Collective2 Collective2
Featured Strategy S2Prox0 Followed by live capital $145,000 Hypothetical

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Index1
(129436726)

Created by: Lindex Lindex
Started: 06/2020
Futures
Last trade: 1,403 days ago
Trading style: Equity 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 $199.00 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: Equity
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).
-51.4%
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.

(98.0%)
Max Drawdown
20
Num Trades
75.0%
Win Trades
0.3 : 1
Profit Factor
0.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                   (93.8%)  -    -    -    -    -    -  (93.8%)
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 44 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1404 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/16/20 10:25 @MESU0 MICRO E-MINI S&P 500 LONG 12 3136.96 6/17 8:18 3131.17 65.52%
Trade id #129579503
Max drawdown($4,437)
Time6/16/20 11:01
Quant open12
Worst price3063.00
Drawdown as % of equity-65.52%
 ($359)
Includes Typical Broker Commissions trade costs of $11.28
6/15/20 9:56 @MESU0 MICRO E-MINI S&P 500 SHORT 95 2984.01 6/16 10:23 3097.11 1649.89%
Trade id #129556219
Max drawdown($48,226)
Time6/16/20 8:57
Quant open56
Worst price3156.25
Drawdown as % of equity-1649.89%
 ($53,812)
Includes Typical Broker Commissions trade costs of $89.30
6/12/20 10:31 @MESU0 MICRO E-MINI S&P 500 LONG 200 3047.64 6/15 9:43 2984.34 171.66%
Trade id #129530276
Max drawdown($77,736)
Time6/15/20 2:08
Quant open126
Worst price2924.25
Drawdown as % of equity-171.66%
 ($63,491)
Includes Typical Broker Commissions trade costs of $188.00
6/12/20 9:49 @MESU0 MICRO E-MINI S&P 500 LONG 220 3062.78 6/12 10:28 3048.51 10.08%
Trade id #129529267
Max drawdown($13,230)
Time6/12/20 10:28
Quant open220
Worst price3050.75
Drawdown as % of equity-10.08%
 ($15,899)
Includes Typical Broker Commissions trade costs of $206.80
6/11/20 9:48 @MESM0 MICRO E-MINI S&P 500 SHORT 140 3113.82 6/11 10:49 3102.73 1.91%
Trade id #129492743
Max drawdown($2,500)
Time6/11/20 9:59
Quant open100
Worst price3118.50
Drawdown as % of equity-1.91%
 $7,631
Includes Typical Broker Commissions trade costs of $131.60
6/11/20 9:39 @MESM0 MICRO E-MINI S&P 500 SHORT 20 3102.00 6/11 9:39 3101.50 n/a $31
Includes Typical Broker Commissions trade costs of $18.80
6/11/20 8:39 @MESM0 MICRO E-MINI S&P 500 LONG 20 3101.25 6/11 8:42 3101.75 n/a $31
Includes Typical Broker Commissions trade costs of $18.80
6/10/20 11:15 @ESM0 E-MINI S&P 500 SHORT 10 3195.50 6/10 11:35 3189.00 0.39%
Trade id #129470857
Max drawdown($500)
Time6/10/20 11:21
Quant open10
Worst price3196.50
Drawdown as % of equity-0.39%
 $3,170
Includes Typical Broker Commissions trade costs of $80.00
6/10/20 10:35 @NQM0 E-MINI NASDAQ 100 STK IDX SHORT 10 10061.50 6/10 10:39 10050.50 0.86%
Trade id #129469974
Max drawdown($1,100)
Time6/10/20 10:38
Quant open10
Worst price10067.00
Drawdown as % of equity-0.86%
 $2,120
Includes Typical Broker Commissions trade costs of $80.00
6/10/20 9:57 @NQM0 E-MINI NASDAQ 100 STK IDX SHORT 18 10048.92 6/10 10:19 10038.00 8.89%
Trade id #129468464
Max drawdown($10,380)
Time6/10/20 10:11
Quant open18
Worst price10077.80
Drawdown as % of equity-8.89%
 $3,786
Includes Typical Broker Commissions trade costs of $144.00
6/10/20 9:42 @ESM0 E-MINI S&P 500 LONG 10 3201.75 6/10 9:49 3203.50 0.81%
Trade id #129467778
Max drawdown($1,000)
Time6/10/20 9:49
Quant open10
Worst price3199.75
Drawdown as % of equity-0.81%
 $795
Includes Typical Broker Commissions trade costs of $80.00
6/10/20 1:36 @MNQM0 MICRO E-MINI NASDAQ 100 SHORT 80 10008.56 6/10 2:34 9992.00 0.9%
Trade id #129459387
Max drawdown($1,070)
Time6/10/20 2:05
Quant open80
Worst price10015.20
Drawdown as % of equity-0.90%
 $2,575
Includes Typical Broker Commissions trade costs of $75.20
6/9/20 22:59 @MESM0 MICRO E-MINI S&P 500 SHORT 15 3223.70 6/10 2:25 3216.75 0.11%
Trade id #129458082
Max drawdown($135)
Time6/10/20 1:36
Quant open15
Worst price3225.50
Drawdown as % of equity-0.11%
 $507
Includes Typical Broker Commissions trade costs of $14.10
6/9/20 21:49 @MESM0 MICRO E-MINI S&P 500 SHORT 50 3225.32 6/9 22:39 3219.75 0.42%
Trade id #129457301
Max drawdown($481)
Time6/9/20 22:04
Quant open50
Worst price3227.25
Drawdown as % of equity-0.42%
 $1,347
Includes Typical Broker Commissions trade costs of $47.00
6/9/20 21:32 @ESM0 E-MINI S&P 500 SHORT 12 3224.46 6/9 22:39 3219.75 1.47%
Trade id #129457106
Max drawdown($1,675)
Time6/9/20 22:04
Quant open12
Worst price3227.25
Drawdown as % of equity-1.47%
 $2,729
Includes Typical Broker Commissions trade costs of $96.00
6/9/20 12:25 @ESM0 E-MINI S&P 500 SHORT 23 3206.97 6/9 15:53 3205.11 10.17%
Trade id #129439013
Max drawdown($11,279)
Time6/9/20 13:46
Quant open18
Worst price3219.50
Drawdown as % of equity-10.17%
 $1,954
Includes Typical Broker Commissions trade costs of $184.00
6/9/20 12:56 SPXS DIREXION DAILY S&P500 BEAR 3X LONG 1,000 7.28 6/9 14:50 7.24 0.07%
Trade id #129439434
Max drawdown($80)
Time6/9/20 13:44
Quant open1,000
Worst price7.20
Drawdown as % of equity-0.07%
 ($45)
Includes Typical Broker Commissions trade costs of $5.00
6/9/20 10:58 @ESM0 E-MINI S&P 500 SHORT 40 3210.69 6/9 11:48 3204.38 3.62%
Trade id #129436774
Max drawdown($3,625)
Time6/9/20 11:26
Quant open40
Worst price3212.50
Drawdown as % of equity-3.62%
 $12,305
Includes Typical Broker Commissions trade costs of $320.00
6/9/20 10:57 @MNQM0 MICRO E-MINI NASDAQ 100 SHORT 20 9958.75 6/9 11:47 9948.75 0.62%
Trade id #129436742
Max drawdown($620)
Time6/9/20 11:06
Quant open20
Worst price9974.25
Drawdown as % of equity-0.62%
 $381
Includes Typical Broker Commissions trade costs of $18.80
6/9/20 10:59 @MESM0 MICRO E-MINI S&P 500 SHORT 20 3212.25 6/9 11:40 3205.25 0.25%
Trade id #129436789
Max drawdown($250)
Time6/9/20 11:06
Quant open20
Worst price3214.75
Drawdown as % of equity-0.25%
 $681
Includes Typical Broker Commissions trade costs of $18.80
Next

Statistics

  • Strategy began
    6/9/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1402.93
  • Age
    47 months ago
  • What it trades
    Futures
  • # Trades
    20
  • # Profitable
    15
  • % Profitable
    75.00%
  • Avg trade duration
    6.7 hours
  • Max peak-to-valley drawdown
    97.96%
  • drawdown period
    June 11, 2020 - June 16, 2020
  • Annual Return (Compounded)
    -51.4%
  • Avg win
    $2,758
  • Avg loss
    $26,621
  • Model Account Values (Raw)
  • Cash
    $8,264
  • Margin Used
    $0
  • Buying Power
    $8,264
  • Ratios
  • W:L ratio
    0.31:1
  • Sharpe Ratio
    -0.78
  • Sortino Ratio
    -0.79
  • Calmar Ratio
    -1.044
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -155.90%
  • Correlation to SP500
    -0.07370
  • Return Percent SP500 (cumu) during strategy life
    54.88%
  • Return Statistics
  • Ann Return (w trading costs)
    -51.4%
  • Slump
  • Current Slump as Pcnt Equity
    2152.10%
  • Instruments
  • Percent Trades Futures
    0.98%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    1.00%
  • 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)
    -0.514%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.02%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -47.5%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $26,621
  • Avg Win
    $2,758
  • Sum Trade PL (losers)
    $133,106.000
  • Age
  • Num Months filled monthly returns table
    47
  • Win / Loss
  • Sum Trade PL (winners)
    $41,371.000
  • # Winners
    15
  • Num Months Winners
    0
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    5
  • % Winners
    75.0%
  • Frequency
  • Avg Position Time (mins)
    402.63
  • Avg Position Time (hrs)
    6.71
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    1395
  • Leverage
  • Daily leverage (average)
    54.59
  • Daily leverage (max)
    205.67
  • Regression
  • Alpha
    -0.13
  • Beta
    -0.23
  • Treynor Index
    0.59
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    1.09
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.22
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    3.87
  • Avg(MAE) / Avg(PL) - All trades
    -1.942
  • 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
    0.66
  • Avg(MAE) / Avg(PL) - Winning trades
    0.839
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.080
  • Hold-and-Hope Ratio
    -0.515
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.61460
  • SD
    1.21184
  • Sharpe ratio (Glass type estimate)
    -1.33236
  • Sharpe ratio (Hedges UMVUE)
    -1.15733
  • df
    6.00000
  • t
    -1.01761
  • p
    0.82594
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.95247
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.38728
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.80574
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.49109
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.32899
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -1.61460
  • Upside SD
    0.00000
  • Downside SD
    1.21491
  • N nonnegative terms
    0.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.50831
  • Mean of criterion
    -1.61460
  • SD of predictor
    0.36195
  • SD of criterion
    1.21184
  • Covariance
    0.07154
  • r
    0.16309
  • b (slope, estimate of beta)
    0.54604
  • a (intercept, estimate of alpha)
    -1.89216
  • Mean Square Error
    1.71538
  • DF error
    5.00000
  • t(b)
    0.36963
  • p(b)
    0.36340
  • t(a)
    -1.01075
  • p(a)
    0.82074
  • Lowerbound of 95% confidence interval for beta
    -3.25155
  • Upperbound of 95% confidence interval for beta
    4.34363
  • Lowerbound of 95% confidence interval for alpha
    -6.70458
  • Upperbound of 95% confidence interval for alpha
    2.92025
  • Treynor index (mean / b)
    -2.95692
  • Jensen alpha (a)
    -1.89216
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -4.48109
  • SD
    3.40118
  • Sharpe ratio (Glass type estimate)
    -1.31751
  • Sharpe ratio (Hedges UMVUE)
    -1.14443
  • df
    6.00000
  • t
    -1.00627
  • p
    0.82344
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.93581
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39942
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.79105
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50220
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.31633
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -4.48109
  • Upside SD
    0.00000
  • Downside SD
    3.40423
  • N nonnegative terms
    0.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.44136
  • Mean of criterion
    -4.48109
  • SD of predictor
    0.36616
  • SD of criterion
    3.40118
  • Covariance
    0.17187
  • r
    0.13801
  • b (slope, estimate of beta)
    1.28192
  • a (intercept, estimate of alpha)
    -5.04689
  • Mean Square Error
    13.61720
  • DF error
    5.00000
  • t(b)
    0.31157
  • p(b)
    0.38397
  • t(a)
    -0.97779
  • p(a)
    0.81346
  • Lowerbound of 95% confidence interval for beta
    -9.29473
  • Upperbound of 95% confidence interval for beta
    11.85860
  • Lowerbound of 95% confidence interval for alpha
    -18.31560
  • Upperbound of 95% confidence interval for alpha
    8.22179
  • Treynor index (mean / b)
    -3.49560
  • Jensen alpha (a)
    -5.04689
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.86309
  • Expected Shortfall on VaR
    0.90389
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.46781
  • Expected Shortfall on VaR
    0.93247
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.07445
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    0.53722
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.07445
  • 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
    0.92556
  • Quartile 1
    0.92556
  • Median
    0.92556
  • Quartile 3
    0.92556
  • Maximum
    0.92556
  • 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)
    -1.58667
  • Compounded annual return (geometric extrapolation)
    -0.98836
  • Calmar ratio (compounded annual return / max draw down)
    -1.06786
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.09345
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.43492
  • SD
    1.30163
  • Sharpe ratio (Glass type estimate)
    -1.87067
  • Sharpe ratio (Hedges UMVUE)
    -1.86210
  • df
    164.00000
  • t
    -1.48453
  • p
    0.55758
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.34594
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.61017
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.34008
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61587
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.88667
  • Upside Potential Ratio
    0.33340
  • Upside part of mean
    0.43028
  • Downside part of mean
    -2.86520
  • Upside SD
    0.20241
  • Downside SD
    1.29059
  • N nonnegative terms
    3.00000
  • N negative terms
    162.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    165.00000
  • Mean of predictor
    0.83030
  • Mean of criterion
    -2.43492
  • SD of predictor
    0.41582
  • SD of criterion
    1.30163
  • Covariance
    -0.03492
  • r
    -0.06452
  • b (slope, estimate of beta)
    -0.20198
  • a (intercept, estimate of alpha)
    -2.26700
  • Mean Square Error
    1.69754
  • DF error
    163.00000
  • t(b)
    -0.82552
  • p(b)
    0.54105
  • t(a)
    -1.37049
  • p(a)
    0.56782
  • Lowerbound of 95% confidence interval for beta
    -0.68511
  • Upperbound of 95% confidence interval for beta
    0.28115
  • Lowerbound of 95% confidence interval for alpha
    -5.53386
  • Upperbound of 95% confidence interval for alpha
    0.99943
  • Treynor index (mean / b)
    12.05530
  • Jensen alpha (a)
    -2.26722
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -4.15273
  • SD
    2.22174
  • Sharpe ratio (Glass type estimate)
    -1.86913
  • Sharpe ratio (Hedges UMVUE)
    -1.86057
  • df
    164.00000
  • t
    -1.48331
  • p
    0.55753
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.34438
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.61170
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.33853
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61740
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.86938
  • Upside Potential Ratio
    0.18502
  • Upside part of mean
    0.41101
  • Downside part of mean
    -4.56374
  • Upside SD
    0.19301
  • Downside SD
    2.22144
  • N nonnegative terms
    3.00000
  • N negative terms
    162.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    165.00000
  • Mean of predictor
    0.74297
  • Mean of criterion
    -4.15273
  • SD of predictor
    0.41658
  • SD of criterion
    2.22174
  • Covariance
    -0.05509
  • r
    -0.05953
  • b (slope, estimate of beta)
    -0.31746
  • a (intercept, estimate of alpha)
    -3.91686
  • Mean Square Error
    4.94883
  • DF error
    163.00000
  • t(b)
    -0.76132
  • p(b)
    0.53787
  • t(a)
    -1.38881
  • p(a)
    0.56871
  • Lowerbound of 95% confidence interval for beta
    -1.14086
  • Upperbound of 95% confidence interval for beta
    0.50594
  • Lowerbound of 95% confidence interval for alpha
    -9.48591
  • Upperbound of 95% confidence interval for alpha
    1.65218
  • Treynor index (mean / b)
    13.08100
  • Jensen alpha (a)
    -3.91686
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21465
  • Expected Shortfall on VaR
    0.25748
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03757
  • Expected Shortfall on VaR
    0.08467
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    165.00000
  • Minimum
    0.23278
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.11040
  • Mean of quarter 1
    0.95745
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00662
  • Inter Quartile Range
    0.00000
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.02424
  • Mean of outliers low
    0.55321
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.01818
  • Mean of outliers high
    1.09043
  • 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)
    -0.79821
  • VaR(95%) (regression method)
    -0.47352
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.94255
  • Quartile 1
    0.94255
  • Median
    0.94255
  • Quartile 3
    0.94255
  • Maximum
    0.94255
  • 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)
    -1.46967
  • Compounded annual return (geometric extrapolation)
    -0.98383
  • Calmar ratio (compounded annual return / max draw down)
    -1.04380
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -3.82097
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.89521
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44794
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.79414
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.44840
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6825560000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.21500
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    132167000000000013980821446721536.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
  • 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?
    -348114000
  • Max Equity Drawdown (num days)
    5
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Index Trading

Summary Statistics

Strategy began
2020-06-09
Suggested Minimum Capital
$25,000
# Trades
20
# Profitable
15
% Profitable
75.0%
Correlation S&P500
-0.074
Sharpe Ratio
-0.78
Sortino Ratio
-0.79
Beta
-0.23
Alpha
-0.13
Leverage
54.59 Average
205.67 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.