Collective2 Collective2
Featured Strategy SILVER ETF TRADER +12.2% Annual Return (Compounded) since May 2, 2023 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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The New Gamblers
(66843342)

Created by: BlackhorseshoeBlac BlackhorseshoeBlac
Started: 10/2011
Stocks
Last trade: 4,537 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. You can subscribe to this system for free.

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.

-
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.

(100.0%)
Max Drawdown
31
Num Trades
77.4%
Win Trades
0.1 : 1
Profit Factor
16.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2011                                                               (32.1%)+33.4%+7.2%(3%)
2012(14.9%)(33.5%)(23.3%)(1.6%)+53.1%(62.1%)(2.5%)(7.3%)(2.9%)+5.7%(1%)(0.6%)(77.4%)
2013(5.4%)+2.3%(4.6%)(2%)(6.7%)+3.2%(6.3%)(0.8%)(4.5%)(4.6%)(1.7%)(2.6%)(29.5%)
2014+1.1%(3.5%)+1.6%(0.1%)(3%)(1.7%)(0.9%)(2.5%)+0.2%(0.9%)(2%)(0.4%)(11.6%)
2015+1.3%(2.7%)+0.3%(0.8%)(0.5%)+0.8%(1.5%)+1.4%(4.7%)(3.7%)(0.3%)+0.2%(10.1%)
2016+2.0%  -  (2.2%)+1.2%(0.8%)(0.2%)(1.8%)+145.4%(0.2%)+0.2%  -  (0.4%)+139.8%
2017(1.7%)(0.3%)(0.1%)(0.1%)(0.3%)+0.2%(0.2%)(0.1%)+0.1%(0.2%)(0.1%)(0.1%)(3.1%)
2018(0.2%)  -  +0.1%(0.1%)(0.1%)  -  (0.1%)(0.1%)  -  +0.2%(0.1%)+0.4%+0.1%
2019(0.4%)(0.1%)(0.1%)  -    -    -  (0.1%)  -  (0.1%)  -  +0.7%
2020  -  +0.1%(0.1%)(0.1%)  -    -    -  (8.9%)  -    -    -    -  (9.1%)
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022(295.2%)  -    -    -    -    -    -    -    -    -    -    -  (295.1%)
2023  -    -    -    -    -    -    -    -    -    -    -    -  (0.1%)
2024  -    -    -    -    -    -    -    -    -    -  (880.5%)      (880.6%)

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/1/12 9:31 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 4 25612.50 6/19 10:39 15400.00 134.85%
Trade id #74177528
Max drawdown($40,850)
Time6/19/12 9:31
Quant open9,000
Worst price6.07
Drawdown as % of equity-134.85%
 ($40,850)
Includes Typical Broker Commissions trade costs of $0.08
5/31/12 12:36 AAPL APPLE LONG 536 81.11 6/6 12:40 80.11 3.43%
Trade id #74152237
Max drawdown($2,312)
Time6/4/12 10:07
Quant open75
Worst price548.50
Drawdown as % of equity-3.43%
 ($543)
Includes Typical Broker Commissions trade costs of $7.86
5/22/12 15:49 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 10 21872.50 5/31 10:14 22470.45 24.18%
Trade id #73914651
Max drawdown($13,570)
Time5/29/12 9:33
Quant open14,000
Worst price8.12
Drawdown as % of equity-24.18%
 $28,450
Includes Typical Broker Commissions trade costs of $0.21
5/22/12 9:57 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 3 20766.67 5/22 15:45 23375.00 3.94%
Trade id #73894472
Max drawdown($2,080)
Time5/22/12 11:03
Quant open4,000
Worst price7.70
Drawdown as % of equity-3.94%
 $7,825
Includes Typical Broker Commissions trade costs of $0.06
5/15/12 9:34 AAPL APPLE LONG 857 78.30 5/22 9:49 79.86 8.76%
Trade id #73672692
Max drawdown($4,450)
Time5/18/12 11:37
Quant open120
Worst price522.18
Drawdown as % of equity-8.76%
 $1,337
Includes Typical Broker Commissions trade costs of $6.43
4/17/12 9:56 TVIX VELOCITYSHARES DAILY 2X VIX SH LONG 0 0.00 5/15 9:32 18950.00 15.95%
Trade id #72750477
Max drawdown($6,880)
Time5/1/12 10:55
Quant open5,000
Worst price6.20
Drawdown as % of equity-15.95%
 $0
Includes Typical Broker Commissions trade costs of $0.03
4/24/12 14:53 AAPL APPLE LONG 143 78.82 5/2 10:30 81.24 0.2%
Trade id #72978659
Max drawdown($93)
Time4/24/12 15:20
Quant open20
Worst price558.33
Drawdown as % of equity-0.20%
 $343
Includes Typical Broker Commissions trade costs of $2.86
1/6/12 15:20 TZA DIREXION DAILY SMALL CAP BEAR LONG 383 383.56 3/15 14:18 302.82 64.57%
Trade id #69540513
Max drawdown($31,527)
Time3/15/12 14:18
Quant open4,000
Worst price17.87
Drawdown as % of equity-64.57%
 ($31,535)
Includes Typical Broker Commissions trade costs of $7.64
1/5/12 13:29 TZA DIREXION DAILY SMALL CAP BEAR LONG 63 400.96 1/6 10:09 411.04 0.17%
Trade id #69504635
Max drawdown($170)
Time1/5/12 13:43
Quant open1,000
Worst price24.89
Drawdown as % of equity-0.17%
 $634
Includes Typical Broker Commissions trade costs of $1.26
1/4/12 10:06 TZA DIREXION DAILY SMALL CAP BEAR LONG 63 413.28 1/5 9:41 423.68 0.44%
Trade id #69464854
Max drawdown($430)
Time1/4/12 14:54
Quant open1,000
Worst price25.40
Drawdown as % of equity-0.44%
 $654
Includes Typical Broker Commissions trade costs of $1.26
1/3/12 12:16 TZA DIREXION DAILY SMALL CAP BEAR LONG 63 401.92 1/4 9:55 411.04 0.33%
Trade id #69439238
Max drawdown($320)
Time1/3/12 14:59
Quant open1,000
Worst price24.80
Drawdown as % of equity-0.33%
 $574
Includes Typical Broker Commissions trade costs of $1.26
12/29/11 15:48 SDS PROSHARES ULTRASHORT S&P500 LONG 500 76.56 12/30 15:56 76.92 0.14%
Trade id #69370093
Max drawdown($140)
Time12/30/11 10:07
Quant open2,000
Worst price19.07
Drawdown as % of equity-0.14%
 $170
Includes Typical Broker Commissions trade costs of $10.00
12/23/11 10:22 DXD PROSHARES ULTRASHORT DOW30 LONG 1,250 61.32 12/28 11:36 61.72 1.54%
Trade id #69257341
Max drawdown($1,450)
Time12/27/11 10:01
Quant open5,000
Worst price15.04
Drawdown as % of equity-1.54%
 $495
Includes Typical Broker Commissions trade costs of $5.00
12/20/11 15:21 TZA DIREXION DAILY SMALL CAP BEAR LONG 188 423.24 12/28 11:36 427.52 3.88%
Trade id #69137959
Max drawdown($3,645)
Time12/27/11 14:01
Quant open3,000
Worst price25.24
Drawdown as % of equity-3.88%
 $801
Includes Typical Broker Commissions trade costs of $3.76
11/30/11 10:44 DXD PROSHARES ULTRASHORT DOW30 LONG 1,375 64.27 12/14 10:07 65.04 4.34%
Trade id #68445571
Max drawdown($3,850)
Time12/7/11 15:44
Quant open5,000
Worst price15.35
Drawdown as % of equity-4.34%
 $1,049
Includes Typical Broker Commissions trade costs of $6.25
12/7/11 15:43 TZA DIREXION DAILY SMALL CAP BEAR LONG 63 426.88 12/8 10:26 453.60 0.09%
Trade id #68764140
Max drawdown($80)
Time12/7/11 15:45
Quant open1,000
Worst price26.60
Drawdown as % of equity-0.09%
 $1,682
Includes Typical Broker Commissions trade costs of $1.26
11/30/11 15:59 TZA DIREXION DAILY SMALL CAP BEAR LONG 125 437.88 12/7 10:23 453.76 2.42%
Trade id #68465394
Max drawdown($2,225)
Time12/5/11 12:55
Quant open1,500
Worst price26.22
Drawdown as % of equity-2.42%
 $1,984
Includes Typical Broker Commissions trade costs of $2.50
11/23/11 9:50 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 3,800 17.99 11/28 10:02 19.10 6.08%
Trade id #68232310
Max drawdown($5,211)
Time11/25/11 13:06
Quant open1,900
Worst price33.24
Drawdown as % of equity-6.08%
 $4,203
Includes Typical Broker Commissions trade costs of $10.00
11/17/11 13:52 TNA DIREXION DAILY SMALL CAP BULL 3X LONG 4,000 21.09 11/18 10:50 21.59 0.67%
Trade id #68081306
Max drawdown($580)
Time11/18/11 9:51
Quant open2,000
Worst price41.89
Drawdown as % of equity-0.67%
 $1,995
Includes Typical Broker Commissions trade costs of $5.00
11/11/11 9:46 DXD PROSHARES ULTRASHORT DOW30 LONG 1,500 64.23 11/16 9:48 65.44 1.55%
Trade id #67874751
Max drawdown($1,300)
Time11/11/11 11:19
Quant open6,000
Worst price15.84
Drawdown as % of equity-1.55%
 $1,813
Includes Typical Broker Commissions trade costs of $7.50
11/3/11 11:31 DXD PROSHARES ULTRASHORT DOW30 LONG 500 66.28 11/9 14:36 67.92 1.77%
Trade id #67583011
Max drawdown($1,320)
Time11/8/11 15:56
Quant open2,000
Worst price15.91
Drawdown as % of equity-1.77%
 $810
Includes Typical Broker Commissions trade costs of $10.00
11/8/11 15:06 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 63 288.96 11/9 10:00 308.48 0.25%
Trade id #67726186
Max drawdown($190)
Time11/8/11 15:52
Quant open1,000
Worst price17.87
Drawdown as % of equity-0.25%
 $1,229
Includes Typical Broker Commissions trade costs of $1.26
11/8/11 14:30 FAZ DIREXION DAILY FINANCIAL BEAR LONG 125 610.40 11/9 9:59 660.80 1.77%
Trade id #67725421
Max drawdown($1,320)
Time11/8/11 15:55
Quant open2,000
Worst price37.49
Drawdown as % of equity-1.77%
 $6,298
Includes Typical Broker Commissions trade costs of $2.50
11/8/11 10:12 SDOW PROSHARES ULTRAPRO SHORT DOW30 LONG 500 110.40 11/8 11:23 112.80 0.05%
Trade id #67709964
Max drawdown($40)
Time11/8/11 10:18
Quant open2,000
Worst price27.58
Drawdown as % of equity-0.05%
 $1,190
Includes Typical Broker Commissions trade costs of $10.00
10/28/11 13:14 TZA DIREXION DAILY SMALL CAP BEAR LONG 125 452.16 11/7 13:00 496.16 0.9%
Trade id #67351025
Max drawdown($700)
Time10/28/11 15:55
Quant open2,000
Worst price27.91
Drawdown as % of equity-0.90%
 $5,498
Includes Typical Broker Commissions trade costs of $2.50
10/31/11 9:30 FAZ DIREXION DAILY FINANCIAL BEAR LONG 62 611.92 10/31 15:42 627.84 0.87%
Trade id #67425728
Max drawdown($595)
Time10/31/11 13:51
Quant open1,000
Worst price37.65
Drawdown as % of equity-0.87%
 $1,614
Includes Typical Broker Commissions trade costs of $1.25
10/21/11 12:30 DXD PROSHARES ULTRASHORT DOW30 LONG 650 68.87 10/28 10:37 63.96 3.61%
Trade id #67064689
Max drawdown($3,766)
Time10/27/11 15:27
Quant open2,600
Worst price15.77
Drawdown as % of equity-3.61%
 ($3,203)
Includes Typical Broker Commissions trade costs of $9.00
10/21/11 10:31 TZA DIREXION DAILY SMALL CAP BEAR LONG 288 555.43 10/28 10:37 446.24 33.1%
Trade id #67059904
Max drawdown($34,566)
Time10/27/11 15:27
Quant open4,600
Worst price27.20
Drawdown as % of equity-33.10%
 ($31,454)
Includes Typical Broker Commissions trade costs of $5.76
10/19/11 12:42 DXD PROSHARES ULTRASHORT DOW30 LONG 500 71.36 10/19 15:43 72.60 0.08%
Trade id #66978432
Max drawdown($80)
Time10/19/11 13:03
Quant open1,000
Worst price17.73
Drawdown as % of equity-0.08%
 $610
Includes Typical Broker Commissions trade costs of $10.00
10/18/11 14:14 TZA DIREXION DAILY SMALL CAP BEAR LONG 76 597.56 10/19 15:42 625.12 2%
Trade id #66929475
Max drawdown($1,996)
Time10/18/11 15:13
Quant open1,200
Worst price35.68
Drawdown as % of equity-2.00%
 $1,468
Includes Typical Broker Commissions trade costs of $1.51

Statistics

  • Strategy began
    10/16/2011
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    4778.59
  • Age
    159 months ago
  • What it trades
    Stocks
  • # Trades
    31
  • # Profitable
    24
  • % Profitable
    77.40%
  • Avg trade duration
    156.0 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    July 06, 2016 - Nov 15, 2024
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $3,034
  • Avg loss
    $95,588
  • Model Account Values (Raw)
  • Cash
    ($355,893)
  • Margin Used
    $0
  • Buying Power
    ($917,458)
  • Ratios
  • W:L ratio
    0.11:1
  • Sharpe Ratio
    -0.28
  • Sortino Ratio
    -0.31
  • Calmar Ratio
    -0.971
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -980.27%
  • Correlation to SP500
    -0.03990
  • Return Percent SP500 (cumu) during strategy life
    380.42%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    1.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $95,588
  • Avg Win
    $3,034
  • Sum Trade PL (losers)
    $669,119.000
  • Age
  • Num Months filled monthly returns table
    124
  • Win / Loss
  • Sum Trade PL (winners)
    $72,826.000
  • # Winners
    24
  • Num Months Winners
    29
  • Dividends
  • Dividends Received in Model Acct
    35
  • Win / Loss
  • # Losers
    7
  • % Winners
    77.4%
  • Frequency
  • Avg Position Time (mins)
    224634.00
  • Avg Position Time (hrs)
    3743.89
  • Avg Trade Length
    156.0 days
  • Last Trade Ago
    4532
  • Regression
  • Alpha
    0.00
  • Beta
    -0.23
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.11
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    23.54
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    18.28
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.52
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.43
  • Avg(MAE) / Avg(PL) - All trades
    -1.249
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.629
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.010
  • Hold-and-Hope Ratio
    -3.127
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.49938
  • SD
    0.92341
  • Sharpe ratio (Glass type estimate)
    -0.54079
  • Sharpe ratio (Hedges UMVUE)
    -0.52974
  • df
    37.00000
  • t
    -0.96235
  • p
    0.82894
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.64544
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.57102
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63774
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.57826
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.72325
  • Upside Potential Ratio
    0.65577
  • Upside part of mean
    0.45278
  • Downside part of mean
    -0.95215
  • Upside SD
    0.61181
  • Downside SD
    0.69046
  • N nonnegative terms
    6.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.46935
  • Mean of criterion
    -0.49938
  • SD of predictor
    0.29844
  • SD of criterion
    0.92341
  • Covariance
    -0.01368
  • r
    -0.04966
  • b (slope, estimate of beta)
    -0.15364
  • a (intercept, estimate of alpha)
    -0.42726
  • Mean Square Error
    0.87422
  • DF error
    36.00000
  • t(b)
    -0.29830
  • p(b)
    0.61641
  • t(a)
    -0.73874
  • p(a)
    0.76757
  • Lowerbound of 95% confidence interval for beta
    -1.19821
  • Upperbound of 95% confidence interval for beta
    0.89093
  • Lowerbound of 95% confidence interval for alpha
    -1.60024
  • Upperbound of 95% confidence interval for alpha
    0.74572
  • Treynor index (mean / b)
    3.25030
  • Jensen alpha (a)
    -0.42726
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.66357
  • SD
    5.81496
  • Sharpe ratio (Glass type estimate)
    -0.63002
  • Sharpe ratio (Hedges UMVUE)
    -0.61715
  • df
    37.00000
  • t
    -1.12114
  • p
    0.86527
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.73652
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.48478
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.72750
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.49319
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.62958
  • Upside Potential Ratio
    0.05792
  • Upside part of mean
    0.33704
  • Downside part of mean
    -4.00061
  • Upside SD
    0.42485
  • Downside SD
    5.81910
  • N nonnegative terms
    6.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    38.00000
  • Mean of predictor
    0.42098
  • Mean of criterion
    -3.66357
  • SD of predictor
    0.27842
  • SD of criterion
    5.81496
  • Covariance
    0.07938
  • r
    0.04903
  • b (slope, estimate of beta)
    1.02406
  • a (intercept, estimate of alpha)
    -4.09468
  • Mean Square Error
    34.66950
  • DF error
    36.00000
  • t(b)
    0.29454
  • p(b)
    0.38502
  • t(a)
    -1.13172
  • p(a)
    0.86738
  • Lowerbound of 95% confidence interval for beta
    -6.02716
  • Upperbound of 95% confidence interval for beta
    8.07529
  • Lowerbound of 95% confidence interval for alpha
    -11.43250
  • Upperbound of 95% confidence interval for alpha
    3.24315
  • Treynor index (mean / b)
    -3.57748
  • Jensen alpha (a)
    -4.09468
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.95341
  • Expected Shortfall on VaR
    0.97320
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.24926
  • Expected Shortfall on VaR
    0.49886
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    38.00000
  • Minimum
    0.00003
  • Quartile 1
    0.93627
  • Median
    0.99531
  • Quartile 3
    0.99976
  • Maximum
    2.06227
  • Mean of quarter 1
    0.72994
  • Mean of quarter 2
    0.97576
  • Mean of quarter 3
    0.99759
  • Mean of quarter 4
    1.14476
  • Inter Quartile Range
    0.06349
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.10526
  • Mean of outliers low
    0.47757
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.05263
  • Mean of outliers high
    1.64665
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.68468
  • VaR(95%) (moments method)
    0.27435
  • Expected Shortfall (moments method)
    0.95901
  • Extreme Value Index (regression method)
    0.77177
  • VaR(95%) (regression method)
    0.32443
  • Expected Shortfall (regression method)
    1.53536
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99999
  • Quartile 1
    0.99999
  • Median
    0.99999
  • Quartile 3
    0.99999
  • Maximum
    0.99999
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.31579
  • Compounded annual return (geometric extrapolation)
    -0.97363
  • Calmar ratio (compounded annual return / max draw down)
    -0.97364
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.00045
  • 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
    -0.50428
  • SD
    0.92840
  • Sharpe ratio (Glass type estimate)
    -0.54317
  • Sharpe ratio (Hedges UMVUE)
    -0.54269
  • df
    847.00000
  • t
    -0.97721
  • p
    0.83563
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.63277
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.54672
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63243
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54705
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.78278
  • Upside Potential Ratio
    2.00036
  • Upside part of mean
    1.28868
  • Downside part of mean
    -1.79296
  • Upside SD
    0.66848
  • Downside SD
    0.64423
  • N nonnegative terms
    250.00000
  • N negative terms
    598.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    848.00000
  • Mean of predictor
    0.50357
  • Mean of criterion
    -0.50428
  • SD of predictor
    0.31138
  • SD of criterion
    0.92840
  • Covariance
    -0.01601
  • r
    -0.05538
  • b (slope, estimate of beta)
    -0.16511
  • a (intercept, estimate of alpha)
    -0.42100
  • Mean Square Error
    0.86030
  • DF error
    846.00000
  • t(b)
    -1.61317
  • p(b)
    0.94646
  • t(a)
    -0.81281
  • p(a)
    0.79172
  • Lowerbound of 95% confidence interval for beta
    -0.36600
  • Upperbound of 95% confidence interval for beta
    0.03578
  • Lowerbound of 95% confidence interval for alpha
    -1.43811
  • Upperbound of 95% confidence interval for alpha
    0.59583
  • Treynor index (mean / b)
    3.05423
  • Jensen alpha (a)
    -0.42114
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.58497
  • SD
    5.76310
  • Sharpe ratio (Glass type estimate)
    -0.62206
  • Sharpe ratio (Hedges UMVUE)
    -0.62150
  • df
    847.00000
  • t
    -1.11912
  • p
    0.86830
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.71174
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.46793
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.71134
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46833
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.62417
  • Upside Potential Ratio
    0.19919
  • Upside part of mean
    1.14408
  • Downside part of mean
    -4.72904
  • Upside SD
    0.48478
  • Downside SD
    5.74354
  • N nonnegative terms
    250.00000
  • N negative terms
    598.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    848.00000
  • Mean of predictor
    0.45397
  • Mean of criterion
    -3.58497
  • SD of predictor
    0.31492
  • SD of criterion
    5.76310
  • Covariance
    0.01186
  • r
    0.00653
  • b (slope, estimate of beta)
    0.11958
  • a (intercept, estimate of alpha)
    -3.63925
  • Mean Square Error
    33.25120
  • DF error
    846.00000
  • t(b)
    0.19007
  • p(b)
    0.42465
  • t(a)
    -1.13094
  • p(a)
    0.87080
  • Lowerbound of 95% confidence interval for beta
    -1.11530
  • Upperbound of 95% confidence interval for beta
    1.35447
  • Lowerbound of 95% confidence interval for alpha
    -9.95528
  • Upperbound of 95% confidence interval for alpha
    2.67677
  • Treynor index (mean / b)
    -29.97830
  • Jensen alpha (a)
    -3.63925
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.45082
  • Expected Shortfall on VaR
    0.52283
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01896
  • Expected Shortfall on VaR
    0.04365
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    848.00000
  • Minimum
    0.00003
  • Quartile 1
    0.99771
  • Median
    1.00000
  • Quartile 3
    1.00040
  • Maximum
    2.09366
  • Mean of quarter 1
    0.97366
  • Mean of quarter 2
    0.99926
  • Mean of quarter 3
    1.00005
  • Mean of quarter 4
    1.01976
  • Inter Quartile Range
    0.00268
  • Number outliers low
    137.00000
  • Percentage of outliers low
    0.16156
  • Mean of outliers low
    0.96144
  • Number of outliers high
    111.00000
  • Percentage of outliers high
    0.13090
  • Mean of outliers high
    1.03611
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.04519
  • VaR(95%) (moments method)
    0.01772
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.61868
  • VaR(95%) (regression method)
    0.01724
  • Expected Shortfall (regression method)
    0.05572
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00565
  • Quartile 1
    0.00761
  • Median
    0.00958
  • Quartile 3
    0.50479
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00565
  • Mean of quarter 2
    0.00958
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.49717
  • 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)
    -0.30896
  • Compounded annual return (geometric extrapolation)
    -0.97148
  • Calmar ratio (compounded annual return / max draw down)
    -0.97149
  • Compounded annual return / average of 25% largest draw downs
    -0.97149
  • Compounded annual return / Expected Shortfall lognormal
    -1.85811
  • 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
    -2.02837
  • SD
    1.41416
  • Sharpe ratio (Glass type estimate)
    -1.43433
  • Sharpe ratio (Hedges UMVUE)
    -1.42604
  • df
    130.00000
  • t
    -1.01422
  • p
    0.54430
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.20895
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.34562
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.20326
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35118
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.43417
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -2.02837
  • Upside SD
    0.00000
  • Downside SD
    1.41432
  • 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
    0.81032
  • Mean of criterion
    -2.02837
  • SD of predictor
    0.43357
  • SD of criterion
    1.41416
  • Covariance
    0.02232
  • r
    0.03641
  • b (slope, estimate of beta)
    0.11875
  • a (intercept, estimate of alpha)
    -2.12460
  • Mean Square Error
    2.01269
  • DF error
    129.00000
  • t(b)
    0.41378
  • p(b)
    0.47683
  • t(a)
    -1.05190
  • p(a)
    0.55863
  • Lowerbound of 95% confidence interval for beta
    -0.44906
  • Upperbound of 95% confidence interval for beta
    0.68655
  • Lowerbound of 95% confidence interval for alpha
    -6.12075
  • Upperbound of 95% confidence interval for alpha
    1.87156
  • Treynor index (mean / b)
    -17.08150
  • Jensen alpha (a)
    -2.12460
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -20.65550
  • SD
    14.58550
  • Sharpe ratio (Glass type estimate)
    -1.41616
  • Sharpe ratio (Hedges UMVUE)
    -1.40798
  • df
    130.00000
  • t
    -1.00138
  • p
    0.54375
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.19065
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.36364
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.18506
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.36911
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.41615
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -20.65550
  • Upside SD
    0.00000
  • Downside SD
    14.58570
  • 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
    0.71545
  • Mean of criterion
    -20.65550
  • SD of predictor
    0.43526
  • SD of criterion
    14.58550
  • Covariance
    0.22347
  • r
    0.03520
  • b (slope, estimate of beta)
    1.17954
  • a (intercept, estimate of alpha)
    -21.49940
  • Mean Square Error
    214.12000
  • DF error
    129.00000
  • t(b)
    0.40004
  • p(b)
    0.47760
  • t(a)
    -1.03356
  • p(a)
    0.55761
  • VAR (95 Confidence Intrvl)
    0.45100
  • Lowerbound of 95% confidence interval for beta
    -4.65420
  • Upperbound of 95% confidence interval for beta
    7.01328
  • Lowerbound of 95% confidence interval for alpha
    -62.65510
  • Upperbound of 95% confidence interval for alpha
    19.65640
  • Treynor index (mean / b)
    -17.51140
  • Jensen alpha (a)
    -21.49940
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.79007
  • Expected Shortfall on VaR
    0.84884
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02690
  • Expected Shortfall on VaR
    0.06111
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00003
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00003
  • Mean of quarter 1
    0.96969
  • 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
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.92305
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.00003
  • 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
    2.00000
  • Minimum
    0.00003
  • Quartile 1
    0.25002
  • Median
    0.50000
  • Quartile 3
    0.74998
  • Maximum
    0.99997
  • Mean of quarter 1
    0.00003
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99997
  • Inter Quartile Range
    0.49997
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -352489000
  • Max Equity Drawdown (num days)
    3054
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99993
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00003
  • Compounded annual return / average of 25% largest draw downs
    -1.00003
  • Compounded annual return / Expected Shortfall lognormal
    -1.17808

Strategy Description

The New Gambler's trading system was formerly, The Short Bear. The name change better reflects the paradigm shift from investing to gambling in stocks. The system buys only leveraged long and inverted ETF's. It is suitable for members with a portfolio size of $100,000 or less. The system is the most aggressive of the 4 systems offered by Blackhorseshoe, using a proprietary waging system. The buy and sell signals are 100% mechanical. As of 12/28/11, the average winning percentage is 88% and average holding time under 5 days. The system was designed to seek an 80% winning percentage based on gambling strategies and analyzing the results of 10 million blackjack hands; mathematical probabilities; historical patterns; the psychology of human behavior; and a proprietary geometrically progressive tier down wagering system to aggressively capitalize on the system's extraordinary winning %. This is not a day trading or buy and hold strategy, and may not be suitable for the average person.

The system designer views the market as the World's Biggest Casino, the best place on planet earth to make money. For some insightful information, please visit us every night at the Sweet Spot. http://blackhorseshoe.org/THESWEET_SPOT.html
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2011-10-16
Suggested Minimum Capital
$100,000
# Trades
31
# Profitable
24
% Profitable
77.4%
Net Dividends
$35
Correlation S&P500
-0.040
Sharpe Ratio
-0.28
Sortino Ratio
-0.31
Beta
-0.23
Alpha
0.00

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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