Collective2 Collective2
For your consideration AELong +25.5% Annual Return (Compounded) since May 11, 2023 Hypothetical

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ES T50 Short

By jTrader

Futures · Started Dec 2017

hypothetical · Annual Return (Compounded)
-42.4%
Max Drawdown
14.2%
Trades
148
Win Trades
64.2%
Profit Factor
1.30
Win Months
0.0%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2017-2.6-2.6
2018-8.9-1.90.00.00.00.00.00.00.00.00.00.0-10.7
20190.00.00.00.00.00.00.00.00.00.00.0
20200.00.00.00.00.00.00.00.00.00.00.00.00.0
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began12/12/2017
Suggested Minimum Capital$13,750
Age107 months
What it tradesFutures
# Trades148
# Profitable95
% Profitable64.2%
Avg trade duration5.9 minutes
Max peak-to-valley drawdown14.2%
drawdown periodDec 14, 2017 - Feb 11, 2018
Cumul. Return-12.3%
Avg win$55
Avg loss$75

Ratios

W:L ratio1.31
Sharpe Ratio-0.97
Sortino Ratio-1.04
Calmar Ratio1.18

CORRELATION STATISTICS

Correlation to SP500-0.02
Return Percent SP500 (cumu) during strategy life190.7%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-14.4%

Return Statistics

Ann Return (w trading costs)-42.4%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.1%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)1.0%

Slump

Current Slump as Pcnt Equity17.3%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures0.9%
Percent Trades Options0.0%
Percent Trades Stocks0.1%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss0.0%
Chance of 20% account loss0.0%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated2.5%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)28
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$75
Avg Win$55
# Winners95
Sum Trade PL (losers)$3,976
Sum Trade PL (winners)$5,195
Num Months Winners1
# Losers53
% Winners64.2%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table107

Frequency

Avg Position Time (mins)5.85
Avg Position Time (hrs)0.10
Avg Trade Length0
Last Trade Ago3180

Regression

Alpha-0.01
Beta0
Treynor Index2.77

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.01
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-2.95
MAE:PL (avg, all trades)-0.56
MAE:PL (avg, losing trades)—
MAE:PL - Losing Trades - this strat Percentile of All Strats23.69
MAE:PL - Winning Trades - this strat Percentile of All Strats33.62
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.96
Avg(MAE) / Avg(PL) - Losing trades-1.43
Hold-and-Hope Ratio-0.32

RATIO STATISTICS

a (intercept, estimate of alpha)0.03
VAR (95 Confidence Intrvl)0.01

DRAW DOWN STATISTICS

Max Equity Drawdown (num days)59
Last 4 Months - Pcnt Negative0.0%

Trading record

SymbolSideQtyOpenedClosedP/L
CHTR long8Jan 22, 2018Jan 22, 2018($4)
VRTX long19Jan 22, 2018Jan 22, 2018($1)
TSLA long9Jan 22, 2018Jan 22, 2018($1)
SLB long40Jan 22, 2018Jan 22, 2018($2)
NFLX long14Jan 22, 2018Jan 22, 2018($2)
MELI long9Jan 22, 2018Jan 22, 2018($4)
INTC long70Jan 22, 2018Jan 22, 2018($1)
FB long17Jan 22, 2018Jan 22, 2018($1)
COST long16Jan 22, 2018Jan 22, 2018($2)
GOOG long3Jan 22, 2018Jan 22, 2018($1)
ULTA long26Jan 19, 2018Jan 19, 2018($59)
CHTR long24Jan 19, 2018Jan 19, 2018$7
@ES H8short2Jan 11, 2018Jan 11, 2018$34
@ES H8short6Jan 11, 2018Jan 11, 2018($148)
@ES H8short4Jan 11, 2018Jan 11, 2018($132)
@ES H8short4Jan 10, 2018Jan 10, 2018($170)
@ES H8short2Jan 10, 2018Jan 10, 2018$34
@ES H8short2Jan 10, 2018Jan 10, 2018$34
@ES H8short2Jan 10, 2018Jan 10, 2018$9
@ES H8short2Jan 10, 2018Jan 10, 2018$34
@ES H8short2Jan 10, 2018Jan 10, 2018$34
@ES H8short2Jan 10, 2018Jan 10, 2018$34
@ES H8short2Jan 10, 2018Jan 10, 2018($16)
@ES H8short2Jan 10, 2018Jan 10, 2018$34
@ES H8short2Jan 10, 2018Jan 10, 2018$34
@ES H8short2Jan 10, 2018Jan 10, 2018$34
@ES H8short2Jan 10, 2018Jan 10, 2018($41)
@ES H8short2Jan 10, 2018Jan 10, 2018$134
@ES H8short2Jan 10, 2018Jan 10, 2018($441)
@ES H8short2Jan 9, 2018Jan 9, 2018$34

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.