Collective2 Collective2
Featured Strategy SILVER ETF TRADER +12.2% Annual Return (Compounded) since May 2, 2023 Hypothetical

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Aerospace Engineering
(130650608)

Created by: reconFactor reconFactor
Started: 08/2020
Forex
Last trade: 7 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 $125.00 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.

9.9%
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.

(21.2%)
Max Drawdown
734
Num Trades
57.1%
Win Trades
1.3 : 1
Profit Factor
57.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                 (1.4%)+5.4%+7.6%(2.2%)+3.3%+12.8%
2021+3.3%+0.4%(7.7%)+1.0%+0.4%(1.2%)+5.6%+6.5%+4.1%(0.9%)+4.9%+1.1%+18.1%
2022+8.7%(0.3%)(7.7%)(1.4%)+2.6%+0.8%+2.8%(2.9%)+2.3%+1.6%+1.0%(1.2%)+5.5%
2023+2.3%+8.6%(1.4%)(0.6%)(0.8%)(2.2%)(1.6%)(0.2%)+4.0%(5.2%)+1.3%+1.7%+5.3%
2024+4.1%+0.9%+2.4%(1.9%)(1%)(3%)+2.1%+3.9%+1.7%(6.6%)(0.8%)      +1.3%

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 178 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/28/24 11:14 EUR/AUD EUR/AUD SHORT 5 1.63932 10/29 20:34 1.65105 0.64%
Trade id #149864828
Max drawdown($385)
Time10/29/24 20:34
Quant open5
Worst price1.65103
Drawdown as % of equity-0.64%
 ($384)
10/8/24 0:07 GBP/USD GBP/USD LONG 5 1.30896 10/23 11:24 1.29400 1.24%
Trade id #149601118
Max drawdown($750)
Time10/23/24 11:24
Quant open5
Worst price1.29395
Drawdown as % of equity-1.24%
 ($748)
10/9/24 0:32 NZD/CAD NZD/CAD LONG 5 0.83282 10/11 16:58 0.84073 0.24%
Trade id #149612638
Max drawdown($147)
Time10/9/24 10:48
Quant open5
Worst price0.82876
Drawdown as % of equity-0.24%
 $287
9/23/24 18:49 EUR/GBP EUR/GBP LONG 5 0.83266 10/3 9:07 0.84143 0.16%
Trade id #149488570
Max drawdown($103)
Time10/1/24 0:00
Quant open5
Worst price0.83108
Drawdown as % of equity-0.16%
 $575
9/13/24 10:29 NZD/CHF NZD/CHF LONG 5 0.52260 9/23 18:38 0.53086 0.13%
Trade id #149383462
Max drawdown($79)
Time9/16/24 0:00
Quant open5
Worst price0.52126
Drawdown as % of equity-0.13%
 $487
9/13/24 10:29 GBP/CHF GBP/CHF LONG 5 1.11331 9/18 10:59 1.11741 0.26%
Trade id #149383465
Max drawdown($164)
Time9/16/24 0:00
Quant open5
Worst price1.11052
Drawdown as % of equity-0.26%
 $242
9/3/24 23:22 EUR/CHF EUR/CHF LONG 5 0.93821 9/12 10:47 0.94259 0.71%
Trade id #149242515
Max drawdown($441)
Time9/11/24 0:00
Quant open5
Worst price0.93069
Drawdown as % of equity-0.71%
 $257
9/3/24 23:32 USD/CHF USD/CHF LONG 5 0.84905 9/12 10:46 0.85350 1.11%
Trade id #149242555
Max drawdown($687)
Time9/6/24 0:00
Quant open5
Worst price0.83734
Drawdown as % of equity-1.11%
 $261
8/29/24 0:58 NZD/CAD NZD/CAD SHORT 5 0.84679 9/3 15:04 0.83813 0.03%
Trade id #149089755
Max drawdown($21)
Time8/29/24 2:07
Quant open5
Worst price0.84736
Drawdown as % of equity-0.03%
 $320
8/29/24 0:45 CHF/JPY CHF/JPY SHORT 5 172.027 9/3 15:04 171.429 0.14%
Trade id #149089706
Max drawdown($84)
Time9/2/24 0:00
Quant open5
Worst price172.274
Drawdown as % of equity-0.14%
 $205
8/29/24 0:53 USD/CHF USD/CHF LONG 5 0.84088 8/29 9:49 0.84714 0.08%
Trade id #149089722
Max drawdown($51)
Time8/29/24 2:07
Quant open5
Worst price0.84000
Drawdown as % of equity-0.08%
 $370
8/29/24 1:13 GBP/USD GBP/USD SHORT 5 1.32096 8/29 9:49 1.31611 0.14%
Trade id #149089822
Max drawdown($87)
Time8/29/24 3:24
Quant open5
Worst price1.32271
Drawdown as % of equity-0.14%
 $243
8/19/24 11:40 EUR/USD EUR/USD SHORT 7 1.10644 8/21 14:14 1.11700 1.22%
Trade id #148956219
Max drawdown($749)
Time8/21/24 14:14
Quant open7
Worst price1.11715
Drawdown as % of equity-1.22%
 ($739)
7/22/24 12:17 EUR/CHF EUR/CHF LONG 21 0.94929 8/15 9:17 0.95385 6.54%
Trade id #148711329
Max drawdown($3,804)
Time8/6/24 0:00
Quant open16
Worst price0.92854
Drawdown as % of equity-6.54%
 $1,085
7/25/24 11:02 EUR/AUD EUR/AUD SHORT 5 1.65667 8/4 20:05 1.68000 1.29%
Trade id #148740294
Max drawdown($752)
Time8/4/24 20:05
Quant open5
Worst price1.68001
Drawdown as % of equity-1.29%
 ($747)
7/25/24 11:03 EUR/NZD EUR/NZD SHORT 5 1.83911 8/1 13:12 1.81170 0.31%
Trade id #148740313
Max drawdown($182)
Time7/29/24 0:00
Quant open5
Worst price1.84525
Drawdown as % of equity-0.31%
 $815
7/16/24 9:53 GBP/CAD GBP/CAD SHORT 5 1.77305 8/1 13:12 1.76748 0.72%
Trade id #148658622
Max drawdown($436)
Time7/24/24 0:00
Quant open5
Worst price1.78517
Drawdown as % of equity-0.72%
 $201
7/25/24 11:04 GBP/AUD GBP/AUD SHORT 5 1.96577 8/1 13:12 1.95966 0.79%
Trade id #148740324
Max drawdown($467)
Time7/31/24 0:00
Quant open5
Worst price1.98017
Drawdown as % of equity-0.79%
 $199
7/16/24 9:56 GBP/USD GBP/USD SHORT 5 1.29552 7/25 11:04 1.28828 0.74%
Trade id #148658652
Max drawdown($446)
Time7/17/24 0:00
Quant open5
Worst price1.30445
Drawdown as % of equity-0.74%
 $362
7/2/24 9:31 CHF/JPY CHF/JPY SHORT 10 178.422 7/15 12:59 176.274 1.79%
Trade id #148554113
Max drawdown($1,039)
Time7/10/24 0:00
Quant open10
Worst price180.066
Drawdown as % of equity-1.79%
 $1,360
6/3/24 10:42 AUD/CHF AUD/CHF LONG 5 0.60041 7/5 0:59 0.60505 1.38%
Trade id #148315405
Max drawdown($797)
Time6/18/24 0:00
Quant open5
Worst price0.58607
Drawdown as % of equity-1.38%
 $258
6/13/24 9:12 EUR/USD EUR/USD LONG 7 1.07937 7/3 9:29 1.07832 1.54%
Trade id #148397619
Max drawdown($893)
Time6/26/24 0:00
Quant open7
Worst price1.06660
Drawdown as % of equity-1.54%
 ($74)
6/17/24 11:13 GBP/USD GBP/USD LONG 7 1.26808 6/19 8:33 1.27268 0.15%
Trade id #148427905
Max drawdown($85)
Time6/18/24 0:00
Quant open7
Worst price1.26686
Drawdown as % of equity-0.15%
 $322
6/17/24 11:22 EUR/NZD EUR/NZD SHORT 10 1.75237 6/18 3:42 1.75600 0.44%
Trade id #148427994
Max drawdown($253)
Time6/18/24 3:42
Quant open10
Worst price1.75653
Drawdown as % of equity-0.44%
 ($221)
5/30/24 9:21 EUR/CHF EUR/CHF LONG 5 0.98026 6/14 4:29 0.95499 2.44%
Trade id #148289321
Max drawdown($1,414)
Time6/14/24 4:29
Quant open5
Worst price0.95499
Drawdown as % of equity-2.44%
 ($1,416)
6/12/24 9:00 CHF/JPY CHF/JPY SHORT 5 175.304 6/13 23:23 176.302 0.57%
Trade id #148387931
Max drawdown($331)
Time6/13/24 23:23
Quant open5
Worst price176.347
Drawdown as % of equity-0.57%
 ($316)
6/6/24 10:55 GBP/AUD GBP/AUD SHORT 5 1.92101 6/12 8:40 1.92267 0.78%
Trade id #148345114
Max drawdown($454)
Time6/10/24 0:00
Quant open5
Worst price1.93466
Drawdown as % of equity-0.78%
 ($56)
6/10/24 11:15 EUR/USD EUR/USD LONG 7 1.07395 6/12 8:39 1.08140 0.24%
Trade id #148371180
Max drawdown($140)
Time6/11/24 0:00
Quant open7
Worst price1.07194
Drawdown as % of equity-0.24%
 $522
5/28/24 0:41 AUD/NZD AUD/NZD LONG 7 1.08273 6/5 4:10 1.07504 0.57%
Trade id #148267277
Max drawdown($337)
Time6/5/24 4:10
Quant open7
Worst price1.07493
Drawdown as % of equity-0.57%
 ($333)
5/30/24 10:00 USD/CHF USD/CHF LONG 8 0.90510 5/31 11:20 0.90344 0.72%
Trade id #148290352
Max drawdown($432)
Time5/31/24 10:22
Quant open8
Worst price0.90022
Drawdown as % of equity-0.72%
 ($147)
Next

Statistics

  • Strategy began
    8/17/2020
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    1556.66
  • Age
    52 months ago
  • What it trades
    Forex
  • # Trades
    734
  • # Profitable
    419
  • % Profitable
    57.10%
  • Avg trade duration
    4.1 days
  • Max peak-to-valley drawdown
    21.18%
  • drawdown period
    Feb 14, 2022 - May 16, 2022
  • Annual Return (Compounded)
    9.9%
  • Avg win
    $275.07
  • Avg loss
    $275.48
  • Model Account Values (Raw)
  • Cash
    $70,952
  • Margin Used
    $10,124
  • Buying Power
    $57,353
  • Ratios
  • W:L ratio
    1.33:1
  • Sharpe Ratio
    0.5
  • Sortino Ratio
    0.76
  • Calmar Ratio
    0.739
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -25.12%
  • Correlation to SP500
    0.05530
  • Return Percent SP500 (cumu) during strategy life
    74.96%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    9.9%
  • Slump
  • Current Slump as Pcnt Equity
    9.10%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.03%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.099%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    13.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    39.50%
  • Chance of 20% account loss
    12.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    395
  • Popularity (Last 6 weeks)
    680
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    381
  • Popularity (7 days, Percentile 1000 scale)
    604
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $279
  • Avg Win
    $275
  • Sum Trade PL (losers)
    $87,807.000
  • Age
  • Num Months filled monthly returns table
    52
  • Win / Loss
  • Sum Trade PL (winners)
    $115,254.000
  • # Winners
    419
  • Num Months Winners
    30
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    315
  • % Winners
    57.1%
  • Frequency
  • Avg Position Time (mins)
    5939.35
  • Avg Position Time (hrs)
    98.99
  • Avg Trade Length
    4.1 days
  • Last Trade Ago
    7
  • Leverage
  • Daily leverage (average)
    3.17
  • Daily leverage (max)
    9.97
  • Regression
  • Alpha
    0.02
  • Beta
    0.05
  • Treynor Index
    0.50
  • 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)
    -4.89
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    9.571
  • 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
    0.713
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.870
  • Hold-and-Hope Ratio
    0.102
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11760
  • SD
    0.15936
  • Sharpe ratio (Glass type estimate)
    0.73796
  • Sharpe ratio (Hedges UMVUE)
    0.72659
  • df
    49.00000
  • t
    1.50635
  • p
    0.06920
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.23687
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.70546
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.24430
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69749
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.48829
  • Upside Potential Ratio
    3.32962
  • Upside part of mean
    0.26310
  • Downside part of mean
    -0.14550
  • Upside SD
    0.14070
  • Downside SD
    0.07902
  • N nonnegative terms
    28.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    50.00000
  • Mean of predictor
    0.10762
  • Mean of criterion
    0.11760
  • SD of predictor
    0.13066
  • SD of criterion
    0.15936
  • Covariance
    0.00122
  • r
    0.05841
  • b (slope, estimate of beta)
    0.07124
  • a (intercept, estimate of alpha)
    0.10993
  • Mean Square Error
    0.02584
  • DF error
    48.00000
  • t(b)
    0.40539
  • p(b)
    0.34350
  • t(a)
    1.35747
  • p(a)
    0.09049
  • Lowerbound of 95% confidence interval for beta
    -0.28210
  • Upperbound of 95% confidence interval for beta
    0.42458
  • Lowerbound of 95% confidence interval for alpha
    -0.05290
  • Upperbound of 95% confidence interval for alpha
    0.27276
  • Treynor index (mean / b)
    1.65072
  • Jensen alpha (a)
    0.10993
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10490
  • SD
    0.15464
  • Sharpe ratio (Glass type estimate)
    0.67840
  • Sharpe ratio (Hedges UMVUE)
    0.66795
  • df
    49.00000
  • t
    1.38477
  • p
    0.08620
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.29445
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.64451
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30129
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63720
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.29451
  • Upside Potential Ratio
    3.12551
  • Upside part of mean
    0.25329
  • Downside part of mean
    -0.14838
  • Upside SD
    0.13336
  • Downside SD
    0.08104
  • N nonnegative terms
    28.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    50.00000
  • Mean of predictor
    0.09858
  • Mean of criterion
    0.10490
  • SD of predictor
    0.13076
  • SD of criterion
    0.15464
  • Covariance
    0.00126
  • r
    0.06255
  • b (slope, estimate of beta)
    0.07397
  • a (intercept, estimate of alpha)
    0.09761
  • Mean Square Error
    0.02431
  • DF error
    48.00000
  • t(b)
    0.43420
  • p(b)
    0.33305
  • t(a)
    1.24800
  • p(a)
    0.10904
  • Lowerbound of 95% confidence interval for beta
    -0.26856
  • Upperbound of 95% confidence interval for beta
    0.41649
  • Lowerbound of 95% confidence interval for alpha
    -0.05965
  • Upperbound of 95% confidence interval for alpha
    0.25488
  • Treynor index (mean / b)
    1.41824
  • Jensen alpha (a)
    0.09761
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06264
  • Expected Shortfall on VaR
    0.07983
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02601
  • Expected Shortfall on VaR
    0.04945
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    50.00000
  • Minimum
    0.92427
  • Quartile 1
    0.98501
  • Median
    1.00797
  • Quartile 3
    1.03455
  • Maximum
    1.17469
  • Mean of quarter 1
    0.96232
  • Mean of quarter 2
    0.99567
  • Mean of quarter 3
    1.02030
  • Mean of quarter 4
    1.06959
  • Inter Quartile Range
    0.04954
  • 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
    0.04000
  • Mean of outliers high
    1.14529
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.56847
  • VaR(95%) (moments method)
    0.03653
  • Expected Shortfall (moments method)
    0.04189
  • Extreme Value Index (regression method)
    -0.29969
  • VaR(95%) (regression method)
    0.04052
  • Expected Shortfall (regression method)
    0.04979
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.01437
  • Quartile 1
    0.03519
  • Median
    0.04711
  • Quartile 3
    0.07074
  • Maximum
    0.10439
  • Mean of quarter 1
    0.02375
  • Mean of quarter 2
    0.04330
  • Mean of quarter 3
    0.06277
  • Mean of quarter 4
    0.10094
  • Inter Quartile Range
    0.03555
  • 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)
    -52.82050
  • VaR(95%) (moments method)
    0.09632
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.95187
  • VaR(95%) (regression method)
    0.13040
  • Expected Shortfall (regression method)
    0.13063
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17739
  • Compounded annual return (geometric extrapolation)
    0.14203
  • Calmar ratio (compounded annual return / max draw down)
    1.36058
  • Compounded annual return / average of 25% largest draw downs
    1.40716
  • Compounded annual return / Expected Shortfall lognormal
    1.77915
  • 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
    0.10744
  • SD
    0.13503
  • Sharpe ratio (Glass type estimate)
    0.79568
  • Sharpe ratio (Hedges UMVUE)
    0.79514
  • df
    1105.00000
  • t
    1.63480
  • p
    0.46874
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15901
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.75002
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15938
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74965
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.22390
  • Upside Potential Ratio
    8.42015
  • Upside part of mean
    0.73916
  • Downside part of mean
    -0.63172
  • Upside SD
    0.10273
  • Downside SD
    0.08778
  • N nonnegative terms
    517.00000
  • N negative terms
    589.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1106.00000
  • Mean of predictor
    0.11871
  • Mean of criterion
    0.10744
  • SD of predictor
    0.16774
  • SD of criterion
    0.13503
  • Covariance
    0.00126
  • r
    0.05567
  • b (slope, estimate of beta)
    0.04481
  • a (intercept, estimate of alpha)
    0.10200
  • Mean Square Error
    0.01819
  • DF error
    1104.00000
  • t(b)
    1.85244
  • p(b)
    0.47217
  • t(a)
    1.55408
  • p(a)
    0.47664
  • Lowerbound of 95% confidence interval for beta
    -0.00265
  • Upperbound of 95% confidence interval for beta
    0.09227
  • Lowerbound of 95% confidence interval for alpha
    -0.02681
  • Upperbound of 95% confidence interval for alpha
    0.23105
  • Treynor index (mean / b)
    2.39769
  • Jensen alpha (a)
    0.10212
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.09833
  • SD
    0.13475
  • Sharpe ratio (Glass type estimate)
    0.72971
  • Sharpe ratio (Hedges UMVUE)
    0.72921
  • df
    1105.00000
  • t
    1.49926
  • p
    0.47133
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22486
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.68399
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22521
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.68364
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10786
  • Upside Potential Ratio
    8.26880
  • Upside part of mean
    0.73389
  • Downside part of mean
    -0.63556
  • Upside SD
    0.10149
  • Downside SD
    0.08875
  • N nonnegative terms
    517.00000
  • N negative terms
    589.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1106.00000
  • Mean of predictor
    0.10461
  • Mean of criterion
    0.09833
  • SD of predictor
    0.16790
  • SD of criterion
    0.13475
  • Covariance
    0.00127
  • r
    0.05618
  • b (slope, estimate of beta)
    0.04508
  • a (intercept, estimate of alpha)
    0.09361
  • Mean Square Error
    0.01812
  • DF error
    1104.00000
  • t(b)
    1.86950
  • p(b)
    0.47191
  • t(a)
    1.42790
  • p(a)
    0.47853
  • Lowerbound of 95% confidence interval for beta
    -0.00223
  • Upperbound of 95% confidence interval for beta
    0.09240
  • Lowerbound of 95% confidence interval for alpha
    -0.03502
  • Upperbound of 95% confidence interval for alpha
    0.22224
  • Treynor index (mean / b)
    2.18098
  • Jensen alpha (a)
    0.09361
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01323
  • Expected Shortfall on VaR
    0.01665
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00574
  • Expected Shortfall on VaR
    0.01162
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1106.00000
  • Minimum
    0.94089
  • Quartile 1
    0.99711
  • Median
    1.00000
  • Quartile 3
    1.00329
  • Maximum
    1.06388
  • Mean of quarter 1
    0.99160
  • Mean of quarter 2
    0.99899
  • Mean of quarter 3
    1.00144
  • Mean of quarter 4
    1.01003
  • Inter Quartile Range
    0.00618
  • Number outliers low
    57.00000
  • Percentage of outliers low
    0.05154
  • Mean of outliers low
    0.98176
  • Number of outliers high
    65.00000
  • Percentage of outliers high
    0.05877
  • Mean of outliers high
    1.02097
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.34494
  • VaR(95%) (moments method)
    0.00826
  • Expected Shortfall (moments method)
    0.01489
  • Extreme Value Index (regression method)
    0.20964
  • VaR(95%) (regression method)
    0.00763
  • Expected Shortfall (regression method)
    0.01202
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    44.00000
  • Minimum
    0.00023
  • Quartile 1
    0.00176
  • Median
    0.00819
  • Quartile 3
    0.03135
  • Maximum
    0.18218
  • Mean of quarter 1
    0.00078
  • Mean of quarter 2
    0.00483
  • Mean of quarter 3
    0.01677
  • Mean of quarter 4
    0.08475
  • Inter Quartile Range
    0.02958
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.11364
  • Mean of outliers high
    0.12289
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.14337
  • VaR(95%) (moments method)
    0.08738
  • Expected Shortfall (moments method)
    0.12696
  • Extreme Value Index (regression method)
    0.23770
  • VaR(95%) (regression method)
    0.09320
  • Expected Shortfall (regression method)
    0.14477
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16673
  • Compounded annual return (geometric extrapolation)
    0.13455
  • Calmar ratio (compounded annual return / max draw down)
    0.73855
  • Compounded annual return / average of 25% largest draw downs
    1.58763
  • Compounded annual return / Expected Shortfall lognormal
    8.08026
  • 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
    -0.05705
  • SD
    0.09625
  • Sharpe ratio (Glass type estimate)
    -0.59272
  • Sharpe ratio (Hedges UMVUE)
    -0.58930
  • df
    130.00000
  • t
    -0.41912
  • p
    0.51837
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.36438
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18111
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.36203
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.18343
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.83080
  • Upside Potential Ratio
    7.59242
  • Upside part of mean
    0.52136
  • Downside part of mean
    -0.57841
  • Upside SD
    0.06701
  • Downside SD
    0.06867
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19895
  • Mean of criterion
    -0.05705
  • SD of predictor
    0.13551
  • SD of criterion
    0.09625
  • Covariance
    0.00334
  • r
    0.25637
  • b (slope, estimate of beta)
    0.18210
  • a (intercept, estimate of alpha)
    -0.09328
  • Mean Square Error
    0.00872
  • DF error
    129.00000
  • t(b)
    3.01251
  • p(b)
    0.33859
  • t(a)
    -0.70332
  • p(a)
    0.53932
  • Lowerbound of 95% confidence interval for beta
    0.06250
  • Upperbound of 95% confidence interval for beta
    0.30169
  • Lowerbound of 95% confidence interval for alpha
    -0.35568
  • Upperbound of 95% confidence interval for alpha
    0.16912
  • Treynor index (mean / b)
    -0.31330
  • Jensen alpha (a)
    -0.09328
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06165
  • SD
    0.09624
  • Sharpe ratio (Glass type estimate)
    -0.64055
  • Sharpe ratio (Hedges UMVUE)
    -0.63684
  • df
    130.00000
  • t
    -0.45293
  • p
    0.51985
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.41224
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.13356
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.40973
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13604
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.89261
  • Upside Potential Ratio
    7.51598
  • Upside part of mean
    0.51908
  • Downside part of mean
    -0.58073
  • Upside SD
    0.06661
  • Downside SD
    0.06906
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18973
  • Mean of criterion
    -0.06165
  • SD of predictor
    0.13569
  • SD of criterion
    0.09624
  • Covariance
    0.00337
  • r
    0.25798
  • b (slope, estimate of beta)
    0.18298
  • a (intercept, estimate of alpha)
    -0.09636
  • Mean Square Error
    0.00871
  • DF error
    129.00000
  • t(b)
    3.03275
  • p(b)
    0.33760
  • t(a)
    -0.72726
  • p(a)
    0.54065
  • VAR (95 Confidence Intrvl)
    0.01300
  • Lowerbound of 95% confidence interval for beta
    0.06361
  • Upperbound of 95% confidence interval for beta
    0.30235
  • Lowerbound of 95% confidence interval for alpha
    -0.35852
  • Upperbound of 95% confidence interval for alpha
    0.16579
  • Treynor index (mean / b)
    -0.33690
  • Jensen alpha (a)
    -0.09636
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00997
  • Expected Shortfall on VaR
    0.01242
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00537
  • Expected Shortfall on VaR
    0.01004
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97971
  • Quartile 1
    0.99700
  • Median
    0.99996
  • Quartile 3
    1.00267
  • Maximum
    1.01875
  • Mean of quarter 1
    0.99291
  • Mean of quarter 2
    0.99855
  • Mean of quarter 3
    1.00106
  • Mean of quarter 4
    1.00707
  • Inter Quartile Range
    0.00567
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.98577
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.01634
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16315
  • VaR(95%) (moments method)
    0.00705
  • Expected Shortfall (moments method)
    0.01050
  • Extreme Value Index (regression method)
    0.25946
  • VaR(95%) (regression method)
    0.00709
  • Expected Shortfall (regression method)
    0.01126
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00117
  • Quartile 1
    0.00354
  • Median
    0.00715
  • Quartile 3
    0.04022
  • Maximum
    0.06869
  • Mean of quarter 1
    0.00202
  • Mean of quarter 2
    0.00631
  • Mean of quarter 3
    0.02528
  • Mean of quarter 4
    0.05586
  • Inter Quartile Range
    0.03668
  • 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)
    -0.02987
  • VaR(95%) (moments method)
    0.05844
  • Expected Shortfall (moments method)
    0.07003
  • Extreme Value Index (regression method)
    2.18780
  • VaR(95%) (regression method)
    0.09258
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -412054000
  • Max Equity Drawdown (num days)
    91
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.03346
  • Compounded annual return (geometric extrapolation)
    -0.03318
  • Calmar ratio (compounded annual return / max draw down)
    -0.48300
  • Compounded annual return / average of 25% largest draw downs
    -0.59388
  • Compounded annual return / Expected Shortfall lognormal
    -2.67135

Strategy Description

Aerospace Engineering is designed to take flight and generate sustainable growth over time.
This is a momentum based, trend following, target trading system that trades based on a deep understanding of where the market is likely to change directions or continue with the trend. Strict risk management controls are maintained on every trade and all open positions, stops and limits are actively managed.

All possible combinations of only the following currency pairs are considered: USD, EUR, GBP, JPY, CHF, AUD, NZD, CAD.

This system utilizes both day trading and swing trading methods and thus trades may be open for hours or, when appropriate, they may be held open for days or weeks. In order to mitigate risk a form of hedging is sometimes used through correlated pairs. Trade sizes and total leverage are factored into each position.

Recommendations:
Be patient with this system: there will be periods of gain and also periods of reasonable drawdown.
Be careful not to over-leverage this (or any) system and absolute minimum capital for a 1:1 scaling should not be under $25,000.

Good communication and clear understanding are paramount to consistently achieving defined goals. Reach out to me: good, clear questions or ideas are always welcomed.

Summary Statistics

Strategy began
2020-08-17
Suggested Minimum Capital
$60,000
# Trades
734
# Profitable
419
% Profitable
57.1%
Correlation S&P500
0.055
Sharpe Ratio
0.50
Sortino Ratio
0.76
Beta
0.05
Alpha
0.02
Leverage
3.17 Average
9.97 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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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.