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Hail To The King
(124291951)

Created by: InTheMoneyResearch InTheMoneyResearch
Started: 07/2019
Futures
Last trade: 10 days ago
Trading style: Futures Currencies Financials / Indexes

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 $200.00 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
Currencies
Category: Equity

Currencies

Focuses on currency futures.
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
116.1%
Annual Return (Compounded)

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 Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(16.7%)
Max Drawdown
77
Num Trades
49.4%
Win Trades
2.1 : 1
Profit Factor
78.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                          +6.5%(0.8%)+4.6%(11.2%)(1.1%)+10.4%+7.3%
2020+9.2%+22.8%+31.0%+9.9%+5.4%+3.9%+0.2%+4.1%                        +120.4%

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 168 hours.

Trading Record

This strategy has placed 147 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/20/20 13:41 @MESU0 MICRO E-MINI S&P 500 LONG 8 3235.26 7/30 9:55 3202.09 1.51%
Trade id #130171739
Max drawdown($1,740)
Time7/24/20 0:00
Quant open8
Worst price3191.75
Drawdown as % of equity-1.51%
($1,335)
Includes Typical Broker Commissions trade costs of $7.52
7/29/20 14:31 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 14 10648.58 7/30 3:15 10592.00 1.41%
Trade id #130344988
Max drawdown($1,647)
Time7/30/20 3:15
Quant open14
Worst price10589.80
Drawdown as % of equity-1.41%
($1,597)
Includes Typical Broker Commissions trade costs of $13.16
7/27/20 5:33 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 20 10546.42 7/27 11:27 10543.28 1.13%
Trade id #130286201
Max drawdown($1,316)
Time7/27/20 9:32
Quant open20
Worst price10513.50
Drawdown as % of equity-1.13%
($145)
Includes Typical Broker Commissions trade costs of $18.80
7/13/20 8:00 @EUU0 EUROFX LONG 4 1.13550 7/24 13:19 1.15955 0.65%
Trade id #130043619
Max drawdown($724)
Time7/13/20 8:19
Quant open4
Worst price1.13405
Drawdown as % of equity-0.65%
$11,991
Includes Typical Broker Commissions trade costs of $32.00
7/16/20 22:32 @MESU0 MICRO E-MINI S&P 500 LONG 4 3207.68 7/20 2:17 3193.73 0.26%
Trade id #130126683
Max drawdown($283)
Time7/20/20 2:17
Quant open4
Worst price3193.50
Drawdown as % of equity-0.26%
($283)
Includes Typical Broker Commissions trade costs of $3.76
7/17/20 4:21 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 26 10612.10 7/17 10:24 10562.91 2.58%
Trade id #130129796
Max drawdown($2,930)
Time7/17/20 10:24
Quant open26
Worst price10555.80
Drawdown as % of equity-2.58%
($2,582)
Includes Typical Broker Commissions trade costs of $24.44
7/15/20 7:08 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 12 10750.00 7/15 11:03 10664.41 1.85%
Trade id #130089240
Max drawdown($2,105)
Time7/15/20 11:03
Quant open12
Worst price10662.20
Drawdown as % of equity-1.85%
($2,065)
Includes Typical Broker Commissions trade costs of $11.28
7/7/20 8:50 @BPU0 BRITISH POUND LONG 3 1.2538 7/14 3:04 1.2536 0.39%
Trade id #129942574
Max drawdown($443)
Time7/8/20 0:00
Quant open3
Worst price1.2514
Drawdown as % of equity-0.39%
($55)
Includes Typical Broker Commissions trade costs of $24.00
7/9/20 12:03 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 4 10643.17 7/10 10:00 10648.89 0.01%
Trade id #129995510
Max drawdown($11)
Time7/10/20 10:00
Quant open4
Worst price10641.80
Drawdown as % of equity-0.01%
$42
Includes Typical Broker Commissions trade costs of $3.76
7/8/20 12:19 @EUU0 EUROFX LONG 2 1.13660 7/10 3:05 1.12730 2.14%
Trade id #129971759
Max drawdown($2,375)
Time7/10/20 3:05
Quant open2
Worst price1.12710
Drawdown as % of equity-2.14%
($2,341)
Includes Typical Broker Commissions trade costs of $16.00
7/8/20 15:24 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 12 10643.57 7/9 10:45 10640.27 0.56%
Trade id #129975612
Max drawdown($637)
Time7/8/20 15:39
Quant open12
Worst price10617.00
Drawdown as % of equity-0.56%
($90)
Includes Typical Broker Commissions trade costs of $11.28
7/7/20 10:20 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 6 10665.74 7/7 15:50 10527.00 1.49%
Trade id #129945264
Max drawdown($1,688)
Time7/7/20 15:50
Quant open6
Worst price10525.00
Drawdown as % of equity-1.49%
($1,671)
Includes Typical Broker Commissions trade costs of $5.64
6/30/20 10:52 @MESU0 MICRO E-MINI S&P 500 LONG 14 3062.03 7/2 8:30 3115.50 0.38%
Trade id #129821792
Max drawdown($422)
Time6/30/20 13:15
Quant open14
Worst price3056.00
Drawdown as % of equity-0.38%
$3,730
Includes Typical Broker Commissions trade costs of $13.16
6/29/20 15:59 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 14 9941.90 7/1 12:29 10157.00 0.05%
Trade id #129808946
Max drawdown($53)
Time6/30/20 0:00
Quant open14
Worst price9940.00
Drawdown as % of equity-0.05%
$6,010
Includes Typical Broker Commissions trade costs of $13.16
7/1/20 7:34 @EUU0 EUROFX SHORT 4 1.12038 7/1 10:00 1.12640 2.74%
Trade id #129840103
Max drawdown($3,085)
Time7/1/20 10:00
Quant open4
Worst price1.12655
Drawdown as % of equity-2.74%
($3,044)
Includes Typical Broker Commissions trade costs of $32.00
6/29/20 16:01 @MESU0 MICRO E-MINI S&P 500 SHORT 5 3048.00 6/30 10:51 3060.93 0.31%
Trade id #129809029
Max drawdown($343)
Time6/30/20 10:51
Quant open5
Worst price3061.75
Drawdown as % of equity-0.31%
($328)
Includes Typical Broker Commissions trade costs of $4.70
6/23/20 8:34 @EUU0 EUROFX LONG 2 1.13476 6/25 3:12 1.12520 2.23%
Trade id #129702247
Max drawdown($2,403)
Time6/25/20 3:12
Quant open2
Worst price1.12515
Drawdown as % of equity-2.23%
($2,407)
Includes Typical Broker Commissions trade costs of $16.00
6/23/20 3:16 @MESU0 MICRO E-MINI S&P 500 LONG 9 3127.62 6/24 11:02 3059.00 2.84%
Trade id #129698765
Max drawdown($3,099)
Time6/24/20 11:02
Quant open9
Worst price3058.75
Drawdown as % of equity-2.84%
($3,096)
Includes Typical Broker Commissions trade costs of $8.46
6/22/20 10:03 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 18 10041.60 6/22 21:17 10086.09 0.94%
Trade id #129686114
Max drawdown($1,047)
Time6/22/20 11:00
Quant open18
Worst price10012.50
Drawdown as % of equity-0.94%
$1,585
Includes Typical Broker Commissions trade costs of $16.92
6/17/20 5:58 @EUU0 EUROFX SHORT 5 1.12486 6/22 10:45 1.12856 2.43%
Trade id #129599093
Max drawdown($2,743)
Time6/22/20 10:45
Quant open5
Worst price1.12925
Drawdown as % of equity-2.43%
($2,351)
Includes Typical Broker Commissions trade costs of $40.00
6/15/20 19:36 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 16 9978.52 6/19 14:07 9932.56 1.44%
Trade id #129567173
Max drawdown($1,712)
Time6/19/20 14:07
Quant open16
Worst price9925.00
Drawdown as % of equity-1.44%
($1,486)
Includes Typical Broker Commissions trade costs of $15.04
6/19/20 2:34 @MESU0 MICRO E-MINI S&P 500 LONG 20 3117.43 6/19 12:16 3092.75 2.1%
Trade id #129653651
Max drawdown($2,543)
Time6/19/20 12:16
Quant open20
Worst price3092.00
Drawdown as % of equity-2.10%
($2,487)
Includes Typical Broker Commissions trade costs of $18.80
6/12/20 10:37 @EUU0 EUROFX SHORT 5 1.12972 6/15 22:31 1.13670 3.82%
Trade id #129530449
Max drawdown($4,553)
Time6/15/20 22:31
Quant open5
Worst price1.13700
Drawdown as % of equity-3.82%
($4,406)
Includes Typical Broker Commissions trade costs of $40.00
6/15/20 14:00 @MNQU0 MICRO E-MINI NASDAQ 100 SHORT 12 9700.00 6/15 19:36 9841.34 2.94%
Trade id #129561955
Max drawdown($3,510)
Time6/15/20 19:36
Quant open12
Worst price9846.25
Drawdown as % of equity-2.94%
($3,403)
Includes Typical Broker Commissions trade costs of $11.28
6/10/20 7:55 @MNQM0 MICRO E-MINI NASDAQ 100 LONG 24 10023.49 6/10 15:46 10106.43 0.21%
Trade id #129465399
Max drawdown($263)
Time6/10/20 11:00
Quant open24
Worst price10018.00
Drawdown as % of equity-0.21%
$3,958
Includes Typical Broker Commissions trade costs of $22.56
6/5/20 9:35 @MNQM0 MICRO E-MINI NASDAQ 100 LONG 27 9707.47 6/9 10:42 9846.60 n/a $7,488
Includes Typical Broker Commissions trade costs of $25.38
6/9/20 4:17 @EUM0 EUROFX SHORT 2 1.12487 6/9 9:38 1.13230 1.38%
Trade id #129428610
Max drawdown($1,695)
Time6/9/20 9:36
Quant open2
Worst price1.13165
Drawdown as % of equity-1.38%
($1,874)
Includes Typical Broker Commissions trade costs of $16.00
6/4/20 22:31 @MESM0 MICRO E-MINI S&P 500 LONG 5 3120.58 6/5 8:31 3148.00 0.31%
Trade id #129368016
Max drawdown($358)
Time6/5/20 0:00
Quant open5
Worst price3106.25
Drawdown as % of equity-0.31%
$681
Includes Typical Broker Commissions trade costs of $4.70
6/2/20 4:18 @MESM0 MICRO E-MINI S&P 500 LONG 10 3061.10 6/4 15:07 3097.94 0.61%
Trade id #129303876
Max drawdown($679)
Time6/2/20 11:16
Quant open10
Worst price3047.50
Drawdown as % of equity-0.61%
$1,833
Includes Typical Broker Commissions trade costs of $9.40
6/2/20 15:50 @NQM0 E-MINI NASDAQ 100 STK IDX LONG 5 9628.71 6/4 11:18 9662.96 n/a $3,385
Includes Typical Broker Commissions trade costs of $40.00

Statistics

  • Strategy began
    7/1/2019
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    404.8
  • Age
    14 months ago
  • What it trades
    Futures
  • # Trades
    77
  • # Profitable
    38
  • % Profitable
    49.40%
  • Avg trade duration
    4.5 days
  • Max peak-to-valley drawdown
    16.74%
  • drawdown period
    June 12, 2020 - June 26, 2020
  • Annual Return (Compounded)
    116.1%
  • Avg win
    $3,526
  • Avg loss
    $1,624
  • Model Account Values (Raw)
  • Cash
    $118,700
  • Margin Used
    $3,660
  • Buying Power
    $117,017
  • Ratios
  • W:L ratio
    2.12:1
  • Sharpe Ratio
    2.69
  • Sortino Ratio
    4.76
  • Calmar Ratio
    8.47
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    123.47%
  • Correlation to SP500
    0.08230
  • Return Percent SP500 (cumu) during strategy life
    13.05%
  • Return Statistics
  • Ann Return (w trading costs)
    116.1%
  • Slump
  • Current Slump as Pcnt Equity
    9.40%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.14%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.161%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    124.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    27.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    560
  • Popularity (Last 6 weeks)
    980
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    934
  • Popularity (7 days, Percentile 1000 scale)
    920
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,624
  • Avg Win
    $3,579
  • Sum Trade PL (losers)
    $63,346.000
  • AUM
  • AUM (AutoTrader num accounts)
    8
  • Age
  • Num Months filled monthly returns table
    14
  • Win / Loss
  • Sum Trade PL (winners)
    $136,000.000
  • # Winners
    38
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    1122340
  • Win / Loss
  • # Losers
    39
  • % Winners
    49.4%
  • Frequency
  • Avg Position Time (mins)
    6548.35
  • Avg Position Time (hrs)
    109.14
  • Avg Trade Length
    4.5 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    5.75
  • Daily leverage (max)
    12.12
  • Regression
  • Alpha
    0.21
  • Beta
    0.06
  • Treynor Index
    3.47
  • 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)
    -0.99
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    1.806
  • 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
    0.231
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.123
  • Hold-and-Hope Ratio
    0.570
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.84882
  • SD
    0.37904
  • Sharpe ratio (Glass type estimate)
    2.23942
  • Sharpe ratio (Hedges UMVUE)
    2.09596
  • df
    12.00000
  • t
    2.33086
  • p
    0.22087
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.12057
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.28283
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03463
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.15730
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.67494
  • Upside Potential Ratio
    9.87104
  • Upside part of mean
    0.96586
  • Downside part of mean
    -0.11704
  • Upside SD
    0.42789
  • Downside SD
    0.09785
  • N nonnegative terms
    10.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.11205
  • Mean of criterion
    0.84882
  • SD of predictor
    0.28062
  • SD of criterion
    0.37904
  • Covariance
    -0.05226
  • r
    -0.49128
  • b (slope, estimate of beta)
    -0.66360
  • a (intercept, estimate of alpha)
    0.92318
  • Mean Square Error
    0.11890
  • DF error
    11.00000
  • t(b)
    -1.87073
  • p(b)
    0.95590
  • t(a)
    2.76674
  • p(a)
    0.00917
  • Lowerbound of 95% confidence interval for beta
    -1.44434
  • Upperbound of 95% confidence interval for beta
    0.11715
  • Lowerbound of 95% confidence interval for alpha
    0.18877
  • Upperbound of 95% confidence interval for alpha
    1.65758
  • Treynor index (mean / b)
    -1.27913
  • Jensen alpha (a)
    0.92318
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.76278
  • SD
    0.34397
  • Sharpe ratio (Glass type estimate)
    2.21761
  • Sharpe ratio (Hedges UMVUE)
    2.07555
  • df
    12.00000
  • t
    2.30816
  • p
    0.22275
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10263
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.25758
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.01752
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.13358
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.44147
  • Upside Potential Ratio
    8.63021
  • Upside part of mean
    0.88463
  • Downside part of mean
    -0.12185
  • Upside SD
    0.38365
  • Downside SD
    0.10250
  • N nonnegative terms
    10.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.07293
  • Mean of criterion
    0.76278
  • SD of predictor
    0.29415
  • SD of criterion
    0.34397
  • Covariance
    -0.04954
  • r
    -0.48963
  • b (slope, estimate of beta)
    -0.57254
  • a (intercept, estimate of alpha)
    0.80454
  • Mean Square Error
    0.09812
  • DF error
    11.00000
  • t(b)
    -1.86246
  • p(b)
    0.95528
  • t(a)
    2.66585
  • p(a)
    0.01098
  • Lowerbound of 95% confidence interval for beta
    -1.24916
  • Upperbound of 95% confidence interval for beta
    0.10407
  • Lowerbound of 95% confidence interval for alpha
    0.14029
  • Upperbound of 95% confidence interval for alpha
    1.46878
  • Treynor index (mean / b)
    -1.33226
  • Jensen alpha (a)
    0.80454
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09494
  • Expected Shortfall on VaR
    0.13115
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01200
  • Expected Shortfall on VaR
    0.03089
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.90389
  • Quartile 1
    1.00649
  • Median
    1.06166
  • Quartile 3
    1.10158
  • Maximum
    1.28117
  • Mean of quarter 1
    0.97167
  • Mean of quarter 2
    1.03428
  • Mean of quarter 3
    1.08946
  • Mean of quarter 4
    1.23063
  • Inter Quartile Range
    0.09510
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    1.28021
  • 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)
    0.61129
  • VaR(95%) (regression method)
    0.08679
  • Expected Shortfall (regression method)
    0.31844
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02370
  • Quartile 1
    0.04180
  • Median
    0.05990
  • Quartile 3
    0.07800
  • Maximum
    0.09611
  • Mean of quarter 1
    0.02370
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09611
  • Inter Quartile Range
    0.03620
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.25085
  • Compounded annual return (geometric extrapolation)
    1.20491
  • Calmar ratio (compounded annual return / max draw down)
    12.53740
  • Compounded annual return / average of 25% largest draw downs
    12.53740
  • Compounded annual return / Expected Shortfall lognormal
    9.18746
  • 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
    0.81588
  • SD
    0.23731
  • Sharpe ratio (Glass type estimate)
    3.43804
  • Sharpe ratio (Hedges UMVUE)
    3.42902
  • df
    286.00000
  • t
    3.59833
  • p
    0.00019
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.54141
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.32882
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.53540
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.32264
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.06196
  • Upside Potential Ratio
    12.52730
  • Upside part of mean
    1.68606
  • Downside part of mean
    -0.87017
  • Upside SD
    0.20136
  • Downside SD
    0.13459
  • N nonnegative terms
    135.00000
  • N negative terms
    152.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    287.00000
  • Mean of predictor
    0.13669
  • Mean of criterion
    0.81588
  • SD of predictor
    0.32325
  • SD of criterion
    0.23731
  • Covariance
    0.00716
  • r
    0.09328
  • b (slope, estimate of beta)
    0.06848
  • a (intercept, estimate of alpha)
    0.80700
  • Mean Square Error
    0.05602
  • DF error
    285.00000
  • t(b)
    1.58161
  • p(b)
    0.05742
  • t(a)
    3.56516
  • p(a)
    0.00021
  • Lowerbound of 95% confidence interval for beta
    -0.01674
  • Upperbound of 95% confidence interval for beta
    0.15370
  • Lowerbound of 95% confidence interval for alpha
    0.36124
  • Upperbound of 95% confidence interval for alpha
    1.25180
  • Treynor index (mean / b)
    11.91430
  • Jensen alpha (a)
    0.80652
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.78670
  • SD
    0.23621
  • Sharpe ratio (Glass type estimate)
    3.33056
  • Sharpe ratio (Hedges UMVUE)
    3.32182
  • df
    286.00000
  • t
    3.48585
  • p
    0.00028
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.43529
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.22017
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.42949
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.21416
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.75412
  • Upside Potential Ratio
    12.18570
  • Upside part of mean
    1.66603
  • Downside part of mean
    -0.87933
  • Upside SD
    0.19817
  • Downside SD
    0.13672
  • N nonnegative terms
    135.00000
  • N negative terms
    152.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    287.00000
  • Mean of predictor
    0.08410
  • Mean of criterion
    0.78670
  • SD of predictor
    0.32569
  • SD of criterion
    0.23621
  • Covariance
    0.00674
  • r
    0.08764
  • b (slope, estimate of beta)
    0.06356
  • a (intercept, estimate of alpha)
    0.78136
  • Mean Square Error
    0.05556
  • DF error
    285.00000
  • t(b)
    1.48524
  • p(b)
    0.06929
  • t(a)
    3.46901
  • p(a)
    0.00030
  • Lowerbound of 95% confidence interval for beta
    -0.02067
  • Upperbound of 95% confidence interval for beta
    0.14779
  • Lowerbound of 95% confidence interval for alpha
    0.33802
  • Upperbound of 95% confidence interval for alpha
    1.22470
  • Treynor index (mean / b)
    12.37730
  • Jensen alpha (a)
    0.78136
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02078
  • Expected Shortfall on VaR
    0.02672
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00781
  • Expected Shortfall on VaR
    0.01645
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    287.00000
  • Minimum
    0.94595
  • Quartile 1
    0.99773
  • Median
    1.00000
  • Quartile 3
    1.00971
  • Maximum
    1.06167
  • Mean of quarter 1
    0.98720
  • Mean of quarter 2
    0.99978
  • Mean of quarter 3
    1.00388
  • Mean of quarter 4
    1.02203
  • Inter Quartile Range
    0.01198
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.03833
  • Mean of outliers low
    0.96704
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.06272
  • Mean of outliers high
    1.03728
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.10692
  • VaR(95%) (moments method)
    0.00776
  • Expected Shortfall (moments method)
    0.01060
  • Extreme Value Index (regression method)
    0.14948
  • VaR(95%) (regression method)
    0.01183
  • Expected Shortfall (regression method)
    0.01966
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00236
  • Quartile 1
    0.00770
  • Median
    0.02122
  • Quartile 3
    0.02967
  • Maximum
    0.14856
  • Mean of quarter 1
    0.00357
  • Mean of quarter 2
    0.01403
  • Mean of quarter 3
    0.02625
  • Mean of quarter 4
    0.08431
  • Inter Quartile Range
    0.02198
  • 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
    0.15000
  • Mean of outliers high
    0.11346
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.39837
  • VaR(95%) (moments method)
    0.07998
  • Expected Shortfall (moments method)
    0.08470
  • Extreme Value Index (regression method)
    -0.60881
  • VaR(95%) (regression method)
    0.13240
  • Expected Shortfall (regression method)
    0.15642
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.31533
  • Compounded annual return (geometric extrapolation)
    1.25830
  • Calmar ratio (compounded annual return / max draw down)
    8.46980
  • Compounded annual return / average of 25% largest draw downs
    14.92520
  • Compounded annual return / Expected Shortfall lognormal
    47.09160
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.47973
  • SD
    0.30551
  • Sharpe ratio (Glass type estimate)
    4.84340
  • Sharpe ratio (Hedges UMVUE)
    4.81540
  • df
    130.00000
  • t
    3.42480
  • p
    0.35616
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.00100
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.66803
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98247
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.64833
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.57371
  • Upside Potential Ratio
    15.53600
  • Upside part of mean
    2.68135
  • Downside part of mean
    -1.20162
  • Upside SD
    0.26683
  • Downside SD
    0.17259
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08124
  • Mean of criterion
    1.47973
  • SD of predictor
    0.45965
  • SD of criterion
    0.30551
  • Covariance
    0.01715
  • r
    0.12212
  • b (slope, estimate of beta)
    0.08117
  • a (intercept, estimate of alpha)
    1.47314
  • Mean Square Error
    0.09266
  • DF error
    129.00000
  • t(b)
    1.39744
  • p(b)
    0.42245
  • t(a)
    3.42180
  • p(a)
    0.31894
  • Lowerbound of 95% confidence interval for beta
    -0.03375
  • Upperbound of 95% confidence interval for beta
    0.19608
  • Lowerbound of 95% confidence interval for alpha
    0.62135
  • Upperbound of 95% confidence interval for alpha
    2.32492
  • Treynor index (mean / b)
    18.23080
  • Jensen alpha (a)
    1.47314
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.42953
  • SD
    0.30429
  • Sharpe ratio (Glass type estimate)
    4.69795
  • Sharpe ratio (Hedges UMVUE)
    4.67079
  • df
    130.00000
  • t
    3.32195
  • p
    0.36014
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.85943
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.51922
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.84144
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.50015
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.13555
  • Upside Potential Ratio
    15.06020
  • Upside part of mean
    2.64627
  • Downside part of mean
    -1.21675
  • Upside SD
    0.26231
  • Downside SD
    0.17571
  • N nonnegative terms
    79.00000
  • N negative terms
    52.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02462
  • Mean of criterion
    1.42953
  • SD of predictor
    0.46323
  • SD of criterion
    0.30429
  • Covariance
    0.01647
  • r
    0.11684
  • b (slope, estimate of beta)
    0.07675
  • a (intercept, estimate of alpha)
    1.43142
  • Mean Square Error
    0.09203
  • DF error
    129.00000
  • t(b)
    1.33625
  • p(b)
    0.42578
  • t(a)
    3.33636
  • p(a)
    0.32298
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    -0.03689
  • Upperbound of 95% confidence interval for beta
    0.19040
  • Lowerbound of 95% confidence interval for alpha
    0.58256
  • Upperbound of 95% confidence interval for alpha
    2.28027
  • Treynor index (mean / b)
    18.62500
  • Jensen alpha (a)
    1.43142
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02514
  • Expected Shortfall on VaR
    0.03275
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00893
  • Expected Shortfall on VaR
    0.01915
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94595
  • Quartile 1
    0.99498
  • Median
    1.00510
  • Quartile 3
    1.01684
  • Maximum
    1.06167
  • Mean of quarter 1
    0.98303
  • Mean of quarter 2
    1.00034
  • Mean of quarter 3
    1.01092
  • Mean of quarter 4
    1.02888
  • Inter Quartile Range
    0.02186
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.95475
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.05862
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20233
  • VaR(95%) (moments method)
    0.01486
  • Expected Shortfall (moments method)
    0.02380
  • Extreme Value Index (regression method)
    0.25827
  • VaR(95%) (regression method)
    0.01654
  • Expected Shortfall (regression method)
    0.02817
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00236
  • Quartile 1
    0.00560
  • Median
    0.02514
  • Quartile 3
    0.03174
  • Maximum
    0.14856
  • Mean of quarter 1
    0.00376
  • Mean of quarter 2
    0.01794
  • Mean of quarter 3
    0.02922
  • Mean of quarter 4
    0.09038
  • Inter Quartile Range
    0.02614
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    0.11087
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.68899
  • VaR(95%) (moments method)
    0.07940
  • Expected Shortfall (moments method)
    0.08981
  • Extreme Value Index (regression method)
    0.35843
  • VaR(95%) (regression method)
    0.13661
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.26270
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -282044000
  • Max Equity Drawdown (num days)
    14
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.14484
  • Compounded annual return (geometric extrapolation)
    3.29492
  • Calmar ratio (compounded annual return / max draw down)
    22.17860
  • Compounded annual return / average of 25% largest draw downs
    36.45750
  • Compounded annual return / Expected Shortfall lognormal
    100.61400

Strategy Description

In Test Mode

Summary Statistics

Strategy began
2019-07-01
Suggested Minimum Capital
$100,000
Rank at C2 %
Top 6.6%
Rank # 
#42
# Trades
77
# Profitable
38
% Profitable
49.4%
Correlation S&P500
0.082
Sharpe Ratio
2.69
Sortino Ratio
4.76
Beta
0.06
Alpha
0.21
Leverage
5.75 Average
12.12 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.