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

Momentum Intraday
(140050688)

Created by: TheStig TheStig
Started: 04/2022
Futures
Last trade: Today
Trading style: Futures Momentum 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 $399.00 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
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).
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
8.8%
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.

(12.7%)
Max Drawdown
240
Num Trades
38.8%
Win Trades
1.3 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                     +3.8%+2.4%+11.3%(2.1%)(7.7%)+0.2%+1.6%            +8.8%

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.

Trading Record

This strategy has placed 239 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 36 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/5/22 9:50 @MESZ2 MICRO E-MINI S&P 500 SHORT 2 3766.25 10/5 9:51 3771.00 n/a ($50)
Includes Typical Broker Commissions trade costs of $1.88
10/5/22 9:46 @MESZ2 MICRO E-MINI S&P 500 SHORT 2 3760.75 10/5 9:47 3764.75 n/a ($42)
Includes Typical Broker Commissions trade costs of $1.88
10/3/22 9:47 @MNQZ2 MICRO E-MINI NASDAQ 100 LONG 4 11124.62 10/3 14:06 11286.00 1.09%
Trade id #142010788
Max drawdown($437)
Time10/3/22 9:59
Quant open4
Worst price11070.00
Drawdown as % of equity-1.09%
$1,287
Includes Typical Broker Commissions trade costs of $3.76
10/3/22 9:52 @MESZ2 MICRO E-MINI S&P 500 SHORT 1 3630.25 10/3 10:03 3654.00 0.31%
Trade id #142010946
Max drawdown($123)
Time10/3/22 10:03
Quant open1
Worst price3655.00
Drawdown as % of equity-0.31%
($120)
Includes Typical Broker Commissions trade costs of $0.94
9/30/22 9:44 @MESZ2 MICRO E-MINI S&P 500 SHORT 5 3641.35 9/30 10:39 3667.55 1.83%
Trade id #141990889
Max drawdown($747)
Time9/30/22 10:37
Quant open5
Worst price3671.25
Drawdown as % of equity-1.83%
($660)
Includes Typical Broker Commissions trade costs of $4.70
9/28/22 10:01 @MESZ2 MICRO E-MINI S&P 500 LONG 2 3680.00 9/28 15:03 3730.00 0.54%
Trade id #141959802
Max drawdown($220)
Time9/28/22 10:10
Quant open2
Worst price3658.00
Drawdown as % of equity-0.54%
$498
Includes Typical Broker Commissions trade costs of $1.88
9/28/22 9:42 @MESZ2 MICRO E-MINI S&P 500 SHORT 4 3657.38 9/28 9:52 3667.00 0.47%
Trade id #141959242
Max drawdown($191)
Time9/28/22 9:52
Quant open2
Worst price3676.50
Drawdown as % of equity-0.47%
($197)
Includes Typical Broker Commissions trade costs of $3.76
9/27/22 10:26 @MESZ2 MICRO E-MINI S&P 500 SHORT 1 3706.00 9/27 15:58 3659.25 0.14%
Trade id #141943517
Max drawdown($57)
Time9/27/22 10:46
Quant open1
Worst price3717.50
Drawdown as % of equity-0.14%
$233
Includes Typical Broker Commissions trade costs of $0.94
9/26/22 20:46 @MESZ2 MICRO E-MINI S&P 500 LONG 2 3690.00 9/27 8:10 3717.25 0.66%
Trade id #141937765
Max drawdown($262)
Time9/27/22 0:00
Quant open2
Worst price3663.75
Drawdown as % of equity-0.66%
$271
Includes Typical Broker Commissions trade costs of $1.88
9/26/22 9:32 @MNQZ2 MICRO E-MINI NASDAQ 100 LONG 4 11389.75 9/26 12:28 11323.50 1.41%
Trade id #141927469
Max drawdown($572)
Time9/26/22 12:28
Quant open4
Worst price11318.20
Drawdown as % of equity-1.41%
($534)
Includes Typical Broker Commissions trade costs of $3.76
9/23/22 9:42 @MESZ2 MICRO E-MINI S&P 500 SHORT 10 3716.05 9/23 12:32 3686.65 0.58%
Trade id #141905800
Max drawdown($225)
Time9/23/22 9:47
Quant open6
Worst price3725.75
Drawdown as % of equity-0.58%
$1,461
Includes Typical Broker Commissions trade costs of $9.40
9/20/22 20:56 @MESZ2 MICRO E-MINI S&P 500 LONG 2 3880.25 9/21 2:59 3862.75 0.51%
Trade id #141871106
Max drawdown($200)
Time9/21/22 2:41
Quant open2
Worst price3860.25
Drawdown as % of equity-0.51%
($177)
Includes Typical Broker Commissions trade costs of $1.88
9/20/22 9:52 @MESZ2 MICRO E-MINI S&P 500 SHORT 4 3867.50 9/20 15:52 3872.12 0.65%
Trade id #141862855
Max drawdown($257)
Time9/20/22 12:05
Quant open2
Worst price3893.25
Drawdown as % of equity-0.65%
($97)
Includes Typical Broker Commissions trade costs of $3.76
9/20/22 11:54 @MNQZ2 MICRO E-MINI NASDAQ 100 LONG 2 12004.50 9/20 12:51 11944.50 0.7%
Trade id #141866000
Max drawdown($278)
Time9/20/22 12:38
Quant open2
Worst price11935.00
Drawdown as % of equity-0.70%
($242)
Includes Typical Broker Commissions trade costs of $1.88
9/16/22 9:41 @MESZ2 MICRO E-MINI S&P 500 SHORT 6 3866.83 9/16 15:39 3889.00 1.71%
Trade id #141828531
Max drawdown($687)
Time9/16/22 10:35
Quant open6
Worst price3889.75
Drawdown as % of equity-1.71%
($671)
Includes Typical Broker Commissions trade costs of $5.64
9/13/22 9:35 @MESZ2 MICRO E-MINI S&P 500 SHORT 2 4042.00 9/13 15:46 3943.00 0.08%
Trade id #141762844
Max drawdown($32)
Time9/13/22 9:51
Quant open2
Worst price4045.25
Drawdown as % of equity-0.08%
$988
Includes Typical Broker Commissions trade costs of $1.88
9/12/22 20:44 @MESZ2 MICRO E-MINI S&P 500 LONG 2 4135.25 9/13 3:26 4143.25 0.2%
Trade id #141758119
Max drawdown($77)
Time9/12/22 22:13
Quant open2
Worst price4127.50
Drawdown as % of equity-0.20%
$78
Includes Typical Broker Commissions trade costs of $1.88
9/12/22 9:41 @MNQZ2 MICRO E-MINI NASDAQ 100 LONG 4 12792.25 9/12 16:47 12799.75 1.33%
Trade id #141746125
Max drawdown($522)
Time9/12/22 11:56
Quant open4
Worst price12727.00
Drawdown as % of equity-1.33%
$56
Includes Typical Broker Commissions trade costs of $3.76
9/7/22 21:04 @MESU2 MICRO E-MINI S&P 500 LONG 1 3983.00 9/8 2:59 3987.00 0.09%
Trade id #141699586
Max drawdown($36)
Time9/8/22 0:00
Quant open1
Worst price3975.75
Drawdown as % of equity-0.09%
$19
Includes Typical Broker Commissions trade costs of $0.94
9/7/22 10:34 @MESU2 MICRO E-MINI S&P 500 LONG 1 3931.50 9/7 12:22 3932.50 0.1%
Trade id #141687825
Max drawdown($37)
Time9/7/22 10:44
Quant open1
Worst price3924.00
Drawdown as % of equity-0.10%
$4
Includes Typical Broker Commissions trade costs of $0.94
9/6/22 11:34 @MNQU2 MICRO E-MINI NASDAQ 100 LONG 1 12114.25 9/6 11:37 12093.00 0.2%
Trade id #141672029
Max drawdown($79)
Time9/6/22 11:37
Quant open1
Worst price12074.80
Drawdown as % of equity-0.20%
($44)
Includes Typical Broker Commissions trade costs of $0.94
9/6/22 10:06 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 3 11968.17 9/6 10:29 11994.17 0.52%
Trade id #141669436
Max drawdown($201)
Time9/6/22 10:26
Quant open3
Worst price12001.80
Drawdown as % of equity-0.52%
($159)
Includes Typical Broker Commissions trade costs of $2.82
9/6/22 9:39 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 1 12089.75 9/6 10:02 11969.50 0.13%
Trade id #141668466
Max drawdown($50)
Time9/6/22 9:42
Quant open1
Worst price12114.80
Drawdown as % of equity-0.13%
$240
Includes Typical Broker Commissions trade costs of $0.94
9/2/22 10:32 @MESU2 MICRO E-MINI S&P 500 LONG 2 4013.75 9/2 12:27 3988.50 0.69%
Trade id #141638125
Max drawdown($272)
Time9/2/22 12:22
Quant open2
Worst price3986.50
Drawdown as % of equity-0.69%
($255)
Includes Typical Broker Commissions trade costs of $1.88
9/2/22 10:24 @MESU2 MICRO E-MINI S&P 500 SHORT 1 4002.50 9/2 10:30 4009.25 0.09%
Trade id #141637867
Max drawdown($36)
Time9/2/22 10:30
Quant open1
Worst price4009.75
Drawdown as % of equity-0.09%
($35)
Includes Typical Broker Commissions trade costs of $0.94
9/2/22 9:40 @MESU2 MICRO E-MINI S&P 500 SHORT 3 3987.25 9/2 10:22 3996.58 0.56%
Trade id #141635543
Max drawdown($225)
Time9/2/22 10:17
Quant open3
Worst price4002.25
Drawdown as % of equity-0.56%
($143)
Includes Typical Broker Commissions trade costs of $2.82
9/2/22 9:36 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 2 12337.75 9/2 10:13 12371.00 0.36%
Trade id #141635345
Max drawdown($144)
Time9/2/22 10:13
Quant open2
Worst price12373.80
Drawdown as % of equity-0.36%
($135)
Includes Typical Broker Commissions trade costs of $1.88
8/31/22 10:16 @MESU2 MICRO E-MINI S&P 500 LONG 10 3990.45 8/31 11:27 3984.10 1.38%
Trade id #141604659
Max drawdown($561)
Time8/31/22 11:08
Quant open6
Worst price3971.75
Drawdown as % of equity-1.38%
($327)
Includes Typical Broker Commissions trade costs of $9.40
8/30/22 21:36 @MNQU2 MICRO E-MINI NASDAQ 100 LONG 1 12422.00 8/31 11:08 12304.00 0.6%
Trade id #141598717
Max drawdown($242)
Time8/31/22 11:08
Quant open1
Worst price12301.00
Drawdown as % of equity-0.60%
($237)
Includes Typical Broker Commissions trade costs of $0.94
8/30/22 10:12 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 2 12414.25 8/30 10:36 12319.25 0.16%
Trade id #141589663
Max drawdown($65)
Time8/30/22 10:20
Quant open2
Worst price12430.50
Drawdown as % of equity-0.16%
$378
Includes Typical Broker Commissions trade costs of $1.88

Statistics

  • Strategy began
    4/6/2022
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    182.04
  • Age
    6 months ago
  • What it trades
    Futures
  • # Trades
    240
  • # Profitable
    93
  • % Profitable
    38.80%
  • Avg trade duration
    1.9 hours
  • Max peak-to-valley drawdown
    12.69%
  • drawdown period
    July 11, 2022 - Sept 12, 2022
  • Cumul. Return
    8.8%
  • Avg win
    $325.30
  • Avg loss
    $158.68
  • Model Account Values (Raw)
  • Cash
    $44,431
  • Margin Used
    $0
  • Buying Power
    $44,431
  • Ratios
  • W:L ratio
    1.30:1
  • Sharpe Ratio
    1.1
  • Sortino Ratio
    1.7
  • Calmar Ratio
    4.631
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    24.39%
  • Correlation to SP500
    0.03930
  • Return Percent SP500 (cumu) during strategy life
    -15.95%
  • Return Statistics
  • Ann Return (w trading costs)
    18.1%
  • Slump
  • Current Slump as Pcnt Equity
    9.50%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.47%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.088%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    40.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.00%
  • 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)
    515
  • Popularity (Last 6 weeks)
    879
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    926
  • Popularity (7 days, Percentile 1000 scale)
    598
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $159
  • Avg Win
    $325
  • Sum Trade PL (losers)
    $23,326.000
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $30,253.000
  • # Winners
    93
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    147
  • % Winners
    38.8%
  • Frequency
  • Avg Position Time (mins)
    112.65
  • Avg Position Time (hrs)
    1.88
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    2.15
  • Daily leverage (max)
    5.53
  • Regression
  • Alpha
    0.05
  • Beta
    0.02
  • Treynor Index
    2.27
  • 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)
    -0.33
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    17.039
  • 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
    0.316
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.099
  • Hold-and-Hope Ratio
    0.058
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28253
  • SD
    0.22582
  • Sharpe ratio (Glass type estimate)
    1.25113
  • Sharpe ratio (Hedges UMVUE)
    0.99826
  • df
    4.00000
  • t
    0.80760
  • p
    0.23230
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.96762
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.33144
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.11590
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.11242
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.06426
  • Upside Potential Ratio
    5.25511
  • Upside part of mean
    0.48452
  • Downside part of mean
    -0.20200
  • Upside SD
    0.19735
  • Downside SD
    0.09220
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.33474
  • Mean of criterion
    0.28253
  • SD of predictor
    0.20617
  • SD of criterion
    0.22582
  • Covariance
    -0.00928
  • r
    -0.19943
  • b (slope, estimate of beta)
    -0.21843
  • a (intercept, estimate of alpha)
    0.20941
  • Mean Square Error
    0.06529
  • DF error
    3.00000
  • t(b)
    -0.35250
  • p(b)
    0.62611
  • t(a)
    0.46858
  • p(a)
    0.33566
  • Lowerbound of 95% confidence interval for beta
    -2.19050
  • Upperbound of 95% confidence interval for beta
    1.75363
  • Lowerbound of 95% confidence interval for alpha
    -1.21281
  • Upperbound of 95% confidence interval for alpha
    1.63163
  • Treynor index (mean / b)
    -1.29341
  • Jensen alpha (a)
    0.20941
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25920
  • SD
    0.22039
  • Sharpe ratio (Glass type estimate)
    1.17607
  • Sharpe ratio (Hedges UMVUE)
    0.93837
  • df
    4.00000
  • t
    0.75915
  • p
    0.24502
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.02616
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.24696
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.16684
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.04358
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.75819
  • Upside Potential Ratio
    4.94904
  • Upside part of mean
    0.46508
  • Downside part of mean
    -0.20588
  • Upside SD
    0.18875
  • Downside SD
    0.09397
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.35624
  • Mean of criterion
    0.25920
  • SD of predictor
    0.20832
  • SD of criterion
    0.22039
  • Covariance
    -0.00925
  • r
    -0.20155
  • b (slope, estimate of beta)
    -0.21323
  • a (intercept, estimate of alpha)
    0.18324
  • Mean Square Error
    0.06213
  • DF error
    3.00000
  • t(b)
    -0.35640
  • p(b)
    0.62743
  • t(a)
    0.41543
  • p(a)
    0.35287
  • Lowerbound of 95% confidence interval for beta
    -2.11723
  • Upperbound of 95% confidence interval for beta
    1.69077
  • Lowerbound of 95% confidence interval for alpha
    -1.22045
  • Upperbound of 95% confidence interval for alpha
    1.58692
  • Treynor index (mean / b)
    -1.21557
  • Jensen alpha (a)
    0.18324
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07969
  • Expected Shortfall on VaR
    0.10359
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03486
  • Expected Shortfall on VaR
    0.05867
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.95999
  • Quartile 1
    0.96050
  • Median
    1.03103
  • Quartile 3
    1.07466
  • Maximum
    1.10319
  • Mean of quarter 1
    0.96025
  • Mean of quarter 2
    1.03103
  • Mean of quarter 3
    1.07466
  • Mean of quarter 4
    1.10319
  • Inter Quartile Range
    0.11416
  • 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
    1.00000
  • Minimum
    0.07793
  • Quartile 1
    0.07793
  • Median
    0.07793
  • Quartile 3
    0.07793
  • Maximum
    0.07793
  • 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)
    0.30498
  • Compounded annual return (geometric extrapolation)
    0.33256
  • Calmar ratio (compounded annual return / max draw down)
    4.26752
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    3.21037
  • 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
    0.32653
  • SD
    0.12825
  • Sharpe ratio (Glass type estimate)
    2.54592
  • Sharpe ratio (Hedges UMVUE)
    2.53097
  • df
    128.00000
  • t
    1.78644
  • p
    0.42202
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26946
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.35156
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27939
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.34134
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.20201
  • Upside Potential Ratio
    12.19490
  • Upside part of mean
    0.94763
  • Downside part of mean
    -0.62110
  • Upside SD
    0.10339
  • Downside SD
    0.07771
  • N nonnegative terms
    67.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    129.00000
  • Mean of predictor
    -0.33807
  • Mean of criterion
    0.32653
  • SD of predictor
    0.25908
  • SD of criterion
    0.12825
  • Covariance
    0.00090
  • r
    0.02708
  • b (slope, estimate of beta)
    0.01340
  • a (intercept, estimate of alpha)
    0.33100
  • Mean Square Error
    0.01657
  • DF error
    127.00000
  • t(b)
    0.30524
  • p(b)
    0.48276
  • t(a)
    1.79892
  • p(a)
    0.40007
  • Lowerbound of 95% confidence interval for beta
    -0.07349
  • Upperbound of 95% confidence interval for beta
    0.10030
  • Lowerbound of 95% confidence interval for alpha
    -0.03311
  • Upperbound of 95% confidence interval for alpha
    0.69522
  • Treynor index (mean / b)
    24.36060
  • Jensen alpha (a)
    0.33106
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31815
  • SD
    0.12803
  • Sharpe ratio (Glass type estimate)
    2.48503
  • Sharpe ratio (Hedges UMVUE)
    2.47044
  • df
    128.00000
  • t
    1.74372
  • p
    0.42384
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32940
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.28998
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.33911
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.28000
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.06725
  • Upside Potential Ratio
    12.04550
  • Upside part of mean
    0.94224
  • Downside part of mean
    -0.62408
  • Upside SD
    0.10262
  • Downside SD
    0.07822
  • N nonnegative terms
    67.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    129.00000
  • Mean of predictor
    -0.37173
  • Mean of criterion
    0.31815
  • SD of predictor
    0.26001
  • SD of criterion
    0.12803
  • Covariance
    0.00082
  • r
    0.02467
  • b (slope, estimate of beta)
    0.01215
  • a (intercept, estimate of alpha)
    0.32267
  • Mean Square Error
    0.01651
  • DF error
    127.00000
  • t(b)
    0.27811
  • p(b)
    0.48430
  • t(a)
    1.75519
  • p(a)
    0.40242
  • Lowerbound of 95% confidence interval for beta
    -0.07429
  • Upperbound of 95% confidence interval for beta
    0.09858
  • Lowerbound of 95% confidence interval for alpha
    -0.04111
  • Upperbound of 95% confidence interval for alpha
    0.68645
  • Treynor index (mean / b)
    26.19120
  • Jensen alpha (a)
    0.32267
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01173
  • Expected Shortfall on VaR
    0.01498
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00533
  • Expected Shortfall on VaR
    0.01044
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    129.00000
  • Minimum
    0.97624
  • Quartile 1
    0.99762
  • Median
    1.00065
  • Quartile 3
    1.00582
  • Maximum
    1.02369
  • Mean of quarter 1
    0.99186
  • Mean of quarter 2
    0.99909
  • Mean of quarter 3
    1.00328
  • Mean of quarter 4
    1.01148
  • Inter Quartile Range
    0.00820
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02326
  • Mean of outliers low
    0.98098
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03101
  • Mean of outliers high
    1.02179
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.20690
  • VaR(95%) (moments method)
    0.00659
  • Expected Shortfall (moments method)
    0.00698
  • Extreme Value Index (regression method)
    -0.10228
  • VaR(95%) (regression method)
    0.00782
  • Expected Shortfall (regression method)
    0.01062
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00362
  • Median
    0.00783
  • Quartile 3
    0.01398
  • Maximum
    0.08930
  • Mean of quarter 1
    0.00150
  • Mean of quarter 2
    0.00636
  • Mean of quarter 3
    0.01038
  • Mean of quarter 4
    0.04299
  • Inter Quartile Range
    0.01036
  • 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
    0.10000
  • Mean of outliers high
    0.08930
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.00960
  • VaR(95%) (moments method)
    0.03856
  • Expected Shortfall (moments method)
    0.05549
  • Extreme Value Index (regression method)
    1.64779
  • VaR(95%) (regression method)
    0.11286
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.37729
  • Compounded annual return (geometric extrapolation)
    0.41349
  • Calmar ratio (compounded annual return / max draw down)
    4.63056
  • Compounded annual return / average of 25% largest draw downs
    9.61780
  • Compounded annual return / Expected Shortfall lognormal
    27.59680
  • 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)
    0.01200
  • 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
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -319847000
  • Max Equity Drawdown (num days)
    63

Strategy Description

NEW SUBSCRIBERS: Do not sync existing open positions when setting up AutoTrading.

For allocation $250K - 10MM, please visit collective2.com/details/140655971

TEAM
Persons: 6.
Location: North America (4), Europe (2).
Experience: 75+ years combined experience in markets.
Roles: traders, developers, quants, risk managers.

GENERAL OVERVIEW
Strategies catch fast-moving market trends.
3 Portfolios of instruments
20+ strategy instances running simultaneously in each portfolio.
Extensively walk-forward tested.
Weekly portfolio/risk balancing

MARKETS
Exposes to: US equities.
Instruments: MES, MNQ, MYM.
New instruments: may be added

BEHAVIOR
Target Annual profit: 60%
Expected Max drawdown: 20%
Trades per month: 60
Executions automation: 100%.
Average trade duration: 1.5 hour.
Average loss per trade: $180 (2%)
Intraday only.
Both Long and Short.

RISK CONTROL
No martingale and adding to positions.
SL and TP always placed.
Account monitored 24/7 with two persons.
We trade these strategies in our own accounts.

POSITION SIZING, LEVERAGE, CAPITAL REQUIRED, ETC.
The strategy uses all available margin of model account.
Scaling is dangerous.
If you scale up, WE WILL CANCEL YOUR SUBSCRIPTION.
If you need to scale, please contact us.

COMMUNICATION
You can place a message on my C2 support thread, https://forums.collective2.com/t/breakout-momentum-intraday/15716.
We respond to private messages at least once per week.
We can arrange a Skype call with live subscribers.
We are busy; C2 is not our primary occupation.

RISK DISCLOSURE
At Collective2 service, we are merely acting as a signal provider.
Trading is a high-risk industry.
Past performance does not guarantee future profits.
Please read the important notices posted on the C2 website and at the bottom of this strategy description page.

Summary Statistics

Strategy began
2022-04-06
Suggested Minimum Capital
$40,000
Rank at C2 %
Top 7.4%
Rank # 
#62
# Trades
240
# Profitable
93
% Profitable
38.8%
Correlation S&P500
0.039
Sharpe Ratio
1.10
Sortino Ratio
1.70
Beta
0.02
Alpha
0.05
Leverage
2.15 Average
5.53 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.

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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.