This system has earned TradesOwnStrategy (TOS) Certification.
This means that the manager of this system trades his own strategy
in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details
Certification process started
09/21/2020
Most recent certification approved
9/21/20 9:56 ET
Trades at broker
Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used
100%
# trading signals issued by system since certification
200
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account
200
Percent signals followed since 09/21/2020
100%
This information was last updated
6/12/21 9:34 ET
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account,
the trading results presented on this Web site must still be regarded as purely hypothetical results.
This is because (among other reasons) the system developer may not have traded all signals,
particularly those that occurred before 09/21/2020,
and the system developer's results may not match the system results presented here. In addition,
not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations.
Unlike the results shown in an actual performance record, these results do not represent actual trading.
Also, because these trades have not actually been executed, these results may have
underor overcompensated for the impact, if any, of certain market factors, such as lack of liquidity.
Simulated or hypothetical trading programs in general are
also subject to the fact that they are designed with the benefit of hindsight. No representation is being
made that any account will or is likely to achieve
profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely
account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere
to a particular trading program in spite of trading losses are material points which can also adversely affect
actual trading results. There are numerous other factors related to the markets in general or to the implementation
of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance
results and all of which can adversely affect actual trading results.
You may be interested to learn more technical details about
how AGM  Access to Global Markets calculates the hypothetical results you see on this web site.
Patience is a Virtue
(123937705)
This system has earned TradesOwnStrategy (TOS) Certification. This means that the manager of this system trades his own strategy in a reallife, funded brokerage account.
TradesOwnStrategy (TOS) Certification Details  

Certification process started  09/21/2020 
Most recent certification approved  9/21/20 9:56 ET 
Trades at broker  Interactive Brokers (Stocks, Options, Futures) 
Scaling percentage used  100% 
# trading signals issued by system since certification  200 
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account  200 
Percent signals followed since 09/21/2020  100% 
This information was last updated  6/12/21 9:34 ET 
Warning: System trading results are still hypothetical.
Even though the system developer is currently trading his own system in a reallife brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 09/21/2020, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:
About the results you see on this Web site
Past results are not necessarily indicative of future results.
These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have underor overcompensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.
In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.
You may be interested to learn more technical details about how AGM  Access to Global Markets calculates the hypothetical results you see on this web site.
Subscription terms. Subscriptions to this system cost $125.00 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.
Trendfollowing
Tries to take advantage of long, medium or shortterm moves that seem to play out in various markets. Typically, trendfollowing analysis is backward looking; that is, it attempts to recognize and profit from alreadyestablished trends.Sector Rotation
Uses the proceeds from the sale of securities related to a particular investment sector for the purchase of securities in another sector. This strategy is used as a method for capturing returns from market cycles and diversifying holdings over a specified holding period.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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2019  +16.9%  (0.8%)  +3.3%  (8.1%)  +1.5%  +0.6%  +7.2%  +20.5%  
2020  +9.5%  +9.5%  +30.2%  +8.5%  (0.8%)  +4.3%  +15.4%  +18.4%  (17.8%)  +5.8%  +20.4%  +15.6%  +189.6% 
2021  (1.1%)  +7.9%  +7.4%  +7.2%  (6.8%)  +2.6%  +17.4% 
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.
Started  $37,500  
Buy Power  $62,876  
Cash  $1  
Equity  $1  
Cumulative $  $121,248  
Includes dividends and cashsettled expirations:  $154  Itemized 
Total System Equity  $158,748  
Margined  $1  
Open P/L  $20,444  
Data has been delayed by 168 hours for nonsubscribers 
System developer has asked us to delay this information by 168 hours.
Trading Record
Statistics

Strategy began6/4/2019

Suggested Minimum Cap$100,000

Strategy Age (days)738.75

Age25 months ago

What it tradesStocks

# Trades67

# Profitable38

% Profitable56.70%

Avg trade duration61.3 days

Max peaktovalley drawdown26.26%

drawdown periodSept 03, 2020  Sept 23, 2020

Annual Return (Compounded)100.5%

Avg win$3,854

Avg loss$875.17
 Model Account Values (Raw)

Cash$40,802

Margin Used$0

Buying Power$62,876
 Ratios

W:L ratio5.78:1

Sharpe Ratio1.94

Sortino Ratio2.99

Calmar Ratio4.387
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)259.38%

Correlation to SP5000.07710

Return Percent SP500 (cumu) during strategy life51.52%
 Return Statistics

Ann Return (w trading costs)100.5%
 Slump

Current Slump as Pcnt Equity9.90%
 Instruments

Percent Trades Futuresn/a
 Slump

Current Slump, time of slump as pcnt of strategy life0.04%
 Return Statistics

Return Pcnt Since TOS Status143.940%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)1.005%
 Instruments

Percent Trades Options0.06%

Percent Trades Stocks0.94%

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)103.8%
 Risk of Ruin (MonteCarlo)

Chance of 10% account loss25.00%

Chance of 20% account loss4.50%

Chance of 30% account lossn/a

Chance of 40% account lossn/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 Automatedn/a
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)929

Popularity (Last 6 weeks)997
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score975

Popularity (7 days, Percentile 1000 scale)984
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?Yes

TOS percent100%
 Win / Loss

Avg Loss$875

Avg Win$3,855

Sum Trade PL (losers)$25,380.000
 AUM

AUM (AutoTrader num accounts)35
 Age

Num Months filled monthly returns table25
 Win / Loss

Sum Trade PL (winners)$146,473.000

# Winners38

Num Months Winners19
 Dividends

Dividends Received in Model Acct155
 AUM

AUM (AutoTrader live capital)6152020
 Win / Loss

# Losers29

% Winners56.7%
 Frequency

Avg Position Time (mins)88332.90

Avg Position Time (hrs)1472.21

Avg Trade Length61.3 days

Last Trade Ago15
 Leverage

Daily leverage (average)1.54

Daily leverage (max)2.34
 Regression

Alpha0.19

Beta0.09

Treynor Index2.15
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.40

MAE:Equity, average, winning trades0.01

MAE:Equity, average, losing trades0.01

Avg(MAE) / Avg(PL)  All trades0.595

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 strat0.01

Avg(MAE) / Avg(PL)  Winning trades0.206

Avg(MAE) / Avg(PL)  Losing trades1.368

HoldandHope Ratio1.651
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.75746

SD0.31086

Sharpe ratio (Glass type estimate)2.43668

Sharpe ratio (Hedges UMVUE)2.35620

df23.00000

t3.44598

p0.00110

Lowerbound of 95% confidence interval for Sharpe Ratio0.86286

Upperbound of 95% confidence interval for Sharpe Ratio3.96832

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.81207

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.90033
 Statistics related to Sortino ratio

Sortino ratio8.09707

Upside Potential Ratio9.60672

Upside part of mean0.89868

Downside part of mean0.14122

Upside SD0.36286

Downside SD0.09355

N nonnegative terms17.00000

N negative terms7.00000
 Statistics related to linear regression on benchmark

N of observations24.00000

Mean of predictor0.20133

Mean of criterion0.75746

SD of predictor0.19780

SD of criterion0.31086

Covariance0.00523

r0.08509

b (slope, estimate of beta)0.13373

a (intercept, estimate of alpha)0.78438

Mean Square Error0.10029

DF error22.00000

t(b)0.40057

p(b)0.65370

t(a)3.35488

p(a)0.00143

Lowerbound of 95% confidence interval for beta0.82608

Upperbound of 95% confidence interval for beta0.55862

Lowerbound of 95% confidence interval for alpha0.29950

Upperbound of 95% confidence interval for alpha1.26926

Treynor index (mean / b)5.66421

Jensen alpha (a)0.78438
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.69197

SD0.29239

Sharpe ratio (Glass type estimate)2.36660

Sharpe ratio (Hedges UMVUE)2.28844

df23.00000

t3.34688

p0.00140

Lowerbound of 95% confidence interval for Sharpe Ratio0.80212

Upperbound of 95% confidence interval for Sharpe Ratio3.88967

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.75284

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.82404
 Statistics related to Sortino ratio

Sortino ratio7.10037

Upside Potential Ratio8.59345

Upside part of mean0.83748

Downside part of mean0.14551

Upside SD0.33516

Downside SD0.09746

N nonnegative terms17.00000

N negative terms7.00000
 Statistics related to linear regression on benchmark

N of observations24.00000

Mean of predictor0.17986

Mean of criterion0.69197

SD of predictor0.20457

SD of criterion0.29239

Covariance0.00524

r0.08759

b (slope, estimate of beta)0.12519

a (intercept, estimate of alpha)0.71449

Mean Square Error0.08869

DF error22.00000

t(b)0.41243

p(b)0.65799

t(a)3.28429

p(a)0.00169

Lowerbound of 95% confidence interval for beta0.75472

Upperbound of 95% confidence interval for beta0.50433

Lowerbound of 95% confidence interval for alpha0.26332

Upperbound of 95% confidence interval for alpha1.16565

Treynor index (mean / b)5.52720

Jensen alpha (a)0.71449
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.07796

Expected Shortfall on VaR0.10949
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01830

Expected Shortfall on VaR0.04141
 ORDER STATISTICS
 Quartiles of return rates

Number of observations24.00000

Minimum0.89565

Quartile 10.99129

Median1.05693

Quartile 31.13942

Maximum1.21850

Mean of quarter 10.95671

Mean of quarter 21.02398

Mean of quarter 31.10083

Mean of quarter 41.18029

Inter Quartile Range0.14813

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.65347

VaR(95%) (moments method)0.03987

Expected Shortfall (moments method)0.04606

Extreme Value Index (regression method)0.05245

VaR(95%) (regression method)0.05051

Expected Shortfall (regression method)0.07073
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations4.00000

Minimum0.01571

Quartile 10.02678

Median0.05269

Quartile 30.08227

Maximum0.10435

Mean of quarter 10.01571

Mean of quarter 20.03047

Mean of quarter 30.07491

Mean of quarter 40.10435

Inter Quartile Range0.05549

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)1.60983

Compounded annual return (geometric extrapolation)1.05418

Calmar ratio (compounded annual return / max draw down)10.10250

Compounded annual return / average of 25% largest draw downs10.10250

Compounded annual return / Expected Shortfall lognormal9.62848

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.73747

SD0.29877

Sharpe ratio (Glass type estimate)2.46838

Sharpe ratio (Hedges UMVUE)2.46484

df523.00000

t3.49082

p0.00026

Lowerbound of 95% confidence interval for Sharpe Ratio1.07328

Upperbound of 95% confidence interval for Sharpe Ratio3.86118

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.07091

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.85877
 Statistics related to Sortino ratio

Sortino ratio3.81982

Upside Potential Ratio10.95500

Upside part of mean2.11501

Downside part of mean1.37754

Upside SD0.23215

Downside SD0.19306

N nonnegative terms310.00000

N negative terms214.00000
 Statistics related to linear regression on benchmark

N of observations524.00000

Mean of predictor0.21410

Mean of criterion0.73747

SD of predictor0.26049

SD of criterion0.29877

Covariance0.00676

r0.08687

b (slope, estimate of beta)0.09963

a (intercept, estimate of alpha)0.71600

Mean Square Error0.08876

DF error522.00000

t(b)1.99218

p(b)0.02344

t(a)3.39508

p(a)0.00037

Lowerbound of 95% confidence interval for beta0.00138

Upperbound of 95% confidence interval for beta0.19788

Lowerbound of 95% confidence interval for alpha0.30175

Upperbound of 95% confidence interval for alpha1.13052

Treynor index (mean / b)7.40206

Jensen alpha (a)0.71613
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.69197

SD0.29841

Sharpe ratio (Glass type estimate)2.31882

Sharpe ratio (Hedges UMVUE)2.31549

df523.00000

t3.27931

p0.00055

Lowerbound of 95% confidence interval for Sharpe Ratio0.92472

Upperbound of 95% confidence interval for Sharpe Ratio3.71074

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.92251

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.70848
 Statistics related to Sortino ratio

Sortino ratio3.51455

Upside Potential Ratio10.60760

Upside part of mean2.08850

Downside part of mean1.39653

Upside SD0.22791

Downside SD0.19689

N nonnegative terms310.00000

N negative terms214.00000
 Statistics related to linear regression on benchmark

N of observations524.00000

Mean of predictor0.17986

Mean of criterion0.69197

SD of predictor0.26226

SD of criterion0.29841

Covariance0.00698

r0.08916

b (slope, estimate of beta)0.10145

a (intercept, estimate of alpha)0.67372

Mean Square Error0.08851

DF error522.00000

t(b)2.04520

p(b)0.02067

t(a)3.19966

p(a)0.00073

Lowerbound of 95% confidence interval for beta0.00400

Upperbound of 95% confidence interval for beta0.19890

Lowerbound of 95% confidence interval for alpha0.26007

Upperbound of 95% confidence interval for alpha1.08737

Treynor index (mean / b)6.82085

Jensen alpha (a)0.67372
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.02730

Expected Shortfall on VaR0.03475
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01048

Expected Shortfall on VaR0.02214
 ORDER STATISTICS
 Quartiles of return rates

Number of observations524.00000

Minimum0.93610

Quartile 10.99404

Median1.00284

Quartile 31.01183

Maximum1.09412

Mean of quarter 10.98086

Mean of quarter 20.99886

Mean of quarter 31.00721

Mean of quarter 41.02476

Inter Quartile Range0.01779

Number outliers low23.00000

Percentage of outliers low0.04389

Mean of outliers low0.95461

Number of outliers high17.00000

Percentage of outliers high0.03244

Mean of outliers high1.04972
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.35934

VaR(95%) (moments method)0.01836

Expected Shortfall (moments method)0.03414

Extreme Value Index (regression method)0.01754

VaR(95%) (regression method)0.01922

Expected Shortfall (regression method)0.02716
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations47.00000

Minimum0.00005

Quartile 10.00699

Median0.01606

Quartile 30.04444

Maximum0.24030

Mean of quarter 10.00290

Mean of quarter 20.01205

Mean of quarter 30.03134

Mean of quarter 40.09830

Inter Quartile Range0.03745

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high5.00000

Percentage of outliers high0.10638

Mean of outliers high0.16016
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)0.50339

VaR(95%) (moments method)0.11431

Expected Shortfall (moments method)0.24535

Extreme Value Index (regression method)0.80328

VaR(95%) (regression method)0.08941

Expected Shortfall (regression method)0.34239
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.60983

Compounded annual return (geometric extrapolation)1.05418

Calmar ratio (compounded annual return / max draw down)4.38692

Compounded annual return / average of 25% largest draw downs10.72420

Compounded annual return / Expected Shortfall lognormal30.33970

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

Mean0.54337

SD0.34743

Sharpe ratio (Glass type estimate)1.56397

Sharpe ratio (Hedges UMVUE)1.55493

df130.00000

t1.10589

p0.45173

Lowerbound of 95% confidence interval for Sharpe Ratio1.21725

Upperbound of 95% confidence interval for Sharpe Ratio4.33938

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.22331

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.33317
 Statistics related to Sortino ratio

Sortino ratio2.24238

Upside Potential Ratio9.88196

Upside part of mean2.39458

Downside part of mean1.85121

Upside SD0.24939

Downside SD0.24232

N nonnegative terms79.00000

N negative terms52.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.25603

Mean of criterion0.54337

SD of predictor0.13494

SD of criterion0.34743

Covariance0.02295

r0.48953

b (slope, estimate of beta)1.26039

a (intercept, estimate of alpha)0.22067

Mean Square Error0.09249

DF error129.00000

t(b)6.37622

p(b)0.20129

t(a)0.50955

p(a)0.47148

Lowerbound of 95% confidence interval for beta0.86930

Upperbound of 95% confidence interval for beta1.65149

Lowerbound of 95% confidence interval for alpha0.63616

Upperbound of 95% confidence interval for alpha1.07750

Treynor index (mean / b)0.43111

Jensen alpha (a)0.22067
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.48271

SD0.34847

Sharpe ratio (Glass type estimate)1.38522

Sharpe ratio (Hedges UMVUE)1.37721

df130.00000

t0.97950

p0.45720

Lowerbound of 95% confidence interval for Sharpe Ratio1.39424

Upperbound of 95% confidence interval for Sharpe Ratio4.15948

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.39965

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.15407
 Statistics related to Sortino ratio

Sortino ratio1.95214

Upside Potential Ratio9.55987

Upside part of mean2.36388

Downside part of mean1.88117

Upside SD0.24546

Downside SD0.24727

N nonnegative terms79.00000

N negative terms52.00000
 Statistics related to linear regression on benchmark

N of observations131.00000

Mean of predictor0.24684

Mean of criterion0.48271

SD of predictor0.13501

SD of criterion0.34847

Covariance0.02301

r0.48904

b (slope, estimate of beta)1.26224

a (intercept, estimate of alpha)0.17113

Mean Square Error0.09311

DF error129.00000

t(b)6.36780

p(b)0.20157

t(a)0.39405

p(a)0.47793

VAR (95 Confidence Intrvl)0.02700

Lowerbound of 95% confidence interval for beta0.87005

Upperbound of 95% confidence interval for beta1.65443

Lowerbound of 95% confidence interval for alpha0.68812

Upperbound of 95% confidence interval for alpha1.03039

Treynor index (mean / b)0.38242

Jensen alpha (a)0.17113
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.03301

Expected Shortfall on VaR0.04164
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.01394

Expected Shortfall on VaR0.02873
 ORDER STATISTICS
 Quartiles of return rates

Number of observations131.00000

Minimum0.93779

Quartile 10.99189

Median1.00255

Quartile 31.01475

Maximum1.04773

Mean of quarter 10.97409

Mean of quarter 20.99867

Mean of quarter 31.00791

Mean of quarter 41.02824

Inter Quartile Range0.02286

Number outliers low7.00000

Percentage of outliers low0.05344

Mean of outliers low0.95213

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)0.27613

VaR(95%) (moments method)0.02201

Expected Shortfall (moments method)0.02745

Extreme Value Index (regression method)0.54470

VaR(95%) (regression method)0.02919

Expected Shortfall (regression method)0.03447
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations15.00000

Minimum0.00005

Quartile 10.01344

Median0.02432

Quartile 30.04400

Maximum0.15706

Mean of quarter 10.00676

Mean of quarter 20.01842

Mean of quarter 30.03671

Mean of quarter 40.10431

Inter Quartile Range0.03056

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high3.00000

Percentage of outliers high0.20000

Mean of outliers high0.12419
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)8.79635

VaR(95%) (moments method)0.09435

Expected Shortfall (moments method)0.09435

Extreme Value Index (regression method)1.27601

VaR(95%) (regression method)0.17001

Last 4 Months  Pcnt Negative0.25%

Expected Shortfall (regression method)0.18035

Strat Max DD how much worse than SP500 max DD during strat life?284671000

Max Equity Drawdown (num days)20
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.58172

Compounded annual return (geometric extrapolation)0.66632

Calmar ratio (compounded annual return / max draw down)4.24248

Compounded annual return / average of 25% largest draw downs6.38788

Compounded annual return / Expected Shortfall lognormal16.00140
Strategy Description
I put my own money into the same trades as my subscribers – as shown by my TOS badge! However, you should consider that this strategy is very risky and volatile especially on a daily time frame. For example, September 3rd, 2020 it dropped by almost 11% in a single day.
I use an IRA to run the strategy. It works well for retirement accounts and taxable accounts in my experience. If you cant trade American ETFs but like futures I encourage you to check out Patience for Futures too. It is based on the same signals and methods.
This is a very robust strategy that has many different indicator and timing components. I believe it is well suited to do very well in the long term. I originally started trading this strategy after doing backtests from 2004 to 2019, the results were exceptionally good  almost unbelievable. In June 2019 I started investing most of my own net worth using these strategies. From June 2019 until November 2020 I did live trading as you can see from my track record. If I do backtests over the same period of June 2019 to November 2020 the real results and backtest results are remarkably similar. Because the real results and the backtest results for that period seem to match, I believe my longerterm backtests have merit. Of course, the future could be vastly different, but I believe I have backtested inherent market trends that won't go away for a long time without a truly seismic shift in the way people invest. A few of the indicators have been tested back as far as the great depression and they seem to have worked in most years ever since. Unfortunately, only a few of my indicators can be back tested that far back. Most can only be backtested to 2004. My most recent backtest results can be found here:
https://forums.collective2.com/t/backtestresultsforpatienceisavirtue/14518
I use a mix of short, medium, and longterm signals to algorithmically determine entry and exit timing for this strategy. I mostly buy things that have a longterm history of going up in value. That way even if my timing is off, I have a decent chance of doing well over the long term. On rare occasions like March of 2020, I do buy some things that historically go down in value but serve as good investments in times of trouble. For example, in March of 2020 I did buy TVIX which has a longterm history of going down in value overtime but does great in times of turmoil.
One of the main ways I try to reduce drawdowns is by being diversified. This forum post has some good information about the different assets I trade and how my strategy has done compared to them.
https://forums.collective2.com/t/diversificationofpatienceisavirtue/14609/2
I always keep stops. However, because I use BrokerTransmit (AKA my strategy literally just copies my real brokerage account) you are not able to see orders until they become active. So, you cannot see a stop order until it gets triggered and becomes a live market sell order. My stops are usually far from the current price and very rarely are the way in which I exit a trade. Typically they are placed at 35% below the previous close, but are raised or lowered at the close of each day. Yes typically the stop is only triggered if something drops by about 35% in one day. They are only there for if something truly crazy happens like a 20% drop in SPY in one day, with no indicators predicting it. Also, I set these as trailing stops so that if I died and my computer systems weren’t maintained the system would slowly chug along with stops that continued to lock in profits until all positions were exited.
Though this strategy previously did take some options trades and may do so in the future. I do not currently have any plans to use options in this account.
This is a link to a forum post showing how to add trading permissions for Interactive Brokers that are needed to follow this strategy. Again options are no longer necessary. Also, in order to trade penny stocks IB may require that you set up their app IBKR mobile as your two factor authentication device before enabling or requesting Penny Stock trading permissions. At this time the only penny stock in this account that I intend to trade is GBTC until a US based Bitcoin ETF is established. https://forums.collective2.com/t/enablegbtcleveragedetfsandoptiontrades/14491
This strategy is fantastic but far from perfect and will require a great deal of patience and grit. Hopefully, it helps you to know that I have the majority of my own net worth invested just like this because I really believe in it. Please be wise and don't invest more than is appropriate for you.
While I hope you follow, please consider the risks and your willingness to remain consistent. By jumping in and out you decrease your odds of success dramatically. I have seen many people join at peaks then leave after a drawdown, then repeat the process over and over. Therefore, I suggest you only follow with money that you will feel comfortable remaining consistent with. Please see this forum post about the need to remain consistent. https://forums.collective2.com/t/patienceisrequired/14586
I recommend AutoTrading and starting with $25,000 or more, and I would join all trades in progress at anytime. I believe the current C2 recommendation of $100,000 or more isn't a good estimate of what is actually needed to successfully start. If you have any questions about how I would set up AutoTrading please visit this post, in the forums: https://forums.collective2.com/t/howshouldiscalepatienceisavirtue/14636?u=interactiveassets
Good luck!
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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
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