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Featured Strategy IC Algotrading Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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This is an archived track record. This track record was archived on 12/25/22 16:15 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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NQDayTrader
(141030615)

Created by: Systematic_Trader Systematic_Trader
Started: 07/2022
Futures
Last trade: 483 days ago

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 $99.00 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.

-14.7%
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.

(30.6%)
Max Drawdown
85
Num Trades
25.9%
Win Trades
1.0 : 1
Profit Factor
9.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          +5.4%+10.0%(5.1%)(5.5%)(4.9%)(6.1%)(7.1%)
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

Model Account Details

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

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

Trading Record

This strategy has placed 193 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
12/23/22 9:40 @MNQH3 MICRO E-MINI NASDAQ 100 SHORT 9 10932.86 12/23 9:45 10972.26 2.51%
Trade id #142982113
Max drawdown($1,186)
Time12/23/22 9:43
Quant open9
Worst price10998.80
Drawdown as % of equity-2.51%
 ($717)
Includes Typical Broker Commissions trade costs of $8.46
12/22/22 9:40 @MNQH3 MICRO E-MINI NASDAQ 100 SHORT 8 11107.51 12/22 12:25 10943.38 0.62%
Trade id #142966682
Max drawdown($275)
Time12/22/22 9:59
Quant open8
Worst price11124.80
Drawdown as % of equity-0.62%
 $2,618
Includes Typical Broker Commissions trade costs of $7.52
12/21/22 9:50 @MNQH3 MICRO E-MINI NASDAQ 100 LONG 8 11267.81 12/21 9:55 11249.46 1.27%
Trade id #142952249
Max drawdown($569)
Time12/21/22 9:55
Quant open8
Worst price11232.20
Drawdown as % of equity-1.27%
 ($302)
Includes Typical Broker Commissions trade costs of $7.52
12/21/22 9:40 @MNQH3 MICRO E-MINI NASDAQ 100 SHORT 8 11220.04 12/21 9:45 11227.30 0.67%
Trade id #142951905
Max drawdown($299)
Time12/21/22 9:44
Quant open8
Worst price11238.80
Drawdown as % of equity-0.67%
 ($124)
Includes Typical Broker Commissions trade costs of $7.52
12/20/22 9:40 @MNQH3 MICRO E-MINI NASDAQ 100 SHORT 9 11114.21 12/20 10:25 11211.36 4.02%
Trade id #142938761
Max drawdown($1,890)
Time12/20/22 10:22
Quant open9
Worst price11219.20
Drawdown as % of equity-4.02%
 ($1,757)
Includes Typical Broker Commissions trade costs of $8.46
12/19/22 14:00 @MNQH3 MICRO E-MINI NASDAQ 100 SHORT 9 11193.14 12/19 15:55 11170.03 0.01%
Trade id #142929770
Max drawdown($2)
Time12/19/22 14:46
Quant open4
Worst price11193.50
Drawdown as % of equity-0.01%
 $408
Includes Typical Broker Commissions trade costs of $8.46
12/19/22 9:40 @MNQH3 MICRO E-MINI NASDAQ 100 SHORT 8 11320.08 12/19 12:50 11237.52 n/a $1,313
Includes Typical Broker Commissions trade costs of $7.52
12/16/22 9:40 @MNQH3 MICRO E-MINI NASDAQ 100 SHORT 9 11412.73 12/16 9:50 11480.00 3.16%
Trade id #142902645
Max drawdown($1,417)
Time12/16/22 9:50
Quant open9
Worst price11491.50
Drawdown as % of equity-3.16%
 ($1,219)
Includes Typical Broker Commissions trade costs of $8.46
12/14/22 10:05 @MNQZ2 MICRO E-MINI NASDAQ 100 LONG 10 11895.59 12/14 12:30 11884.46 1.06%
Trade id #142874287
Max drawdown($481)
Time12/14/22 12:27
Quant open10
Worst price11871.50
Drawdown as % of equity-1.06%
 ($232)
Includes Typical Broker Commissions trade costs of $9.40
12/13/22 9:55 @MNQZ2 MICRO E-MINI NASDAQ 100 LONG 10 12169.50 12/13 10:00 12135.24 2.14%
Trade id #142859219
Max drawdown($990)
Time12/13/22 10:00
Quant open10
Worst price12120.00
Drawdown as % of equity-2.14%
 ($694)
Includes Typical Broker Commissions trade costs of $9.40
12/12/22 10:50 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 10 11532.72 12/12 11:10 11597.18 2.89%
Trade id #142846470
Max drawdown($1,405)
Time12/12/22 11:08
Quant open10
Worst price11603.00
Drawdown as % of equity-2.89%
 ($1,298)
Includes Typical Broker Commissions trade costs of $9.40
12/12/22 9:50 @MNQZ2 MICRO E-MINI NASDAQ 100 LONG 10 11594.24 12/12 9:55 11588.82 0.56%
Trade id #142845299
Max drawdown($269)
Time12/12/22 9:54
Quant open10
Worst price11580.80
Drawdown as % of equity-0.56%
 ($117)
Includes Typical Broker Commissions trade costs of $9.40
12/12/22 9:40 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 10 11548.11 12/12 9:50 11594.94 2.5%
Trade id #142845079
Max drawdown($1,212)
Time12/12/22 9:50
Quant open10
Worst price11608.80
Drawdown as % of equity-2.50%
 ($946)
Includes Typical Broker Commissions trade costs of $9.40
12/8/22 9:40 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 10 11514.00 12/8 9:50 11522.23 0.86%
Trade id #142810991
Max drawdown($420)
Time12/8/22 9:50
Quant open10
Worst price11535.00
Drawdown as % of equity-0.86%
 ($174)
Includes Typical Broker Commissions trade costs of $9.40
12/7/22 9:40 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 10 11571.97 12/7 12:55 11527.71 0.36%
Trade id #142796172
Max drawdown($175)
Time12/7/22 11:05
Quant open10
Worst price11580.80
Drawdown as % of equity-0.36%
 $876
Includes Typical Broker Commissions trade costs of $9.40
12/1/22 9:50 @MNQZ2 MICRO E-MINI NASDAQ 100 LONG 10 12117.87 12/1 10:05 12091.58 1.76%
Trade id #142732715
Max drawdown($857)
Time12/1/22 10:01
Quant open10
Worst price12075.00
Drawdown as % of equity-1.76%
 ($535)
Includes Typical Broker Commissions trade costs of $9.40
11/30/22 10:50 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 10 11525.94 11/30 11:40 11573.38 1.97%
Trade id #142719893
Max drawdown($966)
Time11/30/22 11:40
Quant open10
Worst price11574.20
Drawdown as % of equity-1.97%
 ($958)
Includes Typical Broker Commissions trade costs of $9.40
11/30/22 9:40 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 10 11544.05 11/30 9:45 11571.74 1.5%
Trade id #142718539
Max drawdown($754)
Time11/30/22 9:43
Quant open10
Worst price11581.80
Drawdown as % of equity-1.50%
 ($563)
Includes Typical Broker Commissions trade costs of $9.40
11/24/22 10:15 @MNQZ2 MICRO E-MINI NASDAQ 100 LONG 10 11910.35 11/24 12:50 11921.42 0.13%
Trade id #142669948
Max drawdown($67)
Time11/24/22 10:20
Quant open10
Worst price11907.00
Drawdown as % of equity-0.13%
 $212
Includes Typical Broker Commissions trade costs of $9.40
11/23/22 9:50 @MNQZ2 MICRO E-MINI NASDAQ 100 LONG 10 11821.39 11/23 11:55 11791.45 1.63%
Trade id #142658575
Max drawdown($837)
Time11/23/22 11:55
Quant open10
Worst price11779.50
Drawdown as % of equity-1.63%
 ($608)
Includes Typical Broker Commissions trade costs of $9.40
11/15/22 10:00 @MNQZ2 MICRO E-MINI NASDAQ 100 LONG 10 12038.31 11/15 10:20 11997.25 1.72%
Trade id #142568887
Max drawdown($886)
Time11/15/22 10:20
Quant open10
Worst price11994.00
Drawdown as % of equity-1.72%
 ($830)
Includes Typical Broker Commissions trade costs of $9.40
11/10/22 9:50 @MNQZ2 MICRO E-MINI NASDAQ 100 LONG 10 11373.43 11/10 15:55 11639.27 0.68%
Trade id #142518787
Max drawdown($313)
Time11/10/22 10:40
Quant open10
Worst price11357.80
Drawdown as % of equity-0.68%
 $5,308
Includes Typical Broker Commissions trade costs of $9.40
11/9/22 9:40 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 10 10986.69 11/9 10:10 11034.29 2.28%
Trade id #142500760
Max drawdown($1,076)
Time11/9/22 9:45
Quant open10
Worst price11040.50
Drawdown as % of equity-2.28%
 ($961)
Includes Typical Broker Commissions trade costs of $9.40
11/8/22 9:40 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 10 11040.43 11/8 9:55 11075.52 1.84%
Trade id #142481369
Max drawdown($886)
Time11/8/22 9:54
Quant open10
Worst price11084.80
Drawdown as % of equity-1.84%
 ($711)
Includes Typical Broker Commissions trade costs of $9.40
11/7/22 9:40 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 10 10879.56 11/7 10:05 10922.79 2.3%
Trade id #142465341
Max drawdown($1,128)
Time11/7/22 10:05
Quant open10
Worst price10936.00
Drawdown as % of equity-2.30%
 ($874)
Includes Typical Broker Commissions trade costs of $9.40
11/4/22 11:55 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 10 10724.50 11/4 12:20 10775.62 2.83%
Trade id #142444709
Max drawdown($1,415)
Time11/4/22 12:18
Quant open10
Worst price10795.20
Drawdown as % of equity-2.83%
 ($1,031)
Includes Typical Broker Commissions trade costs of $9.40
11/4/22 9:40 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 10 10808.25 11/4 10:15 10892.17 3.48%
Trade id #142440405
Max drawdown($1,800)
Time11/4/22 10:15
Quant open10
Worst price10898.20
Drawdown as % of equity-3.48%
 ($1,687)
Includes Typical Broker Commissions trade costs of $9.40
11/2/22 14:55 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 10 11165.09 11/2 15:10 11216.02 2.99%
Trade id #142415505
Max drawdown($1,593)
Time11/2/22 15:09
Quant open10
Worst price11244.80
Drawdown as % of equity-2.99%
 ($1,028)
Includes Typical Broker Commissions trade costs of $9.40
11/2/22 9:40 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 10 11312.97 11/2 13:45 11245.84 0.38%
Trade id #142407647
Max drawdown($195)
Time11/2/22 9:48
Quant open10
Worst price11322.80
Drawdown as % of equity-0.38%
 $1,334
Includes Typical Broker Commissions trade costs of $9.40
10/28/22 10:00 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 10 11336.71 10/28 10:30 11388.23 2.89%
Trade id #142358867
Max drawdown($1,505)
Time10/28/22 10:30
Quant open10
Worst price11412.00
Drawdown as % of equity-2.89%
 ($1,039)
Includes Typical Broker Commissions trade costs of $9.40
Next

Statistics

  • Strategy began
    7/12/2022
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    639.78
  • Age
    22 months ago
  • What it trades
    Futures
  • # Trades
    85
  • # Profitable
    22
  • % Profitable
    25.90%
  • Avg trade duration
    1.4 hours
  • Max peak-to-valley drawdown
    30.62%
  • drawdown period
    Sept 06, 2022 - Dec 22, 2022
  • Cumul. Return
    -7.1%
  • Avg win
    $1,986
  • Avg loss
    $725.33
  • Model Account Values (Raw)
  • Cash
    $48,013
  • Margin Used
    $0
  • Buying Power
    $48,013
  • Ratios
  • W:L ratio
    0.96:1
  • Sharpe Ratio
    -0.28
  • Sortino Ratio
    -0.46
  • Calmar Ratio
    -0.252
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -7.82%
  • Correlation to SP500
    0.05830
  • Return Percent SP500 (cumu) during strategy life
    31.22%
  • Return Statistics
  • Ann Return (w trading costs)
    -14.7%
  • Slump
  • Current Slump as Pcnt Equity
    38.20%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.91%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.071%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -2.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    77.00%
  • Chance of 20% account loss
    23.00%
  • Chance of 30% account loss
    3.50%
  • Chance of 40% account loss
    0.50%
  • 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
    88.08%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    839
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    520
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $725
  • Avg Win
    $1,987
  • Sum Trade PL (losers)
    $45,696.000
  • Age
  • Num Months filled monthly returns table
    22
  • Win / Loss
  • Sum Trade PL (winners)
    $43,709.000
  • # Winners
    22
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    63
  • % Winners
    25.9%
  • Frequency
  • Avg Position Time (mins)
    83.35
  • Avg Position Time (hrs)
    1.39
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    476
  • Leverage
  • Daily leverage (average)
    4.44
  • Daily leverage (max)
    5.26
  • Regression
  • Alpha
    -0.02
  • Beta
    0.05
  • Treynor Index
    -0.25
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.87
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -12.375
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.181
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.393
  • Hold-and-Hope Ratio
    -0.081
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01300
  • SD
    0.35732
  • Sharpe ratio (Glass type estimate)
    0.03639
  • Sharpe ratio (Hedges UMVUE)
    0.02903
  • df
    4.00000
  • t
    0.02349
  • p
    0.49119
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.00220
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07074
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.00740
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.06546
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.06196
  • Upside Potential Ratio
    2.50284
  • Upside part of mean
    0.52515
  • Downside part of mean
    -0.51215
  • Upside SD
    0.24111
  • Downside SD
    0.20982
  • N nonnegative terms
    2.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.12477
  • Mean of criterion
    0.01300
  • SD of predictor
    0.33865
  • SD of criterion
    0.35732
  • Covariance
    0.02168
  • r
    0.17915
  • b (slope, estimate of beta)
    0.18903
  • a (intercept, estimate of alpha)
    -0.01058
  • Mean Square Error
    0.16478
  • DF error
    3.00000
  • t(b)
    0.31540
  • p(b)
    0.38656
  • t(a)
    -0.01671
  • p(a)
    0.50614
  • Lowerbound of 95% confidence interval for beta
    -1.71831
  • Upperbound of 95% confidence interval for beta
    2.09637
  • Lowerbound of 95% confidence interval for alpha
    -2.02600
  • Upperbound of 95% confidence interval for alpha
    2.00483
  • Treynor index (mean / b)
    0.06878
  • Jensen alpha (a)
    -0.01058
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03733
  • SD
    0.35379
  • Sharpe ratio (Glass type estimate)
    -0.10552
  • Sharpe ratio (Hedges UMVUE)
    -0.08420
  • df
    4.00000
  • t
    -0.06812
  • p
    0.52552
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.13642
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.93798
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.12112
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.95273
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.16997
  • Upside Potential Ratio
    2.26269
  • Upside part of mean
    0.49699
  • Downside part of mean
    -0.53432
  • Upside SD
    0.22805
  • Downside SD
    0.21964
  • N nonnegative terms
    2.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.07768
  • Mean of criterion
    -0.03733
  • SD of predictor
    0.34246
  • SD of criterion
    0.35379
  • Covariance
    0.02384
  • r
    0.19676
  • b (slope, estimate of beta)
    0.20327
  • a (intercept, estimate of alpha)
    -0.05312
  • Mean Square Error
    0.16043
  • DF error
    3.00000
  • t(b)
    0.34760
  • p(b)
    0.37555
  • t(a)
    -0.08539
  • p(a)
    0.53133
  • Lowerbound of 95% confidence interval for beta
    -1.65781
  • Upperbound of 95% confidence interval for beta
    2.06436
  • Lowerbound of 95% confidence interval for alpha
    -2.03314
  • Upperbound of 95% confidence interval for alpha
    1.92689
  • Treynor index (mean / b)
    -0.18366
  • Jensen alpha (a)
    -0.05312
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15726
  • Expected Shortfall on VaR
    0.19190
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10623
  • Expected Shortfall on VaR
    0.14966
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.90092
  • Quartile 1
    0.91643
  • Median
    0.97625
  • Quartile 3
    1.09985
  • Maximum
    1.12362
  • Mean of quarter 1
    0.90867
  • Mean of quarter 2
    0.97625
  • Mean of quarter 3
    1.09985
  • Mean of quarter 4
    1.12362
  • Inter Quartile Range
    0.18343
  • 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
    0.19399
  • Quartile 1
    0.19399
  • Median
    0.19399
  • Quartile 3
    0.19399
  • Maximum
    0.19399
  • 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)
    -0.00941
  • Compounded annual return (geometric extrapolation)
    -0.00938
  • Calmar ratio (compounded annual return / max draw down)
    -0.04836
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.04889
  • 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
    -0.05981
  • SD
    0.28960
  • Sharpe ratio (Glass type estimate)
    -0.20652
  • Sharpe ratio (Hedges UMVUE)
    -0.20519
  • df
    117.00000
  • t
    -0.13859
  • p
    0.50816
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.12674
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71451
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.12581
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.71543
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.34347
  • Upside Potential Ratio
    8.77181
  • Upside part of mean
    1.52741
  • Downside part of mean
    -1.58722
  • Upside SD
    0.22989
  • Downside SD
    0.17413
  • N nonnegative terms
    31.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    118.00000
  • Mean of predictor
    0.01590
  • Mean of criterion
    -0.05981
  • SD of predictor
    0.24117
  • SD of criterion
    0.28960
  • Covariance
    0.00717
  • r
    0.10268
  • b (slope, estimate of beta)
    0.12330
  • a (intercept, estimate of alpha)
    -0.09800
  • Mean Square Error
    0.08370
  • DF error
    116.00000
  • t(b)
    1.11177
  • p(b)
    0.44866
  • t(a)
    -0.14328
  • p(a)
    0.50665
  • Lowerbound of 95% confidence interval for beta
    -0.09636
  • Upperbound of 95% confidence interval for beta
    0.34296
  • Lowerbound of 95% confidence interval for alpha
    -0.91562
  • Upperbound of 95% confidence interval for alpha
    0.79208
  • Treynor index (mean / b)
    -0.48506
  • Jensen alpha (a)
    -0.06177
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.10090
  • SD
    0.28705
  • Sharpe ratio (Glass type estimate)
    -0.35151
  • Sharpe ratio (Hedges UMVUE)
    -0.34925
  • df
    117.00000
  • t
    -0.23590
  • p
    0.51388
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.27169
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.57001
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.27010
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.57159
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.57254
  • Upside Potential Ratio
    8.52038
  • Upside part of mean
    1.50156
  • Downside part of mean
    -1.60246
  • Upside SD
    0.22512
  • Downside SD
    0.17623
  • N nonnegative terms
    31.00000
  • N negative terms
    87.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    118.00000
  • Mean of predictor
    -0.01283
  • Mean of criterion
    -0.10090
  • SD of predictor
    0.24054
  • SD of criterion
    0.28705
  • Covariance
    0.00679
  • r
    0.09837
  • b (slope, estimate of beta)
    0.11739
  • a (intercept, estimate of alpha)
    -0.09939
  • Mean Square Error
    0.08230
  • DF error
    116.00000
  • t(b)
    1.06468
  • p(b)
    0.45081
  • t(a)
    -0.23251
  • p(a)
    0.51079
  • Lowerbound of 95% confidence interval for beta
    -0.10099
  • Upperbound of 95% confidence interval for beta
    0.33578
  • Lowerbound of 95% confidence interval for alpha
    -0.94607
  • Upperbound of 95% confidence interval for alpha
    0.74729
  • Treynor index (mean / b)
    -0.85949
  • Jensen alpha (a)
    -0.09939
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02912
  • Expected Shortfall on VaR
    0.03627
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01749
  • Expected Shortfall on VaR
    0.02994
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    118.00000
  • Minimum
    0.96363
  • Quartile 1
    0.99035
  • Median
    1.00000
  • Quartile 3
    1.00111
  • Maximum
    1.06979
  • Mean of quarter 1
    0.98082
  • Mean of quarter 2
    0.99551
  • Mean of quarter 3
    1.00001
  • Mean of quarter 4
    1.02303
  • Inter Quartile Range
    0.01076
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.05085
  • Mean of outliers low
    0.96861
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.12712
  • Mean of outliers high
    1.03625
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.32482
  • VaR(95%) (moments method)
    0.01979
  • Expected Shortfall (moments method)
    0.02342
  • Extreme Value Index (regression method)
    -0.40381
  • VaR(95%) (regression method)
    0.01978
  • Expected Shortfall (regression method)
    0.02290
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.04480
  • Quartile 1
    0.04607
  • Median
    0.04734
  • Quartile 3
    0.15026
  • Maximum
    0.25317
  • Mean of quarter 1
    0.04480
  • Mean of quarter 2
    0.04734
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.25317
  • Inter Quartile Range
    0.10418
  • 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)
    -0.07181
  • Compounded annual return (geometric extrapolation)
    -0.07039
  • Calmar ratio (compounded annual return / max draw down)
    -0.27804
  • Compounded annual return / average of 25% largest draw downs
    -0.27804
  • Compounded annual return / Expected Shortfall lognormal
    -1.94083
  • 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)
    0.02500
  • 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?
    -338527000
  • Max Equity Drawdown (num days)
    107

Strategy Description

Day Trading MNQ Long and Short. No overnight Positions. trade size will be 10 MNQ contract per order ( equivalent of 1 NQ). Please scale according to your capital and risk tolerance.

Summary Statistics

Strategy began
2022-07-12
Suggested Minimum Capital
$45,000
# Trades
85
# Profitable
22
% Profitable
25.9%
Correlation S&P500
0.058
Sharpe Ratio
-0.28
Sortino Ratio
-0.46
Beta
0.05
Alpha
-0.02
Leverage
4.44 Average
5.26 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.