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This is an archived track record. This track record was archived on 8/12/19 5:14 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

TendencyForex V2
(122467638)

Created by: PipMaster2018 PipMaster2018
Started: 02/2019
Futures
Last trade: 1,691 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 $193.00 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).
-59.8%
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.

(76.6%)
Max Drawdown
163
Num Trades
54.6%
Win Trades
0.7 : 1
Profit Factor
6.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019       +5.4%+2.3%(11.7%)(0.5%)(47.5%)+18.9%+6.1%  -    -    -    -  (37.3%)
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.

Trading Record

This strategy has placed 4 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1711 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/8/19 10:45 QCLU9 CRUDE OIL SHORT 3 52.80 8/12 5:14 53.60 14.09%
Trade id #124836718
Max drawdown($4,920)
Time8/8/19 10:45
Quant open3
Worst price54.44
Drawdown as % of equity-14.09%
($2,424)
Includes Typical Broker Commissions trade costs of $24.00
8/9/19 12:11 @DXU9 US Dollar Index SHORT 2 97.205 8/12 4:12 97.545 1.25%
Trade id #124858897
Max drawdown($370)
Time8/9/19 12:11
Quant open2
Worst price97.390
Drawdown as % of equity-1.25%
($696)
Includes Typical Broker Commissions trade costs of $16.00
8/9/19 10:36 QGCQ9 Gold 100 oz SHORT 1 1503.0 8/12 4:12 1494.0 1.92%
Trade id #124856671
Max drawdown($550)
Time8/9/19 14:45
Quant open-1
Worst price1497.5
Drawdown as % of equity-1.92%
$892
Includes Typical Broker Commissions trade costs of $8.00
8/9/19 4:07 QGCQ9 Gold 100 oz LONG 1 1501.5 8/9 8:28 1496.3 1.4%
Trade id #124850588
Max drawdown($480)
Time8/9/19 4:07
Quant open1
Worst price1496.7
Drawdown as % of equity-1.40%
($528)
Includes Typical Broker Commissions trade costs of $8.00
8/8/19 14:51 QSIU9 Silver 5000 oz SHORT 1 17.065 8/9 0:15 17.105 0.92%
Trade id #124841575
Max drawdown($325)
Time8/8/19 14:51
Quant open1
Worst price17.130
Drawdown as % of equity-0.92%
($208)
Includes Typical Broker Commissions trade costs of $8.00
8/8/19 14:14 QGCQ9 Gold 100 oz SHORT 1 1504.3 8/9 0:15 1506.7 1.2%
Trade id #124840961
Max drawdown($420)
Time8/8/19 14:14
Quant open1
Worst price1508.5
Drawdown as % of equity-1.20%
($248)
Includes Typical Broker Commissions trade costs of $8.00
8/8/19 3:33 QCLU9 CRUDE OIL SHORT 1 52.48 8/8 9:01 52.64 0.46%
Trade id #124829557
Max drawdown($160)
Time8/8/19 3:33
Quant open1
Worst price52.64
Drawdown as % of equity-0.46%
($168)
Includes Typical Broker Commissions trade costs of $8.00
8/8/19 1:52 QGCQ9 Gold 100 oz SHORT 1 1500.1 8/8 7:53 1501.1 0.25%
Trade id #124828371
Max drawdown($90)
Time8/8/19 7:51
Quant open-1
Worst price1499.2
Drawdown as % of equity-0.25%
($108)
Includes Typical Broker Commissions trade costs of $8.00
7/19/19 1:19 @DXU9 US Dollar Index SHORT 3 96.777 8/7 10:09 97.235 15.94%
Trade id #124527069
Max drawdown($5,770)
Time7/19/19 1:19
Quant open3
Worst price98.700
Drawdown as % of equity-15.94%
($1,399)
Includes Typical Broker Commissions trade costs of $24.00
8/1/19 13:29 @ESU9 E-MINI S&P 500 SHORT 2 2995.50 8/1 13:38 2981.50 0.11%
Trade id #124722839
Max drawdown$27
Time8/1/19 13:29
Quant open
Worst price2987.25
Drawdown as % of equity0.11%
$1,384
Includes Typical Broker Commissions trade costs of $16.00
8/1/19 4:43 QGCU9 Gold 100 oz LONG 1 1408.8 8/1 4:48 1408.8 0%
Trade id #124710998
Max drawdown$0
Time8/1/19 4:43
Quant open
Worst price1408.6
Drawdown as % of equity0.00%
($8)
Includes Typical Broker Commissions trade costs of $8.00
7/30/19 0:06 @ADU9 AUSTRALIAN DOLLAR LONG 1 0.6914 7/30 9:45 0.6885 0%
Trade id #124669173
Max drawdown$0
Time7/30/19 0:07
Quant open
Worst price0.6886
Drawdown as % of equity0.00%
($298)
Includes Typical Broker Commissions trade costs of $8.00
7/29/19 23:49 @ESU9 E-MINI S&P 500 SHORT 1 3025.75 7/30 6:22 3013.50 0.01%
Trade id #124669019
Max drawdown$2
Time7/30/19 5:25
Quant open
Worst price3015.50
Drawdown as % of equity0.01%
$605
Includes Typical Broker Commissions trade costs of $8.00
7/29/19 21:32 QSIU9 Silver 5000 oz LONG 2 16.435 7/30 3:12 16.475 0%
Trade id #124668237
Max drawdown$0
Time7/29/19 22:38
Quant open
Worst price16.440
Drawdown as % of equity0.00%
$384
Includes Typical Broker Commissions trade costs of $16.00
7/25/19 23:06 @JYU9 JAPANESE YEN SHORT 2 0.009243 7/29 22:56 0.009233 0%
Trade id #124625137
Max drawdown$0
Time7/26/19 8:32
Quant open
Worst price0.009254
Drawdown as % of equity0.00%
$228
Includes Typical Broker Commissions trade costs of $16.00
7/26/19 1:34 QSIU9 Silver 5000 oz SHORT 2 16.400 7/29 1:39 16.395 0%
Trade id #124626244
Max drawdown$0
Time7/26/19 2:12
Quant open
Worst price16.525
Drawdown as % of equity0.00%
$34
Includes Typical Broker Commissions trade costs of $16.00
7/18/19 18:33 @JYU9 JAPANESE YEN LONG 1 0.009340 7/25 4:59 0.009286 0%
Trade id #124524969
Max drawdown$0
Time7/18/19 20:08
Quant open
Worst price0.009270
Drawdown as % of equity0.00%
($689)
Includes Typical Broker Commissions trade costs of $8.00
7/23/19 7:30 @ESU9 E-MINI S&P 500 SHORT 2 2997.75 7/24 15:55 3022.00 0.2%
Trade id #124574796
Max drawdown$55
Time7/23/19 12:05
Quant open
Worst price3020.00
Drawdown as % of equity0.20%
($2,441)
Includes Typical Broker Commissions trade costs of $16.00
7/22/19 18:44 @ADQ9 AUSTRALIAN DOLLAR SHORT 2 0.7037 7/23 0:23 0.7030 0%
Trade id #124570594
Max drawdown$0
Time7/22/19 22:29
Quant open
Worst price0.7034
Drawdown as % of equity0.00%
$124
Includes Typical Broker Commissions trade costs of $16.00
7/22/19 18:44 @NEU9 New Zealand Dollar SHORT 2 0.6764 7/22 23:12 0.6743 0%
Trade id #124570605
Max drawdown$0
Time7/22/19 19:43
Quant open
Worst price0.6756
Drawdown as % of equity0.00%
$404
Includes Typical Broker Commissions trade costs of $16.00
7/18/19 18:32 @M6EU9 E-MICRO EUR/USD LONG 1 1.1293 7/21 23:48 1.1269 0%
Trade id #124524953
Max drawdown$0
Time7/18/19 23:14
Quant open
Worst price1.1253
Drawdown as % of equity0.00%
($31)
Includes Typical Broker Commissions trade costs of $0.78
7/18/19 18:39 @ESU9 E-MINI S&P 500 SHORT 1 3000.25 7/21 23:48 2976.25 0.04%
Trade id #124525050
Max drawdown$10
Time7/18/19 19:01
Quant open
Worst price3007.75
Drawdown as % of equity0.04%
$1,192
Includes Typical Broker Commissions trade costs of $8.00
7/1/19 3:08 @DXU9 US Dollar Index SHORT 2 96.403 7/18 2:13 96.710 0.01%
Trade id #124284093
Max drawdown$2
Time7/1/19 7:18
Quant open
Worst price97.090
Drawdown as % of equity0.01%
($631)
Includes Typical Broker Commissions trade costs of $16.00
7/3/19 10:31 @M6EU9 E-MICRO EUR/USD LONG 12 1.1318 7/18 2:13 1.1294 0%
Trade id #124325678
Max drawdown$0
Time7/15/19 3:43
Quant open
Worst price1.1253
Drawdown as % of equity0.00%
($370)
Includes Typical Broker Commissions trade costs of $9.36
7/16/19 13:04 @ESU9 E-MINI S&P 500 SHORT 4 3010.38 7/17 11:16 2999.25 0.11%
Trade id #124481145
Max drawdown$29
Time7/16/19 21:16
Quant open
Worst price3012.25
Drawdown as % of equity0.11%
$2,193
Includes Typical Broker Commissions trade costs of $32.00
7/17/19 2:19 QGCU9 Gold 100 oz LONG 2 1411.1 7/17 2:48 1409.1 0%
Trade id #124489147
Max drawdown$0
Time7/17/19 2:47
Quant open
Worst price1409.7
Drawdown as % of equity0.00%
($416)
Includes Typical Broker Commissions trade costs of $16.00
7/16/19 9:40 QGCU9 Gold 100 oz LONG 2 1418.0 7/16 11:59 1409.5 0.04%
Trade id #124474920
Max drawdown$10
Time7/16/19 9:47
Quant open
Worst price1412.0
Drawdown as % of equity0.04%
($1,716)
Includes Typical Broker Commissions trade costs of $16.00
7/16/19 3:44 @ESU9 E-MINI S&P 500 SHORT 2 3017.25 7/16 11:35 3015.25 0.03%
Trade id #124471631
Max drawdown$8
Time7/16/19 6:55
Quant open
Worst price3020.75
Drawdown as % of equity0.03%
$184
Includes Typical Broker Commissions trade costs of $16.00
7/15/19 23:55 QSIN9 Silver 5000 oz LONG 2 15.285 7/16 8:31 15.330 n/a $434
Includes Typical Broker Commissions trade costs of $16.00
7/15/19 23:57 QGCU9 Gold 100 oz LONG 2 1418.8 7/16 8:31 1416.2 0.02%
Trade id #124470256
Max drawdown$5
Time7/16/19 5:51
Quant open
Worst price1418.7
Drawdown as % of equity0.02%
($536)
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    2/11/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1871.53
  • Age
    62 months ago
  • What it trades
    Futures
  • # Trades
    163
  • # Profitable
    89
  • % Profitable
    54.60%
  • Avg trade duration
    1.9 days
  • Max peak-to-valley drawdown
    76.59%
  • drawdown period
    Aug 10, 2019 - Aug 11, 2019
  • Cumul. Return
    -36.9%
  • Avg win
    $476.82
  • Avg loss
    $779.53
  • Model Account Values (Raw)
  • Cash
    $34,751
  • Margin Used
    $0
  • Buying Power
    $34,751
  • Ratios
  • W:L ratio
    0.74:1
  • Sharpe Ratio
    0.11
  • Sortino Ratio
    0.26
  • Calmar Ratio
    -0.521
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -44.62%
  • Correlation to SP500
    -0.01120
  • Return Percent SP500 (cumu) during strategy life
    93.90%
  • Return Statistics
  • Ann Return (w trading costs)
    -59.8%
  • Slump
  • Current Slump as Pcnt Equity
    302.30%
  • Instruments
  • Percent Trades Futures
    0.97%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.90%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.369%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.03%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -6.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    68.50%
  • Chance of 60% account loss (Monte Carlo)
    53.00%
  • Chance of 70% account loss (Monte Carlo)
    48.00%
  • Chance of 80% account loss (Monte Carlo)
    34.50%
  • Chance of 90% account loss (Monte Carlo)
    1.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    0.27%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    53.00%
  • Popularity
  • Popularity (Today)
    439
  • Popularity (Last 6 weeks)
    972
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    791
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $780
  • Avg Win
    $477
  • Sum Trade PL (losers)
    $57,685.000
  • Age
  • Num Months filled monthly returns table
    62
  • Win / Loss
  • Sum Trade PL (winners)
    $42,437.000
  • # Winners
    89
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    74
  • % Winners
    54.6%
  • Frequency
  • Avg Position Time (mins)
    2674.72
  • Avg Position Time (hrs)
    44.58
  • Avg Trade Length
    1.9 days
  • Last Trade Ago
    1690
  • Leverage
  • Daily leverage (average)
    6.15
  • Daily leverage (max)
    17.19
  • Regression
  • Alpha
    0.03
  • Beta
    -0.04
  • Treynor Index
    -0.68
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    29.98
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    37.20
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.95
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -2.905
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.350
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.063
  • Hold-and-Hope Ratio
    -0.344
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.75078
  • SD
    0.38997
  • Sharpe ratio (Glass type estimate)
    -1.92520
  • Sharpe ratio (Hedges UMVUE)
    -1.53609
  • df
    4.00000
  • t
    -1.24271
  • p
    0.85908
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.12717
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.46909
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.75362
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68144
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.95076
  • Upside Potential Ratio
    0.57655
  • Upside part of mean
    0.22189
  • Downside part of mean
    -0.97267
  • Upside SD
    0.14323
  • Downside SD
    0.38487
  • N nonnegative terms
    1.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.26177
  • Mean of criterion
    -0.75078
  • SD of predictor
    0.09862
  • SD of criterion
    0.38997
  • Covariance
    0.00114
  • r
    0.02975
  • b (slope, estimate of beta)
    0.11764
  • a (intercept, estimate of alpha)
    -0.78157
  • Mean Square Error
    0.20259
  • DF error
    3.00000
  • t(b)
    0.05155
  • p(b)
    0.48106
  • t(a)
    -0.85121
  • p(a)
    0.77140
  • Lowerbound of 95% confidence interval for beta
    -7.14497
  • Upperbound of 95% confidence interval for beta
    7.38026
  • Lowerbound of 95% confidence interval for alpha
    -3.70368
  • Upperbound of 95% confidence interval for alpha
    2.14053
  • Treynor index (mean / b)
    -6.38178
  • Jensen alpha (a)
    -0.78157
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.84420
  • SD
    0.41468
  • Sharpe ratio (Glass type estimate)
    -2.03577
  • Sharpe ratio (Hedges UMVUE)
    -1.62431
  • df
    4.00000
  • t
    -1.31408
  • p
    0.87045
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.26372
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39157
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.86258
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.61396
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.99986
  • Upside Potential Ratio
    0.50276
  • Upside part of mean
    0.21223
  • Downside part of mean
    -1.05643
  • Upside SD
    0.13699
  • Downside SD
    0.42213
  • N nonnegative terms
    1.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.25516
  • Mean of criterion
    -0.84420
  • SD of predictor
    0.09777
  • SD of criterion
    0.41468
  • Covariance
    -0.00015
  • r
    -0.00366
  • b (slope, estimate of beta)
    -0.01551
  • a (intercept, estimate of alpha)
    -0.84024
  • Mean Square Error
    0.22928
  • DF error
    3.00000
  • t(b)
    -0.00634
  • p(b)
    0.50233
  • t(a)
    -0.86634
  • p(a)
    0.77498
  • Lowerbound of 95% confidence interval for beta
    -7.80832
  • Upperbound of 95% confidence interval for beta
    7.77730
  • Lowerbound of 95% confidence interval for alpha
    -3.92682
  • Upperbound of 95% confidence interval for alpha
    2.24634
  • Treynor index (mean / b)
    54.41670
  • Jensen alpha (a)
    -0.84024
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.23452
  • Expected Shortfall on VaR
    0.27116
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.21866
  • Expected Shortfall on VaR
    0.28560
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.80253
  • Quartile 1
    0.86485
  • Median
    0.93352
  • Quartile 3
    0.99382
  • Maximum
    1.09246
  • Mean of quarter 1
    0.83369
  • Mean of quarter 2
    0.93352
  • Mean of quarter 3
    0.99382
  • Mean of quarter 4
    1.09246
  • Inter Quartile Range
    0.12897
  • 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
    0.35608
  • Quartile 1
    0.35608
  • Median
    0.35608
  • Quartile 3
    0.35608
  • Maximum
    0.35608
  • 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)
    -0.71170
  • Compounded annual return (geometric extrapolation)
    -0.57010
  • Calmar ratio (compounded annual return / max draw down)
    -1.60105
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -2.10241
  • 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
    -0.51078
  • SD
    0.71996
  • Sharpe ratio (Glass type estimate)
    -0.70946
  • Sharpe ratio (Hedges UMVUE)
    -0.70532
  • df
    129.00000
  • t
    -0.49974
  • p
    0.52797
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.49191
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07568
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.48910
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07845
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.98700
  • Upside Potential Ratio
    5.96972
  • Upside part of mean
    3.08939
  • Downside part of mean
    -3.60017
  • Upside SD
    0.49753
  • Downside SD
    0.51751
  • N nonnegative terms
    72.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    130.00000
  • Mean of predictor
    0.15663
  • Mean of criterion
    -0.51078
  • SD of predictor
    0.11822
  • SD of criterion
    0.71996
  • Covariance
    -0.01650
  • r
    -0.19386
  • b (slope, estimate of beta)
    -1.18056
  • a (intercept, estimate of alpha)
    -0.21300
  • Mean Square Error
    0.50277
  • DF error
    128.00000
  • t(b)
    -2.23564
  • p(b)
    0.59693
  • t(a)
    -0.32264
  • p(a)
    0.51425
  • Lowerbound of 95% confidence interval for beta
    -2.22542
  • Upperbound of 95% confidence interval for beta
    -0.13570
  • Lowerbound of 95% confidence interval for alpha
    -2.32433
  • Upperbound of 95% confidence interval for alpha
    1.67259
  • Treynor index (mean / b)
    0.43266
  • Jensen alpha (a)
    -0.32587
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.76863
  • SD
    0.72071
  • Sharpe ratio (Glass type estimate)
    -1.06649
  • Sharpe ratio (Hedges UMVUE)
    -1.06028
  • df
    129.00000
  • t
    -0.75124
  • p
    0.54199
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.84991
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72095
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.84573
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72518
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.39839
  • Upside Potential Ratio
    5.41541
  • Upside part of mean
    2.97659
  • Downside part of mean
    -3.74522
  • Upside SD
    0.46429
  • Downside SD
    0.54965
  • N nonnegative terms
    72.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    130.00000
  • Mean of predictor
    0.14963
  • Mean of criterion
    -0.76863
  • SD of predictor
    0.11847
  • SD of criterion
    0.72071
  • Covariance
    -0.01701
  • r
    -0.19916
  • b (slope, estimate of beta)
    -1.21156
  • a (intercept, estimate of alpha)
    -0.58734
  • Mean Square Error
    0.50272
  • DF error
    128.00000
  • t(b)
    -2.29931
  • p(b)
    0.59958
  • t(a)
    -0.58173
  • p(a)
    0.52568
  • Lowerbound of 95% confidence interval for beta
    -2.25417
  • Upperbound of 95% confidence interval for beta
    -0.16895
  • Lowerbound of 95% confidence interval for alpha
    -2.58510
  • Upperbound of 95% confidence interval for alpha
    1.41042
  • Treynor index (mean / b)
    0.63441
  • Jensen alpha (a)
    -0.58734
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07334
  • Expected Shortfall on VaR
    0.09030
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02901
  • Expected Shortfall on VaR
    0.06104
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    130.00000
  • Minimum
    0.81043
  • Quartile 1
    0.98564
  • Median
    1.00000
  • Quartile 3
    1.01135
  • Maximum
    1.23594
  • Mean of quarter 1
    0.94952
  • Mean of quarter 2
    0.99623
  • Mean of quarter 3
    1.00495
  • Mean of quarter 4
    1.04165
  • Inter Quartile Range
    0.02571
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08462
  • Mean of outliers low
    0.90766
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06154
  • Mean of outliers high
    1.09853
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26468
  • VaR(95%) (moments method)
    0.04452
  • Expected Shortfall (moments method)
    0.07597
  • Extreme Value Index (regression method)
    0.44352
  • VaR(95%) (regression method)
    0.04554
  • Expected Shortfall (regression method)
    0.09396
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00024
  • Quartile 1
    0.00796
  • Median
    0.01122
  • Quartile 3
    0.02073
  • Maximum
    0.52278
  • Mean of quarter 1
    0.00284
  • Mean of quarter 2
    0.01084
  • Mean of quarter 3
    0.01839
  • Mean of quarter 4
    0.27292
  • Inter Quartile Range
    0.01277
  • 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
    0.14286
  • Mean of outliers high
    0.52278
  • 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)
    -0.63904
  • Compounded annual return (geometric extrapolation)
    -0.53635
  • Calmar ratio (compounded annual return / max draw down)
    -1.02596
  • Compounded annual return / average of 25% largest draw downs
    -1.96524
  • Compounded annual return / Expected Shortfall lognormal
    -5.93960
  • 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
    -0.51078
  • SD
    0.71996
  • Sharpe ratio (Glass type estimate)
    -0.70946
  • Sharpe ratio (Hedges UMVUE)
    -0.70532
  • df
    129.00000
  • t
    -0.49974
  • p
    0.52797
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.49191
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.07568
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.48910
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07845
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.98700
  • Upside Potential Ratio
    5.96972
  • Upside part of mean
    3.08939
  • Downside part of mean
    -3.60017
  • Upside SD
    0.49753
  • Downside SD
    0.51751
  • N nonnegative terms
    72.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    130.00000
  • Mean of predictor
    0.15663
  • Mean of criterion
    -0.51078
  • SD of predictor
    0.11822
  • SD of criterion
    0.71996
  • Covariance
    -0.01650
  • r
    -0.19386
  • b (slope, estimate of beta)
    -1.18056
  • a (intercept, estimate of alpha)
    -0.32587
  • Mean Square Error
    0.50277
  • DF error
    128.00000
  • t(b)
    -2.23564
  • p(b)
    0.59693
  • t(a)
    -0.32264
  • p(a)
    0.51425
  • Lowerbound of 95% confidence interval for beta
    -2.22542
  • Upperbound of 95% confidence interval for beta
    -0.13570
  • Lowerbound of 95% confidence interval for alpha
    -2.32433
  • Upperbound of 95% confidence interval for alpha
    1.67259
  • Treynor index (mean / b)
    0.43266
  • Jensen alpha (a)
    -0.32587
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.76863
  • SD
    0.72071
  • Sharpe ratio (Glass type estimate)
    -1.06649
  • Sharpe ratio (Hedges UMVUE)
    -1.06028
  • df
    129.00000
  • t
    -0.75124
  • p
    0.54199
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.84991
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72095
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.84573
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.72518
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.39839
  • Upside Potential Ratio
    5.41541
  • Upside part of mean
    2.97659
  • Downside part of mean
    -3.74522
  • Upside SD
    0.46429
  • Downside SD
    0.54965
  • N nonnegative terms
    72.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    130.00000
  • Mean of predictor
    0.14963
  • Mean of criterion
    -0.76863
  • SD of predictor
    0.11847
  • SD of criterion
    0.72071
  • Covariance
    -0.01701
  • r
    -0.19916
  • b (slope, estimate of beta)
    -1.21156
  • a (intercept, estimate of alpha)
    -0.58734
  • Mean Square Error
    0.50272
  • DF error
    128.00000
  • t(b)
    -2.29931
  • p(b)
    0.59958
  • t(a)
    -0.58173
  • p(a)
    0.52568
  • VAR (95 Confidence Intrvl)
    0.04800
  • Lowerbound of 95% confidence interval for beta
    -2.25417
  • Upperbound of 95% confidence interval for beta
    -0.16895
  • Lowerbound of 95% confidence interval for alpha
    -2.58510
  • Upperbound of 95% confidence interval for alpha
    1.41042
  • Treynor index (mean / b)
    0.63441
  • Jensen alpha (a)
    -0.58734
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07334
  • Expected Shortfall on VaR
    0.09030
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02901
  • Expected Shortfall on VaR
    0.06104
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    130.00000
  • Minimum
    0.81043
  • Quartile 1
    0.98564
  • Median
    1.00000
  • Quartile 3
    1.01135
  • Maximum
    1.23594
  • Mean of quarter 1
    0.94952
  • Mean of quarter 2
    0.99623
  • Mean of quarter 3
    1.00495
  • Mean of quarter 4
    1.04165
  • Inter Quartile Range
    0.02571
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08462
  • Mean of outliers low
    0.90766
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06154
  • Mean of outliers high
    1.09853
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26468
  • VaR(95%) (moments method)
    0.04452
  • Expected Shortfall (moments method)
    0.07597
  • Extreme Value Index (regression method)
    0.44352
  • VaR(95%) (regression method)
    0.04554
  • Expected Shortfall (regression method)
    0.09396
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00024
  • Quartile 1
    0.00796
  • Median
    0.01122
  • Quartile 3
    0.02073
  • Maximum
    0.52278
  • Mean of quarter 1
    0.00284
  • Mean of quarter 2
    0.01084
  • Mean of quarter 3
    0.01839
  • Mean of quarter 4
    0.27292
  • Inter Quartile Range
    0.01277
  • 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
    0.14286
  • Mean of outliers high
    0.52278
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -77
  • Max Equity Drawdown (num days)
    1
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.63904
  • Compounded annual return (geometric extrapolation)
    -0.53635
  • Calmar ratio (compounded annual return / max draw down)
    -1.02596
  • Compounded annual return / average of 25% largest draw downs
    -1.96524
  • Compounded annual return / Expected Shortfall lognormal
    -5.93960

Strategy Description

Summary Statistics

Strategy began
2019-02-11
Suggested Minimum Capital
$30,000
# Trades
163
# Profitable
89
% Profitable
54.6%
Correlation S&P500
-0.011
Sharpe Ratio
0.11
Sortino Ratio
0.26
Beta
-0.04
Alpha
0.03
Leverage
6.15 Average
17.19 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.