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

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Proper Trading
(144355955)

Created by: BeeHoay BeeHoay
Started: 04/2023
Futures
Last trade: 407 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 $125.00 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).
24.9%
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.

(17.2%)
Max Drawdown
216
Num Trades
54.6%
Win Trades
1.8 : 1
Profit Factor
38.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                     +2.0%+3.8%+5.7%+5.3%+1.4%+16.9%+2.0%+2.0%  -  +45.2%
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 66 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 407 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/10/23 12:37: Rescaled downward to 96% of previous Model Account size
11/10/23 11:58 @ESZ3 E-MINI S&P 500 LONG 9.600000000 4391.35 11/10 12:34 4405.00 n/a $6,475
Includes Typical Broker Commissions trade costs of $76.80
11/10/23 11:15 @ESZ3 E-MINI S&P 500 LONG 9.600000000 4391.85 11/10 11:58 4390.20 3.49%
Trade id #146397754
Max drawdown($1,608)
Time11/10/23 11:28
Quant open10
Worst price4388.50
Drawdown as % of equity-3.49%
 ($869)
Includes Typical Broker Commissions trade costs of $76.80
11/10/23 10:16 @RTYZ3 Russell 2000 CME SHORT 9.600000000 1693.64 11/10 10:52 1691.10 4.54%
Trade id #146396582
Max drawdown($2,044)
Time11/10/23 10:22
Quant open10
Worst price1697.90
Drawdown as % of equity-4.54%
 $1,142
Includes Typical Broker Commissions trade costs of $76.80
11/10/23 9:28 @RTYZ3 Russell 2000 CME LONG 9.600000000 1701.16 11/10 9:50 1701.70 9.75%
Trade id #146395201
Max drawdown($4,348)
Time11/10/23 9:35
Quant open10
Worst price1692.10
Drawdown as % of equity-9.75%
 $182
Includes Typical Broker Commissions trade costs of $76.80
11/9/23 13:52 @RTYZ3 Russell 2000 CME SHORT 13.440000000 1702.29 11/9 14:08 1698.65 2.31%
Trade id #146389274
Max drawdown($976)
Time11/9/23 13:55
Quant open12
Worst price1703.80
Drawdown as % of equity-2.31%
 $2,335
Includes Typical Broker Commissions trade costs of $107.52
11/9/23 12:05 @RTYZ3 Russell 2000 CME LONG 1.920000000 1721.90 11/9 13:03 1709.50 3.16%
Trade id #146387968
Max drawdown($1,410)
Time11/9/23 13:03
Quant open2
Worst price1706.60
Drawdown as % of equity-3.16%
 ($1,205)
Includes Typical Broker Commissions trade costs of $15.36
11/9/23 9:16 @YMZ3 MINI DOW LONG 11.520000000 34205 11/9 13:03 34100 14.38%
Trade id #146383832
Max drawdown($6,322)
Time11/9/23 10:34
Quant open8
Worst price34049
Drawdown as % of equity-14.38%
 ($6,121)
Includes Typical Broker Commissions trade costs of $92.16
11/8/23 13:03 @YMZ3 MINI DOW LONG 5.760000000 34116 11/8 14:22 34143 2.26%
Trade id #146368852
Max drawdown($1,105)
Time11/8/23 13:20
Quant open6
Worst price34076
Drawdown as % of equity-2.26%
 $732
Includes Typical Broker Commissions trade costs of $46.08
11/8/23 9:22 @YMZ3 MINI DOW LONG 4.800000000 34243 11/8 11:21 34189 2.5%
Trade id #146364475
Max drawdown($1,244)
Time11/8/23 11:21
Quant open5
Worst price34189
Drawdown as % of equity-2.50%
 ($1,334)
Includes Typical Broker Commissions trade costs of $38.40
11/8/23 6:26 @MYMZ3 MICRO E-MINI DOW LONG 9.600000000 34250 11/8 10:05 34239 0.11%
Trade id #146363796
Max drawdown($57)
Time11/8/23 10:05
Quant open10
Worst price34238
Drawdown as % of equity-0.11%
 ($62)
Includes Typical Broker Commissions trade costs of $9.03
11/7/23 10:48 @FVZ3 US T-NOTE 5 YR LONG 1.920000000 105 33/64 11/8 9:34 105 33/64 0.23%
Trade id #146356507
Max drawdown($115)
Time11/8/23 0:00
Quant open1
Worst price105 23/64
Drawdown as % of equity-0.23%
 ($8)
Includes Typical Broker Commissions trade costs of $15.36
11/6/23 10:27 @FVZ3 US T-NOTE 5 YR SHORT 0.960000000 105 24/64 11/7 10:33 105 31/64 0.37%
Trade id #146346649
Max drawdown($187)
Time11/7/23 5:48
Quant open1
Worst price105 37/64
Drawdown as % of equity-0.37%
 ($106)
Includes Typical Broker Commissions trade costs of $7.68
10/31/23 15:19 @FVZ3 US T-NOTE 5 YR SHORT 1.920000000 104 29/64 11/1 8:18 104 31/64 0.19%
Trade id #146293491
Max drawdown($93)
Time11/1/23 8:15
Quant open1
Worst price104 35/64
Drawdown as % of equity-0.19%
 ($82)
Includes Typical Broker Commissions trade costs of $15.36
10/30/23 8:29 @FVZ3 US T-NOTE 5 YR SHORT 0.960000000 104 26/64 10/31 6:24 104 47/64 0.61%
Trade id #146273162
Max drawdown($309)
Time10/31/23 6:20
Quant open1
Worst price104 48/64
Drawdown as % of equity-0.61%
 ($323)
Includes Typical Broker Commissions trade costs of $7.68
10/27/23 6:57 @YMZ3 MINI DOW SHORT 0.960000000 32896 10/27 7:41 32792 0.04%
Trade id #146254872
Max drawdown($20)
Time10/27/23 7:01
Quant open1
Worst price32901
Drawdown as % of equity-0.04%
 $494
Includes Typical Broker Commissions trade costs of $7.68
10/26/23 7:31 @FVZ3 US T-NOTE 5 YR SHORT 1.920000000 104 13/64 10/26 10:28 104 26/64 0.72%
Trade id #146241976
Max drawdown($363)
Time10/26/23 10:28
Quant open2
Worst price104 26/64
Drawdown as % of equity-0.72%
 ($393)
Includes Typical Broker Commissions trade costs of $15.36
10/26/23 10:11 @TUZ3 US T-NOTE 2 YR SHORT 0.960000000 101 30/128 10/26 10:28 101 33/128 0.09%
Trade id #146244363
Max drawdown($43)
Time10/26/23 10:28
Quant open1
Worst price101 33/128
Drawdown as % of equity-0.09%
 ($46)
Includes Typical Broker Commissions trade costs of $7.68
10/20/23 12:19 @TUZ3 US T-NOTE 2 YR SHORT 1.920000000 101 35/128 10/26 9:16 101 22/128 0.33%
Trade id #146188517
Max drawdown($165)
Time10/23/23 0:00
Quant open1
Worst price101 45/128
Drawdown as % of equity-0.33%
 $383
Includes Typical Broker Commissions trade costs of $15.36
10/24/23 12:28 @MYMZ3 MICRO E-MINI DOW SHORT 3.840000000 33254 10/25 9:55 33234 0.31%
Trade id #146221476
Max drawdown($155)
Time10/24/23 15:22
Quant open2
Worst price33332
Drawdown as % of equity-0.31%
 $34
Includes Typical Broker Commissions trade costs of $3.60
10/24/23 3:48 @MYMZ3 MICRO E-MINI DOW SHORT 0.960000000 33103 10/24 4:35 33098 0.03%
Trade id #146213943
Max drawdown($16)
Time10/24/23 3:52
Quant open1
Worst price33139
Drawdown as % of equity-0.03%
 $1
Includes Typical Broker Commissions trade costs of $0.90
10/20/23 11:20 DXMZ3 MINI-DAX INDEX SHORT 1.920000000 14945.5 10/20 12:19 14903.5 n/a $412
Includes Typical Broker Commissions trade costs of $15.36
10/20/23 10:52 @RTYZ3 Russell 2000 CME SHORT 5.760000000 1698.50 10/20 11:28 1694.90 n/a $991
Includes Typical Broker Commissions trade costs of $46.08
10/20/23 10:08 @RTYZ3 Russell 2000 CME SHORT 3.840000000 1700.12 10/20 10:46 1700.40 0.74%
Trade id #146185295
Max drawdown($364)
Time10/20/23 10:46
Quant open4
Worst price1702.10
Drawdown as % of equity-0.74%
 ($84)
Includes Typical Broker Commissions trade costs of $30.72
10/19/23 9:25 @TYZ3 US T-NOTE 10 YR SHORT 0.960000000 105 38/64 10/19 13:08 105 42/64 0.68%
Trade id #146171655
Max drawdown($331)
Time10/19/23 12:03
Quant open1
Worst price105 61/64
Drawdown as % of equity-0.68%
 ($68)
Includes Typical Broker Commissions trade costs of $7.68
10/18/23 2:31 QMGCZ3 E-Micro Gold LONG 0.960000000 1949.8 10/18 3:40 1949.7 0.04%
Trade id #146157751
Max drawdown($20)
Time10/18/23 2:56
Quant open1
Worst price1947.6
Drawdown as % of equity-0.04%
 ($2)
Includes Typical Broker Commissions trade costs of $0.68
10/17/23 21:28 QMGCZ3 E-Micro Gold LONG 0.960000000 1948.0 10/17 22:43 1951.4 n/a $32
Includes Typical Broker Commissions trade costs of $0.68
10/17/23 3:31 QMCLZ3 MICRO CRUDE OIL LONG 1.920000000 85.63 10/17 9:55 85.64 0.24%
Trade id #146147364
Max drawdown($119)
Time10/17/23 4:40
Quant open2
Worst price84.98
Drawdown as % of equity-0.24%
 ($1)
Includes Typical Broker Commissions trade costs of $2.88
10/17/23 3:46 QMGCZ3 E-Micro Gold LONG 1.920000000 1932.8 10/17 7:31 1936.1 0.06%
Trade id #146147406
Max drawdown($31)
Time10/17/23 4:03
Quant open2
Worst price1931.1
Drawdown as % of equity-0.06%
 $62
Includes Typical Broker Commissions trade costs of $1.34
10/16/23 23:20 @TYZ3 US T-NOTE 10 YR SHORT 1.920000000 107 1/64 10/17 3:46 107 5/64 0.23%
Trade id #146146696
Max drawdown($115)
Time10/17/23 3:46
Quant open2
Worst price107 5/64
Drawdown as % of equity-0.23%
 ($135)
Includes Typical Broker Commissions trade costs of $15.36
10/16/23 3:45 DXMZ3 MINI-DAX INDEX SHORT 1.920000000 15284.0 10/16 4:23 15245.0 n/a $379
Includes Typical Broker Commissions trade costs of $15.36
Next

Statistics

  • Strategy began
    4/18/2023
  • Suggested Minimum Cap
    $35,496
  • Strategy Age (days)
    609.74
  • Age
    20 months ago
  • What it trades
    Futures
  • # Trades
    216
  • # Profitable
    118
  • % Profitable
    54.60%
  • Avg trade duration
    15.0 hours
  • Max peak-to-valley drawdown
    17.17%
  • drawdown period
    Oct 25, 2023 - Nov 09, 2023
  • Annual Return (Compounded)
    24.9%
  • Avg win
    $357.43
  • Avg loss
    $234.15
  • Model Account Values (Raw)
  • Cash
    $54,723
  • Margin Used
    $0
  • Buying Power
    $54,723
  • Ratios
  • W:L ratio
    1.84:1
  • Sharpe Ratio
    1.2
  • Sortino Ratio
    2.36
  • Calmar Ratio
    7.38
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -0.85%
  • Correlation to SP500
    0.03150
  • Return Percent SP500 (cumu) during strategy life
    42.74%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    24.9%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.66%
  • 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)
    0.249%
  • 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
    2.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    99.85%
  • 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
    $234
  • Avg Win
    $357
  • Sum Trade PL (losers)
    $22,947.000
  • Age
  • Num Months filled monthly returns table
    21
  • Win / Loss
  • Sum Trade PL (winners)
    $42,177.000
  • # Winners
    118
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    98
  • % Winners
    54.6%
  • Frequency
  • Avg Position Time (mins)
    897.73
  • Avg Position Time (hrs)
    14.96
  • Avg Trade Length
    0.6 days
  • Last Trade Ago
    404
  • Leverage
  • Daily leverage (average)
    4.11
  • Daily leverage (max)
    46.96
  • Regression
  • Alpha
    0.06
  • Beta
    0.04
  • Treynor Index
    1.65
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.26
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -7.936
  • 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
    0.781
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.054
  • Hold-and-Hope Ratio
    -0.126
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57613
  • SD
    0.17642
  • Sharpe ratio (Glass type estimate)
    3.26561
  • Sharpe ratio (Hedges UMVUE)
    2.94788
  • df
    8.00000
  • t
    2.82810
  • p
    0.01111
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44293
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.95502
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26304
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.63271
  • Statistics related to Sortino ratio
  • Sortino ratio
    151.52900
  • Upside Potential Ratio
    153.16200
  • Upside part of mean
    0.58234
  • Downside part of mean
    -0.00621
  • Upside SD
    0.23519
  • Downside SD
    0.00380
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.38377
  • Mean of criterion
    0.57613
  • SD of predictor
    0.20748
  • SD of criterion
    0.17642
  • Covariance
    -0.01807
  • r
    -0.49355
  • b (slope, estimate of beta)
    -0.41967
  • a (intercept, estimate of alpha)
    0.73718
  • Mean Square Error
    0.02691
  • DF error
    7.00000
  • t(b)
    -1.50143
  • p(b)
    0.91153
  • t(a)
    3.38665
  • p(a)
    0.00583
  • Lowerbound of 95% confidence interval for beta
    -1.08061
  • Upperbound of 95% confidence interval for beta
    0.24127
  • Lowerbound of 95% confidence interval for alpha
    0.22246
  • Upperbound of 95% confidence interval for alpha
    1.25190
  • Treynor index (mean / b)
    -1.37282
  • Jensen alpha (a)
    0.73718
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54927
  • SD
    0.16434
  • Sharpe ratio (Glass type estimate)
    3.34237
  • Sharpe ratio (Hedges UMVUE)
    3.01717
  • df
    8.00000
  • t
    2.89458
  • p
    0.01003
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49798
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.05256
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.31392
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.72042
  • Statistics related to Sortino ratio
  • Sortino ratio
    144.63400
  • Upside Potential Ratio
    146.26700
  • Upside part of mean
    0.55547
  • Downside part of mean
    -0.00620
  • Upside SD
    0.22166
  • Downside SD
    0.00380
  • N nonnegative terms
    7.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.35949
  • Mean of criterion
    0.54927
  • SD of predictor
    0.19661
  • SD of criterion
    0.16434
  • Covariance
    -0.01596
  • r
    -0.49381
  • b (slope, estimate of beta)
    -0.41275
  • a (intercept, estimate of alpha)
    0.69765
  • Mean Square Error
    0.02334
  • DF error
    7.00000
  • t(b)
    -1.50248
  • p(b)
    0.91166
  • t(a)
    3.45092
  • p(a)
    0.00534
  • Lowerbound of 95% confidence interval for beta
    -1.06234
  • Upperbound of 95% confidence interval for beta
    0.23684
  • Lowerbound of 95% confidence interval for alpha
    0.21961
  • Upperbound of 95% confidence interval for alpha
    1.17569
  • Treynor index (mean / b)
    -1.33076
  • Jensen alpha (a)
    0.69765
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03174
  • Expected Shortfall on VaR
    0.05060
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00066
  • Expected Shortfall on VaR
    0.00154
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    1.00000
  • Quartile 1
    1.01439
  • Median
    1.04643
  • Quartile 3
    1.06970
  • Maximum
    1.16099
  • Mean of quarter 1
    1.00480
  • Mean of quarter 2
    1.03360
  • Mean of quarter 3
    1.06695
  • Mean of quarter 4
    1.11878
  • Inter Quartile Range
    0.05532
  • 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
    0.11111
  • Mean of outliers high
    1.16099
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.72226
  • Compounded annual return (geometric extrapolation)
    0.78100
  • 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
    15.43410
  • 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
    0.54215
  • SD
    0.21043
  • Sharpe ratio (Glass type estimate)
    2.57637
  • Sharpe ratio (Hedges UMVUE)
    2.56698
  • df
    206.00000
  • t
    2.29004
  • p
    0.01152
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35435
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.79231
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.34806
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.78589
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.57261
  • Upside Potential Ratio
    8.97970
  • Upside part of mean
    0.87362
  • Downside part of mean
    -0.33147
  • Upside SD
    0.18901
  • Downside SD
    0.09729
  • N nonnegative terms
    69.00000
  • N negative terms
    138.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    207.00000
  • Mean of predictor
    0.46841
  • Mean of criterion
    0.54215
  • SD of predictor
    0.18266
  • SD of criterion
    0.21043
  • Covariance
    0.00097
  • r
    0.02524
  • b (slope, estimate of beta)
    0.02907
  • a (intercept, estimate of alpha)
    0.52900
  • Mean Square Error
    0.04447
  • DF error
    205.00000
  • t(b)
    0.36143
  • p(b)
    0.35908
  • t(a)
    2.20023
  • p(a)
    0.01445
  • Lowerbound of 95% confidence interval for beta
    -0.12951
  • Upperbound of 95% confidence interval for beta
    0.18766
  • Lowerbound of 95% confidence interval for alpha
    0.05492
  • Upperbound of 95% confidence interval for alpha
    1.00215
  • Treynor index (mean / b)
    18.64900
  • Jensen alpha (a)
    0.52853
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51999
  • SD
    0.20717
  • Sharpe ratio (Glass type estimate)
    2.50998
  • Sharpe ratio (Hedges UMVUE)
    2.50083
  • df
    206.00000
  • t
    2.23103
  • p
    0.01338
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28876
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.72529
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28262
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.71904
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.16152
  • Upside Potential Ratio
    8.50060
  • Upside part of mean
    0.85638
  • Downside part of mean
    -0.33639
  • Upside SD
    0.18329
  • Downside SD
    0.10074
  • N nonnegative terms
    69.00000
  • N negative terms
    138.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    207.00000
  • Mean of predictor
    0.45140
  • Mean of criterion
    0.51999
  • SD of predictor
    0.18236
  • SD of criterion
    0.20717
  • Covariance
    0.00098
  • r
    0.02603
  • b (slope, estimate of beta)
    0.02958
  • a (intercept, estimate of alpha)
    0.50664
  • Mean Square Error
    0.04310
  • DF error
    205.00000
  • t(b)
    0.37286
  • p(b)
    0.35482
  • t(a)
    2.14415
  • p(a)
    0.01660
  • Lowerbound of 95% confidence interval for beta
    -0.12681
  • Upperbound of 95% confidence interval for beta
    0.18596
  • Lowerbound of 95% confidence interval for alpha
    0.04077
  • Upperbound of 95% confidence interval for alpha
    0.97251
  • Treynor index (mean / b)
    17.58210
  • Jensen alpha (a)
    0.50664
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01889
  • Expected Shortfall on VaR
    0.02411
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00339
  • Expected Shortfall on VaR
    0.00774
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    207.00000
  • Minimum
    0.92126
  • Quartile 1
    0.99965
  • Median
    1.00000
  • Quartile 3
    1.00107
  • Maximum
    1.07992
  • Mean of quarter 1
    0.99527
  • Mean of quarter 2
    0.99997
  • Mean of quarter 3
    1.00022
  • Mean of quarter 4
    1.01320
  • Inter Quartile Range
    0.00142
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.10145
  • Mean of outliers low
    0.99011
  • Number of outliers high
    35.00000
  • Percentage of outliers high
    0.16908
  • Mean of outliers high
    1.01862
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.78521
  • VaR(95%) (moments method)
    0.00378
  • Expected Shortfall (moments method)
    0.01969
  • Extreme Value Index (regression method)
    0.70772
  • VaR(95%) (regression method)
    0.00352
  • Expected Shortfall (regression method)
    0.01359
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00101
  • Median
    0.00302
  • Quartile 3
    0.00828
  • Maximum
    0.09887
  • Mean of quarter 1
    0.00044
  • Mean of quarter 2
    0.00167
  • Mean of quarter 3
    0.00476
  • Mean of quarter 4
    0.03338
  • Inter Quartile Range
    0.00727
  • 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
    0.10000
  • Mean of outliers high
    0.06258
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.62539
  • VaR(95%) (moments method)
    0.03313
  • Expected Shortfall (moments method)
    0.09907
  • Extreme Value Index (regression method)
    1.26554
  • VaR(95%) (regression method)
    0.04774
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.68562
  • Compounded annual return (geometric extrapolation)
    0.72962
  • Calmar ratio (compounded annual return / max draw down)
    7.37967
  • Compounded annual return / average of 25% largest draw downs
    21.85510
  • Compounded annual return / Expected Shortfall lognormal
    30.26290
  • 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
    0.44618
  • SD
    0.24204
  • Sharpe ratio (Glass type estimate)
    1.84344
  • Sharpe ratio (Hedges UMVUE)
    1.83278
  • df
    130.00000
  • t
    1.30351
  • p
    0.44321
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94080
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.62078
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94796
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.61353
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.82778
  • Upside Potential Ratio
    6.85712
  • Upside part of mean
    0.79929
  • Downside part of mean
    -0.35311
  • Upside SD
    0.21286
  • Downside SD
    0.11656
  • N nonnegative terms
    32.00000
  • N negative terms
    99.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.58685
  • Mean of criterion
    0.44618
  • SD of predictor
    0.21192
  • SD of criterion
    0.24204
  • Covariance
    0.00281
  • r
    0.05481
  • b (slope, estimate of beta)
    0.06260
  • a (intercept, estimate of alpha)
    0.40944
  • Mean Square Error
    0.05886
  • DF error
    129.00000
  • t(b)
    0.62351
  • p(b)
    0.46512
  • t(a)
    1.17614
  • p(a)
    0.43454
  • Lowerbound of 95% confidence interval for beta
    -0.13605
  • Upperbound of 95% confidence interval for beta
    0.26126
  • Lowerbound of 95% confidence interval for alpha
    -0.27933
  • Upperbound of 95% confidence interval for alpha
    1.09821
  • Treynor index (mean / b)
    7.12706
  • Jensen alpha (a)
    0.40944
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.41737
  • SD
    0.23804
  • Sharpe ratio (Glass type estimate)
    1.75336
  • Sharpe ratio (Hedges UMVUE)
    1.74323
  • df
    130.00000
  • t
    1.23981
  • p
    0.44595
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.02990
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.53008
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.03667
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.52312
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.44797
  • Upside Potential Ratio
    6.42379
  • Upside part of mean
    0.77759
  • Downside part of mean
    -0.36022
  • Upside SD
    0.20553
  • Downside SD
    0.12105
  • N nonnegative terms
    32.00000
  • N negative terms
    99.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.56393
  • Mean of criterion
    0.41737
  • SD of predictor
    0.21161
  • SD of criterion
    0.23804
  • Covariance
    0.00283
  • r
    0.05616
  • b (slope, estimate of beta)
    0.06318
  • a (intercept, estimate of alpha)
    0.38174
  • Mean Square Error
    0.05692
  • DF error
    129.00000
  • t(b)
    0.63892
  • p(b)
    0.46426
  • t(a)
    1.11625
  • p(a)
    0.43783
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    -0.13247
  • Upperbound of 95% confidence interval for beta
    0.25883
  • Lowerbound of 95% confidence interval for alpha
    -0.29489
  • Upperbound of 95% confidence interval for alpha
    1.05837
  • Treynor index (mean / b)
    6.60605
  • Jensen alpha (a)
    0.38174
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02234
  • Expected Shortfall on VaR
    0.02832
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00391
  • Expected Shortfall on VaR
    0.00890
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92126
  • Quartile 1
    0.99965
  • Median
    1.00000
  • Quartile 3
    1.00005
  • Maximum
    1.07992
  • Mean of quarter 1
    0.99499
  • Mean of quarter 2
    0.99998
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01222
  • Inter Quartile Range
    0.00040
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.17557
  • Mean of outliers low
    0.99310
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.21374
  • Mean of outliers high
    1.01433
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.94470
  • VaR(95%) (moments method)
    0.00369
  • Expected Shortfall (moments method)
    0.07119
  • Extreme Value Index (regression method)
    1.13723
  • VaR(95%) (regression method)
    0.00353
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00042
  • Quartile 1
    0.00094
  • Median
    0.00281
  • Quartile 3
    0.01363
  • Maximum
    0.09887
  • Mean of quarter 1
    0.00062
  • Mean of quarter 2
    0.00204
  • Mean of quarter 3
    0.01063
  • Mean of quarter 4
    0.05838
  • Inter Quartile Range
    0.01269
  • 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
    0.11111
  • Mean of outliers high
    0.09887
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.75858
  • VaR(95%) (moments method)
    0.05615
  • Expected Shortfall (moments method)
    0.25335
  • Extreme Value Index (regression method)
    3.25218
  • VaR(95%) (regression method)
    0.25020
  • 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?
    -345349000
  • Max Equity Drawdown (num days)
    15
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.49874
  • Compounded annual return (geometric extrapolation)
    0.56093
  • Calmar ratio (compounded annual return / max draw down)
    5.67346
  • Compounded annual return / average of 25% largest draw downs
    9.60890
  • Compounded annual return / Expected Shortfall lognormal
    19.80800

Strategy Description

This system trade by Dow Jones Trend theory, just follow the long term trend, never let loss go far away, close the losing trade when it reach stop loss line. do the proper choice all the time, That's the correct way on surviving,. you survive then make the life better. do the right thing, that's most important.

Summary Statistics

Strategy began
2023-04-18
Suggested Minimum Capital
$50,000
# Trades
216
# Profitable
118
% Profitable
54.6%
Correlation S&P500
0.032
Sharpe Ratio
1.20
Sortino Ratio
2.36
Beta
0.04
Alpha
0.06
Leverage
4.11 Average
46.96 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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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.