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

Mammoth
(106660717)

Created by: Mammoth_Investments Mammoth_Investments
Started: 10/2016
Stocks
Last trade: 2,452 days ago
Subscriptions not currently available.

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 $40.00 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.

33.8%
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.

(79.8%)
Max Drawdown
37
Num Trades
45.9%
Win Trades
31.8 : 1
Profit Factor
64.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                               +3.2%+9.2%(1.6%)+10.9%
2017(0.1%)+11.4%(3.2%)(0.2%)+7.8%(6.6%)+6.3%+5.0%(1.1%)+13.6%+3.1%+3.7%+45.2%
2018+27.7%(6.2%)(13.4%)+2.8%+18.6%(0.9%)+11.7%+8.2%+1.6%(26.6%)(18.8%)(14.5%)(21.6%)
2019+19.1%+19.1%+7.9%+19.2%(5.8%)+1.7%+5.0%(8.6%)(1.3%)+15.4%+7.1%+22.4%+150.9%
2020+8.8%(9.8%)(60.1%)+76.5%+31.8%+13.4%+27.1%+30.1%(26.3%)+2.6%+33.8%+11.1%+92.1%
2021+3.6%(1.4%)+7.5%+14.6%(6.7%)+14.5%+16.2%+3.2%(10.5%)+17.4%+9.6%+2.5%+90.4%
2022(32.2%)(7%)+10.5%(34%)(15.6%)(24.4%)+12.0%+10.6%(32.5%)+1.6%+7.4%(23.7%)(79.6%)
2023+23.0%+7.6%+26.8%  -  +22.8%+12.0%+13.6%(11.8%)(8%)(13.4%)+43.5%+15.3%+204.8%
2024+11.6%+4.4%+3.7%                                                      +20.9%

Model Account Details

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

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

Trading Record

This strategy has placed 42 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/15/17 15:36 TQQQ PROSHARES ULTRAPRO QQQ LONG 304 103.94 6/29 13:27 97.51 6.3%
Trade id #112085249
Max drawdown($1,952)
Time6/29/17 13:27
Quant open178
Worst price95.48
Drawdown as % of equity-6.30%
($1,958)
Includes Typical Broker Commissions trade costs of $6.08
6/14/17 9:30 TQQQ PROSHARES ULTRAPRO QQQ LONG 78 104.90 6/14 14:45 101.97 0.7%
Trade id #112050111
Max drawdown($228)
Time6/14/17 14:45
Quant open0
Worst price101.97
Drawdown as % of equity-0.70%
($230)
Includes Typical Broker Commissions trade costs of $1.56
6/2/17 13:39 SCO PROSHARES ULTRASHORT BLOOMBERG LONG 160 40.65 6/14 10:45 45.71 0.45%
Trade id #111896623
Max drawdown($152)
Time6/6/17 16:23
Quant open160
Worst price39.70
Drawdown as % of equity-0.45%
$807
Includes Typical Broker Commissions trade costs of $3.20
4/17/17 13:00 TQQQ PROSHARES ULTRAPRO QQQ LONG 236 93.09 6/9 14:44 103.07 0.08%
Trade id #111056925
Max drawdown($23)
Time4/18/17 13:07
Quant open84
Worst price85.27
Drawdown as % of equity-0.08%
$2,350
Includes Typical Broker Commissions trade costs of $4.72
5/1/17 13:12 GLL PROSHARES ULTRASHORT GOLD LONG 100 74.80 5/15 15:56 77.81 0.21%
Trade id #111347227
Max drawdown($65)
Time5/12/17 4:17
Quant open100
Worst price74.15
Drawdown as % of equity-0.21%
$299
Includes Typical Broker Commissions trade costs of $2.00
5/1/17 12:46 FAS DIREXION DAILY FINANCIAL BULL LONG 170 44.77 5/11 10:30 43.25 0.83%
Trade id #111346526
Max drawdown($258)
Time5/11/17 10:30
Quant open0
Worst price43.25
Drawdown as % of equity-0.83%
($261)
Includes Typical Broker Commissions trade costs of $3.40
3/28/17 15:46 UPRO PROSHARES ULTRAPRO S&P 500 LONG 80 95.75 4/13 13:46 92.76 0.8%
Trade id #110492765
Max drawdown($239)
Time4/13/17 13:46
Quant open0
Worst price92.76
Drawdown as % of equity-0.80%
($241)
Includes Typical Broker Commissions trade costs of $1.60
3/27/17 15:45 TQQQ PROSHARES ULTRAPRO QQQ LONG 172 86.86 4/11 10:25 85.09 1.01%
Trade id #110453809
Max drawdown($304)
Time4/11/17 10:25
Quant open0
Worst price85.09
Drawdown as % of equity-1.01%
($307)
Includes Typical Broker Commissions trade costs of $3.44
3/24/17 11:08 UPRO PROSHARES ULTRAPRO S&P 500 LONG 80 95.19 3/27 9:44 91.44 1.06%
Trade id #110422512
Max drawdown($323)
Time3/27/17 9:40
Quant open80
Worst price91.15
Drawdown as % of equity-1.06%
($302)
Includes Typical Broker Commissions trade costs of $1.60
3/24/17 12:18 TQQQ PROSHARES ULTRAPRO QQQ LONG 88 85.55 3/27 9:30 82.77 0.8%
Trade id #110424414
Max drawdown($244)
Time3/27/17 9:30
Quant open0
Worst price82.77
Drawdown as % of equity-0.80%
($246)
Includes Typical Broker Commissions trade costs of $1.76
3/9/17 10:16 TQQQ PROSHARES ULTRAPRO QQQ LONG 175 86.32 3/21 12:50 84.47 1.05%
Trade id #110136792
Max drawdown($324)
Time3/21/17 12:50
Quant open0
Worst price84.47
Drawdown as % of equity-1.05%
($328)
Includes Typical Broker Commissions trade costs of $3.50
1/3/17 15:06 UPRO PROSHARES ULTRAPRO S&P 500 LONG 160 84.01 3/21 11:36 94.50 0.09%
Trade id #108313905
Max drawdown($24)
Time1/3/17 15:24
Quant open78
Worst price82.48
Drawdown as % of equity-0.09%
$1,675
Includes Typical Broker Commissions trade costs of $3.20
2/1/17 12:58 TQQQ PROSHARES ULTRAPRO QQQ LONG 95 74.72 2/21 10:37 84.19 0.23%
Trade id #109209549
Max drawdown($64)
Time2/2/17 9:36
Quant open95
Worst price74.04
Drawdown as % of equity-0.23%
$898
Includes Typical Broker Commissions trade costs of $1.90
1/30/17 13:23 UYG PROSHARES ULTRA FINANCIALS LONG 75 93.07 2/21 10:31 102.16 0.4%
Trade id #109143326
Max drawdown($111)
Time2/2/17 9:33
Quant open75
Worst price91.58
Drawdown as % of equity-0.40%
$681
Includes Typical Broker Commissions trade costs of $1.50
1/26/17 15:35 GLL PROSHARES ULTRASHORT GOLD LONG 83 84.25 1/31 9:43 81.01 1.01%
Trade id #109063454
Max drawdown($286)
Time1/31/17 9:37
Quant open83
Worst price80.80
Drawdown as % of equity-1.01%
($271)
Includes Typical Broker Commissions trade costs of $1.66
1/17/17 15:12 BIS PROSHARES TRUST PROSHARES ULTR LONG 215 32.53 1/25 13:22 32.75 0.56%
Trade id #108697585
Max drawdown($159)
Time1/18/17 15:52
Quant open215
Worst price31.79
Drawdown as % of equity-0.56%
$43
Includes Typical Broker Commissions trade costs of $4.30
1/17/17 15:34 SKF PROSHARES ULTRASHORT FINANCIAL LONG 225 30.83 1/24 11:14 30.25 0.49%
Trade id #108698208
Max drawdown($139)
Time1/19/17 9:31
Quant open225
Worst price30.21
Drawdown as % of equity-0.49%
($136)
Includes Typical Broker Commissions trade costs of $4.50
1/19/17 15:45 SCO PROSHARES ULTRASHORT BLOOMBERG LONG 200 34.33 1/20 9:30 32.59 1.23%
Trade id #108815667
Max drawdown($352)
Time1/20/17 9:30
Quant open200
Worst price32.57
Drawdown as % of equity-1.23%
($352)
Includes Typical Broker Commissions trade costs of $4.00
12/27/16 15:40 UGL PROSHARES ULTRA GOLD LONG 200 32.58 1/12/17 15:56 35.76 0.11%
Trade id #108207903
Max drawdown($30)
Time12/28/16 10:51
Quant open200
Worst price32.43
Drawdown as % of equity-0.11%
$632
Includes Typical Broker Commissions trade costs of $4.00
1/4/17 9:40 TQQQ PROSHARES ULTRAPRO QQQ LONG 98 65.92 1/12 9:30 70.08 n/a $406
Includes Typical Broker Commissions trade costs of $1.96
12/16/16 9:33 UCO PROSHARES ULTRA BLOOMBERG CRUD LONG 580 11.15 1/9/17 14:28 10.90 0.5%
Trade id #108012071
Max drawdown($143)
Time1/9/17 14:28
Quant open0
Worst price10.90
Drawdown as % of equity-0.50%
($148)
Includes Typical Broker Commissions trade costs of $5.00
12/22/16 15:52 BIS PROSHARES TRUST PROSHARES ULTR LONG 185 34.92 12/23 9:35 34.36 0.38%
Trade id #108145243
Max drawdown($104)
Time12/23/16 9:35
Quant open0
Worst price34.36
Drawdown as % of equity-0.38%
($108)
Includes Typical Broker Commissions trade costs of $3.70
12/14/16 15:44 BIB PROSHARES ULTRA NASDAQ BIOTECH LONG 155 41.45 12/22 9:35 40.25 0.67%
Trade id #107949568
Max drawdown($186)
Time12/22/16 9:35
Quant open0
Worst price40.25
Drawdown as % of equity-0.67%
($189)
Includes Typical Broker Commissions trade costs of $3.10
12/14/16 15:36 BOIL PROSHARES ULTRA BLOOMBERG NATU LONG 370 17.64 12/15 11:25 17.02 0.81%
Trade id #107948946
Max drawdown($229)
Time12/15/16 11:25
Quant open0
Worst price17.02
Drawdown as % of equity-0.81%
($236)
Includes Typical Broker Commissions trade costs of $7.40
11/23/16 13:23 BIS PROSHARES TRUST PROSHARES ULTR LONG 200 31.54 12/7 13:08 35.07 0.71%
Trade id #107446996
Max drawdown($198)
Time11/25/16 9:31
Quant open200
Worst price30.55
Drawdown as % of equity-0.71%
$702
Includes Typical Broker Commissions trade costs of $4.00
12/1/16 9:39 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 510 13.73 12/7 12:00 13.70 0.07%
Trade id #107656405
Max drawdown($19)
Time12/1/16 10:07
Quant open510
Worst price13.69
Drawdown as % of equity-0.07%
($20)
Includes Typical Broker Commissions trade costs of $5.00
12/5/16 12:31 TECS DIREXION DAILY TECHNOLOGY BEAR 3X LONG 360 19.43 12/7 12:00 18.83 0.77%
Trade id #107739910
Max drawdown($217)
Time12/7/16 12:00
Quant open0
Worst price18.83
Drawdown as % of equity-0.77%
($224)
Includes Typical Broker Commissions trade costs of $7.20
12/1/16 15:14 SRTY PROSHARES ULTRAPRO SHORT RUSSELL LONG 470 14.78 12/5 9:57 13.97 1.32%
Trade id #107672907
Max drawdown($380)
Time12/5/16 9:57
Quant open0
Worst price13.97
Drawdown as % of equity-1.32%
($389)
Includes Typical Broker Commissions trade costs of $9.40
11/10/16 11:21 GLL PROSHARES ULTRASHORT GOLD LONG 85 75.83 11/28 9:50 85.63 0.16%
Trade id #107092365
Max drawdown($44)
Time11/10/16 12:39
Quant open85
Worst price75.31
Drawdown as % of equity-0.16%
$831
Includes Typical Broker Commissions trade costs of $1.70
11/17/16 12:18 TECL DIREXION DAILY TECHNOLOGY BULL LONG 140 46.77 11/28 9:48 48.52 0.12%
Trade id #107290802
Max drawdown($33)
Time11/18/16 10:52
Quant open140
Worst price46.53
Drawdown as % of equity-0.12%
$242
Includes Typical Broker Commissions trade costs of $2.80

Statistics

  • Strategy began
    10/25/2016
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2710.75
  • Age
    90 months ago
  • What it trades
    Stocks
  • # Trades
    37
  • # Profitable
    17
  • % Profitable
    45.90%
  • Avg trade duration
    78.1 days
  • Max peak-to-valley drawdown
    79.85%
  • drawdown period
    Nov 17, 2021 - Dec 30, 2022
  • Annual Return (Compounded)
    33.8%
  • Avg win
    $11,561
  • Avg loss
    $314.60
  • Model Account Values (Raw)
  • Cash
    $11,595
  • Margin Used
    $0
  • Buying Power
    $196,195
  • Ratios
  • W:L ratio
    31.78:1
  • Sharpe Ratio
    0.63
  • Sortino Ratio
    0.95
  • Calmar Ratio
    2.233
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    626.71%
  • Correlation to SP500
    0.82460
  • Return Percent SP500 (cumu) during strategy life
    145.17%
  • Return Statistics
  • Ann Return (w trading costs)
    33.8%
  • Slump
  • Current Slump as Pcnt Equity
    34.70%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.32%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.338%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    1.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    33.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • 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
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $315
  • Avg Win
    $11,561
  • Sum Trade PL (losers)
    $6,292.000
  • Age
  • Num Months filled monthly returns table
    90
  • Win / Loss
  • Sum Trade PL (winners)
    $196,543.000
  • # Winners
    17
  • Num Months Winners
    58
  • Dividends
  • Dividends Received in Model Acct
    3395
  • Win / Loss
  • # Losers
    20
  • % Winners
    46.0%
  • Frequency
  • Avg Position Time (mins)
    112503.00
  • Avg Position Time (hrs)
    1875.04
  • Avg Trade Length
    78.1 days
  • Last Trade Ago
    2452
  • Regression
  • Alpha
    0.04
  • Beta
    2.75
  • Treynor Index
    0.05
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    6.31
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    4.03
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.43
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    0.060
  • 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
    0.025
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.014
  • Hold-and-Hope Ratio
    0.697
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.82366
  • SD
    1.51190
  • Sharpe ratio (Glass type estimate)
    1.20620
  • Sharpe ratio (Hedges UMVUE)
    1.16805
  • df
    24.00000
  • t
    1.74100
  • p
    0.04724
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20522
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.59412
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22948
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.56557
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.24884
  • Upside Potential Ratio
    4.42347
  • Upside part of mean
    2.48301
  • Downside part of mean
    -0.65935
  • Upside SD
    1.46849
  • Downside SD
    0.56133
  • N nonnegative terms
    17.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.41645
  • Mean of criterion
    1.82366
  • SD of predictor
    0.34087
  • SD of criterion
    1.51190
  • Covariance
    0.49134
  • r
    0.95341
  • b (slope, estimate of beta)
    4.22881
  • a (intercept, estimate of alpha)
    0.06258
  • Mean Square Error
    0.21708
  • DF error
    23.00000
  • t(b)
    15.15650
  • p(b)
    -0.00000
  • t(a)
    0.18240
  • p(a)
    0.42843
  • Lowerbound of 95% confidence interval for beta
    3.65163
  • Upperbound of 95% confidence interval for beta
    4.80598
  • Lowerbound of 95% confidence interval for alpha
    -0.64712
  • Upperbound of 95% confidence interval for alpha
    0.77228
  • Treynor index (mean / b)
    0.43125
  • Jensen alpha (a)
    0.06258
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.92225
  • SD
    1.30109
  • Sharpe ratio (Glass type estimate)
    0.70883
  • Sharpe ratio (Hedges UMVUE)
    0.68641
  • df
    24.00000
  • t
    1.02311
  • p
    0.15823
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67081
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07414
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68531
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.05812
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.07478
  • Upside Potential Ratio
    2.16213
  • Upside part of mean
    1.85529
  • Downside part of mean
    -0.93304
  • Upside SD
    0.97964
  • Downside SD
    0.85808
  • N nonnegative terms
    17.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.35729
  • Mean of criterion
    0.92225
  • SD of predictor
    0.32613
  • SD of criterion
    1.30109
  • Covariance
    0.40561
  • r
    0.95589
  • b (slope, estimate of beta)
    3.81354
  • a (intercept, estimate of alpha)
    -0.44028
  • Mean Square Error
    0.15238
  • DF error
    23.00000
  • t(b)
    15.60820
  • p(b)
    -0.00000
  • t(a)
    -1.54924
  • p(a)
    0.93251
  • Lowerbound of 95% confidence interval for beta
    3.30811
  • Upperbound of 95% confidence interval for beta
    4.31898
  • Lowerbound of 95% confidence interval for alpha
    -1.02818
  • Upperbound of 95% confidence interval for alpha
    0.14761
  • Treynor index (mean / b)
    0.24184
  • Jensen alpha (a)
    -0.44028
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.41780
  • Expected Shortfall on VaR
    0.49781
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08865
  • Expected Shortfall on VaR
    0.21187
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.33919
  • Quartile 1
    0.99128
  • Median
    1.05817
  • Quartile 3
    1.16176
  • Maximum
    2.66422
  • Mean of quarter 1
    0.80690
  • Mean of quarter 2
    1.03106
  • Mean of quarter 3
    1.11282
  • Mean of quarter 4
    1.72431
  • Inter Quartile Range
    0.17048
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.08000
  • Mean of outliers low
    0.45074
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.16000
  • Mean of outliers high
    1.92791
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.93156
  • VaR(95%) (moments method)
    0.08736
  • Expected Shortfall (moments method)
    1.48095
  • Extreme Value Index (regression method)
    0.95444
  • VaR(95%) (regression method)
    0.28647
  • Expected Shortfall (regression method)
    7.56427
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00335
  • Quartile 1
    0.01703
  • Median
    0.03389
  • Quartile 3
    0.24645
  • Maximum
    0.70490
  • Mean of quarter 1
    0.00604
  • Mean of quarter 2
    0.02962
  • Mean of quarter 3
    0.05520
  • Mean of quarter 4
    0.57130
  • Inter Quartile Range
    0.22942
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.70490
  • 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)
    2.99477
  • Compounded annual return (geometric extrapolation)
    1.58612
  • Calmar ratio (compounded annual return / max draw down)
    2.25013
  • Compounded annual return / average of 25% largest draw downs
    2.77632
  • Compounded annual return / Expected Shortfall lognormal
    3.18622
  • 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
    1.66395
  • SD
    1.14602
  • Sharpe ratio (Glass type estimate)
    1.45194
  • Sharpe ratio (Hedges UMVUE)
    1.44998
  • df
    555.00000
  • t
    2.11513
  • p
    0.01743
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10318
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.79946
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10185
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.79811
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.19809
  • Upside Potential Ratio
    7.74604
  • Upside part of mean
    5.86374
  • Downside part of mean
    -4.19979
  • Upside SD
    0.86517
  • Downside SD
    0.75700
  • N nonnegative terms
    320.00000
  • N negative terms
    236.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    556.00000
  • Mean of predictor
    0.44793
  • Mean of criterion
    1.66395
  • SD of predictor
    0.32434
  • SD of criterion
    1.14602
  • Covariance
    0.30994
  • r
    0.83386
  • b (slope, estimate of beta)
    2.94638
  • a (intercept, estimate of alpha)
    0.34400
  • Mean Square Error
    0.40087
  • DF error
    554.00000
  • t(b)
    35.55720
  • p(b)
    0.00000
  • t(a)
    0.78900
  • p(a)
    0.21522
  • Lowerbound of 95% confidence interval for beta
    2.78362
  • Upperbound of 95% confidence interval for beta
    3.10914
  • Lowerbound of 95% confidence interval for alpha
    -0.51266
  • Upperbound of 95% confidence interval for alpha
    1.20099
  • Treynor index (mean / b)
    0.56474
  • Jensen alpha (a)
    0.34417
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.99402
  • SD
    1.16813
  • Sharpe ratio (Glass type estimate)
    0.85095
  • Sharpe ratio (Hedges UMVUE)
    0.84980
  • df
    555.00000
  • t
    1.23963
  • p
    0.10782
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49575
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.19697
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49656
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.19616
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.14739
  • Upside Potential Ratio
    6.38917
  • Upside part of mean
    5.53515
  • Downside part of mean
    -4.54113
  • Upside SD
    0.78442
  • Downside SD
    0.86633
  • N nonnegative terms
    320.00000
  • N negative terms
    236.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    556.00000
  • Mean of predictor
    0.39471
  • Mean of criterion
    0.99402
  • SD of predictor
    0.32622
  • SD of criterion
    1.16813
  • Covariance
    0.31960
  • r
    0.83872
  • b (slope, estimate of beta)
    3.00333
  • a (intercept, estimate of alpha)
    -0.19144
  • Mean Square Error
    0.40538
  • DF error
    554.00000
  • t(b)
    36.25130
  • p(b)
    0.00000
  • t(a)
    -0.43679
  • p(a)
    0.66878
  • Lowerbound of 95% confidence interval for beta
    2.84060
  • Upperbound of 95% confidence interval for beta
    3.16607
  • Lowerbound of 95% confidence interval for alpha
    -1.05234
  • Upperbound of 95% confidence interval for alpha
    0.66946
  • Treynor index (mean / b)
    0.33097
  • Jensen alpha (a)
    -0.19144
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10855
  • Expected Shortfall on VaR
    0.13473
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03200
  • Expected Shortfall on VaR
    0.07250
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    556.00000
  • Minimum
    0.54723
  • Quartile 1
    0.99322
  • Median
    1.00249
  • Quartile 3
    1.02033
  • Maximum
    1.45660
  • Mean of quarter 1
    0.93732
  • Mean of quarter 2
    0.99916
  • Mean of quarter 3
    1.00929
  • Mean of quarter 4
    1.08007
  • Inter Quartile Range
    0.02711
  • Number outliers low
    55.00000
  • Percentage of outliers low
    0.09892
  • Mean of outliers low
    0.87456
  • Number of outliers high
    65.00000
  • Percentage of outliers high
    0.11691
  • Mean of outliers high
    1.12849
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.84561
  • VaR(95%) (moments method)
    0.04683
  • Expected Shortfall (moments method)
    0.34127
  • Extreme Value Index (regression method)
    0.37178
  • VaR(95%) (regression method)
    0.05549
  • Expected Shortfall (regression method)
    0.11935
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    33.00000
  • Minimum
    0.00022
  • Quartile 1
    0.00810
  • Median
    0.02840
  • Quartile 3
    0.10849
  • Maximum
    0.79661
  • Mean of quarter 1
    0.00342
  • Mean of quarter 2
    0.01979
  • Mean of quarter 3
    0.06779
  • Mean of quarter 4
    0.38545
  • Inter Quartile Range
    0.10039
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    0.46134
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.21083
  • VaR(95%) (moments method)
    0.30253
  • Expected Shortfall (moments method)
    0.38808
  • Extreme Value Index (regression method)
    -0.02611
  • VaR(95%) (regression method)
    0.39552
  • Expected Shortfall (regression method)
    0.55974
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.65040
  • Compounded annual return (geometric extrapolation)
    1.77855
  • Calmar ratio (compounded annual return / max draw down)
    2.23264
  • Compounded annual return / average of 25% largest draw downs
    4.61420
  • Compounded annual return / Expected Shortfall lognormal
    13.20100
  • 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
    1.81664
  • SD
    1.76563
  • Sharpe ratio (Glass type estimate)
    1.02889
  • Sharpe ratio (Hedges UMVUE)
    1.02294
  • df
    130.00000
  • t
    0.72754
  • p
    0.46816
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.74767
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.80159
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.75165
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.79754
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.51315
  • Upside Potential Ratio
    9.28151
  • Upside part of mean
    11.14310
  • Downside part of mean
    -9.32644
  • Upside SD
    1.29030
  • Downside SD
    1.20057
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.64425
  • Mean of criterion
    1.81664
  • SD of predictor
    0.43209
  • SD of criterion
    1.76563
  • Covariance
    0.64131
  • r
    0.84062
  • b (slope, estimate of beta)
    3.43497
  • a (intercept, estimate of alpha)
    -0.39634
  • Mean Square Error
    0.92163
  • DF error
    129.00000
  • t(b)
    17.62740
  • p(b)
    0.03727
  • t(a)
    -0.29069
  • p(a)
    0.51629
  • Lowerbound of 95% confidence interval for beta
    3.04943
  • Upperbound of 95% confidence interval for beta
    3.82052
  • Lowerbound of 95% confidence interval for alpha
    -3.09399
  • Upperbound of 95% confidence interval for alpha
    2.30130
  • Treynor index (mean / b)
    0.52887
  • Jensen alpha (a)
    -0.39634
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25459
  • SD
    1.78463
  • Sharpe ratio (Glass type estimate)
    0.14266
  • Sharpe ratio (Hedges UMVUE)
    0.14183
  • df
    130.00000
  • t
    0.10087
  • p
    0.49558
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.62945
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.91428
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.63003
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.91369
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.18982
  • Upside Potential Ratio
    7.76510
  • Upside part of mean
    10.41450
  • Downside part of mean
    -10.15990
  • Upside SD
    1.16706
  • Downside SD
    1.34120
  • N nonnegative terms
    75.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.55064
  • Mean of criterion
    0.25459
  • SD of predictor
    0.43311
  • SD of criterion
    1.78463
  • Covariance
    0.65041
  • r
    0.84148
  • b (slope, estimate of beta)
    3.46733
  • a (intercept, estimate of alpha)
    -1.65467
  • Mean Square Error
    0.93693
  • DF error
    129.00000
  • t(b)
    17.68920
  • p(b)
    0.03697
  • t(a)
    -1.20503
  • p(a)
    0.56704
  • VAR (95 Confidence Intrvl)
    0.10900
  • Lowerbound of 95% confidence interval for beta
    3.07952
  • Upperbound of 95% confidence interval for beta
    3.85515
  • Lowerbound of 95% confidence interval for alpha
    -4.37146
  • Upperbound of 95% confidence interval for alpha
    1.06212
  • Treynor index (mean / b)
    0.07343
  • Jensen alpha (a)
    -1.65467
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16505
  • Expected Shortfall on VaR
    0.20199
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07398
  • Expected Shortfall on VaR
    0.14948
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.67869
  • Quartile 1
    0.96228
  • Median
    1.01324
  • Quartile 3
    1.06441
  • Maximum
    1.38733
  • Mean of quarter 1
    0.87025
  • Mean of quarter 2
    0.99171
  • Mean of quarter 3
    1.03488
  • Mean of quarter 4
    1.13217
  • Inter Quartile Range
    0.10214
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.73765
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.29968
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.51689
  • VaR(95%) (moments method)
    0.10763
  • Expected Shortfall (moments method)
    0.12628
  • Extreme Value Index (regression method)
    -0.30269
  • VaR(95%) (regression method)
    0.13465
  • Expected Shortfall (regression method)
    0.17040
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01752
  • Quartile 1
    0.14563
  • Median
    0.16992
  • Quartile 3
    0.27080
  • Maximum
    0.79661
  • Mean of quarter 1
    0.08158
  • Mean of quarter 2
    0.16992
  • Mean of quarter 3
    0.27080
  • Mean of quarter 4
    0.79661
  • Inter Quartile Range
    0.12516
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.79661
  • 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?
    -434279000
  • Max Equity Drawdown (num days)
    408
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30342
  • Compounded annual return (geometric extrapolation)
    0.32644
  • Calmar ratio (compounded annual return / max draw down)
    0.40979
  • Compounded annual return / average of 25% largest draw downs
    0.40979
  • Compounded annual return / Expected Shortfall lognormal
    1.61615

Strategy Description

The Mammoth Investment strategy seeks to take advantage of mid-term trends in order to minimize trades and reduce losses from excessive trading. Risk Management is an essential element of the Mammoth Investment strategy. In order to be successful in the long term, risk must be managed in a manner to provide profits yet not cause excessive losses.

Strategy trades leveraged Index, Sector Specific, and Commodity ETF"s such as TQQQ, UPRO, URTY, UGL, and UYG. System enters trades with average in techniques to reduce risk.

Risk is limited to approximately 2% of account equity per trade.

FAQ's:

1. Are your system’s signals discretionary or are they algo driven with signals generated automatically?

Discretionary. We evaluate daily charts as well as longer time frames. News events such as earnings, OPEC meetings, political events, etc play a role in our actions.

2. Is it best to auto trade the system?

Auto trade is not required, but may be useful if you cannot trade signals manually during the day.

3. Does the system hold long positions only?

Only Longs, but does take short positions with Short ETF's.

4. Does the system utilize margin and if so how much?

No margin is used as it is provided using the leveraged ETF's.

5. Are target prices to sell given for each trade?

No targets, just market action.

6. Are stop losses given for each trade?

Stop loss orders are used to limit a loss to the 2% of equity level.

7. Does the system add to losing positions?

Never adds to losers.

8. How long will you hold a losing position before closing it and accepting a loss?

Max Risk per trade is set at 2% of account equity but is usually less.

9. Do you have a strategy for preventing a large system drawdown?

We invest in various markets to distribute risk and reduce the exposure to a single market.

Summary Statistics

Strategy began
2016-10-25
Suggested Minimum Capital
$15,000
# Trades
37
# Profitable
17
% Profitable
45.9%
Net Dividends
Correlation S&P500
0.825
Sharpe Ratio
0.63
Sortino Ratio
0.95
Beta
2.75
Alpha
0.04

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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