Collective2 Collective2
Featured Strategy Quant AI pro +16.8% Cumul. Return since Dec 2, 2024 Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
Watchlist Watchlist
These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast Share System Watchlist Watchlist More...

Easy no
(143547275)

Created by: EndaFrawley EndaFrawley
Started: 02/2023
Futures
Last trade: 352 days ago
Trading style: Futures Momentum

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 $595.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
20.7%
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.

(32.5%)
Max Drawdown
311
Num Trades
51.1%
Win Trades
1.4 : 1
Profit Factor
43.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023       +2.5%+11.5%(0.4%)+6.6%+2.9%+6.0%+2.3%+0.7%+1.8%+0.6%(31.7%)(4.6%)
2024+48.9%  -    -    -    -    -    -    -    -    -    -    -  +48.9%

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 511 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 358 days ago.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/2/24 14:20 SQQQ PROSHARES ULTRAPRO SHORT QQQ LONG 1,000 14.22 1/4 10:49 14.62 0.16%
Trade id #146878520
Max drawdown($95)
Time1/2/24 15:58
Quant open1,000
Worst price14.13
Drawdown as % of equity-0.16%
 $383
Includes Typical Broker Commissions trade costs of $12.50
1/2/24 13:54 @NQH4 E-MINI NASDAQ 100 STK IDX SHORT 11 16706.27 1/2 14:07 16669.25 n/a $8,057
Includes Typical Broker Commissions trade costs of $88.00
1/2/24 13:17 @NQH4 E-MINI NASDAQ 100 STK IDX LONG 10 16719.05 1/2 13:54 16706.75 4.6%
Trade id #146877724
Max drawdown($2,610)
Time1/2/24 13:54
Quant open10
Worst price16706.00
Drawdown as % of equity-4.60%
 ($2,540)
Includes Typical Broker Commissions trade costs of $80.00
1/2/24 12:10 @NQH4 E-MINI NASDAQ 100 STK IDX LONG 4 16769.38 1/2 13:16 16717.38 8.1%
Trade id #146876209
Max drawdown($4,770)
Time1/2/24 13:02
Quant open4
Worst price16709.80
Drawdown as % of equity-8.10%
 ($4,192)
Includes Typical Broker Commissions trade costs of $32.00
1/2/24 11:51 @RTYH4 Russell 2000 CME LONG 6 2048.87 1/2 12:09 2049.90 0.78%
Trade id #146876039
Max drawdown($440)
Time1/2/24 11:54
Quant open6
Worst price2047.40
Drawdown as % of equity-0.78%
 $262
Includes Typical Broker Commissions trade costs of $48.00
1/2/24 10:45 @RTYH4 Russell 2000 CME LONG 20 2040.58 1/2 11:45 2045.50 13.67%
Trade id #146873992
Max drawdown($7,180)
Time1/2/24 10:58
Quant open20
Worst price2033.40
Drawdown as % of equity-13.67%
 $4,760
Includes Typical Broker Commissions trade costs of $160.00
1/2/24 10:32 @RTYH4 Russell 2000 CME SHORT 20 2039.41 1/2 10:38 2034.60 n/a $4,650
Includes Typical Broker Commissions trade costs of $160.00
1/2/24 10:13 @ESH4 E-MINI S&P 500 LONG 20 4784.05 1/2 10:32 4779.05 12.89%
Trade id #146873218
Max drawdown($6,300)
Time1/2/24 10:27
Quant open20
Worst price4777.75
Drawdown as % of equity-12.89%
 ($5,160)
Includes Typical Broker Commissions trade costs of $160.00
1/2/24 10:11 @RTYH4 Russell 2000 CME SHORT 4 2046.05 1/2 10:13 2046.80 0.31%
Trade id #146873169
Max drawdown($150)
Time1/2/24 10:13
Quant open4
Worst price2046.80
Drawdown as % of equity-0.31%
 ($182)
Includes Typical Broker Commissions trade costs of $32.00
1/2/24 10:08 @RTYH4 Russell 2000 CME SHORT 20 2047.88 1/2 10:10 2047.00 n/a $720
Includes Typical Broker Commissions trade costs of $160.00
1/2/24 9:59 @ESH4 E-MINI S&P 500 LONG 20 4782.39 1/2 10:02 4785.50 n/a $2,953
Includes Typical Broker Commissions trade costs of $160.00
1/2/24 9:39 @RTYH4 Russell 2000 CME SHORT 10 2037.97 1/2 9:50 2036.00 6.84%
Trade id #146872153
Max drawdown($3,215)
Time1/2/24 9:43
Quant open10
Worst price2044.40
Drawdown as % of equity-6.84%
 $905
Includes Typical Broker Commissions trade costs of $80.00
12/29/23 10:03 @ESH4 E-MINI S&P 500 SHORT 17 4832.47 12/29 10:26 4831.12 5.22%
Trade id #146842450
Max drawdown($2,150)
Time12/29/23 10:06
Quant open17
Worst price4835.00
Drawdown as % of equity-5.22%
 $1,014
Includes Typical Broker Commissions trade costs of $136.00
12/29/23 9:25 @RTYH4 Russell 2000 CME SHORT 20 2075.63 12/29 9:55 2073.40 9.17%
Trade id #146841575
Max drawdown($4,170)
Time12/29/23 9:39
Quant open20
Worst price2079.80
Drawdown as % of equity-9.17%
 $2,070
Includes Typical Broker Commissions trade costs of $160.00
12/28/23 10:04 @RTYH4 Russell 2000 CME LONG 8 2087.36 12/29 9:03 2077.60 10.88%
Trade id #146831688
Max drawdown($5,166)
Time12/28/23 13:03
Quant open7
Worst price2072.60
Drawdown as % of equity-10.88%
 ($3,969)
Includes Typical Broker Commissions trade costs of $64.00
12/28/23 10:03 @RTYH4 Russell 2000 CME LONG 3 2086.77 12/28 10:03 2087.20 n/a $41
Includes Typical Broker Commissions trade costs of $24.00
12/28/23 9:30 @RTYH4 Russell 2000 CME SHORT 8 2079.01 12/28 10:02 2087.20 6.76%
Trade id #146830738
Max drawdown($3,435)
Time12/28/23 10:02
Quant open8
Worst price2087.60
Drawdown as % of equity-6.76%
 ($3,339)
Includes Typical Broker Commissions trade costs of $64.00
12/22/23 11:15 @ESH4 E-MINI S&P 500 LONG 6 4812.38 12/26 4:21 4809.33 3.01%
Trade id #146788884
Max drawdown($1,612)
Time12/22/23 11:45
Quant open6
Worst price4807.00
Drawdown as % of equity-3.01%
 ($961)
Includes Typical Broker Commissions trade costs of $48.00
12/22/23 3:34 @ESH4 E-MINI S&P 500 LONG 4 4792.75 12/22 10:59 4809.50 2.42%
Trade id #146783820
Max drawdown($1,200)
Time12/22/23 3:59
Quant open4
Worst price4786.75
Drawdown as % of equity-2.42%
 $3,318
Includes Typical Broker Commissions trade costs of $32.00
12/22/23 2:35 @ESH4 E-MINI S&P 500 LONG 2 4789.06 12/22 3:00 4788.00 0.21%
Trade id #146783606
Max drawdown($106)
Time12/22/23 2:43
Quant open2
Worst price4788.00
Drawdown as % of equity-0.21%
 ($122)
Includes Typical Broker Commissions trade costs of $16.00
12/21/23 12:09 @ESH4 E-MINI S&P 500 SHORT 8 4763.11 12/21 12:48 4766.50 4.56%
Trade id #146777356
Max drawdown($2,556)
Time12/21/23 12:31
Quant open8
Worst price4769.50
Drawdown as % of equity-4.56%
 ($1,420)
Includes Typical Broker Commissions trade costs of $64.00
12/21/23 8:45 @ESH4 E-MINI S&P 500 LONG 6 4785.21 12/21 12:09 4765.33 10.25%
Trade id #146772773
Max drawdown($5,739)
Time12/21/23 12:09
Quant open5
Worst price4762.25
Drawdown as % of equity-10.25%
 ($6,011)
Includes Typical Broker Commissions trade costs of $48.00
12/21/23 3:39 QCLG4 CRUDE OIL LONG 1 74.51 12/21 7:35 73.55 1.97%
Trade id #146771110
Max drawdown($1,130)
Time12/21/23 7:35
Quant open1
Worst price73.38
Drawdown as % of equity-1.97%
 ($968)
Includes Typical Broker Commissions trade costs of $8.00
12/19/23 5:58 QCLG4 CRUDE OIL LONG 1 72.90 12/19 10:52 73.92 0.77%
Trade id #146740909
Max drawdown($440)
Time12/19/23 7:56
Quant open1
Worst price72.46
Drawdown as % of equity-0.77%
 $1,012
Includes Typical Broker Commissions trade costs of $8.00
12/13/23 6:35 @ESH4 E-MINI S&P 500 LONG 1 4705.00 12/13 10:59 4706.75 0.66%
Trade id #146679068
Max drawdown($375)
Time12/13/23 10:05
Quant open1
Worst price4697.50
Drawdown as % of equity-0.66%
 $80
Includes Typical Broker Commissions trade costs of $8.00
12/12/23 10:22 @ESH4 E-MINI S&P 500 LONG 2 4678.25 12/12 11:32 4681.25 0.53%
Trade id #146670891
Max drawdown($300)
Time12/12/23 10:34
Quant open2
Worst price4675.25
Drawdown as % of equity-0.53%
 $284
Includes Typical Broker Commissions trade costs of $16.00
12/12/23 8:13 @ESH4 E-MINI S&P 500 LONG 8 4675.44 12/12 10:22 4676.57 2.83%
Trade id #146668474
Max drawdown($1,575)
Time12/12/23 9:02
Quant open4
Worst price4672.75
Drawdown as % of equity-2.83%
 $390
Includes Typical Broker Commissions trade costs of $64.00
12/12/23 9:48 @ESZ3 E-MINI S&P 500 LONG 1 4615.75 12/12 9:48 4615.75 n/a ($8)
Includes Typical Broker Commissions trade costs of $8.00
12/12/23 9:28 @ESZ3 E-MINI S&P 500 SHORT 4 4619.65 12/12 9:33 4618.00 0.31%
Trade id #146669425
Max drawdown($170)
Time12/12/23 9:31
Quant open4
Worst price4620.50
Drawdown as % of equity-0.31%
 $297
Includes Typical Broker Commissions trade costs of $32.00
12/12/23 2:10 @ESH4 E-MINI S&P 500 LONG 1 4681.25 12/12 4:11 4679.50 n/a ($96)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    2/11/2023
  • Suggested Minimum Cap
    $37,840
  • Strategy Age (days)
    677.53
  • Age
    23 months ago
  • What it trades
    Futures
  • # Trades
    311
  • # Profitable
    159
  • % Profitable
    51.10%
  • Avg trade duration
    10.6 hours
  • Max peak-to-valley drawdown
    32.48%
  • drawdown period
    Dec 20, 2023 - Dec 29, 2023
  • Annual Return (Compounded)
    20.7%
  • Avg win
    $585.94
  • Avg loss
    $433.99
  • Model Account Values (Raw)
  • Cash
    $65,036
  • Margin Used
    $0
  • Buying Power
    $65,036
  • Ratios
  • W:L ratio
    1.41:1
  • Sharpe Ratio
    0.55
  • Sortino Ratio
    1.16
  • Calmar Ratio
    3.53
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -2.26%
  • Correlation to SP500
    -0.02120
  • Return Percent SP500 (cumu) during strategy life
    44.99%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    20.7%
  • Slump
  • Current Slump as Pcnt Equity
    0.30%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.52%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.207%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    33.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    26.50%
  • Chance of 20% account loss
    4.00%
  • Chance of 30% account loss
    1.00%
  • 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
    99.73%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    337
  • 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
    $434
  • Avg Win
    $586
  • Sum Trade PL (losers)
    $65,967.000
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $93,165.000
  • # Winners
    159
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    152
  • % Winners
    51.1%
  • Frequency
  • Avg Position Time (mins)
    637.35
  • Avg Position Time (hrs)
    10.62
  • Avg Trade Length
    0.4 days
  • Last Trade Ago
    350
  • Leverage
  • Daily leverage (average)
    5.42
  • Daily leverage (max)
    100.31
  • Regression
  • Alpha
    0.07
  • Beta
    -0.06
  • Treynor Index
    -1.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.65
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -5.990
  • 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
    0.910
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.211
  • Hold-and-Hope Ratio
    -0.167
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54074
  • SD
    0.18796
  • Sharpe ratio (Glass type estimate)
    2.87697
  • Sharpe ratio (Hedges UMVUE)
    2.67547
  • df
    11.00000
  • t
    2.87697
  • p
    0.00753
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.53816
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.12160
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.41907
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.93187
  • Statistics related to Sortino ratio
  • Sortino ratio
    48.87320
  • Upside Potential Ratio
    50.14760
  • Upside part of mean
    0.55484
  • Downside part of mean
    -0.01410
  • Upside SD
    0.23797
  • Downside SD
    0.01106
  • N nonnegative terms
    9.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.27079
  • Mean of criterion
    0.54074
  • SD of predictor
    0.18479
  • SD of criterion
    0.18796
  • Covariance
    -0.02235
  • r
    -0.64357
  • b (slope, estimate of beta)
    -0.65460
  • a (intercept, estimate of alpha)
    0.71800
  • Mean Square Error
    0.02276
  • DF error
    10.00000
  • t(b)
    -2.65897
  • p(b)
    0.98803
  • t(a)
    4.35280
  • p(a)
    0.00072
  • Lowerbound of 95% confidence interval for beta
    -1.20313
  • Upperbound of 95% confidence interval for beta
    -0.10607
  • Lowerbound of 95% confidence interval for alpha
    0.35047
  • Upperbound of 95% confidence interval for alpha
    1.08554
  • Treynor index (mean / b)
    -0.82607
  • Jensen alpha (a)
    0.71800
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51368
  • SD
    0.17278
  • Sharpe ratio (Glass type estimate)
    2.97305
  • Sharpe ratio (Hedges UMVUE)
    2.76482
  • df
    11.00000
  • t
    2.97305
  • p
    0.00634
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.61281
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.23776
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.48969
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.03995
  • Statistics related to Sortino ratio
  • Sortino ratio
    46.29570
  • Upside Potential Ratio
    47.56900
  • Upside part of mean
    0.52781
  • Downside part of mean
    -0.01413
  • Upside SD
    0.22188
  • Downside SD
    0.01110
  • N nonnegative terms
    9.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.25226
  • Mean of criterion
    0.51368
  • SD of predictor
    0.18040
  • SD of criterion
    0.17278
  • Covariance
    -0.02049
  • r
    -0.65738
  • b (slope, estimate of beta)
    -0.62962
  • a (intercept, estimate of alpha)
    0.67251
  • Mean Square Error
    0.01865
  • DF error
    10.00000
  • t(b)
    -2.75864
  • p(b)
    0.98991
  • t(a)
    4.53797
  • p(a)
    0.00054
  • Lowerbound of 95% confidence interval for beta
    -1.13816
  • Upperbound of 95% confidence interval for beta
    -0.12108
  • Lowerbound of 95% confidence interval for alpha
    0.34231
  • Upperbound of 95% confidence interval for alpha
    1.00271
  • Treynor index (mean / b)
    -0.81586
  • Jensen alpha (a)
    0.67251
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03847
  • Expected Shortfall on VaR
    0.05815
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00157
  • Expected Shortfall on VaR
    0.00388
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.99156
  • Quartile 1
    1.01863
  • Median
    1.03726
  • Quartile 3
    1.05494
  • Maximum
    1.19423
  • Mean of quarter 1
    0.99763
  • Mean of quarter 2
    1.02682
  • Mean of quarter 3
    1.04908
  • Mean of quarter 4
    1.11602
  • Inter Quartile Range
    0.03630
  • 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
    0.08333
  • Mean of outliers high
    1.19423
  • 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
    1.00000
  • Minimum
    0.00844
  • Quartile 1
    0.00844
  • Median
    0.00844
  • Quartile 3
    0.00844
  • Maximum
    0.00844
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.71874
  • Compounded annual return (geometric extrapolation)
    0.71874
  • Calmar ratio (compounded annual return / max draw down)
    85.14150
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    12.36090
  • 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
    0.53348
  • SD
    0.30733
  • Sharpe ratio (Glass type estimate)
    1.73585
  • Sharpe ratio (Hedges UMVUE)
    1.73109
  • df
    274.00000
  • t
    1.77839
  • p
    0.03822
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18430
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.65288
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.18747
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.64965
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.39859
  • Upside Potential Ratio
    7.14052
  • Upside part of mean
    1.12085
  • Downside part of mean
    -0.58737
  • Upside SD
    0.26562
  • Downside SD
    0.15697
  • N nonnegative terms
    101.00000
  • N negative terms
    174.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    275.00000
  • Mean of predictor
    0.32478
  • Mean of criterion
    0.53348
  • SD of predictor
    0.16648
  • SD of criterion
    0.30733
  • Covariance
    -0.00063
  • r
    -0.01222
  • b (slope, estimate of beta)
    -0.02255
  • a (intercept, estimate of alpha)
    0.54100
  • Mean Square Error
    0.09478
  • DF error
    273.00000
  • t(b)
    -0.20189
  • p(b)
    0.57992
  • t(a)
    1.78668
  • p(a)
    0.03755
  • Lowerbound of 95% confidence interval for beta
    -0.24249
  • Upperbound of 95% confidence interval for beta
    0.19738
  • Lowerbound of 95% confidence interval for alpha
    -0.05509
  • Upperbound of 95% confidence interval for alpha
    1.13670
  • Treynor index (mean / b)
    -23.65240
  • Jensen alpha (a)
    0.54080
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48808
  • SD
    0.29681
  • Sharpe ratio (Glass type estimate)
    1.64442
  • Sharpe ratio (Hedges UMVUE)
    1.63991
  • df
    274.00000
  • t
    1.68472
  • p
    0.04659
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27504
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.56100
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27808
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.55791
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.00539
  • Upside Potential Ratio
    6.70118
  • Upside part of mean
    1.08828
  • Downside part of mean
    -0.60020
  • Upside SD
    0.24962
  • Downside SD
    0.16240
  • N nonnegative terms
    101.00000
  • N negative terms
    174.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    275.00000
  • Mean of predictor
    0.31084
  • Mean of criterion
    0.48808
  • SD of predictor
    0.16564
  • SD of criterion
    0.29681
  • Covariance
    -0.00055
  • r
    -0.01122
  • b (slope, estimate of beta)
    -0.02011
  • a (intercept, estimate of alpha)
    0.49433
  • Mean Square Error
    0.08841
  • DF error
    273.00000
  • t(b)
    -0.18541
  • p(b)
    0.57348
  • t(a)
    1.69191
  • p(a)
    0.04590
  • Lowerbound of 95% confidence interval for beta
    -0.23360
  • Upperbound of 95% confidence interval for beta
    0.19339
  • Lowerbound of 95% confidence interval for alpha
    -0.08087
  • Upperbound of 95% confidence interval for alpha
    1.06953
  • Treynor index (mean / b)
    -24.27360
  • Jensen alpha (a)
    0.49433
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02790
  • Expected Shortfall on VaR
    0.03530
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00580
  • Expected Shortfall on VaR
    0.01323
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    275.00000
  • Minimum
    0.90789
  • Quartile 1
    0.99985
  • Median
    1.00000
  • Quartile 3
    1.00126
  • Maximum
    1.20308
  • Mean of quarter 1
    0.99134
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00030
  • Mean of quarter 4
    1.01691
  • Inter Quartile Range
    0.00141
  • Number outliers low
    36.00000
  • Percentage of outliers low
    0.13091
  • Mean of outliers low
    0.98422
  • Number of outliers high
    50.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    1.02248
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.17699
  • VaR(95%) (moments method)
    0.00576
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.88519
  • VaR(95%) (regression method)
    0.00553
  • Expected Shortfall (regression method)
    0.05728
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00061
  • Median
    0.00547
  • Quartile 3
    0.02178
  • Maximum
    0.19130
  • Mean of quarter 1
    0.00023
  • Mean of quarter 2
    0.00209
  • Mean of quarter 3
    0.01171
  • Mean of quarter 4
    0.07479
  • Inter Quartile Range
    0.02117
  • 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
    0.08333
  • Mean of outliers high
    0.16054
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.80381
  • VaR(95%) (moments method)
    0.08698
  • Expected Shortfall (moments method)
    0.42601
  • Extreme Value Index (regression method)
    2.49448
  • VaR(95%) (regression method)
    0.05827
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.68476
  • Compounded annual return (geometric extrapolation)
    0.67529
  • Calmar ratio (compounded annual return / max draw down)
    3.52994
  • Compounded annual return / average of 25% largest draw downs
    9.02877
  • Compounded annual return / Expected Shortfall lognormal
    19.13020
  • 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
    0.30592
  • SD
    0.40014
  • Sharpe ratio (Glass type estimate)
    0.76453
  • Sharpe ratio (Hedges UMVUE)
    0.76011
  • df
    130.00000
  • t
    0.54060
  • p
    0.47632
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.01029
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.53644
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.01324
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.53345
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.38533
  • Upside Potential Ratio
    5.45332
  • Upside part of mean
    1.20425
  • Downside part of mean
    -0.89833
  • Upside SD
    0.33239
  • Downside SD
    0.22083
  • N nonnegative terms
    37.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.55063
  • Mean of criterion
    0.30592
  • SD of predictor
    0.19910
  • SD of criterion
    0.40014
  • Covariance
    -0.00427
  • r
    -0.05359
  • b (slope, estimate of beta)
    -0.10771
  • a (intercept, estimate of alpha)
    0.36523
  • Mean Square Error
    0.16089
  • DF error
    129.00000
  • t(b)
    -0.60960
  • p(b)
    0.53410
  • t(a)
    0.63458
  • p(a)
    0.46451
  • Lowerbound of 95% confidence interval for beta
    -0.45731
  • Upperbound of 95% confidence interval for beta
    0.24189
  • Lowerbound of 95% confidence interval for alpha
    -0.77350
  • Upperbound of 95% confidence interval for alpha
    1.50396
  • Treynor index (mean / b)
    -2.84013
  • Jensen alpha (a)
    0.36523
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23039
  • SD
    0.38509
  • Sharpe ratio (Glass type estimate)
    0.59828
  • Sharpe ratio (Hedges UMVUE)
    0.59483
  • df
    130.00000
  • t
    0.42305
  • p
    0.48146
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.17557
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.36996
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.17792
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.36757
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.00685
  • Upside Potential Ratio
    5.04392
  • Upside part of mean
    1.15419
  • Downside part of mean
    -0.92380
  • Upside SD
    0.30823
  • Downside SD
    0.22883
  • N nonnegative terms
    37.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.53053
  • Mean of criterion
    0.23039
  • SD of predictor
    0.19773
  • SD of criterion
    0.38509
  • Covariance
    -0.00396
  • r
    -0.05194
  • b (slope, estimate of beta)
    -0.10117
  • a (intercept, estimate of alpha)
    0.28407
  • Mean Square Error
    0.14904
  • DF error
    129.00000
  • t(b)
    -0.59078
  • p(b)
    0.53305
  • t(a)
    0.51324
  • p(a)
    0.47127
  • VAR (95 Confidence Intrvl)
    0.02800
  • Lowerbound of 95% confidence interval for beta
    -0.43998
  • Upperbound of 95% confidence interval for beta
    0.23765
  • Lowerbound of 95% confidence interval for alpha
    -0.81101
  • Upperbound of 95% confidence interval for alpha
    1.37914
  • Treynor index (mean / b)
    -2.27734
  • Jensen alpha (a)
    0.28407
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03753
  • Expected Shortfall on VaR
    0.04701
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00967
  • Expected Shortfall on VaR
    0.02154
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90789
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00066
  • Maximum
    1.20308
  • Mean of quarter 1
    0.98669
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00006
  • Mean of quarter 4
    1.01831
  • Inter Quartile Range
    0.00066
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.15267
  • Mean of outliers low
    0.97810
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.19847
  • Mean of outliers high
    1.02296
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.44458
  • VaR(95%) (moments method)
    0.00514
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.77120
  • VaR(95%) (regression method)
    0.01114
  • Expected Shortfall (regression method)
    0.07123
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00053
  • Median
    0.00372
  • Quartile 3
    0.02187
  • Maximum
    0.19130
  • Mean of quarter 1
    0.00017
  • Mean of quarter 2
    0.00094
  • Mean of quarter 3
    0.01304
  • Mean of quarter 4
    0.11732
  • Inter Quartile Range
    0.02134
  • 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
    0.16667
  • Mean of outliers high
    0.16054
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -33.17470
  • VaR(95%) (moments method)
    0.08270
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.68513
  • VaR(95%) (regression method)
    0.24569
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.25678
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -366192000
  • Max Equity Drawdown (num days)
    9
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27572
  • Compounded annual return (geometric extrapolation)
    0.29473
  • Calmar ratio (compounded annual return / max draw down)
    1.54063
  • Compounded annual return / average of 25% largest draw downs
    2.51222
  • Compounded annual return / Expected Shortfall lognormal
    6.26885

Strategy Description

This straegy will only trade MES, ES for now.

Summary Statistics

Strategy began
2023-02-11
Suggested Minimum Capital
$50,000
# Trades
311
# Profitable
159
% Profitable
51.1%
Correlation S&P500
-0.021
Sharpe Ratio
0.55
Sortino Ratio
1.16
Beta
-0.06
Alpha
0.07
Leverage
5.42 Average
100.31 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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.