Collective2 Collective2
For your consideration Quant AI SP500 +45.6% Annual Return (Compounded) since Sep 22, 2025 Hypothetical

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future

By PeterAlexanderr

Futures · Started Sep 2020

hypothetical · Annual Return (Compounded)
0.0%
Max Drawdown
32.5%
Trades
83
Win Trades
48.2%
Profit Factor
1.10
Win Months
2.7%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
202016.6-0.4-17.9-0.4-5.0
20214.9-1.20.00.00.00.00.00.00.00.00.00.03.7
20220.00.00.00.00.00.00.00.00.00.00.00.00.0
20230.00.00.00.00.00.00.00.00.00.00.00.00.0
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began9/3/2020
Suggested Minimum Capital$40,000
Age74 months
What it tradesFutures
# Trades83
# Profitable40
% Profitable48.2%
Avg trade duration1.5 days
Max peak-to-valley drawdown32.5%
drawdown periodOct 08, 2020 - Nov 19, 2020
Cumul. Return0.0%
Avg win$405
Avg loss$351

Ratios

W:L ratio1.07
Sharpe Ratio-0.19
Sortino Ratio-0.25
Calmar Ratio0.11

Verified

C2Star0

CORRELATION STATISTICS

Correlation to SP500-0.03
Return Percent SP500 (cumu) during strategy life122.9%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-12.6%

Return Statistics

Ann Return (w trading costs)0.0%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)0.4%

Slump

Current Slump as Pcnt Equity19.3%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

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

Automation

Percentage Signals Automated98.2%

Popularity

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

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$351
Avg Win$405
# Winners40
Sum Trade PL (losers)$15,079
Sum Trade PL (winners)$16,196
Num Months Winners2
# Losers43
% Winners48.2%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table74

Frequency

Avg Position Time (mins)2162.40
Avg Position Time (hrs)36.04
Avg Trade Length1.50
Last Trade Ago2056

Leverage

Daily leverage (average)4.43
Daily leverage (max)10.42

Regression

Alpha0
Beta-0.01
Treynor Index0.37

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.02
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0.02
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-2.36
MAE:PL (avg, all trades)-0.35
MAE:PL (avg, losing trades)—
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.39
Avg(MAE) / Avg(PL) - Losing trades-1.66
Hold-and-Hope Ratio-0.42

RATIO STATISTICS

Mean0.00
SD0.53
Sharpe ratio (Glass type estimate)0.00
Sharpe ratio (Hedges UMVUE)0.00
df2
t0.00
p0.50
Lowerbound of 95% confidence interval for Sharpe Ratio-3.92
Upperbound of 95% confidence interval for Sharpe Ratio3.92
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-3.92
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.92
Sortino ratio0.00
Upside Potential Ratio2.74
Upside part of mean0.70
Downside part of mean-0.70
Upside SD0.35
Downside SD0.26
N nonnegative terms1
N negative terms2
N of observations3
Mean of predictor0.26
Mean of criterion0.00
SD of predictor0.12
SD of criterion0.53
Covariance-0.06
r-0.86
b (slope, estimate of beta)-3.72
a (intercept, estimate of alpha)0.98
Mean Square Error0.15
DF error1
t(b)-1.68
p(b)0.83
t(a)1.02
p(a)0.25
Lowerbound of 95% confidence interval for beta-31.81
Upperbound of 95% confidence interval for beta24.37
Lowerbound of 95% confidence interval for alpha-11.26
Upperbound of 95% confidence interval for alpha13.23
Treynor index (mean / b)-0.00
Jensen alpha (a)0.98
Mean-0.09
SD0.51
Sharpe ratio (Glass type estimate)-0.17
Sharpe ratio (Hedges UMVUE)-0.10
df2
t-0.09
p0.53
Lowerbound of 95% confidence interval for Sharpe Ratio-4.08
Upperbound of 95% confidence interval for Sharpe Ratio3.77
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-4.02
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.82
Sortino ratio-0.33
Upside Potential Ratio2.40
Upside part of mean0.64
Downside part of mean-0.73
Upside SD0.32
Downside SD0.27
N nonnegative terms1
N negative terms2
N of observations3
Mean of predictor0.26
Mean of criterion-0.09
SD of predictor0.12
SD of criterion0.51
Covariance-0.05
r-0.85
b (slope, estimate of beta)-3.64
a (intercept, estimate of alpha)0.84
Mean Square Error0.14
DF error1
t(b)-1.64
p(b)0.83
t(a)0.89
p(a)0.27
Lowerbound of 95% confidence interval for beta-31.78
Upperbound of 95% confidence interval for beta24.51
Lowerbound of 95% confidence interval for alpha-11.14
Upperbound of 95% confidence interval for alpha12.82
Treynor index (mean / b)0.02
Jensen alpha (a)0.84
VaR(95%)0.22
Expected Shortfall on VaR0.27
VaR(95%)0.13
Expected Shortfall on VaR0.16
Mean0.16
SD0.42
Sharpe ratio (Glass type estimate)0.37
Sharpe ratio (Hedges UMVUE)0.37
df74
t0.20
p0.42
Lowerbound of 95% confidence interval for Sharpe Ratio-3.29
Upperbound of 95% confidence interval for Sharpe Ratio4.04
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-3.29
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.03
Sortino ratio0.50
Upside Potential Ratio6.48
Upside part of mean2.03
Downside part of mean-1.87
Upside SD0.27
Downside SD0.31
N nonnegative terms33
N negative terms42
N of observations75
Mean of predictor0.41
Mean of criterion0.16
SD of predictor0.21
SD of criterion0.42
Covariance-0.01
r-0.07
b (slope, estimate of beta)-0.14
a (intercept, estimate of alpha)0.04
Mean Square Error0.18
DF error73
t(b)-0.60
p(b)0.72
t(a)0.27
p(a)0.39
Lowerbound of 95% confidence interval for beta-0.61
Upperbound of 95% confidence interval for beta0.33
Lowerbound of 95% confidence interval for alpha-1.36
Upperbound of 95% confidence interval for alpha1.79
Treynor index (mean / b)-1.12
Jensen alpha (a)0.21
Mean0.07
SD0.42
Sharpe ratio (Glass type estimate)0.16
Sharpe ratio (Hedges UMVUE)0.16
df74
t0.09
p0.47
Lowerbound of 95% confidence interval for Sharpe Ratio-3.50
Upperbound of 95% confidence interval for Sharpe Ratio3.82
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-3.50
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.82
Sortino ratio0.21
Upside Potential Ratio6.09
Upside part of mean1.99
Downside part of mean-1.92
Upside SD0.27
Downside SD0.33
N nonnegative terms33
N negative terms42
N of observations75
Mean of predictor0.39
Mean of criterion0.07
SD of predictor0.21
SD of criterion0.42
Covariance-0.01
r-0.08
b (slope, estimate of beta)-0.16
a (intercept, estimate of alpha)0.13
Mean Square Error0.18
DF error73
t(b)-0.68
p(b)0.75
t(a)0.16
p(a)0.44
Lowerbound of 95% confidence interval for beta-0.64
Upperbound of 95% confidence interval for beta0.31
Lowerbound of 95% confidence interval for alpha-1.47
Upperbound of 95% confidence interval for alpha1.73
Treynor index (mean / b)-0.42
Jensen alpha (a)0.13
VaR(95%)0.04
Expected Shortfall on VaR0.05
VaR(95%)0.02
Expected Shortfall on VaR0.04
VAR (95 Confidence Intrvl)0.02

ORDER STATISTICS

Number of observations3
Minimum0.89
Quartile 10.91
Median0.94
Quartile 31.06
Maximum1.18
Mean of quarter 10.89
Mean of quarter 20.94
Mean of quarter 30
Mean of quarter 41.18
Inter Quartile Range0.14
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations75
Minimum0.88
Quartile 11.00
Median1
Quartile 31.01
Maximum1.08
Mean of quarter 10.97
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.03
Inter Quartile Range0.01
Number outliers low6
Percentage of outliers low0.08
Mean of outliers low0.94
Number of outliers high9
Percentage of outliers high0.12
Mean of outliers high1.04
Extreme Value Index (moments method)0.19
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.02
Extreme Value Index (regression method)0.12
VaR(95%) (regression method)0.03
Expected Shortfall (regression method)0.05

DRAW DOWN STATISTICS

Number of observations1
Minimum0.16
Quartile 10.16
Median0.16
Quartile 30.16
Maximum0.16
Mean of quarter 10
Mean of quarter 20
Mean of quarter 30
Mean of quarter 40
Inter Quartile Range0
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations4
Minimum0.00
Quartile 10.01
Median0.03
Quartile 30.10
Maximum0.28
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.05
Mean of quarter 40.28
Inter Quartile Range0.10
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.25
Mean of outliers high0.28
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-276790528
Max Equity Drawdown (num days)42
Last 4 Months - Pcnt Negative0.0%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)-0.06
Compounded annual return (geometric extrapolation)-0.06
Calmar ratio (compounded annual return / max draw down)-0.36
Compounded annual return / average of 25% largest draw downs0
Compounded annual return / Expected Shortfall lognormal-0.22
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.10
Compounded annual return (geometric extrapolation)0.10
Calmar ratio (compounded annual return / max draw down)0.36
Compounded annual return / average of 25% largest draw downs0.36
Compounded annual return / Expected Shortfall lognormal1.93

Trading record

Placed 3 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
QNG Z0long2Nov 2, 2020Feb 24, 2021($6,436)
@CD Z0short1Oct 26, 2020Oct 27, 2020($163)
QNG X0long2Oct 26, 2020Oct 26, 2020$1,384
@MCD Z0short1Oct 26, 2020Oct 26, 2020($1)
DXM Z0short1Oct 23, 2020Oct 23, 2020$99
QGC G1long2Oct 23, 2020Oct 23, 2020$304
QGC G1long2Oct 23, 2020Oct 23, 2020$24
QGC G1short2Oct 23, 2020Oct 23, 2020$204
QGC G1short2Oct 23, 2020Oct 23, 2020$204
QGC G1short2Oct 23, 2020Oct 23, 2020$84
QGC G1long2Oct 23, 2020Oct 23, 2020$184
DXM Z0short3Oct 23, 2020Oct 23, 2020($1,708)
DXM Z0long1Oct 22, 2020Oct 22, 2020($8)
DXM Z0long2Oct 20, 2020Oct 20, 2020$544
QGC G1long2Oct 20, 2020Oct 20, 2020$864
DXM Z0long1Oct 19, 2020Oct 19, 2020($544)
QGC G1short2Oct 19, 2020Oct 19, 2020$184
QGC G1long1Oct 19, 2020Oct 19, 2020$222
QGC G1long2Oct 19, 2020Oct 19, 2020$344
QGC G1long1Oct 19, 2020Oct 19, 2020$132
QGC G1long1Oct 19, 2020Oct 19, 2020($118)
QGC G1long1Oct 19, 2020Oct 19, 2020($238)
QGC G1long1Oct 19, 2020Oct 19, 2020($68)
QGC G1short1Oct 19, 2020Oct 19, 2020$122
DXM Z0long1Oct 19, 2020Oct 19, 2020($26)
QGC G1short2Oct 19, 2020Oct 19, 2020($96)
DXM Z0long2Oct 19, 2020Oct 19, 2020($357)
QGC G1long1Oct 19, 2020Oct 19, 2020($48)
QGC G1short1Oct 19, 2020Oct 19, 2020$142
QHG H1short3Oct 15, 2020Oct 15, 2020($24)

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.