
  • SD
    0.15553
  • Sharpe ratio (Glass type estimate)
    1.21577
  • Sharpe ratio (Hedges UMVUE)
    1.17174
  • df
    21.00000
  • t
    1.64617
  • p
    0.28895
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.29069
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.69519
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31853
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.66202
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.95411
  • Upside Potential Ratio
    3.04730
  • Upside part of mean
    0.29488
  • Downside part of mean
    -0.10578
  • Upside SD
    0.12926
  • Downside SD
    0.09677
  • N nonnegative terms
    16.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.08156
  • Mean of criterion
    0.18909
  • SD of predictor
    0.14994
  • SD of criterion
    0.15553
  • Covariance
    0.00752
  • r
    0.32252
  • b (slope, estimate of beta)
    0.33455
  • a (intercept, estimate of alpha)
    0.16181
  • Mean Square Error
    0.02276
  • DF error
    20.00000
  • t(b)
    1.52377
  • p(b)
    0.33874
  • t(a)
    1.43387
  • p(a)
    0.34734
  • Lowerbound of 95% confidence interval for beta
    -0.12343
  • Upperbound of 95% confidence interval for beta
    0.79254
  • Lowerbound of 95% confidence interval for alpha
    -0.07359
  • Upperbound of 95% confidence interval for alpha
    0.39720
  • Treynor index (mean / b)
    0.56521
  • Jensen alpha (a)
    0.16181
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05644
  • Expected Shortfall on VaR
    0.07385
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01190
  • Expected Shortfall on VaR
    0.02987
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.90749
  • Quartile 1
    1.00205
  • Median
    1.02127
  • Quartile 3
    1.03661
  • Maximum
    1.13155
  • Mean of quarter 1
    0.97132
  • Mean of quarter 2
    1.01379
  • Mean of quarter 3
    1.02875
  • Mean of quarter 4
    1.06370
  • Inter Quartile Range
    0.03457
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.91396
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04545
  • Mean of outliers high
    1.13155
  • 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)
    -3.62021
  • VaR(95%) (regression method)
    0.18485
  • Expected Shortfall (regression method)
    0.18949
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.07957
  • Quartile 1
    0.08280
  • Median
    0.08604
  • Quartile 3
    0.08927
  • Maximum
    0.09251
  • Mean of quarter 1
    0.07957
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09251
  • Inter Quartile Range
    0.00647
  • 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)
    0.26651
  • Compounded annual return (geometric extrapolation)
    0.24234
  • Calmar ratio (compounded annual return / max draw down)
    2.61967
  • Compounded annual return / average of 25% largest draw downs
    2.61967
  • Compounded annual return / Expected Shortfall lognormal
    3.28166
  • 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
    0.20315
  • SD
    0.09846
  • Sharpe ratio (Glass type estimate)
    2.06333
  • Sharpe ratio (Hedges UMVUE)
    2.06022
  • df
    498.00000
  • t
    2.84753
  • p
    0.00229
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.63635
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.48828
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63428
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.48617
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.26723
  • Upside Potential Ratio
    7.65985
  • Upside part of mean
    0.47628
  • Downside part of mean
    -0.27313
  • Upside SD
    0.07724
  • Downside SD
    0.06218
  • N nonnegative terms
    140.00000
  • N negative terms
    359.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    499.00000
  • Mean of predictor
    0.07080
  • Mean of criterion
    0.20315
  • SD of predictor
    0.14575
  • SD of criterion
    0.09846
  • Covariance
    0.00008
  • r
    0.00563
  • b (slope, estimate of beta)
    0.00380
  • a (intercept, estimate of alpha)
    0.20300
  • Mean Square Error
    0.00971
  • DF error
    497.00000
  • t(b)
    0.12546
  • p(b)
    0.45011
  • t(a)
    2.83967
  • p(a)
    0.00235
  • Lowerbound of 95% confidence interval for beta
    -0.05573
  • Upperbound of 95% confidence interval for beta
    0.06334
  • Lowerbound of 95% confidence interval for alpha
    0.06251
  • Upperbound of 95% confidence interval for alpha
    0.34325
  • Treynor index (mean / b)
    53.43860
  • Jensen alpha (a)
    0.20288
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19822
  • SD
    0.09841
  • Sharpe ratio (Glass type estimate)
    2.01418
  • Sharpe ratio (Hedges UMVUE)
    2.01114
  • df
    498.00000
  • t
    2.77970
  • p
    0.00282
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.58753
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.43892
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.58547
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.43682
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.15169
  • Upside Potential Ratio
    7.52515
  • Upside part of mean
    0.47328
  • Downside part of mean
    -0.27506
  • Upside SD
    0.07655
  • Downside SD
    0.06289
  • N nonnegative terms
    140.00000
  • N negative terms
    359.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    499.00000
  • Mean of predictor
    0.06015
  • Mean of criterion
    0.19822
  • SD of predictor
    0.14612
  • SD of criterion
    0.09841
  • Covariance
    0.00007
  • r
    0.00489
  • b (slope, estimate of beta)
    0.00329
  • a (intercept, estimate of alpha)
    0.19802
  • Mean Square Error
    0.00970
  • DF error
    497.00000
  • t(b)
    0.10901
  • p(b)
    0.45662
  • t(a)
    2.77326
  • p(a)
    0.00288
  • Lowerbound of 95% confidence interval for beta
    -0.05606
  • Upperbound of 95% confidence interval for beta
    0.06265
  • Lowerbound of 95% confidence interval for alpha
    0.05773
  • Upperbound of 95% confidence interval for alpha
    0.33831
  • Treynor index (mean / b)
    60.19030
  • Jensen alpha (a)
    0.19802
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00920
  • Expected Shortfall on VaR
    0.01171
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00295
  • Expected Shortfall on VaR
    0.00651
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    499.00000
  • Minimum
    0.96753
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00089
  • Maximum
    1.03607
  • Mean of quarter 1
    0.99614
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00008
  • Mean of quarter 4
    1.00730
  • Inter Quartile Range
    0.00089
  • Number outliers low
    65.00000
  • Percentage of outliers low
    0.13026
  • Mean of outliers low
    0.99281
  • Number of outliers high
    99.00000
  • Percentage of outliers high
    0.19840
  • Mean of outliers high
    1.00885
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.71518
  • VaR(95%) (moments method)
    0.00314
  • Expected Shortfall (moments method)
    0.01356
  • Extreme Value Index (regression method)
    0.45678
  • VaR(95%) (regression method)
    0.00316
  • Expected Shortfall (regression method)
    0.00799
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00223
  • Median
    0.00521
  • Quartile 3
    0.01849
  • Maximum
    0.11587
  • Mean of quarter 1
    0.00081
  • Mean of quarter 2
    0.00371
  • Mean of quarter 3
    0.00958
  • Mean of quarter 4
    0.05598
  • Inter Quartile Range
    0.01626
  • 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
    0.10526
  • Mean of outliers high
    0.10133
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.32163
  • VaR(95%) (moments method)
    0.05502
  • Expected Shortfall (moments method)
    0.10090
  • Extreme Value Index (regression method)
    0.44321
  • VaR(95%) (regression method)
    0.07729
  • Expected Shortfall (regression method)
    0.16798
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28263
  • Compounded annual return (geometric extrapolation)
    0.25373
  • Calmar ratio (compounded annual return / max draw down)
    2.18977
  • Compounded annual return / average of 25% largest draw downs
    4.53279
  • Compounded annual return / Expected Shortfall lognormal
    21.66280
  • 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
    0.36883
  • SD
    0.08243
  • Sharpe ratio (Glass type estimate)
    4.47424
  • Sharpe ratio (Hedges UMVUE)
    4.44837
  • df
    130.00000
  • t
    3.16376
  • p
    0.36631
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.64146
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.29053
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62432
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.27243
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.18360
  • Upside Potential Ratio
    16.19610
  • Upside part of mean
    0.58659
  • Downside part of mean
    -0.21776
  • Upside SD
    0.07714
  • Downside SD
    0.03622
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08105
  • Mean of criterion
    0.36883
  • SD of predictor
    0.13048
  • SD of criterion
    0.08243
  • Covariance
    0.00153
  • r
    0.14227
  • b (slope, estimate of beta)
    0.08988
  • a (intercept, estimate of alpha)
    0.36154
  • Mean Square Error
    0.00671
  • DF error
    129.00000
  • t(b)
    1.63245
  • p(b)
    0.40974
  • t(a)
    3.11875
  • p(a)
    0.33342
  • Lowerbound of 95% confidence interval for beta
    -0.01906
  • Upperbound of 95% confidence interval for beta
    0.19882
  • Lowerbound of 95% confidence interval for alpha
    0.13218
  • Upperbound of 95% confidence interval for alpha
    0.59090
  • Treynor index (mean / b)
    4.10339
  • Jensen alpha (a)
    0.36154
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36518
  • SD
    0.08211
  • Sharpe ratio (Glass type estimate)
    4.44747
  • Sharpe ratio (Hedges UMVUE)
    4.42176
  • df
    130.00000
  • t
    3.14484
  • p
    0.36705
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.61532
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.26327
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59833
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.24520
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.03730
  • Upside Potential Ratio
    16.04010
  • Upside part of mean
    0.58358
  • Downside part of mean
    -0.21840
  • Upside SD
    0.07665
  • Downside SD
    0.03638
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07255
  • Mean of criterion
    0.36518
  • SD of predictor
    0.13089
  • SD of criterion
    0.08211
  • Covariance
    0.00153
  • r
    0.14257
  • b (slope, estimate of beta)
    0.08943
  • a (intercept, estimate of alpha)
    0.35869
  • Mean Square Error
    0.00666
  • DF error
    129.00000
  • t(b)
    1.63598
  • p(b)
    0.40955
  • t(a)
    3.10698
  • p(a)
    0.33399
  • Lowerbound of 95% confidence interval for beta
    -0.01873
  • Upperbound of 95% confidence interval for beta
    0.19759
  • Lowerbound of 95% confidence interval for alpha
    0.13028
  • Upperbound of 95% confidence interval for alpha
    0.58710
  • Treynor index (mean / b)
    4.08323
  • Jensen alpha (a)
    0.35869
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00693
  • Expected Shortfall on VaR
    0.00903
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00208
  • Expected Shortfall on VaR
    0.00442
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98546
  • Quartile 1
    0.99971
  • Median
    1.00000
  • Quartile 3
    1.00212
  • Maximum
    1.01845
  • Mean of quarter 1
    0.99696
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00070
  • Mean of quarter 4
    1.00838
  • Inter Quartile Range
    0.00242
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.99263
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.16031
  • Mean of outliers high
    1.01101
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.55594
  • VaR(95%) (moments method)
    0.00302
  • Expected Shortfall (moments method)
    0.00794
  • Extreme Value Index (regression method)
    0.84261
  • VaR(95%) (regression method)
    0.00231
  • Expected Shortfall (regression method)
    0.01293
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00223
  • Median
    0.00371
  • Quartile 3
    0.00721
  • Maximum
    0.02269
  • Mean of quarter 1
    0.00084
  • Mean of quarter 2
    0.00333
  • Mean of quarter 3
    0.00609
  • Mean of quarter 4
    0.01440
  • Inter Quartile Range
    0.00498
  • 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
    0.13333
  • Mean of outliers high
    0.02024
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.88502
  • VaR(95%) (moments method)
    0.01585
  • Expected Shortfall (moments method)
    0.01748
  • Extreme Value Index (regression method)
    -0.41300
  • VaR(95%) (regression method)
    0.02055
  • Expected Shortfall (regression method)
    0.02460
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43438
  • Compounded annual return (geometric extrapolation)
    0.48155
  • Calmar ratio (compounded annual return / max draw down)
    21.22350
  • Compounded annual return / average of 25% largest draw downs
    33.44360
  • Compounded annual return / Expected Shortfall lognormal
    53.34490

Strategy Description

The Risk Parity Opportunity ("RPO") Strategy seeks to illustrate the efficacy of the strategies outlined in John Netto's book, The Global Macro Edge. Specifically, the RPO strategy aims to take advantage of the environment in the asset management world driving substantial capital into risk parity strategies. Risk Parity invests based on "risk factors" rather than asset classes. This migration of capital has created opportunities that John Netto, has created a strategy to trade. John Netto has developed his own risk parity models to replicate these strategies as well as other proprietary tools to identify when he believes risk parity may thrive and when it may struggle. There are times when the strategy will have similar exposure to these risk parity strategies and other times when the strategy will likely be negatively correlated and on the opposite side. There are many potential uses for this strategy from investors who currently have some exposure to risk parity to traders looking for a non-correlated strategy to add to their portfolio.

Summary Statistics

Strategy began
2017-08-31
Suggested Minimum Capital
$140,000
Rank at C2 
#60
# Trades
278
# Profitable
166
% Profitable
59.7%
Correlation S&P500
-0.004
Sharpe Ratio
1.51
Sortino Ratio
2.36
Beta
-0.00
Alpha
0.05
Leverage
3.84 Average
29.05 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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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.