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

mvp-3
(29261068)

Created by: StephenNorris StephenNorris
Started: 11/2007
Stocks
Last trade: 3,273 days ago

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 $39.00 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.

-5.9%

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(81.6%)
Max Drawdown
88
Num Trades
51.1%
Win Trades
1.0 : 1
Profit Factor
14.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2007                                                                      +10.8%(0.7%)+10.0%
2008+1.6%+0.8%+13.8%+23.5%+15.5%+1.7%+19.9%(10.2%)(35%)(15.4%)+39.9%+13.2%+58.4%
2009(25.6%)+5.1%+27.1%+68.2%(31.4%)+0.8%(19.5%)+9.6%+27.3%(8.1%)+15.8%(0.4%)+37.7%
2010(7.2%)(8.7%)(15.4%)(10.2%)(7.6%)(25.8%)+23.3%(4.8%)(18.6%)(4.9%)(4.7%)(5.1%)(63.8%)
2011+1.5%(4.8%)+7.3%+15.1%(21.6%)+1.6%(13.2%)(27.1%)(43.6%)+42.5%  -    -  (51.6%)
2012  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2013  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2014(1.7%)  -    -    -    -    -    -    -    -    -    -    -  (1.7%)
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -                    0.0

Model Account Details

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

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

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 118 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 3801 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/20/11 9:55 TNA DIREXION DAILY SMALL CAP BULL LONG 380 21.71 10/14 9:50 21.15 56.12%
Trade id #65879056
Max drawdown($3,182)
Time10/4/11 9:57
Quant open190
Worst price26.67
Drawdown as % of equity-56.12%
($221)
Includes Typical Broker Commissions trade costs of $7.60
9/8/11 15:50 MVV PROSHARES ULTRA MIDCAP400 LONG 320 26.76 9/19 9:50 26.32 10.34%
Trade id #65489190
Max drawdown($833)
Time9/12/11 14:13
Quant open160
Worst price48.31
Drawdown as % of equity-10.34%
($147)
Includes Typical Broker Commissions trade costs of $6.40
9/6/11 9:50 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 50 202.52 9/8 9:50 182.08 12.39%
Trade id #65378043
Max drawdown($1,084)
Time9/7/11 14:50
Quant open200
Worst price45.21
Drawdown as % of equity-12.39%
($1,023)
Includes Typical Broker Commissions trade costs of $1.00
8/31/11 9:50 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 40 172.80 9/2 9:50 188.48 1.27%
Trade id #65207052
Max drawdown($115)
Time8/31/11 10:37
Quant open160
Worst price42.48
Drawdown as % of equity-1.27%
$626
Includes Typical Broker Commissions trade costs of $0.80
8/3/11 15:00 MVV PROSHARES ULTRA MIDCAP400 LONG 480 31.50 8/30 9:50 27.02 47.92%
Trade id #64182141
Max drawdown($3,630)
Time8/8/11 16:00
Quant open205
Worst price45.30
Drawdown as % of equity-47.92%
($2,162)
Includes Typical Broker Commissions trade costs of $9.60
7/29/11 9:50 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 68 169.12 8/2 9:50 167.28 4.97%
Trade id #64002514
Max drawdown($553)
Time8/1/11 9:33
Quant open270
Worst price40.23
Drawdown as % of equity-4.97%
($126)
Includes Typical Broker Commissions trade costs of $1.36
6/10/11 9:50 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 135 169.28 7/5 9:50 155.27 18.41%
Trade id #62331822
Max drawdown($2,096)
Time7/5/11 9:31
Quant open420
Worst price37.33
Drawdown as % of equity-18.41%
($1,895)
Includes Typical Broker Commissions trade costs of $2.70
5/25/11 9:52 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 105 158.25 6/7 9:57 163.61 7.38%
Trade id #61756453
Max drawdown($883)
Time5/31/11 16:01
Quant open420
Worst price37.46
Drawdown as % of equity-7.38%
$560
Includes Typical Broker Commissions trade costs of $2.10
5/19/11 9:50 MVV PROSHARES ULTRA MIDCAP400 LONG 460 37.69 5/25 9:51 35.99 7.26%
Trade id #61565875
Max drawdown($924)
Time5/25/11 9:36
Quant open230
Worst price71.36
Drawdown as % of equity-7.26%
($791)
Includes Typical Broker Commissions trade costs of $9.20
5/10/11 9:50 MVV PROSHARES ULTRA MIDCAP400 LONG 470 38.36 5/16 10:18 37.71 3.54%
Trade id #60720391
Max drawdown($482)
Time5/16/11 9:35
Quant open235
Worst price74.67
Drawdown as % of equity-3.54%
($318)
Includes Typical Broker Commissions trade costs of $9.40
4/15/11 9:50 MVV PROSHARES ULTRA MIDCAP400 LONG 420 36.34 5/3 9:53 38.73 3.83%
Trade id #59843480
Max drawdown($474)
Time4/18/11 13:17
Quant open210
Worst price70.42
Drawdown as % of equity-3.83%
$997
Includes Typical Broker Commissions trade costs of $8.40
3/18/11 9:54 MVV PROSHARES ULTRA MIDCAP400 LONG 400 35.37 4/8 9:50 38.12 0.85%
Trade id #58924406
Max drawdown($99)
Time3/18/11 15:17
Quant open140
Worst price67.90
Drawdown as % of equity-0.85%
$1,094
Includes Typical Broker Commissions trade costs of $8.00
3/9/11 9:51 MVV PROSHARES ULTRA MIDCAP400 LONG 270 35.65 3/11 9:53 34.38 3.27%
Trade id #58541625
Max drawdown($395)
Time3/10/11 9:42
Quant open135
Worst price68.36
Drawdown as % of equity-3.27%
($345)
Includes Typical Broker Commissions trade costs of $5.40
3/4/11 9:51 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 60 163.60 3/9 9:51 165.72 0.66%
Trade id #58409300
Max drawdown($79)
Time3/7/11 9:31
Quant open240
Worst price40.57
Drawdown as % of equity-0.66%
$126
Includes Typical Broker Commissions trade costs of $1.20
2/4/11 9:51 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 63 176.16 2/25 9:50 170.64 75.43%
Trade id #57560083
Max drawdown($8,507)
Time2/18/11 12:30
Quant open250
Worst price10.01
Drawdown as % of equity-75.43%
($349)
Includes Typical Broker Commissions trade costs of $1.26
2/1/11 9:51 MVV PROSHARES ULTRA MIDCAP400 LONG 320 33.45 2/4 9:50 33.95 0.62%
Trade id #57416653
Max drawdown($75)
Time2/3/11 10:16
Quant open160
Worst price66.43
Drawdown as % of equity-0.62%
$152
Includes Typical Broker Commissions trade costs of $6.40
1/27/11 9:50 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 63 178.88 2/1 9:30 179.36 0.66%
Trade id #57253061
Max drawdown($80)
Time1/28/11 9:49
Quant open1,000
Worst price11.10
Drawdown as % of equity-0.66%
$29
Includes Typical Broker Commissions trade costs of $1.26
12/7/10 9:50 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 72 197.12 12/27 9:50 191.68 5.94%
Trade id #55563618
Max drawdown($701)
Time12/22/10 12:23
Quant open1,150
Worst price11.71
Drawdown as % of equity-5.94%
($393)
Includes Typical Broker Commissions trade costs of $1.44
11/22/10 9:50 MVV PROSHARES ULTRA MIDCAP400 LONG 480 27.93 11/30 9:50 27.84 1.77%
Trade id #55059794
Max drawdown($220)
Time11/23/10 11:36
Quant open200
Worst price54.65
Drawdown as % of equity-1.77%
($51)
Includes Typical Broker Commissions trade costs of $9.60
11/16/10 9:50 MVV PROSHARES ULTRA MIDCAP400 LONG 400 27.08 11/18 9:50 27.68 2.54%
Trade id #54872243
Max drawdown($306)
Time11/16/10 14:41
Quant open200
Worst price52.62
Drawdown as % of equity-2.54%
$236
Includes Typical Broker Commissions trade costs of $8.00
11/1/10 9:50 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 67 228.48 11/15 9:50 220.00 8.82%
Trade id #54366166
Max drawdown($1,047)
Time11/9/10 10:24
Quant open1,080
Worst price13.31
Drawdown as % of equity-8.82%
($578)
Includes Typical Broker Commissions trade costs of $1.35
10/21/10 9:51 MVV PROSHARES ULTRA MIDCAP400 LONG 500 26.14 10/27 9:50 26.26 3.1%
Trade id #54065221
Max drawdown($385)
Time10/21/10 14:01
Quant open250
Worst price50.74
Drawdown as % of equity-3.10%
$50
Includes Typical Broker Commissions trade costs of $10.00
10/1/10 9:51 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 60 246.59 10/21 9:50 235.20 6%
Trade id #53446187
Max drawdown($788)
Time10/13/10 14:16
Quant open960
Worst price14.59
Drawdown as % of equity-6.00%
($684)
Includes Typical Broker Commissions trade costs of $1.20
9/23/10 9:51 MVV PROSHARES ULTRA MIDCAP400 LONG 500 23.36 10/1 9:50 25.12 0.57%
Trade id #53194345
Max drawdown($70)
Time9/23/10 15:44
Quant open250
Worst price46.44
Drawdown as % of equity-0.57%
$870
Includes Typical Broker Commissions trade costs of $10.00
8/20/10 9:50 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 91 298.45 9/23 9:50 270.29 29.55%
Trade id #52185955
Max drawdown($3,524)
Time9/21/10 14:44
Quant open1,280
Worst price15.91
Drawdown as % of equity-29.55%
($2,536)
Includes Typical Broker Commissions trade costs of $1.81
8/17/10 9:50 MVV PROSHARES ULTRA MIDCAP400 LONG 900 21.34 8/20 9:50 20.57 4.48%
Trade id #52071016
Max drawdown($698)
Time8/20/10 9:49
Quant open450
Worst price41.19
Drawdown as % of equity-4.48%
($703)
Includes Typical Broker Commissions trade costs of $5.00
8/11/10 9:50 MVV PROSHARES ULTRA MIDCAP400 LONG 660 21.85 8/13 9:50 20.92 5.5%
Trade id #51904105
Max drawdown($891)
Time8/12/10 9:31
Quant open330
Worst price41.00
Drawdown as % of equity-5.50%
($622)
Includes Typical Broker Commissions trade costs of $5.00
7/26/10 9:51 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 61 281.68 8/11 9:50 291.04 4.65%
Trade id #51409625
Max drawdown($721)
Time7/27/10 9:41
Quant open820
Worst price16.84
Drawdown as % of equity-4.65%
$570
Includes Typical Broker Commissions trade costs of $1.22
5/17/10 9:50 MVV PROSHARES ULTRA MIDCAP400 LONG 1,300 23.78 7/26 9:50 21.68 36.18%
Trade id #49399995
Max drawdown($5,102)
Time6/8/10 10:47
Quant open600
Worst price39.60
Drawdown as % of equity-36.18%
($2,748)
Includes Typical Broker Commissions trade costs of $15.00
5/13/10 9:51 MZZ PROSHARES ULTRASHORT MIDCAP400 LONG 66 263.68 5/17 9:50 277.76 0.98%
Trade id #49310356
Max drawdown($174)
Time5/13/10 10:45
Quant open1,050
Worst price16.31
Drawdown as % of equity-0.98%
$928
Includes Typical Broker Commissions trade costs of $1.32

Statistics

  • Strategy began
    11/20/2007
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    4695.19
  • Age
    157 months ago
  • What it trades
    Stocks
  • # Trades
    88
  • # Profitable
    45
  • % Profitable
    51.10%
  • Avg trade duration
    7.7 days
  • Max peak-to-valley drawdown
    81.57%
  • drawdown period
    April 30, 2009 - Oct 04, 2011
  • Annual return (compounded)
    -1.4%
  • Avg win
    $1,363
  • Avg loss
    $1,493
  • Model Account Values (Raw)
  • Cash
    $8,335
  • Margin Used
    $0
  • Buying Power
    $8,335
  • Ratios
  • W:L ratio
    0.97:1
  • Sharpe Ratio
    -0.03
  • Sortino Ratio
    -0.04
  • Calmar Ratio
    -0.099
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.12220
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -33.18%
  • Return Percent SP500 (cumu) during strategy life
    132.80%
  • Return Statistics
  • Ann Return (w trading costs)
    -5.9%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.89%
  • Instruments
  • Percent Trades Stocks
    1.00%
  • Slump
  • Current Slump as Pcnt Equity
    604.50%
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -1.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    85.37%
  • Chance of 20% account loss
    88.09%
  • Chance of 30% account loss
    67.44%
  • Chance of 40% account loss
    61.36%
  • Chance of 80% account loss (Monte Carlo)
    2.17%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 60% account loss (Monte Carlo)
    15.22%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    10.87%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    33.33%
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $1,364
  • Avg Loss
    $1,494
  • Sum Trade PL (losers)
    $64,233.000
  • Sum Trade PL (winners)
    $61,370.000
  • # Winners
    45
  • Dividends
  • Dividends Received in Model Acct
    1198
  • Win / Loss
  • Num Months Winners
    23
  • Age
  • Num Months filled monthly returns table
    155
  • Win / Loss
  • # Losers
    43
  • % Winners
    51.1%
  • Frequency
  • Avg Position Time (mins)
    11093.10
  • Avg Position Time (hrs)
    184.88
  • Avg Trade Length
    7.7 days
  • Last Trade Ago
    3272
  • Regression
  • Alpha
    -0.01
  • Beta
    0.23
  • Treynor Index
    -0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    -0.85
  • MAE:Equity, average, all trades
    0.14
  • Avg(MAE) / Avg(PL) - All trades
    -9.634
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    49.11
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    24.75
  • MAE:Equity, 95th Percentile Value for this strat
    0.23
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.24
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    0.452
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.538
  • Hold-and-Hope Ratio
    -0.104
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    0.66200
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.13200
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    887
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

this system is no longer supported, see mvp-9















Summary Statistics

Strategy began
2007-11-20
Suggested Minimum Capital
$10,000
# Trades
88
# Profitable
45
% Profitable
51.1%
Net Dividends
Correlation S&P500
0.122
Sharpe Ratio
-0.03
Sortino Ratio
-0.04
Beta
0.23
Alpha
-0.01

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.