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These are hypothetical performance results that have certain inherent limitations. Learn more

DRIVER Conservative
(112786719)

Created by: Quantraders Quantraders
Started: 07/2017
Futures
Last trade: 1,884 days ago
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. You can subscribe to this system for free.

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).
4.1%
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
283
Num Trades
47.0%
Win Trades
1.3 : 1
Profit Factor
13.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017                                          (0.1%)+10.1%(0.7%)+7.5%+0.9%+1.9%+20.8%
2018+10.2%+4.8%+7.3%(3%)(3%)(1.6%)+3.7%+1.0%(0.5%)(0.7%)+3.2%(15.5%)+3.4%
2019+4.9%  -    -    -    -    -    -    -    -    -    -    -  +4.9%
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 657 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/30/19 11:10 @ESH9 E-MINI S&P 500 LONG 1 2657.75 1/30 15:40 2677.00 0.2%
Trade id #122269308
Max drawdown($137)
Time1/30/19 14:01
Quant open1
Worst price2655.00
Drawdown as % of equity-0.20%
$955
Includes Typical Broker Commissions trade costs of $8.00
1/30/19 9:40 @YMH9 MINI DOW LONG 1 24811 1/30 13:14 24855 0.49%
Trade id #122265701
Max drawdown($330)
Time1/30/19 10:04
Quant open1
Worst price24745
Drawdown as % of equity-0.49%
$212
Includes Typical Broker Commissions trade costs of $8.00
1/30/19 9:40 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 1 6734.50 1/30 10:00 6709.75 0.73%
Trade id #122265699
Max drawdown($495)
Time1/30/19 10:00
Quant open0
Worst price6709.75
Drawdown as % of equity-0.73%
($503)
Includes Typical Broker Commissions trade costs of $8.00
1/25/19 9:40 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 1 6749.75 1/25 12:46 6790.00 0.23%
Trade id #122176735
Max drawdown($155)
Time1/25/19 9:44
Quant open1
Worst price6742.00
Drawdown as % of equity-0.23%
$797
Includes Typical Broker Commissions trade costs of $8.00
1/25/19 9:40 @ESH9 E-MINI S&P 500 LONG 1 2658.00 1/25 12:46 2663.25 0.11%
Trade id #122176727
Max drawdown($75)
Time1/25/19 9:44
Quant open1
Worst price2656.50
Drawdown as % of equity-0.11%
$255
Includes Typical Broker Commissions trade costs of $8.00
1/25/19 9:40 @YMH9 MINI DOW LONG 1 24694 1/25 11:21 24751 0.12%
Trade id #122176731
Max drawdown($80)
Time1/25/19 9:44
Quant open1
Worst price24678
Drawdown as % of equity-0.12%
$277
Includes Typical Broker Commissions trade costs of $8.00
1/18/19 11:10 @YMH9 MINI DOW LONG 1 24590 1/18 14:35 24623 0.21%
Trade id #122056491
Max drawdown($142)
Time1/18/19 11:23
Quant open1
Worst price24562
Drawdown as % of equity-0.21%
$155
Includes Typical Broker Commissions trade costs of $8.00
1/18/19 11:00 @ESH9 E-MINI S&P 500 LONG 1 2662.62 1/18 14:27 2666.00 0.05%
Trade id #122056089
Max drawdown($31)
Time1/18/19 11:02
Quant open1
Worst price2662.00
Drawdown as % of equity-0.05%
$161
Includes Typical Broker Commissions trade costs of $8.00
1/18/19 11:10 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 1 6811.75 1/18 13:32 6800.75 0.41%
Trade id #122056487
Max drawdown($275)
Time1/18/19 11:23
Quant open1
Worst price6798.00
Drawdown as % of equity-0.41%
($228)
Includes Typical Broker Commissions trade costs of $8.00
1/17/19 14:40 @ESH9 E-MINI S&P 500 LONG 1 2628.88 1/17 15:40 2634.25 0.27%
Trade id #122038045
Max drawdown($181)
Time1/17/19 15:04
Quant open1
Worst price2625.25
Drawdown as % of equity-0.27%
$261
Includes Typical Broker Commissions trade costs of $8.00
1/17/19 14:50 @YMH9 MINI DOW LONG 1 24434 1/17 15:00 24312 1.18%
Trade id #122038742
Max drawdown($800)
Time1/17/19 14:56
Quant open1
Worst price24274
Drawdown as % of equity-1.18%
($618)
Includes Typical Broker Commissions trade costs of $8.00
1/17/19 14:50 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 1 6756.38 1/17 15:00 6717.25 1.48%
Trade id #122038738
Max drawdown($1,002)
Time1/17/19 14:56
Quant open1
Worst price6706.25
Drawdown as % of equity-1.48%
($791)
Includes Typical Broker Commissions trade costs of $8.00
1/16/19 13:30 @ESH9 E-MINI S&P 500 LONG 1 2619.75 1/16 15:40 2620.50 0.17%
Trade id #122014482
Max drawdown($112)
Time1/16/19 15:35
Quant open1
Worst price2617.50
Drawdown as % of equity-0.17%
$30
Includes Typical Broker Commissions trade costs of $8.00
1/16/19 10:10 @YMH9 MINI DOW LONG 1 24193 1/16 15:32 24207 0.66%
Trade id #122004805
Max drawdown($450)
Time1/16/19 10:46
Quant open1
Worst price24103
Drawdown as % of equity-0.66%
$62
Includes Typical Broker Commissions trade costs of $8.00
1/15/19 10:10 @ESH9 E-MINI S&P 500 LONG 1 2601.25 1/15 14:15 2605.25 0.63%
Trade id #121980131
Max drawdown($425)
Time1/15/19 10:23
Quant open1
Worst price2592.75
Drawdown as % of equity-0.63%
$192
Includes Typical Broker Commissions trade costs of $8.00
1/15/19 9:40 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 1 6627.88 1/15 14:15 6670.00 0.25%
Trade id #121977989
Max drawdown($167)
Time1/15/19 9:43
Quant open1
Worst price6619.50
Drawdown as % of equity-0.25%
$835
Includes Typical Broker Commissions trade costs of $8.00
1/15/19 12:20 @YMH9 MINI DOW LONG 1 24051 1/15 14:05 23989 0.45%
Trade id #121987370
Max drawdown($310)
Time1/15/19 13:16
Quant open1
Worst price23989
Drawdown as % of equity-0.45%
($318)
Includes Typical Broker Commissions trade costs of $8.00
1/9/19 13:00 @ESH9 E-MINI S&P 500 LONG 1 2594.88 1/9 14:20 2584.50 0.77%
Trade id #121878390
Max drawdown($519)
Time1/9/19 14:20
Quant open0
Worst price2584.50
Drawdown as % of equity-0.77%
($527)
Includes Typical Broker Commissions trade costs of $8.00
1/9/19 12:50 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 1 6629.00 1/9 14:20 6604.75 0.72%
Trade id #121878060
Max drawdown($485)
Time1/9/19 14:20
Quant open0
Worst price6604.75
Drawdown as % of equity-0.72%
($493)
Includes Typical Broker Commissions trade costs of $8.00
1/9/19 13:00 @YMH9 MINI DOW LONG 1 23944 1/9 13:50 23893 0.37%
Trade id #121878398
Max drawdown($253)
Time1/9/19 13:50
Quant open0
Worst price23893
Drawdown as % of equity-0.37%
($261)
Includes Typical Broker Commissions trade costs of $8.00
1/8/19 14:50 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 1 6566.12 1/8 15:05 6546.75 0.57%
Trade id #121853930
Max drawdown($388)
Time1/8/19 15:05
Quant open0
Worst price6546.75
Drawdown as % of equity-0.57%
($396)
Includes Typical Broker Commissions trade costs of $8.00
1/8/19 9:40 @YMH9 MINI DOW LONG 1 23783 1/8 10:20 23621 1.17%
Trade id #121840715
Max drawdown($810)
Time1/8/19 10:20
Quant open0
Worst price23621
Drawdown as % of equity-1.17%
($818)
Includes Typical Broker Commissions trade costs of $8.00
1/7/19 12:00 @ESH9 E-MINI S&P 500 LONG 1 2561.92 1/7 15:00 2548.50 1.05%
Trade id #121821957
Max drawdown($733)
Time1/7/19 14:58
Quant open1
Worst price2547.25
Drawdown as % of equity-1.05%
($679)
Includes Typical Broker Commissions trade costs of $8.00
1/7/19 13:10 @YMH9 MINI DOW LONG 1 23648 1/7 14:40 23527 0.92%
Trade id #121824468
Max drawdown($642)
Time1/7/19 14:37
Quant open1
Worst price23520
Drawdown as % of equity-0.92%
($616)
Includes Typical Broker Commissions trade costs of $8.00
1/7/19 12:00 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 1 6520.12 1/7 14:09 6503.75 0.46%
Trade id #121821963
Max drawdown($328)
Time1/7/19 14:09
Quant open0
Worst price6503.75
Drawdown as % of equity-0.46%
($336)
Includes Typical Broker Commissions trade costs of $8.00
1/4/19 9:50 @ESH9 E-MINI S&P 500 LONG 1 2493.50 1/4 15:25 2523.75 0.44%
Trade id #121782964
Max drawdown($287)
Time1/4/19 10:21
Quant open1
Worst price2487.75
Drawdown as % of equity-0.44%
$1,505
Includes Typical Broker Commissions trade costs of $8.00
1/4/19 9:50 @YMH9 MINI DOW LONG 1 23072 1/4 15:25 23354 0.4%
Trade id #121782972
Max drawdown($262)
Time1/4/19 10:21
Quant open1
Worst price23019
Drawdown as % of equity-0.40%
$1,405
Includes Typical Broker Commissions trade costs of $8.00
1/4/19 9:50 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 1 6293.12 1/4 14:55 6422.25 0.38%
Trade id #121782968
Max drawdown($252)
Time1/4/19 10:21
Quant open1
Worst price6280.50
Drawdown as % of equity-0.38%
$2,575
Includes Typical Broker Commissions trade costs of $8.00
12/31/18 13:20 @YMH9 MINI DOW LONG 1 23279 12/31 14:30 23152 1.04%
Trade id #121724605
Max drawdown($685)
Time12/31/18 14:24
Quant open1
Worst price23142
Drawdown as % of equity-1.04%
($641)
Includes Typical Broker Commissions trade costs of $8.00
12/28/18 14:50 @ESH9 E-MINI S&P 500 LONG 1 2515.67 12/28 15:10 2503.83 1.12%
Trade id #121704860
Max drawdown($745)
Time12/28/18 15:09
Quant open1
Worst price2500.75
Drawdown as % of equity-1.12%
($600)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    7/26/2017
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    2434.41
  • Age
    81 months ago
  • What it trades
    Futures
  • # Trades
    283
  • # Profitable
    133
  • % Profitable
    47.00%
  • Avg trade duration
    3.1 hours
  • Max peak-to-valley drawdown
    17.24%
  • drawdown period
    March 29, 2018 - Jan 04, 2019
  • Annual Return (Compounded)
    4.1%
  • Avg win
    $606.95
  • Avg loss
    $412.43
  • Model Account Values (Raw)
  • Cash
    $68,846
  • Margin Used
    $0
  • Buying Power
    $68,846
  • Ratios
  • W:L ratio
    1.30:1
  • Sharpe Ratio
    0.29
  • Sortino Ratio
    0.53
  • Calmar Ratio
    0.929
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -79.50%
  • Correlation to SP500
    0.05540
  • Return Percent SP500 (cumu) during strategy life
    111.92%
  • Return Statistics
  • Ann Return (w trading costs)
    4.1%
  • Slump
  • Current Slump as Pcnt Equity
    15.20%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.90%
  • 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)
    0.041%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    4.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    9.50%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • 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
    $412
  • Avg Win
    $607
  • Sum Trade PL (losers)
    $61,865.000
  • Age
  • Num Months filled monthly returns table
    81
  • Win / Loss
  • Sum Trade PL (winners)
    $80,724.000
  • # Winners
    133
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    150
  • % Winners
    47.0%
  • Frequency
  • Avg Position Time (mins)
    186.00
  • Avg Position Time (hrs)
    3.10
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    1881
  • Leverage
  • Daily leverage (average)
    4.48
  • Daily leverage (max)
    13.83
  • Regression
  • Alpha
    0.01
  • Beta
    0.02
  • Treynor Index
    0.33
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    47.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    28.20
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.01
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    8.112
  • 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
    0.357
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.063
  • Hold-and-Hope Ratio
    0.123
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11687
  • SD
    0.15390
  • Sharpe ratio (Glass type estimate)
    0.75937
  • Sharpe ratio (Hedges UMVUE)
    0.73881
  • df
    28.00000
  • t
    1.18048
  • p
    0.12387
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.52344
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02901
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.53673
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01435
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.16361
  • Upside Potential Ratio
    2.22923
  • Upside part of mean
    0.22390
  • Downside part of mean
    -0.10703
  • Upside SD
    0.11799
  • Downside SD
    0.10044
  • N nonnegative terms
    13.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.24577
  • Mean of criterion
    0.11687
  • SD of predictor
    0.23147
  • SD of criterion
    0.15390
  • Covariance
    0.00708
  • r
    0.19876
  • b (slope, estimate of beta)
    0.13216
  • a (intercept, estimate of alpha)
    0.08439
  • Mean Square Error
    0.02359
  • DF error
    27.00000
  • t(b)
    1.05382
  • p(b)
    0.15065
  • t(a)
    0.81533
  • p(a)
    0.21101
  • Lowerbound of 95% confidence interval for beta
    -0.12516
  • Upperbound of 95% confidence interval for beta
    0.38947
  • Lowerbound of 95% confidence interval for alpha
    -0.12798
  • Upperbound of 95% confidence interval for alpha
    0.29676
  • Treynor index (mean / b)
    0.88433
  • Jensen alpha (a)
    0.08439
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10445
  • SD
    0.15648
  • Sharpe ratio (Glass type estimate)
    0.66748
  • Sharpe ratio (Hedges UMVUE)
    0.64941
  • df
    28.00000
  • t
    1.03764
  • p
    0.15416
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61107
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.93444
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.62279
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92162
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.96791
  • Upside Potential Ratio
    2.00877
  • Upside part of mean
    0.21677
  • Downside part of mean
    -0.11232
  • Upside SD
    0.11361
  • Downside SD
    0.10791
  • N nonnegative terms
    13.00000
  • N negative terms
    16.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.21785
  • Mean of criterion
    0.10445
  • SD of predictor
    0.22752
  • SD of criterion
    0.15648
  • Covariance
    0.00831
  • r
    0.23342
  • b (slope, estimate of beta)
    0.16054
  • a (intercept, estimate of alpha)
    0.06948
  • Mean Square Error
    0.02401
  • DF error
    27.00000
  • t(b)
    1.24735
  • p(b)
    0.11149
  • t(a)
    0.67099
  • p(a)
    0.25396
  • Lowerbound of 95% confidence interval for beta
    -0.10354
  • Upperbound of 95% confidence interval for beta
    0.42462
  • Lowerbound of 95% confidence interval for alpha
    -0.14298
  • Upperbound of 95% confidence interval for alpha
    0.28193
  • Treynor index (mean / b)
    0.65061
  • Jensen alpha (a)
    0.06948
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06349
  • Expected Shortfall on VaR
    0.08088
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02123
  • Expected Shortfall on VaR
    0.04737
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    29.00000
  • Minimum
    0.85310
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.02793
  • Maximum
    1.10257
  • Mean of quarter 1
    0.97232
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.01496
  • Mean of quarter 4
    1.06666
  • Inter Quartile Range
    0.02793
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.03448
  • Mean of outliers low
    0.85310
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.13793
  • Mean of outliers high
    1.08209
  • 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)
    0.25828
  • VaR(95%) (regression method)
    0.03040
  • Expected Shortfall (regression method)
    0.06557
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.06605
  • Quartile 1
    0.08626
  • Median
    0.10647
  • Quartile 3
    0.12668
  • Maximum
    0.14690
  • Mean of quarter 1
    0.06605
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14690
  • Inter Quartile Range
    0.04042
  • 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)
    0.15598
  • Compounded annual return (geometric extrapolation)
    0.14152
  • Calmar ratio (compounded annual return / max draw down)
    0.96337
  • Compounded annual return / average of 25% largest draw downs
    0.96337
  • Compounded annual return / Expected Shortfall lognormal
    1.74977
  • 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
    0.10768
  • SD
    0.11040
  • Sharpe ratio (Glass type estimate)
    0.97531
  • Sharpe ratio (Hedges UMVUE)
    0.97418
  • df
    646.00000
  • t
    1.53266
  • p
    0.06293
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27339
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22333
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27418
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22254
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.82587
  • Upside Potential Ratio
    7.10024
  • Upside part of mean
    0.41872
  • Downside part of mean
    -0.31105
  • Upside SD
    0.09347
  • Downside SD
    0.05897
  • N nonnegative terms
    99.00000
  • N negative terms
    548.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    647.00000
  • Mean of predictor
    0.32560
  • Mean of criterion
    0.10768
  • SD of predictor
    0.32510
  • SD of criterion
    0.11040
  • Covariance
    0.00171
  • r
    0.04754
  • b (slope, estimate of beta)
    0.01614
  • a (intercept, estimate of alpha)
    0.10200
  • Mean Square Error
    0.01218
  • DF error
    645.00000
  • t(b)
    1.20868
  • p(b)
    0.11361
  • t(a)
    1.45557
  • p(a)
    0.07300
  • Lowerbound of 95% confidence interval for beta
    -0.01008
  • Upperbound of 95% confidence interval for beta
    0.04237
  • Lowerbound of 95% confidence interval for alpha
    -0.03575
  • Upperbound of 95% confidence interval for alpha
    0.24059
  • Treynor index (mean / b)
    6.67001
  • Jensen alpha (a)
    0.10242
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10162
  • SD
    0.10960
  • Sharpe ratio (Glass type estimate)
    0.92720
  • Sharpe ratio (Hedges UMVUE)
    0.92613
  • df
    646.00000
  • t
    1.45706
  • p
    0.07279
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32139
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.17512
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32212
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.17438
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.70762
  • Upside Potential Ratio
    6.96341
  • Upside part of mean
    0.41439
  • Downside part of mean
    -0.31277
  • Upside SD
    0.09215
  • Downside SD
    0.05951
  • N nonnegative terms
    99.00000
  • N negative terms
    548.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    647.00000
  • Mean of predictor
    0.27368
  • Mean of criterion
    0.10162
  • SD of predictor
    0.32065
  • SD of criterion
    0.10960
  • Covariance
    0.00169
  • r
    0.04807
  • b (slope, estimate of beta)
    0.01643
  • a (intercept, estimate of alpha)
    0.09712
  • Mean Square Error
    0.01200
  • DF error
    645.00000
  • t(b)
    1.22231
  • p(b)
    0.11102
  • t(a)
    1.39118
  • p(a)
    0.08233
  • Lowerbound of 95% confidence interval for beta
    -0.00997
  • Upperbound of 95% confidence interval for beta
    0.04283
  • Lowerbound of 95% confidence interval for alpha
    -0.03997
  • Upperbound of 95% confidence interval for alpha
    0.23421
  • Treynor index (mean / b)
    6.18462
  • Jensen alpha (a)
    0.09712
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01069
  • Expected Shortfall on VaR
    0.01348
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00374
  • Expected Shortfall on VaR
    0.00787
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    647.00000
  • Minimum
    0.96886
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.04630
  • Mean of quarter 1
    0.99562
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00645
  • Inter Quartile Range
    0.00000
  • Number outliers low
    121.00000
  • Percentage of outliers low
    0.18702
  • Mean of outliers low
    0.99413
  • Number of outliers high
    99.00000
  • Percentage of outliers high
    0.15301
  • Mean of outliers high
    1.01055
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.21629
  • VaR(95%) (moments method)
    0.00282
  • Expected Shortfall (moments method)
    0.00398
  • Extreme Value Index (regression method)
    0.11983
  • VaR(95%) (regression method)
    0.00470
  • Expected Shortfall (regression method)
    0.00856
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00303
  • Quartile 1
    0.00699
  • Median
    0.02188
  • Quartile 3
    0.03274
  • Maximum
    0.14894
  • Mean of quarter 1
    0.00479
  • Mean of quarter 2
    0.02022
  • Mean of quarter 3
    0.03175
  • Mean of quarter 4
    0.11406
  • Inter Quartile Range
    0.02574
  • 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
    0.22222
  • Mean of outliers high
    0.11406
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -5.51065
  • VaR(95%) (moments method)
    0.07911
  • Expected Shortfall (moments method)
    0.07912
  • Extreme Value Index (regression method)
    -0.41390
  • VaR(95%) (regression method)
    0.17177
  • Expected Shortfall (regression method)
    0.20879
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15264
  • Compounded annual return (geometric extrapolation)
    0.13829
  • Calmar ratio (compounded annual return / max draw down)
    0.92853
  • Compounded annual return / average of 25% largest draw downs
    1.21239
  • Compounded annual return / Expected Shortfall lognormal
    10.25590
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.75819
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40696
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.67448
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40901
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6830980000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    513180000000000077989195666161664.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • 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
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
  • 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?
    -415913000
  • Max Equity Drawdown (num days)
    281
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • 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
    0.00000

Strategy Description

Recommended capital $ 30,000

Smart Bull Portfolio trades major US indices such as ES, NQ, YM ...
It is an intraday trading system that consists of trading different time frames and different input conditions.
Smart Bull is a simple, proven trend system based on strong fundamental logic.
Smart Bull is based on simplicity and the associated robustness of the system (idea first).

Summary Statistics

Strategy began
2017-07-26
Suggested Minimum Capital
$70,000
# Trades
283
# Profitable
133
% Profitable
47.0%
Correlation S&P500
0.055
Sharpe Ratio
0.29
Sortino Ratio
0.53
Beta
0.02
Alpha
0.01
Leverage
4.48 Average
13.83 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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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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