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NEURAL STARK STRATEGY
(123479706)

Created by: ROBERTSTARK ROBERTSTARK
Started: 04/2019
Futures
Last trade: Yesterday
Trading style: Futures Trend-following 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 $100.00 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.
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).
12.0%
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.

(40.7%)
Max Drawdown
1501
Num Trades
58.2%
Win Trades
1.2 : 1
Profit Factor
62.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                     (0.3%)+4.2%+5.8%(0.9%)(0.4%)  -  +8.4%+3.5%+2.6%+25.0%
2020(1.3%)+2.1%+7.2%(1.1%)+0.3%+2.1%+2.5%+1.4%+5.6%(2.1%)+8.2%(3.3%)+22.9%
2021+4.0%(2.6%)+3.9%+5.5%+3.1%+2.5%+1.5%(0.8%)+1.3%+0.5%(5.8%)+7.1%+21.4%
2022+2.6%+3.4%+2.1%(1.1%)(2.4%)+2.0%+7.1%(0.4%)+2.6%+1.9%+6.0%(5.4%)+19.3%
2023(11.9%)(13.7%)(8%)                                                      (30%)

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 2,128 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 49 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/13/23 11:12 @QMK3 MINY CRUDE OIL LONG 21 69.951 3/22 15:05 69.485 10.54%
Trade id #143878445
Max drawdown($7,990)
Time3/16/23 0:00
Quant open3
Worst price65.925
Drawdown as % of equity-10.54%
 ($5,064)
Includes Typical Broker Commissions trade costs of $164.00
3/22/23 14:28 QNGK3 Natural Gas LONG 1 2.302 3/22 14:32 2.327 n/a $242
Includes Typical Broker Commissions trade costs of $8.00
3/15/23 12:28 @YMM3 MINI DOW SHORT 1 31671 3/15 12:29 31699 0.18%
Trade id #143914501
Max drawdown($140)
Time3/15/23 12:29
Quant open1
Worst price31699
Drawdown as % of equity-0.18%
 ($148)
Includes Typical Broker Commissions trade costs of $8.00
3/13/23 9:07 @QMK3 MINY CRUDE OIL LONG 2 73.800 3/13 10:53 75.225 0.2%
Trade id #143873704
Max drawdown($162)
Time3/13/23 9:10
Quant open1
Worst price72.925
Drawdown as % of equity-0.20%
 $1,409
Includes Typical Broker Commissions trade costs of $16.00
3/3/23 10:42 @MYMM3 MICRO E-MINI DOW SHORT 3 33250 3/12 20:48 32844 0.27%
Trade id #143767500
Max drawdown($230)
Time3/6/23 0:00
Quant open1
Worst price33855
Drawdown as % of equity-0.27%
 $607
Includes Typical Broker Commissions trade costs of $2.82
3/2/23 10:05 QNGJ3 Natural Gas LONG 1 2.806 3/3 12:56 2.967 1.16%
Trade id #143751747
Max drawdown($960)
Time3/2/23 12:24
Quant open1
Worst price2.710
Drawdown as % of equity-1.16%
 $1,602
Includes Typical Broker Commissions trade costs of $8.00
2/28/23 14:28 @QGJ3 MINY NATURAL GAS LONG 6 2.767 3/2 10:26 2.767 0.25%
Trade id #143723820
Max drawdown($208)
Time3/2/23 7:34
Quant open2
Worst price2.725
Drawdown as % of equity-0.25%
 ($48)
Includes Typical Broker Commissions trade costs of $48.00
2/27/23 12:39 @QGJ3 MINY NATURAL GAS LONG 4 2.690 2/28 13:57 2.652 0.65%
Trade id #143710428
Max drawdown($550)
Time2/28/23 11:20
Quant open2
Worst price2.580
Drawdown as % of equity-0.65%
 ($407)
Includes Typical Broker Commissions trade costs of $32.00
2/24/23 9:14 QNGJ3 Natural Gas LONG 1 2.506 2/27 12:39 2.675 0.57%
Trade id #143685909
Max drawdown($470)
Time2/24/23 9:47
Quant open1
Worst price2.459
Drawdown as % of equity-0.57%
 $1,682
Includes Typical Broker Commissions trade costs of $8.00
2/23/23 10:37 @QGJ3 MINY NATURAL GAS LONG 5 2.479 2/27 10:22 2.531 0.28%
Trade id #143675962
Max drawdown($225)
Time2/23/23 11:58
Quant open1
Worst price2.320
Drawdown as % of equity-0.28%
 $610
Includes Typical Broker Commissions trade costs of $40.00
2/21/23 23:02 QNGJ3 Natural Gas LONG 2 2.179 2/24 8:40 2.357 0.63%
Trade id #143656836
Max drawdown($480)
Time2/22/23 0:00
Quant open1
Worst price2.113
Drawdown as % of equity-0.63%
 $3,544
Includes Typical Broker Commissions trade costs of $16.00
2/23/23 8:32 @QGJ3 MINY NATURAL GAS LONG 3 2.340 2/23 10:35 2.388 0.19%
Trade id #143672976
Max drawdown($150)
Time2/23/23 8:41
Quant open2
Worst price2.280
Drawdown as % of equity-0.19%
 $339
Includes Typical Broker Commissions trade costs of $24.00
1/24/23 8:46 @QGH3 MINY NATURAL GAS LONG 16 2.541 2/23 0:00 2.393 7.48%
Trade id #143315397
Max drawdown($6,614)
Time2/3/23 0:00
Quant open5
Worst price2.340
Drawdown as % of equity-7.48%
 ($6,053)
Includes Typical Broker Commissions trade costs of $128.00
2/21/23 10:13 QNGJ3 Natural Gas LONG 2 2.192 2/21 22:59 2.186 0.76%
Trade id #143648098
Max drawdown($600)
Time2/21/23 13:36
Quant open2
Worst price2.162
Drawdown as % of equity-0.76%
 ($136)
Includes Typical Broker Commissions trade costs of $16.00
2/21/23 10:08 @QGJ3 MINY NATURAL GAS LONG 2 2.210 2/21 22:59 2.155 0.39%
Trade id #143647932
Max drawdown($300)
Time2/21/23 18:25
Quant open2
Worst price2.150
Drawdown as % of equity-0.39%
 ($291)
Includes Typical Broker Commissions trade costs of $16.00
1/17/23 13:51 QNGH3 Natural Gas LONG 5 2.946 2/21 18:23 2.574 23.49%
Trade id #143241933
Max drawdown($17,964)
Time2/21/23 18:23
Quant open2
Worst price2.048
Drawdown as % of equity-23.49%
 ($18,635)
Includes Typical Broker Commissions trade costs of $40.00
2/2/23 19:30 @MYMH3 MICRO E-MINI DOW SHORT 4 34034 2/17 9:19 33837 0.6%
Trade id #143439464
Max drawdown($537)
Time2/14/23 0:00
Quant open2
Worst price34551
Drawdown as % of equity-0.60%
 $389
Includes Typical Broker Commissions trade costs of $3.76
1/23/23 6:24 @QGH3 MINY NATURAL GAS LONG 1 3.150 1/24 7:22 3.260 0.39%
Trade id #143298033
Max drawdown($400)
Time1/23/23 11:38
Quant open1
Worst price2.990
Drawdown as % of equity-0.39%
 $267
Includes Typical Broker Commissions trade costs of $8.00
1/20/23 10:19 @QGH3 MINY NATURAL GAS LONG 2 3.118 1/22 18:12 3.118 0.33%
Trade id #143282093
Max drawdown($337)
Time1/20/23 14:17
Quant open2
Worst price3.050
Drawdown as % of equity-0.33%
 ($16)
Includes Typical Broker Commissions trade costs of $16.00
1/17/23 8:59 @MYMH3 MICRO E-MINI DOW SHORT 3 34177 1/19 6:01 33436 0.1%
Trade id #143235977
Max drawdown($110)
Time1/17/23 9:30
Quant open2
Worst price34385
Drawdown as % of equity-0.10%
 $1,109
Includes Typical Broker Commissions trade costs of $2.82
12/14/22 7:49 @QGG3 MINY NATURAL GAS LONG 8 4.974 1/18/23 10:55 4.129 11.97%
Trade id #142872530
Max drawdown($12,745)
Time1/18/23 0:00
Quant open3
Worst price3.275
Drawdown as % of equity-11.97%
 ($16,964)
Includes Typical Broker Commissions trade costs of $64.00
1/13/23 13:03 QNGG3 Natural Gas LONG 2 3.473 1/15 18:04 3.518 1.49%
Trade id #143214365
Max drawdown($1,550)
Time1/13/23 14:21
Quant open1
Worst price3.384
Drawdown as % of equity-1.49%
 $899
Includes Typical Broker Commissions trade costs of $16.00
1/5/23 8:53 @QGH3 MINY NATURAL GAS LONG 1 3.580 1/13 14:25 3.180 1.06%
Trade id #143105335
Max drawdown($1,112)
Time1/11/23 0:00
Quant open1
Worst price3.135
Drawdown as % of equity-1.06%
 ($1,008)
Includes Typical Broker Commissions trade costs of $8.00
1/13/23 8:08 QNGG3 Natural Gas LONG 1 3.596 1/13 9:01 3.529 0.8%
Trade id #143207764
Max drawdown($850)
Time1/13/23 9:00
Quant open1
Worst price3.511
Drawdown as % of equity-0.80%
 ($678)
Includes Typical Broker Commissions trade costs of $8.00
1/11/23 9:42 QNGG3 Natural Gas LONG 2 3.541 1/11 13:42 3.579 1.93%
Trade id #143176207
Max drawdown($2,043)
Time1/11/23 10:42
Quant open1
Worst price3.422
Drawdown as % of equity-1.93%
 $727
Includes Typical Broker Commissions trade costs of $16.00
1/6/23 6:59 QNGG3 Natural Gas LONG 1 3.608 1/6 9:42 3.711 0.85%
Trade id #143120263
Max drawdown($883)
Time1/6/23 7:32
Quant open1
Worst price3.520
Drawdown as % of equity-0.85%
 $1,022
Includes Typical Broker Commissions trade costs of $8.00
1/5/23 12:50 QNGG3 Natural Gas LONG 1 3.683 1/5 18:00 3.762 0.22%
Trade id #143111911
Max drawdown($226)
Time1/5/23 13:00
Quant open1
Worst price3.660
Drawdown as % of equity-0.22%
 $789
Includes Typical Broker Commissions trade costs of $8.00
12/30/22 10:41 QNGG3 Natural Gas LONG 1 4.395 12/30 11:17 4.445 0.14%
Trade id #143045637
Max drawdown($156)
Time12/30/22 10:44
Quant open1
Worst price4.379
Drawdown as % of equity-0.14%
 $492
Includes Typical Broker Commissions trade costs of $8.00
12/28/22 9:41 QNGG3 Natural Gas LONG 2 4.556 12/28 14:45 4.638 1.72%
Trade id #143017601
Max drawdown($1,880)
Time12/28/22 11:09
Quant open2
Worst price4.462
Drawdown as % of equity-1.72%
 $1,624
Includes Typical Broker Commissions trade costs of $16.00
12/19/22 11:10 @QGF3 MINY NATURAL GAS LONG 4 5.466 12/27 12:38 5.265 5.75%
Trade id #142926258
Max drawdown($6,412)
Time12/23/22 0:00
Quant open4
Worst price4.825
Drawdown as % of equity-5.75%
 ($2,045)
Includes Typical Broker Commissions trade costs of $32.00
Next

Statistics

  • Strategy began
    4/30/2019
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    1422.64
  • Age
    47 months ago
  • What it trades
    Futures
  • # Trades
    1501
  • # Profitable
    874
  • % Profitable
    58.20%
  • Avg trade duration
    2.1 days
  • Max peak-to-valley drawdown
    40.71%
  • drawdown period
    Dec 15, 2022 - March 17, 2023
  • Annual Return (Compounded)
    12.0%
  • Avg win
    $406.88
  • Avg loss
    $482.19
  • Model Account Values (Raw)
  • Cash
    $99,451
  • Margin Used
    $2,472
  • Buying Power
    $95,076
  • Ratios
  • W:L ratio
    1.18:1
  • Sharpe Ratio
    0.42
  • Sortino Ratio
    0.6
  • Calmar Ratio
    0.573
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    22.01%
  • Correlation to SP500
    0.17590
  • Return Percent SP500 (cumu) during strategy life
    33.65%
  • Return Statistics
  • Ann Return (w trading costs)
    12.0%
  • Slump
  • Current Slump as Pcnt Equity
    54.00%
  • Instruments
  • Percent Trades Futures
    0.90%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.07%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.120%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    0.09%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    18.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    46.50%
  • Chance of 20% account loss
    14.50%
  • Chance of 30% account loss
    6.50%
  • Chance of 40% account loss
    0.50%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    0.06%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    524
  • Popularity (Last 6 weeks)
    891
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    741
  • Popularity (7 days, Percentile 1000 scale)
    627
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $491
  • Avg Win
    $407
  • Sum Trade PL (losers)
    $308,164.000
  • Age
  • Num Months filled monthly returns table
    48
  • Win / Loss
  • Sum Trade PL (winners)
    $355,616.000
  • # Winners
    874
  • Num Months Winners
    31
  • Dividends
  • Dividends Received in Model Acct
    141
  • Win / Loss
  • # Losers
    627
  • % Winners
    58.2%
  • Frequency
  • Avg Position Time (mins)
    3040.75
  • Avg Position Time (hrs)
    50.68
  • Avg Trade Length
    2.1 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.82
  • Daily leverage (max)
    18.59
  • Regression
  • Alpha
    0.03
  • Beta
    0.19
  • Treynor Index
    0.18
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    13.40
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    9.81
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.81
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -8.138
  • 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
    0.769
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.481
  • Hold-and-Hope Ratio
    -0.147
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17149
  • SD
    0.14022
  • Sharpe ratio (Glass type estimate)
    1.22297
  • Sharpe ratio (Hedges UMVUE)
    1.20245
  • df
    45.00000
  • t
    2.39443
  • p
    0.01044
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18433
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.24886
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.17103
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.23387
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.03131
  • Upside Potential Ratio
    3.28360
  • Upside part of mean
    0.27721
  • Downside part of mean
    -0.10572
  • Upside SD
    0.12066
  • Downside SD
    0.08442
  • N nonnegative terms
    31.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    46.00000
  • Mean of predictor
    0.06804
  • Mean of criterion
    0.17149
  • SD of predictor
    0.18537
  • SD of criterion
    0.14022
  • Covariance
    -0.00145
  • r
    -0.05573
  • b (slope, estimate of beta)
    -0.04216
  • a (intercept, estimate of alpha)
    0.17435
  • Mean Square Error
    0.02005
  • DF error
    44.00000
  • t(b)
    -0.37024
  • p(b)
    0.64351
  • t(a)
    2.39731
  • p(a)
    0.01041
  • Lowerbound of 95% confidence interval for beta
    -0.27163
  • Upperbound of 95% confidence interval for beta
    0.18732
  • Lowerbound of 95% confidence interval for alpha
    0.02778
  • Upperbound of 95% confidence interval for alpha
    0.32093
  • Treynor index (mean / b)
    -4.06784
  • Jensen alpha (a)
    0.17435
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16036
  • SD
    0.14040
  • Sharpe ratio (Glass type estimate)
    1.14216
  • Sharpe ratio (Hedges UMVUE)
    1.12300
  • df
    45.00000
  • t
    2.23622
  • p
    0.01517
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10781
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16449
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09541
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.15059
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.80524
  • Upside Potential Ratio
    3.03549
  • Upside part of mean
    0.26964
  • Downside part of mean
    -0.10928
  • Upside SD
    0.11634
  • Downside SD
    0.08883
  • N nonnegative terms
    31.00000
  • N negative terms
    15.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    46.00000
  • Mean of predictor
    0.05100
  • Mean of criterion
    0.16036
  • SD of predictor
    0.18514
  • SD of criterion
    0.14040
  • Covariance
    -0.00178
  • r
    -0.06843
  • b (slope, estimate of beta)
    -0.05189
  • a (intercept, estimate of alpha)
    0.16301
  • Mean Square Error
    0.02007
  • DF error
    44.00000
  • t(b)
    -0.45500
  • p(b)
    0.67433
  • t(a)
    2.24577
  • p(a)
    0.01490
  • Lowerbound of 95% confidence interval for beta
    -0.28176
  • Upperbound of 95% confidence interval for beta
    0.17797
  • Lowerbound of 95% confidence interval for alpha
    0.01672
  • Upperbound of 95% confidence interval for alpha
    0.30929
  • Treynor index (mean / b)
    -3.09005
  • Jensen alpha (a)
    0.16301
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05191
  • Expected Shortfall on VaR
    0.06772
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01453
  • Expected Shortfall on VaR
    0.03407
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    46.00000
  • Minimum
    0.87004
  • Quartile 1
    0.99892
  • Median
    1.02014
  • Quartile 3
    1.03453
  • Maximum
    1.12521
  • Mean of quarter 1
    0.96896
  • Mean of quarter 2
    1.00960
  • Mean of quarter 3
    1.02766
  • Mean of quarter 4
    1.06058
  • Inter Quartile Range
    0.03560
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.02174
  • Mean of outliers low
    0.87004
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.02174
  • Mean of outliers high
    1.12521
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.15517
  • VaR(95%) (moments method)
    0.00736
  • Expected Shortfall (moments method)
    0.01029
  • Extreme Value Index (regression method)
    0.22674
  • VaR(95%) (regression method)
    0.03456
  • Expected Shortfall (regression method)
    0.06605
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00271
  • Quartile 1
    0.00774
  • Median
    0.01497
  • Quartile 3
    0.03122
  • Maximum
    0.21122
  • Mean of quarter 1
    0.00587
  • Mean of quarter 2
    0.01464
  • Mean of quarter 3
    0.02694
  • Mean of quarter 4
    0.12866
  • Inter Quartile Range
    0.02348
  • 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
    0.21122
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.50730
  • VaR(95%) (moments method)
    0.11134
  • Expected Shortfall (moments method)
    0.26676
  • Extreme Value Index (regression method)
    2.47149
  • VaR(95%) (regression method)
    0.39733
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27597
  • Compounded annual return (geometric extrapolation)
    0.20715
  • Calmar ratio (compounded annual return / max draw down)
    0.98074
  • Compounded annual return / average of 25% largest draw downs
    1.61004
  • Compounded annual return / Expected Shortfall lognormal
    3.05883
  • 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
    0.16659
  • SD
    0.21099
  • Sharpe ratio (Glass type estimate)
    0.78961
  • Sharpe ratio (Hedges UMVUE)
    0.78902
  • df
    1015.00000
  • t
    1.55492
  • p
    0.46898
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20647
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78531
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20686
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78491
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.14345
  • Upside Potential Ratio
    7.69603
  • Upside part of mean
    1.12128
  • Downside part of mean
    -0.95468
  • Upside SD
    0.15281
  • Downside SD
    0.14570
  • N nonnegative terms
    531.00000
  • N negative terms
    485.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1016.00000
  • Mean of predictor
    0.07426
  • Mean of criterion
    0.16659
  • SD of predictor
    0.23338
  • SD of criterion
    0.21099
  • Covariance
    0.01015
  • r
    0.20615
  • b (slope, estimate of beta)
    0.18636
  • a (intercept, estimate of alpha)
    0.15300
  • Mean Square Error
    0.04266
  • DF error
    1014.00000
  • t(b)
    6.70855
  • p(b)
    0.39693
  • t(a)
    1.45605
  • p(a)
    0.47716
  • Lowerbound of 95% confidence interval for beta
    0.13185
  • Upperbound of 95% confidence interval for beta
    0.24088
  • Lowerbound of 95% confidence interval for alpha
    -0.05311
  • Upperbound of 95% confidence interval for alpha
    0.35863
  • Treynor index (mean / b)
    0.89392
  • Jensen alpha (a)
    0.15276
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14430
  • SD
    0.21099
  • Sharpe ratio (Glass type estimate)
    0.68393
  • Sharpe ratio (Hedges UMVUE)
    0.68342
  • df
    1015.00000
  • t
    1.34681
  • p
    0.47312
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31197
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67951
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.31232
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.67916
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.97162
  • Upside Potential Ratio
    7.47232
  • Upside part of mean
    1.10977
  • Downside part of mean
    -0.96547
  • Upside SD
    0.14999
  • Downside SD
    0.14852
  • N nonnegative terms
    531.00000
  • N negative terms
    485.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1016.00000
  • Mean of predictor
    0.04688
  • Mean of criterion
    0.14430
  • SD of predictor
    0.23445
  • SD of criterion
    0.21099
  • Covariance
    0.01023
  • r
    0.20677
  • b (slope, estimate of beta)
    0.18608
  • a (intercept, estimate of alpha)
    0.13558
  • Mean Square Error
    0.04266
  • DF error
    1014.00000
  • t(b)
    6.72986
  • p(b)
    0.39661
  • t(a)
    1.29260
  • p(a)
    0.47972
  • Lowerbound of 95% confidence interval for beta
    0.13182
  • Upperbound of 95% confidence interval for beta
    0.24034
  • Lowerbound of 95% confidence interval for alpha
    -0.07024
  • Upperbound of 95% confidence interval for alpha
    0.34140
  • Treynor index (mean / b)
    0.77548
  • Jensen alpha (a)
    0.13558
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02067
  • Expected Shortfall on VaR
    0.02598
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00801
  • Expected Shortfall on VaR
    0.01703
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1016.00000
  • Minimum
    0.91995
  • Quartile 1
    0.99701
  • Median
    1.00045
  • Quartile 3
    1.00539
  • Maximum
    1.08659
  • Mean of quarter 1
    0.98650
  • Mean of quarter 2
    0.99915
  • Mean of quarter 3
    1.00251
  • Mean of quarter 4
    1.01481
  • Inter Quartile Range
    0.00838
  • Number outliers low
    77.00000
  • Percentage of outliers low
    0.07579
  • Mean of outliers low
    0.97317
  • Number of outliers high
    57.00000
  • Percentage of outliers high
    0.05610
  • Mean of outliers high
    1.03084
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.27691
  • VaR(95%) (moments method)
    0.01050
  • Expected Shortfall (moments method)
    0.01848
  • Extreme Value Index (regression method)
    0.05415
  • VaR(95%) (regression method)
    0.01312
  • Expected Shortfall (regression method)
    0.02006
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    84.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00406
  • Median
    0.01223
  • Quartile 3
    0.02691
  • Maximum
    0.32784
  • Mean of quarter 1
    0.00159
  • Mean of quarter 2
    0.00807
  • Mean of quarter 3
    0.01982
  • Mean of quarter 4
    0.07387
  • Inter Quartile Range
    0.02286
  • 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
    0.08333
  • Mean of outliers high
    0.13112
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.22628
  • VaR(95%) (moments method)
    0.07010
  • Expected Shortfall (moments method)
    0.11152
  • Extreme Value Index (regression method)
    0.67533
  • VaR(95%) (regression method)
    0.05751
  • Expected Shortfall (regression method)
    0.15063
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24497
  • Compounded annual return (geometric extrapolation)
    0.18793
  • Calmar ratio (compounded annual return / max draw down)
    0.57323
  • Compounded annual return / average of 25% largest draw downs
    2.54410
  • Compounded annual return / Expected Shortfall lognormal
    7.23305
  • 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
    -0.46683
  • SD
    0.25880
  • Sharpe ratio (Glass type estimate)
    -1.80383
  • Sharpe ratio (Hedges UMVUE)
    -1.79341
  • df
    130.00000
  • t
    -1.27550
  • p
    0.55559
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.58091
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.98002
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.57377
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98696
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.29345
  • Upside Potential Ratio
    6.68602
  • Upside part of mean
    1.36094
  • Downside part of mean
    -1.82778
  • Upside SD
    0.16083
  • Downside SD
    0.20355
  • N nonnegative terms
    55.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07160
  • Mean of criterion
    -0.46683
  • SD of predictor
    0.21768
  • SD of criterion
    0.25880
  • Covariance
    0.01382
  • r
    0.24529
  • b (slope, estimate of beta)
    0.29163
  • a (intercept, estimate of alpha)
    -0.48771
  • Mean Square Error
    0.06344
  • DF error
    129.00000
  • t(b)
    2.87377
  • p(b)
    0.34542
  • t(a)
    -1.36897
  • p(a)
    0.57600
  • Lowerbound of 95% confidence interval for beta
    0.09085
  • Upperbound of 95% confidence interval for beta
    0.49241
  • Lowerbound of 95% confidence interval for alpha
    -1.19259
  • Upperbound of 95% confidence interval for alpha
    0.21716
  • Treynor index (mean / b)
    -1.60077
  • Jensen alpha (a)
    -0.48771
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.50064
  • SD
    0.25978
  • Sharpe ratio (Glass type estimate)
    -1.92715
  • Sharpe ratio (Hedges UMVUE)
    -1.91601
  • df
    130.00000
  • t
    -1.36270
  • p
    0.55934
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.70521
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.85817
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.69759
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.86556
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.42295
  • Upside Potential Ratio
    6.52436
  • Upside part of mean
    1.34808
  • Downside part of mean
    -1.84871
  • Upside SD
    0.15885
  • Downside SD
    0.20662
  • N nonnegative terms
    55.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04822
  • Mean of criterion
    -0.50064
  • SD of predictor
    0.21670
  • SD of criterion
    0.25978
  • Covariance
    0.01382
  • r
    0.24552
  • b (slope, estimate of beta)
    0.29433
  • a (intercept, estimate of alpha)
    -0.51483
  • Mean Square Error
    0.06391
  • DF error
    129.00000
  • t(b)
    2.87658
  • p(b)
    0.34528
  • t(a)
    -1.43987
  • p(a)
    0.57985
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    0.09189
  • Upperbound of 95% confidence interval for beta
    0.49677
  • Lowerbound of 95% confidence interval for alpha
    -1.22225
  • Upperbound of 95% confidence interval for alpha
    0.19260
  • Treynor index (mean / b)
    -1.70092
  • Jensen alpha (a)
    -0.51483
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02791
  • Expected Shortfall on VaR
    0.03439
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01770
  • Expected Shortfall on VaR
    0.03148
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95236
  • Quartile 1
    0.98931
  • Median
    0.99902
  • Quartile 3
    1.00852
  • Maximum
    1.03946
  • Mean of quarter 1
    0.97789
  • Mean of quarter 2
    0.99479
  • Mean of quarter 3
    1.00305
  • Mean of quarter 4
    1.01770
  • Inter Quartile Range
    0.01921
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.95627
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.00763
  • Mean of outliers high
    1.03946
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.09094
  • VaR(95%) (moments method)
    0.02200
  • Expected Shortfall (moments method)
    0.02805
  • Extreme Value Index (regression method)
    -0.35054
  • VaR(95%) (regression method)
    0.02264
  • Expected Shortfall (regression method)
    0.02671
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00668
  • Quartile 1
    0.01109
  • Median
    0.01971
  • Quartile 3
    0.05619
  • Maximum
    0.32784
  • Mean of quarter 1
    0.00856
  • Mean of quarter 2
    0.01765
  • Mean of quarter 3
    0.05153
  • Mean of quarter 4
    0.19694
  • Inter Quartile Range
    0.04510
  • 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
    0.32784
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.74058
  • VaR(95%) (moments method)
    0.20361
  • Expected Shortfall (moments method)
    0.83300
  • Extreme Value Index (regression method)
    3.73110
  • VaR(95%) (regression method)
    0.98676
  • Last 4 Months - Pcnt Negative
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -361999000
  • Max Equity Drawdown (num days)
    92
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.42101
  • Compounded annual return (geometric extrapolation)
    -0.37670
  • Calmar ratio (compounded annual return / max draw down)
    -1.14904
  • Compounded annual return / average of 25% largest draw downs
    -1.91274
  • Compounded annual return / Expected Shortfall lognormal
    -10.95290

Strategy Description

The strategy is looking at trends and specific levels of interest. The investment process is split between two processes short term trading (scalping) and position trading which can provide higher yields. We follow 30 financial and commodity markets in total on the software.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2019-04-30
Suggested Minimum Capital
$80,000
Rank at C2 
#216
# Trades
1501
# Profitable
874
% Profitable
58.2%
Net Dividends
$141
Correlation S&P500
0.176
Sharpe Ratio
0.42
Sortino Ratio
0.60
Beta
0.19
Alpha
0.03
Leverage
1.82 Average
18.59 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.