Collective2 Collective2
Featured Strategy Income Trades +17.4% Cumul. Return since Feb 16, 2024 Hypothetical

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SILVER ETF TRADER
(144504851)

Created by: RichardJohnson7 RichardJohnson7
Started: 05/2023
Stocks
Last trade: 4 days ago
Trading style: 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 $30.00 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
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.
12.4%
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.

(21.6%)
Max Drawdown
20
Num Trades
75.0%
Win Trades
1.5 : 1
Profit Factor
52.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                            +2.8%+1.8%(0.1%)+11.8%(8.1%)+4.5%+8.4%+7.0%+30.2%
2024(0.1%)(1.7%)+7.5%  -  (0.2%)  -  (0.2%)+0.9%+2.4%+7.9%(21.5%)      (7.9%)

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/12/24 9:30 UCO PROSHARES ULTRA BLOOMBERG CRUD LONG 1,000 26.00 11/12 15:14 25.37 1.58%
Trade id #150063805
Max drawdown($820)
Time11/12/24 11:19
Quant open1,000
Worst price25.18
Drawdown as % of equity-1.58%
 ($635)
Includes Typical Broker Commissions trade costs of $5.00
11/1/24 9:30 AGQ PROSHARES ULTRA SILVER LONG 2,000 44.59 11/12 10:45 38.07 25.55%
Trade id #149928814
Max drawdown($13,260)
Time11/12/24 10:39
Quant open2,000
Worst price37.96
Drawdown as % of equity-25.55%
 ($13,045)
Includes Typical Broker Commissions trade costs of $5.00
10/11/24 9:52 AMLI AMERICAN LITHIUM CORP. LONG 1,000 0.85 11/12 10:45 0.65 0.4%
Trade id #149637709
Max drawdown($210)
Time11/12/24 9:33
Quant open1,000
Worst price0.64
Drawdown as % of equity-0.40%
 ($210)
Includes Typical Broker Commissions trade costs of $5.00
10/29/24 13:04 UCO PROSHARES ULTRA BLOOMBERG CRUD LONG 4,000 24.38 10/30 10:13 25.09 0.55%
Trade id #149882954
Max drawdown($340)
Time10/29/24 13:10
Quant open4,000
Worst price24.30
Drawdown as % of equity-0.55%
 $2,835
Includes Typical Broker Commissions trade costs of $5.00
10/25/24 11:18 UCO PROSHARES ULTRA BLOOMBERG CRUD LONG 1,000 27.09 10/25 11:40 27.63 n/a $535
Includes Typical Broker Commissions trade costs of $5.00
10/21/24 9:30 UCO PROSHARES ULTRA BLOOMBERG CRUD LONG 800 26.39 10/22 9:54 26.96 0.57%
Trade id #149723602
Max drawdown($344)
Time10/21/24 11:11
Quant open800
Worst price25.96
Drawdown as % of equity-0.57%
 $451
Includes Typical Broker Commissions trade costs of $5.00
10/2/24 9:30 UCO PROSHARES ULTRA BLOOMBERG CRUD LONG 1,000 27.76 10/4 9:39 28.85 2.36%
Trade id #149558600
Max drawdown($1,400)
Time10/2/24 12:00
Quant open1,000
Worst price26.36
Drawdown as % of equity-2.36%
 $1,085
Includes Typical Broker Commissions trade costs of $5.00
9/5/24 10:00 AGQ PROSHARES ULTRA SILVER LONG 1,000 35.35 9/12 12:04 36.83 5.35%
Trade id #149259456
Max drawdown($3,080)
Time9/6/24 0:00
Quant open1,000
Worst price32.27
Drawdown as % of equity-5.35%
 $1,475
Includes Typical Broker Commissions trade costs of $8.00
8/20/24 9:30 AGQ PROSHARES ULTRA SILVER LONG 1,500 38.08 8/20 10:57 37.24 2.31%
Trade id #148965495
Max drawdown($1,365)
Time8/20/24 10:45
Quant open1,500
Worst price37.17
Drawdown as % of equity-2.31%
 ($1,265)
Includes Typical Broker Commissions trade costs of $5.00
8/19/24 9:30 AGQ PROSHARES ULTRA SILVER LONG 1,000 35.84 8/19 14:25 36.58 0.36%
Trade id #148951542
Max drawdown($210)
Time8/19/24 9:40
Quant open1,000
Worst price35.63
Drawdown as % of equity-0.36%
 $735
Includes Typical Broker Commissions trade costs of $5.00
8/15/24 9:30 AGQ PROSHARES ULTRA SILVER LONG 1,000 34.06 8/15 11:00 34.26 1.39%
Trade id #148924537
Max drawdown($805)
Time8/15/24 9:54
Quant open1,000
Worst price33.26
Drawdown as % of equity-1.39%
 $195
Includes Typical Broker Commissions trade costs of $5.00
8/7/24 12:58 AGQ PROSHARES ULTRA SILVER LONG 1,000 31.13 8/8 10:48 32.02 1.52%
Trade id #148858758
Max drawdown($870)
Time8/7/24 14:48
Quant open1,000
Worst price30.26
Drawdown as % of equity-1.52%
 $885
Includes Typical Broker Commissions trade costs of $5.00
3/5/24 9:44: Rescaled downward to 60% of previous Model Account size
3/5/24 9:43: Rescaled downward to 70% of previous Model Account size
1/10/24 11:00 AGQ PROSHARES ULTRA SILVER LONG 2,100 24.53 3/5 9:39 26.06 6.11%
Trade id #146963680
Max drawdown($3,292)
Time2/13/24 0:00
Quant open1,680
Worst price22.79
Drawdown as % of equity-6.11%
 $3,201
Includes Typical Broker Commissions trade costs of $15.90
12/11/23 12:47 AGQ PROSHARES ULTRA SILVER LONG 1,260 25.06 12/14 9:51 27.92 0.57%
Trade id #146662141
Max drawdown($289)
Time12/13/23 0:00
Quant open529
Worst price24.51
Drawdown as % of equity-0.57%
 $3,599
Includes Typical Broker Commissions trade costs of $9.20
9/8/23 10:18 AGQ PROSHARES ULTRA SILVER LONG 1,680 26.93 11/16 10:19 28.22 9.6%
Trade id #145770109
Max drawdown($3,972)
Time10/4/23 0:00
Quant open706
Worst price21.30
Drawdown as % of equity-9.60%
 $2,162
Includes Typical Broker Commissions trade costs of $5.00
8/9/23 10:43 AGQ PROSHARES ULTRA SILVER LONG 1,680 26.52 8/23 10:06 29.61 1.69%
Trade id #145481810
Max drawdown($733)
Time8/14/23 0:00
Quant open706
Worst price25.48
Drawdown as % of equity-1.69%
 $5,186
Includes Typical Broker Commissions trade costs of $5.00
6/16/23 10:08 AGQ PROSHARES ULTRA SILVER LONG 840 30.45 6/20 10:22 27.88 2%
Trade id #144944482
Max drawdown($920)
Time6/20/23 10:07
Quant open353
Worst price27.84
Drawdown as % of equity-2.00%
 ($2,164)
Includes Typical Broker Commissions trade costs of $5.00
5/19/23 9:47 AGQ PROSHARES ULTRA SILVER LONG 1,890 29.27 6/8 9:58 30.69 4.02%
Trade id #144674512
Max drawdown($1,647)
Time5/25/23 0:00
Quant open706
Worst price27.10
Drawdown as % of equity-4.02%
 $2,681
Includes Typical Broker Commissions trade costs of $11.30
5/4/23 10:05 CCL CARNIVAL LONG 4,200 9.45 5/5 14:03 9.79 1.01%
Trade id #144525207
Max drawdown($423)
Time5/4/23 12:11
Quant open1,764
Worst price9.21
Drawdown as % of equity-1.01%
 $1,442
Includes Typical Broker Commissions trade costs of $7.50
5/2/23 13:23 SMR NUSCALE POWER CORPORATION LONG 420 7.93 5/3 10:27 8.03 0.01%
Trade id #144504888
Max drawdown($4)
Time5/2/23 14:16
Quant open176
Worst price7.91
Drawdown as % of equity-0.01%
 $34
Includes Typical Broker Commissions trade costs of $8.40
Next

Statistics

  • Strategy began
    5/2/2023
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    563.77
  • Age
    19 months ago
  • What it trades
    Stocks
  • # Trades
    20
  • # Profitable
    15
  • % Profitable
    75.00%
  • Avg trade duration
    11.1 days
  • Max peak-to-valley drawdown
    21.62%
  • drawdown period
    Sept 22, 2023 - Oct 05, 2023
  • Annual Return (Compounded)
    12.4%
  • Avg win
    $1,773
  • Avg loss
    $3,458
  • Model Account Values (Raw)
  • Cash
    $51,311
  • Margin Used
    $0
  • Buying Power
    $51,311
  • Ratios
  • W:L ratio
    1.54:1
  • Sharpe Ratio
    0.46
  • Sortino Ratio
    0.67
  • Calmar Ratio
    1.107
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -22.53%
  • Correlation to SP500
    0.04000
  • Return Percent SP500 (cumu) during strategy life
    42.51%
  • Return Statistics
  • Ann Return (w trading costs)
    12.4%
  • Slump
  • Current Slump as Pcnt Equity
    27.40%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.03%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.124%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    13.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    49.00%
  • Chance of 20% account loss
    18.00%
  • Chance of 30% account loss
    3.50%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    855
  • Popularity (Last 6 weeks)
    926
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    337
  • Popularity (7 days, Percentile 1000 scale)
    872
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $3,459
  • Avg Win
    $1,774
  • Sum Trade PL (losers)
    $17,294.000
  • Age
  • Num Months filled monthly returns table
    19
  • Win / Loss
  • Sum Trade PL (winners)
    $26,605.000
  • # Winners
    15
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    5
  • % Winners
    75.0%
  • Frequency
  • Avg Position Time (mins)
    16024.00
  • Avg Position Time (hrs)
    267.07
  • Avg Trade Length
    11.1 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    1.70
  • Daily leverage (max)
    3.19
  • Regression
  • Alpha
    0.03
  • Beta
    0.08
  • Treynor Index
    0.45
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.46
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    3.875
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.668
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.959
  • Hold-and-Hope Ratio
    0.258
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46475
  • SD
    0.31328
  • Sharpe ratio (Glass type estimate)
    1.48351
  • Sharpe ratio (Hedges UMVUE)
    1.36890
  • df
    10.00000
  • t
    1.42035
  • p
    0.09296
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69503
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.59558
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76431
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.50212
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.02865
  • Upside Potential Ratio
    4.31863
  • Upside part of mean
    0.66270
  • Downside part of mean
    -0.19795
  • Upside SD
    0.28926
  • Downside SD
    0.15345
  • N nonnegative terms
    8.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.35554
  • Mean of criterion
    0.46475
  • SD of predictor
    0.13240
  • SD of criterion
    0.31328
  • Covariance
    0.00910
  • r
    0.21945
  • b (slope, estimate of beta)
    0.51924
  • a (intercept, estimate of alpha)
    0.28014
  • Mean Square Error
    0.10379
  • DF error
    9.00000
  • t(b)
    0.67481
  • p(b)
    0.25838
  • t(a)
    0.64596
  • p(a)
    0.26721
  • Lowerbound of 95% confidence interval for beta
    -1.22139
  • Upperbound of 95% confidence interval for beta
    2.25987
  • Lowerbound of 95% confidence interval for alpha
    -0.70090
  • Upperbound of 95% confidence interval for alpha
    1.26118
  • Treynor index (mean / b)
    0.89506
  • Jensen alpha (a)
    0.28014
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41314
  • SD
    0.30475
  • Sharpe ratio (Glass type estimate)
    1.35565
  • Sharpe ratio (Hedges UMVUE)
    1.25092
  • df
    10.00000
  • t
    1.29793
  • p
    0.11172
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.80460
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.45425
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86833
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.37017
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.50691
  • Upside Potential Ratio
    3.78371
  • Upside part of mean
    0.62356
  • Downside part of mean
    -0.21042
  • Upside SD
    0.26739
  • Downside SD
    0.16480
  • N nonnegative terms
    8.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.34205
  • Mean of criterion
    0.41314
  • SD of predictor
    0.12881
  • SD of criterion
    0.30475
  • Covariance
    0.00963
  • r
    0.24532
  • b (slope, estimate of beta)
    0.58042
  • a (intercept, estimate of alpha)
    0.21461
  • Mean Square Error
    0.09698
  • DF error
    9.00000
  • t(b)
    0.75918
  • p(b)
    0.23358
  • t(a)
    0.51420
  • p(a)
    0.30975
  • Lowerbound of 95% confidence interval for beta
    -1.14909
  • Upperbound of 95% confidence interval for beta
    2.30993
  • Lowerbound of 95% confidence interval for alpha
    -0.72953
  • Upperbound of 95% confidence interval for alpha
    1.15874
  • Treynor index (mean / b)
    0.71180
  • Jensen alpha (a)
    0.21461
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10441
  • Expected Shortfall on VaR
    0.13629
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02368
  • Expected Shortfall on VaR
    0.05729
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.85876
  • Quartile 1
    1.00223
  • Median
    1.04284
  • Quartile 3
    1.07841
  • Maximum
    1.21832
  • Mean of quarter 1
    0.94184
  • Mean of quarter 2
    1.02672
  • Mean of quarter 3
    1.06040
  • Mean of quarter 4
    1.14171
  • Inter Quartile Range
    0.07618
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.85876
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    1.21832
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.65079
  • VaR(95%) (moments method)
    0.02395
  • Expected Shortfall (moments method)
    0.02552
  • Extreme Value Index (regression method)
    1.32978
  • VaR(95%) (regression method)
    0.15370
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00534
  • Quartile 1
    0.01661
  • Median
    0.02789
  • Quartile 3
    0.08457
  • Maximum
    0.14125
  • Mean of quarter 1
    0.00534
  • Mean of quarter 2
    0.02789
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14125
  • Inter Quartile Range
    0.06795
  • 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)
    0.54354
  • Compounded annual return (geometric extrapolation)
    0.55434
  • Calmar ratio (compounded annual return / max draw down)
    3.92464
  • Compounded annual return / average of 25% largest draw downs
    3.92464
  • Compounded annual return / Expected Shortfall lognormal
    4.06745
  • 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
    0.22579
  • SD
    0.29284
  • Sharpe ratio (Glass type estimate)
    0.77104
  • Sharpe ratio (Hedges UMVUE)
    0.76869
  • df
    247.00000
  • t
    0.75015
  • p
    0.22694
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24540
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78594
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24697
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78436
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10075
  • Upside Potential Ratio
    7.39036
  • Upside part of mean
    1.51594
  • Downside part of mean
    -1.29015
  • Upside SD
    0.20863
  • Downside SD
    0.20512
  • N nonnegative terms
    93.00000
  • N negative terms
    155.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    248.00000
  • Mean of predictor
    0.35919
  • Mean of criterion
    0.22579
  • SD of predictor
    0.15892
  • SD of criterion
    0.29284
  • Covariance
    0.00142
  • r
    0.03054
  • b (slope, estimate of beta)
    0.05628
  • a (intercept, estimate of alpha)
    0.20600
  • Mean Square Error
    0.08602
  • DF error
    246.00000
  • t(b)
    0.47930
  • p(b)
    0.31608
  • t(a)
    0.67534
  • p(a)
    0.25005
  • Lowerbound of 95% confidence interval for beta
    -0.17501
  • Upperbound of 95% confidence interval for beta
    0.28758
  • Lowerbound of 95% confidence interval for alpha
    -0.39399
  • Upperbound of 95% confidence interval for alpha
    0.80513
  • Treynor index (mean / b)
    4.01168
  • Jensen alpha (a)
    0.20557
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18268
  • SD
    0.29450
  • Sharpe ratio (Glass type estimate)
    0.62031
  • Sharpe ratio (Hedges UMVUE)
    0.61843
  • df
    247.00000
  • t
    0.60351
  • p
    0.27336
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.39553
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.63501
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.39684
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.63369
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.86608
  • Upside Potential Ratio
    7.08554
  • Upside part of mean
    1.49452
  • Downside part of mean
    -1.31184
  • Upside SD
    0.20498
  • Downside SD
    0.21093
  • N nonnegative terms
    93.00000
  • N negative terms
    155.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    248.00000
  • Mean of predictor
    0.34630
  • Mean of criterion
    0.18268
  • SD of predictor
    0.15939
  • SD of criterion
    0.29450
  • Covariance
    0.00131
  • r
    0.02788
  • b (slope, estimate of beta)
    0.05152
  • a (intercept, estimate of alpha)
    0.16484
  • Mean Square Error
    0.08701
  • DF error
    246.00000
  • t(b)
    0.43750
  • p(b)
    0.33107
  • t(a)
    0.53883
  • p(a)
    0.29525
  • Lowerbound of 95% confidence interval for beta
    -0.18042
  • Upperbound of 95% confidence interval for beta
    0.28346
  • Lowerbound of 95% confidence interval for alpha
    -0.43772
  • Upperbound of 95% confidence interval for alpha
    0.76740
  • Treynor index (mean / b)
    3.54587
  • Jensen alpha (a)
    0.16484
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02881
  • Expected Shortfall on VaR
    0.03614
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01287
  • Expected Shortfall on VaR
    0.02678
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    248.00000
  • Minimum
    0.90355
  • Quartile 1
    0.99658
  • Median
    1.00000
  • Quartile 3
    1.00623
  • Maximum
    1.05825
  • Mean of quarter 1
    0.98104
  • Mean of quarter 2
    0.99953
  • Mean of quarter 3
    1.00114
  • Mean of quarter 4
    1.02217
  • Inter Quartile Range
    0.00966
  • Number outliers low
    27.00000
  • Percentage of outliers low
    0.10887
  • Mean of outliers low
    0.96828
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    1.03343
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14305
  • VaR(95%) (moments method)
    0.01252
  • Expected Shortfall (moments method)
    0.01984
  • Extreme Value Index (regression method)
    -0.10697
  • VaR(95%) (regression method)
    0.01637
  • Expected Shortfall (regression method)
    0.02296
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00124
  • Quartile 1
    0.00623
  • Median
    0.03733
  • Quartile 3
    0.07134
  • Maximum
    0.21166
  • Mean of quarter 1
    0.00316
  • Mean of quarter 2
    0.02106
  • Mean of quarter 3
    0.05968
  • Mean of quarter 4
    0.14414
  • Inter Quartile Range
    0.06511
  • 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
    0.11765
  • Mean of outliers high
    0.20585
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.25199
  • VaR(95%) (moments method)
    0.15255
  • Expected Shortfall (moments method)
    0.23721
  • Extreme Value Index (regression method)
    -0.37939
  • VaR(95%) (regression method)
    0.13532
  • Expected Shortfall (regression method)
    0.15452
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.23304
  • Compounded annual return (geometric extrapolation)
    0.23440
  • Calmar ratio (compounded annual return / max draw down)
    1.10742
  • Compounded annual return / average of 25% largest draw downs
    1.62622
  • Compounded annual return / Expected Shortfall lognormal
    6.48596
  • 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
    0.00668
  • SD
    0.27207
  • Sharpe ratio (Glass type estimate)
    0.02456
  • Sharpe ratio (Hedges UMVUE)
    0.02442
  • df
    130.00000
  • t
    0.01737
  • p
    0.49924
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.74725
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79637
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.74739
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79623
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.03198
  • Upside Potential Ratio
    5.52381
  • Upside part of mean
    1.15413
  • Downside part of mean
    -1.14745
  • Upside SD
    0.17264
  • Downside SD
    0.20894
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.49434
  • Mean of criterion
    0.00668
  • SD of predictor
    0.17325
  • SD of criterion
    0.27207
  • Covariance
    -0.00137
  • r
    -0.02903
  • b (slope, estimate of beta)
    -0.04560
  • a (intercept, estimate of alpha)
    0.02922
  • Mean Square Error
    0.07453
  • DF error
    129.00000
  • t(b)
    -0.32991
  • p(b)
    0.51848
  • t(a)
    0.07453
  • p(a)
    0.49582
  • Lowerbound of 95% confidence interval for beta
    -0.31905
  • Upperbound of 95% confidence interval for beta
    0.22786
  • Lowerbound of 95% confidence interval for alpha
    -0.74654
  • Upperbound of 95% confidence interval for alpha
    0.80499
  • Treynor index (mean / b)
    -0.14655
  • Jensen alpha (a)
    0.02922
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03067
  • SD
    0.27562
  • Sharpe ratio (Glass type estimate)
    -0.11128
  • Sharpe ratio (Hedges UMVUE)
    -0.11064
  • df
    130.00000
  • t
    -0.07869
  • p
    0.50345
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.88301
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.66068
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.88248
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.66120
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.14203
  • Upside Potential Ratio
    5.27626
  • Upside part of mean
    1.13946
  • Downside part of mean
    -1.17013
  • Upside SD
    0.16956
  • Downside SD
    0.21596
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.47885
  • Mean of criterion
    -0.03067
  • SD of predictor
    0.17414
  • SD of criterion
    0.27562
  • Covariance
    -0.00149
  • r
    -0.03108
  • b (slope, estimate of beta)
    -0.04919
  • a (intercept, estimate of alpha)
    -0.00712
  • Mean Square Error
    0.07648
  • DF error
    129.00000
  • t(b)
    -0.35312
  • p(b)
    0.51978
  • t(a)
    -0.01795
  • p(a)
    0.50101
  • VAR (95 Confidence Intrvl)
    0.02900
  • Lowerbound of 95% confidence interval for beta
    -0.32477
  • Upperbound of 95% confidence interval for beta
    0.22640
  • Lowerbound of 95% confidence interval for alpha
    -0.79210
  • Upperbound of 95% confidence interval for alpha
    0.77786
  • Treynor index (mean / b)
    0.62361
  • Jensen alpha (a)
    -0.00712
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02773
  • Expected Shortfall on VaR
    0.03461
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01121
  • Expected Shortfall on VaR
    0.02421
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90355
  • Quartile 1
    0.99917
  • Median
    1.00000
  • Quartile 3
    1.00475
  • Maximum
    1.05825
  • Mean of quarter 1
    0.98290
  • Mean of quarter 2
    0.99997
  • Mean of quarter 3
    1.00091
  • Mean of quarter 4
    1.01677
  • Inter Quartile Range
    0.00558
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.13740
  • Mean of outliers low
    0.97255
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.02961
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.04202
  • VaR(95%) (moments method)
    0.00445
  • Expected Shortfall (moments method)
    0.00653
  • Extreme Value Index (regression method)
    0.09636
  • VaR(95%) (regression method)
    0.01486
  • Expected Shortfall (regression method)
    0.02522
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00137
  • Quartile 1
    0.00641
  • Median
    0.03049
  • Quartile 3
    0.06347
  • Maximum
    0.21166
  • Mean of quarter 1
    0.00401
  • Mean of quarter 2
    0.01069
  • Mean of quarter 3
    0.05042
  • Mean of quarter 4
    0.11843
  • Inter Quartile Range
    0.05707
  • 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
    0.10000
  • Mean of outliers high
    0.21166
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.31845
  • VaR(95%) (moments method)
    0.14216
  • Expected Shortfall (moments method)
    0.24116
  • Extreme Value Index (regression method)
    2.67358
  • VaR(95%) (regression method)
    0.31278
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -393769000
  • Max Equity Drawdown (num days)
    13
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.00276
  • Compounded annual return (geometric extrapolation)
    -0.00276
  • Calmar ratio (compounded annual return / max draw down)
    -0.01305
  • Compounded annual return / average of 25% largest draw downs
    -0.02332
  • Compounded annual return / Expected Shortfall lognormal
    -0.07980

Strategy Description

I typically focus on trading SILVER/ GOLD based on technical analysis. However I consider long term GEOPOLITICAL and ECONOMIC trends. IE: As inflation rises the US dollar will lose value making precious metals more valuable.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-05-02
Suggested Minimum Capital
$15,000
# Trades
20
# Profitable
15
% Profitable
75.0%
Correlation S&P500
0.040
Sharpe Ratio
0.46
Sortino Ratio
0.67
Beta
0.08
Alpha
0.03
Leverage
1.70 Average
3.19 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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