Collective2 Collective2
Featured Strategy Bull Trader FX +14.6% Cumul. Return since Apr 21, 2023 Hypothetical

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SteadyReturns
(138725788)

Created by: LXC511 LXC511
Started: 12/2021
Futures
Last trade: 15 days ago
Trading style: Futures Short Term

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 $150.00 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
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
16.1%
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.

(10.0%)
Max Drawdown
305
Num Trades
88.5%
Win Trades
3.3 : 1
Profit Factor
94.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                                             +5.4%+5.4%
2022+4.2%+0.9%+1.8%+1.1%+1.3%+1.2%+1.2%+1.0%+1.1%+1.0%+0.9%+1.2%+18.1%
2023+1.3%+0.8%+1.1%+0.9%+1.0%(5.3%)                                    (0.4%)

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

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/22/23 10:24 @ESM3 E-MINI S&P 500 SHORT 1 4210.00 5/22 10:42 4206.00 0.13%
Trade id #144709304
Max drawdown($87)
Time5/22/23 10:28
Quant open1
Worst price4211.75
Drawdown as % of equity-0.13%
 $192
Includes Typical Broker Commissions trade costs of $8.00
5/19/23 10:20 @MESM3 MICRO E-MINI S&P 500 SHORT 5 4224.00 5/19 10:37 4220.00 0.07%
Trade id #144675190
Max drawdown($43)
Time5/19/23 10:35
Quant open5
Worst price4225.75
Drawdown as % of equity-0.07%
 $95
Includes Typical Broker Commissions trade costs of $4.70
5/19/23 9:53 @MESM3 MICRO E-MINI S&P 500 SHORT 2 4224.00 5/19 10:03 4218.50 0%
Trade id #144674662
Max drawdown($2)
Time5/19/23 9:59
Quant open2
Worst price4224.25
Drawdown as % of equity-0.00%
 $53
Includes Typical Broker Commissions trade costs of $1.88
5/16/23 12:36 @ESM3 E-MINI S&P 500 SHORT 1 4139.00 5/16 12:37 4138.11 n/a $36
Includes Typical Broker Commissions trade costs of $8.00
5/16/23 12:30 @ESM3 E-MINI S&P 500 SHORT 1 4139.43 5/16 12:31 4138.00 n/a $63
Includes Typical Broker Commissions trade costs of $8.00
5/16/23 12:06 @ESM3 E-MINI S&P 500 SHORT 1 4140.00 5/16 12:20 4138.16 0.06%
Trade id #144627369
Max drawdown($37)
Time5/16/23 12:16
Quant open1
Worst price4140.75
Drawdown as % of equity-0.06%
 $84
Includes Typical Broker Commissions trade costs of $8.00
5/11/23 11:58 @ESM3 E-MINI S&P 500 SHORT 1 4141.00 5/11 12:02 4138.00 n/a $142
Includes Typical Broker Commissions trade costs of $8.00
5/5/23 9:31 @MESM3 MICRO E-MINI S&P 500 SHORT 15 4129.69 5/9 9:32 4134.28 1.82%
Trade id #144536497
Max drawdown($1,174)
Time5/5/23 14:57
Quant open7
Worst price4163.25
Drawdown as % of equity-1.82%
 ($358)
Includes Typical Broker Commissions trade costs of $14.10
5/5/23 14:00 @ESM3 E-MINI S&P 500 SHORT 1 4144.46 5/7 20:04 4143.36 1.45%
Trade id #144542473
Max drawdown($939)
Time5/5/23 14:57
Quant open1
Worst price4163.25
Drawdown as % of equity-1.45%
 $47
Includes Typical Broker Commissions trade costs of $8.00
5/5/23 10:40 @ESM3 E-MINI S&P 500 SHORT 1 4140.50 5/5 11:10 4132.25 n/a $405
Includes Typical Broker Commissions trade costs of $8.00
5/2/23 15:00 @MESM3 MICRO E-MINI S&P 500 SHORT 5 4139.01 5/2 15:04 4135.00 n/a $95
Includes Typical Broker Commissions trade costs of $4.70
4/27/23 10:34 @MESM3 MICRO E-MINI S&P 500 SHORT 5 4113.50 4/27 10:52 4110.00 0.1%
Trade id #144445438
Max drawdown($62)
Time4/27/23 10:39
Quant open5
Worst price4116.00
Drawdown as % of equity-0.10%
 $83
Includes Typical Broker Commissions trade costs of $4.70
4/20/23 10:48 @MESM3 MICRO E-MINI S&P 500 SHORT 5 4161.00 4/20 11:07 4156.17 0.08%
Trade id #144373968
Max drawdown($50)
Time4/20/23 10:52
Quant open5
Worst price4163.00
Drawdown as % of equity-0.08%
 $116
Includes Typical Broker Commissions trade costs of $4.70
4/19/23 10:28 @MESM3 MICRO E-MINI S&P 500 SHORT 5 4165.25 4/20 3:31 4160.00 0.87%
Trade id #144361036
Max drawdown($556)
Time4/19/23 14:00
Quant open5
Worst price4187.50
Drawdown as % of equity-0.87%
 $126
Includes Typical Broker Commissions trade costs of $4.70
4/17/23 14:36 @MESM3 MICRO E-MINI S&P 500 SHORT 10 4165.00 4/19 6:09 4164.56 2.35%
Trade id #144327498
Max drawdown($1,502)
Time4/18/23 0:00
Quant open8
Worst price4198.25
Drawdown as % of equity-2.35%
 $13
Includes Typical Broker Commissions trade costs of $9.40
4/13/23 10:18 @MESM3 MICRO E-MINI S&P 500 SHORT 5 4144.00 4/13 11:23 4142.30 0.12%
Trade id #144286080
Max drawdown($75)
Time4/13/23 10:30
Quant open5
Worst price4147.00
Drawdown as % of equity-0.12%
 $38
Includes Typical Broker Commissions trade costs of $4.70
4/12/23 11:56 @MESM3 MICRO E-MINI S&P 500 SHORT 5 4141.50 4/12 14:27 4140.08 0.5%
Trade id #144272378
Max drawdown($325)
Time4/12/23 13:14
Quant open5
Worst price4154.50
Drawdown as % of equity-0.50%
 $31
Includes Typical Broker Commissions trade costs of $4.70
4/11/23 14:57 @MESM3 MICRO E-MINI S&P 500 SHORT 5 4149.25 4/11 15:37 4147.50 0.1%
Trade id #144261271
Max drawdown($62)
Time4/11/23 15:23
Quant open5
Worst price4151.75
Drawdown as % of equity-0.10%
 $39
Includes Typical Broker Commissions trade costs of $4.70
4/10/23 13:26 @MESM3 MICRO E-MINI S&P 500 SHORT 5 4126.50 4/10 13:42 4122.39 0.06%
Trade id #144243140
Max drawdown($37)
Time4/10/23 13:30
Quant open5
Worst price4128.00
Drawdown as % of equity-0.06%
 $98
Includes Typical Broker Commissions trade costs of $4.70
4/3/23 12:15 @MESM3 MICRO E-MINI S&P 500 SHORT 5 4142.00 4/3 13:00 4135.00 0.02%
Trade id #144157487
Max drawdown($12)
Time4/3/23 12:19
Quant open5
Worst price4142.50
Drawdown as % of equity-0.02%
 $170
Includes Typical Broker Commissions trade costs of $4.70
4/3/23 9:33 @MESM3 MICRO E-MINI S&P 500 SHORT 5 4136.69 4/3 11:04 4134.27 0.82%
Trade id #144153066
Max drawdown($526)
Time4/3/23 10:30
Quant open5
Worst price4157.75
Drawdown as % of equity-0.82%
 $56
Includes Typical Broker Commissions trade costs of $4.70
3/27/23 13:49 @MESM3 MICRO E-MINI S&P 500 SHORT 5 4019.27 3/27 13:54 4014.00 n/a $127
Includes Typical Broker Commissions trade costs of $4.70
3/23/23 10:59 @MESM3 MICRO E-MINI S&P 500 SHORT 5 4029.96 3/23 12:11 4025.69 0.38%
Trade id #144012610
Max drawdown($238)
Time3/23/23 11:08
Quant open5
Worst price4039.50
Drawdown as % of equity-0.38%
 $102
Includes Typical Broker Commissions trade costs of $4.70
3/20/23 14:22 @MESM3 MICRO E-MINI S&P 500 SHORT 5 3980.00 3/20 14:30 3978.26 0.02%
Trade id #143969875
Max drawdown($12)
Time3/20/23 14:28
Quant open5
Worst price3980.50
Drawdown as % of equity-0.02%
 $39
Includes Typical Broker Commissions trade costs of $4.70
3/20/23 12:50 @MESM3 MICRO E-MINI S&P 500 SHORT 10 3975.75 3/20 14:07 3974.00 0.82%
Trade id #143968946
Max drawdown($512)
Time3/20/23 13:16
Quant open10
Worst price3986.00
Drawdown as % of equity-0.82%
 $79
Includes Typical Broker Commissions trade costs of $9.40
3/13/23 13:07 @MESH3 MICRO E-MINI S&P 500 LONG 5 3858.00 3/13 13:09 3865.00 n/a $170
Includes Typical Broker Commissions trade costs of $4.70
3/9/23 15:18 @MESH3 MICRO E-MINI S&P 500 LONG 5 3924.00 3/9 15:34 3928.75 0.59%
Trade id #143832478
Max drawdown($368)
Time3/9/23 15:22
Quant open5
Worst price3909.25
Drawdown as % of equity-0.59%
 $114
Includes Typical Broker Commissions trade costs of $4.70
3/3/23 14:22 @MESH3 MICRO E-MINI S&P 500 SHORT 15 4051.63 3/7 10:00 4049.74 1.3%
Trade id #143771287
Max drawdown($806)
Time3/6/23 0:00
Quant open10
Worst price4062.50
Drawdown as % of equity-1.30%
 $128
Includes Typical Broker Commissions trade costs of $14.10
3/1/23 11:13 @MESH3 MICRO E-MINI S&P 500 LONG 5 3947.00 3/1 11:27 3952.50 0.16%
Trade id #143735293
Max drawdown($100)
Time3/1/23 11:21
Quant open5
Worst price3943.00
Drawdown as % of equity-0.16%
 $133
Includes Typical Broker Commissions trade costs of $4.70
2/22/23 6:34 @MESH3 MICRO E-MINI S&P 500 LONG 5 3999.48 2/22 7:06 4008.73 0.15%
Trade id #143659543
Max drawdown($93)
Time2/22/23 6:38
Quant open5
Worst price3995.75
Drawdown as % of equity-0.15%
 $226
Includes Typical Broker Commissions trade costs of $4.70
Next

Statistics

  • Strategy began
    12/28/2021
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    524.75
  • Age
    18 months ago
  • What it trades
    Futures
  • # Trades
    305
  • # Profitable
    270
  • % Profitable
    88.50%
  • Avg trade duration
    3.2 hours
  • Max peak-to-valley drawdown
    9.97%
  • drawdown period
    May 22, 2023 - June 05, 2023
  • Annual Return (Compounded)
    16.1%
  • Avg win
    $92.16
  • Avg loss
    $214.77
  • Model Account Values (Raw)
  • Cash
    $68,861
  • Margin Used
    $16,847
  • Buying Power
    $50,518
  • Ratios
  • W:L ratio
    3.31:1
  • Sharpe Ratio
    1.25
  • Sortino Ratio
    1.71
  • Calmar Ratio
    2.831
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    34.72%
  • Correlation to SP500
    0.00030
  • Return Percent SP500 (cumu) during strategy life
    -10.71%
  • Return Statistics
  • Ann Return (w trading costs)
    16.1%
  • Slump
  • Current Slump as Pcnt Equity
    5.60%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.161%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    20.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    0.50%
  • 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)
    994
  • Popularity (Last 6 weeks)
    994
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    898
  • Popularity (7 days, Percentile 1000 scale)
    992
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $270
  • Avg Win
    $92
  • Sum Trade PL (losers)
    $9,460.000
  • Age
  • Num Months filled monthly returns table
    19
  • Win / Loss
  • Sum Trade PL (winners)
    $24,882.000
  • # Winners
    270
  • Num Months Winners
    18
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    4077000
  • Win / Loss
  • # Losers
    35
  • % Winners
    88.5%
  • Frequency
  • Avg Position Time (mins)
    189.62
  • Avg Position Time (hrs)
    3.16
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    2.09
  • Daily leverage (max)
    12.41
  • Regression
  • Alpha
    0.03
  • Beta
    0.00
  • Treynor Index
    316.45
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.94
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    7.396
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    1.374
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.856
  • Hold-and-Hope Ratio
    0.170
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18458
  • SD
    0.05672
  • Sharpe ratio (Glass type estimate)
    3.25419
  • Sharpe ratio (Hedges UMVUE)
    3.09882
  • df
    16.00000
  • t
    3.87326
  • p
    0.15218
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.22906
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.20993
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.13302
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.06462
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.18458
  • Downside part of mean
    0.00000
  • Upside SD
    0.07660
  • Downside SD
    0.00000
  • N nonnegative terms
    17.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    -0.10565
  • Mean of criterion
    0.18458
  • SD of predictor
    0.19188
  • SD of criterion
    0.05672
  • Covariance
    -0.00449
  • r
    -0.41278
  • b (slope, estimate of beta)
    -0.12202
  • a (intercept, estimate of alpha)
    0.17169
  • Mean Square Error
    0.00285
  • DF error
    15.00000
  • t(b)
    -1.75518
  • p(b)
    0.75512
  • t(a)
    3.77947
  • p(a)
    0.09478
  • Lowerbound of 95% confidence interval for beta
    -0.27019
  • Upperbound of 95% confidence interval for beta
    0.02616
  • Lowerbound of 95% confidence interval for alpha
    0.07486
  • Upperbound of 95% confidence interval for alpha
    0.26851
  • Treynor index (mean / b)
    -1.51274
  • Jensen alpha (a)
    0.17169
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18134
  • SD
    0.05433
  • Sharpe ratio (Glass type estimate)
    3.33748
  • Sharpe ratio (Hedges UMVUE)
    3.17813
  • df
    16.00000
  • t
    3.97240
  • p
    0.14767
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.29584
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.30909
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.19719
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.15907
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.18134
  • Downside part of mean
    0.00000
  • Upside SD
    0.07429
  • Downside SD
    0.00000
  • N nonnegative terms
    17.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    -0.12355
  • Mean of criterion
    0.18134
  • SD of predictor
    0.19423
  • SD of criterion
    0.05433
  • Covariance
    -0.00448
  • r
    -0.42467
  • b (slope, estimate of beta)
    -0.11880
  • a (intercept, estimate of alpha)
    0.16666
  • Mean Square Error
    0.00258
  • DF error
    15.00000
  • t(b)
    -1.81667
  • p(b)
    0.76199
  • t(a)
    3.83637
  • p(a)
    0.09236
  • Lowerbound of 95% confidence interval for beta
    -0.25818
  • Upperbound of 95% confidence interval for beta
    0.02058
  • Lowerbound of 95% confidence interval for alpha
    0.07407
  • Upperbound of 95% confidence interval for alpha
    0.25926
  • Treynor index (mean / b)
    -1.52645
  • Jensen alpha (a)
    0.16666
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01063
  • Expected Shortfall on VaR
    0.01708
  • 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
    17.00000
  • Minimum
    1.00857
  • Quartile 1
    1.01191
  • Median
    1.01320
  • Quartile 3
    1.01399
  • Maximum
    1.07902
  • Mean of quarter 1
    1.01037
  • Mean of quarter 2
    1.01269
  • Mean of quarter 3
    1.01393
  • Mean of quarter 4
    1.03569
  • Inter Quartile Range
    0.00209
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05882
  • Mean of outliers low
    1.00857
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.17647
  • Mean of outliers high
    1.04227
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24357
  • Compounded annual return (geometric extrapolation)
    0.23275
  • 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
    13.62900
  • 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
    0.14378
  • SD
    0.07232
  • Sharpe ratio (Glass type estimate)
    1.98803
  • Sharpe ratio (Hedges UMVUE)
    1.98404
  • df
    374.00000
  • t
    2.37842
  • p
    0.00894
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34232
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63121
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33963
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.62846
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.80955
  • Upside Potential Ratio
    6.32645
  • Upside part of mean
    0.32376
  • Downside part of mean
    -0.17998
  • Upside SD
    0.05174
  • Downside SD
    0.05118
  • N nonnegative terms
    210.00000
  • N negative terms
    165.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    375.00000
  • Mean of predictor
    -0.08335
  • Mean of criterion
    0.14378
  • SD of predictor
    0.21786
  • SD of criterion
    0.07232
  • Covariance
    -0.00015
  • r
    -0.00959
  • b (slope, estimate of beta)
    -0.00318
  • a (intercept, estimate of alpha)
    0.14400
  • Mean Square Error
    0.00524
  • DF error
    373.00000
  • t(b)
    -0.18525
  • p(b)
    0.57343
  • t(a)
    2.37030
  • p(a)
    0.00914
  • Lowerbound of 95% confidence interval for beta
    -0.03698
  • Upperbound of 95% confidence interval for beta
    0.03061
  • Lowerbound of 95% confidence interval for alpha
    0.02446
  • Upperbound of 95% confidence interval for alpha
    0.26257
  • Treynor index (mean / b)
    -45.15650
  • Jensen alpha (a)
    0.14351
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14111
  • SD
    0.07248
  • Sharpe ratio (Glass type estimate)
    1.94684
  • Sharpe ratio (Hedges UMVUE)
    1.94294
  • df
    374.00000
  • t
    2.32914
  • p
    0.01019
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.30138
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.58977
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29877
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.58710
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.72477
  • Upside Potential Ratio
    6.22539
  • Upside part of mean
    0.32240
  • Downside part of mean
    -0.18129
  • Upside SD
    0.05132
  • Downside SD
    0.05179
  • N nonnegative terms
    210.00000
  • N negative terms
    165.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    375.00000
  • Mean of predictor
    -0.10704
  • Mean of criterion
    0.14111
  • SD of predictor
    0.21799
  • SD of criterion
    0.07248
  • Covariance
    -0.00011
  • r
    -0.00691
  • b (slope, estimate of beta)
    -0.00230
  • a (intercept, estimate of alpha)
    0.14086
  • Mean Square Error
    0.00527
  • DF error
    373.00000
  • t(b)
    -0.13346
  • p(b)
    0.55305
  • t(a)
    2.32096
  • p(a)
    0.01041
  • Lowerbound of 95% confidence interval for beta
    -0.03615
  • Upperbound of 95% confidence interval for beta
    0.03155
  • Lowerbound of 95% confidence interval for alpha
    0.02152
  • Upperbound of 95% confidence interval for alpha
    0.26021
  • Treynor index (mean / b)
    -61.41650
  • Jensen alpha (a)
    0.14086
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00680
  • Expected Shortfall on VaR
    0.00866
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00137
  • Expected Shortfall on VaR
    0.00330
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    375.00000
  • Minimum
    0.96756
  • Quartile 1
    1.00000
  • Median
    1.00046
  • Quartile 3
    1.00113
  • Maximum
    1.03076
  • Mean of quarter 1
    0.99745
  • Mean of quarter 2
    1.00009
  • Mean of quarter 3
    1.00076
  • Mean of quarter 4
    1.00433
  • Inter Quartile Range
    0.00113
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.06933
  • Mean of outliers low
    0.99139
  • Number of outliers high
    41.00000
  • Percentage of outliers high
    0.10933
  • Mean of outliers high
    1.00763
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.90490
  • VaR(95%) (moments method)
    0.00213
  • Expected Shortfall (moments method)
    0.02757
  • Extreme Value Index (regression method)
    0.08388
  • VaR(95%) (regression method)
    0.00236
  • Expected Shortfall (regression method)
    0.00476
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    28.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00152
  • Median
    0.00549
  • Quartile 3
    0.00731
  • Maximum
    0.06505
  • Mean of quarter 1
    0.00086
  • Mean of quarter 2
    0.00310
  • Mean of quarter 3
    0.00642
  • Mean of quarter 4
    0.02226
  • Inter Quartile Range
    0.00579
  • 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
    0.07143
  • Mean of outliers high
    0.04875
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.50971
  • VaR(95%) (moments method)
    0.02320
  • Expected Shortfall (moments method)
    0.05313
  • Extreme Value Index (regression method)
    1.01074
  • VaR(95%) (regression method)
    0.02537
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.19121
  • Compounded annual return (geometric extrapolation)
    0.18414
  • Calmar ratio (compounded annual return / max draw down)
    2.83059
  • Compounded annual return / average of 25% largest draw downs
    8.27273
  • Compounded annual return / Expected Shortfall lognormal
    21.26580
  • 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
    0.02406
  • SD
    0.07487
  • Sharpe ratio (Glass type estimate)
    0.32142
  • Sharpe ratio (Hedges UMVUE)
    0.31956
  • df
    130.00000
  • t
    0.22728
  • p
    0.49003
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.45127
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.09290
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.45252
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09164
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.38330
  • Upside Potential Ratio
    4.57381
  • Upside part of mean
    0.28715
  • Downside part of mean
    -0.26309
  • Upside SD
    0.04029
  • Downside SD
    0.06278
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11709
  • Mean of criterion
    0.02406
  • SD of predictor
    0.15539
  • SD of criterion
    0.07487
  • Covariance
    -0.00145
  • r
    -0.12463
  • b (slope, estimate of beta)
    -0.06005
  • a (intercept, estimate of alpha)
    0.03110
  • Mean Square Error
    0.00556
  • DF error
    129.00000
  • t(b)
    -1.42671
  • p(b)
    0.57914
  • t(a)
    0.29453
  • p(a)
    0.48350
  • Lowerbound of 95% confidence interval for beta
    -0.14333
  • Upperbound of 95% confidence interval for beta
    0.02323
  • Lowerbound of 95% confidence interval for alpha
    -0.17780
  • Upperbound of 95% confidence interval for alpha
    0.23999
  • Treynor index (mean / b)
    -0.40074
  • Jensen alpha (a)
    0.03110
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02125
  • SD
    0.07541
  • Sharpe ratio (Glass type estimate)
    0.28184
  • Sharpe ratio (Hedges UMVUE)
    0.28021
  • df
    130.00000
  • t
    0.19929
  • p
    0.49126
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.49066
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.05338
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.49180
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.05223
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.33454
  • Upside Potential Ratio
    4.50683
  • Upside part of mean
    0.28631
  • Downside part of mean
    -0.26506
  • Upside SD
    0.04011
  • Downside SD
    0.06353
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10509
  • Mean of criterion
    0.02125
  • SD of predictor
    0.15532
  • SD of criterion
    0.07541
  • Covariance
    -0.00146
  • r
    -0.12440
  • b (slope, estimate of beta)
    -0.06040
  • a (intercept, estimate of alpha)
    0.02760
  • Mean Square Error
    0.00564
  • DF error
    129.00000
  • t(b)
    -1.42393
  • p(b)
    0.57899
  • t(a)
    0.25960
  • p(a)
    0.48545
  • VAR (95 Confidence Intrvl)
    0.00700
  • Lowerbound of 95% confidence interval for beta
    -0.14432
  • Upperbound of 95% confidence interval for beta
    0.02352
  • Lowerbound of 95% confidence interval for alpha
    -0.18275
  • Upperbound of 95% confidence interval for alpha
    0.23795
  • Treynor index (mean / b)
    -0.35189
  • Jensen alpha (a)
    0.02760
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00755
  • Expected Shortfall on VaR
    0.00948
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00234
  • Expected Shortfall on VaR
    0.00538
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96840
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00128
  • Maximum
    1.01283
  • Mean of quarter 1
    0.99624
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00067
  • Mean of quarter 4
    1.00389
  • Inter Quartile Range
    0.00128
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.09924
  • Mean of outliers low
    0.99109
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.00696
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.73976
  • VaR(95%) (moments method)
    0.00302
  • Expected Shortfall (moments method)
    0.01450
  • Extreme Value Index (regression method)
    0.25233
  • VaR(95%) (regression method)
    0.00358
  • Expected Shortfall (regression method)
    0.00752
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00063
  • Quartile 1
    0.00146
  • Median
    0.00466
  • Quartile 3
    0.00643
  • Maximum
    0.06505
  • Mean of quarter 1
    0.00100
  • Mean of quarter 2
    0.00255
  • Mean of quarter 3
    0.00607
  • Mean of quarter 4
    0.02253
  • Inter Quartile Range
    0.00498
  • 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
    0.06667
  • Mean of outliers high
    0.06505
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.91517
  • VaR(95%) (moments method)
    0.02463
  • Expected Shortfall (moments method)
    0.29761
  • Extreme Value Index (regression method)
    2.31075
  • VaR(95%) (regression method)
    0.03721
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -319531000
  • Max Equity Drawdown (num days)
    14
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.04977
  • Compounded annual return (geometric extrapolation)
    0.05039
  • Calmar ratio (compounded annual return / max draw down)
    0.77457
  • Compounded annual return / average of 25% largest draw downs
    2.23671
  • Compounded annual return / Expected Shortfall lognormal
    5.31422

Strategy Description

(Updated on October 21, 2022). This is a conservative e-mini futures (MES and / or ES) day trading strategy, with a longterm target to make steady returns and beat the performance of the Standard and Poor's 500 index. The contract size is varied from 0.5 to 5 contracts of ES based on the market conditions and liquid value, so you need to decide if you can fully follow the strategy and have enough cash reservation as the positive or negative hedge while you use a higher scaling more than 100%. It includes but not limited to, Scalping, Range, Momentum and Trend Following, to capitalize on perceived intraday short-term market movements and market inefficiencies. Most positions will be closed out within the same day (If we need to hold a position overnight to adopt the market condition, we usually send out a notice to our paid customers).

We are striving to control the maximum drawdown at a low level below 5-10% in an unsteady market. However, we still encourage our customers to set their own stoploss limits based on their own risk tolerance, since we are not going to directly manage your account with no knowledge of your financial situation and profit target.

Summary Statistics

Strategy began
2021-12-28
Suggested Minimum Capital
$60,000
Rank at C2 
#82
# Trades
305
# Profitable
270
% Profitable
88.5%
Correlation S&P500
0.000
Sharpe Ratio
1.25
Sortino Ratio
1.71
Beta
0.00
Alpha
0.03
Leverage
2.09 Average
12.41 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.