Collective2 Collective2

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...

gandalf
(142393685)

Created by: Aziz Aziz
Started: 11/2022
Futures
Last trade: 5 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).
37.1%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(8.5%)
Max Drawdown
320
Num Trades
54.4%
Win Trades
1.5 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                      +3.8%+15.2%+19.6%
2023+0.9%+4.2%+2.2%+1.9%+4.7%                                          +14.7%

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.

System developer has asked us to delay this information by 10 hours.

Trading Record

This strategy has placed 354 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 20 days ago.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/26/23 10:31: Rescaled downward to 91% of previous Model Account size
5/25/23 10:49 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 5.460000000 13925.25 5/25 11:16 13967.75 0.21%
Trade id #144743795
Max drawdown($109)
Time5/25/23 10:53
Quant open5
Worst price13914.20
Drawdown as % of equity-0.21%
 $459
Includes Typical Broker Commissions trade costs of $5.14
5/25/23 10:29 @NQM3 E-MINI NASDAQ 100 STK IDX LONG 1.820000000 13886.62 5/25 10:49 13928.75 0.52%
Trade id #144743445
Max drawdown($269)
Time5/25/23 10:32
Quant open1
Worst price13867.80
Drawdown as % of equity-0.52%
 $1,518
Includes Typical Broker Commissions trade costs of $14.56
5/25/23 10:20 @NQM3 E-MINI NASDAQ 100 STK IDX SHORT 1.820000000 13861.25 5/25 10:26 13859.50 0.61%
Trade id #144743284
Max drawdown($314)
Time5/25/23 10:26
Quant open2
Worst price13870.80
Drawdown as % of equity-0.61%
 $49
Includes Typical Broker Commissions trade costs of $14.56
5/25/23 10:07 @NQM3 E-MINI NASDAQ 100 STK IDX SHORT 1.820000000 13880.50 5/25 10:14 13878.00 0.15%
Trade id #144742916
Max drawdown($78)
Time5/25/23 10:10
Quant open1
Worst price13885.50
Drawdown as % of equity-0.15%
 $76
Includes Typical Broker Commissions trade costs of $14.56
5/25/23 9:58 @NQM3 E-MINI NASDAQ 100 STK IDX LONG 1.820000000 13889.88 5/25 10:03 13889.50 0.56%
Trade id #144742493
Max drawdown($285)
Time5/25/23 10:02
Quant open2
Worst price13881.20
Drawdown as % of equity-0.56%
 ($29)
Includes Typical Broker Commissions trade costs of $14.56
5/25/23 9:29 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 4.550000000 13956.75 5/25 9:31 13909.50 0.77%
Trade id #144741195
Max drawdown($391)
Time5/25/23 9:31
Quant open5
Worst price13909.50
Drawdown as % of equity-0.77%
 ($434)
Includes Typical Broker Commissions trade costs of $4.28
5/25/23 8:20 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 9.100000000 13958.75 5/25 9:18 13967.25 0.58%
Trade id #144740634
Max drawdown($298)
Time5/25/23 8:35
Quant open5
Worst price13922.00
Drawdown as % of equity-0.58%
 $146
Includes Typical Broker Commissions trade costs of $8.56
5/25/23 7:57 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 9.100000000 13926.62 5/25 8:18 13948.50 n/a $389
Includes Typical Broker Commissions trade costs of $8.56
5/25/23 8:04 @NQM3 E-MINI NASDAQ 100 STK IDX LONG 0.910000000 13940.25 5/25 8:18 13948.00 0.32%
Trade id #144740489
Max drawdown($165)
Time5/25/23 8:07
Quant open1
Worst price13930.20
Drawdown as % of equity-0.32%
 $134
Includes Typical Broker Commissions trade costs of $7.28
5/25/23 7:18 @NQM3 E-MINI NASDAQ 100 STK IDX LONG 1.820000000 13904.62 5/25 7:28 13906.50 0.03%
Trade id #144740307
Max drawdown($16)
Time5/25/23 7:21
Quant open1
Worst price13902.00
Drawdown as % of equity-0.03%
 $53
Includes Typical Broker Commissions trade costs of $14.56
5/25/23 6:53 DXMM3 MINI-DAX INDEX SHORT 3.640000000 15870.0 5/25 7:16 15850.0 n/a $361
Includes Typical Broker Commissions trade costs of $29.12
5/25/23 7:12 @NQM3 E-MINI NASDAQ 100 STK IDX SHORT 0.910000000 13890.00 5/25 7:16 13903.00 0.41%
Trade id #144740255
Max drawdown($211)
Time5/25/23 7:16
Quant open1
Worst price13902.80
Drawdown as % of equity-0.41%
 ($244)
Includes Typical Broker Commissions trade costs of $7.28
5/25/23 7:06 @MNQM3 MICRO E-MINI NASDAQ 100 SHORT 4.550000000 13898.75 5/25 7:09 13897.00 0.01%
Trade id #144740239
Max drawdown($6)
Time5/25/23 7:09
Quant open5
Worst price13899.50
Drawdown as % of equity-0.01%
 $12
Includes Typical Broker Commissions trade costs of $4.28
5/24/23 15:47 DXMM3 MINI-DAX INDEX SHORT 5.460000000 15897.0 5/24 15:56 15881.8 n/a $401
Includes Typical Broker Commissions trade costs of $43.68
5/24/23 14:55 @NQM3 E-MINI NASDAQ 100 STK IDX SHORT 3.640000000 13609.00 5/24 15:05 13611.00 0.73%
Trade id #144735120
Max drawdown($380)
Time5/24/23 15:05
Quant open4
Worst price13614.80
Drawdown as % of equity-0.73%
 ($175)
Includes Typical Broker Commissions trade costs of $29.12
5/24/23 14:53 @NQM3 E-MINI NASDAQ 100 STK IDX SHORT 1.820000000 13621.50 5/24 14:53 13626.25 0.3%
Trade id #144735098
Max drawdown($157)
Time5/24/23 14:53
Quant open2
Worst price13626.20
Drawdown as % of equity-0.30%
 ($188)
Includes Typical Broker Commissions trade costs of $14.56
5/24/23 14:51 @NQM3 E-MINI NASDAQ 100 STK IDX LONG 1.820000000 13625.50 5/24 14:52 13617.75 0.49%
Trade id #144735090
Max drawdown($256)
Time5/24/23 14:52
Quant open2
Worst price13617.80
Drawdown as % of equity-0.49%
 ($297)
Includes Typical Broker Commissions trade costs of $14.56
5/24/23 14:39 @NQM3 E-MINI NASDAQ 100 STK IDX LONG 1.820000000 13625.62 5/24 14:48 13619.00 0.68%
Trade id #144735012
Max drawdown($351)
Time5/24/23 14:48
Quant open2
Worst price13615.00
Drawdown as % of equity-0.68%
 ($256)
Includes Typical Broker Commissions trade costs of $14.56
5/24/23 14:27 @NQM3 E-MINI NASDAQ 100 STK IDX SHORT 1.820000000 13611.50 5/24 14:35 13610.75 0.25%
Trade id #144734937
Max drawdown($132)
Time5/24/23 14:35
Quant open2
Worst price13615.50
Drawdown as % of equity-0.25%
 $12
Includes Typical Broker Commissions trade costs of $14.56
5/24/23 14:20 DXMM3 MINI-DAX INDEX SHORT 7.280000000 15889.4 5/24 14:28 15873.9 n/a $549
Includes Typical Broker Commissions trade costs of $58.24
5/24/23 14:17 @NQM3 E-MINI NASDAQ 100 STK IDX LONG 1.820000000 13627.25 5/24 14:21 13618.75 0.68%
Trade id #144734852
Max drawdown($356)
Time5/24/23 14:21
Quant open2
Worst price13616.50
Drawdown as % of equity-0.68%
 ($324)
Includes Typical Broker Commissions trade costs of $14.56
5/24/23 14:11 @NQM3 E-MINI NASDAQ 100 STK IDX SHORT 1.820000000 13621.62 5/24 14:15 13636.00 0.96%
Trade id #144734814
Max drawdown($501)
Time5/24/23 14:15
Quant open2
Worst price13636.80
Drawdown as % of equity-0.96%
 ($538)
Includes Typical Broker Commissions trade costs of $14.56
5/24/23 10:46 @NQM3 E-MINI NASDAQ 100 STK IDX SHORT 1.820000000 13595.50 5/24 11:07 13577.62 n/a $636
Includes Typical Broker Commissions trade costs of $14.56
5/24/23 10:38 @NQM3 E-MINI NASDAQ 100 STK IDX SHORT 1.820000000 13591.50 5/24 10:42 13603.00 0.76%
Trade id #144731210
Max drawdown($380)
Time5/24/23 10:42
Quant open2
Worst price13603.00
Drawdown as % of equity-0.76%
 ($434)
Includes Typical Broker Commissions trade costs of $14.56
5/24/23 9:30 @MNQM3 MICRO E-MINI NASDAQ 100 SHORT 9.100000000 13644.12 5/24 10:30 13600.25 1.02%
Trade id #144729056
Max drawdown($511)
Time5/24/23 9:42
Quant open8
Worst price13675.00
Drawdown as % of equity-1.02%
 $790
Includes Typical Broker Commissions trade costs of $8.56
5/24/23 9:45 @NQM3 E-MINI NASDAQ 100 STK IDX SHORT 0.910000000 13647.75 5/24 10:30 13598.75 0.26%
Trade id #144729612
Max drawdown($128)
Time5/24/23 9:49
Quant open1
Worst price13655.50
Drawdown as % of equity-0.26%
 $885
Includes Typical Broker Commissions trade costs of $7.28
5/24/23 1:39 DXMM3 MINI-DAX INDEX SHORT 3.640000000 16121.0 5/24 2:27 16071.5 n/a $943
Includes Typical Broker Commissions trade costs of $29.12
5/23/23 14:22 DXMM3 MINI-DAX INDEX SHORT 3.640000000 16148.0 5/23 21:42 16115.8 n/a $603
Includes Typical Broker Commissions trade costs of $29.12
5/23/23 11:27 @NQM3 E-MINI NASDAQ 100 STK IDX LONG 0.910000000 13868.25 5/23 11:49 13859.00 0.4%
Trade id #144720467
Max drawdown($198)
Time5/23/23 11:36
Quant open1
Worst price13856.20
Drawdown as % of equity-0.40%
 ($175)
Includes Typical Broker Commissions trade costs of $7.28
5/23/23 11:08 @NQM3 E-MINI NASDAQ 100 STK IDX LONG 0.910000000 13865.00 5/23 11:16 13853.50 0.48%
Trade id #144720260
Max drawdown($240)
Time5/23/23 11:14
Quant open1
Worst price13850.50
Drawdown as % of equity-0.48%
 ($216)
Includes Typical Broker Commissions trade costs of $7.28
Next

Statistics

  • Strategy began
    11/1/2022
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    210.33
  • Age
    7 months ago
  • What it trades
    Futures
  • # Trades
    320
  • # Profitable
    174
  • % Profitable
    54.40%
  • Avg trade duration
    8.9 hours
  • Max peak-to-valley drawdown
    8.53%
  • drawdown period
    March 20, 2023 - April 19, 2023
  • Cumul. Return
    37.1%
  • Avg win
    $299.17
  • Avg loss
    $231.16
  • Model Account Values (Raw)
  • Cash
    $57,430
  • Margin Used
    $0
  • Buying Power
    $57,430
  • Ratios
  • W:L ratio
    1.54:1
  • Sharpe Ratio
    2.86
  • Sortino Ratio
    5.34
  • Calmar Ratio
    15.488
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    28.07%
  • Correlation to SP500
    0.05100
  • Return Percent SP500 (cumu) during strategy life
    9.06%
  • Verified
  • C2Star
    2
  • Return Statistics
  • Ann Return (w trading costs)
    71.5%
  • 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
    0.02%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.371%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    93.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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
    99.30%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    929
  • Popularity (Last 6 weeks)
    921
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    948
  • Popularity (7 days, Percentile 1000 scale)
    895
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $231
  • Avg Win
    $299
  • Sum Trade PL (losers)
    $33,749.000
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $52,055.000
  • # Winners
    174
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    146
  • % Winners
    54.4%
  • Frequency
  • Avg Position Time (mins)
    535.38
  • Avg Position Time (hrs)
    8.92
  • Avg Trade Length
    0.4 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    4.18
  • Daily leverage (max)
    25.39
  • Regression
  • Alpha
    0.15
  • Beta
    0.04
  • Treynor Index
    3.32
  • 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)
    -0.47
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -5.064
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.488
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.197
  • Hold-and-Hope Ratio
    -0.197
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62306
  • SD
    0.17480
  • Sharpe ratio (Glass type estimate)
    3.56434
  • Sharpe ratio (Hedges UMVUE)
    2.99671
  • df
    5.00000
  • t
    2.52037
  • p
    0.02658
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04440
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.96732
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33985
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.33327
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.62306
  • Downside part of mean
    0.00000
  • Upside SD
    0.24044
  • Downside SD
    0.00000
  • N nonnegative terms
    6.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.10441
  • Mean of criterion
    0.62306
  • SD of predictor
    0.18138
  • SD of criterion
    0.17480
  • Covariance
    -0.02061
  • r
    -0.65006
  • b (slope, estimate of beta)
    -0.62648
  • a (intercept, estimate of alpha)
    0.68847
  • Mean Square Error
    0.02205
  • DF error
    4.00000
  • t(b)
    -1.71094
  • p(b)
    0.91887
  • t(a)
    3.22507
  • p(a)
    0.01606
  • Lowerbound of 95% confidence interval for beta
    -1.64330
  • Upperbound of 95% confidence interval for beta
    0.39034
  • Lowerbound of 95% confidence interval for alpha
    0.09565
  • Upperbound of 95% confidence interval for alpha
    1.28129
  • Treynor index (mean / b)
    -0.99454
  • Jensen alpha (a)
    0.68847
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.59508
  • SD
    0.16051
  • Sharpe ratio (Glass type estimate)
    3.70728
  • Sharpe ratio (Hedges UMVUE)
    3.11689
  • df
    5.00000
  • t
    2.62144
  • p
    0.02351
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04485
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.16300
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26170
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.49549
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.59508
  • Downside part of mean
    0.00000
  • Upside SD
    0.22579
  • Downside SD
    0.00000
  • N nonnegative terms
    6.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.09024
  • Mean of criterion
    0.59508
  • SD of predictor
    0.18012
  • SD of criterion
    0.16051
  • Covariance
    -0.01907
  • r
    -0.65960
  • b (slope, estimate of beta)
    -0.58780
  • a (intercept, estimate of alpha)
    0.64812
  • Mean Square Error
    0.01819
  • DF error
    4.00000
  • t(b)
    -1.75515
  • p(b)
    0.92296
  • t(a)
    3.35574
  • p(a)
    0.01421
  • Lowerbound of 95% confidence interval for beta
    -1.51781
  • Upperbound of 95% confidence interval for beta
    0.34221
  • Lowerbound of 95% confidence interval for alpha
    0.11178
  • Upperbound of 95% confidence interval for alpha
    1.18446
  • Treynor index (mean / b)
    -1.01238
  • Jensen alpha (a)
    0.64812
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02628
  • Expected Shortfall on VaR
    0.04481
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    1.02223
  • Quartile 1
    1.02540
  • Median
    1.03509
  • Quartile 3
    1.05132
  • Maximum
    1.15419
  • Mean of quarter 1
    1.02338
  • Mean of quarter 2
    1.02801
  • Mean of quarter 3
    1.04218
  • Mean of quarter 4
    1.10428
  • Inter Quartile Range
    0.02592
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    1.15419
  • 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)
    0.73092
  • Compounded annual return (geometric extrapolation)
    0.86448
  • 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
    19.29300
  • 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
    0.65612
  • SD
    0.16261
  • Sharpe ratio (Glass type estimate)
    4.03497
  • Sharpe ratio (Hedges UMVUE)
    4.01462
  • df
    149.00000
  • t
    3.05306
  • p
    0.34706
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.39803
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.65885
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.38451
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.64474
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.43547
  • Upside Potential Ratio
    14.39290
  • Upside part of mean
    1.11950
  • Downside part of mean
    -0.46338
  • Upside SD
    0.14785
  • Downside SD
    0.07778
  • N nonnegative terms
    67.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    150.00000
  • Mean of predictor
    0.13950
  • Mean of criterion
    0.65612
  • SD of predictor
    0.17918
  • SD of criterion
    0.16261
  • Covariance
    0.00184
  • r
    0.06331
  • b (slope, estimate of beta)
    0.05745
  • a (intercept, estimate of alpha)
    0.64800
  • Mean Square Error
    0.02651
  • DF error
    148.00000
  • t(b)
    0.77169
  • p(b)
    0.46835
  • t(a)
    3.00817
  • p(a)
    0.37998
  • Lowerbound of 95% confidence interval for beta
    -0.08967
  • Upperbound of 95% confidence interval for beta
    0.20457
  • Lowerbound of 95% confidence interval for alpha
    0.22235
  • Upperbound of 95% confidence interval for alpha
    1.07387
  • Treynor index (mean / b)
    11.42070
  • Jensen alpha (a)
    0.64811
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.64225
  • SD
    0.16146
  • Sharpe ratio (Glass type estimate)
    3.97775
  • Sharpe ratio (Hedges UMVUE)
    3.95769
  • df
    149.00000
  • t
    3.00976
  • p
    0.34906
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.34204
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.60062
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.32869
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.58670
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.16884
  • Upside Potential Ratio
    14.10100
  • Upside part of mean
    1.10865
  • Downside part of mean
    -0.46640
  • Upside SD
    0.14591
  • Downside SD
    0.07862
  • N nonnegative terms
    67.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    150.00000
  • Mean of predictor
    0.12360
  • Mean of criterion
    0.64225
  • SD of predictor
    0.17837
  • SD of criterion
    0.16146
  • Covariance
    0.00184
  • r
    0.06399
  • b (slope, estimate of beta)
    0.05792
  • a (intercept, estimate of alpha)
    0.63509
  • Mean Square Error
    0.02614
  • DF error
    148.00000
  • t(b)
    0.78005
  • p(b)
    0.46801
  • t(a)
    2.96956
  • p(a)
    0.38143
  • Lowerbound of 95% confidence interval for beta
    -0.08881
  • Upperbound of 95% confidence interval for beta
    0.20466
  • Lowerbound of 95% confidence interval for alpha
    0.21246
  • Upperbound of 95% confidence interval for alpha
    1.05772
  • Treynor index (mean / b)
    11.08810
  • Jensen alpha (a)
    0.63509
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01386
  • Expected Shortfall on VaR
    0.01795
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00426
  • Expected Shortfall on VaR
    0.00913
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    150.00000
  • Minimum
    0.96700
  • Quartile 1
    0.99906
  • Median
    1.00000
  • Quartile 3
    1.00456
  • Maximum
    1.04599
  • Mean of quarter 1
    0.99341
  • Mean of quarter 2
    0.99984
  • Mean of quarter 3
    1.00190
  • Mean of quarter 4
    1.01521
  • Inter Quartile Range
    0.00551
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.05333
  • Mean of outliers low
    0.98325
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.12667
  • Mean of outliers high
    1.02313
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.34752
  • VaR(95%) (moments method)
    0.00423
  • Expected Shortfall (moments method)
    0.00834
  • Extreme Value Index (regression method)
    0.24171
  • VaR(95%) (regression method)
    0.00659
  • Expected Shortfall (regression method)
    0.01218
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00144
  • Median
    0.00406
  • Quartile 3
    0.02735
  • Maximum
    0.06163
  • Mean of quarter 1
    0.00064
  • Mean of quarter 2
    0.00277
  • Mean of quarter 3
    0.02221
  • Mean of quarter 4
    0.04179
  • Inter Quartile Range
    0.02590
  • 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)
    0.22990
  • VaR(95%) (moments method)
    0.04584
  • Expected Shortfall (moments method)
    0.06446
  • Extreme Value Index (regression method)
    1.83633
  • VaR(95%) (regression method)
    0.05876
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.81687
  • Compounded annual return (geometric extrapolation)
    0.95454
  • Calmar ratio (compounded annual return / max draw down)
    15.48750
  • Compounded annual return / average of 25% largest draw downs
    22.83950
  • Compounded annual return / Expected Shortfall lognormal
    53.16500
  • 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
    0.65738
  • SD
    0.16896
  • Sharpe ratio (Glass type estimate)
    3.89076
  • Sharpe ratio (Hedges UMVUE)
    3.86827
  • df
    130.00000
  • t
    2.75118
  • p
    0.38272
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.07179
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.69528
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.05686
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.67967
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.90485
  • Upside Potential Ratio
    14.17950
  • Upside part of mean
    1.17919
  • Downside part of mean
    -0.52181
  • Upside SD
    0.15186
  • Downside SD
    0.08316
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10334
  • Mean of criterion
    0.65738
  • SD of predictor
    0.16138
  • SD of criterion
    0.16896
  • Covariance
    0.00138
  • r
    0.05075
  • b (slope, estimate of beta)
    0.05314
  • a (intercept, estimate of alpha)
    0.65189
  • Mean Square Error
    0.02869
  • DF error
    129.00000
  • t(b)
    0.57718
  • p(b)
    0.46770
  • t(a)
    2.71905
  • p(a)
    0.35313
  • Lowerbound of 95% confidence interval for beta
    -0.12901
  • Upperbound of 95% confidence interval for beta
    0.23529
  • Lowerbound of 95% confidence interval for alpha
    0.17754
  • Upperbound of 95% confidence interval for alpha
    1.12624
  • Treynor index (mean / b)
    12.37120
  • Jensen alpha (a)
    0.65189
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.64248
  • SD
    0.16781
  • Sharpe ratio (Glass type estimate)
    3.82870
  • Sharpe ratio (Hedges UMVUE)
    3.80657
  • df
    130.00000
  • t
    2.70730
  • p
    0.38449
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.01113
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.63209
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.99641
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.61673
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.64296
  • Upside Potential Ratio
    13.89150
  • Upside part of mean
    1.16773
  • Downside part of mean
    -0.52526
  • Upside SD
    0.14984
  • Downside SD
    0.08406
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09041
  • Mean of criterion
    0.64248
  • SD of predictor
    0.16118
  • SD of criterion
    0.16781
  • Covariance
    0.00138
  • r
    0.05106
  • b (slope, estimate of beta)
    0.05316
  • a (intercept, estimate of alpha)
    0.63767
  • Mean Square Error
    0.02830
  • DF error
    129.00000
  • t(b)
    0.58071
  • p(b)
    0.46751
  • t(a)
    2.67857
  • p(a)
    0.35517
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    -0.12796
  • Upperbound of 95% confidence interval for beta
    0.23429
  • Lowerbound of 95% confidence interval for alpha
    0.16665
  • Upperbound of 95% confidence interval for alpha
    1.10868
  • Treynor index (mean / b)
    12.08530
  • Jensen alpha (a)
    0.63767
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01449
  • Expected Shortfall on VaR
    0.01875
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00461
  • Expected Shortfall on VaR
    0.00983
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96700
  • Quartile 1
    0.99879
  • Median
    1.00000
  • Quartile 3
    1.00497
  • Maximum
    1.04599
  • Mean of quarter 1
    0.99260
  • Mean of quarter 2
    0.99971
  • Mean of quarter 3
    1.00237
  • Mean of quarter 4
    1.01577
  • Inter Quartile Range
    0.00618
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.97914
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.02534
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.05948
  • VaR(95%) (moments method)
    0.00440
  • Expected Shortfall (moments method)
    0.00660
  • Extreme Value Index (regression method)
    0.18330
  • VaR(95%) (regression method)
    0.00748
  • Expected Shortfall (regression method)
    0.01294
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00099
  • Median
    0.00406
  • Quartile 3
    0.02735
  • Maximum
    0.06163
  • Mean of quarter 1
    0.00053
  • Mean of quarter 2
    0.00232
  • Mean of quarter 3
    0.02221
  • Mean of quarter 4
    0.04179
  • Inter Quartile Range
    0.02636
  • 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)
    0.22990
  • VaR(95%) (moments method)
    0.04584
  • Expected Shortfall (moments method)
    0.06446
  • Extreme Value Index (regression method)
    1.83633
  • VaR(95%) (regression method)
    0.05876
  • 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?
    -329356000
  • Max Equity Drawdown (num days)
    30
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.79642
  • Compounded annual return (geometric extrapolation)
    0.95499
  • Calmar ratio (compounded annual return / max draw down)
    15.49470
  • Compounded annual return / average of 25% largest draw downs
    22.85010
  • Compounded annual return / Expected Shortfall lognormal
    50.94170

Strategy Description

follow the trend, intra day trade "MYM, YM, MNQ, NQ" by C2star's rules.

Summary Statistics

Strategy began
2022-11-01
Suggested Minimum Capital
$50,000
Rank at C2 %
Top 5.2%
Rank # 
#42
# Trades
320
# Profitable
174
% Profitable
54.4%
Correlation S&P500
0.051
Sharpe Ratio
2.86
Sortino Ratio
5.34
Beta
0.04
Alpha
0.15
Leverage
4.18 Average
25.39 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.

C2Star strategies cannot be made private.

To make this strategy private, you need to first withdraw from C2Star program.

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.