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

Buy the Fear
(112299028)

Created by: Maxi Maxi
Started: 06/2017
Stocks
Last trade: 2,026 days ago
Trading style: Equity Short-term Reversal

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 $29.00 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
Short-term Reversal
Category: Equity

Short-term Reversal

Exploits the tendency of stocks with strong gains and stocks with strong losses to reverse in a short-term time frame (up to one month).
3.3%
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.

(14.4%)
Max Drawdown
53
Num Trades
64.2%
Win Trades
2.5 : 1
Profit Factor
11.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                   (0.1%)+1.7%(1.4%)+3.3%+0.2%+1.3%(0.6%)+4.4%
2018(0.1%)+6.6%+3.3%+9.0%+3.1%(2.5%)+0.4%(1.2%)(0.3%)  -    -    -  +19.3%
2019  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        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.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/15/18 9:55 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 39 32.72 9/10 15:57 30.07 0.65%
Trade id #119448836
Max drawdown($170)
Time8/27/18 6:03
Quant open39
Worst price28.35
Drawdown as % of equity-0.65%
($104)
Includes Typical Broker Commissions trade costs of $0.78
8/21/18 9:30 TMV DIREXION DAILY 20+ YR TRSY BEA SHORT 206 19.01 9/10 15:57 19.77 0.83%
Trade id #119528397
Max drawdown($216)
Time9/7/18 10:06
Quant open-206
Worst price20.06
Drawdown as % of equity-0.83%
($161)
Includes Typical Broker Commissions trade costs of $4.12
8/14/18 15:59 NUGT DIREXION DAILY GOLD MINERS BULL 2X LONG 253 14.15 8/23 9:30 13.93 1.53%
Trade id #119439617
Max drawdown($392)
Time8/16/18 15:59
Quant open157
Worst price12.59
Drawdown as % of equity-1.53%
($60)
Includes Typical Broker Commissions trade costs of $5.06
8/13/18 9:30 FAS DIREXION DAILY FINANCIAL BULL LONG 19 70.50 8/22 10:17 72.92 0.12%
Trade id #119405866
Max drawdown($32)
Time8/15/18 14:33
Quant open19
Worst price68.80
Drawdown as % of equity-0.12%
$46
Includes Typical Broker Commissions trade costs of $0.38
7/17/18 10:56 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 85 30.90 8/15 9:55 32.71 0.65%
Trade id #118974002
Max drawdown($170)
Time8/2/18 6:49
Quant open-85
Worst price32.90
Drawdown as % of equity-0.65%
($156)
Includes Typical Broker Commissions trade costs of $1.70
7/31/18 10:19 TQQQ PROSHARES ULTRAPRO QQQ LONG 22 60.23 8/3 9:30 65.09 0.03%
Trade id #119203539
Max drawdown($7)
Time7/31/18 10:22
Quant open22
Worst price59.91
Drawdown as % of equity-0.03%
$107
Includes Typical Broker Commissions trade costs of $0.44
5/30/18 9:30 TMV DIREXION DAILY 20+ YR TRSY BEA SHORT 210 19.56 7/25 9:30 19.74 0.52%
Trade id #118165489
Max drawdown($136)
Time7/24/18 9:49
Quant open-210
Worst price20.21
Drawdown as % of equity-0.52%
($42)
Includes Typical Broker Commissions trade costs of $4.20
6/28/18 9:47 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 33 39.77 7/17 10:56 30.90 1.11%
Trade id #118693873
Max drawdown($293)
Time7/17/18 10:56
Quant open0
Worst price30.90
Drawdown as % of equity-1.11%
($294)
Includes Typical Broker Commissions trade costs of $0.66
6/27/18 13:50 FAS DIREXION DAILY FINANCIAL BULL LONG 42 61.84 7/10 9:30 67.90 0.12%
Trade id #118677576
Max drawdown($31)
Time6/28/18 10:39
Quant open42
Worst price61.09
Drawdown as % of equity-0.12%
$253
Includes Typical Broker Commissions trade costs of $0.84
6/26/18 9:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 23 57.18 7/10 9:30 63.05 0.23%
Trade id #118650101
Max drawdown($60)
Time6/28/18 8:38
Quant open23
Worst price54.57
Drawdown as % of equity-0.23%
$135
Includes Typical Broker Commissions trade costs of $0.46
6/26/18 9:35 URTY PROSHARES ULTRAPRO RUSSELL2000 LONG 27 97.70 7/6 9:30 103.51 0.36%
Trade id #118650144
Max drawdown($93)
Time6/28/18 10:39
Quant open27
Worst price94.25
Drawdown as % of equity-0.36%
$156
Includes Typical Broker Commissions trade costs of $0.54
6/5/18 10:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 78 33.57 6/28 9:47 39.75 1.85%
Trade id #118271094
Max drawdown($482)
Time6/28/18 9:47
Quant open0
Worst price39.75
Drawdown as % of equity-1.85%
($484)
Includes Typical Broker Commissions trade costs of $1.56
5/29/18 12:01 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 35 37.63 6/5 10:30 33.59 0.54%
Trade id #118149256
Max drawdown($141)
Time6/5/18 10:30
Quant open0
Worst price33.59
Drawdown as % of equity-0.54%
($142)
Includes Typical Broker Commissions trade costs of $0.70
4/13/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 254 11.82 5/29 12:01 12.83 n/a $252
Includes Typical Broker Commissions trade costs of $5.08
4/12/18 15:22 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 1 46.70 5/29 12:01 37.66 n/a $9
Includes Typical Broker Commissions trade costs of $0.02
4/25/18 9:30 UPRO PROSHARES ULTRAPRO S&P 500 LONG 18 128.40 5/11 9:31 141.87 0.41%
Trade id #117655392
Max drawdown($106)
Time5/3/18 10:57
Quant open18
Worst price122.50
Drawdown as % of equity-0.41%
$243
Includes Typical Broker Commissions trade costs of $0.36
3/23/18 9:41 FAS DIREXION DAILY FINANCIAL BULL LONG 111 62.20 5/10 9:30 68.19 1.38%
Trade id #117203692
Max drawdown($353)
Time5/3/18 11:43
Quant open111
Worst price59.02
Drawdown as % of equity-1.38%
$663
Includes Typical Broker Commissions trade costs of $2.22
4/25/18 9:35 TQQQ PROSHARES ULTRAPRO QQQ LONG 16 136.89 4/27 9:30 152.48 0.22%
Trade id #117655539
Max drawdown($56)
Time4/25/18 10:04
Quant open11
Worst price131.88
Drawdown as % of equity-0.22%
$249
Includes Typical Broker Commissions trade costs of $0.32
4/18/18 9:32 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 229 19.28 4/23 9:30 17.87 1.26%
Trade id #117558471
Max drawdown($323)
Time4/23/18 9:30
Quant open0
Worst price17.87
Drawdown as % of equity-1.26%
($328)
Includes Typical Broker Commissions trade costs of $4.58
4/3/18 9:32 UPRO PROSHARES ULTRAPRO S&P 500 LONG 80 123.18 4/18 9:30 140.56 1.58%
Trade id #117344014
Max drawdown($359)
Time4/4/18 6:21
Quant open80
Worst price118.69
Drawdown as % of equity-1.58%
$1,388
Includes Typical Broker Commissions trade costs of $1.60
3/20/18 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 69 152.50 4/18 9:30 158.40 8.22%
Trade id #117133693
Max drawdown($1,874)
Time4/4/18 6:21
Quant open69
Worst price125.33
Drawdown as % of equity-8.22%
$406
Includes Typical Broker Commissions trade costs of $1.38
3/27/18 10:10 TMV DIREXION DAILY 20+ YR TRSY BEA SHORT 235 20.27 4/3 9:30 19.61 0.05%
Trade id #117253179
Max drawdown($11)
Time3/27/18 10:58
Quant open-235
Worst price20.32
Drawdown as % of equity-0.05%
$150
Includes Typical Broker Commissions trade costs of $4.70
3/20/18 10:16 UPRO PROSHARES ULTRAPRO S&P 500 LONG 80 132.72 4/2 12:45 122.47 4.66%
Trade id #117135811
Max drawdown($1,017)
Time4/2/18 12:12
Quant open80
Worst price120.00
Drawdown as % of equity-4.66%
($822)
Includes Typical Broker Commissions trade costs of $1.60
3/14/18 9:30 TMV DIREXION DAILY 20+ YR TRSY BEA SHORT 465 20.71 3/26 12:25 20.38 1.32%
Trade id #117037464
Max drawdown($320)
Time3/21/18 14:36
Quant open-465
Worst price21.40
Drawdown as % of equity-1.32%
$144
Includes Typical Broker Commissions trade costs of $9.30
3/22/18 10:52 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN LONG 1 45.28 3/22 13:36 43.69 0.01%
Trade id #117181450
Max drawdown($2)
Time3/22/18 13:36
Quant open0
Worst price43.69
Drawdown as % of equity-0.01%
($2)
Includes Typical Broker Commissions trade costs of $0.02
2/27/18 9:30 SVXY PROSHARES SHORT VIX SHORT-TERM LONG 338 13.47 3/22 10:52 12.03 3.05%
Trade id #116744806
Max drawdown($686)
Time3/2/18 9:46
Quant open338
Worst price11.44
Drawdown as % of equity-3.05%
($494)
Includes Typical Broker Commissions trade costs of $6.76
3/1/18 0:00 FAS DIREXION DAILY FINANCIAL BULL LONG 50 66.97 3/12 10:30 76.27 0.65%
Trade id #116817474
Max drawdown($146)
Time3/2/18 10:22
Quant open50
Worst price64.05
Drawdown as % of equity-0.65%
$464
Includes Typical Broker Commissions trade costs of $1.00
3/2/18 9:30 UPRO PROSHARES ULTRAPRO S&P 500 LONG 25 134.46 3/12 10:30 155.51 0.18%
Trade id #116823953
Max drawdown($40)
Time3/2/18 9:46
Quant open25
Worst price132.86
Drawdown as % of equity-0.18%
$526
Includes Typical Broker Commissions trade costs of $0.50
3/2/18 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 21 152.55 3/9 9:30 177.56 0.17%
Trade id #116823942
Max drawdown($37)
Time3/2/18 9:46
Quant open21
Worst price150.78
Drawdown as % of equity-0.17%
$525
Includes Typical Broker Commissions trade costs of $0.42
2/26/18 9:30 VXX IPATH SERIES B S&P 500 VIX SHORT-TERM FUTURES ETN SHORT 114 39.35 2/27 9:30 39.43 0.31%
Trade id #116720549
Max drawdown($71)
Time2/27/18 6:51
Quant open-114
Worst price39.98
Drawdown as % of equity-0.31%
($11)
Includes Typical Broker Commissions trade costs of $2.28

Statistics

  • Strategy began
    6/30/2017
  • Suggested Minimum Cap
    $20,000
  • Strategy Age (days)
    2457.41
  • Age
    82 months ago
  • What it trades
    Stocks
  • # Trades
    53
  • # Profitable
    34
  • % Profitable
    64.20%
  • Avg trade duration
    19.2 days
  • Max peak-to-valley drawdown
    14.37%
  • drawdown period
    Feb 07, 2018 - Feb 09, 2018
  • Annual Return (Compounded)
    3.3%
  • Avg win
    $285.62
  • Avg loss
    $202.05
  • Model Account Values (Raw)
  • Cash
    $25,875
  • Margin Used
    $0
  • Buying Power
    $25,875
  • Ratios
  • W:L ratio
    2.53:1
  • Sharpe Ratio
    0.18
  • Sortino Ratio
    0.27
  • Calmar Ratio
    1.486
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -91.35%
  • Correlation to SP500
    0.12630
  • Return Percent SP500 (cumu) during strategy life
    116.68%
  • Return Statistics
  • Ann Return (w trading costs)
    3.3%
  • Slump
  • Current Slump as Pcnt Equity
    4.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.87%
  • 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)
    0.033%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    3.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    24.00%
  • Chance of 20% account loss
    3.00%
  • 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)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $202
  • Avg Win
    $286
  • Sum Trade PL (losers)
    $3,839.000
  • Age
  • Num Months filled monthly returns table
    82
  • Win / Loss
  • Sum Trade PL (winners)
    $9,711.000
  • # Winners
    34
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    1
  • Win / Loss
  • # Losers
    19
  • % Winners
    64.2%
  • Frequency
  • Avg Position Time (mins)
    27608.40
  • Avg Position Time (hrs)
    460.14
  • Avg Trade Length
    19.2 days
  • Last Trade Ago
    2020
  • Regression
  • Alpha
    0.00
  • Beta
    0.05
  • Treynor Index
    0.09
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    28.63
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    48.68
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.28
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.345
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.732
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.295
  • Hold-and-Hope Ratio
    0.426
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10907
  • SD
    0.12784
  • Sharpe ratio (Glass type estimate)
    0.85313
  • Sharpe ratio (Hedges UMVUE)
    0.82495
  • df
    23.00000
  • t
    1.20651
  • p
    0.11994
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56320
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.25163
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58131
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.23121
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.04026
  • Upside Potential Ratio
    5.81837
  • Upside part of mean
    0.15707
  • Downside part of mean
    -0.04800
  • Upside SD
    0.12620
  • Downside SD
    0.02699
  • N nonnegative terms
    8.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.35111
  • Mean of criterion
    0.10907
  • SD of predictor
    0.29764
  • SD of criterion
    0.12784
  • Covariance
    0.00029
  • r
    0.00771
  • b (slope, estimate of beta)
    0.00331
  • a (intercept, estimate of alpha)
    0.10790
  • Mean Square Error
    0.01709
  • DF error
    22.00000
  • t(b)
    0.03616
  • p(b)
    0.48574
  • t(a)
    1.10263
  • p(a)
    0.14105
  • Lowerbound of 95% confidence interval for beta
    -0.18660
  • Upperbound of 95% confidence interval for beta
    0.19322
  • Lowerbound of 95% confidence interval for alpha
    -0.09505
  • Upperbound of 95% confidence interval for alpha
    0.31085
  • Treynor index (mean / b)
    32.93450
  • Jensen alpha (a)
    0.10790
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10111
  • SD
    0.12084
  • Sharpe ratio (Glass type estimate)
    0.83672
  • Sharpe ratio (Hedges UMVUE)
    0.80909
  • df
    23.00000
  • t
    1.18330
  • p
    0.12439
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57863
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.23455
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59640
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21457
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.71433
  • Upside Potential Ratio
    5.48699
  • Upside part of mean
    0.14937
  • Downside part of mean
    -0.04826
  • Upside SD
    0.11877
  • Downside SD
    0.02722
  • N nonnegative terms
    8.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.30404
  • Mean of criterion
    0.10111
  • SD of predictor
    0.29623
  • SD of criterion
    0.12084
  • Covariance
    0.00081
  • r
    0.02268
  • b (slope, estimate of beta)
    0.00925
  • a (intercept, estimate of alpha)
    0.09830
  • Mean Square Error
    0.01526
  • DF error
    22.00000
  • t(b)
    0.10641
  • p(b)
    0.45811
  • t(a)
    1.07713
  • p(a)
    0.14655
  • Lowerbound of 95% confidence interval for beta
    -0.17107
  • Upperbound of 95% confidence interval for beta
    0.18958
  • Lowerbound of 95% confidence interval for alpha
    -0.09096
  • Upperbound of 95% confidence interval for alpha
    0.28756
  • Treynor index (mean / b)
    10.92790
  • Jensen alpha (a)
    0.09830
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04778
  • Expected Shortfall on VaR
    0.06148
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01097
  • Expected Shortfall on VaR
    0.02016
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.97494
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00453
  • Maximum
    1.14702
  • Mean of quarter 1
    0.98981
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00163
  • Mean of quarter 4
    1.05422
  • Inter Quartile Range
    0.00453
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.16667
  • Mean of outliers low
    0.98480
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.20833
  • Mean of outliers high
    1.06413
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -29.54040
  • VaR(95%) (moments method)
    0.00166
  • Expected Shortfall (moments method)
    0.00166
  • Extreme Value Index (regression method)
    -0.78821
  • VaR(95%) (regression method)
    0.02100
  • Expected Shortfall (regression method)
    0.02559
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00035
  • Quartile 1
    0.00722
  • Median
    0.01252
  • Quartile 3
    0.01600
  • Maximum
    0.02506
  • Mean of quarter 1
    0.00378
  • Mean of quarter 2
    0.01252
  • Mean of quarter 3
    0.01600
  • Mean of quarter 4
    0.02506
  • Inter Quartile Range
    0.00878
  • 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)
    0.14720
  • Compounded annual return (geometric extrapolation)
    0.13771
  • Calmar ratio (compounded annual return / max draw down)
    5.49563
  • Compounded annual return / average of 25% largest draw downs
    5.49563
  • Compounded annual return / Expected Shortfall lognormal
    2.24008
  • 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
    0.10732
  • SD
    0.12787
  • Sharpe ratio (Glass type estimate)
    0.83928
  • Sharpe ratio (Hedges UMVUE)
    0.83809
  • df
    531.00000
  • t
    1.19594
  • p
    0.11613
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.53745
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21529
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53827
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21446
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.32953
  • Upside Potential Ratio
    5.13273
  • Upside part of mean
    0.41430
  • Downside part of mean
    -0.30699
  • Upside SD
    0.09924
  • Downside SD
    0.08072
  • N nonnegative terms
    167.00000
  • N negative terms
    365.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    532.00000
  • Mean of predictor
    0.39453
  • Mean of criterion
    0.10732
  • SD of predictor
    0.29159
  • SD of criterion
    0.12787
  • Covariance
    0.00522
  • r
    0.13996
  • b (slope, estimate of beta)
    0.06137
  • a (intercept, estimate of alpha)
    0.08300
  • Mean Square Error
    0.01606
  • DF error
    530.00000
  • t(b)
    3.25408
  • p(b)
    0.00061
  • t(a)
    0.93118
  • p(a)
    0.17609
  • Lowerbound of 95% confidence interval for beta
    0.02432
  • Upperbound of 95% confidence interval for beta
    0.09842
  • Lowerbound of 95% confidence interval for alpha
    -0.09222
  • Upperbound of 95% confidence interval for alpha
    0.25842
  • Treynor index (mean / b)
    1.74859
  • Jensen alpha (a)
    0.08310
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09917
  • SD
    0.12734
  • Sharpe ratio (Glass type estimate)
    0.77878
  • Sharpe ratio (Hedges UMVUE)
    0.77768
  • df
    531.00000
  • t
    1.10974
  • p
    0.13381
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59782
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15467
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.59856
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15392
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.20481
  • Upside Potential Ratio
    4.97449
  • Upside part of mean
    0.40947
  • Downside part of mean
    -0.31030
  • Upside SD
    0.09720
  • Downside SD
    0.08231
  • N nonnegative terms
    167.00000
  • N negative terms
    365.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    532.00000
  • Mean of predictor
    0.35132
  • Mean of criterion
    0.09917
  • SD of predictor
    0.29413
  • SD of criterion
    0.12734
  • Covariance
    0.00527
  • r
    0.14081
  • b (slope, estimate of beta)
    0.06097
  • a (intercept, estimate of alpha)
    0.07776
  • Mean Square Error
    0.01593
  • DF error
    530.00000
  • t(b)
    3.27441
  • p(b)
    0.00056
  • t(a)
    0.87562
  • p(a)
    0.19082
  • Lowerbound of 95% confidence interval for beta
    0.02439
  • Upperbound of 95% confidence interval for beta
    0.09754
  • Lowerbound of 95% confidence interval for alpha
    -0.09669
  • Upperbound of 95% confidence interval for alpha
    0.25220
  • Treynor index (mean / b)
    1.62672
  • Jensen alpha (a)
    0.07776
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01248
  • Expected Shortfall on VaR
    0.01572
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00320
  • Expected Shortfall on VaR
    0.00722
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    532.00000
  • Minimum
    0.94897
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00078
  • Maximum
    1.06749
  • Mean of quarter 1
    0.99560
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00011
  • Mean of quarter 4
    1.00635
  • Inter Quartile Range
    0.00078
  • Number outliers low
    71.00000
  • Percentage of outliers low
    0.13346
  • Mean of outliers low
    0.99218
  • Number of outliers high
    82.00000
  • Percentage of outliers high
    0.15413
  • Mean of outliers high
    1.00950
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.89525
  • VaR(95%) (moments method)
    0.00352
  • Expected Shortfall (moments method)
    0.03805
  • Extreme Value Index (regression method)
    0.64456
  • VaR(95%) (regression method)
    0.00315
  • Expected Shortfall (regression method)
    0.01079
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00090
  • Median
    0.00245
  • Quartile 3
    0.02032
  • Maximum
    0.09121
  • Mean of quarter 1
    0.00051
  • Mean of quarter 2
    0.00171
  • Mean of quarter 3
    0.01515
  • Mean of quarter 4
    0.05232
  • Inter Quartile Range
    0.01941
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.09028
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.20691
  • VaR(95%) (moments method)
    0.05089
  • Expected Shortfall (moments method)
    0.08256
  • Extreme Value Index (regression method)
    -1.38564
  • VaR(95%) (regression method)
    0.05370
  • Expected Shortfall (regression method)
    0.05620
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.14498
  • Compounded annual return (geometric extrapolation)
    0.13551
  • Calmar ratio (compounded annual return / max draw down)
    1.48561
  • Compounded annual return / average of 25% largest draw downs
    2.59011
  • Compounded annual return / Expected Shortfall lognormal
    8.61989
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.81057
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40140
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.72891
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40349
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6823920000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01200
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -856141000000000084960561497899008.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.00000
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -403688000
  • Max Equity Drawdown (num days)
    2
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description



Buy the Fear is a mean reversion, short term swing trading strategy. It trades very liquid 3x leveraged ETFS that tracks broad and market sectors (S&P 500, NASDAQ, Russell 2000, Financial Sector and Gold Miners Sector). The tickers used as vehicles to trade those sectors are UPRO, TQQQ, URTY, FAS, NUGT, DUST.

The main goal of the system is to indentify soft, medium and strong markets downturns to buy these leveraged ETFS and try to capitalize potentials markets rebounds in the short term (1 to 20 trading days). The strategy do not use stop loss, instead of this, it trades inverse correlated instruments that tracks short term volatility (VXX) and Bond Sector (TMV, TMF) to hedge the long positions.

Each ETF traded on the system has a fixed amount of capital to trade, although not always this amount is fully used. The strategy use a Scale In technique to enter the trades averaging down up to the maximum amount allocated to each ETF with the purpose of increase the win rate and reduce the portfolio drawdown and volatility.

When markets are trending up in low volatility environment, and there is no pullbacks to trade, the system use a trend follower strategy consisting on buying an inverse volatility instrument like SVXY to catch those slow and large markets uptrends.

Trading alerts are usually sent after market close. Minimum capital recommended: USD 20.000

Summary Statistics

Strategy began
2017-06-30
Suggested Minimum Capital
$15,000
# Trades
53
# Profitable
34
% Profitable
64.2%
Net Dividends
Correlation S&P500
0.126
Sharpe Ratio
0.18
Sortino Ratio
0.27
Beta
0.05
Alpha
0.00

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.