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NQ Positional
(128871252)

Created by: Systematic_Trader Systematic_Trader
Started: 05/2020
Futures
Last trade: Yesterday
Trading style: Futures Trend-following

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 $149.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
44.9%
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.

(26.7%)
Max Drawdown
274
Num Trades
42.7%
Win Trades
1.4 : 1
Profit Factor
58.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                            +2.5%+9.2%+30.9%+19.1%+2.3%+5.8%+6.9%+3.6%+109.0%
2021+0.2%(0.5%)(0.6%)+9.6%(6%)+20.3%+7.9%+2.2%(11.3%)+16.3%+11.5%+19.8%+86.4%
2022(0.1%)(5.8%)+2.8%(5%)+9.4%(9.7%)+14.8%(3.9%)(5.5%)(1.3%)+0.6%(9.6%)(14.9%)
2023+10.1%(8.4%)+9.5%(6.5%)+6.3%+3.5%(3.6%)+9.8%(8.3%)(5.9%)+24.9%+2.7%+33.3%
2024+5.4%+2.9%(3.6%)(9.2%)+16.8%+18.4%+4.4%(4%)(3.6%)(5.7%)(4.4%)+10.6%+26.4%

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

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/20/24 11:30 @NQH5 E-MINI NASDAQ 100 STK IDX LONG 1 21669.00 12/20 16:00 21582.40 1.19%
Trade id #150376275
Max drawdown($3,025)
Time12/20/24 15:57
Quant open1
Worst price21517.80
Drawdown as % of equity-1.19%
 ($1,740)
Includes Typical Broker Commissions trade costs of $8.00
11/29/24 10:30 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 6 21437.41 12/18 14:30 21661.37 0.54%
Trade id #150208919
Max drawdown($1,228)
Time12/2/24 0:00
Quant open2
Worst price20940.00
Drawdown as % of equity-0.54%
 $26,827
Includes Typical Broker Commissions trade costs of $48.00
11/21/24 12:30 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 3 20867.57 11/27 11:30 20771.94 2.22%
Trade id #150145217
Max drawdown($5,167)
Time11/22/24 0:00
Quant open2
Worst price20693.20
Drawdown as % of equity-2.22%
 ($5,761)
Includes Typical Broker Commissions trade costs of $24.00
11/20/24 15:30 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 20667.23 11/21 10:30 20529.30 1.3%
Trade id #150136148
Max drawdown($3,059)
Time11/21/24 10:30
Quant open1
Worst price20514.20
Drawdown as % of equity-1.30%
 ($2,767)
Includes Typical Broker Commissions trade costs of $8.00
11/19/24 13:30 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 2 20727.72 11/20 10:30 20516.97 4.08%
Trade id #150125104
Max drawdown($10,028)
Time11/20/24 10:20
Quant open2
Worst price20477.00
Drawdown as % of equity-4.08%
 ($8,446)
Includes Typical Broker Commissions trade costs of $16.00
11/6/24 12:00 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 4 21040.85 11/15 10:30 20992.15 3.68%
Trade id #150011528
Max drawdown($9,162)
Time11/15/24 10:22
Quant open1
Worst price20582.80
Drawdown as % of equity-3.68%
 ($3,928)
Includes Typical Broker Commissions trade costs of $32.00
11/5/24 10:00 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 20303.83 11/6 10:30 20796.17 0.6%
Trade id #149986010
Max drawdown($1,426)
Time11/5/24 11:01
Quant open1
Worst price20232.50
Drawdown as % of equity-0.60%
 $9,839
Includes Typical Broker Commissions trade costs of $8.00
10/29/24 13:30 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 20664.40 10/30 16:00 20534.87 1.59%
Trade id #149883273
Max drawdown($3,808)
Time10/30/24 16:00
Quant open1
Worst price20474.00
Drawdown as % of equity-1.59%
 ($2,599)
Includes Typical Broker Commissions trade costs of $8.00
10/29/24 11:00 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 20594.00 10/29 13:00 20653.30 0.19%
Trade id #149877825
Max drawdown($460)
Time10/29/24 11:09
Quant open1
Worst price20571.00
Drawdown as % of equity-0.19%
 $1,178
Includes Typical Broker Commissions trade costs of $8.00
10/25/24 10:00 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 20662.97 10/25 16:00 20489.67 1.68%
Trade id #149830848
Max drawdown($4,059)
Time10/25/24 14:10
Quant open1
Worst price20460.00
Drawdown as % of equity-1.68%
 ($3,474)
Includes Typical Broker Commissions trade costs of $8.00
10/22/24 14:00 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 20571.33 10/23 10:30 20424.33 1.85%
Trade id #149798215
Max drawdown($4,506)
Time10/23/24 10:07
Quant open1
Worst price20346.00
Drawdown as % of equity-1.85%
 ($2,948)
Includes Typical Broker Commissions trade costs of $8.00
10/17/24 10:00 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 20446.27 10/17 16:00 20360.83 0.75%
Trade id #149684584
Max drawdown($1,850)
Time10/17/24 15:39
Quant open1
Worst price20353.80
Drawdown as % of equity-0.75%
 ($1,717)
Includes Typical Broker Commissions trade costs of $8.00
10/14/24 10:00 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 20668.33 10/15 10:30 20506.13 1.55%
Trade id #149652287
Max drawdown($3,856)
Time10/15/24 10:30
Quant open1
Worst price20475.50
Drawdown as % of equity-1.55%
 ($3,252)
Includes Typical Broker Commissions trade costs of $8.00
10/9/24 12:00 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 20437.23 10/10 12:00 20474.87 1.09%
Trade id #149618537
Max drawdown($2,714)
Time10/10/24 9:50
Quant open1
Worst price20301.50
Drawdown as % of equity-1.09%
 $745
Includes Typical Broker Commissions trade costs of $8.00
10/4/24 10:00 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 20075.43 10/7 15:00 19971.67 0.92%
Trade id #149578580
Max drawdown($2,323)
Time10/7/24 15:00
Quant open1
Worst price19959.20
Drawdown as % of equity-0.92%
 ($2,083)
Includes Typical Broker Commissions trade costs of $8.00
9/19/24 4:48 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 3 20047.62 9/30 14:30 20094.11 1.78%
Trade id #149449002
Max drawdown($4,489)
Time9/20/24 0:00
Quant open2
Worst price19860.00
Drawdown as % of equity-1.78%
 $2,765
Includes Typical Broker Commissions trade costs of $24.00
9/18/24 14:30 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 2 19588.63 9/19 4:48 19522.45 4.11%
Trade id #149442650
Max drawdown($10,305)
Time9/18/24 15:50
Quant open2
Worst price19331.00
Drawdown as % of equity-4.11%
 ($2,663)
Includes Typical Broker Commissions trade costs of $16.00
9/11/24 12:30 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 3 19096.12 9/18 11:30 19387.09 0.81%
Trade id #149360155
Max drawdown($1,902)
Time9/11/24 12:49
Quant open2
Worst price18871.20
Drawdown as % of equity-0.81%
 $17,434
Includes Typical Broker Commissions trade costs of $24.00
9/10/24 14:30 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 2 18825.48 9/11 11:30 18648.78 3.52%
Trade id #149348893
Max drawdown($8,489)
Time9/11/24 10:30
Quant open2
Worst price18613.20
Drawdown as % of equity-3.52%
 ($7,084)
Includes Typical Broker Commissions trade costs of $16.00
9/9/24 13:00 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 18716.40 9/10 12:00 18614.72 1.23%
Trade id #149326017
Max drawdown($2,993)
Time9/9/24 14:39
Quant open1
Worst price18566.80
Drawdown as % of equity-1.23%
 ($2,042)
Includes Typical Broker Commissions trade costs of $8.00
9/5/24 10:30 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 19126.30 9/5 11:30 18870.20 2.13%
Trade id #149260398
Max drawdown($5,246)
Time9/5/24 11:29
Quant open1
Worst price18864.00
Drawdown as % of equity-2.13%
 ($5,130)
Includes Typical Broker Commissions trade costs of $8.00
8/30/24 15:30 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 2 19611.98 9/3 10:30 19312.12 4.82%
Trade id #149147273
Max drawdown($12,129)
Time9/3/24 10:00
Quant open2
Worst price19308.80
Drawdown as % of equity-4.82%
 ($12,010)
Includes Typical Broker Commissions trade costs of $16.00
8/23/24 15:30 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 2 19738.18 8/28 11:30 19409.53 4.53%
Trade id #149028006
Max drawdown($12,117)
Time8/28/24 11:00
Quant open2
Worst price19435.20
Drawdown as % of equity-4.53%
 ($13,162)
Includes Typical Broker Commissions trade costs of $16.00
8/15/24 10:00 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 5 19688.39 8/22 14:30 19753.91 0.47%
Trade id #148925338
Max drawdown($1,297)
Time8/16/24 0:00
Quant open2
Worst price19447.50
Drawdown as % of equity-0.47%
 $6,512
Includes Typical Broker Commissions trade costs of $40.00
8/13/24 10:30 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 18880.97 8/14 12:00 19190.30 0.19%
Trade id #148903297
Max drawdown($499)
Time8/13/24 10:33
Quant open1
Worst price18856.00
Drawdown as % of equity-0.19%
 $6,179
Includes Typical Broker Commissions trade costs of $8.00
8/9/24 13:30 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 18661.60 8/12 10:04 18571.50 1.06%
Trade id #148879690
Max drawdown($2,762)
Time8/12/24 9:58
Quant open1
Worst price18523.50
Drawdown as % of equity-1.06%
 ($1,810)
Includes Typical Broker Commissions trade costs of $8.00
8/6/24 13:00 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 18426.70 8/6 16:00 18175.65 1.97%
Trade id #148844140
Max drawdown($5,299)
Time8/6/24 16:00
Quant open1
Worst price18161.80
Drawdown as % of equity-1.97%
 ($5,029)
Includes Typical Broker Commissions trade costs of $8.00
7/31/24 10:00 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 19387.65 8/1 10:30 19459.47 0.32%
Trade id #148783656
Max drawdown($858)
Time7/31/24 13:42
Quant open1
Worst price19344.80
Drawdown as % of equity-0.32%
 $1,428
Includes Typical Broker Commissions trade costs of $8.00
7/29/24 10:00 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 19369.75 7/29 11:00 19206.00 1.27%
Trade id #148762933
Max drawdown($3,435)
Time7/29/24 11:00
Quant open1
Worst price19198.00
Drawdown as % of equity-1.27%
 ($3,283)
Includes Typical Broker Commissions trade costs of $8.00
7/22/24 10:00 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 19947.15 7/24 10:00 19502.65 3.29%
Trade id #148708729
Max drawdown($9,043)
Time7/24/24 10:00
Quant open1
Worst price19495.00
Drawdown as % of equity-3.29%
 ($8,898)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    5/5/2020
  • Suggested Minimum Cap
    $260,000
  • Strategy Age (days)
    1690.86
  • Age
    56 months ago
  • What it trades
    Futures
  • # Trades
    274
  • # Profitable
    117
  • % Profitable
    42.70%
  • Avg trade duration
    3.3 days
  • Max peak-to-valley drawdown
    26.73%
  • drawdown period
    Aug 04, 2022 - May 10, 2023
  • Annual Return (Compounded)
    44.9%
  • Avg win
    $6,206
  • Avg loss
    $3,228
  • Model Account Values (Raw)
  • Cash
    $264,194
  • Margin Used
    $0
  • Buying Power
    $264,194
  • Ratios
  • W:L ratio
    1.43:1
  • Sharpe Ratio
    1.25
  • Sortino Ratio
    1.99
  • Calmar Ratio
    2.033
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    352.03%
  • Correlation to SP500
    0.37150
  • Return Percent SP500 (cumu) during strategy life
    106.76%
  • Return Statistics
  • Ann Return (w trading costs)
    44.9%
  • Slump
  • Current Slump as Pcnt Equity
    16.20%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.10%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.449%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    46.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    43.50%
  • Chance of 20% account loss
    12.50%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    1.00%
  • 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
    98.17%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    814
  • Popularity (Last 6 weeks)
    975
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    977
  • Popularity (7 days, Percentile 1000 scale)
    918
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $3,229
  • Avg Win
    $6,206
  • Sum Trade PL (losers)
    $506,940.000
  • Age
  • Num Months filled monthly returns table
    56
  • Win / Loss
  • Sum Trade PL (winners)
    $726,132.000
  • # Winners
    117
  • Num Months Winners
    33
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    781613
  • Win / Loss
  • # Losers
    157
  • % Winners
    42.7%
  • Frequency
  • Avg Position Time (mins)
    4785.12
  • Avg Position Time (hrs)
    79.75
  • Avg Trade Length
    3.3 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    2.55
  • Daily leverage (max)
    5.93
  • Regression
  • Alpha
    0.08
  • Beta
    0.57
  • Treynor Index
    0.19
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.70
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    3.736
  • 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
    0.203
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.139
  • Hold-and-Hope Ratio
    0.268
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42013
  • SD
    0.31742
  • Sharpe ratio (Glass type estimate)
    1.32360
  • Sharpe ratio (Hedges UMVUE)
    1.30513
  • df
    54.00000
  • t
    2.83366
  • p
    0.00323
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36913
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26669
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35712
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25314
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.39042
  • Upside Potential Ratio
    5.22997
  • Upside part of mean
    0.64808
  • Downside part of mean
    -0.22795
  • Upside SD
    0.31349
  • Downside SD
    0.12392
  • N nonnegative terms
    31.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    55.00000
  • Mean of predictor
    0.14701
  • Mean of criterion
    0.42013
  • SD of predictor
    0.14908
  • SD of criterion
    0.31742
  • Covariance
    0.02134
  • r
    0.45108
  • b (slope, estimate of beta)
    0.96044
  • a (intercept, estimate of alpha)
    0.27894
  • Mean Square Error
    0.08177
  • DF error
    53.00000
  • t(b)
    3.67952
  • p(b)
    0.00027
  • t(a)
    2.00721
  • p(a)
    0.02492
  • Lowerbound of 95% confidence interval for beta
    0.43689
  • Upperbound of 95% confidence interval for beta
    1.48399
  • Lowerbound of 95% confidence interval for alpha
    0.00020
  • Upperbound of 95% confidence interval for alpha
    0.55768
  • Treynor index (mean / b)
    0.43743
  • Jensen alpha (a)
    0.27894
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36757
  • SD
    0.29852
  • Sharpe ratio (Glass type estimate)
    1.23129
  • Sharpe ratio (Hedges UMVUE)
    1.21411
  • df
    54.00000
  • t
    2.63604
  • p
    0.00546
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28160
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17030
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27041
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15781
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.84256
  • Upside Potential Ratio
    4.66403
  • Upside part of mean
    0.60310
  • Downside part of mean
    -0.23553
  • Upside SD
    0.28641
  • Downside SD
    0.12931
  • N nonnegative terms
    31.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    55.00000
  • Mean of predictor
    0.13494
  • Mean of criterion
    0.36757
  • SD of predictor
    0.14943
  • SD of criterion
    0.29852
  • Covariance
    0.02026
  • r
    0.45409
  • b (slope, estimate of beta)
    0.90714
  • a (intercept, estimate of alpha)
    0.24516
  • Mean Square Error
    0.07208
  • DF error
    53.00000
  • t(b)
    3.71039
  • p(b)
    0.00025
  • t(a)
    1.89065
  • p(a)
    0.03207
  • Lowerbound of 95% confidence interval for beta
    0.41676
  • Upperbound of 95% confidence interval for beta
    1.39751
  • Lowerbound of 95% confidence interval for alpha
    -0.01492
  • Upperbound of 95% confidence interval for alpha
    0.50524
  • Treynor index (mean / b)
    0.40520
  • Jensen alpha (a)
    0.24516
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10516
  • Expected Shortfall on VaR
    0.13638
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04054
  • Expected Shortfall on VaR
    0.07721
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    55.00000
  • Minimum
    0.86631
  • Quartile 1
    0.97249
  • Median
    1.01250
  • Quartile 3
    1.07887
  • Maximum
    1.31601
  • Mean of quarter 1
    0.93911
  • Mean of quarter 2
    0.99243
  • Mean of quarter 3
    1.05944
  • Mean of quarter 4
    1.15995
  • Inter Quartile Range
    0.10638
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.03636
  • Mean of outliers high
    1.27952
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.36477
  • VaR(95%) (moments method)
    0.06160
  • Expected Shortfall (moments method)
    0.07317
  • Extreme Value Index (regression method)
    -0.06683
  • VaR(95%) (regression method)
    0.07735
  • Expected Shortfall (regression method)
    0.10423
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00242
  • Quartile 1
    0.06291
  • Median
    0.10632
  • Quartile 3
    0.11866
  • Maximum
    0.19958
  • Mean of quarter 1
    0.02998
  • Mean of quarter 2
    0.08510
  • Mean of quarter 3
    0.11039
  • Mean of quarter 4
    0.16664
  • Inter Quartile Range
    0.05575
  • 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)
    1.11848
  • Compounded annual return (geometric extrapolation)
    0.48509
  • Calmar ratio (compounded annual return / max draw down)
    2.43055
  • Compounded annual return / average of 25% largest draw downs
    2.91107
  • Compounded annual return / Expected Shortfall lognormal
    3.55694
  • 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
    0.39488
  • SD
    0.25479
  • Sharpe ratio (Glass type estimate)
    1.54984
  • Sharpe ratio (Hedges UMVUE)
    1.54887
  • df
    1203.00000
  • t
    3.32238
  • p
    0.43939
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.63314
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.46591
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.63249
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.46526
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.57006
  • Upside Potential Ratio
    10.32780
  • Upside part of mean
    1.58685
  • Downside part of mean
    -1.19197
  • Upside SD
    0.20458
  • Downside SD
    0.15365
  • N nonnegative terms
    520.00000
  • N negative terms
    684.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1204.00000
  • Mean of predictor
    0.14463
  • Mean of criterion
    0.39488
  • SD of predictor
    0.16972
  • SD of criterion
    0.25479
  • Covariance
    0.01615
  • r
    0.37358
  • b (slope, estimate of beta)
    0.56083
  • a (intercept, estimate of alpha)
    0.31400
  • Mean Square Error
    0.05590
  • DF error
    1202.00000
  • t(b)
    13.96290
  • p(b)
    0.31321
  • t(a)
    2.84084
  • p(a)
    0.45917
  • Lowerbound of 95% confidence interval for beta
    0.48203
  • Upperbound of 95% confidence interval for beta
    0.63964
  • Lowerbound of 95% confidence interval for alpha
    0.09707
  • Upperbound of 95% confidence interval for alpha
    0.53046
  • Treynor index (mean / b)
    0.70410
  • Jensen alpha (a)
    0.31377
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36239
  • SD
    0.25336
  • Sharpe ratio (Glass type estimate)
    1.43037
  • Sharpe ratio (Hedges UMVUE)
    1.42948
  • df
    1203.00000
  • t
    3.06628
  • p
    0.44401
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.51400
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34616
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51340
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.34555
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.32562
  • Upside Potential Ratio
    10.05130
  • Upside part of mean
    1.56626
  • Downside part of mean
    -1.20387
  • Upside SD
    0.20089
  • Downside SD
    0.15583
  • N nonnegative terms
    520.00000
  • N negative terms
    684.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1204.00000
  • Mean of predictor
    0.13016
  • Mean of criterion
    0.36239
  • SD of predictor
    0.17000
  • SD of criterion
    0.25336
  • Covariance
    0.01602
  • r
    0.37194
  • b (slope, estimate of beta)
    0.55431
  • a (intercept, estimate of alpha)
    0.29024
  • Mean Square Error
    0.05536
  • DF error
    1202.00000
  • t(b)
    13.89170
  • p(b)
    0.31403
  • t(a)
    2.64154
  • p(a)
    0.46201
  • Lowerbound of 95% confidence interval for beta
    0.47602
  • Upperbound of 95% confidence interval for beta
    0.63259
  • Lowerbound of 95% confidence interval for alpha
    0.07467
  • Upperbound of 95% confidence interval for alpha
    0.50581
  • Treynor index (mean / b)
    0.65378
  • Jensen alpha (a)
    0.29024
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02407
  • Expected Shortfall on VaR
    0.03041
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01133
  • Expected Shortfall on VaR
    0.02200
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1204.00000
  • Minimum
    0.94405
  • Quartile 1
    0.99365
  • Median
    1.00000
  • Quartile 3
    1.00811
  • Maximum
    1.08574
  • Mean of quarter 1
    0.98389
  • Mean of quarter 2
    0.99815
  • Mean of quarter 3
    1.00281
  • Mean of quarter 4
    1.02160
  • Inter Quartile Range
    0.01447
  • Number outliers low
    32.00000
  • Percentage of outliers low
    0.02658
  • Mean of outliers low
    0.96277
  • Number of outliers high
    69.00000
  • Percentage of outliers high
    0.05731
  • Mean of outliers high
    1.04100
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08233
  • VaR(95%) (moments method)
    0.01502
  • Expected Shortfall (moments method)
    0.02129
  • Extreme Value Index (regression method)
    -0.06369
  • VaR(95%) (regression method)
    0.01508
  • Expected Shortfall (regression method)
    0.01992
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    52.00000
  • Minimum
    0.00030
  • Quartile 1
    0.00632
  • Median
    0.02375
  • Quartile 3
    0.04950
  • Maximum
    0.23479
  • Mean of quarter 1
    0.00292
  • Mean of quarter 2
    0.01531
  • Mean of quarter 3
    0.03604
  • Mean of quarter 4
    0.12835
  • Inter Quartile Range
    0.04318
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.13462
  • Mean of outliers high
    0.17224
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.04971
  • VaR(95%) (moments method)
    0.12126
  • Expected Shortfall (moments method)
    0.13040
  • Extreme Value Index (regression method)
    -0.71428
  • VaR(95%) (regression method)
    0.12777
  • Expected Shortfall (regression method)
    0.14304
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.09044
  • Compounded annual return (geometric extrapolation)
    0.47742
  • Calmar ratio (compounded annual return / max draw down)
    2.03343
  • Compounded annual return / average of 25% largest draw downs
    3.71981
  • Compounded annual return / Expected Shortfall lognormal
    15.69740
  • 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
    -0.07926
  • SD
    0.20923
  • Sharpe ratio (Glass type estimate)
    -0.37882
  • Sharpe ratio (Hedges UMVUE)
    -0.37663
  • df
    130.00000
  • t
    -0.26787
  • p
    0.51174
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.15029
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.39409
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.14882
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.39555
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.56175
  • Upside Potential Ratio
    8.20916
  • Upside part of mean
    1.15826
  • Downside part of mean
    -1.23752
  • Upside SD
    0.15349
  • Downside SD
    0.14109
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14272
  • Mean of criterion
    -0.07926
  • SD of predictor
    0.14146
  • SD of criterion
    0.20923
  • Covariance
    0.01040
  • r
    0.35124
  • b (slope, estimate of beta)
    0.51950
  • a (intercept, estimate of alpha)
    -0.15340
  • Mean Square Error
    0.03867
  • DF error
    129.00000
  • t(b)
    4.26075
  • p(b)
    0.28108
  • t(a)
    -0.55052
  • p(a)
    0.53081
  • Lowerbound of 95% confidence interval for beta
    0.27826
  • Upperbound of 95% confidence interval for beta
    0.76073
  • Lowerbound of 95% confidence interval for alpha
    -0.70473
  • Upperbound of 95% confidence interval for alpha
    0.39792
  • Treynor index (mean / b)
    -0.15257
  • Jensen alpha (a)
    -0.15340
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10093
  • SD
    0.20879
  • Sharpe ratio (Glass type estimate)
    -0.48339
  • Sharpe ratio (Hedges UMVUE)
    -0.48059
  • df
    130.00000
  • t
    -0.34181
  • p
    0.51498
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.25497
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.28989
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.25302
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29183
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.70708
  • Upside Potential Ratio
    8.03297
  • Upside part of mean
    1.14657
  • Downside part of mean
    -1.24750
  • Upside SD
    0.15141
  • Downside SD
    0.14273
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13271
  • Mean of criterion
    -0.10093
  • SD of predictor
    0.14181
  • SD of criterion
    0.20879
  • Covariance
    0.01032
  • r
    0.34851
  • b (slope, estimate of beta)
    0.51311
  • a (intercept, estimate of alpha)
    -0.16902
  • Mean Square Error
    0.03859
  • DF error
    129.00000
  • t(b)
    4.22313
  • p(b)
    0.28271
  • t(a)
    -0.60735
  • p(a)
    0.53398
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    0.27272
  • Upperbound of 95% confidence interval for beta
    0.75351
  • Lowerbound of 95% confidence interval for alpha
    -0.71963
  • Upperbound of 95% confidence interval for alpha
    0.38159
  • Treynor index (mean / b)
    -0.19669
  • Jensen alpha (a)
    -0.16902
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02137
  • Expected Shortfall on VaR
    0.02662
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01233
  • Expected Shortfall on VaR
    0.02214
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95669
  • Quartile 1
    0.99300
  • Median
    1.00000
  • Quartile 3
    1.00526
  • Maximum
    1.04674
  • Mean of quarter 1
    0.98520
  • Mean of quarter 2
    0.99630
  • Mean of quarter 3
    1.00148
  • Mean of quarter 4
    1.01628
  • Inter Quartile Range
    0.01226
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.96914
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.03717
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.10218
  • VaR(95%) (moments method)
    0.01491
  • Expected Shortfall (moments method)
    0.02092
  • Extreme Value Index (regression method)
    0.19936
  • VaR(95%) (regression method)
    0.01358
  • Expected Shortfall (regression method)
    0.01954
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01433
  • Quartile 1
    0.06252
  • Median
    0.11070
  • Quartile 3
    0.15888
  • Maximum
    0.20706
  • Mean of quarter 1
    0.01433
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.20706
  • Inter Quartile Range
    0.09636
  • 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?
    -488592000
  • Max Equity Drawdown (num days)
    279
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.07170
  • Compounded annual return (geometric extrapolation)
    -0.07042
  • Calmar ratio (compounded annual return / max draw down)
    -0.34008
  • Compounded annual return / average of 25% largest draw downs
    -0.34008
  • Compounded annual return / Expected Shortfall lognormal
    -2.64525

Strategy Description

A momentum based strategy that takes position on Nasdaq futures. If you follow the simple rule of not overleveraging and sticking to the system, you will see significant appreciation of capital. Recommended capital allocation - about USD 50000 per contract. Maximum number of contract that model account trades at a given point in time will not exceed 2. Thanks for your attention

Model account was rescaled to 100K end of April 2021. The rescaling does not affect any customer. System will always have maximum number contracts as 2.

Summary Statistics

Strategy began
2020-05-05
Suggested Minimum Capital
$260,000
Rank at C2 %
Top 2.3%
Rank # 
#17
# Trades
274
# Profitable
117
% Profitable
42.7%
Correlation S&P500
0.371
Sharpe Ratio
1.25
Sortino Ratio
1.99
Beta
0.57
Alpha
0.08
Leverage
2.55 Average
5.93 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

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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