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
This strategy is no longer supported by its creator.
These are hypothetical performance results that have certain inherent limitations. Learn more

Test Z01
(128185760)

Created by: Karl_Colin Karl_Colin
Started: 03/2020
Stocks, Futures
Last trade: 1,302 days ago
Trading style: Futures Momentum Financials / Indexes

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
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).
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
125.2%
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.

(54.7%)
Max Drawdown
114
Num Trades
67.5%
Win Trades
1.4 : 1
Profit Factor
14.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              +36.0%+10.7%+4.4%+7.4%+10.0%+0.1%+2.6%  -    -    -  +90.6%
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 one hour.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/3/20 10:09 @ESU0 E-MINI S&P 500 SHORT 10 3545.50 9/3 10:21 3533.25 0.69%
Trade id #130977458
Max drawdown($625)
Time9/3/20 10:14
Quant open10
Worst price3546.75
Drawdown as % of equity-0.69%
$6,045
Includes Typical Broker Commissions trade costs of $80.00
9/3/20 9:48 @ESU0 E-MINI S&P 500 LONG 4 3560.00 9/3 10:09 3545.25 3.31%
Trade id #130973367
Max drawdown($3,000)
Time9/3/20 10:09
Quant open4
Worst price3545.00
Drawdown as % of equity-3.31%
($2,982)
Includes Typical Broker Commissions trade costs of $32.00
9/3/20 7:47 DXMZ0 MINI-DAX INDEX LONG 1 13361.0 9/3 9:43 13268.0 0.62%
Trade id #130962911
Max drawdown($568)
Time9/3/20 9:43
Quant open1
Worst price13265.0
Drawdown as % of equity-0.62%
($558)
Includes Typical Broker Commissions trade costs of $8.00
9/3/20 7:14 QCLX0 CRUDE OIL SHORT 1 40.97 9/3 7:45 40.81 n/a $152
Includes Typical Broker Commissions trade costs of $8.00
9/2/20 9:43 @ESH1 E-MINI S&P 500 SHORT 9 3553.61 9/3 6:43 3553.86 5.03%
Trade id #130940664
Max drawdown($4,466)
Time9/3/20 0:00
Quant open6
Worst price3568.50
Drawdown as % of equity-5.03%
($185)
Includes Typical Broker Commissions trade costs of $72.00
8/27/20 9:23 @ESU0 E-MINI S&P 500 LONG 2 3484.12 8/27 10:20 3484.50 0.88%
Trade id #130815695
Max drawdown($812)
Time8/27/20 9:39
Quant open1
Worst price3473.75
Drawdown as % of equity-0.88%
$22
Includes Typical Broker Commissions trade costs of $16.00
8/4/20 20:31 @ESU0 E-MINI S&P 500 LONG 1 3297.50 8/4 23:01 3299.50 0.31%
Trade id #130457303
Max drawdown($275)
Time8/4/20 21:38
Quant open1
Worst price3292.00
Drawdown as % of equity-0.31%
$92
Includes Typical Broker Commissions trade costs of $8.00
7/15/20 9:34 @RTYU0 Russell 2000 CME LONG 2 1461.70 7/15 10:00 1465.70 0.95%
Trade id #130091536
Max drawdown($860)
Time7/15/20 9:38
Quant open2
Worst price1453.10
Drawdown as % of equity-0.95%
$384
Includes Typical Broker Commissions trade costs of $16.00
7/15/20 6:28 @ESU0 E-MINI S&P 500 LONG 10 3211.50 7/15 8:09 3223.70 0.3%
Trade id #130088746
Max drawdown($250)
Time7/15/20 6:31
Quant open10
Worst price3211.00
Drawdown as % of equity-0.30%
$6,020
Includes Typical Broker Commissions trade costs of $80.00
7/15/20 4:13 @RTYU0 Russell 2000 CME LONG 10 1441.40 7/15 6:28 1444.60 3.2%
Trade id #130087164
Max drawdown($2,650)
Time7/15/20 5:08
Quant open10
Worst price1436.10
Drawdown as % of equity-3.20%
$1,520
Includes Typical Broker Commissions trade costs of $80.00
7/14/20 22:20 DXMU0 MINI-DAX INDEX LONG 10 12803.2 7/15 4:13 12810.0 3.29%
Trade id #130083628
Max drawdown($2,643)
Time7/15/20 3:54
Quant open10
Worst price12757.0
Drawdown as % of equity-3.29%
$309
Includes Typical Broker Commissions trade costs of $80.00
7/14/20 18:05 @RTYU0 Russell 2000 CME SHORT 8 1444.10 7/14 20:25 1443.70 1.41%
Trade id #130081334
Max drawdown($1,160)
Time7/14/20 18:27
Quant open4
Worst price1448.30
Drawdown as % of equity-1.41%
$96
Includes Typical Broker Commissions trade costs of $64.00
7/14/20 10:27 @RTYU0 Russell 2000 CME LONG 20 1403.81 7/14 18:00 1439.80 n/a $35,830
Includes Typical Broker Commissions trade costs of $160.00
7/14/20 9:53 @RTYU0 Russell 2000 CME SHORT 20 1393.33 7/14 10:24 1401.70 24.9%
Trade id #130070095
Max drawdown($13,870)
Time7/14/20 10:03
Quant open20
Worst price1407.20
Drawdown as % of equity-24.90%
($8,530)
Includes Typical Broker Commissions trade costs of $160.00
7/14/20 9:46 @RTYU0 Russell 2000 CME LONG 20 1404.90 7/14 9:53 1393.20 18.06%
Trade id #130069784
Max drawdown($12,400)
Time7/14/20 9:53
Quant open20
Worst price1392.50
Drawdown as % of equity-18.06%
($11,860)
Includes Typical Broker Commissions trade costs of $160.00
7/14/20 8:24 @RTYU0 Russell 2000 CME SHORT 22 1408.78 7/14 9:33 1400.80 n/a $8,604
Includes Typical Broker Commissions trade costs of $176.00
7/14/20 7:57 @RTYU0 Russell 2000 CME LONG 24 1412.14 7/14 8:24 1409.30 7.15%
Trade id #130067175
Max drawdown($4,490)
Time7/14/20 8:24
Quant open24
Worst price1408.40
Drawdown as % of equity-7.15%
($3,602)
Includes Typical Broker Commissions trade costs of $192.00
7/14/20 7:53 @RTYU0 Russell 2000 CME SHORT 20 1410.10 7/14 7:53 1410.70 0.94%
Trade id #130067082
Max drawdown($600)
Time7/14/20 7:53
Quant open20
Worst price1410.70
Drawdown as % of equity-0.94%
($760)
Includes Typical Broker Commissions trade costs of $160.00
7/14/20 7:38 @RTYU0 Russell 2000 CME LONG 20 1413.30 7/14 7:51 1409.10 7.67%
Trade id #130066792
Max drawdown($5,200)
Time7/14/20 7:49
Quant open20
Worst price1408.10
Drawdown as % of equity-7.67%
($4,360)
Includes Typical Broker Commissions trade costs of $160.00
7/14/20 6:50 @RTYU0 Russell 2000 CME LONG 20 1411.10 7/14 6:51 1411.10 n/a ($160)
Includes Typical Broker Commissions trade costs of $160.00
7/14/20 6:23 @RTYU0 Russell 2000 CME LONG 20 1412.00 7/14 6:39 1409.00 5.23%
Trade id #130066040
Max drawdown($3,700)
Time7/14/20 6:34
Quant open20
Worst price1408.30
Drawdown as % of equity-5.23%
($3,160)
Includes Typical Broker Commissions trade costs of $160.00
7/14/20 6:18 @RTYU0 Russell 2000 CME SHORT 10 1410.40 7/14 6:22 1412.00 1.32%
Trade id #130065951
Max drawdown($950)
Time7/14/20 6:22
Quant open10
Worst price1412.30
Drawdown as % of equity-1.32%
($880)
Includes Typical Broker Commissions trade costs of $80.00
7/14/20 5:39 @RTYU0 Russell 2000 CME LONG 5 1412.20 7/14 6:17 1410.30 0.76%
Trade id #130065559
Max drawdown($550)
Time7/14/20 5:56
Quant open5
Worst price1410.00
Drawdown as % of equity-0.76%
($515)
Includes Typical Broker Commissions trade costs of $40.00
7/14/20 4:42 @RTYU0 Russell 2000 CME LONG 20 1412.05 7/14 5:33 1412.30 2.64%
Trade id #130064779
Max drawdown($1,900)
Time7/14/20 5:10
Quant open10
Worst price1407.70
Drawdown as % of equity-2.64%
$90
Includes Typical Broker Commissions trade costs of $160.00
7/14/20 4:02 @RTYU0 Russell 2000 CME LONG 20 1404.85 7/14 4:16 1409.00 n/a $3,990
Includes Typical Broker Commissions trade costs of $160.00
7/14/20 1:19 @RTYU0 Russell 2000 CME LONG 20 1402.70 7/14 3:17 1404.30 0.83%
Trade id #130061632
Max drawdown($550)
Time7/14/20 1:54
Quant open10
Worst price1399.10
Drawdown as % of equity-0.83%
$1,440
Includes Typical Broker Commissions trade costs of $160.00
7/13/20 22:41 @RTYU0 Russell 2000 CME SHORT 10 1402.10 7/14 0:53 1398.00 6.82%
Trade id #130060562
Max drawdown($4,400)
Time7/14/20 0:00
Quant open10
Worst price1410.90
Drawdown as % of equity-6.82%
$1,970
Includes Typical Broker Commissions trade costs of $80.00
7/13/20 15:22 @RTYU0 Russell 2000 CME SHORT 18 1423.70 7/13 15:40 1408.30 n/a $13,716
Includes Typical Broker Commissions trade costs of $144.00
7/12/20 20:00 @RTYU0 Russell 2000 CME LONG 28 1432.70 7/13 15:20 1423.64 41.09%
Trade id #130034330
Max drawdown($24,000)
Time7/13/20 10:04
Quant open25
Worst price1413.50
Drawdown as % of equity-41.09%
($12,914)
Includes Typical Broker Commissions trade costs of $224.00
7/12/20 18:06 @ESU0 E-MINI S&P 500 LONG 2 3189.75 7/12 18:17 3194.25 n/a $434
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    3/23/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1464.55
  • Age
    49 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    114
  • # Profitable
    77
  • % Profitable
    67.50%
  • Avg trade duration
    19.1 hours
  • Max peak-to-valley drawdown
    54.66%
  • drawdown period
    July 07, 2020 - July 10, 2020
  • Cumul. Return
    90.9%
  • Avg win
    $2,534
  • Avg loss
    $3,846
  • Model Account Values (Raw)
  • Cash
    $102,781
  • Margin Used
    $0
  • Buying Power
    $102,781
  • Ratios
  • W:L ratio
    1.37:1
  • Sharpe Ratio
    0.58
  • Sortino Ratio
    0.94
  • Calmar Ratio
    2.352
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    22.99%
  • Correlation to SP500
    0.04380
  • Return Percent SP500 (cumu) during strategy life
    134.70%
  • Return Statistics
  • Ann Return (w trading costs)
    125.2%
  • Slump
  • Current Slump as Pcnt Equity
    0.10%
  • Instruments
  • Percent Trades Futures
    0.45%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.88%
  • 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)
    0.909%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.55%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    19.6%
  • Automation
  • Percentage Signals Automated
    26.24%
  • Popularity
  • Popularity (Today)
    459
  • Popularity (Last 6 weeks)
    341
  • 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
    $3,847
  • Avg Win
    $2,534
  • Sum Trade PL (losers)
    $142,338.000
  • Age
  • Num Months filled monthly returns table
    49
  • Win / Loss
  • Sum Trade PL (winners)
    $195,120.000
  • # Winners
    77
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    37
  • % Winners
    67.5%
  • Frequency
  • Avg Position Time (mins)
    1148.03
  • Avg Position Time (hrs)
    19.13
  • Avg Trade Length
    0.8 days
  • Last Trade Ago
    1300
  • Leverage
  • Daily leverage (average)
    5.77
  • Daily leverage (max)
    35.30
  • Regression
  • Alpha
    0.04
  • Beta
    0.06
  • Treynor Index
    0.80
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.90
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    -5.620
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.536
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.238
  • Hold-and-Hope Ratio
    -0.177
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.09348
  • SD
    0.59428
  • Sharpe ratio (Glass type estimate)
    1.83999
  • Sharpe ratio (Hedges UMVUE)
    1.66096
  • df
    8.00000
  • t
    1.59347
  • p
    0.07486
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.63935
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.22191
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.74410
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.06602
  • Statistics related to Sortino ratio
  • Sortino ratio
    223.04200
  • Upside Potential Ratio
    225.30300
  • Upside part of mean
    1.10456
  • Downside part of mean
    -0.01108
  • Upside SD
    0.64308
  • Downside SD
    0.00490
  • N nonnegative terms
    5.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.71024
  • Mean of criterion
    1.09348
  • SD of predictor
    0.29847
  • SD of criterion
    0.59428
  • Covariance
    0.14881
  • r
    0.83895
  • b (slope, estimate of beta)
    1.67042
  • a (intercept, estimate of alpha)
    -0.09292
  • Mean Square Error
    0.11954
  • DF error
    7.00000
  • t(b)
    4.07870
  • p(b)
    0.00235
  • t(a)
    -0.18811
  • p(a)
    0.57194
  • Lowerbound of 95% confidence interval for beta
    0.70199
  • Upperbound of 95% confidence interval for beta
    2.63884
  • Lowerbound of 95% confidence interval for alpha
    -1.26095
  • Upperbound of 95% confidence interval for alpha
    1.07511
  • Treynor index (mean / b)
    0.65461
  • Jensen alpha (a)
    -0.09292
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.93286
  • SD
    0.48022
  • Sharpe ratio (Glass type estimate)
    1.94257
  • Sharpe ratio (Hedges UMVUE)
    1.75356
  • df
    8.00000
  • t
    1.68232
  • p
    0.06550
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55717
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.34098
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66722
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.17435
  • Statistics related to Sortino ratio
  • Sortino ratio
    190.51200
  • Upside Potential Ratio
    192.77200
  • Upside part of mean
    0.94393
  • Downside part of mean
    -0.01107
  • Upside SD
    0.52677
  • Downside SD
    0.00490
  • N nonnegative terms
    5.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.65547
  • Mean of criterion
    0.93286
  • SD of predictor
    0.26840
  • SD of criterion
    0.48022
  • Covariance
    0.10270
  • r
    0.79678
  • b (slope, estimate of beta)
    1.42560
  • a (intercept, estimate of alpha)
    -0.00157
  • Mean Square Error
    0.09623
  • DF error
    7.00000
  • t(b)
    3.48867
  • p(b)
    0.00507
  • t(a)
    -0.00351
  • p(a)
    0.50135
  • Lowerbound of 95% confidence interval for beta
    0.45932
  • Upperbound of 95% confidence interval for beta
    2.39188
  • Lowerbound of 95% confidence interval for alpha
    -1.05921
  • Upperbound of 95% confidence interval for alpha
    1.05607
  • Treynor index (mean / b)
    0.65436
  • Jensen alpha (a)
    -0.00157
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13954
  • Expected Shortfall on VaR
    0.18691
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00203
  • Expected Shortfall on VaR
    0.00325
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.02708
  • Quartile 3
    1.08017
  • Maximum
    1.52512
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.01404
  • Mean of quarter 3
    1.05742
  • Mean of quarter 4
    1.34907
  • Inter Quartile Range
    0.08017
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    1.52512
  • 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)
    1.40749
  • Compounded annual return (geometric extrapolation)
    1.61371
  • 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
    8.63349
  • 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
    1.06703
  • SD
    0.55655
  • Sharpe ratio (Glass type estimate)
    1.91722
  • Sharpe ratio (Hedges UMVUE)
    1.91002
  • df
    200.00000
  • t
    1.67927
  • p
    0.44104
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33072
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.16042
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33549
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.15553
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.30931
  • Upside Potential Ratio
    5.72130
  • Upside part of mean
    1.84473
  • Downside part of mean
    -0.77770
  • Upside SD
    0.45671
  • Downside SD
    0.32243
  • N nonnegative terms
    39.00000
  • N negative terms
    162.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    201.00000
  • Mean of predictor
    0.68195
  • Mean of criterion
    1.06703
  • SD of predictor
    0.26170
  • SD of criterion
    0.55655
  • Covariance
    0.00577
  • r
    0.03962
  • b (slope, estimate of beta)
    0.08426
  • a (intercept, estimate of alpha)
    0.65700
  • Mean Square Error
    0.31081
  • DF error
    199.00000
  • t(b)
    0.55937
  • p(b)
    0.47478
  • t(a)
    1.56584
  • p(a)
    0.42991
  • Lowerbound of 95% confidence interval for beta
    -0.21279
  • Upperbound of 95% confidence interval for beta
    0.38131
  • Lowerbound of 95% confidence interval for alpha
    -0.26184
  • Upperbound of 95% confidence interval for alpha
    2.28097
  • Treynor index (mean / b)
    12.66340
  • Jensen alpha (a)
    1.00956
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.91135
  • SD
    0.55778
  • Sharpe ratio (Glass type estimate)
    1.63389
  • Sharpe ratio (Hedges UMVUE)
    1.62775
  • df
    200.00000
  • t
    1.43110
  • p
    0.44966
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61150
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.87533
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.61562
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.87112
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.48948
  • Upside Potential Ratio
    4.78169
  • Upside part of mean
    1.75049
  • Downside part of mean
    -0.83914
  • Upside SD
    0.42276
  • Downside SD
    0.36608
  • N nonnegative terms
    39.00000
  • N negative terms
    162.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    201.00000
  • Mean of predictor
    0.64737
  • Mean of criterion
    0.91135
  • SD of predictor
    0.25946
  • SD of criterion
    0.55778
  • Covariance
    0.00453
  • r
    0.03129
  • b (slope, estimate of beta)
    0.06726
  • a (intercept, estimate of alpha)
    0.86781
  • Mean Square Error
    0.31238
  • DF error
    199.00000
  • t(b)
    0.44157
  • p(b)
    0.48008
  • t(a)
    1.34403
  • p(a)
    0.43971
  • Lowerbound of 95% confidence interval for beta
    -0.23311
  • Upperbound of 95% confidence interval for beta
    0.36762
  • Lowerbound of 95% confidence interval for alpha
    -0.40544
  • Upperbound of 95% confidence interval for alpha
    2.14107
  • Treynor index (mean / b)
    13.54980
  • Jensen alpha (a)
    0.86781
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05181
  • Expected Shortfall on VaR
    0.06529
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00898
  • Expected Shortfall on VaR
    0.02052
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    201.00000
  • Minimum
    0.74406
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.22349
  • Mean of quarter 1
    0.98864
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02839
  • Inter Quartile Range
    0.00000
  • Number outliers low
    35.00000
  • Percentage of outliers low
    0.17413
  • Mean of outliers low
    0.98345
  • Number of outliers high
    40.00000
  • Percentage of outliers high
    0.19900
  • Mean of outliers high
    1.03549
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.46193
  • VaR(95%) (moments method)
    0.00423
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.25598
  • VaR(95%) (regression method)
    0.00535
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00146
  • Median
    0.01194
  • Quartile 3
    0.02154
  • Maximum
    0.35501
  • Mean of quarter 1
    0.00035
  • Mean of quarter 2
    0.00622
  • Mean of quarter 3
    0.01824
  • Mean of quarter 4
    0.15171
  • Inter Quartile Range
    0.02008
  • 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
    0.18182
  • Mean of outliers high
    0.21673
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.11786
  • VaR(95%) (moments method)
    0.08564
  • Expected Shortfall (moments method)
    0.09609
  • Extreme Value Index (regression method)
    1.28354
  • VaR(95%) (regression method)
    0.38412
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.37598
  • Compounded annual return (geometric extrapolation)
    1.55809
  • Calmar ratio (compounded annual return / max draw down)
    4.38889
  • Compounded annual return / average of 25% largest draw downs
    10.27050
  • Compounded annual return / Expected Shortfall lognormal
    23.86340
  • 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
    0.51666
  • SD
    0.62641
  • Sharpe ratio (Glass type estimate)
    0.82479
  • Sharpe ratio (Hedges UMVUE)
    0.82003
  • df
    130.00000
  • t
    0.58322
  • p
    0.47446
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.95040
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.59685
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.95357
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.59362
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.31736
  • Upside Potential Ratio
    3.46771
  • Upside part of mean
    1.36001
  • Downside part of mean
    -0.84335
  • Upside SD
    0.48641
  • Downside SD
    0.39219
  • N nonnegative terms
    10.00000
  • N negative terms
    121.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35993
  • Mean of criterion
    0.51666
  • SD of predictor
    0.16663
  • SD of criterion
    0.62641
  • Covariance
    -0.00501
  • r
    -0.04798
  • b (slope, estimate of beta)
    -0.18037
  • a (intercept, estimate of alpha)
    0.58158
  • Mean Square Error
    0.39452
  • DF error
    129.00000
  • t(b)
    -0.54558
  • p(b)
    0.53053
  • t(a)
    0.64893
  • p(a)
    0.46371
  • Lowerbound of 95% confidence interval for beta
    -0.83447
  • Upperbound of 95% confidence interval for beta
    0.47373
  • Lowerbound of 95% confidence interval for alpha
    -1.19160
  • Upperbound of 95% confidence interval for alpha
    2.35476
  • Treynor index (mean / b)
    -2.86445
  • Jensen alpha (a)
    0.58158
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32059
  • SD
    0.63165
  • Sharpe ratio (Glass type estimate)
    0.50755
  • Sharpe ratio (Hedges UMVUE)
    0.50461
  • df
    130.00000
  • t
    0.35889
  • p
    0.48427
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.26592
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.27907
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.26787
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.27710
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.71722
  • Upside Potential Ratio
    2.80845
  • Upside part of mean
    1.25535
  • Downside part of mean
    -0.93476
  • Upside SD
    0.44332
  • Downside SD
    0.44699
  • N nonnegative terms
    10.00000
  • N negative terms
    121.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.34583
  • Mean of criterion
    0.32059
  • SD of predictor
    0.16712
  • SD of criterion
    0.63165
  • Covariance
    -0.00566
  • r
    -0.05361
  • b (slope, estimate of beta)
    -0.20262
  • a (intercept, estimate of alpha)
    0.39066
  • Mean Square Error
    0.40092
  • DF error
    129.00000
  • t(b)
    -0.60974
  • p(b)
    0.53411
  • t(a)
    0.43273
  • p(a)
    0.47577
  • VAR (95 Confidence Intrvl)
    0.04200
  • Lowerbound of 95% confidence interval for beta
    -0.86010
  • Upperbound of 95% confidence interval for beta
    0.45486
  • Lowerbound of 95% confidence interval for alpha
    -1.39555
  • Upperbound of 95% confidence interval for alpha
    2.17688
  • Treynor index (mean / b)
    -1.58221
  • Jensen alpha (a)
    0.39066
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06102
  • Expected Shortfall on VaR
    0.07611
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01063
  • Expected Shortfall on VaR
    0.02411
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.74406
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.22349
  • Mean of quarter 1
    0.98761
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02064
  • Inter Quartile Range
    0.00000
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.93187
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.06811
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.78675
  • VaR(95%) (moments method)
    -0.02276
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.74574
  • VaR(95%) (regression method)
    -0.01201
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00059
  • Median
    0.00792
  • Quartile 3
    0.10005
  • Maximum
    0.35501
  • Mean of quarter 1
    0.00002
  • Mean of quarter 2
    0.00078
  • Mean of quarter 3
    0.01506
  • Mean of quarter 4
    0.35501
  • Inter Quartile Range
    0.09946
  • 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
    0.35501
  • 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?
    -283948000
  • Max Equity Drawdown (num days)
    3
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.38071
  • Compounded annual return (geometric extrapolation)
    0.41694
  • Calmar ratio (compounded annual return / max draw down)
    1.17445
  • Compounded annual return / average of 25% largest draw downs
    1.17445
  • Compounded annual return / Expected Shortfall lognormal
    5.47783

Strategy Description

don't follow this strategy, it is testing.

Summary Statistics

Strategy began
2020-03-23
Suggested Minimum Capital
$100,000
# Trades
114
# Profitable
77
% Profitable
67.5%
Correlation S&P500
0.044
Sharpe Ratio
0.58
Sortino Ratio
0.94
Beta
0.06
Alpha
0.04
Leverage
5.77 Average
35.30 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.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

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.