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Leveraged Momentum
(142757992)

Created by: RickAllen RickAllen
Started: 12/2022
Stocks
Last trade: 5 days ago
Trading style: Equity Trend-following Momentum

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 $35.00 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.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
40.7%
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.

(11.9%)
Max Drawdown
28
Num Trades
53.6%
Win Trades
10.5 : 1
Profit Factor
64.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                             +0.1%+0.1%
2023(0.7%)(4.8%)+1.9%+1.7%(0.6%)+5.4%+4.0%(3%)(4.8%)+3.5%+11.8%+6.0%+21.1%
2024+5.2%+24.7%+9.4%(6.9%)                                                +33.6%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 44 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/15/24 11:21 BITX VOLATILITY SHARES TRUST 2X BITCOIN STRATEGY ETF LONG 161 31.66 3/22 9:40 51.07 0.18%
Trade id #147345045
Max drawdown($129)
Time2/23/24 0:00
Quant open61
Worst price30.58
Drawdown as % of equity-0.18%
 $3,123
Includes Typical Broker Commissions trade costs of $3.22
3/31/23 13:43 SSO PROSHARES ULTRA S&P 500 LONG 207 57.21 2/28/24 9:59 72.54 0.24%
Trade id #144131961
Max drawdown($119)
Time5/4/23 0:00
Quant open107
Worst price48.47
Drawdown as % of equity-0.24%
 $3,170
Includes Typical Broker Commissions trade costs of $4.14
6/27/23 10:32 SPXL DIREXION DAILY S&P500 BULL 3X LONG 95 92.33 2/23/24 9:51 124.87 1.86%
Trade id #145042407
Max drawdown($935)
Time10/27/23 0:00
Quant open57
Worst price67.60
Drawdown as % of equity-1.86%
 $3,089
Includes Typical Broker Commissions trade costs of $1.90
1/25/24 10:42 QLD PROSHARES ULTRA QQQ LONG 24 82.54 2/15 11:20 83.54 0.16%
Trade id #147124925
Max drawdown($105)
Time1/31/24 0:00
Quant open24
Worst price78.14
Drawdown as % of equity-0.16%
 $24
Includes Typical Broker Commissions trade costs of $0.48
12/1/23 15:15 URA GLOBAL X URANIUM ETF LONG 443 29.03 1/25/24 10:40 29.51 1.75%
Trade id #146593100
Max drawdown($1,070)
Time1/3/24 0:00
Quant open443
Worst price26.61
Drawdown as % of equity-1.75%
 $204
Includes Typical Broker Commissions trade costs of $8.86
11/7/23 14:42 GBTC GRAYSCALE BITCOIN TRUST (BTC) LONG 583 33.42 1/12/24 10:18 39.23 0.14%
Trade id #146359680
Max drawdown($74)
Time11/8/23 0:00
Quant open164
Worst price27.18
Drawdown as % of equity-0.14%
 $3,380
Includes Typical Broker Commissions trade costs of $8.33
8/24/23 9:44 BITO PROSHARES BITCOIN STRATEGY ETF LONG 721 13.53 12/28 9:50 20.86 1.04%
Trade id #145625560
Max drawdown($533)
Time9/11/23 0:00
Quant open721
Worst price12.79
Drawdown as % of equity-1.04%
 $5,280
Includes Typical Broker Commissions trade costs of $5.00
3/31/23 14:29 SPBC SIMPLIFY U.S. EQUITY PLUS GBTC ETF LONG 500 23.13 12/27 13:34 28.84 0.28%
Trade id #144134329
Max drawdown($134)
Time4/26/23 0:00
Quant open376
Worst price22.34
Drawdown as % of equity-0.28%
 $2,844
Includes Typical Broker Commissions trade costs of $10.00
3/31/23 13:43 QQQ POWERSHARES QQQ LONG 33 328.71 12/1 15:09 389.77 0.46%
Trade id #144131956
Max drawdown($223)
Time4/25/23 0:00
Quant open25
Worst price309.89
Drawdown as % of equity-0.46%
 $2,014
Includes Typical Broker Commissions trade costs of $0.66
8/1/23 9:57 TQQQ PROSHARES ULTRAPRO QQQ LONG 11 44.66 11/7 14:40 39.27 0.3%
Trade id #145392113
Max drawdown($156)
Time10/26/23 0:00
Quant open11
Worst price30.47
Drawdown as % of equity-0.30%
 ($59)
Includes Typical Broker Commissions trade costs of $0.22
9/1/23 12:00 XLE ENERGY SELECT SECTOR SPDR LONG 49 90.22 11/7 14:40 84.11 0.63%
Trade id #145713385
Max drawdown($332)
Time11/7/23 11:10
Quant open49
Worst price83.42
Drawdown as % of equity-0.63%
 ($300)
Includes Typical Broker Commissions trade costs of $0.98
6/27/23 10:33 SPY SPDR S&P 500 LONG 34 432.86 9/1 11:56 445.65 0.02%
Trade id #145042437
Max drawdown($10)
Time6/27/23 11:11
Quant open34
Worst price432.54
Drawdown as % of equity-0.02%
 $434
Includes Typical Broker Commissions trade costs of $0.68
3/31/23 13:44 VGK VANGUARD FTSE EUROPE ETF LONG 169 60.87 6/27 10:22 60.45 0.38%
Trade id #144131970
Max drawdown($184)
Time5/31/23 0:00
Quant open169
Worst price59.77
Drawdown as % of equity-0.38%
 ($73)
Includes Typical Broker Commissions trade costs of $3.38
1/13/23 11:30 GLD SPDR GOLD SHARES LONG 87 179.59 6/27 10:22 177.87 1.28%
Trade id #143212540
Max drawdown($605)
Time2/24/23 0:00
Quant open61
Worst price168.19
Drawdown as % of equity-1.28%
 ($151)
Includes Typical Broker Commissions trade costs of $1.74
2/27/23 9:41 SGOV ISHARES 0-3 MONTH TREASURY BOND ETF LONG 100 100.42 3/31 13:30 100.56 0.06%
Trade id #143706512
Max drawdown($26)
Time3/1/23 0:00
Quant open100
Worst price100.15
Drawdown as % of equity-0.06%
 $13
Includes Typical Broker Commissions trade costs of $2.00
2/2/23 11:16 QQEW FIRST TRUST NASDAQ-100 EQUAL W LONG 54 101.62 3/31 13:30 100.20 1.12%
Trade id #143432016
Max drawdown($513)
Time3/13/23 0:00
Quant open54
Worst price92.11
Drawdown as % of equity-1.12%
 ($78)
Includes Typical Broker Commissions trade costs of $1.08
2/2/23 11:13 RSP INVESCO S&P 500 EQUAL WEIGH LONG 46 155.26 3/31 13:29 143.69 1.93%
Trade id #143431961
Max drawdown($895)
Time3/24/23 0:00
Quant open46
Worst price135.79
Drawdown as % of equity-1.93%
 ($533)
Includes Typical Broker Commissions trade costs of $0.92
2/2/23 11:05 IWM ISHARES RUSSELL 2000 INDEX LONG 30 198.29 3/31 13:29 177.78 1.99%
Trade id #143431911
Max drawdown($925)
Time3/24/23 0:00
Quant open30
Worst price167.46
Drawdown as % of equity-1.99%
 ($616)
Includes Typical Broker Commissions trade costs of $0.60
2/2/23 11:00 DIA SPDR DOW JONES INDUSTRIAL AVER LONG 24 340.10 3/31 13:29 330.92 1.31%
Trade id #143431793
Max drawdown($603)
Time3/15/23 0:00
Quant open24
Worst price314.97
Drawdown as % of equity-1.31%
 ($220)
Includes Typical Broker Commissions trade costs of $0.48
1/23/23 11:42 RLY SPDR SSGA MULTI-ASSET REAL RET LONG 200 28.88 2/2 10:31 28.57 0.2%
Trade id #143305246
Max drawdown($98)
Time2/1/23 0:00
Quant open200
Worst price28.39
Drawdown as % of equity-0.20%
 ($66)
Includes Typical Broker Commissions trade costs of $4.00
1/17/23 10:04 LBAY LEATHERBACK LONG/SHORT ALTERNATIVE YIELD ETF LONG 335 29.83 2/2 10:24 28.81 0.7%
Trade id #143238149
Max drawdown($345)
Time2/2/23 10:24
Quant open335
Worst price28.80
Drawdown as % of equity-0.70%
 ($350)
Includes Typical Broker Commissions trade costs of $6.70
12/5/22 10:47 BIL SPDR BLOOMBERG 1-3 MONTH T-BILL LONG 535 91.45 2/2/23 10:24 91.49 0.13%
Trade id #142769552
Max drawdown($64)
Time12/19/22 0:00
Quant open535
Worst price91.33
Drawdown as % of equity-0.13%
 $11
Includes Typical Broker Commissions trade costs of $7.85
1/13/23 11:31 XLE ENERGY SELECT SECTOR SPDR LONG 45 89.76 2/2 10:22 86.64 0.34%
Trade id #143212558
Max drawdown($164)
Time2/2/23 9:58
Quant open45
Worst price86.10
Drawdown as % of equity-0.34%
 ($141)
Includes Typical Broker Commissions trade costs of $0.90
12/22/22 10:02 SH PROSHARES SHORT S&P500 LONG 621 16.09 1/20/23 15:54 15.51 0.89%
Trade id #142967531
Max drawdown($440)
Time1/13/23 0:00
Quant open621
Worst price15.38
Drawdown as % of equity-0.89%
 ($368)
Includes Typical Broker Commissions trade costs of $8.71
Next

Statistics

  • Strategy began
    12/3/2022
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    511.15
  • Age
    17 months ago
  • What it trades
    Stocks
  • # Trades
    28
  • # Profitable
    15
  • % Profitable
    53.60%
  • Avg trade duration
    92.0 days
  • Max peak-to-valley drawdown
    11.88%
  • drawdown period
    March 13, 2024 - April 17, 2024
  • Annual Return (Compounded)
    40.7%
  • Avg win
    $2,243
  • Avg loss
    $259.54
  • Model Account Values (Raw)
  • Cash
    $40,208
  • Margin Used
    $0
  • Buying Power
    $49,772
  • Ratios
  • W:L ratio
    10.55:1
  • Sharpe Ratio
    1.83
  • Sortino Ratio
    3.06
  • Calmar Ratio
    4.268
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    36.55%
  • Correlation to SP500
    0.40260
  • Return Percent SP500 (cumu) during strategy life
    25.25%
  • Return Statistics
  • Ann Return (w trading costs)
    40.7%
  • Slump
  • Current Slump as Pcnt Equity
    9.50%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.09%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.407%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    42.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    9.00%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • 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)
    862
  • Popularity (Last 6 weeks)
    969
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    976
  • Popularity (7 days, Percentile 1000 scale)
    928
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $260
  • Avg Win
    $2,243
  • Sum Trade PL (losers)
    $3,374.000
  • Age
  • Num Months filled monthly returns table
    17
  • Win / Loss
  • Sum Trade PL (winners)
    $33,651.000
  • # Winners
    15
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    1944
  • Win / Loss
  • # Losers
    13
  • % Winners
    53.6%
  • Frequency
  • Avg Position Time (mins)
    132518.00
  • Avg Position Time (hrs)
    2208.64
  • Avg Trade Length
    92.0 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    1.08
  • Daily leverage (max)
    1.29
  • Regression
  • Alpha
    0.07
  • Beta
    0.47
  • Treynor Index
    0.20
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.69
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.462
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.211
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.878
  • Hold-and-Hope Ratio
    2.217
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42167
  • SD
    0.27420
  • Sharpe ratio (Glass type estimate)
    1.53786
  • Sharpe ratio (Hedges UMVUE)
    1.45944
  • df
    15.00000
  • t
    1.77577
  • p
    0.24256
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26805
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.29772
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31646
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.23535
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.02682
  • Upside Potential Ratio
    9.87241
  • Upside part of mean
    0.51863
  • Downside part of mean
    -0.09695
  • Upside SD
    0.28730
  • Downside SD
    0.05253
  • N nonnegative terms
    10.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.17853
  • Mean of criterion
    0.42167
  • SD of predictor
    0.11705
  • SD of criterion
    0.27420
  • Covariance
    0.01040
  • r
    0.32418
  • b (slope, estimate of beta)
    0.75938
  • a (intercept, estimate of alpha)
    0.28610
  • Mean Square Error
    0.07209
  • DF error
    14.00000
  • t(b)
    1.28223
  • p(b)
    0.33791
  • t(a)
    1.12008
  • p(a)
    0.35661
  • Lowerbound of 95% confidence interval for beta
    -0.51084
  • Upperbound of 95% confidence interval for beta
    2.02961
  • Lowerbound of 95% confidence interval for alpha
    -0.26174
  • Upperbound of 95% confidence interval for alpha
    0.83395
  • Treynor index (mean / b)
    0.55528
  • Jensen alpha (a)
    0.28610
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38345
  • SD
    0.24788
  • Sharpe ratio (Glass type estimate)
    1.54693
  • Sharpe ratio (Hedges UMVUE)
    1.46805
  • df
    15.00000
  • t
    1.78624
  • p
    0.24139
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26012
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.30766
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30877
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.24486
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.20114
  • Upside Potential Ratio
    9.04405
  • Upside part of mean
    0.48158
  • Downside part of mean
    -0.09813
  • Upside SD
    0.25888
  • Downside SD
    0.05325
  • N nonnegative terms
    10.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.17051
  • Mean of criterion
    0.38345
  • SD of predictor
    0.11627
  • SD of criterion
    0.24788
  • Covariance
    0.01009
  • r
    0.35026
  • b (slope, estimate of beta)
    0.74675
  • a (intercept, estimate of alpha)
    0.25612
  • Mean Square Error
    0.05776
  • DF error
    14.00000
  • t(b)
    1.39919
  • p(b)
    0.32487
  • t(a)
    1.12752
  • p(a)
    0.35574
  • Lowerbound of 95% confidence interval for beta
    -0.39793
  • Upperbound of 95% confidence interval for beta
    1.89143
  • Lowerbound of 95% confidence interval for alpha
    -0.23108
  • Upperbound of 95% confidence interval for alpha
    0.74331
  • Treynor index (mean / b)
    0.51349
  • Jensen alpha (a)
    0.25612
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08217
  • Expected Shortfall on VaR
    0.10890
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01564
  • Expected Shortfall on VaR
    0.03049
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.96176
  • Quartile 1
    0.98552
  • Median
    1.01717
  • Quartile 3
    1.05727
  • Maximum
    1.28272
  • Mean of quarter 1
    0.97400
  • Mean of quarter 2
    1.00360
  • Mean of quarter 3
    1.03170
  • Mean of quarter 4
    1.14057
  • Inter Quartile Range
    0.07174
  • 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
    0.06250
  • Mean of outliers high
    1.28272
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.10564
  • VaR(95%) (moments method)
    0.02959
  • Expected Shortfall (moments method)
    0.03145
  • Extreme Value Index (regression method)
    0.26164
  • VaR(95%) (regression method)
    0.02706
  • Expected Shortfall (regression method)
    0.03682
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01788
  • Quartile 1
    0.03259
  • Median
    0.04730
  • Quartile 3
    0.04919
  • Maximum
    0.05107
  • Mean of quarter 1
    0.01788
  • Mean of quarter 2
    0.04730
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.05107
  • Inter Quartile Range
    0.01660
  • 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)
    0.54796
  • Compounded annual return (geometric extrapolation)
    0.50886
  • Calmar ratio (compounded annual return / max draw down)
    9.96375
  • Compounded annual return / average of 25% largest draw downs
    9.96375
  • Compounded annual return / Expected Shortfall lognormal
    4.67282
  • 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
    0.34427
  • SD
    0.15351
  • Sharpe ratio (Glass type estimate)
    2.24269
  • Sharpe ratio (Hedges UMVUE)
    2.23803
  • df
    361.00000
  • t
    2.63617
  • p
    0.00437
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.56578
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.91662
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56264
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.91342
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.85581
  • Upside Potential Ratio
    11.79130
  • Upside part of mean
    1.05279
  • Downside part of mean
    -0.70852
  • Upside SD
    0.12641
  • Downside SD
    0.08929
  • N nonnegative terms
    197.00000
  • N negative terms
    165.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    362.00000
  • Mean of predictor
    0.15675
  • Mean of criterion
    0.34427
  • SD of predictor
    0.13109
  • SD of criterion
    0.15351
  • Covariance
    0.00812
  • r
    0.40327
  • b (slope, estimate of beta)
    0.47222
  • a (intercept, estimate of alpha)
    0.27000
  • Mean Square Error
    0.01979
  • DF error
    360.00000
  • t(b)
    8.36160
  • p(b)
    0.00000
  • t(a)
    2.25210
  • p(a)
    0.01246
  • Lowerbound of 95% confidence interval for beta
    0.36116
  • Upperbound of 95% confidence interval for beta
    0.58329
  • Lowerbound of 95% confidence interval for alpha
    0.03426
  • Upperbound of 95% confidence interval for alpha
    0.50623
  • Treynor index (mean / b)
    0.72903
  • Jensen alpha (a)
    0.27024
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33233
  • SD
    0.15291
  • Sharpe ratio (Glass type estimate)
    2.17332
  • Sharpe ratio (Hedges UMVUE)
    2.16880
  • df
    361.00000
  • t
    2.55463
  • p
    0.00552
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49694
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.84677
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49390
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.84371
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.69381
  • Upside Potential Ratio
    11.61300
  • Upside part of mean
    1.04480
  • Downside part of mean
    -0.71247
  • Upside SD
    0.12508
  • Downside SD
    0.08997
  • N nonnegative terms
    197.00000
  • N negative terms
    165.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    362.00000
  • Mean of predictor
    0.14813
  • Mean of criterion
    0.33233
  • SD of predictor
    0.13103
  • SD of criterion
    0.15291
  • Covariance
    0.00811
  • r
    0.40498
  • b (slope, estimate of beta)
    0.47262
  • a (intercept, estimate of alpha)
    0.26232
  • Mean Square Error
    0.01960
  • DF error
    360.00000
  • t(b)
    8.40398
  • p(b)
    0.00000
  • t(a)
    2.19698
  • p(a)
    0.01433
  • Lowerbound of 95% confidence interval for beta
    0.36202
  • Upperbound of 95% confidence interval for beta
    0.58322
  • Lowerbound of 95% confidence interval for alpha
    0.02751
  • Upperbound of 95% confidence interval for alpha
    0.49712
  • Treynor index (mean / b)
    0.70315
  • Jensen alpha (a)
    0.26232
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01417
  • Expected Shortfall on VaR
    0.01805
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00588
  • Expected Shortfall on VaR
    0.01163
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    362.00000
  • Minimum
    0.97364
  • Quartile 1
    0.99651
  • Median
    1.00059
  • Quartile 3
    1.00558
  • Maximum
    1.03824
  • Mean of quarter 1
    0.99066
  • Mean of quarter 2
    0.99881
  • Mean of quarter 3
    1.00265
  • Mean of quarter 4
    1.01354
  • Inter Quartile Range
    0.00908
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.02762
  • Mean of outliers low
    0.97879
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.04696
  • Mean of outliers high
    1.02621
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.00672
  • VaR(95%) (moments method)
    0.00827
  • Expected Shortfall (moments method)
    0.01120
  • Extreme Value Index (regression method)
    -0.16442
  • VaR(95%) (regression method)
    0.00834
  • Expected Shortfall (regression method)
    0.01059
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00024
  • Quartile 1
    0.00257
  • Median
    0.01114
  • Quartile 3
    0.01999
  • Maximum
    0.10160
  • Mean of quarter 1
    0.00109
  • Mean of quarter 2
    0.00674
  • Mean of quarter 3
    0.01642
  • Mean of quarter 4
    0.05755
  • Inter Quartile Range
    0.01742
  • 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
    0.12500
  • Mean of outliers high
    0.08265
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.24285
  • VaR(95%) (moments method)
    0.05097
  • Expected Shortfall (moments method)
    0.05187
  • Extreme Value Index (regression method)
    -0.43044
  • VaR(95%) (regression method)
    0.07523
  • Expected Shortfall (regression method)
    0.09236
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.46681
  • Compounded annual return (geometric extrapolation)
    0.43366
  • Calmar ratio (compounded annual return / max draw down)
    4.26836
  • Compounded annual return / average of 25% largest draw downs
    7.53546
  • Compounded annual return / Expected Shortfall lognormal
    24.02980
  • 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
    0.89936
  • SD
    0.21854
  • Sharpe ratio (Glass type estimate)
    4.11525
  • Sharpe ratio (Hedges UMVUE)
    4.09147
  • df
    130.00000
  • t
    2.90992
  • p
    0.37635
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.29119
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.92411
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.27540
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.90754
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.33472
  • Upside Potential Ratio
    15.66040
  • Upside part of mean
    1.92023
  • Downside part of mean
    -1.02087
  • Upside SD
    0.18828
  • Downside SD
    0.12262
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34481
  • Mean of criterion
    0.89936
  • SD of predictor
    0.11664
  • SD of criterion
    0.21854
  • Covariance
    0.00905
  • r
    0.35506
  • b (slope, estimate of beta)
    0.66527
  • a (intercept, estimate of alpha)
    0.66997
  • Mean Square Error
    0.04206
  • DF error
    129.00000
  • t(b)
    4.31379
  • p(b)
    0.27881
  • t(a)
    2.27200
  • p(a)
    0.37593
  • Lowerbound of 95% confidence interval for beta
    0.36015
  • Upperbound of 95% confidence interval for beta
    0.97040
  • Lowerbound of 95% confidence interval for alpha
    0.08654
  • Upperbound of 95% confidence interval for alpha
    1.25339
  • Treynor index (mean / b)
    1.35186
  • Jensen alpha (a)
    0.66997
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.87420
  • SD
    0.21768
  • Sharpe ratio (Glass type estimate)
    4.01597
  • Sharpe ratio (Hedges UMVUE)
    3.99276
  • df
    130.00000
  • t
    2.83972
  • p
    0.37916
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.19416
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.82296
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.17879
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.80673
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.06726
  • Upside Potential Ratio
    15.38080
  • Upside part of mean
    1.90257
  • Downside part of mean
    -1.02837
  • Upside SD
    0.18612
  • Downside SD
    0.12370
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33781
  • Mean of criterion
    0.87420
  • SD of predictor
    0.11647
  • SD of criterion
    0.21768
  • Covariance
    0.00906
  • r
    0.35736
  • b (slope, estimate of beta)
    0.66792
  • a (intercept, estimate of alpha)
    0.64857
  • Mean Square Error
    0.04165
  • DF error
    129.00000
  • t(b)
    4.34580
  • p(b)
    0.27744
  • t(a)
    2.21156
  • p(a)
    0.37907
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    0.36383
  • Upperbound of 95% confidence interval for beta
    0.97200
  • Lowerbound of 95% confidence interval for alpha
    0.06834
  • Upperbound of 95% confidence interval for alpha
    1.22880
  • Treynor index (mean / b)
    1.30885
  • Jensen alpha (a)
    0.64857
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01861
  • Expected Shortfall on VaR
    0.02410
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00779
  • Expected Shortfall on VaR
    0.01535
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97364
  • Quartile 1
    0.99420
  • Median
    1.00312
  • Quartile 3
    1.01240
  • Maximum
    1.03824
  • Mean of quarter 1
    0.98640
  • Mean of quarter 2
    0.99913
  • Mean of quarter 3
    1.00841
  • Mean of quarter 4
    1.02036
  • Inter Quartile Range
    0.01820
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.35620
  • VaR(95%) (moments method)
    0.01330
  • Expected Shortfall (moments method)
    0.01587
  • Extreme Value Index (regression method)
    -0.53617
  • VaR(95%) (regression method)
    0.01218
  • Expected Shortfall (regression method)
    0.01379
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00024
  • Quartile 1
    0.00278
  • Median
    0.01035
  • Quartile 3
    0.01994
  • Maximum
    0.10160
  • Mean of quarter 1
    0.00114
  • Mean of quarter 2
    0.00677
  • Mean of quarter 3
    0.01575
  • Mean of quarter 4
    0.04575
  • Inter Quartile Range
    0.01716
  • 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
    0.10160
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.19832
  • VaR(95%) (moments method)
    0.04603
  • Expected Shortfall (moments method)
    0.05839
  • Extreme Value Index (regression method)
    0.31894
  • VaR(95%) (regression method)
    0.05868
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.10237
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -358260000
  • Max Equity Drawdown (num days)
    35
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.13994
  • Compounded annual return (geometric extrapolation)
    1.46480
  • Calmar ratio (compounded annual return / max draw down)
    14.41740
  • Compounded annual return / average of 25% largest draw downs
    32.01640
  • Compounded annual return / Expected Shortfall lognormal
    60.79010

Strategy Description

The Leveraged Momentum Strategy starts by using my own proprietary indicator to determine what side of the market to be on. It then scans thousands of ETF's to discover profitable momentum leaders to include in the portfolio. When a better candidate is discovered, positions will be rotated out of. The portfolio will consist of a combination of 1x and geared 2x and 3x ETF's. Inverse ETF's may be utilized.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2022-12-03
Suggested Minimum Capital
$15,000
Rank at C2 %
Top 2.4%
Rank # 
#20
# Trades
28
# Profitable
15
% Profitable
53.6%
Net Dividends
$1,943
Correlation S&P500
0.403
Sharpe Ratio
1.83
Sortino Ratio
3.06
Beta
0.47
Alpha
0.07
Leverage
1.08 Average
1.29 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.