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This is an archived track record. This track record was archived on 6/2/20 12:58 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

AAA Fund Plus
(127978188)

Created by: MAP MAP
Started: 03/2020
Futures
Last trade: 41 days ago

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 $99.00 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.

19.9%
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.

(18.7%)
Max Drawdown
52
Num Trades
76.9%
Win Trades
1.9 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              +6.0%+14.7%+9.6%(10.1%)  -                                +19.8%

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 100 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/29/20 11:19 @CDM0 CANADIAN DOLLAR SHORT 15 0.7292 6/2 1:43 0.7390 12.26%
Trade id #129262056
Max drawdown($14,880)
Time6/2/20 1:34
Quant open15
Worst price0.7391
Drawdown as % of equity-12.26%
($14,775)
Includes Typical Broker Commissions trade costs of $120.00
5/25/20 3:20 @CDM0 CANADIAN DOLLAR SHORT 31 0.7256 5/29 10:59 0.7248 2.74%
Trade id #129170996
Max drawdown($3,587)
Time5/29/20 8:09
Quant open10
Worst price0.7291
Drawdown as % of equity-2.74%
$2,257
Includes Typical Broker Commissions trade costs of $248.00
5/18/20 13:11 @BPM0 BRITISH POUND SHORT 21 1.2230 5/22 3:25 1.2206 1.77%
Trade id #129072353
Max drawdown($2,262)
Time5/20/20 0:00
Quant open5
Worst price1.2290
Drawdown as % of equity-1.77%
$2,913
Includes Typical Broker Commissions trade costs of $168.00
5/18/20 11:04 @BPM0 BRITISH POUND SHORT 4 1.2209 5/18 12:56 1.2177 0.34%
Trade id #129068809
Max drawdown($443)
Time5/18/20 11:25
Quant open3
Worst price1.2229
Drawdown as % of equity-0.34%
$774
Includes Typical Broker Commissions trade costs of $32.00
5/13/20 11:28 @CDM0 CANADIAN DOLLAR SHORT 9 0.7107 5/18 10:50 0.7122 1.5%
Trade id #129002328
Max drawdown($1,933)
Time5/18/20 10:50
Quant open5
Worst price0.7146
Drawdown as % of equity-1.50%
($1,467)
Includes Typical Broker Commissions trade costs of $72.00
5/7/20 3:06 @CDM0 CANADIAN DOLLAR SHORT 33 0.7140 5/13 11:20 0.7130 6.26%
Trade id #128902007
Max drawdown($7,477)
Time5/11/20 0:00
Quant open15
Worst price0.7194
Drawdown as % of equity-6.26%
$3,001
Includes Typical Broker Commissions trade costs of $264.00
5/13/20 3:49 USD/CAD USD/CAD LONG 40 1.40542 5/13 10:59 1.40644 0.91%
Trade id #128995316
Max drawdown($1,162)
Time5/13/20 8:02
Quant open30
Worst price1.40063
Drawdown as % of equity-0.91%
$290
5/4/20 7:53 @CDM0 CANADIAN DOLLAR SHORT 16 0.7117 5/6 8:45 0.7105 1.82%
Trade id #128852584
Max drawdown($2,260)
Time5/5/20 0:00
Quant open7
Worst price0.7138
Drawdown as % of equity-1.82%
$1,742
Includes Typical Broker Commissions trade costs of $128.00
5/6/20 1:33 @BPM0 BRITISH POUND SHORT 2 1.2434 5/6 4:28 1.2379 0.19%
Trade id #128883118
Max drawdown($237)
Time5/6/20 3:20
Quant open2
Worst price1.2453
Drawdown as % of equity-0.19%
$672
Includes Typical Broker Commissions trade costs of $16.00
4/21/20 9:47 @CDM0 CANADIAN DOLLAR SHORT 40 0.7134 5/4 2:06 0.7127 14.32%
Trade id #128672150
Max drawdown($15,030)
Time4/30/20 0:00
Quant open15
Worst price0.7220
Drawdown as % of equity-14.32%
$2,610
Includes Typical Broker Commissions trade costs of $320.00
4/27/20 10:17 USD/CAD USD/CAD LONG 180 1.39774 5/1 3:07 1.39875 9.7%
Trade id #128751978
Max drawdown($10,186)
Time4/30/20 0:00
Quant open100
Worst price1.38504
Drawdown as % of equity-9.70%
$1,293
4/22/20 2:39 @BPM0 BRITISH POUND SHORT 1 1.2327 4/22 2:56 1.2315 n/a $67
Includes Typical Broker Commissions trade costs of $8.00
4/22/20 2:37 @EUM0 EUROFX SHORT 1 1.08820 4/22 2:48 1.08825 n/a ($14)
Includes Typical Broker Commissions trade costs of $8.00
4/22/20 2:38 @BPM0 BRITISH POUND SHORT 1 1.2327 4/22 2:39 1.2328 0%
Trade id #128684400
Max drawdown($6)
Time4/22/20 2:39
Quant open1
Worst price1.2328
Drawdown as % of equity-0.00%
($14)
Includes Typical Broker Commissions trade costs of $8.00
4/22/20 2:36 @EUM0 EUROFX SHORT 1 1.08815 4/22 2:36 1.08820 0%
Trade id #128684379
Max drawdown($6)
Time4/22/20 2:36
Quant open1
Worst price1.08820
Drawdown as % of equity-0.00%
($14)
Includes Typical Broker Commissions trade costs of $8.00
4/16/20 13:07 @CDM0 CANADIAN DOLLAR SHORT 16 0.7106 4/21 3:05 0.7088 2.55%
Trade id #128601868
Max drawdown($2,988)
Time4/20/20 0:00
Quant open9
Worst price0.7138
Drawdown as % of equity-2.55%
$2,847
Includes Typical Broker Commissions trade costs of $128.00
4/15/20 11:31 @CDM0 CANADIAN DOLLAR SHORT 9 0.7102 4/16 12:47 0.7073 0.83%
Trade id #128578829
Max drawdown($937)
Time4/16/20 9:05
Quant open7
Worst price0.7115
Drawdown as % of equity-0.83%
$2,463
Includes Typical Broker Commissions trade costs of $72.00
4/6/20 1:40 @BPM0 BRITISH POUND SHORT 29 1.2488 4/16 12:47 1.2468 13.09%
Trade id #128424899
Max drawdown($12,150)
Time4/15/20 0:00
Quant open10
Worst price1.2636
Drawdown as % of equity-13.09%
$3,387
Includes Typical Broker Commissions trade costs of $232.00
4/15/20 10:54 @CDM0 CANADIAN DOLLAR SHORT 1 0.7120 4/15 11:28 0.7093 n/a $267
Includes Typical Broker Commissions trade costs of $8.00
4/6/20 5:32 @CDM0 CANADIAN DOLLAR SHORT 20 0.7143 4/15 8:36 0.7132 6.2%
Trade id #128427455
Max drawdown($6,041)
Time4/14/20 0:00
Quant open7
Worst price0.7220
Drawdown as % of equity-6.20%
$2,075
Includes Typical Broker Commissions trade costs of $160.00
4/7/20 2:57 @JYM0 JAPANESE YEN SHORT 3 0.009206 4/7 6:11 0.009184 0.19%
Trade id #128446527
Max drawdown($206)
Time4/7/20 3:19
Quant open3
Worst price0.009211
Drawdown as % of equity-0.19%
$801
Includes Typical Broker Commissions trade costs of $24.00
4/3/20 2:51 @BPM0 BRITISH POUND SHORT 1 1.2400 4/3 4:32 1.2337 n/a $386
Includes Typical Broker Commissions trade costs of $8.00
4/2/20 12:15 @BPM0 BRITISH POUND SHORT 2 1.2412 4/3 0:36 1.2378 0.19%
Trade id #128380346
Max drawdown($206)
Time4/2/20 16:28
Quant open2
Worst price1.2429
Drawdown as % of equity-0.19%
$415
Includes Typical Broker Commissions trade costs of $16.00
4/2/20 11:40 @BPM0 BRITISH POUND LONG 1 1.2372 4/2 11:40 1.2372 n/a ($8)
Includes Typical Broker Commissions trade costs of $8.00
4/2/20 10:18 @BPM0 BRITISH POUND SHORT 1 1.2400 4/2 11:40 1.2372 0.12%
Trade id #128377178
Max drawdown($131)
Time4/2/20 11:26
Quant open1
Worst price1.2421
Drawdown as % of equity-0.12%
$167
Includes Typical Broker Commissions trade costs of $8.00
4/2/20 8:20 @BPM0 BRITISH POUND SHORT 5 1.2432 4/2 9:26 1.2385 0.97%
Trade id #128374423
Max drawdown($1,031)
Time4/2/20 8:39
Quant open5
Worst price1.2465
Drawdown as % of equity-0.97%
$1,429
Includes Typical Broker Commissions trade costs of $40.00
4/1/20 0:27 @EUM0 EUROFX SHORT 1 1.10525 4/1 3:18 1.10120 0.13%
Trade id #128350796
Max drawdown($137)
Time4/1/20 1:38
Quant open1
Worst price1.10635
Drawdown as % of equity-0.13%
$498
Includes Typical Broker Commissions trade costs of $8.00
3/30/20 6:38 @EUM0 EUROFX SHORT 1 1.11000 3/30 12:33 1.10590 0.13%
Trade id #128311315
Max drawdown($137)
Time3/30/20 6:54
Quant open1
Worst price1.11110
Drawdown as % of equity-0.13%
$505
Includes Typical Broker Commissions trade costs of $8.00
3/30/20 2:08 @EUM0 EUROFX SHORT 1 1.11270 3/30 6:28 1.10975 0.09%
Trade id #128308280
Max drawdown($93)
Time3/30/20 2:23
Quant open1
Worst price1.11345
Drawdown as % of equity-0.09%
$361
Includes Typical Broker Commissions trade costs of $8.00
3/27/20 8:01 @EUM0 EUROFX LONG 1 1.10465 3/27 8:01 1.10455 0.01%
Trade id #128282248
Max drawdown($13)
Time3/27/20 8:01
Quant open1
Worst price1.10455
Drawdown as % of equity-0.01%
($21)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    3/11/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    117.72
  • Age
    124 days ago
  • What it trades
    Futures
  • # Trades
    52
  • # Profitable
    40
  • % Profitable
    76.90%
  • Avg trade duration
    1.5 days
  • Max peak-to-valley drawdown
    18.72%
  • drawdown period
    March 16, 2020 - March 18, 2020
  • Cumul. Return
    19.9%
  • Avg win
    $1,206
  • Avg loss
    $2,121
  • Model Account Values (Raw)
  • Cash
    $122,789
  • Margin Used
    $0
  • Buying Power
    $122,789
  • Ratios
  • W:L ratio
    1.90:1
  • Sharpe Ratio
    1.28
  • Sortino Ratio
    2.2
  • Calmar Ratio
    12.649
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.09340
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    8.10%
  • Return Percent SP500 (cumu) during strategy life
    15.10%
  • Return Statistics
  • Ann Return (w trading costs)
    116.7%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    0.95%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.28%
  • Instruments
  • Percent Trades Stocks
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    12.50%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.199%
  • Instruments
  • Percent Trades Forex
    0.05%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    81.9%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    581
  • Popularity (Last 6 weeks)
    903
  • Popularity (7 days, Percentile 1000 scale)
    778
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $1,206
  • Avg Loss
    $2,121
  • Sum Trade PL (losers)
    $25,452.000
  • Sum Trade PL (winners)
    $48,244.000
  • # Winners
    40
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • Num Months Winners
    3
  • Age
  • Num Months filled monthly returns table
    4
  • Win / Loss
  • # Losers
    12
  • % Winners
    76.9%
  • Frequency
  • Avg Position Time (mins)
    2169.43
  • Avg Position Time (hrs)
    36.16
  • Avg Trade Length
    1.5 days
  • Last Trade Ago
    35
  • Leverage
  • Daily leverage (average)
    5.66
  • Daily leverage (max)
    22.55
  • Regression
  • Alpha
    0.20
  • Beta
    -0.08
  • Treynor Index
    -2.35
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    1.10
  • MAE:Equity, average, all trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    5.604
  • 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
    0.12
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.03
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    1.964
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.092
  • Hold-and-Hope Ratio
    0.178
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    1.01000
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.04500
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    2
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -290867000

Strategy Description

Summary Statistics

Strategy began
2020-03-11
Suggested Minimum Capital
$100,000
# Trades
52
# Profitable
40
% Profitable
76.9%
Correlation S&P500
-0.093
Sharpe Ratio
1.28
Sortino Ratio
2.20
Beta
-0.08
Alpha
0.20
Leverage
5.66 Average
22.55 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

#PERSONNAME#
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.