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

Galaxyy
(139845984)

Created by: PeterAlexanderr PeterAlexanderr
Started: 03/2022
Futures
Last trade: 2 days ago
Trading style: Futures 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. 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
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
160.6%
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.

(14.0%)
Max Drawdown
230
Num Trades
64.3%
Win Trades
2.8 : 1
Profit Factor
62.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022              (0.6%)(0.6%)(0.6%)+60.3%+35.0%+11.7%+8.5%+1.2%            +160.6%

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 18 hours.

Trading Record

This strategy has placed 167 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/3/22 12:30 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 3 11183.25 10/3 12:54 11189.39 0.21%
Trade id #142014807
Max drawdown($161)
Time10/3/22 12:41
Quant open3
Worst price11210.20
Drawdown as % of equity-0.21%
($40)
Includes Typical Broker Commissions trade costs of $2.82
10/3/22 9:20 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 3 11125.02 10/3 9:37 11070.82 0.02%
Trade id #142009587
Max drawdown($14)
Time10/3/22 9:31
Quant open3
Worst price11127.50
Drawdown as % of equity-0.02%
$322
Includes Typical Broker Commissions trade costs of $2.82
9/28/22 10:24 @MNQZ2 MICRO E-MINI NASDAQ 100 LONG 5 11369.33 9/28 10:28 11394.95 0.05%
Trade id #141960393
Max drawdown($40)
Time9/28/22 10:27
Quant open5
Worst price11365.20
Drawdown as % of equity-0.05%
$251
Includes Typical Broker Commissions trade costs of $4.70
9/28/22 10:24 @NQZ2 E-MINI NASDAQ 100 STK IDX LONG 1 11368.29 9/28 10:28 11395.86 0.07%
Trade id #141960398
Max drawdown($50)
Time9/28/22 10:27
Quant open1
Worst price11365.80
Drawdown as % of equity-0.07%
$543
Includes Typical Broker Commissions trade costs of $8.00
9/28/22 10:22 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 5 11361.93 9/28 10:24 11370.09 0.11%
Trade id #141960329
Max drawdown($82)
Time9/28/22 10:24
Quant open5
Worst price11370.10
Drawdown as % of equity-0.11%
($87)
Includes Typical Broker Commissions trade costs of $4.70
9/28/22 10:04 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 1 11308.15 9/28 10:16 11312.31 0.32%
Trade id #141959903
Max drawdown($247)
Time9/28/22 10:07
Quant open1
Worst price11320.50
Drawdown as % of equity-0.32%
($91)
Includes Typical Broker Commissions trade costs of $8.00
9/27/22 11:23 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 3 11413.27 9/27 11:35 11391.38 n/a $128
Includes Typical Broker Commissions trade costs of $2.82
9/27/22 10:27 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 4 11460.40 9/27 11:04 11463.20 0.41%
Trade id #141943549
Max drawdown($309)
Time9/27/22 10:50
Quant open3
Worst price11504.00
Drawdown as % of equity-0.41%
($26)
Includes Typical Broker Commissions trade costs of $3.76
9/26/22 10:48 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 4 11440.86 9/26 12:19 11389.07 0.34%
Trade id #141929848
Max drawdown($253)
Time9/26/22 11:00
Quant open4
Worst price11472.50
Drawdown as % of equity-0.34%
$410
Includes Typical Broker Commissions trade costs of $3.76
9/20/22 22:34 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 2 11958.21 9/21 14:00 11892.87 0.59%
Trade id #141871436
Max drawdown($441)
Time9/21/22 14:00
Quant open2
Worst price12067.80
Drawdown as % of equity-0.59%
$259
Includes Typical Broker Commissions trade costs of $1.88
9/20/22 9:19 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 2 11926.75 9/20 10:03 11932.78 0.11%
Trade id #141861897
Max drawdown($81)
Time9/20/22 9:34
Quant open2
Worst price11947.20
Drawdown as % of equity-0.11%
($26)
Includes Typical Broker Commissions trade costs of $1.88
9/16/22 12:35 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 10 11818.33 9/16 13:23 11820.26 0.92%
Trade id #141833411
Max drawdown($693)
Time9/16/22 13:02
Quant open10
Worst price11853.00
Drawdown as % of equity-0.92%
($48)
Includes Typical Broker Commissions trade costs of $9.40
9/16/22 10:42 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 5 11879.67 9/16 11:04 11819.98 n/a $592
Includes Typical Broker Commissions trade costs of $4.70
9/15/22 12:11 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 15 12103.64 9/15 13:47 12091.41 1.61%
Trade id #141818629
Max drawdown($1,185)
Time9/15/22 13:27
Quant open10
Worst price12150.50
Drawdown as % of equity-1.61%
$353
Includes Typical Broker Commissions trade costs of $14.10
9/7/22 10:54 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 15 12119.68 9/7 12:20 12113.01 1.54%
Trade id #141688418
Max drawdown($1,137)
Time9/7/22 11:55
Quant open10
Worst price12162.00
Drawdown as % of equity-1.54%
$186
Includes Typical Broker Commissions trade costs of $14.10
9/7/22 10:37 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 5 12075.56 9/7 10:46 12068.09 0.09%
Trade id #141687944
Max drawdown($66)
Time9/7/22 10:42
Quant open5
Worst price12082.20
Drawdown as % of equity-0.09%
$70
Includes Typical Broker Commissions trade costs of $4.70
9/7/22 10:05 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 3 12084.94 9/7 10:20 12059.75 n/a $148
Includes Typical Broker Commissions trade costs of $2.82
9/7/22 3:20 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 11 12067.11 9/7 10:00 12056.76 1.61%
Trade id #141682981
Max drawdown($1,184)
Time9/7/22 9:48
Quant open6
Worst price12127.80
Drawdown as % of equity-1.61%
$218
Includes Typical Broker Commissions trade costs of $10.34
9/6/22 9:26 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 1 12127.22 9/6 10:22 11962.88 1.18%
Trade id #141667682
Max drawdown($835)
Time9/6/22 9:31
Quant open1
Worst price12169.00
Drawdown as % of equity-1.18%
$3,279
Includes Typical Broker Commissions trade costs of $8.00
8/30/22 10:01 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 3 12477.80 8/30 14:06 12314.03 n/a $980
Includes Typical Broker Commissions trade costs of $2.82
8/29/22 10:11 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 5 12545.00 8/29 11:23 12490.30 0.18%
Trade id #141576389
Max drawdown($123)
Time8/29/22 10:17
Quant open1
Worst price12610.00
Drawdown as % of equity-0.18%
$542
Includes Typical Broker Commissions trade costs of $4.70
8/26/22 8:24 @MNQU2 MICRO E-MINI NASDAQ 100 LONG 5 13109.33 8/26 8:31 13154.35 0.32%
Trade id #141554506
Max drawdown($220)
Time8/26/22 8:30
Quant open5
Worst price13087.20
Drawdown as % of equity-0.32%
$445
Includes Typical Broker Commissions trade costs of $4.70
8/23/22 10:43 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 1 12943.33 8/23 11:07 12898.65 0.71%
Trade id #141508246
Max drawdown($483)
Time8/23/22 10:51
Quant open1
Worst price12967.50
Drawdown as % of equity-0.71%
$886
Includes Typical Broker Commissions trade costs of $8.00
8/23/22 10:09 @NQU2 E-MINI NASDAQ 100 STK IDX LONG 2 12987.54 8/23 10:16 13012.02 n/a $963
Includes Typical Broker Commissions trade costs of $16.00
8/23/22 10:01 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 1 12946.73 8/23 10:08 12981.27 1.11%
Trade id #141506858
Max drawdown($765)
Time8/23/22 10:08
Quant open1
Worst price12985.00
Drawdown as % of equity-1.11%
($699)
Includes Typical Broker Commissions trade costs of $8.00
8/23/22 9:45 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 1 12882.70 8/23 9:48 12936.60 1.85%
Trade id #141506191
Max drawdown($1,271)
Time8/23/22 9:48
Quant open1
Worst price12946.20
Drawdown as % of equity-1.85%
($1,086)
Includes Typical Broker Commissions trade costs of $8.00
8/23/22 8:36 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 5 12913.18 8/23 9:15 12889.10 0.04%
Trade id #141504912
Max drawdown($25)
Time8/23/22 8:47
Quant open5
Worst price12915.80
Drawdown as % of equity-0.04%
$236
Includes Typical Broker Commissions trade costs of $4.70
8/23/22 6:23 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 3 12915.27 8/23 6:54 12931.58 0.26%
Trade id #141504258
Max drawdown($181)
Time8/23/22 6:47
Quant open3
Worst price12945.50
Drawdown as % of equity-0.26%
($101)
Includes Typical Broker Commissions trade costs of $2.82
8/22/22 9:59 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 5 13038.55 8/22 10:01 13016.52 n/a $215
Includes Typical Broker Commissions trade costs of $4.70
8/15/22 11:22 @MNQU2 MICRO E-MINI NASDAQ 100 LONG 5 13583.46 8/15 13:15 13667.50 0.03%
Trade id #141419684
Max drawdown($22)
Time8/15/22 11:28
Quant open5
Worst price13581.20
Drawdown as % of equity-0.03%
$835
Includes Typical Broker Commissions trade costs of $4.70

Statistics

  • Strategy began
    3/19/2022
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    199.73
  • Age
    7 months ago
  • What it trades
    Futures
  • # Trades
    230
  • # Profitable
    148
  • % Profitable
    64.30%
  • Avg trade duration
    1.1 hours
  • Max peak-to-valley drawdown
    13.98%
  • drawdown period
    June 28, 2022 - June 30, 2022
  • Cumul. Return
    160.6%
  • Avg win
    $532.41
  • Avg loss
    $344.26
  • Model Account Values (Raw)
  • Cash
    $80,334
  • Margin Used
    $0
  • Buying Power
    $80,334
  • Ratios
  • W:L ratio
    2.79:1
  • Sharpe Ratio
    3.19
  • Sortino Ratio
    17.1
  • Calmar Ratio
    115.018
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    175.80%
  • Correlation to SP500
    -0.05250
  • Return Percent SP500 (cumu) during strategy life
    -15.61%
  • Return Statistics
  • Ann Return (w trading costs)
    461.2%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.606%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    508.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    3.50%
  • 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
    100.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    991
  • Popularity (Last 6 weeks)
    994
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    992
  • Popularity (7 days, Percentile 1000 scale)
    990
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $344
  • Avg Win
    $532
  • Sum Trade PL (losers)
    $28,229.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $78,796.000
  • # Winners
    148
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    3074940
  • Win / Loss
  • # Losers
    82
  • % Winners
    64.3%
  • Frequency
  • Avg Position Time (mins)
    66.08
  • Avg Position Time (hrs)
    1.10
  • Avg Trade Length
    0.0 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    5.54
  • Daily leverage (max)
    21.12
  • Regression
  • Alpha
    0.50
  • Beta
    -0.10
  • Treynor Index
    -4.99
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.49
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    73.608
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.564
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.108
  • Hold-and-Hope Ratio
    0.014
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.77468
  • SD
    0.79554
  • Sharpe ratio (Glass type estimate)
    3.48777
  • Sharpe ratio (Hedges UMVUE)
    2.78284
  • df
    4.00000
  • t
    2.25135
  • p
    0.04376
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46298
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.19207
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81412
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.37980
  • Statistics related to Sortino ratio
  • Sortino ratio
    769.25700
  • Upside Potential Ratio
    770.80600
  • Upside part of mean
    2.78027
  • Downside part of mean
    -0.00559
  • Upside SD
    1.07139
  • Downside SD
    0.00361
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.47908
  • Mean of criterion
    2.77468
  • SD of predictor
    0.26063
  • SD of criterion
    0.79554
  • Covariance
    0.13997
  • r
    0.67507
  • b (slope, estimate of beta)
    2.06058
  • a (intercept, estimate of alpha)
    3.76187
  • Mean Square Error
    0.45930
  • DF error
    3.00000
  • t(b)
    1.58488
  • p(b)
    0.10558
  • t(a)
    3.08155
  • p(a)
    0.02704
  • Lowerbound of 95% confidence interval for beta
    -2.07707
  • Upperbound of 95% confidence interval for beta
    6.19823
  • Lowerbound of 95% confidence interval for alpha
    -0.12318
  • Upperbound of 95% confidence interval for alpha
    7.64692
  • Treynor index (mean / b)
    1.34655
  • Jensen alpha (a)
    3.76187
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.32724
  • SD
    0.63647
  • Sharpe ratio (Glass type estimate)
    3.65648
  • Sharpe ratio (Hedges UMVUE)
    2.91745
  • df
    4.00000
  • t
    2.36025
  • p
    0.03882
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.36418
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.42963
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73037
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.56527
  • Statistics related to Sortino ratio
  • Sortino ratio
    645.95900
  • Upside Potential Ratio
    647.50800
  • Upside part of mean
    2.33282
  • Downside part of mean
    -0.00558
  • Upside SD
    0.88057
  • Downside SD
    0.00360
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.51583
  • Mean of criterion
    2.32724
  • SD of predictor
    0.26206
  • SD of criterion
    0.63647
  • Covariance
    0.11494
  • r
    0.68913
  • b (slope, estimate of beta)
    1.67373
  • a (intercept, estimate of alpha)
    3.19060
  • Mean Square Error
    0.28362
  • DF error
    3.00000
  • t(b)
    1.64720
  • p(b)
    0.09904
  • t(a)
    3.26422
  • p(a)
    0.02349
  • Lowerbound of 95% confidence interval for beta
    -1.55999
  • Upperbound of 95% confidence interval for beta
    4.90746
  • Lowerbound of 95% confidence interval for alpha
    0.07992
  • Upperbound of 95% confidence interval for alpha
    6.30128
  • Treynor index (mean / b)
    1.39045
  • Jensen alpha (a)
    3.19060
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10262
  • Expected Shortfall on VaR
    0.16706
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00053
  • Expected Shortfall on VaR
    0.00131
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    1.00000
  • Quartile 1
    1.08871
  • Median
    1.11811
  • Quartile 3
    1.47097
  • Maximum
    1.48996
  • Mean of quarter 1
    1.04436
  • Mean of quarter 2
    1.11811
  • Mean of quarter 3
    1.47097
  • Mean of quarter 4
    1.48996
  • Inter Quartile Range
    0.38226
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    4.00309
  • Compounded annual return (geometric extrapolation)
    9.53970
  • 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
    57.10250
  • 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
    2.40178
  • SD
    0.53594
  • Sharpe ratio (Glass type estimate)
    4.48146
  • Sharpe ratio (Hedges UMVUE)
    4.45139
  • df
    112.00000
  • t
    2.94312
  • p
    0.36603
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.43048
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.51334
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.41057
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.49220
  • Statistics related to Sortino ratio
  • Sortino ratio
    27.19600
  • Upside Potential Ratio
    30.50940
  • Upside part of mean
    2.69440
  • Downside part of mean
    -0.29262
  • Upside SD
    0.54672
  • Downside SD
    0.08831
  • N nonnegative terms
    49.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    113.00000
  • Mean of predictor
    -0.37018
  • Mean of criterion
    2.40178
  • SD of predictor
    0.28144
  • SD of criterion
    0.53594
  • Covariance
    -0.00886
  • r
    -0.05872
  • b (slope, estimate of beta)
    -0.11181
  • a (intercept, estimate of alpha)
    2.36000
  • Mean Square Error
    0.28882
  • DF error
    111.00000
  • t(b)
    -0.61971
  • p(b)
    0.53736
  • t(a)
    2.87488
  • p(a)
    0.33437
  • Lowerbound of 95% confidence interval for beta
    -0.46935
  • Upperbound of 95% confidence interval for beta
    0.24572
  • Lowerbound of 95% confidence interval for alpha
    0.73344
  • Upperbound of 95% confidence interval for alpha
    3.98733
  • Treynor index (mean / b)
    -21.48000
  • Jensen alpha (a)
    2.36039
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.26423
  • SD
    0.49264
  • Sharpe ratio (Glass type estimate)
    4.59610
  • Sharpe ratio (Hedges UMVUE)
    4.56525
  • df
    112.00000
  • t
    3.01841
  • p
    0.36286
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.54189
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.63062
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.52155
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.60896
  • Statistics related to Sortino ratio
  • Sortino ratio
    25.13910
  • Upside Potential Ratio
    28.43210
  • Upside part of mean
    2.56082
  • Downside part of mean
    -0.29659
  • Upside SD
    0.50200
  • Downside SD
    0.09007
  • N nonnegative terms
    49.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    113.00000
  • Mean of predictor
    -0.41006
  • Mean of criterion
    2.26423
  • SD of predictor
    0.28343
  • SD of criterion
    0.49264
  • Covariance
    -0.00858
  • r
    -0.06142
  • b (slope, estimate of beta)
    -0.10676
  • a (intercept, estimate of alpha)
    2.22045
  • Mean Square Error
    0.24396
  • DF error
    111.00000
  • t(b)
    -0.64838
  • p(b)
    0.53908
  • t(a)
    2.94055
  • p(a)
    0.33094
  • Lowerbound of 95% confidence interval for beta
    -0.43306
  • Upperbound of 95% confidence interval for beta
    0.21953
  • Lowerbound of 95% confidence interval for alpha
    0.72414
  • Upperbound of 95% confidence interval for alpha
    3.71675
  • Treynor index (mean / b)
    -21.20770
  • Jensen alpha (a)
    2.22045
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04057
  • Expected Shortfall on VaR
    0.05264
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00267
  • Expected Shortfall on VaR
    0.00624
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    113.00000
  • Minimum
    0.95310
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00473
  • Maximum
    1.25469
  • Mean of quarter 1
    0.99588
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00200
  • Mean of quarter 4
    1.03969
  • Inter Quartile Range
    0.00473
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.04425
  • Mean of outliers low
    0.97912
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.15929
  • Mean of outliers high
    1.05705
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.92966
  • VaR(95%) (moments method)
    0.00189
  • Expected Shortfall (moments method)
    0.03779
  • Extreme Value Index (regression method)
    1.11254
  • VaR(95%) (regression method)
    0.00296
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00092
  • Median
    0.00237
  • Quartile 3
    0.00741
  • Maximum
    0.07734
  • Mean of quarter 1
    0.00040
  • Mean of quarter 2
    0.00162
  • Mean of quarter 3
    0.00265
  • Mean of quarter 4
    0.03545
  • Inter Quartile Range
    0.00649
  • 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
    0.09091
  • Mean of outliers high
    0.07734
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.56874
  • VaR(95%) (moments method)
    0.03737
  • Expected Shortfall (moments method)
    0.10130
  • Extreme Value Index (regression method)
    2.68996
  • VaR(95%) (regression method)
    0.09986
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.91249
  • Compounded annual return (geometric extrapolation)
    8.89602
  • Calmar ratio (compounded annual return / max draw down)
    115.01800
  • Compounded annual return / average of 25% largest draw downs
    250.95200
  • Compounded annual return / Expected Shortfall lognormal
    169.00400
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.04100
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -322093000
  • Max Equity Drawdown (num days)
    2

Strategy Description

What trade? Futures Finance Index.

Summary Statistics

Strategy began
2022-03-19
Suggested Minimum Capital
$80,000
Rank at C2 %
Top 0.8%
Rank # 
#7
# Trades
230
# Profitable
148
% Profitable
64.3%
Correlation S&P500
-0.052
Sharpe Ratio
3.19
Sortino Ratio
17.10
Beta
-0.10
Alpha
0.50
Leverage
5.54 Average
21.12 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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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.