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TradeMate NQ Swing
(115878624)

Created by: TradeMate TradeMate
Started: 01/2018
Futures
Last trade: 7 days ago
Trading style: Futures Trend-following

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 $179.00 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.
48.8%
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.

(23.1%)
Max Drawdown
66
Num Trades
45.5%
Win Trades
1.7 : 1
Profit Factor
63.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018+12.6%+0.1%(3.3%)+9.6%+9.4%+17.7%(1.4%)(1.7%)+4.0%+5.6%+3.4%+4.1%+76.3%
2019(0.5%)+6.0%+20.3%+2.3%(13.3%)(0.2%)(7.4%)                              +3.9%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

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

Trading Record

This strategy has placed 144 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/11/19 11:55 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 3 7953.50 7/11 12:15 7947.50 0.84%
Trade id #124421189
Max drawdown($390)
Time7/11/19 11:55
Quant open3
Worst price7947.00
Drawdown as % of equity-0.84%
($384)
Includes Typical Broker Commissions trade costs of $24.00
7/10/19 9:35 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 3 7912.13 7/10 11:10 7891.57 2.47%
Trade id #124400598
Max drawdown($1,234)
Time7/10/19 11:10
Quant open3
Worst price7891.57
Drawdown as % of equity-2.47%
($1,258)
Includes Typical Broker Commissions trade costs of $24.00
7/1/19 9:40 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 3 7842.27 7/1 9:50 7819.85 2.77%
Trade id #124287854
Max drawdown($1,345)
Time7/1/19 9:50
Quant open3
Worst price7819.85
Drawdown as % of equity-2.77%
($1,369)
Includes Typical Broker Commissions trade costs of $24.00
6/18/19 9:40 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 3 7660.81 6/19 9:35 7668.00 1.08%
Trade id #124124420
Max drawdown($528)
Time6/18/19 9:40
Quant open3
Worst price7652.00
Drawdown as % of equity-1.08%
$407
Includes Typical Broker Commissions trade costs of $24.00
6/4/19 12:55 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 3 7140.05 6/4 13:15 7135.18 0.54%
Trade id #123935287
Max drawdown($292)
Time6/4/19 13:15
Quant open0
Worst price7135.18
Drawdown as % of equity-0.54%
($316)
Includes Typical Broker Commissions trade costs of $24.00
5/16/19 10:30 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 3 7612.58 5/16 12:30 7628.00 0.54%
Trade id #123695304
Max drawdown($289)
Time5/16/19 11:11
Quant open3
Worst price7607.75
Drawdown as % of equity-0.54%
$901
Includes Typical Broker Commissions trade costs of $24.00
5/14/19 13:15 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 3 7451.26 5/14 14:05 7441.31 1.12%
Trade id #123667248
Max drawdown($597)
Time5/14/19 14:05
Quant open0
Worst price7441.31
Drawdown as % of equity-1.12%
($621)
Includes Typical Broker Commissions trade costs of $24.00
5/10/19 15:25 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 3 7621.12 5/10 15:35 7604.04 2.32%
Trade id #123626965
Max drawdown($1,267)
Time5/10/19 15:35
Quant open3
Worst price7600.00
Drawdown as % of equity-2.32%
($1,049)
Includes Typical Broker Commissions trade costs of $24.00
5/3/19 12:00 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 3 7831.80 5/6 9:35 7721.07 18.94%
Trade id #123522917
Max drawdown($9,858)
Time5/5/19 21:12
Quant open3
Worst price7667.50
Drawdown as % of equity-18.94%
($6,668)
Includes Typical Broker Commissions trade costs of $24.00
4/10/19 15:10 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 3 7635.76 4/11 9:35 7637.19 1.11%
Trade id #123272564
Max drawdown($675)
Time4/11/19 4:20
Quant open3
Worst price7624.50
Drawdown as % of equity-1.11%
$62
Includes Typical Broker Commissions trade costs of $24.00
4/10/19 12:35 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 3 7624.48 4/10 12:40 7619.49 0.53%
Trade id #123270286
Max drawdown($328)
Time4/10/19 12:39
Quant open3
Worst price7619.00
Drawdown as % of equity-0.53%
($324)
Includes Typical Broker Commissions trade costs of $24.00
3/29/19 15:05 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 3 7402.76 4/4 10:30 7508.33 1.72%
Trade id #123133178
Max drawdown($945)
Time3/29/19 15:55
Quant open3
Worst price7387.00
Drawdown as % of equity-1.72%
$6,310
Includes Typical Broker Commissions trade costs of $24.00
3/26/19 9:40 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 3 7420.21 3/26 11:50 7399.86 2.69%
Trade id #123074506
Max drawdown($1,482)
Time3/26/19 11:49
Quant open3
Worst price7395.50
Drawdown as % of equity-2.69%
($1,245)
Includes Typical Broker Commissions trade costs of $24.00
3/11/19 10:50 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 3 7118.20 3/14 9:35 7229.46 0.23%
Trade id #122863967
Max drawdown($116)
Time3/11/19 10:57
Quant open3
Worst price7116.25
Drawdown as % of equity-0.23%
$6,652
Includes Typical Broker Commissions trade costs of $24.00
3/1/19 14:25 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 3 7158.45 3/4 11:10 7152.41 1.38%
Trade id #122755210
Max drawdown($686)
Time3/1/19 15:28
Quant open3
Worst price7147.00
Drawdown as % of equity-1.38%
($386)
Includes Typical Broker Commissions trade costs of $24.00
2/25/19 9:35 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 3 7159.13 2/25 12:25 7133.67 3.15%
Trade id #122666609
Max drawdown($1,597)
Time2/25/19 12:25
Quant open3
Worst price7132.50
Drawdown as % of equity-3.15%
($1,552)
Includes Typical Broker Commissions trade costs of $24.00
2/22/19 10:30 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 3 7071.51 2/22 14:40 7065.26 0.8%
Trade id #122642258
Max drawdown($420)
Time2/22/19 14:37
Quant open3
Worst price7064.50
Drawdown as % of equity-0.80%
($399)
Includes Typical Broker Commissions trade costs of $24.00
2/12/19 9:40 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 3 6974.29 2/13 11:35 7027.17 n/a $3,149
Includes Typical Broker Commissions trade costs of $24.00
2/4/19 15:25 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 3 6954.08 2/5 13:10 6982.58 3.34%
Trade id #122350968
Max drawdown($1,549)
Time2/4/19 19:55
Quant open3
Worst price6928.25
Drawdown as % of equity-3.34%
$1,686
Includes Typical Broker Commissions trade costs of $24.00
1/31/19 10:15 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 3 6887.61 2/1 9:35 6882.74 3.24%
Trade id #122290927
Max drawdown($1,521)
Time2/1/19 8:17
Quant open3
Worst price6862.25
Drawdown as % of equity-3.24%
($316)
Includes Typical Broker Commissions trade costs of $24.00
1/30/19 14:25 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 3 6806.30 1/30 15:35 6806.58 1.63%
Trade id #122276054
Max drawdown($767)
Time1/30/19 14:37
Quant open3
Worst price6793.50
Drawdown as % of equity-1.63%
($7)
Includes Typical Broker Commissions trade costs of $24.00
1/25/19 11:55 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 3 6800.84 1/25 12:55 6785.89 2.41%
Trade id #122182989
Max drawdown($1,160)
Time1/25/19 12:52
Quant open3
Worst price6781.50
Drawdown as % of equity-2.41%
($921)
Includes Typical Broker Commissions trade costs of $24.00
1/18/19 12:10 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 3 6810.55 1/18 12:15 6819.51 0.19%
Trade id #122059996
Max drawdown($93)
Time1/18/19 12:12
Quant open3
Worst price6809.00
Drawdown as % of equity-0.19%
$514
Includes Typical Broker Commissions trade costs of $24.00
1/18/19 12:05 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 3 6817.90 1/18 12:10 6810.07 1.24%
Trade id #122059832
Max drawdown($593)
Time1/18/19 12:10
Quant open3
Worst price6808.00
Drawdown as % of equity-1.24%
($493)
Includes Typical Broker Commissions trade costs of $24.00
1/15/19 10:05 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 3 6665.51 1/15 10:15 6649.76 2.59%
Trade id #121979713
Max drawdown($1,275)
Time1/15/19 10:11
Quant open3
Worst price6644.25
Drawdown as % of equity-2.59%
($969)
Includes Typical Broker Commissions trade costs of $24.00
1/4/19 12:05 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 3 6399.16 1/4 12:50 6434.50 0.72%
Trade id #121789251
Max drawdown($339)
Time1/4/19 12:07
Quant open3
Worst price6393.50
Drawdown as % of equity-0.72%
$2,097
Includes Typical Broker Commissions trade costs of $24.00
12/26/18 13:40 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 3 6128.22 12/27 3:54 6173.21 0.98%
Trade id #121666958
Max drawdown($448)
Time12/26/18 14:28
Quant open3
Worst price6120.75
Drawdown as % of equity-0.98%
$2,675
Includes Typical Broker Commissions trade costs of $24.00
12/19/18 12:10 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 3 6586.27 12/19 12:50 6574.14 1.63%
Trade id #121574813
Max drawdown($736)
Time12/19/18 12:50
Quant open3
Worst price6574.00
Drawdown as % of equity-1.63%
($752)
Includes Typical Broker Commissions trade costs of $24.00
11/28/18 12:30 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 3 6851.45 11/28 13:05 6822.62 4.16%
Trade id #121221778
Max drawdown($1,932)
Time11/28/18 13:05
Quant open3
Worst price6819.25
Drawdown as % of equity-4.16%
($1,754)
Includes Typical Broker Commissions trade costs of $24.00
11/26/18 9:50 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 3 6636.47 11/26 12:30 6616.16 2.82%
Trade id #121164856
Max drawdown($1,333)
Time11/26/18 12:27
Quant open3
Worst price6614.25
Drawdown as % of equity-2.82%
($1,243)
Includes Typical Broker Commissions trade costs of $24.00

Statistics

  • Strategy began
    1/14/2018
  • Suggested Minimum Cap
    $45,000
  • Strategy Age (days)
    553.69
  • Age
    18 months ago
  • What it trades
    Futures
  • # Trades
    66
  • # Profitable
    30
  • % Profitable
    45.50%
  • Avg trade duration
    16.9 hours
  • Max peak-to-valley drawdown
    23.15%
  • drawdown period
    May 03, 2019 - July 16, 2019
  • Annual Return (Compounded)
    48.8%
  • Avg win
    $2,018
  • Avg loss
    $967.64
  • Model Account Values (Raw)
  • Cash
    $50,731
  • Margin Used
    $0
  • Buying Power
    $50,731
  • Ratios
  • W:L ratio
    1.74:1
  • Sharpe Ratio
    1.18
  • Sortino Ratio
    1.98
  • Calmar Ratio
    3.168
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.16550
  • Return Statistics
  • Ann Return (w trading costs)
    48.8%
  • Ann Return (Compnd, No Fees)
    59.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    33.50%
  • Chance of 20% account loss
    12.00%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    568
  • Popularity (Last 6 weeks)
    942
  • C2 Score
    28.1
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $968
  • Avg Win
    $2,019
  • # Winners
    30
  • # Losers
    36
  • % Winners
    45.5%
  • Frequency
  • Avg Position Time (mins)
    1014.55
  • Avg Position Time (hrs)
    16.91
  • Avg Trade Length
    0.7 days
  • Last Trade Ago
    6
  • Leverage
  • Daily leverage (average)
    10.55
  • Daily leverage (max)
    25.85
  • Unknown
  • Alpha
    0.12
  • Beta
    0.33
  • Treynor Index
    0.36
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.61603
  • SD
    0.36844
  • Sharpe ratio (Glass type estimate)
    1.67202
  • Sharpe ratio (Hedges UMVUE)
    1.59219
  • df
    16.00000
  • t
    1.99010
  • p
    0.27728
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09518
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.39297
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.14446
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.32883
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.58078
  • Upside Potential Ratio
    6.23976
  • Upside part of mean
    0.83914
  • Downside part of mean
    -0.22310
  • Upside SD
    0.37590
  • Downside SD
    0.13448
  • N nonnegative terms
    12.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.04668
  • Mean of criterion
    0.61603
  • SD of predictor
    0.10555
  • SD of criterion
    0.36844
  • Covariance
    0.00550
  • r
    0.14137
  • b (slope, estimate of beta)
    0.49343
  • a (intercept, estimate of alpha)
    0.59300
  • Mean Square Error
    0.14190
  • DF error
    15.00000
  • t(b)
    0.55306
  • p(b)
    0.41030
  • t(a)
    1.85766
  • p(a)
    0.23352
  • Lowerbound of 95% confidence interval for beta
    -1.40821
  • Upperbound of 95% confidence interval for beta
    2.39507
  • Lowerbound of 95% confidence interval for alpha
    -0.08740
  • Upperbound of 95% confidence interval for alpha
    1.27340
  • Treynor index (mean / b)
    1.24847
  • Jensen alpha (a)
    0.59300
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54528
  • SD
    0.34034
  • Sharpe ratio (Glass type estimate)
    1.60216
  • Sharpe ratio (Hedges UMVUE)
    1.52566
  • df
    16.00000
  • t
    1.90695
  • p
    0.28483
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15648
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.31612
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20380
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.25512
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.85826
  • Upside Potential Ratio
    5.50524
  • Upside part of mean
    0.77804
  • Downside part of mean
    -0.23276
  • Upside SD
    0.33737
  • Downside SD
    0.14133
  • N nonnegative terms
    12.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.04131
  • Mean of criterion
    0.54528
  • SD of predictor
    0.10630
  • SD of criterion
    0.34034
  • Covariance
    0.00596
  • r
    0.16476
  • b (slope, estimate of beta)
    0.52752
  • a (intercept, estimate of alpha)
    0.52348
  • Mean Square Error
    0.12020
  • DF error
    15.00000
  • t(b)
    0.64695
  • p(b)
    0.39559
  • t(a)
    1.78526
  • p(a)
    0.24150
  • Lowerbound of 95% confidence interval for beta
    -1.21044
  • Upperbound of 95% confidence interval for beta
    2.26548
  • Lowerbound of 95% confidence interval for alpha
    -0.10151
  • Upperbound of 95% confidence interval for alpha
    1.14848
  • Treynor index (mean / b)
    1.03367
  • Jensen alpha (a)
    0.52348
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10967
  • Expected Shortfall on VaR
    0.14492
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02965
  • Expected Shortfall on VaR
    0.06429
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.88030
  • Quartile 1
    0.98119
  • Median
    1.06955
  • Quartile 3
    1.08521
  • Maximum
    1.34335
  • Mean of quarter 1
    0.93679
  • Mean of quarter 2
    1.04039
  • Mean of quarter 3
    1.08070
  • Mean of quarter 4
    1.17610
  • Inter Quartile Range
    0.10402
  • 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
    0.05882
  • Mean of outliers high
    1.34335
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.60748
  • VaR(95%) (moments method)
    0.04868
  • Expected Shortfall (moments method)
    0.04870
  • Extreme Value Index (regression method)
    -0.51021
  • VaR(95%) (regression method)
    0.10315
  • Expected Shortfall (regression method)
    0.12352
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.06136
  • Quartile 1
    0.06149
  • Median
    0.06709
  • Quartile 3
    0.08442
  • Maximum
    0.11970
  • Mean of quarter 1
    0.06136
  • Mean of quarter 2
    0.06153
  • Mean of quarter 3
    0.07266
  • Mean of quarter 4
    0.11970
  • Inter Quartile Range
    0.02293
  • 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
    0.25000
  • Mean of outliers high
    0.11970
  • 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)
    0.82244
  • Compounded annual return (geometric extrapolation)
    0.72509
  • Calmar ratio (compounded annual return / max draw down)
    6.05769
  • Compounded annual return / average of 25% largest draw downs
    6.05769
  • Compounded annual return / Expected Shortfall lognormal
    5.00331
  • 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
    0.51898
  • SD
    0.30321
  • Sharpe ratio (Glass type estimate)
    1.71162
  • Sharpe ratio (Hedges UMVUE)
    1.70834
  • df
    391.00000
  • t
    2.09363
  • p
    0.01847
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10374
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.31740
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10153
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.31515
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.05726
  • Upside Potential Ratio
    7.69334
  • Upside part of mean
    1.30597
  • Downside part of mean
    -0.78699
  • Upside SD
    0.25281
  • Downside SD
    0.16975
  • N nonnegative terms
    310.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    392.00000
  • Mean of predictor
    0.05788
  • Mean of criterion
    0.51898
  • SD of predictor
    0.15696
  • SD of criterion
    0.30321
  • Covariance
    0.01120
  • r
    0.23525
  • b (slope, estimate of beta)
    0.45446
  • a (intercept, estimate of alpha)
    0.49300
  • Mean Square Error
    0.08707
  • DF error
    390.00000
  • t(b)
    4.77999
  • p(b)
    0.00000
  • t(a)
    2.04176
  • p(a)
    0.02092
  • Lowerbound of 95% confidence interval for beta
    0.26754
  • Upperbound of 95% confidence interval for beta
    0.64139
  • Lowerbound of 95% confidence interval for alpha
    0.01826
  • Upperbound of 95% confidence interval for alpha
    0.96709
  • Treynor index (mean / b)
    1.14197
  • Jensen alpha (a)
    0.49268
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47298
  • SD
    0.30189
  • Sharpe ratio (Glass type estimate)
    1.56674
  • Sharpe ratio (Hedges UMVUE)
    1.56373
  • df
    391.00000
  • t
    1.91641
  • p
    0.02802
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04034
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.17187
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04236
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.16982
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.65798
  • Upside Potential Ratio
    7.16680
  • Upside part of mean
    1.27531
  • Downside part of mean
    -0.80233
  • Upside SD
    0.24514
  • Downside SD
    0.17795
  • N nonnegative terms
    310.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    392.00000
  • Mean of predictor
    0.04556
  • Mean of criterion
    0.47298
  • SD of predictor
    0.15728
  • SD of criterion
    0.30189
  • Covariance
    0.01082
  • r
    0.22787
  • b (slope, estimate of beta)
    0.43739
  • a (intercept, estimate of alpha)
    0.45305
  • Mean Square Error
    0.08663
  • DF error
    390.00000
  • t(b)
    4.62164
  • p(b)
    0.00000
  • t(a)
    1.88256
  • p(a)
    0.03025
  • Lowerbound of 95% confidence interval for beta
    0.25132
  • Upperbound of 95% confidence interval for beta
    0.62346
  • Lowerbound of 95% confidence interval for alpha
    -0.02010
  • Upperbound of 95% confidence interval for alpha
    0.92620
  • Treynor index (mean / b)
    1.08137
  • Jensen alpha (a)
    0.45305
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02846
  • Expected Shortfall on VaR
    0.03598
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00330
  • Expected Shortfall on VaR
    0.00906
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    392.00000
  • Minimum
    0.85411
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.10837
  • Mean of quarter 1
    0.98799
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01994
  • Inter Quartile Range
    0.00000
  • Number outliers low
    82.00000
  • Percentage of outliers low
    0.20918
  • Mean of outliers low
    0.98564
  • Number of outliers high
    70.00000
  • Percentage of outliers high
    0.17857
  • Mean of outliers high
    1.02791
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.94381
  • VaR(95%) (moments method)
    0.00438
  • Expected Shortfall (moments method)
    0.00501
  • Extreme Value Index (regression method)
    0.10287
  • VaR(95%) (regression method)
    0.01215
  • Expected Shortfall (regression method)
    0.02187
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00132
  • Quartile 1
    0.02721
  • Median
    0.05790
  • Quartile 3
    0.08559
  • Maximum
    0.19088
  • Mean of quarter 1
    0.01591
  • Mean of quarter 2
    0.04866
  • Mean of quarter 3
    0.07696
  • Mean of quarter 4
    0.13206
  • Inter Quartile Range
    0.05838
  • 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
    0.07692
  • Mean of outliers high
    0.19088
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.11802
  • VaR(95%) (moments method)
    0.14069
  • Expected Shortfall (moments method)
    0.18535
  • Extreme Value Index (regression method)
    1.36030
  • VaR(95%) (regression method)
    0.17933
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.68791
  • Compounded annual return (geometric extrapolation)
    0.60477
  • Calmar ratio (compounded annual return / max draw down)
    3.16828
  • Compounded annual return / average of 25% largest draw downs
    4.57930
  • Compounded annual return / Expected Shortfall lognormal
    16.80910
  • 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
    0.15292
  • SD
    0.31881
  • Sharpe ratio (Glass type estimate)
    0.47965
  • Sharpe ratio (Hedges UMVUE)
    0.47687
  • df
    130.00000
  • t
    0.33916
  • p
    0.48513
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.29362
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.25122
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.29554
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.24929
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.64109
  • Upside Potential Ratio
    4.78900
  • Upside part of mean
    1.14230
  • Downside part of mean
    -0.98938
  • Upside SD
    0.20991
  • Downside SD
    0.23853
  • N nonnegative terms
    99.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25324
  • Mean of criterion
    0.15292
  • SD of predictor
    0.10910
  • SD of criterion
    0.31881
  • Covariance
    0.00713
  • r
    0.20508
  • b (slope, estimate of beta)
    0.59929
  • a (intercept, estimate of alpha)
    0.00115
  • Mean Square Error
    0.09812
  • DF error
    129.00000
  • t(b)
    2.37983
  • p(b)
    0.37036
  • t(a)
    0.00257
  • p(a)
    0.49986
  • Lowerbound of 95% confidence interval for beta
    0.10106
  • Upperbound of 95% confidence interval for beta
    1.09753
  • Lowerbound of 95% confidence interval for alpha
    -0.88436
  • Upperbound of 95% confidence interval for alpha
    0.88666
  • Treynor index (mean / b)
    0.25516
  • Jensen alpha (a)
    0.00115
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10070
  • SD
    0.32738
  • Sharpe ratio (Glass type estimate)
    0.30759
  • Sharpe ratio (Hedges UMVUE)
    0.30581
  • df
    130.00000
  • t
    0.21750
  • p
    0.49046
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.46495
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07917
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.46624
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07787
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.39659
  • Upside Potential Ratio
    4.41498
  • Upside part of mean
    1.12099
  • Downside part of mean
    -1.02029
  • Upside SD
    0.20476
  • Downside SD
    0.25391
  • N nonnegative terms
    99.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24722
  • Mean of criterion
    0.10070
  • SD of predictor
    0.10916
  • SD of criterion
    0.32738
  • Covariance
    0.00708
  • r
    0.19805
  • b (slope, estimate of beta)
    0.59396
  • a (intercept, estimate of alpha)
    -0.04614
  • Mean Square Error
    0.10377
  • DF error
    129.00000
  • t(b)
    2.29489
  • p(b)
    0.37475
  • t(a)
    -0.10030
  • p(a)
    0.50562
  • Lowerbound of 95% confidence interval for beta
    0.08188
  • Upperbound of 95% confidence interval for beta
    1.10604
  • Lowerbound of 95% confidence interval for alpha
    -0.95633
  • Upperbound of 95% confidence interval for alpha
    0.86405
  • Treynor index (mean / b)
    0.16953
  • Jensen alpha (a)
    -0.04614
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03235
  • Expected Shortfall on VaR
    0.04047
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00474
  • Expected Shortfall on VaR
    0.01263
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.85411
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.07754
  • Mean of quarter 1
    0.98501
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01731
  • Inter Quartile Range
    0.00000
  • Number outliers low
    32.00000
  • Percentage of outliers low
    0.24427
  • Mean of outliers low
    0.98454
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.20611
  • Mean of outliers high
    1.02115
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28286
  • VaR(95%) (moments method)
    0.00503
  • Expected Shortfall (moments method)
    0.00970
  • Extreme Value Index (regression method)
    0.36787
  • VaR(95%) (regression method)
    0.01092
  • Expected Shortfall (regression method)
    0.02450
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00193
  • Quartile 1
    0.01615
  • Median
    0.03401
  • Quartile 3
    0.05930
  • Maximum
    0.19088
  • Mean of quarter 1
    0.00720
  • Mean of quarter 2
    0.02721
  • Mean of quarter 3
    0.04082
  • Mean of quarter 4
    0.12817
  • Inter Quartile Range
    0.04314
  • 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
    0.19088
  • 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)
    0.10328
  • Compounded annual return (geometric extrapolation)
    0.10594
  • Calmar ratio (compounded annual return / max draw down)
    0.55501
  • Compounded annual return / average of 25% largest draw downs
    0.82657
  • Compounded annual return / Expected Shortfall lognormal
    2.61811

Strategy Description

Swing Trading on NQ. Duration can vary from few hours to few days. System tries to find the ideal timing to go in and tries to ride the wave up. Attempt is to achieve 100% annual return with 20% maximum drawdown - although there can be no guarantees. Trading inherently involves risk. System is automated

If you would like to trade all three trademate systems, I can offer $400 combined. Please send a message

Summary Statistics

Strategy began
2018-01-14
Suggested Minimum Capital
$45,000
# Trades
66
# Profitable
30
% Profitable
45.5%
Correlation S&P500
0.166
Sharpe Ratio
1.18
Sortino Ratio
1.98
Beta
0.33
Alpha
0.12
Leverage
10.55 Average
25.85 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.