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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 01/09/2019
Most recent certification approved 1/10/19 12:53 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 350
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 348
Percent signals followed since 01/09/2019 99.4%
This information was last updated 5/23/19 15:52 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 01/09/2019, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Forte Strategy
(116308970)

Created by: MaestroCapitalResrch MaestroCapitalResrch
Started: 02/2018
Stocks
Last trade: 2 days ago
Trading style: Equity Hedged Equity Trend-following

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 $49.00 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.
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
6.2%
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.

(13.4%)
Max Drawdown
605
Num Trades
65.0%
Win Trades
1.1 : 1
Profit Factor
56.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018       +1.1%+0.3%+5.9%(3%)+0.7%+4.0%+1.0%(0.7%)(5.2%)(1%)+4.1%+6.8%
2019+4.4%(0.6%)(3.9%)+9.2%(7%)                                          +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 24 hours.

Trading Record

This strategy has placed 387 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/17/19 15:10 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 801 6.22 5/20 14:24 6.96 0.06%
Trade id #123719679
Max drawdown($32)
Time5/17/19 19:55
Quant open801
Worst price6.18
Drawdown as % of equity-0.06%
$588
Includes Typical Broker Commissions trade costs of $5.00
5/13/19 9:34 SOXL DIREXION DAILY SEMICONDCT BULL LONG 65 147.45 5/17 15:21 140.59 0.78%
Trade id #123642045
Max drawdown($446)
Time5/17/19 15:21
Quant open35
Worst price134.06
Drawdown as % of equity-0.78%
($447)
Includes Typical Broker Commissions trade costs of $1.30
5/15/19 9:52 OILD PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF LONG 273 18.64 5/16 15:55 17.17 0.87%
Trade id #123678716
Max drawdown($498)
Time5/16/19 11:28
Quant open273
Worst price16.81
Drawdown as % of equity-0.87%
($406)
Includes Typical Broker Commissions trade costs of $5.46
5/9/19 9:30 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 264 22.50 5/16 15:55 22.66 0.55%
Trade id #123587854
Max drawdown($336)
Time5/9/19 14:22
Quant open264
Worst price21.22
Drawdown as % of equity-0.55%
$39
Includes Typical Broker Commissions trade costs of $5.28
5/13/19 9:30 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 143 43.29 5/16 11:17 36.68 1.64%
Trade id #123641729
Max drawdown($944)
Time5/16/19 11:17
Quant open23
Worst price35.49
Drawdown as % of equity-1.64%
($947)
Includes Typical Broker Commissions trade costs of $2.86
5/13/19 9:30 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 221 28.85 5/15 15:55 24.98 1.47%
Trade id #123641772
Max drawdown($856)
Time5/15/19 15:55
Quant open39
Worst price24.30
Drawdown as % of equity-1.47%
($860)
Includes Typical Broker Commissions trade costs of $4.42
5/3/19 9:37 OILD PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF LONG 965 18.51 5/14 15:55 18.86 1.68%
Trade id #123519664
Max drawdown($988)
Time5/13/19 9:48
Quant open642
Worst price16.97
Drawdown as % of equity-1.68%
$317
Includes Typical Broker Commissions trade costs of $19.30
5/10/19 9:30 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 139 41.68 5/10 15:55 37.12 1.24%
Trade id #123615624
Max drawdown($739)
Time5/10/19 15:27
Quant open139
Worst price36.36
Drawdown as % of equity-1.24%
($637)
Includes Typical Broker Commissions trade costs of $2.78
5/7/19 9:40 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 445 26.37 5/10 15:55 24.39 1.47%
Trade id #123556335
Max drawdown($879)
Time5/10/19 15:55
Quant open230
Worst price23.70
Drawdown as % of equity-1.47%
($888)
Includes Typical Broker Commissions trade costs of $8.90
5/2/19 9:30 BRZU DIREXION DAILY BRAZIL BULL 3X LONG 218 26.87 5/9 15:55 26.19 1.11%
Trade id #123503706
Max drawdown($684)
Time5/7/19 10:16
Quant open218
Worst price23.73
Drawdown as % of equity-1.11%
($152)
Includes Typical Broker Commissions trade costs of $4.36
5/1/19 10:23 DUST DIREXION DAILY GOLD MINERS BEA LONG 253 22.54 5/9 15:55 23.39 0.47%
Trade id #123490819
Max drawdown($290)
Time5/1/19 14:19
Quant open253
Worst price21.39
Drawdown as % of equity-0.47%
$210
Includes Typical Broker Commissions trade costs of $5.06
5/8/19 9:30 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 145 41.86 5/9 9:37 45.21 0.64%
Trade id #123571826
Max drawdown($388)
Time5/8/19 11:16
Quant open145
Worst price39.17
Drawdown as % of equity-0.64%
$483
Includes Typical Broker Commissions trade costs of $2.90
5/7/19 9:39 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 1,160 4.92 5/9 9:30 5.51 0.01%
Trade id #123556326
Max drawdown($9)
Time5/7/19 9:41
Quant open1,160
Worst price4.91
Drawdown as % of equity-0.01%
$684
Includes Typical Broker Commissions trade costs of $5.00
4/23/19 15:06 SOXL DIREXION DAILY SEMICONDCT BULL LONG 60 186.95 5/9 9:30 165.31 2.11%
Trade id #123404985
Max drawdown($1,299)
Time5/9/19 9:30
Quant open29
Worst price158.00
Drawdown as % of equity-2.11%
($1,300)
Includes Typical Broker Commissions trade costs of $1.20
4/24/19 9:31 TQQQ PROSHARES ULTRAPRO QQQ LONG 87 67.28 5/7 14:31 61.26 0.85%
Trade id #123411626
Max drawdown($524)
Time5/7/19 14:31
Quant open0
Worst price61.26
Drawdown as % of equity-0.85%
($526)
Includes Typical Broker Commissions trade costs of $1.74
4/29/19 9:34 LABU DIREXION DAILY S&P BIOTECH BULL LONG 108 52.70 5/6 9:31 46.58 1.42%
Trade id #123462178
Max drawdown($880)
Time5/2/19 11:48
Quant open108
Worst price44.55
Drawdown as % of equity-1.42%
($663)
Includes Typical Broker Commissions trade costs of $2.16
4/29/19 9:30 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 287 19.95 5/6 9:31 22.02 0.12%
Trade id #123461863
Max drawdown($70)
Time4/29/19 9:37
Quant open287
Worst price19.71
Drawdown as % of equity-0.12%
$588
Includes Typical Broker Commissions trade costs of $5.74
4/25/19 9:31 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 288 20.35 5/6 9:30 23.08 0.58%
Trade id #123425680
Max drawdown($356)
Time5/1/19 11:42
Quant open288
Worst price19.11
Drawdown as % of equity-0.58%
$780
Includes Typical Broker Commissions trade costs of $5.76
5/1/19 11:44 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 103 56.13 5/2 11:17 54.34 0.34%
Trade id #123492394
Max drawdown($206)
Time5/1/19 16:54
Quant open103
Worst price54.13
Drawdown as % of equity-0.34%
($187)
Includes Typical Broker Commissions trade costs of $2.06
3/29/19 9:30 UWT VELOCITY SHS 3X LONG CRUDE OIL TO S&P/GSCI INDEX LONG 1,732 20.75 5/1 15:55 21.36 0.29%
Trade id #123125099
Max drawdown($160)
Time3/29/19 10:45
Quant open265
Worst price17.72
Drawdown as % of equity-0.29%
$1,007
Includes Typical Broker Commissions trade costs of $34.64
4/16/19 9:33 DRIP DIREXION DAILY S&P OIL GAS EXPL PROD BEA LONG 1,945 8.20 5/1 11:02 9.14 0.98%
Trade id #123326482
Max drawdown($600)
Time4/22/19 12:36
Quant open1,224
Worst price7.74
Drawdown as % of equity-0.98%
$1,824
Includes Typical Broker Commissions trade costs of $12.50
4/26/19 9:30 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 1,222 4.90 4/30 9:34 4.71 0.75%
Trade id #123440194
Max drawdown($449)
Time4/29/19 4:14
Quant open1,222
Worst price4.53
Drawdown as % of equity-0.75%
($233)
Includes Typical Broker Commissions trade costs of $5.00
4/18/19 9:30 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 237 21.78 4/26 15:55 20.09 0.76%
Trade id #123356575
Max drawdown($465)
Time4/24/19 8:06
Quant open237
Worst price19.81
Drawdown as % of equity-0.76%
($403)
Includes Typical Broker Commissions trade costs of $4.74
4/24/19 9:48 DUST DIREXION DAILY GOLD MINERS BEA LONG 258 22.70 4/25 9:30 21.44 0.64%
Trade id #123412265
Max drawdown($390)
Time4/24/19 13:41
Quant open258
Worst price21.18
Drawdown as % of equity-0.64%
($330)
Includes Typical Broker Commissions trade costs of $5.16
3/28/19 10:09 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 94 51.63 4/24 15:55 55.90 0.14%
Trade id #123113158
Max drawdown($77)
Time3/28/19 11:31
Quant open94
Worst price50.81
Drawdown as % of equity-0.14%
$400
Includes Typical Broker Commissions trade costs of $1.88
4/17/19 10:15 DUST DIREXION DAILY GOLD MINERS BEA LONG 260 19.63 4/23 15:55 22.37 0.07%
Trade id #123343448
Max drawdown($41)
Time4/17/19 10:26
Quant open260
Worst price19.47
Drawdown as % of equity-0.07%
$708
Includes Typical Broker Commissions trade costs of $5.20
4/11/19 15:56 TQQQ PROSHARES ULTRAPRO QQQ LONG 82 61.67 4/23 10:04 65.99 0.06%
Trade id #123287186
Max drawdown($33)
Time4/15/19 10:44
Quant open82
Worst price61.26
Drawdown as % of equity-0.06%
$352
Includes Typical Broker Commissions trade costs of $1.64
4/16/19 9:30 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 264 18.70 4/17 13:58 22.05 0.08%
Trade id #123326330
Max drawdown($44)
Time4/16/19 9:32
Quant open264
Worst price18.53
Drawdown as % of equity-0.08%
$880
Includes Typical Broker Commissions trade costs of $5.28
3/19/19 9:31 SOXL DIREXION DAILY SEMICONDCT BULL LONG 164 152.28 4/17 9:31 169.69 1.2%
Trade id #122969092
Max drawdown($664)
Time3/28/19 12:17
Quant open71
Worst price128.81
Drawdown as % of equity-1.20%
$2,853
Includes Typical Broker Commissions trade costs of $3.28
4/8/19 9:30 NUGT DIREXION DAILY GOLD MINERS BUL LONG 254 20.55 4/12 15:55 19.13 0.74%
Trade id #123237405
Max drawdown($428)
Time4/11/19 14:56
Quant open254
Worst price18.86
Drawdown as % of equity-0.74%
($365)
Includes Typical Broker Commissions trade costs of $5.08

Statistics

  • Strategy began
    2/5/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    472
  • Age
    16 months ago
  • What it trades
    Stocks
  • # Trades
    605
  • # Profitable
    393
  • % Profitable
    65.00%
  • Avg trade duration
    6.0 days
  • Max peak-to-valley drawdown
    13.4%
  • drawdown period
    Sept 21, 2018 - Nov 20, 2018
  • Annual Return (Compounded)
    6.2%
  • Avg win
    $187.30
  • Avg loss
    $323.17
  • Model Account Values (Raw)
  • Cash
    $34,011
  • Margin Used
    $0
  • Buying Power
    $33,664
  • Ratios
  • W:L ratio
    1.11:1
  • Sharpe Ratio
    0.36
  • Sortino Ratio
    0.51
  • Calmar Ratio
    0.911
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.37550
  • Return Statistics
  • Ann Return (w trading costs)
    6.2%
  • Ann Return (Compnd, No Fees)
    10.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    19.50%
  • Chance of 20% account loss
    2.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    344
  • Popularity (Last 6 weeks)
    843
  • C2 Score
    83.3
  • Trades-Own-System Certification
  • Trades Own System?
    184818
  • TOS percent
    100%
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $323
  • Avg Win
    $188
  • # Winners
    393
  • # Losers
    212
  • % Winners
    65.0%
  • Frequency
  • Avg Position Time (mins)
    8682.73
  • Avg Position Time (hrs)
    144.71
  • Avg Trade Length
    6.0 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.38
  • Daily leverage (max)
    2.95
  • Unknown
  • Alpha
    0.01
  • Beta
    0.30
  • Treynor Index
    0.05
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15616
  • SD
    0.13911
  • Sharpe ratio (Glass type estimate)
    1.12250
  • Sharpe ratio (Hedges UMVUE)
    1.06108
  • df
    14.00000
  • t
    1.25499
  • p
    0.34100
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69708
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.90447
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73548
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.85764
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.14636
  • Upside Potential Ratio
    5.11435
  • Upside part of mean
    0.25383
  • Downside part of mean
    -0.09767
  • Upside SD
    0.13278
  • Downside SD
    0.04963
  • N nonnegative terms
    8.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.05393
  • Mean of criterion
    0.15616
  • SD of predictor
    0.11405
  • SD of criterion
    0.13911
  • Covariance
    -0.00333
  • r
    -0.20997
  • b (slope, estimate of beta)
    -0.25612
  • a (intercept, estimate of alpha)
    0.16997
  • Mean Square Error
    0.01992
  • DF error
    13.00000
  • t(b)
    -0.77430
  • p(b)
    0.63268
  • t(a)
    1.33308
  • p(a)
    0.28374
  • Lowerbound of 95% confidence interval for beta
    -0.97070
  • Upperbound of 95% confidence interval for beta
    0.45847
  • Lowerbound of 95% confidence interval for alpha
    -0.10548
  • Upperbound of 95% confidence interval for alpha
    0.44542
  • Treynor index (mean / b)
    -0.60971
  • Jensen alpha (a)
    0.16997
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14662
  • SD
    0.13417
  • Sharpe ratio (Glass type estimate)
    1.09276
  • Sharpe ratio (Hedges UMVUE)
    1.03297
  • df
    14.00000
  • t
    1.22174
  • p
    0.34480
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72388
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.87271
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76134
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.82728
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.90984
  • Upside Potential Ratio
    4.87321
  • Upside part of mean
    0.24555
  • Downside part of mean
    -0.09893
  • Upside SD
    0.12671
  • Downside SD
    0.05039
  • N nonnegative terms
    8.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.04775
  • Mean of criterion
    0.14662
  • SD of predictor
    0.11417
  • SD of criterion
    0.13417
  • Covariance
    -0.00310
  • r
    -0.20206
  • b (slope, estimate of beta)
    -0.23746
  • a (intercept, estimate of alpha)
    0.15796
  • Mean Square Error
    0.01860
  • DF error
    13.00000
  • t(b)
    -0.74389
  • p(b)
    0.62775
  • t(a)
    1.28506
  • p(a)
    0.29036
  • Lowerbound of 95% confidence interval for beta
    -0.92709
  • Upperbound of 95% confidence interval for beta
    0.45216
  • Lowerbound of 95% confidence interval for alpha
    -0.10759
  • Upperbound of 95% confidence interval for alpha
    0.42351
  • Treynor index (mean / b)
    -0.61745
  • Jensen alpha (a)
    0.15796
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05019
  • Expected Shortfall on VaR
    0.06534
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01824
  • Expected Shortfall on VaR
    0.03284
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.96111
  • Quartile 1
    0.98671
  • Median
    1.00574
  • Quartile 3
    1.03229
  • Maximum
    1.12467
  • Mean of quarter 1
    0.97437
  • Mean of quarter 2
    0.99655
  • Mean of quarter 3
    1.02203
  • Mean of quarter 4
    1.06136
  • Inter Quartile Range
    0.04558
  • 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
    0.06667
  • Mean of outliers high
    1.12467
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.52795
  • VaR(95%) (moments method)
    0.02905
  • Expected Shortfall (moments method)
    0.03011
  • Extreme Value Index (regression method)
    -0.09793
  • VaR(95%) (regression method)
    0.03461
  • Expected Shortfall (regression method)
    0.04422
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01037
  • Quartile 1
    0.02862
  • Median
    0.04688
  • Quartile 3
    0.05501
  • Maximum
    0.06315
  • Mean of quarter 1
    0.01037
  • Mean of quarter 2
    0.04688
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.06315
  • Inter Quartile Range
    0.02639
  • 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)
    0.16092
  • Compounded annual return (geometric extrapolation)
    0.15791
  • Calmar ratio (compounded annual return / max draw down)
    2.50071
  • Compounded annual return / average of 25% largest draw downs
    2.50071
  • Compounded annual return / Expected Shortfall lognormal
    2.41676
  • 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
    0.11085
  • SD
    0.12630
  • Sharpe ratio (Glass type estimate)
    0.87765
  • Sharpe ratio (Hedges UMVUE)
    0.87568
  • df
    335.00000
  • t
    0.99389
  • p
    0.16050
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85497
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.60904
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85632
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.60768
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.28792
  • Upside Potential Ratio
    9.32063
  • Upside part of mean
    0.80219
  • Downside part of mean
    -0.69134
  • Upside SD
    0.09243
  • Downside SD
    0.08607
  • N nonnegative terms
    173.00000
  • N negative terms
    163.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    336.00000
  • Mean of predictor
    0.05824
  • Mean of criterion
    0.11085
  • SD of predictor
    0.15976
  • SD of criterion
    0.12630
  • Covariance
    0.00779
  • r
    0.38597
  • b (slope, estimate of beta)
    0.30514
  • a (intercept, estimate of alpha)
    0.09300
  • Mean Square Error
    0.01362
  • DF error
    334.00000
  • t(b)
    7.64646
  • p(b)
    0.00000
  • t(a)
    0.90308
  • p(a)
    0.18357
  • Lowerbound of 95% confidence interval for beta
    0.22664
  • Upperbound of 95% confidence interval for beta
    0.38364
  • Lowerbound of 95% confidence interval for alpha
    -0.10966
  • Upperbound of 95% confidence interval for alpha
    0.29582
  • Treynor index (mean / b)
    0.36327
  • Jensen alpha (a)
    0.09308
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10287
  • SD
    0.12631
  • Sharpe ratio (Glass type estimate)
    0.81447
  • Sharpe ratio (Hedges UMVUE)
    0.81265
  • df
    335.00000
  • t
    0.92235
  • p
    0.17850
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91792
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54574
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91917
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54447
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.18549
  • Upside Potential Ratio
    9.19553
  • Upside part of mean
    0.79796
  • Downside part of mean
    -0.69509
  • Upside SD
    0.09174
  • Downside SD
    0.08678
  • N nonnegative terms
    173.00000
  • N negative terms
    163.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    336.00000
  • Mean of predictor
    0.04549
  • Mean of criterion
    0.10287
  • SD of predictor
    0.15996
  • SD of criterion
    0.12631
  • Covariance
    0.00782
  • r
    0.38691
  • b (slope, estimate of beta)
    0.30550
  • a (intercept, estimate of alpha)
    0.08898
  • Mean Square Error
    0.01361
  • DF error
    334.00000
  • t(b)
    7.66818
  • p(b)
    0.00000
  • t(a)
    0.86371
  • p(a)
    0.19418
  • Lowerbound of 95% confidence interval for beta
    0.22713
  • Upperbound of 95% confidence interval for beta
    0.38387
  • Lowerbound of 95% confidence interval for alpha
    -0.11367
  • Upperbound of 95% confidence interval for alpha
    0.29162
  • Treynor index (mean / b)
    0.33673
  • Jensen alpha (a)
    0.08898
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01237
  • Expected Shortfall on VaR
    0.01558
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00597
  • Expected Shortfall on VaR
    0.01164
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    336.00000
  • Minimum
    0.97026
  • Quartile 1
    0.99637
  • Median
    1.00015
  • Quartile 3
    1.00482
  • Maximum
    1.03051
  • Mean of quarter 1
    0.99119
  • Mean of quarter 2
    0.99826
  • Mean of quarter 3
    1.00236
  • Mean of quarter 4
    1.00988
  • Inter Quartile Range
    0.00845
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.02381
  • Mean of outliers low
    0.97744
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.01786
  • Mean of outliers high
    1.02396
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23608
  • VaR(95%) (moments method)
    0.00886
  • Expected Shortfall (moments method)
    0.01400
  • Extreme Value Index (regression method)
    0.26171
  • VaR(95%) (regression method)
    0.00812
  • Expected Shortfall (regression method)
    0.01275
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00024
  • Quartile 1
    0.00448
  • Median
    0.01178
  • Quartile 3
    0.02361
  • Maximum
    0.11889
  • Mean of quarter 1
    0.00226
  • Mean of quarter 2
    0.00847
  • Mean of quarter 3
    0.01918
  • Mean of quarter 4
    0.05976
  • Inter Quartile Range
    0.01912
  • 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
    0.13043
  • Mean of outliers high
    0.08915
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.15502
  • VaR(95%) (moments method)
    0.05695
  • Expected Shortfall (moments method)
    0.07413
  • Extreme Value Index (regression method)
    0.11371
  • VaR(95%) (regression method)
    0.08473
  • Expected Shortfall (regression method)
    0.13117
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10997
  • Compounded annual return (geometric extrapolation)
    0.10835
  • Calmar ratio (compounded annual return / max draw down)
    0.91138
  • Compounded annual return / average of 25% largest draw downs
    1.81308
  • Compounded annual return / Expected Shortfall lognormal
    6.95609
  • 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
    0.21190
  • SD
    0.15076
  • Sharpe ratio (Glass type estimate)
    1.40559
  • Sharpe ratio (Hedges UMVUE)
    1.39747
  • df
    130.00000
  • t
    0.99391
  • p
    0.45658
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.37413
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.18000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37954
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.17447
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.14585
  • Upside Potential Ratio
    10.34130
  • Upside part of mean
    1.02119
  • Downside part of mean
    -0.80929
  • Upside SD
    0.11390
  • Downside SD
    0.09875
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10006
  • Mean of criterion
    0.21190
  • SD of predictor
    0.17217
  • SD of criterion
    0.15076
  • Covariance
    0.00714
  • r
    0.27500
  • b (slope, estimate of beta)
    0.24080
  • a (intercept, estimate of alpha)
    0.18781
  • Mean Square Error
    0.02117
  • DF error
    129.00000
  • t(b)
    3.24866
  • p(b)
    0.32716
  • t(a)
    0.91209
  • p(a)
    0.44910
  • Lowerbound of 95% confidence interval for beta
    0.09415
  • Upperbound of 95% confidence interval for beta
    0.38745
  • Lowerbound of 95% confidence interval for alpha
    -0.21959
  • Upperbound of 95% confidence interval for alpha
    0.59520
  • Treynor index (mean / b)
    0.87999
  • Jensen alpha (a)
    0.18781
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20055
  • SD
    0.15072
  • Sharpe ratio (Glass type estimate)
    1.33057
  • Sharpe ratio (Hedges UMVUE)
    1.32287
  • df
    130.00000
  • t
    0.94085
  • p
    0.45888
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.44849
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.10455
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.45359
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.09934
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.01164
  • Upside Potential Ratio
    10.17890
  • Upside part of mean
    1.01478
  • Downside part of mean
    -0.81423
  • Upside SD
    0.11295
  • Downside SD
    0.09969
  • N nonnegative terms
    65.00000
  • N negative terms
    66.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08536
  • Mean of criterion
    0.20055
  • SD of predictor
    0.17196
  • SD of criterion
    0.15072
  • Covariance
    0.00714
  • r
    0.27530
  • b (slope, estimate of beta)
    0.24130
  • a (intercept, estimate of alpha)
    0.17995
  • Mean Square Error
    0.02116
  • DF error
    129.00000
  • t(b)
    3.25248
  • p(b)
    0.32698
  • t(a)
    0.87435
  • p(a)
    0.45118
  • Lowerbound of 95% confidence interval for beta
    0.09451
  • Upperbound of 95% confidence interval for beta
    0.38808
  • Lowerbound of 95% confidence interval for alpha
    -0.22725
  • Upperbound of 95% confidence interval for alpha
    0.58715
  • Treynor index (mean / b)
    0.83112
  • Jensen alpha (a)
    0.17995
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01445
  • Expected Shortfall on VaR
    0.01827
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00717
  • Expected Shortfall on VaR
    0.01376
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97026
  • Quartile 1
    0.99547
  • Median
    0.99987
  • Quartile 3
    1.00645
  • Maximum
    1.03051
  • Mean of quarter 1
    0.99008
  • Mean of quarter 2
    0.99766
  • Mean of quarter 3
    1.00315
  • Mean of quarter 4
    1.01242
  • Inter Quartile Range
    0.01098
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.97234
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.02615
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29016
  • VaR(95%) (moments method)
    0.01051
  • Expected Shortfall (moments method)
    0.01713
  • Extreme Value Index (regression method)
    0.41792
  • VaR(95%) (regression method)
    0.00880
  • Expected Shortfall (regression method)
    0.01505
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00322
  • Quartile 1
    0.01042
  • Median
    0.02048
  • Quartile 3
    0.02974
  • Maximum
    0.08481
  • Mean of quarter 1
    0.00694
  • Mean of quarter 2
    0.01615
  • Mean of quarter 3
    0.02585
  • Mean of quarter 4
    0.07428
  • Inter Quartile Range
    0.01932
  • 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
    0.22222
  • Mean of outliers high
    0.07428
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -18.73730
  • VaR(95%) (moments method)
    0.05810
  • Expected Shortfall (moments method)
    0.05810
  • Extreme Value Index (regression method)
    -1.69282
  • VaR(95%) (regression method)
    0.10574
  • Expected Shortfall (regression method)
    0.10815
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.21095
  • Compounded annual return (geometric extrapolation)
    0.22207
  • Calmar ratio (compounded annual return / max draw down)
    2.61861
  • Compounded annual return / average of 25% largest draw downs
    2.98956
  • Compounded annual return / Expected Shortfall lognormal
    12.15690

Strategy Description

Maestro Capital Research’s flagship strategy, Forte, which is the result of over 17 years of research and development, is a rules-based trading method using a basket of NYSE- and Nasdaq-listed stocks and exchange traded funds (ETFs).

Historically, certain stocks and ETFs have predictable tendencies depending on industry characteristics, size, trading volume, market volatility, seasonality, economic, monthly cycles, etc. The Forte Strategy is designed to capitalize on mean-reversion, trend and consolidation patterns driven by these factors using optimal risk-controlled position sizing, profit targets, and stop losses while achieving consistent returns with minimal drawdowns.

The Forte Strategy attempts to minimize the use of margin, so returns are achievable for both trading and retirement accounts. It also takes only long positions, utilizing short ETFs as a hedge when necessary. The Forte Strategy will generate 2-3 trade signals per day on average, so we encourage you to use C2's AutoTrade feature to minimize the risk of missing a trade. As a subscriber, we will also provide profit target and stop losses for all positions.

Summary Statistics

Strategy began
2018-02-05
Suggested Minimum Capital
$35,000
# Trades
605
# Profitable
393
% Profitable
65.0%
Net Dividends
Correlation S&P500
0.376
Sharpe Ratio
0.36
Sortino Ratio
0.51
Beta
0.30
Alpha
0.01
Leverage
1.38 Average
2.95 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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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.