Collective2 Collective2
For your consideration SharpeQuant Strategy +27.3% Annual Return (Compounded) since Jun 13, 2025 Hypothetical

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Peak Crest Factor

By FuturesPro

Futures · Futures · Started Dec 2019

hypothetical · Annual Return (Compounded)
-99.0%
Max Drawdown
76.2%
Trades
49
Win Trades
98.0%
Profit Factor
0.50
Win Months
1.2%

Momentum Short Term

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2019-8.8-8.8
202017.3-62.70.00.00.00.00.00.00.00.00.00.0-56.3
20210.00.00.00.00.00.00.00.00.00.00.00.00.0
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began12/19/2019
Suggested Minimum Capital$50,000
Age83 months
What it tradesFutures
# Trades49
# Profitable48
% Profitable98.0%
Avg trade duration16.1 hours
Max peak-to-valley drawdown76.2%
drawdown periodFeb 20, 2020 - Feb 24, 2020
Cumul. Return-58.5%
Avg win$557
Avg loss$55,336

Ratios

W:L ratio0.48
Sharpe Ratio-0.27
Sortino Ratio-0.34
Calmar Ratio-0.82

CORRELATION STATISTICS

Correlation to SP5000.03
Return Percent SP500 (cumu) during strategy life137.8%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-62.6%

Return Statistics

Ann Return (w trading costs)-99.0%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.6%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-11.6%

Slump

Current Slump as Pcnt Equity277.9%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures1.0%
Percent Trades Options0.0%
Short Options - Percent Covered100.0%
Percent Trades Stocks0.0%

Automation

Percentage Signals Automated0.1%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)754
Popularity (7 days, Percentile 1000 scale)425

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$55,336
Avg Win$557
# Winners48
Sum Trade PL (losers)$55,336
Sum Trade PL (winners)$26,751
Num Months Winners1
# Losers1
% Winners98.0%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table83

Frequency

Avg Position Time (mins)963.88
Avg Position Time (hrs)16.07
Avg Trade Length0.70
Last Trade Ago2431

Leverage

Daily leverage (average)12.61
Daily leverage (max)34.48

Regression

Alpha-0.03
Beta0.06
Treynor Index-0.48

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.09
MAE:Equity, 95th Percentile Value for this strat2.68
MAE:Equity, average, losing trades2.68
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.04
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-5.11
MAE:PL (avg, all trades)1.57
MAE:PL (avg, losing trades)—
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades3.42
Avg(MAE) / Avg(PL) - Losing trades-0.98
Hold-and-Hope Ratio-0.20

RATIO STATISTICS

a (intercept, estimate of alpha)-0.67
VAR (95 Confidence Intrvl)0.11

DRAW DOWN STATISTICS

Strat Max DD how much worse than SP500 max DD during strat life?-248378832
Max Equity Drawdown (num days)4
Last 4 Months - Pcnt Negative0.0%

Trading record

SymbolSideQtyOpenedClosedP/L
@MNQ H0long69Feb 20, 2020Feb 24, 2020($55,401)
@MNQ H0long7Feb 19, 2020Feb 19, 2020$387
@MNQ H0long15Feb 18, 2020Feb 18, 2020$458
@MNQ H0long16Feb 14, 2020Feb 14, 2020$328
@MNQ H0long9Feb 14, 2020Feb 14, 2020$381
@MNQ H0long13Feb 13, 2020Feb 13, 2020$386
@MNQ H0long7Feb 13, 2020Feb 13, 2020$362
@MNQ H0long8Feb 12, 2020Feb 12, 2020$243
@MNQ H0long24Feb 11, 2020Feb 12, 2020$332
@MNQ H0long3Feb 11, 2020Feb 11, 2020$76
@MNQ H0long5Feb 11, 2020Feb 11, 2020$195
@MNQ H0long3Feb 10, 2020Feb 10, 2020$106
@MNQ H0long3Feb 10, 2020Feb 10, 2020$64
@MNQ H0long3Feb 10, 2020Feb 10, 2020$135
@MNQ H0long20Feb 7, 2020Feb 9, 2020$830
@MNQ H0long3Feb 7, 2020Feb 7, 2020$67
@MNQ H0long5Feb 7, 2020Feb 7, 2020$153
@MNQ H0long6Feb 6, 2020Feb 6, 2020$309
@MNQ H0long28Feb 5, 2020Feb 5, 2020$1,899
@MNQ H0long5Feb 4, 2020Feb 4, 2020$177
@MNQ H0long5Feb 3, 2020Feb 3, 2020$302
@MNQ H0long60Jan 31, 2020Feb 3, 2020$4,633
@MNQ H0long80Jan 24, 2020Jan 30, 2020$1,846
@MNQ H0long43Jan 22, 2020Jan 23, 2020$1,203
@MNQ H0long6Jan 22, 2020Jan 22, 2020$138
@MNQ H0long7Jan 22, 2020Jan 22, 2020$239
@MNQ H0long18Jan 21, 2020Jan 21, 2020$349
@MNQ H0long5Jan 21, 2020Jan 21, 2020$129
@MNQ H0long3Jan 21, 2020Jan 21, 2020$110
@MNQ H0long11Jan 17, 2020Jan 17, 2020$402

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.