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Risk Parity Opportunity
(113470933)

Created by: JohnNetto2 JohnNetto2
Started: 08/2017
Futures
Last trade: Today
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.

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.
17.9%
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.

(13.1%)
Max Drawdown
212
Num Trades
60.4%
Win Trades
1.6 : 1
Profit Factor
54.5%
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%+2.4%                                          +15.5%

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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/23/19 15:35 @ESM9 E-MINI S&P 500 SHORT 2 2821.50 5/23 15:58 2818.88 n/a $251
Includes Typical Broker Commissions trade costs of $12.00
5/22/19 10:26 QCLN9 CRUDE OIL SHORT 20 62.50 5/22 10:30 62.30 0.29%
Trade id #123779507
Max drawdown($1,000)
Time5/22/19 10:29
Quant open-20
Worst price62.55
Drawdown as % of equity-0.29%
$3,840
Includes Typical Broker Commissions trade costs of $160.00
5/22/19 9:16 QCLN9 CRUDE OIL SHORT 18 62.38 5/22 10:16 62.66 1.43%
Trade id #123766467
Max drawdown($4,950)
Time5/22/19 10:16
Quant open-18
Worst price62.66
Drawdown as % of equity-1.43%
($5,094)
Includes Typical Broker Commissions trade costs of $144.00
5/21/19 16:20 QCLN9 CRUDE OIL SHORT 8 63.06 5/21 16:30 63.01 0.12%
Trade id #123759211
Max drawdown($400)
Time5/21/19 16:30
Quant open-8
Worst price63.11
Drawdown as % of equity-0.12%
$336
Includes Typical Broker Commissions trade costs of $64.00
5/15/19 8:58 QCLM9 CRUDE OIL SHORT 20 61.37 5/15 10:30 61.31 0.22%
Trade id #123677184
Max drawdown($760)
Time5/15/19 10:01
Quant open-2
Worst price61.46
Drawdown as % of equity-0.22%
$900
Includes Typical Broker Commissions trade costs of $160.00
5/14/19 18:33 QCLM9 CRUDE OIL SHORT 2 61.35 5/15 7:19 61.28 0.15%
Trade id #123671713
Max drawdown($520)
Time5/14/19 21:51
Quant open-2
Worst price61.61
Drawdown as % of equity-0.15%
$124
Includes Typical Broker Commissions trade costs of $16.00
5/14/19 11:29 @ESM9 E-MINI S&P 500 SHORT 6 2842.42 5/15 7:18 2835.00 0.64%
Trade id #123665002
Max drawdown($2,200)
Time5/14/19 13:51
Quant open-4
Worst price2853.75
Drawdown as % of equity-0.64%
$2,177
Includes Typical Broker Commissions trade costs of $48.00
5/14/19 15:21 QCLM9 CRUDE OIL SHORT 3 61.65 5/14 16:31 61.42 0.08%
Trade id #123669763
Max drawdown($270)
Time5/14/19 16:15
Quant open-3
Worst price61.74
Drawdown as % of equity-0.08%
$666
Includes Typical Broker Commissions trade costs of $24.00
5/10/19 12:18 @ESM9 E-MINI S&P 500 SHORT 2 2847.00 5/10 13:02 2860.00 0.38%
Trade id #123623195
Max drawdown($1,300)
Time5/10/19 13:02
Quant open0
Worst price2860.00
Drawdown as % of equity-0.38%
($1,316)
Includes Typical Broker Commissions trade costs of $16.00
5/9/19 8:46 QNGM9 Natural Gas LONG 17 2.584 5/9 10:30 2.578 0.32%
Trade id #123586897
Max drawdown($1,100)
Time5/9/19 10:30
Quant open0
Worst price2.578
Drawdown as % of equity-0.32%
($1,236)
Includes Typical Broker Commissions trade costs of $136.00
5/6/19 10:51 @ESM9 E-MINI S&P 500 SHORT 2 2920.00 5/6 20:59 2915.75 0.53%
Trade id #123542425
Max drawdown($1,825)
Time5/6/19 15:37
Quant open-2
Worst price2938.25
Drawdown as % of equity-0.53%
$409
Includes Typical Broker Commissions trade costs of $16.00
5/5/19 19:46 @ESM9 E-MINI S&P 500 SHORT 1 2908.50 5/5 20:09 2897.75 0.01%
Trade id #123534457
Max drawdown($25)
Time5/5/19 19:48
Quant open-1
Worst price2909.00
Drawdown as % of equity-0.01%
$530
Includes Typical Broker Commissions trade costs of $8.00
4/29/19 10:09 GOOGL1903E1290 GOOGL May3'19 1290 call LONG 1 15.20 5/4 9:35 0.00 0.44%
Trade id #123463031
Max drawdown($1,520)
Time5/4/19 9:35
Quant open0
Worst price0.00
Drawdown as % of equity-0.44%
($1,521)
Includes Typical Broker Commissions trade costs of $1.00
5/3/19 10:05 @EUM9 EUROFX SHORT 2 1.12190 5/3 10:46 1.12225 0.13%
Trade id #123520481
Max drawdown($437)
Time5/3/19 10:18
Quant open-2
Worst price1.12365
Drawdown as % of equity-0.13%
($104)
Includes Typical Broker Commissions trade costs of $16.00
5/3/19 7:36 @ESM9 E-MINI S&P 500 LONG 10 2927.50 5/3 8:35 2930.00 0.66%
Trade id #123518097
Max drawdown($2,250)
Time5/3/19 8:33
Quant open10
Worst price2923.00
Drawdown as % of equity-0.66%
$1,170
Includes Typical Broker Commissions trade costs of $80.00
5/2/19 8:42 QNGM9 Natural Gas SHORT 10 2.604 5/2 9:37 2.579 0.29%
Trade id #123503019
Max drawdown($1,000)
Time5/2/19 9:01
Quant open-10
Worst price2.614
Drawdown as % of equity-0.29%
$2,420
Includes Typical Broker Commissions trade costs of $80.00
4/30/19 10:58 @EUM9 EUROFX SHORT 5 1.12555 5/1 14:43 1.12470 1.03%
Trade id #123477525
Max drawdown($3,468)
Time5/1/19 14:06
Quant open-5
Worst price1.13110
Drawdown as % of equity-1.03%
$491
Includes Typical Broker Commissions trade costs of $40.00
5/1/19 8:27 QCLM9 CRUDE OIL SHORT 10 63.57 5/1 10:35 63.40 0.48%
Trade id #123488374
Max drawdown($1,620)
Time5/1/19 9:52
Quant open-3
Worst price63.93
Drawdown as % of equity-0.48%
$1,680
Includes Typical Broker Commissions trade costs of $80.00
4/29/19 10:08 AAPL1903E207.5 AAPL May3'19 207.5 call LONG 4 3.95 5/1 9:31 3.10 0.25%
Trade id #123463009
Max drawdown($852)
Time4/30/19 11:16
Quant open4
Worst price1.82
Drawdown as % of equity-0.25%
($346)
Includes Typical Broker Commissions trade costs of $5.60
4/25/19 8:02 QNGM9 Natural Gas SHORT 6 2.506 4/25 9:48 2.480 0.21%
Trade id #123424280
Max drawdown($720)
Time4/25/19 9:01
Quant open-6
Worst price2.518
Drawdown as % of equity-0.21%
$1,512
Includes Typical Broker Commissions trade costs of $48.00
4/23/19 10:23 QCLM9 CRUDE OIL LONG 12 66.30 4/23 16:31 66.20 0.36%
Trade id #123400612
Max drawdown($1,240)
Time4/23/19 16:31
Quant open0
Worst price66.20
Drawdown as % of equity-0.36%
($1,336)
Includes Typical Broker Commissions trade costs of $96.00
4/18/19 4:49 @TYM9 US T-NOTE 10 YR SHORT 20 123 8/64 4/18 8:30 123 0.28%
Trade id #123353752
Max drawdown($937)
Time4/18/19 5:04
Quant open-20
Worst price123 11/64
Drawdown as % of equity-0.28%
$2,340
Includes Typical Broker Commissions trade costs of $160.00
4/18/19 6:30 @ESM9 E-MINI S&P 500 LONG 10 2899.25 4/18 8:30 2907.00 0.15%
Trade id #123354206
Max drawdown($500)
Time4/18/19 6:42
Quant open10
Worst price2898.25
Drawdown as % of equity-0.15%
$3,795
Includes Typical Broker Commissions trade costs of $80.00
4/16/19 22:00 QCLK9 CRUDE OIL LONG 18 64.18 4/17 10:30 64.18 0.88%
Trade id #123335835
Max drawdown($2,940)
Time4/17/19 10:03
Quant open18
Worst price64.02
Drawdown as % of equity-0.88%
($204)
Includes Typical Broker Commissions trade costs of $144.00
4/16/19 15:25 QCLK9 CRUDE OIL LONG 10 64.07 4/16 16:30 64.29 0%
Trade id #123332732
Max drawdown$0
Time4/16/19 15:27
Quant open6
Worst price64.01
Drawdown as % of equity0.00%
$2,080
Includes Typical Broker Commissions trade costs of $80.00
4/16/19 13:03 QCLK9 CRUDE OIL LONG 4 63.63 4/16 14:25 63.98 0.01%
Trade id #123330938
Max drawdown($40)
Time4/16/19 13:05
Quant open4
Worst price63.62
Drawdown as % of equity-0.01%
$1,368
Includes Typical Broker Commissions trade costs of $32.00
4/4/19 19:51 @TYM9 US T-NOTE 10 YR SHORT 10 123 26/64 4/5 8:44 123 19/64 0.64%
Trade id #123209351
Max drawdown($2,125)
Time4/5/19 8:31
Quant open-10
Worst price123 40/64
Drawdown as % of equity-0.64%
$1,076
Includes Typical Broker Commissions trade costs of $80.00
4/3/19 22:34 QNGK9 Natural Gas SHORT 12 2.672 4/4 10:31 2.658 0.18%
Trade id #123195024
Max drawdown($600)
Time4/4/19 3:03
Quant open-6
Worst price2.685
Drawdown as % of equity-0.18%
$1,584
Includes Typical Broker Commissions trade costs of $96.00
4/3/19 8:01 @TYM9 US T-NOTE 10 YR SHORT 20 123 30/64 4/3 8:18 123 32/64 0.48%
Trade id #123181949
Max drawdown($1,562)
Time4/3/19 8:16
Quant open-20
Worst price123 35/64
Drawdown as % of equity-0.48%
($785)
Includes Typical Broker Commissions trade costs of $160.00
4/2/19 16:05 QCLK9 CRUDE OIL LONG 10 62.59 4/2 16:34 62.48 0.55%
Trade id #123174625
Max drawdown($1,800)
Time4/2/19 16:31
Quant open10
Worst price62.41
Drawdown as % of equity-0.55%
($1,180)
Includes Typical Broker Commissions trade costs of $80.00

Statistics

  • Strategy began
    8/31/2017
  • Suggested Minimum Cap
    $140,000
  • Strategy Age (days)
    630.19
  • Age
    21 months ago
  • What it trades
    Futures
  • # Trades
    212
  • # Profitable
    128
  • % Profitable
    60.40%
  • Avg trade duration
    12.7 hours
  • Max peak-to-valley drawdown
    13.11%
  • drawdown period
    Aug 06, 2018 - Sept 19, 2018
  • Annual Return (Compounded)
    17.9%
  • Avg win
    $1,947
  • Avg loss
    $1,812
  • Model Account Values (Raw)
  • Cash
    $347,016
  • Margin Used
    $0
  • Buying Power
    $347,016
  • Ratios
  • W:L ratio
    1.64:1
  • Sharpe Ratio
    1.26
  • Sortino Ratio
    1.91
  • Calmar Ratio
    1.881
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.01060
  • Return Statistics
  • Ann Return (w trading costs)
    17.9%
  • Ann Return (Compnd, No Fees)
    20.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.00%
  • 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)
    775
  • Popularity (Last 6 weeks)
    904
  • C2 Score
    92.8
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,812
  • Avg Win
    $1,947
  • # Winners
    128
  • # Losers
    84
  • % Winners
    60.4%
  • Frequency
  • Avg Position Time (mins)
    763.57
  • Avg Position Time (hrs)
    12.73
  • Avg Trade Length
    0.5 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    4.31
  • Daily leverage (max)
    29.05
  • Unknown
  • Alpha
    0.04
  • Beta
    -0.01
  • Treynor Index
    -5.75
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20783
  • SD
    0.16739
  • Sharpe ratio (Glass type estimate)
    1.24162
  • Sharpe ratio (Hedges UMVUE)
    1.18903
  • df
    18.00000
  • t
    1.56234
  • p
    0.32722
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38326
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.83439
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41629
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79435
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.14320
  • Upside Potential Ratio
    3.26394
  • Upside part of mean
    0.31651
  • Downside part of mean
    -0.10868
  • Upside SD
    0.14401
  • Downside SD
    0.09697
  • N nonnegative terms
    17.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.11754
  • Mean of criterion
    0.20783
  • SD of predictor
    0.14567
  • SD of criterion
    0.16739
  • Covariance
    0.00807
  • r
    0.33091
  • b (slope, estimate of beta)
    0.38025
  • a (intercept, estimate of alpha)
    0.16313
  • Mean Square Error
    0.02642
  • DF error
    17.00000
  • t(b)
    1.44583
  • p(b)
    0.29325
  • t(a)
    1.22825
  • p(a)
    0.32075
  • Lowerbound of 95% confidence interval for beta
    -0.17463
  • Upperbound of 95% confidence interval for beta
    0.93513
  • Lowerbound of 95% confidence interval for alpha
    -0.11709
  • Upperbound of 95% confidence interval for alpha
    0.44336
  • Treynor index (mean / b)
    0.54656
  • Jensen alpha (a)
    0.16313
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19307
  • SD
    0.16615
  • Sharpe ratio (Glass type estimate)
    1.16200
  • Sharpe ratio (Hedges UMVUE)
    1.11278
  • df
    18.00000
  • t
    1.46215
  • p
    0.33709
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45569
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.74944
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48669
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.71225
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.90300
  • Upside Potential Ratio
    3.02344
  • Upside part of mean
    0.30674
  • Downside part of mean
    -0.11367
  • Upside SD
    0.13772
  • Downside SD
    0.10146
  • N nonnegative terms
    17.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.10662
  • Mean of criterion
    0.19307
  • SD of predictor
    0.14976
  • SD of criterion
    0.16615
  • Covariance
    0.00793
  • r
    0.31889
  • b (slope, estimate of beta)
    0.35381
  • a (intercept, estimate of alpha)
    0.15535
  • Mean Square Error
    0.02626
  • DF error
    17.00000
  • t(b)
    1.38726
  • p(b)
    0.30048
  • t(a)
    1.18028
  • p(a)
    0.32704
  • Lowerbound of 95% confidence interval for beta
    -0.18428
  • Upperbound of 95% confidence interval for beta
    0.89190
  • Lowerbound of 95% confidence interval for alpha
    -0.12234
  • Upperbound of 95% confidence interval for alpha
    0.43304
  • Treynor index (mean / b)
    0.54569
  • Jensen alpha (a)
    0.15535
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06087
  • Expected Shortfall on VaR
    0.07936
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00446
  • Expected Shortfall on VaR
    0.01704
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.90749
  • Quartile 1
    1.00000
  • Median
    1.01517
  • Quartile 3
    1.03593
  • Maximum
    1.13155
  • Mean of quarter 1
    0.96559
  • Mean of quarter 2
    1.00987
  • Mean of quarter 3
    1.02911
  • Mean of quarter 4
    1.06707
  • Inter Quartile Range
    0.03593
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.10526
  • Mean of outliers low
    0.91396
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.05263
  • 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)
    0.18720
  • Expected Shortfall (regression method)
    0.19000
  • 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)
    0.22583
  • Compounded annual return (geometric extrapolation)
    0.21297
  • Calmar ratio (compounded annual return / max draw down)
    2.30210
  • Compounded annual return / average of 25% largest draw downs
    2.30210
  • Compounded annual return / Expected Shortfall lognormal
    2.68343
  • 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
    0.20218
  • SD
    0.09935
  • Sharpe ratio (Glass type estimate)
    2.03508
  • Sharpe ratio (Hedges UMVUE)
    2.03156
  • df
    434.00000
  • t
    2.62226
  • p
    0.00452
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50685
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.56102
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.50449
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.55864
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.15236
  • Upside Potential Ratio
    7.13979
  • Upside part of mean
    0.45793
  • Downside part of mean
    -0.25574
  • Upside SD
    0.07675
  • Downside SD
    0.06414
  • N nonnegative terms
    366.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    435.00000
  • Mean of predictor
    0.08749
  • Mean of criterion
    0.20218
  • SD of predictor
    0.14568
  • SD of criterion
    0.09935
  • Covariance
    -0.00011
  • r
    -0.00774
  • b (slope, estimate of beta)
    -0.00528
  • a (intercept, estimate of alpha)
    0.20300
  • Mean Square Error
    0.00989
  • DF error
    433.00000
  • t(b)
    -0.16096
  • p(b)
    0.56390
  • t(a)
    2.62349
  • p(a)
    0.00451
  • Lowerbound of 95% confidence interval for beta
    -0.06969
  • Upperbound of 95% confidence interval for beta
    0.05914
  • Lowerbound of 95% confidence interval for alpha
    0.05083
  • Upperbound of 95% confidence interval for alpha
    0.35446
  • Treynor index (mean / b)
    -38.32710
  • Jensen alpha (a)
    0.20264
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19718
  • SD
    0.09934
  • Sharpe ratio (Glass type estimate)
    1.98492
  • Sharpe ratio (Hedges UMVUE)
    1.98149
  • df
    434.00000
  • t
    2.55763
  • p
    0.00544
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.45702
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.51064
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.45470
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.50828
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.03800
  • Upside Potential Ratio
    7.01038
  • Upside part of mean
    0.45502
  • Downside part of mean
    -0.25783
  • Upside SD
    0.07604
  • Downside SD
    0.06491
  • N nonnegative terms
    366.00000
  • N negative terms
    69.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    435.00000
  • Mean of predictor
    0.07686
  • Mean of criterion
    0.19718
  • SD of predictor
    0.14604
  • SD of criterion
    0.09934
  • Covariance
    -0.00013
  • r
    -0.00869
  • b (slope, estimate of beta)
    -0.00591
  • a (intercept, estimate of alpha)
    0.19764
  • Mean Square Error
    0.00989
  • DF error
    433.00000
  • t(b)
    -0.18087
  • p(b)
    0.57172
  • t(a)
    2.55931
  • p(a)
    0.00541
  • Lowerbound of 95% confidence interval for beta
    -0.07016
  • Upperbound of 95% confidence interval for beta
    0.05834
  • Lowerbound of 95% confidence interval for alpha
    0.04586
  • Upperbound of 95% confidence interval for alpha
    0.34942
  • Treynor index (mean / b)
    -33.35060
  • Jensen alpha (a)
    0.19764
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00930
  • Expected Shortfall on VaR
    0.01183
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00080
  • Expected Shortfall on VaR
    0.00247
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    435.00000
  • Minimum
    0.96753
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00069
  • Maximum
    1.03607
  • Mean of quarter 1
    0.99610
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00003
  • Mean of quarter 4
    1.00695
  • Inter Quartile Range
    0.00069
  • Number outliers low
    57.00000
  • Percentage of outliers low
    0.13103
  • Mean of outliers low
    0.99264
  • Number of outliers high
    89.00000
  • Percentage of outliers high
    0.20460
  • Mean of outliers high
    1.00827
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53732
  • VaR(95%) (moments method)
    0.00287
  • Expected Shortfall (moments method)
    0.00838
  • Extreme Value Index (regression method)
    0.23921
  • VaR(95%) (regression method)
    0.00392
  • Expected Shortfall (regression method)
    0.00838
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00066
  • Quartile 1
    0.00350
  • Median
    0.00653
  • Quartile 3
    0.02323
  • Maximum
    0.11587
  • Mean of quarter 1
    0.00213
  • Mean of quarter 2
    0.00450
  • Mean of quarter 3
    0.01121
  • Mean of quarter 4
    0.07933
  • Inter Quartile Range
    0.01973
  • 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
    0.16667
  • Mean of outliers high
    0.10133
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -24.47100
  • VaR(95%) (moments method)
    0.07371
  • Expected Shortfall (moments method)
    0.07371
  • Extreme Value Index (regression method)
    -1.82206
  • VaR(95%) (regression method)
    0.14625
  • Expected Shortfall (regression method)
    0.15095
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23329
  • Compounded annual return (geometric extrapolation)
    0.21797
  • Calmar ratio (compounded annual return / max draw down)
    1.88112
  • Compounded annual return / average of 25% largest draw downs
    2.74747
  • Compounded annual return / Expected Shortfall lognormal
    18.41930
  • 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
    0.34823
  • SD
    0.06487
  • Sharpe ratio (Glass type estimate)
    5.36858
  • Sharpe ratio (Hedges UMVUE)
    5.33755
  • df
    130.00000
  • t
    3.79616
  • p
    0.34205
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.51145
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.20625
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49083
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.18427
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.38190
  • Upside Potential Ratio
    19.72390
  • Upside part of mean
    0.47758
  • Downside part of mean
    -0.12935
  • Upside SD
    0.06365
  • Downside SD
    0.02421
  • N nonnegative terms
    107.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06514
  • Mean of criterion
    0.34823
  • SD of predictor
    0.17298
  • SD of criterion
    0.06487
  • Covariance
    0.00046
  • r
    0.04135
  • b (slope, estimate of beta)
    0.01551
  • a (intercept, estimate of alpha)
    0.34722
  • Mean Square Error
    0.00423
  • DF error
    129.00000
  • t(b)
    0.47009
  • p(b)
    0.47368
  • t(a)
    3.77276
  • p(a)
    0.30269
  • Lowerbound of 95% confidence interval for beta
    -0.04976
  • Upperbound of 95% confidence interval for beta
    0.08077
  • Lowerbound of 95% confidence interval for alpha
    0.16513
  • Upperbound of 95% confidence interval for alpha
    0.52932
  • Treynor index (mean / b)
    22.45650
  • Jensen alpha (a)
    0.34722
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34593
  • SD
    0.06459
  • Sharpe ratio (Glass type estimate)
    5.35554
  • Sharpe ratio (Hedges UMVUE)
    5.32458
  • df
    130.00000
  • t
    3.78694
  • p
    0.34240
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.49877
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.19285
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.47822
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.17095
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.24660
  • Upside Potential Ratio
    19.58560
  • Upside part of mean
    0.47557
  • Downside part of mean
    -0.12964
  • Upside SD
    0.06331
  • Downside SD
    0.02428
  • N nonnegative terms
    107.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05031
  • Mean of criterion
    0.34593
  • SD of predictor
    0.17287
  • SD of criterion
    0.06459
  • Covariance
    0.00045
  • r
    0.04072
  • b (slope, estimate of beta)
    0.01522
  • a (intercept, estimate of alpha)
    0.34516
  • Mean Square Error
    0.00420
  • DF error
    129.00000
  • t(b)
    0.46289
  • p(b)
    0.47408
  • t(a)
    3.76651
  • p(a)
    0.30297
  • Lowerbound of 95% confidence interval for beta
    -0.04982
  • Upperbound of 95% confidence interval for beta
    0.08025
  • Lowerbound of 95% confidence interval for alpha
    0.16385
  • Upperbound of 95% confidence interval for alpha
    0.52648
  • Treynor index (mean / b)
    22.73500
  • Jensen alpha (a)
    0.34516
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00523
  • Expected Shortfall on VaR
    0.00689
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00048
  • Expected Shortfall on VaR
    0.00136
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99247
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00172
  • Maximum
    1.01580
  • Mean of quarter 1
    0.99804
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00055
  • Mean of quarter 4
    1.00670
  • Inter Quartile Range
    0.00172
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.99509
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.18321
  • Mean of outliers high
    1.00823
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.45143
  • VaR(95%) (moments method)
    0.00221
  • Expected Shortfall (moments method)
    0.00294
  • Extreme Value Index (regression method)
    -0.48920
  • VaR(95%) (regression method)
    0.00329
  • Expected Shortfall (regression method)
    0.00451
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00141
  • Quartile 1
    0.00278
  • Median
    0.00371
  • Quartile 3
    0.00748
  • Maximum
    0.00964
  • Mean of quarter 1
    0.00208
  • Mean of quarter 2
    0.00345
  • Mean of quarter 3
    0.00685
  • Mean of quarter 4
    0.00847
  • Inter Quartile Range
    0.00470
  • 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)
    -0.08371
  • VaR(95%) (moments method)
    0.00887
  • Expected Shortfall (moments method)
    0.00966
  • Extreme Value Index (regression method)
    1.48700
  • VaR(95%) (regression method)
    0.00942
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.37765
  • Compounded annual return (geometric extrapolation)
    0.41330
  • Calmar ratio (compounded annual return / max draw down)
    42.88470
  • Compounded annual return / average of 25% largest draw downs
    48.77810
  • Compounded annual return / Expected Shortfall lognormal
    60.01970

Strategy Description

The Risk Parity Opportunity ("RPO") Strategy seeks 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
# Trades
212
# Profitable
128
% Profitable
60.4%
Correlation S&P500
-0.011
Sharpe Ratio
1.26
Sortino Ratio
1.91
Beta
-0.01
Alpha
0.04
Leverage
4.31 Average
29.05 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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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.