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This is an archived track record. This track record was archived on 11/20/19 13:18 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

DAILY E MINI
(121344019)

Created by: MARKET-TREND-SIGNALS MARKET-TREND-SIGNALS
Started: 12/2018
Futures
Last trade: 1,591 days ago
Trading style: Futures Short Term
Subscriptions not currently available.

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 $218.00 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
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
326.1%
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.

(83.9%)
Max Drawdown
90
Num Trades
91.1%
Win Trades
2.9 : 1
Profit Factor
15.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                                             +21.0%+21.0%
2019+44.5%+26.2%(0.6%)+7.1%(80.4%)+242.8%+1.3%+24.4%+32.6%+16.4%+26.5%  -  +219.9%
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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.

System developer has asked us to delay this information by 3 hours.

Trading Record

This strategy has placed 546 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
10/30/19 1:28 @YMZ9 MINI DOW LONG 13 27027 11/20 13:13 27679 7.32%
Trade id #125999649
Max drawdown($11,700)
Time10/31/19 0:00
Quant open13
Worst price26847
Drawdown as % of equity-7.32%
$42,276
Includes Typical Broker Commissions trade costs of $104.00
10/18/19 5:59 @YMZ9 MINI DOW LONG 18 26808 10/29 14:56 26955 9.95%
Trade id #125849600
Max drawdown($13,173)
Time10/23/19 0:00
Quant open12
Worst price26588
Drawdown as % of equity-9.95%
$13,126
Includes Typical Broker Commissions trade costs of $144.00
10/17/19 3:49 @MYMZ9 MICRO E-MINI DOW LONG 100 26942 10/17 15:48 27009 0.7%
Trade id #125827420
Max drawdown($963)
Time10/17/19 12:04
Quant open100
Worst price26923
Drawdown as % of equity-0.70%
$3,243
Includes Typical Broker Commissions trade costs of $94.00
9/20/19 3:24 @MYMZ9 MICRO E-MINI DOW LONG 610 26510 10/16 15:16 26530 99.99%
Trade id #125430938
Max drawdown($93,714)
Time10/2/19 0:00
Quant open190
Worst price25931
Drawdown as % of equity-99.99%
$5,510
Includes Typical Broker Commissions trade costs of $573.40
10/8/19 15:10 @YMZ9 MINI DOW SHORT 6 26243 10/8 22:35 26211 1.88%
Trade id #125684895
Max drawdown($1,380)
Time10/8/19 15:21
Quant open6
Worst price26289
Drawdown as % of equity-1.88%
$912
Includes Typical Broker Commissions trade costs of $48.00
10/4/19 6:46 @YMZ9 MINI DOW SHORT 11 26236 10/8 12:30 26176 6.33%
Trade id #125627877
Max drawdown($4,576)
Time10/8/19 5:39
Quant open6
Worst price26371
Drawdown as % of equity-6.33%
$3,182
Includes Typical Broker Commissions trade costs of $88.00
10/4/19 2:35 @YMZ9 MINI DOW SHORT 4 26137 10/4 3:25 26135 1.1%
Trade id #125626048
Max drawdown($640)
Time10/4/19 3:16
Quant open4
Worst price26169
Drawdown as % of equity-1.10%
$8
Includes Typical Broker Commissions trade costs of $32.00
10/2/19 10:41 @YMZ9 MINI DOW SHORT 13 26034 10/3 10:45 26030 1.5%
Trade id #125592848
Max drawdown($800)
Time10/2/19 11:09
Quant open4
Worst price26120
Drawdown as % of equity-1.50%
$146
Includes Typical Broker Commissions trade costs of $104.00
10/2/19 3:31 @YMZ9 MINI DOW SHORT 10 26429 10/2 7:26 26402 0.89%
Trade id #125586455
Max drawdown($722)
Time10/2/19 4:13
Quant open5
Worst price26462
Drawdown as % of equity-0.89%
$1,235
Includes Typical Broker Commissions trade costs of $80.00
10/1/19 11:13 @YMZ9 MINI DOW SHORT 5 26679 10/1 14:45 26647 0.57%
Trade id #125571721
Max drawdown($585)
Time10/1/19 11:28
Quant open3
Worst price26726
Drawdown as % of equity-0.57%
$740
Includes Typical Broker Commissions trade costs of $40.00
9/24/19 12:27 @YMZ9 MINI DOW SHORT 6 26829 9/24 14:24 26829 0.8%
Trade id #125483149
Max drawdown($900)
Time9/24/19 14:19
Quant open6
Worst price26859
Drawdown as % of equity-0.80%
($38)
Includes Typical Broker Commissions trade costs of $48.00
9/20/19 2:46 @YMZ9 MINI DOW LONG 17 26959 9/24 0:07 26978 3.75%
Trade id #125430773
Max drawdown($4,650)
Time9/20/19 13:18
Quant open5
Worst price26908
Drawdown as % of equity-3.75%
$1,449
Includes Typical Broker Commissions trade costs of $136.00
9/16/19 6:23 @YMZ9 MINI DOW LONG 6 27082 9/19 14:59 27131 4.56%
Trade id #125365258
Max drawdown($5,475)
Time9/18/19 0:00
Quant open6
Worst price26900
Drawdown as % of equity-4.56%
$1,407
Includes Typical Broker Commissions trade costs of $48.00
9/5/19 3:18 @MYMU9 MICRO E-MINI DOW SHORT 75 26671 9/19 14:55 26718 2.64%
Trade id #125227721
Max drawdown($3,096)
Time9/5/19 15:02
Quant open50
Worst price26795
Drawdown as % of equity-2.64%
($1,830)
Includes Typical Broker Commissions trade costs of $70.50
9/12/19 23:04 @YMU9 MINI DOW LONG 9 27188 9/19 14:51 27197 4.65%
Trade id #125337309
Max drawdown($5,580)
Time9/18/19 0:00
Quant open4
Worst price26909
Drawdown as % of equity-4.65%
$313
Includes Typical Broker Commissions trade costs of $72.00
9/12/19 23:03 @YMZ9 MINI DOW LONG 3 27216 9/13 14:26 27233 0.45%
Trade id #125337308
Max drawdown($540)
Time9/13/19 0:00
Quant open3
Worst price27180
Drawdown as % of equity-0.45%
$231
Includes Typical Broker Commissions trade costs of $24.00
9/12/19 8:03 @YMU9 MINI DOW LONG 3 27226 9/12 14:57 27278 1.47%
Trade id #125323858
Max drawdown($1,740)
Time9/12/19 9:50
Quant open3
Worst price27110
Drawdown as % of equity-1.47%
$756
Includes Typical Broker Commissions trade costs of $24.00
9/12/19 8:04 @YMZ9 MINI DOW LONG 8 27230 9/12 14:56 27264 3.53%
Trade id #125323876
Max drawdown($4,205)
Time9/12/19 10:54
Quant open8
Worst price27125
Drawdown as % of equity-3.53%
$1,291
Includes Typical Broker Commissions trade costs of $64.00
9/6/19 2:47 @YMU9 MINI DOW LONG 9 26783 9/6 14:58 26820 2.6%
Trade id #125241423
Max drawdown($3,105)
Time9/6/19 9:45
Quant open9
Worst price26714
Drawdown as % of equity-2.60%
$1,578
Includes Typical Broker Commissions trade costs of $72.00
9/5/19 6:08 @YMU9 MINI DOW LONG 3 26615 9/5 12:26 26775 0.39%
Trade id #125228741
Max drawdown($435)
Time9/5/19 7:53
Quant open3
Worst price26586
Drawdown as % of equity-0.39%
$2,376
Includes Typical Broker Commissions trade costs of $24.00
9/5/19 5:02 @YMZ9 MINI DOW LONG 5 26576 9/5 12:24 26750 0.89%
Trade id #125228295
Max drawdown($987)
Time9/5/19 5:22
Quant open5
Worst price26537
Drawdown as % of equity-0.89%
$4,298
Includes Typical Broker Commissions trade costs of $40.00
7/1/19 15:17 @MYMU9 MICRO E-MINI DOW LONG 595 26128 9/5 3:10 26162 61.92%
Trade id #124295368
Max drawdown($42,085)
Time8/5/19 0:00
Quant open70
Worst price25475
Drawdown as % of equity-61.92%
$9,582
Includes Typical Broker Commissions trade costs of $559.30
8/23/19 11:18 @YMU9 MINI DOW SHORT 6 25938 8/26 3:04 25731 0.86%
Trade id #125060808
Max drawdown($600)
Time8/23/19 11:20
Quant open6
Worst price25958
Drawdown as % of equity-0.86%
$6,162
Includes Typical Broker Commissions trade costs of $48.00
8/20/19 13:37 @YMU9 MINI DOW SHORT 2 26033 8/21 1:45 25986 0.49%
Trade id #125008003
Max drawdown($380)
Time8/20/19 13:55
Quant open2
Worst price26071
Drawdown as % of equity-0.49%
$454
Includes Typical Broker Commissions trade costs of $16.00
8/14/19 6:14 @YMU9 MINI DOW SHORT 7 26080 8/14 13:44 25670 20.56%
Trade id #124925295
Max drawdown($14,105)
Time8/14/19 13:44
Quant open-7
Worst price25677
Drawdown as % of equity-20.56%
$14,277
Includes Typical Broker Commissions trade costs of $56.00
8/5/19 14:05 @YMU9 MINI DOW SHORT 3 25678 8/5 15:25 25626 0.97%
Trade id #124773348
Max drawdown($450)
Time8/5/19 14:05
Quant open3
Worst price25708
Drawdown as % of equity-0.97%
$756
Includes Typical Broker Commissions trade costs of $24.00
5/13/19 13:02 @YMU9 MINI DOW SHORT 34 25652 8/5 13:21 25736 31.26%
Trade id #123649269
Max drawdown($21,055)
Time5/13/19 13:02
Quant open4
Worst price26663
Drawdown as % of equity-31.26%
($14,471)
Includes Typical Broker Commissions trade costs of $272.00
7/1/19 12:23 @MYMU9 MICRO E-MINI DOW SHORT 20 26695 7/1 15:11 26663 0.11%
Trade id #124292071
Max drawdown($87)
Time7/1/19 12:23
Quant open20
Worst price26704
Drawdown as % of equity-0.11%
$301
Includes Typical Broker Commissions trade costs of $18.80
6/26/19 2:09 @MYMU9 MICRO E-MINI DOW LONG 105 26589 7/1 11:29 26637 2.24%
Trade id #124232254
Max drawdown($1,690)
Time6/26/19 2:09
Quant open50
Worst price26522
Drawdown as % of equity-2.24%
$2,424
Includes Typical Broker Commissions trade costs of $98.70
6/18/19 6:44 @MYMU9 MICRO E-MINI DOW LONG 90 26476 6/25 15:17 26575 0.03%
Trade id #124121823
Max drawdown($20)
Time6/18/19 6:44
Quant open20
Worst price26234
Drawdown as % of equity-0.03%
$4,390
Includes Typical Broker Commissions trade costs of $84.60

Statistics

  • Strategy began
    12/4/2018
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1934.74
  • Age
    65 months ago
  • What it trades
    Futures
  • # Trades
    90
  • # Profitable
    82
  • % Profitable
    91.10%
  • Avg trade duration
    6.4 days
  • Max peak-to-valley drawdown
    83.95%
  • drawdown period
    April 30, 2019 - June 03, 2019
  • Cumul. Return
    307.3%
  • Avg win
    $2,840
  • Avg loss
    $9,884
  • Model Account Values (Raw)
  • Cash
    $203,810
  • Margin Used
    $0
  • Buying Power
    $203,810
  • Ratios
  • W:L ratio
    2.95:1
  • Sharpe Ratio
    0.59
  • Sortino Ratio
    0.88
  • Calmar Ratio
    1.935
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    291.98%
  • Correlation to SP500
    0.15030
  • Return Percent SP500 (cumu) during strategy life
    94.60%
  • Return Statistics
  • Ann Return (w trading costs)
    326.1%
  • Slump
  • Current Slump as Pcnt Equity
    14.10%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.82%
  • 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)
    3.073%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    30.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    79.00%
  • Chance of 20% account loss
    74.50%
  • Chance of 30% account loss
    59.50%
  • Chance of 40% account loss
    37.00%
  • Chance of 60% account loss (Monte Carlo)
    16.50%
  • Chance of 70% account loss (Monte Carlo)
    6.50%
  • Chance of 80% account loss (Monte Carlo)
    2.00%
  • 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
    26.00%
  • Popularity
  • Popularity (Today)
    722
  • Popularity (Last 6 weeks)
    935
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    818
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $9,884
  • Avg Win
    $2,840
  • Sum Trade PL (losers)
    $79,074.000
  • Age
  • Num Months filled monthly returns table
    64
  • Win / Loss
  • Sum Trade PL (winners)
    $232,885.000
  • # Winners
    82
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    8
  • % Winners
    91.1%
  • Frequency
  • Avg Position Time (mins)
    9206.78
  • Avg Position Time (hrs)
    153.45
  • Avg Trade Length
    6.4 days
  • Last Trade Ago
    1584
  • Leverage
  • Daily leverage (average)
    15.25
  • Daily leverage (max)
    97.07
  • Regression
  • Alpha
    0.10
  • Beta
    0.44
  • Treynor Index
    0.26
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    43.82
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    12.24
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.30
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.17
  • Avg(MAE) / Avg(PL) - All trades
    2.744
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    1.314
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.467
  • Hold-and-Hope Ratio
    0.364
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.82823
  • SD
    1.95086
  • Sharpe ratio (Glass type estimate)
    1.44974
  • Sharpe ratio (Hedges UMVUE)
    1.33774
  • df
    10.00000
  • t
    1.38802
  • p
    0.09764
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72382
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.55808
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79168
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.46715
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.72289
  • Upside Potential Ratio
    6.71452
  • Upside part of mean
    4.02088
  • Downside part of mean
    -1.19266
  • Upside SD
    1.94109
  • Downside SD
    0.59883
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.12728
  • Mean of criterion
    2.82823
  • SD of predictor
    0.14066
  • SD of criterion
    1.95086
  • Covariance
    0.11530
  • r
    0.42019
  • b (slope, estimate of beta)
    5.82786
  • a (intercept, estimate of alpha)
    2.08643
  • Mean Square Error
    3.48208
  • DF error
    9.00000
  • t(b)
    1.38917
  • p(b)
    0.09909
  • t(a)
    1.03246
  • p(a)
    0.16440
  • Lowerbound of 95% confidence interval for beta
    -3.66238
  • Upperbound of 95% confidence interval for beta
    15.31810
  • Lowerbound of 95% confidence interval for alpha
    -2.48502
  • Upperbound of 95% confidence interval for alpha
    6.65789
  • Treynor index (mean / b)
    0.48529
  • Jensen alpha (a)
    2.08643
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.48605
  • SD
    1.50124
  • Sharpe ratio (Glass type estimate)
    0.98988
  • Sharpe ratio (Hedges UMVUE)
    0.91341
  • df
    10.00000
  • t
    0.94774
  • p
    0.18280
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.12486
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.05794
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.17248
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.99930
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.05906
  • Upside Potential Ratio
    4.02567
  • Upside part of mean
    2.90537
  • Downside part of mean
    -1.41932
  • Upside SD
    1.30843
  • Downside SD
    0.72171
  • N nonnegative terms
    7.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.11755
  • Mean of criterion
    1.48605
  • SD of predictor
    0.13895
  • SD of criterion
    1.50124
  • Covariance
    0.08917
  • r
    0.42750
  • b (slope, estimate of beta)
    4.61896
  • a (intercept, estimate of alpha)
    0.94309
  • Mean Square Error
    2.04648
  • DF error
    9.00000
  • t(b)
    1.41868
  • p(b)
    0.09484
  • t(a)
    0.61144
  • p(a)
    0.27802
  • Lowerbound of 95% confidence interval for beta
    -2.74622
  • Upperbound of 95% confidence interval for beta
    11.98410
  • Lowerbound of 95% confidence interval for alpha
    -2.54607
  • Upperbound of 95% confidence interval for alpha
    4.43224
  • Treynor index (mean / b)
    0.32173
  • Jensen alpha (a)
    0.94309
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.44511
  • Expected Shortfall on VaR
    0.53143
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.19132
  • Expected Shortfall on VaR
    0.35555
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.64930
  • Quartile 1
    0.80854
  • Median
    1.10627
  • Quartile 3
    1.43752
  • Maximum
    2.43824
  • Mean of quarter 1
    0.68649
  • Mean of quarter 2
    1.01019
  • Mean of quarter 3
    1.30320
  • Mean of quarter 4
    1.97390
  • Inter Quartile Range
    0.62898
  • 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
    0.09091
  • Mean of outliers high
    2.43824
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -261320.00000
  • VaR(95%) (moments method)
    0.33071
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -9.22928
  • VaR(95%) (regression method)
    1.25285
  • Expected Shortfall (regression method)
    1.25285
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.35033
  • Quartile 1
    0.37371
  • Median
    0.39708
  • Quartile 3
    0.42046
  • Maximum
    0.44383
  • Mean of quarter 1
    0.35033
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.44383
  • Inter Quartile Range
    0.04675
  • 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)
    3.27927
  • Compounded annual return (geometric extrapolation)
    3.54468
  • Calmar ratio (compounded annual return / max draw down)
    7.98649
  • Compounded annual return / average of 25% largest draw downs
    7.98649
  • Compounded annual return / Expected Shortfall lognormal
    6.67009
  • 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
    2.28708
  • SD
    1.23136
  • Sharpe ratio (Glass type estimate)
    1.85736
  • Sharpe ratio (Hedges UMVUE)
    1.85173
  • df
    248.00000
  • t
    1.81069
  • p
    0.03570
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.16160
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.87262
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.16534
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.86880
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.76963
  • Upside Potential Ratio
    8.37413
  • Upside part of mean
    6.91513
  • Downside part of mean
    -4.62805
  • Upside SD
    0.92100
  • Downside SD
    0.82577
  • N nonnegative terms
    137.00000
  • N negative terms
    112.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    249.00000
  • Mean of predictor
    0.13333
  • Mean of criterion
    2.28708
  • SD of predictor
    0.14781
  • SD of criterion
    1.23136
  • Covariance
    0.09330
  • r
    0.51261
  • b (slope, estimate of beta)
    4.27035
  • a (intercept, estimate of alpha)
    1.18300
  • Mean Square Error
    1.12236
  • DF error
    247.00000
  • t(b)
    9.38286
  • p(b)
    -0.00000
  • t(a)
    1.57820
  • p(a)
    0.05790
  • Lowerbound of 95% confidence interval for beta
    3.37393
  • Upperbound of 95% confidence interval for beta
    5.16676
  • Lowerbound of 95% confidence interval for alpha
    -0.42602
  • Upperbound of 95% confidence interval for alpha
    3.86148
  • Treynor index (mean / b)
    0.53557
  • Jensen alpha (a)
    1.71773
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.49828
  • SD
    1.27124
  • Sharpe ratio (Glass type estimate)
    1.17860
  • Sharpe ratio (Hedges UMVUE)
    1.17503
  • df
    248.00000
  • t
    1.14899
  • p
    0.12583
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83570
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.19061
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83810
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.18816
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.57758
  • Upside Potential Ratio
    6.88176
  • Upside part of mean
    6.53582
  • Downside part of mean
    -5.03754
  • Upside SD
    0.84625
  • Downside SD
    0.94973
  • N nonnegative terms
    137.00000
  • N negative terms
    112.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    249.00000
  • Mean of predictor
    0.12241
  • Mean of criterion
    1.49828
  • SD of predictor
    0.14777
  • SD of criterion
    1.27124
  • Covariance
    0.09637
  • r
    0.51301
  • b (slope, estimate of beta)
    4.41321
  • a (intercept, estimate of alpha)
    0.95807
  • Mean Square Error
    1.19555
  • DF error
    247.00000
  • t(b)
    9.39285
  • p(b)
    -0.00000
  • t(a)
    0.85308
  • p(a)
    0.19722
  • Lowerbound of 95% confidence interval for beta
    3.48779
  • Upperbound of 95% confidence interval for beta
    5.33863
  • Lowerbound of 95% confidence interval for alpha
    -1.25394
  • Upperbound of 95% confidence interval for alpha
    3.17008
  • Treynor index (mean / b)
    0.33950
  • Jensen alpha (a)
    0.95807
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11615
  • Expected Shortfall on VaR
    0.14432
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03677
  • Expected Shortfall on VaR
    0.08239
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    249.00000
  • Minimum
    0.62772
  • Quartile 1
    0.99017
  • Median
    1.00437
  • Quartile 3
    1.03014
  • Maximum
    1.34980
  • Mean of quarter 1
    0.93260
  • Mean of quarter 2
    0.99827
  • Mean of quarter 3
    1.01491
  • Mean of quarter 4
    1.09079
  • Inter Quartile Range
    0.03997
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.06827
  • Mean of outliers low
    0.83471
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.08434
  • Mean of outliers high
    1.16987
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.67373
  • VaR(95%) (moments method)
    0.05211
  • Expected Shortfall (moments method)
    0.18419
  • Extreme Value Index (regression method)
    0.42177
  • VaR(95%) (regression method)
    0.06063
  • Expected Shortfall (regression method)
    0.13557
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00074
  • Quartile 1
    0.01435
  • Median
    0.02543
  • Quartile 3
    0.05045
  • Maximum
    0.75187
  • Mean of quarter 1
    0.00606
  • Mean of quarter 2
    0.01703
  • Mean of quarter 3
    0.03980
  • Mean of quarter 4
    0.31252
  • Inter Quartile Range
    0.03609
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.47539
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.57517
  • VaR(95%) (moments method)
    0.24791
  • Expected Shortfall (moments method)
    0.70988
  • Extreme Value Index (regression method)
    0.48516
  • VaR(95%) (regression method)
    0.45870
  • Expected Shortfall (regression method)
    1.15250
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.43554
  • Compounded annual return (geometric extrapolation)
    3.60060
  • Calmar ratio (compounded annual return / max draw down)
    4.78889
  • Compounded annual return / average of 25% largest draw downs
    11.52120
  • Compounded annual return / Expected Shortfall lognormal
    24.94830
  • 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
    3.30623
  • SD
    1.59200
  • Sharpe ratio (Glass type estimate)
    2.07678
  • Sharpe ratio (Hedges UMVUE)
    2.06478
  • df
    130.00000
  • t
    1.46851
  • p
    0.43613
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71037
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.85618
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71837
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.84792
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.05540
  • Upside Potential Ratio
    9.14992
  • Upside part of mean
    9.90109
  • Downside part of mean
    -6.59486
  • Upside SD
    1.17724
  • Downside SD
    1.08210
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14843
  • Mean of criterion
    3.30623
  • SD of predictor
    0.13228
  • SD of criterion
    1.59200
  • Covariance
    0.14181
  • r
    0.67343
  • b (slope, estimate of beta)
    8.10498
  • a (intercept, estimate of alpha)
    2.10319
  • Mean Square Error
    1.39581
  • DF error
    129.00000
  • t(b)
    10.34640
  • p(b)
    0.10636
  • t(a)
    1.25574
  • p(a)
    0.43018
  • Lowerbound of 95% confidence interval for beta
    6.55509
  • Upperbound of 95% confidence interval for beta
    9.65488
  • Lowerbound of 95% confidence interval for alpha
    -1.21055
  • Upperbound of 95% confidence interval for alpha
    5.41693
  • Treynor index (mean / b)
    0.40793
  • Jensen alpha (a)
    2.10319
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.97978
  • SD
    1.65479
  • Sharpe ratio (Glass type estimate)
    1.19639
  • Sharpe ratio (Hedges UMVUE)
    1.18948
  • df
    130.00000
  • t
    0.84598
  • p
    0.46300
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.58140
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.96972
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.58610
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.96505
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.57701
  • Upside Potential Ratio
    7.39706
  • Upside part of mean
    9.28632
  • Downside part of mean
    -7.30654
  • Upside SD
    1.07533
  • Downside SD
    1.25541
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.13966
  • Mean of criterion
    1.97978
  • SD of predictor
    0.13267
  • SD of criterion
    1.65479
  • Covariance
    0.14792
  • r
    0.67376
  • b (slope, estimate of beta)
    8.40378
  • a (intercept, estimate of alpha)
    0.80609
  • Mean Square Error
    1.50686
  • DF error
    129.00000
  • t(b)
    10.35570
  • p(b)
    0.10620
  • t(a)
    0.46335
  • p(a)
    0.47406
  • VAR (95 Confidence Intrvl)
    0.09300
  • Lowerbound of 95% confidence interval for beta
    6.79819
  • Upperbound of 95% confidence interval for beta
    10.00940
  • Lowerbound of 95% confidence interval for alpha
    -2.63596
  • Upperbound of 95% confidence interval for alpha
    4.24814
  • Treynor index (mean / b)
    0.23558
  • Jensen alpha (a)
    0.80609
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14837
  • Expected Shortfall on VaR
    0.18341
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04693
  • Expected Shortfall on VaR
    0.10573
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.62772
  • Quartile 1
    0.98575
  • Median
    1.00984
  • Quartile 3
    1.04388
  • Maximum
    1.34980
  • Mean of quarter 1
    0.90296
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.02700
  • Mean of quarter 4
    1.12140
  • Inter Quartile Range
    0.05813
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.80768
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.19382
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.63591
  • VaR(95%) (moments method)
    0.07854
  • Expected Shortfall (moments method)
    0.25108
  • Extreme Value Index (regression method)
    0.53910
  • VaR(95%) (regression method)
    0.07645
  • Expected Shortfall (regression method)
    0.19881
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00074
  • Quartile 1
    0.01746
  • Median
    0.04477
  • Quartile 3
    0.14801
  • Maximum
    0.62292
  • Mean of quarter 1
    0.01045
  • Mean of quarter 2
    0.03092
  • Mean of quarter 3
    0.06868
  • Mean of quarter 4
    0.45320
  • Inter Quartile Range
    0.13054
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.21429
  • Mean of outliers high
    0.55038
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -68.63130
  • VaR(95%) (moments method)
    0.36173
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.09828
  • VaR(95%) (regression method)
    0.66733
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.67786
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -241043000
  • Max Equity Drawdown (num days)
    34
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.45751
  • Compounded annual return (geometric extrapolation)
    6.44610
  • Calmar ratio (compounded annual return / max draw down)
    10.34810
  • Compounded annual return / average of 25% largest draw downs
    14.22350
  • Compounded annual return / Expected Shortfall lognormal
    35.14660

Strategy Description

With over a decade of trading experience, we developed an algorithm many years ago which can accurately prompt buy and sell signals for trading stock and futures markets. We use signals generated from this system for predicting major markets such as Dow Jones e-mini futures market (YM), e-mini S&P futures (ES) and Hang Seng futures (HSI) for the Hong Kong market. Hedging between the emini and micro trades are done to meet the volatile market conditions.
Another strategy was set up for DJIA ETF UDOW Trend Signals for trading Dow Jones ETFs. Concepts of Nobel Prize winners have been incorporated in our algorithm.

Besides issuing trading signals to our subscribers, we also trade our own account according to these signals.

The trades can be reversed when an opposite signal is given, so the trade is almost always on.

Normally the average no. of contracts traded is 3 to 6 for each trade transaction and there could be 2 to 3 transactions in a day. Positions could be lessened in the afternoon session, closer to the end of trading days. To cater to volatile market conditions, please reserve funding for 6 to 7 contracts on average and a maximum of 10 contracts The margin required for each contract is around $8,900 for YM emini and $890 for each micro contract. The standard scaling is 100% following our trades. Please set your scaling factor as 50% or less if necessary, according to your funding position.

Summary Statistics

Strategy began
2018-12-04
Suggested Minimum Capital
$200,000
# Trades
90
# Profitable
82
% Profitable
91.1%
Correlation S&P500
0.150
Sharpe Ratio
0.59
Sortino Ratio
0.88
Beta
0.44
Alpha
0.10
Leverage
15.25 Average
97.07 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.