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

Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 04/02/2023
Most recent certification approved 4/2/23 20:30 ET
Trades at broker Interactive Brokers (Europe, server 2)
Scaling percentage used 100%
# trading signals issued by system since certification 3,294
# trading signals executed in manager's Interactive Brokers (Europe, server 2) account 3,289
Percent signals followed since 04/02/2023 99.8%
This information was last updated 2/25/24 10:08 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 04/02/2023, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

IC Algotrading
(144135459)

Created by: REVYKTRADER REVYKTRADER
Started: 03/2023
Stocks, Futures
Last trade: 2 days ago
Trading style: Futures Trend-following Momentum

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 $125.00 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
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
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).
87.5%
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.

(20.1%)
Max Drawdown
1395
Num Trades
39.9%
Win Trades
1.3 : 1
Profit Factor
58.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023              (0.3%)(4.2%)(3.7%)+8.5%(7.7%)+10.9%  -  +3.7%+19.1%+13.2%+43.0%
2024+24.4%+5.4%                                                            +31.1%

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 3,289 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
2/23/24 15:30 @MNQH4 MICRO E-MINI NASDAQ 100 SHORT 1 17973.00 2/23 16:00 17986.25 0.09%
Trade id #147438428
Max drawdown($87)
Time2/23/24 15:51
Quant open1
Worst price18016.50
Drawdown as % of equity-0.09%
($28)
Includes Typical Broker Commissions trade costs of $0.94
2/22/24 21:09 @MESH4 MICRO E-MINI S&P 500 LONG 3 5111.92 2/23 15:00 5098.25 0.31%
Trade id #147428451
Max drawdown($291)
Time2/23/24 11:13
Quant open3
Worst price5092.50
Drawdown as % of equity-0.31%
($208)
Includes Typical Broker Commissions trade costs of $2.82
2/21/24 21:04 @MYMH4 MICRO E-MINI DOW SHORT 2 38698 2/23 15:00 39193 0.69%
Trade id #147405492
Max drawdown($646)
Time2/23/24 10:25
Quant open2
Worst price39344
Drawdown as % of equity-0.69%
($497)
Includes Typical Broker Commissions trade costs of $1.88
2/23/24 10:23 AMD ADVANCED MICRO DEVICES INC. C SHORT 132 177.22 2/23 14:07 177.22 0.14%
Trade id #147434364
Max drawdown($126)
Time2/23/24 10:28
Quant open132
Worst price178.18
Drawdown as % of equity-0.14%
($3)
Includes Typical Broker Commissions trade costs of $2.64
2/20/24 11:00 HD HOME DEPOT LONG 63 364.37 2/23 11:38 371.17 0.37%
Trade id #147379403
Max drawdown($341)
Time2/21/24 0:00
Quant open63
Worst price358.95
Drawdown as % of equity-0.37%
$427
Includes Typical Broker Commissions trade costs of $1.26
2/22/24 11:43 NVDA NVIDIA LONG 29 780.46 2/23 11:00 785.51 0.31%
Trade id #147411877
Max drawdown($287)
Time2/22/24 13:14
Quant open29
Worst price770.55
Drawdown as % of equity-0.31%
$145
Includes Typical Broker Commissions trade costs of $0.58
2/22/24 11:32 LLY ELI LILLY LONG 29 773.71 2/23 10:44 766.64 0.23%
Trade id #147411703
Max drawdown($212)
Time2/23/24 10:44
Quant open29
Worst price766.39
Drawdown as % of equity-0.23%
($206)
Includes Typical Broker Commissions trade costs of $0.58
2/21/24 11:05 META META PLATFORMS INC. CLASS A LONG 49 467.23 2/23 10:43 487.63 0.21%
Trade id #147397955
Max drawdown($186)
Time2/21/24 14:46
Quant open49
Worst price463.42
Drawdown as % of equity-0.21%
$999
Includes Typical Broker Commissions trade costs of $0.98
2/22/24 10:15 AMD ADVANCED MICRO DEVICES INC. C LONG 128 179.10 2/23 9:55 179.11 0%
Trade id #147410203
Max drawdown($3)
Time2/23/24 9:55
Quant open128
Worst price179.07
Drawdown as % of equity-0.00%
($2)
Includes Typical Broker Commissions trade costs of $2.56
2/22/24 9:47 AVGO BROADCOM LIMITED ORDINARY SHARES LONG 17 1292.77 2/23 9:55 1305.52 0.14%
Trade id #147409458
Max drawdown($125)
Time2/22/24 10:49
Quant open17
Worst price1285.37
Drawdown as % of equity-0.14%
$217
Includes Typical Broker Commissions trade costs of $0.34
2/22/24 10:05 TSLA TESLA INC. LONG 118 194.33 2/23 9:51 195.43 0.38%
Trade id #147409982
Max drawdown($347)
Time2/22/24 10:46
Quant open118
Worst price191.39
Drawdown as % of equity-0.38%
$128
Includes Typical Broker Commissions trade costs of $2.36
2/22/24 11:19 NFLX NETFLIX LONG 39 586.15 2/23 9:50 586.35 0.07%
Trade id #147411399
Max drawdown($61)
Time2/22/24 11:48
Quant open39
Worst price584.57
Drawdown as % of equity-0.07%
$7
Includes Typical Broker Commissions trade costs of $0.78
2/21/24 19:00 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 4 17851.62 2/23 9:37 18082.94 0.06%
Trade id #147405033
Max drawdown($57)
Time2/22/24 0:00
Quant open1
Worst price17675.50
Drawdown as % of equity-0.06%
$1,847
Includes Typical Broker Commissions trade costs of $3.76
2/19/24 11:00 QMGCJ4 E-Micro Gold SHORT 1 2026.2 2/22 20:00 2034.1 0.21%
Trade id #147369951
Max drawdown($192)
Time2/22/24 3:07
Quant open1
Worst price2045.4
Drawdown as % of equity-0.21%
($80)
Includes Typical Broker Commissions trade costs of $0.70
2/18/24 20:00 @MESH4 MICRO E-MINI S&P 500 LONG 2 5006.50 2/22 13:40 5070.50 0.52%
Trade id #147366312
Max drawdown($472)
Time2/21/24 0:00
Quant open2
Worst price4959.25
Drawdown as % of equity-0.52%
$638
Includes Typical Broker Commissions trade costs of $1.88
2/22/24 10:16 ASML ASML HOLDING LONG 24 952.33 2/22 10:46 943.67 0.25%
Trade id #147410228
Max drawdown($227)
Time2/22/24 10:46
Quant open24
Worst price942.84
Drawdown as % of equity-0.25%
($208)
Includes Typical Broker Commissions trade costs of $0.48
2/21/24 14:35 ACN ACCENTURE SHORT 63 359.68 2/22 9:30 369.61 0.81%
Trade id #147401560
Max drawdown($735)
Time2/22/24 9:30
Quant open63
Worst price371.36
Drawdown as % of equity-0.81%
($627)
Includes Typical Broker Commissions trade costs of $1.26
2/21/24 9:02 DXSH4 MICRO-DAX INDEX SHORT 2 17141 2/22 2:01 17280 0.34%
Trade id #147395524
Max drawdown($307)
Time2/22/24 2:01
Quant open2
Worst price17283
Drawdown as % of equity-0.34%
($303)
Includes Typical Broker Commissions trade costs of $1.60
2/21/24 9:45 TSLA TESLA INC. LONG 116 197.30 2/21 12:15 193.01 0.58%
Trade id #147396529
Max drawdown($520)
Time2/21/24 12:10
Quant open116
Worst price192.81
Drawdown as % of equity-0.58%
($500)
Includes Typical Broker Commissions trade costs of $2.32
2/21/24 10:28 ASML ASML HOLDING SHORT 25 893.87 2/21 11:14 902.50 0.23%
Trade id #147397535
Max drawdown($210)
Time2/21/24 11:14
Quant open25
Worst price902.27
Drawdown as % of equity-0.23%
($217)
Includes Typical Broker Commissions trade costs of $0.50
2/14/24 13:37 COST COSTCO WHOLESALE LONG 31 719.89 2/21 9:35 723.63 0.1%
Trade id #147337129
Max drawdown($93)
Time2/14/24 14:20
Quant open31
Worst price716.89
Drawdown as % of equity-0.10%
$115
Includes Typical Broker Commissions trade costs of $0.62
2/20/24 19:00 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 1 17569.25 2/21 9:30 17469.25 0.23%
Trade id #147390827
Max drawdown($210)
Time2/21/24 9:30
Quant open1
Worst price17464.20
Drawdown as % of equity-0.23%
($201)
Includes Typical Broker Commissions trade costs of $0.94
2/16/24 9:06 DXSH4 MICRO-DAX INDEX SHORT 2 17172 2/21 7:00 17191 0.05%
Trade id #147353327
Max drawdown($49)
Time2/21/24 5:51
Quant open2
Worst price17195
Drawdown as % of equity-0.05%
($43)
Includes Typical Broker Commissions trade costs of $1.60
2/15/24 11:17 UNH UNITEDHEALTH GROUP LONG 43 521.63 2/20 11:44 520.93 0.19%
Trade id #147345004
Max drawdown($176)
Time2/15/24 13:54
Quant open43
Worst price517.53
Drawdown as % of equity-0.19%
($31)
Includes Typical Broker Commissions trade costs of $0.86
2/16/24 9:48 DE DEERE LONG 64 363.62 2/20 9:44 357.92 0.4%
Trade id #147354307
Max drawdown($366)
Time2/20/24 9:44
Quant open64
Worst price357.90
Drawdown as % of equity-0.40%
($366)
Includes Typical Broker Commissions trade costs of $1.28
2/13/24 11:43 LLY ELI LILLY LONG 30 740.22 2/20 9:43 763.82 0.1%
Trade id #147325793
Max drawdown($94)
Time2/13/24 15:32
Quant open30
Worst price737.06
Drawdown as % of equity-0.10%
$707
Includes Typical Broker Commissions trade costs of $0.60
2/16/24 14:05 CRM SALESFORCE INC LONG 80 291.93 2/20 9:38 287.69 0.4%
Trade id #147358199
Max drawdown($370)
Time2/20/24 9:38
Quant open80
Worst price287.30
Drawdown as % of equity-0.40%
($341)
Includes Typical Broker Commissions trade costs of $1.60
2/15/24 13:21 ASML ASML HOLDING LONG 24 930.80 2/20 9:30 917.11 0.37%
Trade id #147347797
Max drawdown($340)
Time2/20/24 9:30
Quant open24
Worst price916.62
Drawdown as % of equity-0.37%
($329)
Includes Typical Broker Commissions trade costs of $0.48
2/18/24 19:00 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 2 17791.75 2/20 3:21 17669.50 0.32%
Trade id #147366156
Max drawdown($292)
Time2/20/24 3:21
Quant open1
Worst price17645.50
Drawdown as % of equity-0.32%
($491)
Includes Typical Broker Commissions trade costs of $1.88
2/16/24 11:18 QMGCJ4 E-Micro Gold LONG 1 2022.9 2/19 11:00 2026.2 0.04%
Trade id #147355832
Max drawdown($39)
Time2/16/24 11:31
Quant open1
Worst price2019.0
Drawdown as % of equity-0.04%
$32
Includes Typical Broker Commissions trade costs of $0.70

Statistics

  • Strategy began
    3/31/2023
  • Suggested Minimum Cap
    $90,000
  • Strategy Age (days)
    330.75
  • Age
    11 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    1395
  • # Profitable
    556
  • % Profitable
    39.90%
  • Avg trade duration
    1.7 days
  • Max peak-to-valley drawdown
    20.1%
  • drawdown period
    July 18, 2023 - Aug 16, 2023
  • Cumul. Return
    87.5%
  • Avg win
    $391.96
  • Avg loss
    $203.86
  • Model Account Values (Raw)
  • Cash
    $92,220
  • Margin Used
    $43,947
  • Buying Power
    $49,491
  • Ratios
  • W:L ratio
    1.28:1
  • Sharpe Ratio
    1.53
  • Sortino Ratio
    2.66
  • Calmar Ratio
    5.866
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    63.63%
  • Correlation to SP500
    0.44750
  • Return Percent SP500 (cumu) during strategy life
    23.84%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    98.9%
  • Slump
  • Current Slump as Pcnt Equity
    2.70%
  • Instruments
  • Percent Trades Futures
    0.49%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.875%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.51%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    109.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    18.50%
  • Chance of 20% account loss
    2.00%
  • Chance of 30% account loss
    0.50%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    942
  • Popularity (Last 6 weeks)
    977
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    934
  • Popularity (7 days, Percentile 1000 scale)
    972
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $204
  • Avg Win
    $392
  • Sum Trade PL (losers)
    $171,041.000
  • Age
  • Num Months filled monthly returns table
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $217,927.000
  • # Winners
    556
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    1165
  • AUM
  • AUM (AutoTrader live capital)
    95645
  • Win / Loss
  • # Losers
    839
  • % Winners
    39.9%
  • Frequency
  • Avg Position Time (mins)
    2414.18
  • Avg Position Time (hrs)
    40.24
  • Avg Trade Length
    1.7 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    3.91
  • Daily leverage (max)
    14.75
  • Regression
  • Alpha
    0.11
  • Beta
    1.59
  • Treynor Index
    0.13
  • 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)
    -0.13
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    0.797
  • 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
    0.140
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.200
  • Hold-and-Hope Ratio
    1.236
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.80280
  • SD
    0.34398
  • Sharpe ratio (Glass type estimate)
    2.33386
  • Sharpe ratio (Hedges UMVUE)
    2.13286
  • df
    9.00000
  • t
    2.13051
  • p
    0.03098
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.11259
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.67829
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22947
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.49518
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.93488
  • Upside Potential Ratio
    9.73469
  • Upside part of mean
    0.98489
  • Downside part of mean
    -0.18209
  • Upside SD
    0.38725
  • Downside SD
    0.10117
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.17904
  • Mean of criterion
    0.80280
  • SD of predictor
    0.13062
  • SD of criterion
    0.34398
  • Covariance
    0.01172
  • r
    0.26079
  • b (slope, estimate of beta)
    0.68679
  • a (intercept, estimate of alpha)
    0.67983
  • Mean Square Error
    0.12406
  • DF error
    8.00000
  • t(b)
    0.76406
  • p(b)
    0.23338
  • t(a)
    1.62618
  • p(a)
    0.07128
  • Lowerbound of 95% confidence interval for beta
    -1.38600
  • Upperbound of 95% confidence interval for beta
    2.75958
  • Lowerbound of 95% confidence interval for alpha
    -0.28421
  • Upperbound of 95% confidence interval for alpha
    1.64387
  • Treynor index (mean / b)
    1.16891
  • Jensen alpha (a)
    0.67983
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72837
  • SD
    0.32379
  • Sharpe ratio (Glass type estimate)
    2.24948
  • Sharpe ratio (Hedges UMVUE)
    2.05575
  • df
    9.00000
  • t
    2.05349
  • p
    0.03511
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17904
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.57822
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29195
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.40344
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.96749
  • Upside Potential Ratio
    8.75637
  • Upside part of mean
    0.91538
  • Downside part of mean
    -0.18701
  • Upside SD
    0.35727
  • Downside SD
    0.10454
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.16989
  • Mean of criterion
    0.72837
  • SD of predictor
    0.12851
  • SD of criterion
    0.32379
  • Covariance
    0.01071
  • r
    0.25742
  • b (slope, estimate of beta)
    0.64861
  • a (intercept, estimate of alpha)
    0.61818
  • Mean Square Error
    0.11013
  • DF error
    8.00000
  • t(b)
    0.75347
  • p(b)
    0.23638
  • t(a)
    1.57760
  • p(a)
    0.07665
  • Lowerbound of 95% confidence interval for beta
    -1.33646
  • Upperbound of 95% confidence interval for beta
    2.63367
  • Lowerbound of 95% confidence interval for alpha
    -0.28542
  • Upperbound of 95% confidence interval for alpha
    1.52179
  • Treynor index (mean / b)
    1.12298
  • Jensen alpha (a)
    0.61818
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08885
  • Expected Shortfall on VaR
    0.12323
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03053
  • Expected Shortfall on VaR
    0.05975
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.92327
  • Quartile 1
    0.98653
  • Median
    1.10170
  • Quartile 3
    1.12678
  • Maximum
    1.23316
  • Mean of quarter 1
    0.95619
  • Mean of quarter 2
    1.03641
  • Mean of quarter 3
    1.12177
  • Mean of quarter 4
    1.16912
  • Inter Quartile Range
    0.14026
  • 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)
    -7.12375
  • VaR(95%) (moments method)
    0.03646
  • Expected Shortfall (moments method)
    0.03646
  • Extreme Value Index (regression method)
    -0.52304
  • VaR(95%) (regression method)
    0.08688
  • Expected Shortfall (regression method)
    0.10433
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01100
  • Quartile 1
    0.03256
  • Median
    0.05412
  • Quartile 3
    0.06542
  • Maximum
    0.07673
  • Mean of quarter 1
    0.01100
  • Mean of quarter 2
    0.05412
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.07673
  • Inter Quartile Range
    0.03286
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.05366
  • Compounded annual return (geometric extrapolation)
    1.13033
  • Calmar ratio (compounded annual return / max draw down)
    14.73140
  • Compounded annual return / average of 25% largest draw downs
    14.73140
  • Compounded annual return / Expected Shortfall lognormal
    9.17230
  • 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
    0.80038
  • SD
    0.40080
  • Sharpe ratio (Glass type estimate)
    1.99696
  • Sharpe ratio (Hedges UMVUE)
    1.99055
  • df
    234.00000
  • t
    1.89127
  • p
    0.02991
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08252
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.07226
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08678
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.06789
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.50202
  • Upside Potential Ratio
    11.42260
  • Upside part of mean
    2.61062
  • Downside part of mean
    -1.81024
  • Upside SD
    0.33192
  • Downside SD
    0.22855
  • N nonnegative terms
    123.00000
  • N negative terms
    112.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    235.00000
  • Mean of predictor
    0.21735
  • Mean of criterion
    0.80038
  • SD of predictor
    0.11693
  • SD of criterion
    0.40080
  • Covariance
    0.02114
  • r
    0.45108
  • b (slope, estimate of beta)
    1.54611
  • a (intercept, estimate of alpha)
    0.46400
  • Mean Square Error
    0.12850
  • DF error
    233.00000
  • t(b)
    7.71488
  • p(b)
    -0.00000
  • t(a)
    1.21871
  • p(a)
    0.11209
  • Lowerbound of 95% confidence interval for beta
    1.15127
  • Upperbound of 95% confidence interval for beta
    1.94095
  • Lowerbound of 95% confidence interval for alpha
    -0.28632
  • Upperbound of 95% confidence interval for alpha
    1.21499
  • Treynor index (mean / b)
    0.51768
  • Jensen alpha (a)
    0.46434
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72066
  • SD
    0.39563
  • Sharpe ratio (Glass type estimate)
    1.82155
  • Sharpe ratio (Hedges UMVUE)
    1.81570
  • df
    234.00000
  • t
    1.72514
  • p
    0.04291
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25641
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.89573
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26032
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.89173
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.09051
  • Upside Potential Ratio
    10.96780
  • Upside part of mean
    2.55753
  • Downside part of mean
    -1.83687
  • Upside SD
    0.32166
  • Downside SD
    0.23318
  • N nonnegative terms
    123.00000
  • N negative terms
    112.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    235.00000
  • Mean of predictor
    0.21044
  • Mean of criterion
    0.72066
  • SD of predictor
    0.11681
  • SD of criterion
    0.39563
  • Covariance
    0.02074
  • r
    0.44885
  • b (slope, estimate of beta)
    1.52031
  • a (intercept, estimate of alpha)
    0.40072
  • Mean Square Error
    0.12552
  • DF error
    233.00000
  • t(b)
    7.66719
  • p(b)
    -0.00000
  • t(a)
    1.06457
  • p(a)
    0.14409
  • Lowerbound of 95% confidence interval for beta
    1.12964
  • Upperbound of 95% confidence interval for beta
    1.91098
  • Lowerbound of 95% confidence interval for alpha
    -0.34089
  • Upperbound of 95% confidence interval for alpha
    1.14233
  • Treynor index (mean / b)
    0.47402
  • Jensen alpha (a)
    0.40072
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03676
  • Expected Shortfall on VaR
    0.04651
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01545
  • Expected Shortfall on VaR
    0.03040
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    235.00000
  • Minimum
    0.93540
  • Quartile 1
    0.99094
  • Median
    1.00058
  • Quartile 3
    1.01310
  • Maximum
    1.13269
  • Mean of quarter 1
    0.97610
  • Mean of quarter 2
    0.99662
  • Mean of quarter 3
    1.00573
  • Mean of quarter 4
    1.03424
  • Inter Quartile Range
    0.02216
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.04255
  • Mean of outliers low
    0.95001
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.04255
  • Mean of outliers high
    1.07166
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18671
  • VaR(95%) (moments method)
    0.02325
  • Expected Shortfall (moments method)
    0.03563
  • Extreme Value Index (regression method)
    -0.10438
  • VaR(95%) (regression method)
    0.02444
  • Expected Shortfall (regression method)
    0.03224
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00278
  • Quartile 1
    0.00935
  • Median
    0.01786
  • Quartile 3
    0.07324
  • Maximum
    0.18990
  • Mean of quarter 1
    0.00498
  • Mean of quarter 2
    0.01365
  • Mean of quarter 3
    0.04757
  • Mean of quarter 4
    0.13785
  • Inter Quartile Range
    0.06389
  • 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
    0.05263
  • Mean of outliers high
    0.18990
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.74137
  • VaR(95%) (moments method)
    0.14960
  • Expected Shortfall (moments method)
    0.15045
  • Extreme Value Index (regression method)
    -0.74447
  • VaR(95%) (regression method)
    0.18058
  • Expected Shortfall (regression method)
    0.19710
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.06698
  • Compounded annual return (geometric extrapolation)
    1.11397
  • Calmar ratio (compounded annual return / max draw down)
    5.86619
  • Compounded annual return / average of 25% largest draw downs
    8.08077
  • Compounded annual return / Expected Shortfall lognormal
    23.95160
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.48069
  • SD
    0.44103
  • Sharpe ratio (Glass type estimate)
    3.35732
  • Sharpe ratio (Hedges UMVUE)
    3.33791
  • df
    130.00000
  • t
    2.37398
  • p
    0.39808
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.54941
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.15267
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.53657
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.13926
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.51860
  • Upside Potential Ratio
    14.23020
  • Upside part of mean
    3.23236
  • Downside part of mean
    -1.75167
  • Upside SD
    0.38704
  • Downside SD
    0.22715
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28109
  • Mean of criterion
    1.48069
  • SD of predictor
    0.12014
  • SD of criterion
    0.44103
  • Covariance
    0.02607
  • r
    0.49201
  • b (slope, estimate of beta)
    1.80612
  • a (intercept, estimate of alpha)
    0.97300
  • Mean Square Error
    0.14857
  • DF error
    129.00000
  • t(b)
    6.41884
  • p(b)
    0.19992
  • t(a)
    1.76649
  • p(a)
    0.40255
  • Lowerbound of 95% confidence interval for beta
    1.24941
  • Upperbound of 95% confidence interval for beta
    2.36284
  • Lowerbound of 95% confidence interval for alpha
    -0.11679
  • Upperbound of 95% confidence interval for alpha
    2.06279
  • Treynor index (mean / b)
    0.81982
  • Jensen alpha (a)
    0.97300
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.38259
  • SD
    0.43295
  • Sharpe ratio (Glass type estimate)
    3.19338
  • Sharpe ratio (Hedges UMVUE)
    3.17493
  • df
    130.00000
  • t
    2.25806
  • p
    0.40286
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38856
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.98627
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.37638
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.97347
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.97033
  • Upside Potential Ratio
    13.64790
  • Upside part of mean
    3.16055
  • Downside part of mean
    -1.77795
  • Upside SD
    0.37375
  • Downside SD
    0.23158
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.27376
  • Mean of criterion
    1.38259
  • SD of predictor
    0.12005
  • SD of criterion
    0.43295
  • Covariance
    0.02538
  • r
    0.48829
  • b (slope, estimate of beta)
    1.76101
  • a (intercept, estimate of alpha)
    0.90049
  • Mean Square Error
    0.14386
  • DF error
    129.00000
  • t(b)
    6.35494
  • p(b)
    0.20198
  • t(a)
    1.66221
  • p(a)
    0.40814
  • VAR (95 Confidence Intrvl)
    0.03700
  • Lowerbound of 95% confidence interval for beta
    1.21274
  • Upperbound of 95% confidence interval for beta
    2.30927
  • Lowerbound of 95% confidence interval for alpha
    -0.17136
  • Upperbound of 95% confidence interval for alpha
    1.97234
  • Treynor index (mean / b)
    0.78512
  • Jensen alpha (a)
    0.90049
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03798
  • Expected Shortfall on VaR
    0.04863
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01355
  • Expected Shortfall on VaR
    0.02763
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94341
  • Quartile 1
    0.99192
  • Median
    1.00290
  • Quartile 3
    1.01837
  • Maximum
    1.13269
  • Mean of quarter 1
    0.97593
  • Mean of quarter 2
    0.99835
  • Mean of quarter 3
    1.00967
  • Mean of quarter 4
    1.03920
  • Inter Quartile Range
    0.02645
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.94494
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.08408
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02307
  • VaR(95%) (moments method)
    0.02070
  • Expected Shortfall (moments method)
    0.02819
  • Extreme Value Index (regression method)
    -0.29578
  • VaR(95%) (regression method)
    0.02556
  • Expected Shortfall (regression method)
    0.03202
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00339
  • Quartile 1
    0.00890
  • Median
    0.01631
  • Quartile 3
    0.05339
  • Maximum
    0.13831
  • Mean of quarter 1
    0.00595
  • Mean of quarter 2
    0.01260
  • Mean of quarter 3
    0.03368
  • Mean of quarter 4
    0.09173
  • Inter Quartile Range
    0.04450
  • 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
    0.05556
  • Mean of outliers high
    0.13831
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.29778
  • VaR(95%) (moments method)
    0.10278
  • Expected Shortfall (moments method)
    0.12218
  • Extreme Value Index (regression method)
    0.28326
  • VaR(95%) (regression method)
    0.10522
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.15759
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -362641000
  • Max Equity Drawdown (num days)
    29
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.04870
  • Compounded annual return (geometric extrapolation)
    3.09800
  • Calmar ratio (compounded annual return / max draw down)
    22.39970
  • Compounded annual return / average of 25% largest draw downs
    33.77480
  • Compounded annual return / Expected Shortfall lognormal
    63.71160

Strategy Description

IC Algotrading system is an algorithmic trading system based on more than 200 algo trading strategies. Each strategy is created for specific futures, stocks and their timeframe including LONG and SHORT trades. Each trade always includes a stop loss. The strategy works with futures such as MNQ, MES, MGC, MCL, DXS, MYM, BD and highly capitalized stocks.

Our IC Algotrading system has an excellent risk/reward ratio. We focus on making sure our system does not lose money rather than making money, although the performance of the system is not bad.

Our algorithmic trading strategies (ATS) look for predictable and repeatable behavior in the financial futures and equity markets. Our approach to algorithmic trading focuses on a strategic combination of research, engineering and trading expertise. We encourage an individual and unique approach at each stage of strategy development. Our algorithmic trading consists of a diverse set of uncorrelated trading styles. We prefer latency-insensitive strategies with a greater emphasis on understanding and risk-taking. Our proprietary technology infrastructure provides excellent access to electronic markets and myriad tools to facilitate the development of algorithmic trading strategies, allowing us to bring ideas to market quickly and reliably.

IC Algotrading's platform setup includes Multicharts and TWS (Interactive Brokers) running on the Contabo platform in St. Louis, USA 24 hours a day, 7 days a week.

Summary Statistics

Strategy began
2023-03-31
Suggested Minimum Capital
$90,000
Rank at C2 %
Top 6.6%
Rank # 
#414
# Trades
1395
# Profitable
556
% Profitable
39.9%
Net Dividends
Correlation S&P500
0.448
Sharpe Ratio
1.53
Sortino Ratio
2.66
Beta
1.59
Alpha
0.11
Leverage
3.91 Average
14.75 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.