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

SP Crusher ES TY
(117622973)

Created by: QuantAlgorithms QuantAlgorithms
Started: 04/2018
Futures
Last trade: 1,102 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.

25.9%
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.

(71.3%)
Max Drawdown
357
Num Trades
56.0%
Win Trades
1.2 : 1
Profit Factor
25.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                     (0.1%)+47.4%(26.2%)+11.6%+84.0%(7.4%)(33.4%)(24.4%)(13.4%)(9.9%)
2019+66.2%(29.2%)+83.1%+48.6%(36.8%)+81.3%+1.9%+28.1%+4.2%(9.5%)+15.8%+4.6%+446.5%
2020+5.5%(27.4%)+13.4%(1.9%)(1.8%)+1.5%+1.1%(0.9%)+0.2%(1.1%)+0.2%(0.3%)(15.8%)
2021(0.7%)(2.8%)(1.7%)  -    -    -    -    -    -    -    -    -  (5.1%)
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

This strategy has placed 599 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
11/27/20 12:14 @TYH1 US T-NOTE 10 YR LONG 1 138 10/64 3/22/21 12:09 132 49/64 6%
Trade id #132503100
Max drawdown($5,921)
Time3/18/21 0:00
Quant open1
Worst price132 15/64
Drawdown as % of equity-6.00%
($5,398)
Includes Typical Broker Commissions trade costs of $8.00
8/28/20 12:06 @TYZ0 US T-NOTE 10 YR LONG 1 139 12/64 11/27 12:14 138 33/64 1.87%
Trade id #130870997
Max drawdown($1,938)
Time11/11/20 0:00
Quant open1
Worst price137 16/64
Drawdown as % of equity-1.87%
($680)
Includes Typical Broker Commissions trade costs of $8.00
5/28/20 15:30 @TYU0 US T-NOTE 10 YR LONG 1 138 44/64 8/28 12:06 139 20/64 1.95%
Trade id #129245465
Max drawdown($2,000)
Time6/5/20 0:00
Quant open1
Worst price136 44/64
Drawdown as % of equity-1.95%
$616
Includes Typical Broker Commissions trade costs of $8.00
6/5/20 10:02 @ESM0 E-MINI S&P 500 LONG 1 3176.25 6/5 15:15 3191.50 0.04%
Trade id #129379076
Max drawdown($37)
Time6/5/20 10:29
Quant open1
Worst price3175.50
Drawdown as % of equity-0.04%
$755
Includes Typical Broker Commissions trade costs of $8.00
6/3/20 9:48 @ESM0 E-MINI S&P 500 LONG 1 3101.25 6/3 16:06 3117.75 0.13%
Trade id #129331271
Max drawdown($137)
Time6/3/20 9:57
Quant open1
Worst price3098.50
Drawdown as % of equity-0.13%
$817
Includes Typical Broker Commissions trade costs of $8.00
4/17/20 12:01 @TYM0 US T-NOTE 10 YR LONG 1 139 18/64 5/28 15:30 139 0.97%
Trade id #128626428
Max drawdown($1,015)
Time5/6/20 0:00
Quant open1
Worst price138 17/64
Drawdown as % of equity-0.97%
($289)
Includes Typical Broker Commissions trade costs of $8.00
5/26/20 9:49 @ESM0 E-MINI S&P 500 LONG 1 3013.00 5/26 10:07 3002.62 0.46%
Trade id #129191143
Max drawdown($475)
Time5/26/20 9:59
Quant open1
Worst price3003.50
Drawdown as % of equity-0.46%
($527)
Includes Typical Broker Commissions trade costs of $8.00
5/18/20 9:48 @ESM0 E-MINI S&P 500 LONG 1 2937.75 5/18 9:53 2927.42 0.31%
Trade id #129067045
Max drawdown($325)
Time5/18/20 9:53
Quant open1
Worst price2931.25
Drawdown as % of equity-0.31%
($525)
Includes Typical Broker Commissions trade costs of $8.00
5/8/20 10:09 @ESM0 E-MINI S&P 500 SHORT 1 2908.25 5/8 15:33 2920.75 0.54%
Trade id #128925521
Max drawdown($562)
Time5/8/20 15:33
Quant open1
Worst price2919.50
Drawdown as % of equity-0.54%
($633)
Includes Typical Broker Commissions trade costs of $8.00
5/5/20 9:48 @ESM0 E-MINI S&P 500 LONG 1 2870.00 5/5 15:35 2860.75 0.34%
Trade id #128872274
Max drawdown($362)
Time5/5/20 15:35
Quant open1
Worst price2862.75
Drawdown as % of equity-0.34%
($471)
Includes Typical Broker Commissions trade costs of $8.00
4/22/20 14:36 @ESM0 E-MINI S&P 500 LONG 2 2794.03 4/22 16:06 2789.91 0.53%
Trade id #128694461
Max drawdown($564)
Time4/22/20 16:01
Quant open1
Worst price2782.75
Drawdown as % of equity-0.53%
($429)
Includes Typical Broker Commissions trade costs of $16.00
4/22/20 14:28 @ESM0 E-MINI S&P 500 SHORT 1 2786.94 4/22 14:34 2794.00 0.32%
Trade id #128694349
Max drawdown($340)
Time4/22/20 14:34
Quant open1
Worst price2793.75
Drawdown as % of equity-0.32%
($361)
Includes Typical Broker Commissions trade costs of $8.00
4/22/20 9:35 @ESM0 E-MINI S&P 500 SHORT 1 2780.00 4/22 9:48 2769.50 0.23%
Trade id #128688617
Max drawdown($237)
Time4/22/20 9:41
Quant open1
Worst price2784.75
Drawdown as % of equity-0.23%
$517
Includes Typical Broker Commissions trade costs of $8.00
4/20/20 16:01 @ESM0 E-MINI S&P 500 SHORT 1 2815.75 4/20 16:01 2816.00 0.42%
Trade id #128659374
Max drawdown($447)
Time4/20/20 16:01
Quant open1
Worst price2828.25
Drawdown as % of equity-0.42%
($21)
Includes Typical Broker Commissions trade costs of $8.00
4/17/20 10:14 @ESM0 E-MINI S&P 500 SHORT 1 2839.25 4/17 10:35 2829.25 n/a $492
Includes Typical Broker Commissions trade costs of $8.00
4/17/20 9:34 @ESM0 E-MINI S&P 500 SHORT 1 2845.75 4/17 9:49 2847.25 0.15%
Trade id #128621181
Max drawdown($162)
Time4/17/20 9:49
Quant open1
Worst price2849.00
Drawdown as % of equity-0.15%
($83)
Includes Typical Broker Commissions trade costs of $8.00
4/9/20 13:20 @TYM0 US T-NOTE 10 YR LONG 1 138 15/64 4/15 8:29 138 50/64 0.37%
Trade id #128500662
Max drawdown($390)
Time4/14/20 0:00
Quant open1
Worst price137 54/64
Drawdown as % of equity-0.37%
$539
Includes Typical Broker Commissions trade costs of $8.00
4/14/20 9:49 @ESM0 E-MINI S&P 500 LONG 1 2821.75 4/14 11:05 2807.50 0.62%
Trade id #128554474
Max drawdown($662)
Time4/14/20 11:05
Quant open1
Worst price2808.50
Drawdown as % of equity-0.62%
($721)
Includes Typical Broker Commissions trade costs of $8.00
4/9/20 9:48 @ESM0 E-MINI S&P 500 LONG 1 2794.25 4/9 10:07 2785.50 0.3%
Trade id #128495268
Max drawdown($325)
Time4/9/20 10:07
Quant open1
Worst price2787.75
Drawdown as % of equity-0.30%
($446)
Includes Typical Broker Commissions trade costs of $8.00
4/9/20 9:34 @ESM0 E-MINI S&P 500 SHORT 1 2768.38 4/9 9:42 2787.25 0.97%
Trade id #128493735
Max drawdown($1,043)
Time4/9/20 9:42
Quant open1
Worst price2789.25
Drawdown as % of equity-0.97%
($952)
Includes Typical Broker Commissions trade costs of $8.00
4/8/20 15:56 @ESM0 E-MINI S&P 500 LONG 1 2741.12 4/9 8:18 2704.88 1.85%
Trade id #128481700
Max drawdown($2,006)
Time4/9/20 0:00
Quant open1
Worst price2701.00
Drawdown as % of equity-1.85%
($1,821)
Includes Typical Broker Commissions trade costs of $8.00
4/3/20 14:31 @TYM0 US T-NOTE 10 YR LONG 1 139 18/64 4/8 10:26 137 58/64 1.62%
Trade id #128409861
Max drawdown($1,781)
Time4/7/20 0:00
Quant open1
Worst price137 32/64
Drawdown as % of equity-1.62%
($1,383)
Includes Typical Broker Commissions trade costs of $8.00
4/7/20 9:49 @ESM0 E-MINI S&P 500 LONG 1 2729.50 4/7 10:04 2722.12 0.21%
Trade id #128451923
Max drawdown($225)
Time4/7/20 10:04
Quant open1
Worst price2725.00
Drawdown as % of equity-0.21%
($377)
Includes Typical Broker Commissions trade costs of $8.00
4/6/20 9:48 @ESM0 E-MINI S&P 500 LONG 1 2581.75 4/6 16:05 2647.75 n/a $3,292
Includes Typical Broker Commissions trade costs of $8.00
3/16/20 12:00 @TYM0 US T-NOTE 10 YR LONG 1 137 43/64 3/17 9:32 137 14/64 2.39%
Trade id #128067026
Max drawdown($2,578)
Time3/17/20 0:00
Quant open1
Worst price135 6/64
Drawdown as % of equity-2.39%
($461)
Includes Typical Broker Commissions trade costs of $8.00
3/11/20 12:08 @TYM0 US T-NOTE 10 YR LONG 5 137 46/64 3/12 8:01 138 45/64 4.84%
Trade id #127976584
Max drawdown($4,845)
Time3/11/20 18:37
Quant open5
Worst price136 48/64
Drawdown as % of equity-4.84%
$4,880
Includes Typical Broker Commissions trade costs of $40.00
3/9/20 10:08 @TYM0 US T-NOTE 10 YR LONG 5 139 34/64 3/10 15:02 137 36/64 11.67%
Trade id #127919430
Max drawdown($12,337)
Time3/10/20 0:00
Quant open5
Worst price137 4/64
Drawdown as % of equity-11.67%
($9,880)
Includes Typical Broker Commissions trade costs of $40.00
3/6/20 16:59 @TYM0 US T-NOTE 10 YR LONG 5 137 33/64 3/9 8:19 139 59/64 n/a $11,968
Includes Typical Broker Commissions trade costs of $40.00
3/6/20 9:49 @ESH0 E-MINI S&P 500 SHORT 5 2926.46 3/6 10:18 2939.67 3.78%
Trade id #127888689
Max drawdown($4,010)
Time3/6/20 10:17
Quant open5
Worst price2942.50
Drawdown as % of equity-3.78%
($3,342)
Includes Typical Broker Commissions trade costs of $40.00
3/3/20 16:00 @TYM0 US T-NOTE 10 YR LONG 5 135 59/64 3/6 8:02 137 53/64 2.8%
Trade id #127834866
Max drawdown($2,656)
Time3/5/20 0:00
Quant open5
Worst price135 25/64
Drawdown as % of equity-2.80%
$9,490
Includes Typical Broker Commissions trade costs of $40.00

Statistics

  • Strategy began
    4/23/2018
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    2165.76
  • Age
    72 months ago
  • What it trades
    Futures
  • # Trades
    357
  • # Profitable
    200
  • % Profitable
    56.00%
  • Avg trade duration
    3.7 days
  • Max peak-to-valley drawdown
    71.26%
  • drawdown period
    Sept 03, 2018 - Dec 17, 2018
  • Annual Return (Compounded)
    25.9%
  • Avg win
    $3,028
  • Avg loss
    $3,280
  • Model Account Values (Raw)
  • Cash
    $115,585
  • Margin Used
    $0
  • Buying Power
    $115,585
  • Ratios
  • W:L ratio
    1.18:1
  • Sharpe Ratio
    0.53
  • Sortino Ratio
    0.93
  • Calmar Ratio
    0.844
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    197.37%
  • Correlation to SP500
    0.08170
  • Return Percent SP500 (cumu) during strategy life
    96.55%
  • Return Statistics
  • Ann Return (w trading costs)
    25.9%
  • Slump
  • Current Slump as Pcnt Equity
    37.00%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.70%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.260%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    29.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    87.50%
  • Chance of 20% account loss
    67.50%
  • Chance of 30% account loss
    57.00%
  • Chance of 40% account loss
    38.50%
  • Chance of 60% account loss (Monte Carlo)
    13.50%
  • Chance of 70% account loss (Monte Carlo)
    8.00%
  • Chance of 80% account loss (Monte Carlo)
    1.50%
  • 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
    25.00%
  • 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
    $3,281
  • Avg Win
    $3,028
  • Sum Trade PL (losers)
    $515,048.000
  • Age
  • Num Months filled monthly returns table
    72
  • Win / Loss
  • Sum Trade PL (winners)
    $605,633.000
  • # Winners
    200
  • Num Months Winners
    18
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    157
  • % Winners
    56.0%
  • Frequency
  • Avg Position Time (mins)
    5312.55
  • Avg Position Time (hrs)
    88.54
  • Avg Trade Length
    3.7 days
  • Last Trade Ago
    1102
  • Leverage
  • Daily leverage (average)
    17.84
  • Daily leverage (max)
    95.28
  • Regression
  • Alpha
    0.09
  • Beta
    0.23
  • Treynor Index
    0.45
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    31.16
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    18.75
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.04
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    18.402
  • 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
    0.579
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.291
  • Hold-and-Hope Ratio
    0.054
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56345
  • SD
    0.59739
  • Sharpe ratio (Glass type estimate)
    0.94318
  • Sharpe ratio (Hedges UMVUE)
    0.92622
  • df
    42.00000
  • t
    1.78541
  • p
    0.04071
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.11692
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99255
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12795
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98039
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.16832
  • Upside Potential Ratio
    3.38855
  • Upside part of mean
    0.88053
  • Downside part of mean
    -0.31708
  • Upside SD
    0.55453
  • Downside SD
    0.25985
  • N nonnegative terms
    17.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.15757
  • Mean of criterion
    0.56345
  • SD of predictor
    0.21149
  • SD of criterion
    0.59739
  • Covariance
    0.00529
  • r
    0.04185
  • b (slope, estimate of beta)
    0.11822
  • a (intercept, estimate of alpha)
    0.54482
  • Mean Square Error
    0.36494
  • DF error
    41.00000
  • t(b)
    0.26824
  • p(b)
    0.39493
  • t(a)
    1.66816
  • p(a)
    0.05145
  • Lowerbound of 95% confidence interval for beta
    -0.77187
  • Upperbound of 95% confidence interval for beta
    1.00832
  • Lowerbound of 95% confidence interval for alpha
    -0.11476
  • Upperbound of 95% confidence interval for alpha
    1.20440
  • Treynor index (mean / b)
    4.76594
  • Jensen alpha (a)
    0.54482
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39938
  • SD
    0.55043
  • Sharpe ratio (Glass type estimate)
    0.72559
  • Sharpe ratio (Hedges UMVUE)
    0.71254
  • df
    42.00000
  • t
    1.37351
  • p
    0.08844
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32550
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76828
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33400
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75908
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.29919
  • Upside Potential Ratio
    2.46523
  • Upside part of mean
    0.75784
  • Downside part of mean
    -0.35845
  • Upside SD
    0.46338
  • Downside SD
    0.30741
  • N nonnegative terms
    17.00000
  • N negative terms
    26.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    43.00000
  • Mean of predictor
    0.13467
  • Mean of criterion
    0.39938
  • SD of predictor
    0.21078
  • SD of criterion
    0.55043
  • Covariance
    0.00863
  • r
    0.07441
  • b (slope, estimate of beta)
    0.19431
  • a (intercept, estimate of alpha)
    0.37322
  • Mean Square Error
    0.30865
  • DF error
    41.00000
  • t(b)
    0.47778
  • p(b)
    0.31767
  • t(a)
    1.25009
  • p(a)
    0.10918
  • Lowerbound of 95% confidence interval for beta
    -0.62704
  • Upperbound of 95% confidence interval for beta
    1.01566
  • Lowerbound of 95% confidence interval for alpha
    -0.22972
  • Upperbound of 95% confidence interval for alpha
    0.97616
  • Treynor index (mean / b)
    2.05537
  • Jensen alpha (a)
    0.37322
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20394
  • Expected Shortfall on VaR
    0.25381
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06729
  • Expected Shortfall on VaR
    0.14431
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    43.00000
  • Minimum
    0.63659
  • Quartile 1
    0.99641
  • Median
    1.00000
  • Quartile 3
    1.05955
  • Maximum
    1.63271
  • Mean of quarter 1
    0.90241
  • Mean of quarter 2
    0.99980
  • Mean of quarter 3
    1.01363
  • Mean of quarter 4
    1.27805
  • Inter Quartile Range
    0.06314
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.06977
  • Mean of outliers low
    0.74016
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.18605
  • Mean of outliers high
    1.34561
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.78136
  • VaR(95%) (moments method)
    0.04427
  • Expected Shortfall (moments method)
    0.24232
  • Extreme Value Index (regression method)
    0.67419
  • VaR(95%) (regression method)
    0.11451
  • Expected Shortfall (regression method)
    0.45511
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00014
  • Quartile 1
    0.05023
  • Median
    0.08070
  • Quartile 3
    0.19075
  • Maximum
    0.48672
  • Mean of quarter 1
    0.02262
  • Mean of quarter 2
    0.06563
  • Mean of quarter 3
    0.09576
  • Mean of quarter 4
    0.35457
  • Inter Quartile Range
    0.14052
  • 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
    0.16667
  • Mean of outliers high
    0.48672
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.01118
  • Compounded annual return (geometric extrapolation)
    0.53310
  • Calmar ratio (compounded annual return / max draw down)
    1.09529
  • Compounded annual return / average of 25% largest draw downs
    1.50352
  • Compounded annual return / Expected Shortfall lognormal
    2.10036
  • 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
    0.58747
  • SD
    0.63133
  • Sharpe ratio (Glass type estimate)
    0.93053
  • Sharpe ratio (Hedges UMVUE)
    0.92979
  • df
    948.00000
  • t
    1.77098
  • p
    0.03844
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10039
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.96098
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10089
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96047
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.53367
  • Upside Potential Ratio
    6.99559
  • Upside part of mean
    2.67966
  • Downside part of mean
    -2.09219
  • Upside SD
    0.50274
  • Downside SD
    0.38305
  • N nonnegative terms
    349.00000
  • N negative terms
    600.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    949.00000
  • Mean of predictor
    0.18855
  • Mean of criterion
    0.58747
  • SD of predictor
    0.25870
  • SD of criterion
    0.63133
  • Covariance
    0.01427
  • r
    0.08737
  • b (slope, estimate of beta)
    0.21321
  • a (intercept, estimate of alpha)
    0.54700
  • Mean Square Error
    0.39595
  • DF error
    947.00000
  • t(b)
    2.69891
  • p(b)
    0.00354
  • t(a)
    1.65357
  • p(a)
    0.04927
  • Lowerbound of 95% confidence interval for beta
    0.05818
  • Upperbound of 95% confidence interval for beta
    0.36825
  • Lowerbound of 95% confidence interval for alpha
    -0.10224
  • Upperbound of 95% confidence interval for alpha
    1.19677
  • Treynor index (mean / b)
    2.75533
  • Jensen alpha (a)
    0.54727
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39481
  • SD
    0.61615
  • Sharpe ratio (Glass type estimate)
    0.64077
  • Sharpe ratio (Hedges UMVUE)
    0.64026
  • df
    948.00000
  • t
    1.21950
  • p
    0.11148
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38964
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67083
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38997
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67049
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.97482
  • Upside Potential Ratio
    6.33513
  • Upside part of mean
    2.56576
  • Downside part of mean
    -2.17095
  • Upside SD
    0.46455
  • Downside SD
    0.40501
  • N nonnegative terms
    349.00000
  • N negative terms
    600.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    949.00000
  • Mean of predictor
    0.15495
  • Mean of criterion
    0.39481
  • SD of predictor
    0.25937
  • SD of criterion
    0.61615
  • Covariance
    0.01404
  • r
    0.08784
  • b (slope, estimate of beta)
    0.20867
  • a (intercept, estimate of alpha)
    0.36247
  • Mean Square Error
    0.37711
  • DF error
    947.00000
  • t(b)
    2.71362
  • p(b)
    0.00339
  • t(a)
    1.12262
  • p(a)
    0.13094
  • Lowerbound of 95% confidence interval for beta
    0.05776
  • Upperbound of 95% confidence interval for beta
    0.35957
  • Lowerbound of 95% confidence interval for alpha
    -0.27118
  • Upperbound of 95% confidence interval for alpha
    0.99613
  • Treynor index (mean / b)
    1.89206
  • Jensen alpha (a)
    0.36247
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05928
  • Expected Shortfall on VaR
    0.07403
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02090
  • Expected Shortfall on VaR
    0.04502
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    949.00000
  • Minimum
    0.79538
  • Quartile 1
    0.99889
  • Median
    1.00000
  • Quartile 3
    1.00440
  • Maximum
    1.36932
  • Mean of quarter 1
    0.96852
  • Mean of quarter 2
    0.99991
  • Mean of quarter 3
    1.00065
  • Mean of quarter 4
    1.04046
  • Inter Quartile Range
    0.00550
  • Number outliers low
    157.00000
  • Percentage of outliers low
    0.16544
  • Mean of outliers low
    0.95449
  • Number of outliers high
    177.00000
  • Percentage of outliers high
    0.18651
  • Mean of outliers high
    1.05130
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.93349
  • VaR(95%) (moments method)
    0.01223
  • Expected Shortfall (moments method)
    0.21306
  • Extreme Value Index (regression method)
    0.24017
  • VaR(95%) (regression method)
    0.02470
  • Expected Shortfall (regression method)
    0.04795
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    22.00000
  • Minimum
    0.00336
  • Quartile 1
    0.01899
  • Median
    0.04593
  • Quartile 3
    0.13453
  • Maximum
    0.62368
  • Mean of quarter 1
    0.01181
  • Mean of quarter 2
    0.03343
  • Mean of quarter 3
    0.08331
  • Mean of quarter 4
    0.33049
  • Inter Quartile Range
    0.11554
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.13636
  • Mean of outliers high
    0.45098
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.23198
  • VaR(95%) (moments method)
    0.31288
  • Expected Shortfall (moments method)
    0.31722
  • Extreme Value Index (regression method)
    -0.57331
  • VaR(95%) (regression method)
    0.42225
  • Expected Shortfall (regression method)
    0.48866
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.00035
  • Compounded annual return (geometric extrapolation)
    0.52610
  • Calmar ratio (compounded annual return / max draw down)
    0.84353
  • Compounded annual return / average of 25% largest draw downs
    1.59187
  • Compounded annual return / Expected Shortfall lognormal
    7.10662
  • 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
    0.25343
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40489
  • 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
    0.17229
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40387
  • 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)
    -6864210000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.05900
  • 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)
    145340000000000007579404486049792.00000
  • 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?
    -355655000
  • Max Equity Drawdown (num days)
    105
  • 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

Summary Statistics

Strategy began
2018-04-23
Suggested Minimum Capital
$100,000
# Trades
357
# Profitable
200
% Profitable
56.0%
Correlation S&P500
0.082
Sharpe Ratio
0.53
Sortino Ratio
0.93
Beta
0.23
Alpha
0.09
Leverage
17.84 Average
95.28 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

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.