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Forte Strategy
(116308970)

Created by: MaestroCapitalResrch MaestroCapitalResrch
Started: 02/2018
Stocks
Last trade: 3 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.

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
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.
12.2%
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.

(13.0%)
Max Drawdown
700
Num Trades
62.4%
Win Trades
1.1 : 1
Profit Factor
57.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018       +1.2%+0.4%+6.0%(2.9%)+0.8%+4.1%+1.2%(0.5%)(5%)(0.8%)+4.3%+8.6%
2019+4.6%(0.4%)(3.6%)+9.2%(1.5%)+3.7%+2.8%(4.5%)                        +10.2%

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 653 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/7/19 9:30 DRIP DIREXION DAILY S&P OIL GAS EXPL PROD BEA LONG 509 109.81 8/20 15:52 104.48 2.14%
Trade id #124810567
Max drawdown($5,406)
Time8/13/19 0:00
Quant open335
Worst price93.33
Drawdown as % of equity-2.14%
($2,724)
Includes Typical Broker Commissions trade costs of $10.18
8/14/19 11:19 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 560 21.98 8/16 15:52 19.88 0.5%
Trade id #124931749
Max drawdown($1,235)
Time8/14/19 11:19
Quant open560
Worst price19.77
Drawdown as % of equity-0.50%
($1,178)
Includes Typical Broker Commissions trade costs of $5.00
8/14/19 11:14 SOXL DIREXION DAILY SEMICONDCT BULL LONG 185 138.48 8/15 13:48 135.98 0.34%
Trade id #124931515
Max drawdown($842)
Time8/14/19 11:14
Quant open185
Worst price133.93
Drawdown as % of equity-0.34%
($467)
Includes Typical Broker Commissions trade costs of $3.70
8/5/19 9:30 UDOW PROSHARES ULTRAPRO DOW30 LONG 227 96.62 8/15 11:20 89.06 0.7%
Trade id #124765890
Max drawdown($1,716)
Time8/5/19 9:30
Quant open227
Worst price89.06
Drawdown as % of equity-0.70%
($1,721)
Includes Typical Broker Commissions trade costs of $4.54
8/14/19 10:02 LABU DIREXION DAILY S&P BIOTECH BULL LONG 783 39.46 8/15 9:36 38.34 0.75%
Trade id #124929075
Max drawdown($1,884)
Time8/14/19 10:02
Quant open783
Worst price37.05
Drawdown as % of equity-0.75%
($879)
Includes Typical Broker Commissions trade costs of $5.00
8/8/19 10:32 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 458 52.03 8/14 11:11 48.93 0.54%
Trade id #124836302
Max drawdown($1,409)
Time8/8/19 10:32
Quant open458
Worst price48.95
Drawdown as % of equity-0.54%
($1,428)
Includes Typical Broker Commissions trade costs of $9.16
8/5/19 9:30 NUGT DIREXION DAILY GOLD MINERS BUL LONG 639 36.25 8/13 15:52 36.37 0.78%
Trade id #124765883
Max drawdown($1,906)
Time8/5/19 9:30
Quant open639
Worst price33.27
Drawdown as % of equity-0.78%
$71
Includes Typical Broker Commissions trade costs of $5.00
8/13/19 9:30 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 522 36.91 8/13 15:47 32.42 1.03%
Trade id #124904439
Max drawdown($2,591)
Time8/13/19 9:30
Quant open522
Worst price31.95
Drawdown as % of equity-1.03%
($2,351)
Includes Typical Broker Commissions trade costs of $5.00
8/8/19 9:30 OILD PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF LONG 964 24.83 8/13 9:45 20.58 1.36%
Trade id #124833805
Max drawdown($3,579)
Time8/8/19 9:30
Quant open964
Worst price21.12
Drawdown as % of equity-1.36%
($4,103)
Includes Typical Broker Commissions trade costs of $5.00
8/12/19 9:30 SOXL DIREXION DAILY SEMICONDCT BULL LONG 163 141.95 8/13 9:31 137.64 0.31%
Trade id #124880009
Max drawdown($805)
Time8/12/19 9:30
Quant open163
Worst price137.01
Drawdown as % of equity-0.31%
($706)
Includes Typical Broker Commissions trade costs of $3.26
8/9/19 9:35 LABU DIREXION DAILY S&P BIOTECH BULL LONG 533 44.41 8/12 14:45 39.93 0.88%
Trade id #124854932
Max drawdown($2,301)
Time8/9/19 9:35
Quant open533
Worst price40.09
Drawdown as % of equity-0.88%
($2,391)
Includes Typical Broker Commissions trade costs of $5.00
8/6/19 11:19 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 625 37.65 8/8 15:32 30.87 1.6%
Trade id #124792933
Max drawdown($4,193)
Time8/6/19 11:19
Quant open625
Worst price30.94
Drawdown as % of equity-1.60%
($4,243)
Includes Typical Broker Commissions trade costs of $5.00
8/8/19 9:30 SOXL DIREXION DAILY SEMICONDCT BULL LONG 164 146.89 8/8 15:27 152.86 0.22%
Trade id #124833797
Max drawdown($573)
Time8/8/19 9:30
Quant open164
Worst price143.39
Drawdown as % of equity-0.22%
$976
Includes Typical Broker Commissions trade costs of $3.28
8/7/19 9:30 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 1,569 22.67 8/8 10:51 19.41 2.09%
Trade id #124810552
Max drawdown($5,488)
Time8/7/19 9:30
Quant open1,050
Worst price17.44
Drawdown as % of equity-2.09%
($5,120)
Includes Typical Broker Commissions trade costs of $10.00
8/7/19 9:32 OILD PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF LONG 1,000 25.89 8/7 11:24 26.89 0.28%
Trade id #124810754
Max drawdown($767)
Time8/7/19 9:32
Quant open1,000
Worst price25.12
Drawdown as % of equity-0.28%
$997
Includes Typical Broker Commissions trade costs of $5.00
8/1/19 14:16 OILD PROSHARES ULTRAPRO 3X SHORT CRUDE OIL ETF LONG 2,038 22.20 8/7 9:30 24.05 0.97%
Trade id #124724918
Max drawdown($2,393)
Time8/1/19 14:16
Quant open991
Worst price20.74
Drawdown as % of equity-0.97%
$3,742
Includes Typical Broker Commissions trade costs of $15.00
7/31/19 12:39 DRIP DIREXION DAILY S&P OIL GAS EXPL PROD BEA LONG 402 81.85 8/6 11:33 101.37 0.05%
Trade id #124700844
Max drawdown($122)
Time7/31/19 12:39
Quant open150
Worst price68.00
Drawdown as % of equity-0.05%
$7,840
Includes Typical Broker Commissions trade costs of $8.04
8/6/19 9:30 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 1,100 20.48 8/6 10:16 21.91 0.19%
Trade id #124788425
Max drawdown($494)
Time8/6/19 9:30
Quant open1,100
Worst price20.03
Drawdown as % of equity-0.19%
$1,569
Includes Typical Broker Commissions trade costs of $5.00
8/2/19 10:08 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 715 31.41 8/5 14:59 36.60 0.35%
Trade id #124738186
Max drawdown($844)
Time8/2/19 10:08
Quant open715
Worst price30.23
Drawdown as % of equity-0.35%
$3,705
Includes Typical Broker Commissions trade costs of $5.00
8/2/19 10:40 LABD DIREXION DAILY S&P BIOTECH BEAR 3X LONG 1,110 20.25 8/5 14:32 22.44 0.12%
Trade id #124739351
Max drawdown($288)
Time8/2/19 10:40
Quant open1,110
Worst price19.99
Drawdown as % of equity-0.12%
$2,422
Includes Typical Broker Commissions trade costs of $5.00
8/2/19 9:30 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 2,356 18.20 8/5 14:27 20.02 0.14%
Trade id #124736084
Max drawdown($338)
Time8/2/19 9:30
Quant open1,270
Worst price17.15
Drawdown as % of equity-0.14%
$4,271
Includes Typical Broker Commissions trade costs of $14.72
8/2/19 9:30 SOXL DIREXION DAILY SEMICONDCT BULL LONG 142 156.80 8/5 9:30 140.59 0.93%
Trade id #124736067
Max drawdown($2,303)
Time8/2/19 9:30
Quant open142
Worst price140.58
Drawdown as % of equity-0.93%
($2,305)
Includes Typical Broker Commissions trade costs of $2.84
8/1/19 13:52 SOXS DIREXION DAILY SEMICONDCT BEAR LONG 521 43.72 8/5 9:30 51.48 0.15%
Trade id #124724079
Max drawdown($368)
Time8/1/19 13:52
Quant open521
Worst price43.01
Drawdown as % of equity-0.15%
$4,038
Includes Typical Broker Commissions trade costs of $5.00
7/31/19 14:54 UDOW PROSHARES ULTRAPRO DOW30 LONG 215 105.54 8/2 11:00 98.31 0.63%
Trade id #124703272
Max drawdown($1,554)
Time8/2/19 11:00
Quant open215
Worst price98.31
Drawdown as % of equity-0.63%
($1,558)
Includes Typical Broker Commissions trade costs of $4.30
7/31/19 12:40 LABU DIREXION DAILY S&P BIOTECH BULL LONG 479 48.72 8/2 10:33 43.50 1.01%
Trade id #124700850
Max drawdown($2,498)
Time8/2/19 10:33
Quant open479
Worst price43.50
Drawdown as % of equity-1.01%
($2,508)
Includes Typical Broker Commissions trade costs of $9.58
8/1/19 11:02 TQQQ PROSHARES ULTRAPRO QQQ LONG 328 69.28 8/2 9:30 63.08 1.14%
Trade id #124718034
Max drawdown($2,846)
Time8/1/19 11:02
Quant open328
Worst price60.60
Drawdown as % of equity-1.14%
($2,041)
Includes Typical Broker Commissions trade costs of $6.56
7/31/19 12:40 UVXY PROSHARES ULTRA VIX SHORT-TERM LONG 912 24.66 8/1 13:54 29.39 0.16%
Trade id #124700914
Max drawdown($390)
Time7/31/19 12:40
Quant open912
Worst price24.23
Drawdown as % of equity-0.16%
$4,310
Includes Typical Broker Commissions trade costs of $6.49
7/31/19 12:40 SOXL DIREXION DAILY SEMICONDCT BULL LONG 800 181.70 8/1 13:53 178.74 1.27%
Trade id #124700897
Max drawdown($3,181)
Time7/31/19 12:40
Quant open132
Worst price157.60
Drawdown as % of equity-1.27%
($2,371)
Includes Typical Broker Commissions trade costs of $6.97
7/31/19 12:40 UWT VELOCITY SHS 3X LONG CRUDE OIL TO S&P/GSCI INDEX LONG 2,531 14.60 8/1 13:33 12.49 3.62%
Trade id #124700924
Max drawdown($9,067)
Time7/31/19 12:40
Quant open2,531
Worst price11.02
Drawdown as % of equity-3.62%
($5,363)
Includes Typical Broker Commissions trade costs of $10.00
7/31/19 15:33 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 1,599 14.40 8/1 9:30 15.13 0.35%
Trade id #124704168
Max drawdown($876)
Time7/31/19 15:33
Quant open1,599
Worst price13.85
Drawdown as % of equity-0.35%
$1,165
Includes Typical Broker Commissions trade costs of $5.00

Statistics

  • Strategy began
    2/5/2018
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    563.48
  • Age
    19 months ago
  • What it trades
    Stocks
  • # Trades
    700
  • # Profitable
    437
  • % Profitable
    62.40%
  • Avg trade duration
    6.2 days
  • Max peak-to-valley drawdown
    13%
  • drawdown period
    Sept 21, 2018 - Nov 20, 2018
  • Annual Return (Compounded)
    12.2%
  • Avg win
    $938.19
  • Avg loss
    $1,411
  • Model Account Values (Raw)
  • Cash
    $108,026
  • Margin Used
    $0
  • Buying Power
    $105,332
  • Ratios
  • W:L ratio
    1.14:1
  • Sharpe Ratio
    0.68
  • Sortino Ratio
    1.04
  • Calmar Ratio
    1.192
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.24630
  • Return Statistics
  • Ann Return (w trading costs)
    12.2%
  • Ann Return (Compnd, No Fees)
    13.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    23.50%
  • 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)
    0
  • Popularity (Last 6 weeks)
    806
  • C2 Score
    9
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,414
  • Avg Win
    $938
  • # Winners
    437
  • # Losers
    263
  • % Winners
    62.4%
  • Frequency
  • Avg Position Time (mins)
    8877.67
  • Avg Position Time (hrs)
    147.96
  • Avg Trade Length
    6.2 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.48
  • Daily leverage (max)
    2.95
  • Regression
  • Alpha
    0.03
  • Beta
    0.22
  • Treynor Index
    0.14
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    85.314
  • Avg(MAE) / Avg(PL) - Winning trades
    1.802
  • Avg(MAE) / Avg(PL) - Losing trades
    -4.578
  • Hold-and-Hope Ratio
    0.014
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14446
  • SD
    0.12971
  • Sharpe ratio (Glass type estimate)
    1.11372
  • Sharpe ratio (Hedges UMVUE)
    1.06373
  • df
    17.00000
  • t
    1.36402
  • p
    0.30339
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54455
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.74116
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57603
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.70349
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.90068
  • Upside Potential Ratio
    4.83244
  • Upside part of mean
    0.24067
  • Downside part of mean
    -0.09621
  • Upside SD
    0.12308
  • Downside SD
    0.04980
  • N nonnegative terms
    10.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.04478
  • Mean of criterion
    0.14446
  • SD of predictor
    0.11398
  • SD of criterion
    0.12971
  • Covariance
    -0.00311
  • r
    -0.21046
  • b (slope, estimate of beta)
    -0.23950
  • a (intercept, estimate of alpha)
    0.15519
  • Mean Square Error
    0.01709
  • DF error
    16.00000
  • t(b)
    -0.86112
  • p(b)
    0.60523
  • t(a)
    1.44430
  • p(a)
    0.33019
  • Lowerbound of 95% confidence interval for beta
    -0.82910
  • Upperbound of 95% confidence interval for beta
    0.35010
  • Lowerbound of 95% confidence interval for alpha
    -0.07259
  • Upperbound of 95% confidence interval for alpha
    0.38297
  • Treynor index (mean / b)
    -0.60319
  • Jensen alpha (a)
    0.15519
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13576
  • SD
    0.12529
  • Sharpe ratio (Glass type estimate)
    1.08357
  • Sharpe ratio (Hedges UMVUE)
    1.03493
  • df
    17.00000
  • t
    1.32710
  • p
    0.30804
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57207
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.70914
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60274
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67261
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.68954
  • Upside Potential Ratio
    4.61609
  • Upside part of mean
    0.23300
  • Downside part of mean
    -0.09724
  • Upside SD
    0.11753
  • Downside SD
    0.05048
  • N nonnegative terms
    10.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.03848
  • Mean of criterion
    0.13576
  • SD of predictor
    0.11396
  • SD of criterion
    0.12529
  • Covariance
    -0.00290
  • r
    -0.20290
  • b (slope, estimate of beta)
    -0.22307
  • a (intercept, estimate of alpha)
    0.14434
  • Mean Square Error
    0.01599
  • DF error
    16.00000
  • t(b)
    -0.82886
  • p(b)
    0.60145
  • t(a)
    1.39099
  • p(a)
    0.33577
  • Lowerbound of 95% confidence interval for beta
    -0.79360
  • Upperbound of 95% confidence interval for beta
    0.34746
  • Lowerbound of 95% confidence interval for alpha
    -0.07564
  • Upperbound of 95% confidence interval for alpha
    0.36432
  • Treynor index (mean / b)
    -0.60858
  • Jensen alpha (a)
    0.14434
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04703
  • Expected Shortfall on VaR
    0.06124
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01741
  • Expected Shortfall on VaR
    0.03201
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.96111
  • Quartile 1
    0.99020
  • Median
    1.01092
  • Quartile 3
    1.03361
  • Maximum
    1.12467
  • Mean of quarter 1
    0.97742
  • Mean of quarter 2
    0.99824
  • Mean of quarter 3
    1.02256
  • Mean of quarter 4
    1.05766
  • Inter Quartile Range
    0.04341
  • 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
    0.05556
  • Mean of outliers high
    1.12467
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.34821
  • VaR(95%) (moments method)
    0.02263
  • Expected Shortfall (moments method)
    0.02289
  • Extreme Value Index (regression method)
    -0.44563
  • VaR(95%) (regression method)
    0.03344
  • Expected Shortfall (regression method)
    0.03993
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00359
  • Quartile 1
    0.00867
  • Median
    0.02862
  • Quartile 3
    0.05094
  • Maximum
    0.06315
  • Mean of quarter 1
    0.00359
  • Mean of quarter 2
    0.01037
  • Mean of quarter 3
    0.04688
  • Mean of quarter 4
    0.06315
  • Inter Quartile Range
    0.04227
  • 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)
    0.18550
  • Compounded annual return (geometric extrapolation)
    0.17782
  • Calmar ratio (compounded annual return / max draw down)
    2.81595
  • Compounded annual return / average of 25% largest draw downs
    2.81595
  • Compounded annual return / Expected Shortfall lognormal
    2.90345
  • 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
    0.11423
  • SD
    0.13858
  • Sharpe ratio (Glass type estimate)
    0.82428
  • Sharpe ratio (Hedges UMVUE)
    0.82273
  • df
    400.00000
  • t
    1.01976
  • p
    0.15423
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.76148
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40910
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76255
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40802
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.27104
  • Upside Potential Ratio
    9.46268
  • Upside part of mean
    0.85039
  • Downside part of mean
    -0.73616
  • Upside SD
    0.10550
  • Downside SD
    0.08987
  • N nonnegative terms
    206.00000
  • N negative terms
    195.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    401.00000
  • Mean of predictor
    0.04877
  • Mean of criterion
    0.11423
  • SD of predictor
    0.15724
  • SD of criterion
    0.13858
  • Covariance
    0.00556
  • r
    0.25535
  • b (slope, estimate of beta)
    0.22504
  • a (intercept, estimate of alpha)
    0.10300
  • Mean Square Error
    0.01800
  • DF error
    399.00000
  • t(b)
    5.27542
  • p(b)
    0.00000
  • t(a)
    0.95201
  • p(a)
    0.17083
  • Lowerbound of 95% confidence interval for beta
    0.14118
  • Upperbound of 95% confidence interval for beta
    0.30890
  • Lowerbound of 95% confidence interval for alpha
    -0.10996
  • Upperbound of 95% confidence interval for alpha
    0.31647
  • Treynor index (mean / b)
    0.50758
  • Jensen alpha (a)
    0.10325
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10465
  • SD
    0.13819
  • Sharpe ratio (Glass type estimate)
    0.75729
  • Sharpe ratio (Hedges UMVUE)
    0.75587
  • df
    400.00000
  • t
    0.93688
  • p
    0.17469
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82832
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34194
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82926
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.34099
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.15532
  • Upside Potential Ratio
    9.32664
  • Upside part of mean
    0.84482
  • Downside part of mean
    -0.74017
  • Upside SD
    0.10434
  • Downside SD
    0.09058
  • N nonnegative terms
    206.00000
  • N negative terms
    195.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    401.00000
  • Mean of predictor
    0.03641
  • Mean of criterion
    0.10465
  • SD of predictor
    0.15748
  • SD of criterion
    0.13819
  • Covariance
    0.00560
  • r
    0.25728
  • b (slope, estimate of beta)
    0.22578
  • a (intercept, estimate of alpha)
    0.09643
  • Mean Square Error
    0.01788
  • DF error
    399.00000
  • t(b)
    5.31822
  • p(b)
    0.00000
  • t(a)
    0.89216
  • p(a)
    0.18642
  • Lowerbound of 95% confidence interval for beta
    0.14231
  • Upperbound of 95% confidence interval for beta
    0.30923
  • Lowerbound of 95% confidence interval for alpha
    -0.11606
  • Upperbound of 95% confidence interval for alpha
    0.30892
  • Treynor index (mean / b)
    0.46352
  • Jensen alpha (a)
    0.09643
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01355
  • Expected Shortfall on VaR
    0.01706
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00638
  • Expected Shortfall on VaR
    0.01231
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    401.00000
  • Minimum
    0.97026
  • Quartile 1
    0.99631
  • Median
    1.00018
  • Quartile 3
    1.00487
  • Maximum
    1.05101
  • Mean of quarter 1
    0.99077
  • Mean of quarter 2
    0.99828
  • Mean of quarter 3
    1.00241
  • Mean of quarter 4
    1.01081
  • Inter Quartile Range
    0.00856
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.02743
  • Mean of outliers low
    0.97855
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.02494
  • Mean of outliers high
    1.02723
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18526
  • VaR(95%) (moments method)
    0.00905
  • Expected Shortfall (moments method)
    0.01378
  • Extreme Value Index (regression method)
    0.04163
  • VaR(95%) (regression method)
    0.00896
  • Expected Shortfall (regression method)
    0.01248
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    28.00000
  • Minimum
    0.00024
  • Quartile 1
    0.00468
  • Median
    0.01471
  • Quartile 3
    0.02625
  • Maximum
    0.11889
  • Mean of quarter 1
    0.00243
  • Mean of quarter 2
    0.00929
  • Mean of quarter 3
    0.02202
  • Mean of quarter 4
    0.06934
  • Inter Quartile Range
    0.02157
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.09310
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.43543
  • VaR(95%) (moments method)
    0.06983
  • Expected Shortfall (moments method)
    0.08307
  • Extreme Value Index (regression method)
    -0.52872
  • VaR(95%) (regression method)
    0.09287
  • Expected Shortfall (regression method)
    0.10929
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.14696
  • Compounded annual return (geometric extrapolation)
    0.14175
  • Calmar ratio (compounded annual return / max draw down)
    1.19227
  • Compounded annual return / average of 25% largest draw downs
    2.04413
  • Compounded annual return / Expected Shortfall lognormal
    8.30921
  • 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
    0.06075
  • SD
    0.16980
  • Sharpe ratio (Glass type estimate)
    0.35774
  • Sharpe ratio (Hedges UMVUE)
    0.35568
  • df
    130.00000
  • t
    0.25296
  • p
    0.48891
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.41501
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.12929
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.41647
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.12782
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.58971
  • Upside Potential Ratio
    9.61611
  • Upside part of mean
    0.99056
  • Downside part of mean
    -0.92981
  • Upside SD
    0.13422
  • Downside SD
    0.10301
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07738
  • Mean of criterion
    0.06075
  • SD of predictor
    0.12958
  • SD of criterion
    0.16980
  • Covariance
    -0.00264
  • r
    -0.12001
  • b (slope, estimate of beta)
    -0.15726
  • a (intercept, estimate of alpha)
    0.07292
  • Mean Square Error
    0.02864
  • DF error
    129.00000
  • t(b)
    -1.37299
  • p(b)
    0.57622
  • t(a)
    0.30446
  • p(a)
    0.48294
  • Lowerbound of 95% confidence interval for beta
    -0.38389
  • Upperbound of 95% confidence interval for beta
    0.06936
  • Lowerbound of 95% confidence interval for alpha
    -0.40092
  • Upperbound of 95% confidence interval for alpha
    0.54675
  • Treynor index (mean / b)
    -0.38626
  • Jensen alpha (a)
    0.07292
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.04654
  • SD
    0.16880
  • Sharpe ratio (Glass type estimate)
    0.27573
  • Sharpe ratio (Hedges UMVUE)
    0.27414
  • df
    130.00000
  • t
    0.19497
  • p
    0.49145
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.49676
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.04726
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.49787
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.04614
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.44835
  • Upside Potential Ratio
    9.45601
  • Upside part of mean
    0.98161
  • Downside part of mean
    -0.93507
  • Upside SD
    0.13231
  • Downside SD
    0.10381
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06900
  • Mean of criterion
    0.04654
  • SD of predictor
    0.12998
  • SD of criterion
    0.16880
  • Covariance
    -0.00260
  • r
    -0.11871
  • b (slope, estimate of beta)
    -0.15417
  • a (intercept, estimate of alpha)
    0.05718
  • Mean Square Error
    0.02831
  • DF error
    129.00000
  • t(b)
    -1.35794
  • p(b)
    0.57540
  • t(a)
    0.24018
  • p(a)
    0.48654
  • Lowerbound of 95% confidence interval for beta
    -0.37880
  • Upperbound of 95% confidence interval for beta
    0.07046
  • Lowerbound of 95% confidence interval for alpha
    -0.41385
  • Upperbound of 95% confidence interval for alpha
    0.52822
  • Treynor index (mean / b)
    -0.30189
  • Jensen alpha (a)
    0.05718
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01683
  • Expected Shortfall on VaR
    0.02110
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00873
  • Expected Shortfall on VaR
    0.01558
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97209
  • Quartile 1
    0.99481
  • Median
    0.99908
  • Quartile 3
    1.00470
  • Maximum
    1.05101
  • Mean of quarter 1
    0.98901
  • Mean of quarter 2
    0.99718
  • Mean of quarter 3
    1.00168
  • Mean of quarter 4
    1.01352
  • Inter Quartile Range
    0.00988
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.97578
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.02940
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.02441
  • VaR(95%) (moments method)
    0.01079
  • Expected Shortfall (moments method)
    0.01448
  • Extreme Value Index (regression method)
    0.08896
  • VaR(95%) (regression method)
    0.01135
  • Expected Shortfall (regression method)
    0.01585
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00343
  • Quartile 1
    0.02048
  • Median
    0.02460
  • Quartile 3
    0.05731
  • Maximum
    0.09871
  • Mean of quarter 1
    0.01145
  • Mean of quarter 2
    0.02413
  • Mean of quarter 3
    0.05168
  • Mean of quarter 4
    0.09488
  • Inter Quartile Range
    0.03683
  • 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)
    -76.89010
  • VaR(95%) (moments method)
    0.08653
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.14149
  • VaR(95%) (regression method)
    0.13383
  • Expected Shortfall (regression method)
    0.13404
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.07585
  • Compounded annual return (geometric extrapolation)
    0.07729
  • Calmar ratio (compounded annual return / max draw down)
    0.78304
  • Compounded annual return / average of 25% largest draw downs
    0.81460
  • Compounded annual return / Expected Shortfall lognormal
    3.66311

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
700
# Profitable
437
% Profitable
62.4%
Net Dividends
Correlation S&P500
0.246
Sharpe Ratio
0.68
Sortino Ratio
1.04
Beta
0.22
Alpha
0.03
Leverage
1.48 Average
2.95 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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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.