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This is an archived track record. This track record was archived on 2/18/24 13:24 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Zen1
(145426358)

Created by: Zen Zen
Started: 08/2023
Futures
Last trade: 9 days ago
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 $150.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Futures
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.
27.1%
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.

(16.8%)
Max Drawdown
277
Num Trades
41.2%
Win Trades
1.2 : 1
Profit Factor
42.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                 +7.3%(1.7%)+30.3%(3.1%)(7.1%)+23.7%
2024+11.7%(8%)                                                            +2.7%

Model Account Details

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

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

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 562 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
2/16/24 15:58 SPY2416N500 SPY Feb16'24 500 put SHORT 2 0.57 2/16 16:00 0.69 0.08%
Trade id #147359772
Max drawdown($24)
Time2/16/24 16:00
Quant open2
Worst price0.69
Drawdown as % of equity-0.08%
($27)
Includes Typical Broker Commissions trade costs of $2.80
2/16/24 10:40 SPY2416N500 SPY Feb16'24 500 put LONG 4 0.54 2/16 15:52 0.78 0.6%
Trade id #147355420
Max drawdown($190)
Time2/16/24 14:30
Quant open4
Worst price0.06
Drawdown as % of equity-0.60%
$92
Includes Typical Broker Commissions trade costs of $5.60
2/16/24 13:06 @ESH4 E-MINI S&P 500 SHORT 1 5035.50 2/16 13:17 5038.00 0.42%
Trade id #147357547
Max drawdown($137)
Time2/16/24 13:09
Quant open1
Worst price5038.25
Drawdown as % of equity-0.42%
($133)
Includes Typical Broker Commissions trade costs of $8.00
2/16/24 10:37 SPY2416B501 SPY Feb16'24 501 call LONG 2 0.79 2/16 11:50 1.49 n/a $137
Includes Typical Broker Commissions trade costs of $2.80
2/16/24 11:44 @ESH4 E-MINI S&P 500 LONG 1 5049.25 2/16 11:50 5046.50 0.61%
Trade id #147356154
Max drawdown($200)
Time2/16/24 11:50
Quant open1
Worst price5045.25
Drawdown as % of equity-0.61%
($146)
Includes Typical Broker Commissions trade costs of $8.00
2/16/24 10:36 @ESH4 E-MINI S&P 500 SHORT 1 5026.25 2/16 11:43 5048.00 3.57%
Trade id #147355316
Max drawdown($1,175)
Time2/16/24 11:43
Quant open1
Worst price5049.75
Drawdown as % of equity-3.57%
($1,096)
Includes Typical Broker Commissions trade costs of $8.00
2/15/24 14:59 SPY2415N502 SPY Feb15'24 502 put LONG 2 0.53 2/15 16:06 0.04 0.24%
Trade id #147348690
Max drawdown($80)
Time2/15/24 15:59
Quant open2
Worst price0.13
Drawdown as % of equity-0.24%
($101)
Includes Typical Broker Commissions trade costs of $2.80
2/15/24 12:26 @ESH4 E-MINI S&P 500 LONG 1 5028.75 2/15 16:01 5047.00 0.5%
Trade id #147347195
Max drawdown($162)
Time2/15/24 13:01
Quant open1
Worst price5025.50
Drawdown as % of equity-0.50%
$905
Includes Typical Broker Commissions trade costs of $8.00
2/15/24 12:26 SPY2415N500 SPY Feb15'24 500 put LONG 2 0.67 2/15 14:58 0.06 0.38%
Trade id #147347201
Max drawdown($124)
Time2/15/24 14:53
Quant open2
Worst price0.05
Drawdown as % of equity-0.38%
($125)
Includes Typical Broker Commissions trade costs of $2.80
2/15/24 11:24 SPY2415B500 SPY Feb15'24 500 call LONG 2 0.62 2/15 12:23 0.89 0.02%
Trade id #147345077
Max drawdown($6)
Time2/15/24 11:52
Quant open2
Worst price0.59
Drawdown as % of equity-0.02%
$51
Includes Typical Broker Commissions trade costs of $2.80
2/15/24 11:19 @ESH4 E-MINI S&P 500 SHORT 1 5019.25 2/15 12:22 5029.50 1.73%
Trade id #147345013
Max drawdown($562)
Time2/15/24 12:21
Quant open1
Worst price5030.50
Drawdown as % of equity-1.73%
($521)
Includes Typical Broker Commissions trade costs of $8.00
2/15/24 9:56 @ESH4 E-MINI S&P 500 SHORT 1 5022.75 2/15 10:34 5020.00 1.42%
Trade id #147343507
Max drawdown($462)
Time2/15/24 10:25
Quant open1
Worst price5032.00
Drawdown as % of equity-1.42%
$130
Includes Typical Broker Commissions trade costs of $8.00
2/14/24 12:08 SPY2414N494 SPY Feb14'24 494 put LONG 2 0.65 2/15 8:05 0.00 0.4%
Trade id #147336361
Max drawdown($128)
Time2/14/24 15:12
Quant open2
Worst price0.01
Drawdown as % of equity-0.40%
($131)
Includes Typical Broker Commissions trade costs of $1.40
2/14/24 15:24 @ESH4 E-MINI S&P 500 LONG 1 5004.75 2/14 16:01 5018.50 0.16%
Trade id #147338097
Max drawdown($50)
Time2/14/24 15:34
Quant open1
Worst price5003.75
Drawdown as % of equity-0.16%
$680
Includes Typical Broker Commissions trade costs of $8.00
2/14/24 10:31 SPY2414B498 SPY Feb14'24 498 call LONG 2 0.74 2/14 15:58 0.64 0.43%
Trade id #147334510
Max drawdown($136)
Time2/14/24 14:05
Quant open2
Worst price0.06
Drawdown as % of equity-0.43%
($23)
Includes Typical Broker Commissions trade costs of $2.80
2/14/24 11:50 @ESH4 E-MINI S&P 500 SHORT 1 4987.00 2/14 13:39 4998.25 1.92%
Trade id #147336174
Max drawdown($625)
Time2/14/24 13:38
Quant open1
Worst price4999.50
Drawdown as % of equity-1.92%
($571)
Includes Typical Broker Commissions trade costs of $8.00
2/14/24 10:31 @ESH4 E-MINI S&P 500 LONG 1 5006.50 2/14 10:56 4993.75 2.33%
Trade id #147334496
Max drawdown($762)
Time2/14/24 10:55
Quant open1
Worst price4991.25
Drawdown as % of equity-2.33%
($646)
Includes Typical Broker Commissions trade costs of $8.00
2/13/24 10:58 SPY2413B495 SPY Feb13'24 495 call LONG 2 0.81 2/14 8:05 0.00 0.49%
Trade id #147325183
Max drawdown($160)
Time2/13/24 15:02
Quant open2
Worst price0.01
Drawdown as % of equity-0.49%
($163)
Includes Typical Broker Commissions trade costs of $1.40
2/13/24 15:21 SPY2413B491 SPY Feb13'24 491 call LONG 3 0.39 2/13 15:46 1.86 0.07%
Trade id #147328444
Max drawdown($24)
Time2/13/24 15:26
Quant open3
Worst price0.31
Drawdown as % of equity-0.07%
$437
Includes Typical Broker Commissions trade costs of $4.20
2/13/24 15:36 @ESH4 E-MINI S&P 500 LONG 1 4946.75 2/13 15:36 4948.00 n/a $55
Includes Typical Broker Commissions trade costs of $8.00
2/13/24 9:43 SPY2413N494 SPY Feb13'24 494 put LONG 2 0.93 2/13 14:55 2.80 0.42%
Trade id #147324005
Max drawdown($138)
Time2/13/24 11:47
Quant open2
Worst price0.24
Drawdown as % of equity-0.42%
$371
Includes Typical Broker Commissions trade costs of $2.80
2/13/24 12:57 @ESH4 E-MINI S&P 500 SHORT 1 4971.75 2/13 14:20 4951.75 0.44%
Trade id #147327093
Max drawdown($137)
Time2/13/24 13:15
Quant open1
Worst price4974.50
Drawdown as % of equity-0.44%
$992
Includes Typical Broker Commissions trade costs of $8.00
2/13/24 11:20 @ESH4 E-MINI S&P 500 LONG 1 4981.75 2/13 12:16 4979.25 1.03%
Trade id #147325468
Max drawdown($325)
Time2/13/24 12:12
Quant open1
Worst price4975.25
Drawdown as % of equity-1.03%
($133)
Includes Typical Broker Commissions trade costs of $8.00
2/13/24 10:04 @ESH4 E-MINI S&P 500 SHORT 1 4965.25 2/13 11:12 4984.00 3.02%
Trade id #147324476
Max drawdown($987)
Time2/13/24 11:09
Quant open1
Worst price4985.00
Drawdown as % of equity-3.02%
($946)
Includes Typical Broker Commissions trade costs of $8.00
2/12/24 11:08 SPY2412N502 SPY Feb12'24 502 put LONG 2 0.57 2/12 15:50 0.89 0.26%
Trade id #147289045
Max drawdown($86)
Time2/12/24 13:16
Quant open2
Worst price0.14
Drawdown as % of equity-0.26%
$61
Includes Typical Broker Commissions trade costs of $2.80
2/12/24 14:22 @ESH4 E-MINI S&P 500 SHORT 1 5040.50 2/12 15:14 5041.50 0.57%
Trade id #147293154
Max drawdown($187)
Time2/12/24 14:41
Quant open1
Worst price5044.25
Drawdown as % of equity-0.57%
($58)
Includes Typical Broker Commissions trade costs of $8.00
2/12/24 11:14 @ESH4 E-MINI S&P 500 LONG 1 5053.25 2/12 13:41 5049.75 0.68%
Trade id #147289355
Max drawdown($225)
Time2/12/24 13:39
Quant open1
Worst price5048.75
Drawdown as % of equity-0.68%
($183)
Includes Typical Broker Commissions trade costs of $8.00
2/12/24 11:14 SPY2412B503 SPY Feb12'24 503 call LONG 2 0.31 2/12 11:15 0.30 0.01%
Trade id #147289363
Max drawdown($2)
Time2/12/24 11:15
Quant open2
Worst price0.30
Drawdown as % of equity-0.01%
($5)
Includes Typical Broker Commissions trade costs of $2.80
2/7/24 8:26 @MESH4 MICRO E-MINI S&P 500 SHORT 5 4987.25 2/12 10:45 5047.75 4.68%
Trade id #147245644
Max drawdown($1,543)
Time2/12/24 10:45
Quant open5
Worst price5049.00
Drawdown as % of equity-4.68%
($1,518)
Includes Typical Broker Commissions trade costs of $4.70
2/9/24 13:19 @ESH4 E-MINI S&P 500 LONG 1 5036.00 2/9 16:01 5042.25 n/a $305
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    8/3/2023
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    198.66
  • Age
    7 months ago
  • What it trades
    Futures
  • # Trades
    277
  • # Profitable
    114
  • % Profitable
    41.20%
  • Avg trade duration
    2.9 hours
  • Max peak-to-valley drawdown
    16.75%
  • drawdown period
    Oct 25, 2023 - Jan 02, 2024
  • Cumul. Return
    27.1%
  • Avg win
    $468.54
  • Avg loss
    $266.07
  • Model Account Values (Raw)
  • Cash
    $35,058
  • Margin Used
    $0
  • Buying Power
    $35,058
  • Ratios
  • W:L ratio
    1.23:1
  • Sharpe Ratio
    1.45
  • Sortino Ratio
    2.4
  • Calmar Ratio
    7.257
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    15.87%
  • Correlation to SP500
    0.15750
  • Return Percent SP500 (cumu) during strategy life
    13.04%
  • Return Statistics
  • Ann Return (w trading costs)
    54.2%
  • Slump
  • Current Slump as Pcnt Equity
    13.80%
  • Instruments
  • Percent Trades Futures
    0.79%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.58%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.271%
  • Instruments
  • Percent Trades Options
    0.20%
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    81.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    24.50%
  • Chance of 20% account loss
    3.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    761
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    514
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $266
  • Avg Win
    $469
  • Sum Trade PL (losers)
    $43,370.000
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $53,413.000
  • # Winners
    114
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    163
  • % Winners
    41.2%
  • Frequency
  • Avg Position Time (mins)
    175.40
  • Avg Position Time (hrs)
    2.92
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    8.19
  • Daily leverage (max)
    89.74
  • Regression
  • Alpha
    0.11
  • Beta
    0.36
  • Treynor Index
    0.36
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.92
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    136.850
  • 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
    0.392
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.285
  • Hold-and-Hope Ratio
    0.007
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.84677
  • SD
    0.32777
  • Sharpe ratio (Glass type estimate)
    2.58342
  • Sharpe ratio (Hedges UMVUE)
    2.17201
  • df
    5.00000
  • t
    1.82676
  • p
    0.06365
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68868
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.66955
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90941
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.25343
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.14180
  • Upside Potential Ratio
    13.98910
  • Upside part of mean
    0.97559
  • Downside part of mean
    -0.12883
  • Upside SD
    0.38002
  • Downside SD
    0.06974
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.17321
  • Mean of criterion
    0.84677
  • SD of predictor
    0.13904
  • SD of criterion
    0.32777
  • Covariance
    -0.00453
  • r
    -0.09945
  • b (slope, estimate of beta)
    -0.23443
  • a (intercept, estimate of alpha)
    0.88737
  • Mean Square Error
    0.13296
  • DF error
    4.00000
  • t(b)
    -0.19988
  • p(b)
    0.57434
  • t(a)
    1.60103
  • p(a)
    0.09231
  • Lowerbound of 95% confidence interval for beta
    -3.49137
  • Upperbound of 95% confidence interval for beta
    3.02251
  • Lowerbound of 95% confidence interval for alpha
    -0.65178
  • Upperbound of 95% confidence interval for alpha
    2.42652
  • Treynor index (mean / b)
    -3.61204
  • Jensen alpha (a)
    0.88737
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.77770
  • SD
    0.30441
  • Sharpe ratio (Glass type estimate)
    2.55473
  • Sharpe ratio (Hedges UMVUE)
    2.14789
  • df
    5.00000
  • t
    1.80647
  • p
    0.06533
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70840
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.63297
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92703
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.22281
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.94300
  • Upside Potential Ratio
    12.78650
  • Upside part of mean
    0.90871
  • Downside part of mean
    -0.13102
  • Upside SD
    0.35010
  • Downside SD
    0.07107
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.16358
  • Mean of criterion
    0.77770
  • SD of predictor
    0.13942
  • SD of criterion
    0.30441
  • Covariance
    -0.00468
  • r
    -0.11032
  • b (slope, estimate of beta)
    -0.24086
  • a (intercept, estimate of alpha)
    0.81710
  • Mean Square Error
    0.11442
  • DF error
    4.00000
  • t(b)
    -0.22199
  • p(b)
    0.58240
  • t(a)
    1.60137
  • p(a)
    0.09228
  • Lowerbound of 95% confidence interval for beta
    -3.25401
  • Upperbound of 95% confidence interval for beta
    2.77228
  • Lowerbound of 95% confidence interval for alpha
    -0.59986
  • Upperbound of 95% confidence interval for alpha
    2.23406
  • Treynor index (mean / b)
    -3.22878
  • Jensen alpha (a)
    0.81710
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07664
  • Expected Shortfall on VaR
    0.10946
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01920
  • Expected Shortfall on VaR
    0.03821
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.95676
  • Quartile 1
    1.00424
  • Median
    1.08475
  • Quartile 3
    1.10820
  • Maximum
    1.21768
  • Mean of quarter 1
    0.97012
  • Mean of quarter 2
    1.06650
  • Mean of quarter 3
    1.10300
  • Mean of quarter 4
    1.16381
  • Inter Quartile Range
    0.10396
  • 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
    0.05904
  • Quartile 1
    0.05904
  • Median
    0.05904
  • Quartile 3
    0.05904
  • Maximum
    0.05904
  • 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)
    0.99202
  • Compounded annual return (geometric extrapolation)
    1.23805
  • Calmar ratio (compounded annual return / max draw down)
    20.96880
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    11.31010
  • 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
    0.64855
  • SD
    0.26881
  • Sharpe ratio (Glass type estimate)
    2.41268
  • Sharpe ratio (Hedges UMVUE)
    2.39954
  • df
    138.00000
  • t
    1.75734
  • p
    0.42603
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.29742
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.11421
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30617
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.10525
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.34283
  • Upside Potential Ratio
    12.37270
  • Upside part of mean
    1.84773
  • Downside part of mean
    -1.19917
  • Upside SD
    0.22593
  • Downside SD
    0.14934
  • N nonnegative terms
    76.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    139.00000
  • Mean of predictor
    0.17922
  • Mean of criterion
    0.64855
  • SD of predictor
    0.12006
  • SD of criterion
    0.26881
  • Covariance
    0.00519
  • r
    0.16084
  • b (slope, estimate of beta)
    0.36011
  • a (intercept, estimate of alpha)
    0.60200
  • Mean Square Error
    0.07090
  • DF error
    137.00000
  • t(b)
    1.90741
  • p(b)
    0.39805
  • t(a)
    1.59072
  • p(a)
    0.41453
  • Lowerbound of 95% confidence interval for beta
    -0.01322
  • Upperbound of 95% confidence interval for beta
    0.73343
  • Lowerbound of 95% confidence interval for alpha
    -0.14198
  • Upperbound of 95% confidence interval for alpha
    1.31001
  • Treynor index (mean / b)
    1.80102
  • Jensen alpha (a)
    0.58401
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.61229
  • SD
    0.26648
  • Sharpe ratio (Glass type estimate)
    2.29770
  • Sharpe ratio (Hedges UMVUE)
    2.28519
  • df
    138.00000
  • t
    1.67359
  • p
    0.42948
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41078
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.99807
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41914
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.98952
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.04974
  • Upside Potential Ratio
    12.05530
  • Upside part of mean
    1.82267
  • Downside part of mean
    -1.21038
  • Upside SD
    0.22152
  • Downside SD
    0.15119
  • N nonnegative terms
    76.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    139.00000
  • Mean of predictor
    0.17199
  • Mean of criterion
    0.61229
  • SD of predictor
    0.12005
  • SD of criterion
    0.26648
  • Covariance
    0.00518
  • r
    0.16191
  • b (slope, estimate of beta)
    0.35940
  • a (intercept, estimate of alpha)
    0.55048
  • Mean Square Error
    0.06966
  • DF error
    137.00000
  • t(b)
    1.92041
  • p(b)
    0.39738
  • t(a)
    1.51326
  • p(a)
    0.41860
  • Lowerbound of 95% confidence interval for beta
    -0.01067
  • Upperbound of 95% confidence interval for beta
    0.72947
  • Lowerbound of 95% confidence interval for alpha
    -0.16885
  • Upperbound of 95% confidence interval for alpha
    1.26981
  • Treynor index (mean / b)
    1.70367
  • Jensen alpha (a)
    0.55048
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02444
  • Expected Shortfall on VaR
    0.03111
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00992
  • Expected Shortfall on VaR
    0.01954
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    139.00000
  • Minimum
    0.96162
  • Quartile 1
    0.99332
  • Median
    1.00099
  • Quartile 3
    1.00909
  • Maximum
    1.06655
  • Mean of quarter 1
    0.98420
  • Mean of quarter 2
    0.99794
  • Mean of quarter 3
    1.00455
  • Mean of quarter 4
    1.02369
  • Inter Quartile Range
    0.01577
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02158
  • Mean of outliers low
    0.96569
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05036
  • Mean of outliers high
    1.04745
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08942
  • VaR(95%) (moments method)
    0.01525
  • Expected Shortfall (moments method)
    0.02158
  • Extreme Value Index (regression method)
    -0.06902
  • VaR(95%) (regression method)
    0.01620
  • Expected Shortfall (regression method)
    0.02142
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00085
  • Quartile 1
    0.02548
  • Median
    0.03329
  • Quartile 3
    0.06618
  • Maximum
    0.12359
  • Mean of quarter 1
    0.01283
  • Mean of quarter 2
    0.02805
  • Mean of quarter 3
    0.03870
  • Mean of quarter 4
    0.09249
  • Inter Quartile Range
    0.04070
  • 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)
    0.04602
  • VaR(95%) (moments method)
    0.10440
  • Expected Shortfall (moments method)
    0.12723
  • Extreme Value Index (regression method)
    2.65900
  • VaR(95%) (regression method)
    0.15698
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.76235
  • Compounded annual return (geometric extrapolation)
    0.89686
  • Calmar ratio (compounded annual return / max draw down)
    7.25669
  • Compounded annual return / average of 25% largest draw downs
    9.69648
  • Compounded annual return / Expected Shortfall lognormal
    28.82950
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.68937
  • SD
    0.27315
  • Sharpe ratio (Glass type estimate)
    2.52380
  • Sharpe ratio (Hedges UMVUE)
    2.50922
  • df
    130.00000
  • t
    1.78460
  • p
    0.42268
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26966
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.30780
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27932
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.29775
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.55036
  • Upside Potential Ratio
    12.40010
  • Upside part of mean
    1.87857
  • Downside part of mean
    -1.18921
  • Upside SD
    0.23000
  • Downside SD
    0.15150
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22018
  • Mean of criterion
    0.68937
  • SD of predictor
    0.12061
  • SD of criterion
    0.27315
  • Covariance
    0.00534
  • r
    0.16204
  • b (slope, estimate of beta)
    0.36699
  • a (intercept, estimate of alpha)
    0.60856
  • Mean Square Error
    0.07321
  • DF error
    129.00000
  • t(b)
    1.86513
  • p(b)
    0.39729
  • t(a)
    1.58027
  • p(a)
    0.41255
  • Lowerbound of 95% confidence interval for beta
    -0.02231
  • Upperbound of 95% confidence interval for beta
    0.75629
  • Lowerbound of 95% confidence interval for alpha
    -0.15337
  • Upperbound of 95% confidence interval for alpha
    1.37049
  • Treynor index (mean / b)
    1.87843
  • Jensen alpha (a)
    0.60856
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.65187
  • SD
    0.27075
  • Sharpe ratio (Glass type estimate)
    2.40764
  • Sharpe ratio (Hedges UMVUE)
    2.39373
  • df
    130.00000
  • t
    1.70246
  • p
    0.42616
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38406
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.19037
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39331
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.18076
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.24904
  • Upside Potential Ratio
    12.07580
  • Upside part of mean
    1.85262
  • Downside part of mean
    -1.20075
  • Upside SD
    0.22546
  • Downside SD
    0.15342
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.21285
  • Mean of criterion
    0.65187
  • SD of predictor
    0.12059
  • SD of criterion
    0.27075
  • Covariance
    0.00533
  • r
    0.16319
  • b (slope, estimate of beta)
    0.36640
  • a (intercept, estimate of alpha)
    0.57388
  • Mean Square Error
    0.07191
  • DF error
    129.00000
  • t(b)
    1.87869
  • p(b)
    0.39657
  • t(a)
    1.50431
  • p(a)
    0.41665
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    -0.01947
  • Upperbound of 95% confidence interval for beta
    0.75228
  • Lowerbound of 95% confidence interval for alpha
    -0.18091
  • Upperbound of 95% confidence interval for alpha
    1.32867
  • Treynor index (mean / b)
    1.77911
  • Jensen alpha (a)
    0.57388
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02471
  • Expected Shortfall on VaR
    0.03149
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00967
  • Expected Shortfall on VaR
    0.01933
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96162
  • Quartile 1
    0.99413
  • Median
    1.00118
  • Quartile 3
    1.00909
  • Maximum
    1.06655
  • Mean of quarter 1
    0.98393
  • Mean of quarter 2
    0.99841
  • Mean of quarter 3
    1.00458
  • Mean of quarter 4
    1.02408
  • Inter Quartile Range
    0.01496
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.96785
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05344
  • Mean of outliers high
    1.04745
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.12056
  • VaR(95%) (moments method)
    0.01439
  • Expected Shortfall (moments method)
    0.01872
  • Extreme Value Index (regression method)
    -0.18948
  • VaR(95%) (regression method)
    0.01675
  • Expected Shortfall (regression method)
    0.02160
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00085
  • Quartile 1
    0.02770
  • Median
    0.03818
  • Quartile 3
    0.06660
  • Maximum
    0.12359
  • Mean of quarter 1
    0.01382
  • Mean of quarter 2
    0.03329
  • Mean of quarter 3
    0.05291
  • Mean of quarter 4
    0.10116
  • Inter Quartile Range
    0.03890
  • 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)
    -0.62316
  • VaR(95%) (moments method)
    0.10784
  • Expected Shortfall (moments method)
    0.11816
  • Extreme Value Index (regression method)
    0.88858
  • VaR(95%) (regression method)
    0.14106
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.88666
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -375544000
  • Max Equity Drawdown (num days)
    69
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.80958
  • Compounded annual return (geometric extrapolation)
    0.97344
  • Calmar ratio (compounded annual return / max draw down)
    7.87629
  • Compounded annual return / average of 25% largest draw downs
    9.62314
  • Compounded annual return / Expected Shortfall lognormal
    30.91330

Strategy Description

- Consistent training size (1 ES future per $25,000).
- Mostly algorithm trading, only occasional manual adjustment when needed.
- Trade Own System (TOS) using Interactive Broker (IB).
- For SPY Options, can BUY Call and Put Options, but will only Sell Put Options.
- For ES only trading system - see Zen1ES algorithm
- For SPY Options only trading - see Zen1Option algorithm

Summary Statistics

Strategy began
2023-08-03
Suggested Minimum Capital
$35,000
# Trades
277
# Profitable
114
% Profitable
41.2%
Correlation S&P500
0.158
Sharpe Ratio
1.45
Sortino Ratio
2.40
Beta
0.36
Alpha
0.11
Leverage
8.19 Average
89.74 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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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.