Collective2 Collective2
Featured Strategy Income Trades +12.7% Cumul. Return since Feb 16, 2024 Hypothetical

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SuperStable Emini
(131028390)

Created by: SteveYang3 SteveYang3
Started: 09/2020
Futures
Last trade: 746 days ago
Trading style: Futures Trend-following Short Term

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 $280.00 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: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
5.2%
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.

(100.0%)
Max Drawdown
44
Num Trades
65.9%
Win Trades
1.1 : 1
Profit Factor
23.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                        +9.2%(8.9%)+35.4%+6.8%+43.8%
2021+5.3%(6.1%)+12.2%(18.6%)+8.7%(0.2%)+1.3%(13.2%)(9%)+39.4%+1.7%+28.9%+43.3%
2022(8.8%)(6.4%)(6.7%)(20.4%)+16.2%(20%)  -    -    -    -    -    -  (41%)
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.

System developer has asked us to delay this information by 24 hours.

Trading Record

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/17/22 14:24 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 78 13513.27 6/15 20:43 13330.43 174.65%
Trade id #139823905
Max drawdown($79,577)
Time5/12/22 0:00
Quant open18
Worst price11689.20
Drawdown as % of equity-174.65%
 ($28,596)
Includes Typical Broker Commissions trade costs of $73.32
3/17/22 10:53 @MYMM2 MICRO E-MINI DOW LONG 49 33326 6/15 20:43 32972 40.42%
Trade id #139819997
Max drawdown($19,093)
Time5/20/22 0:00
Quant open13
Worst price30588
Drawdown as % of equity-40.42%
 ($8,732)
Includes Typical Broker Commissions trade costs of $46.06
3/17/22 22:25 @MESM2 MICRO E-MINI S&P 500 SHORT 79 4390.42 6/10 10:05 4330.98 23.05%
Trade id #139828296
Max drawdown($18,514)
Time3/29/22 0:00
Quant open20
Worst price4631.00
Drawdown as % of equity-23.05%
 $23,405
Includes Typical Broker Commissions trade costs of $74.26
3/18/22 0:04 @MESH2 MICRO E-MINI S&P 500 SHORT 2 4381.25 3/18 0:05 4382.50 0.02%
Trade id #139828742
Max drawdown($13)
Time3/18/22 0:05
Quant open2
Worst price4382.50
Drawdown as % of equity-0.02%
 ($15)
Includes Typical Broker Commissions trade costs of $1.88
12/14/21 5:42 @MESH2 MICRO E-MINI S&P 500 SHORT 257 4597.06 3/18/22 0:03 4569.80 16.73%
Trade id #138570580
Max drawdown($16,994)
Time12/28/21 0:00
Quant open27
Worst price4798.00
Drawdown as % of equity-16.73%
 $34,783
Includes Typical Broker Commissions trade costs of $241.58
12/10/21 0:44 @MNQH2 MICRO E-MINI NASDAQ 100 LONG 440 14727.01 3/17/22 20:55 14664.86 4830.01%
Trade id #138532611
Max drawdown($128,913)
Time2/24/22 0:00
Quant open34
Worst price13025.80
Drawdown as % of equity-4830.01%
 ($55,102)
Includes Typical Broker Commissions trade costs of $413.60
12/9/21 21:40 @MYMH2 MICRO E-MINI DOW LONG 1,223 34470 3/17/22 14:04 34469 2607.96%
Trade id #138531878
Max drawdown($69,606)
Time2/24/22 0:00
Quant open52
Worst price32163
Drawdown as % of equity-2607.96%
 ($1,859)
Includes Typical Broker Commissions trade costs of $1,149.62
3/15/22 12:36 @MYMM2 MICRO E-MINI DOW SHORT 1 33327 3/15 12:37 33325 n/a $0
Includes Typical Broker Commissions trade costs of $0.94
11/4/21 7:08 @MNQZ1 MICRO E-MINI NASDAQ 100 LONG 93 16161.10 12/17 1:00 16197.17 16.37%
Trade id #138071273
Max drawdown($13,664)
Time12/6/21 0:00
Quant open11
Worst price15559.20
Drawdown as % of equity-16.37%
 $6,622
Includes Typical Broker Commissions trade costs of $87.42
9/14/21 0:12 @MYMZ1 MICRO E-MINI DOW LONG 664 34732 12/16 19:10 34803 28.31%
Trade id #137358307
Max drawdown($15,971)
Time10/1/21 0:00
Quant open33
Worst price33389
Drawdown as % of equity-28.31%
 $22,795
Includes Typical Broker Commissions trade costs of $624.16
9/16/21 21:07 @MESZ1 MICRO E-MINI S&P 500 SHORT 613 4615.14 12/14 10:43 4619.44 57.63%
Trade id #137407823
Max drawdown($40,468)
Time11/5/21 0:00
Quant open42
Worst price4711.75
Drawdown as % of equity-57.63%
 ($13,757)
Includes Typical Broker Commissions trade costs of $576.22
9/14/21 9:49 @MNQZ1 MICRO E-MINI NASDAQ 100 LONG 169 15159.15 11/4 6:53 15200.96 41.11%
Trade id #137364155
Max drawdown($26,497)
Time10/4/21 0:00
Quant open18
Worst price14367.80
Drawdown as % of equity-41.11%
 $13,973
Includes Typical Broker Commissions trade costs of $158.86
6/17/21 12:45 @MESU1 MICRO E-MINI S&P 500 SHORT 1,291 4385.79 9/17 7:13 4390.88 78.27%
Trade id #136100321
Max drawdown($47,775)
Time9/3/21 0:00
Quant open54
Worst price4550.00
Drawdown as % of equity-78.27%
 ($34,055)
Includes Typical Broker Commissions trade costs of $1,213.54
6/11/21 10:39 @MYMU1 MICRO E-MINI DOW LONG 352 34509 9/17 1:59 34573 17.87%
Trade id #136023430
Max drawdown($13,066)
Time6/21/21 0:00
Quant open25
Worst price32902
Drawdown as % of equity-17.87%
 $10,917
Includes Typical Broker Commissions trade costs of $330.88
6/22/21 23:53 @MNQU1 MICRO E-MINI NASDAQ 100 LONG 212 14868.43 9/16 23:22 14908.18 0.16%
Trade id #136168570
Max drawdown($119)
Time6/23/21 0:00
Quant open1
Worst price14231.80
Drawdown as % of equity-0.16%
 $16,653
Includes Typical Broker Commissions trade costs of $199.28
6/10/21 19:27 @MNQU1 MICRO E-MINI NASDAQ 100 LONG 35 14031.34 6/22 23:01 14078.61 2.44%
Trade id #136013541
Max drawdown($1,740)
Time6/16/21 0:00
Quant open5
Worst price13830.00
Drawdown as % of equity-2.44%
 $3,276
Includes Typical Broker Commissions trade costs of $32.90
3/17/21 8:18 @MESM1 MICRO E-MINI S&P 500 SHORT 1,297 4148.00 6/17 22:42 4151.21 39.09%
Trade id #134667142
Max drawdown($23,645)
Time5/10/21 0:00
Quant open44
Worst price4238.00
Drawdown as % of equity-39.09%
 ($22,032)
Includes Typical Broker Commissions trade costs of $1,219.18
6/17/21 3:19 @MNQM1 MICRO E-MINI NASDAQ 100 SHORT 1 13916.00 6/17 3:21 13918.00 0.01%
Trade id #136088672
Max drawdown($4)
Time6/17/21 3:21
Quant open1
Worst price13918.00
Drawdown as % of equity-0.01%
 ($5)
Includes Typical Broker Commissions trade costs of $0.94
5/5/21 14:51 @MYMM1 MICRO E-MINI DOW LONG 64 34069 6/11 15:55 34124 3.01%
Trade id #135468270
Max drawdown($1,876)
Time5/13/21 0:00
Quant open5
Worst price33202
Drawdown as % of equity-3.01%
 $1,687
Includes Typical Broker Commissions trade costs of $60.16
4/7/21 15:54 @MNQM1 MICRO E-MINI NASDAQ 100 LONG 288 13512.89 6/10 20:57 13529.11 40.18%
Trade id #135050539
Max drawdown($25,092)
Time5/13/21 0:00
Quant open18
Worst price12914.80
Drawdown as % of equity-40.18%
 $9,070
Includes Typical Broker Commissions trade costs of $270.72
3/12/21 10:31 @MYMM1 MICRO E-MINI DOW LONG 248 33253 5/5 14:49 33304 3.06%
Trade id #134587089
Max drawdown($2,319)
Time3/25/21 0:00
Quant open7
Worst price31951
Drawdown as % of equity-3.06%
 $6,065
Includes Typical Broker Commissions trade costs of $233.12
3/12/21 12:54 @MNQM1 MICRO E-MINI NASDAQ 100 LONG 122 12909.65 4/7 15:52 12945.47 7.25%
Trade id #134590972
Max drawdown($5,382)
Time3/19/21 0:00
Quant open10
Worst price12681.80
Drawdown as % of equity-7.25%
 $8,626
Includes Typical Broker Commissions trade costs of $114.68
12/14/20 11:20 @MESH1 MICRO E-MINI S&P 500 SHORT 612 3855.27 3/18/21 16:48 3859.51 25.36%
Trade id #132799163
Max drawdown($18,373)
Time3/16/21 0:00
Quant open26
Worst price3980.25
Drawdown as % of equity-25.36%
 ($13,556)
Includes Typical Broker Commissions trade costs of $575.28
1/25/21 10:12 @MNQH1 MICRO E-MINI NASDAQ 100 LONG 557 13027.03 3/12 12:53 13026.90 73.04%
Trade id #133572001
Max drawdown($44,264)
Time3/4/21 0:00
Quant open26
Worst price12306.20
Drawdown as % of equity-73.04%
 ($678)
Includes Typical Broker Commissions trade costs of $523.58
1/7/21 2:51 @MYMH1 MICRO E-MINI DOW LONG 122 31068 3/12 10:21 31172 8.05%
Trade id #133235952
Max drawdown($6,091)
Time2/1/21 0:00
Quant open12
Worst price29551
Drawdown as % of equity-8.05%
 $6,240
Includes Typical Broker Commissions trade costs of $114.68
1/8/21 16:04 @MNQH1 MICRO E-MINI NASDAQ 100 LONG 28 13024.57 1/25 10:00 13074.36 1.53%
Trade id #133283652
Max drawdown($1,109)
Time1/12/21 0:00
Quant open3
Worst price12767.00
Drawdown as % of equity-1.53%
 $2,762
Includes Typical Broker Commissions trade costs of $26.32
12/29/20 10:16 @MNQH1 MICRO E-MINI NASDAQ 100 LONG 18 12777.50 1/8/21 16:02 12829.33 1.96%
Trade id #133069177
Max drawdown($1,433)
Time1/6/21 0:00
Quant open3
Worst price12491.20
Drawdown as % of equity-1.96%
 $1,849
Includes Typical Broker Commissions trade costs of $16.92
12/14/20 2:55 @MYMH1 MICRO E-MINI DOW LONG 77 30144 1/7/21 2:51 30245 4.34%
Trade id #132788399
Max drawdown($3,072)
Time12/21/20 0:00
Quant open8
Worst price29318
Drawdown as % of equity-4.34%
 $3,830
Includes Typical Broker Commissions trade costs of $72.38
12/14/20 11:02 @MNQH1 MICRO E-MINI NASDAQ 100 LONG 11 12620.18 12/29 10:15 12725.39 0.7%
Trade id #132798572
Max drawdown($492)
Time12/14/20 21:23
Quant open3
Worst price12423.50
Drawdown as % of equity-0.70%
 $2,305
Includes Typical Broker Commissions trade costs of $10.34
9/16/20 7:34 @MESZ0 MICRO E-MINI S&P 500 SHORT 345 3559.42 12/17 11:52 3562.93 27.54%
Trade id #131196598
Max drawdown($16,719)
Time11/9/20 0:00
Quant open15
Worst price3668.75
Drawdown as % of equity-27.54%
 ($6,385)
Includes Typical Broker Commissions trade costs of $324.30
Next

Statistics

  • Strategy began
    9/6/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1392.36
  • Age
    46 months ago
  • What it trades
    Futures
  • # Trades
    44
  • # Profitable
    29
  • % Profitable
    65.90%
  • Avg trade duration
    44.6 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Feb 23, 2022 - Feb 24, 2022
  • Annual Return (Compounded)
    5.2%
  • Avg win
    $7,108
  • Avg loss
    $11,953
  • Model Account Values (Raw)
  • Cash
    $76,845
  • Margin Used
    $0
  • Buying Power
    $76,845
  • Ratios
  • W:L ratio
    1.15:1
  • Sharpe Ratio
    0.37
  • Sortino Ratio
    0.78
  • Calmar Ratio
    0.364
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -37.83%
  • Correlation to SP500
    0.25100
  • Return Percent SP500 (cumu) during strategy life
    59.34%
  • Return Statistics
  • Ann Return (w trading costs)
    5.2%
  • Slump
  • Current Slump as Pcnt Equity
    85.30%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.63%
  • 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)
    0.052%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    11.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    94.00%
  • Chance of 20% account loss
    91.50%
  • Chance of 30% account loss
    91.00%
  • Chance of 40% account loss
    84.00%
  • Chance of 60% account loss (Monte Carlo)
    65.00%
  • Chance of 70% account loss (Monte Carlo)
    52.50%
  • Chance of 80% account loss (Monte Carlo)
    43.50%
  • Chance of 90% account loss (Monte Carlo)
    21.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    79.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    814
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    614
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $11,954
  • Avg Win
    $7,109
  • Sum Trade PL (losers)
    $179,308.000
  • Age
  • Num Months filled monthly returns table
    46
  • Win / Loss
  • Sum Trade PL (winners)
    $206,157.000
  • # Winners
    29
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    15
  • % Winners
    65.9%
  • Frequency
  • Avg Position Time (mins)
    64230.40
  • Avg Position Time (hrs)
    1070.51
  • Avg Trade Length
    44.6 days
  • Last Trade Ago
    746
  • Leverage
  • Daily leverage (average)
    14.44
  • Daily leverage (max)
    507.30
  • Regression
  • Alpha
    0.07
  • Beta
    1.57
  • Treynor Index
    0.08
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    1.96
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -9.31
  • MAE:Equity, average, winning trades
    0.11
  • MAE:Equity, average, losing trades
    5.30
  • Avg(MAE) / Avg(PL) - All trades
    25.339
  • 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
    1.75
  • Avg(MAE) / Avg(PL) - Winning trades
    0.916
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.729
  • Hold-and-Hope Ratio
    0.039
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37785
  • SD
    0.59383
  • Sharpe ratio (Glass type estimate)
    0.63630
  • Sharpe ratio (Hedges UMVUE)
    0.61529
  • df
    23.00000
  • t
    0.89987
  • p
    0.18876
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.76836
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02745
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78198
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01255
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.93314
  • Upside Potential Ratio
    2.20088
  • Upside part of mean
    0.89119
  • Downside part of mean
    -0.51334
  • Upside SD
    0.43112
  • Downside SD
    0.40492
  • N nonnegative terms
    16.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.19437
  • Mean of criterion
    0.37785
  • SD of predictor
    0.20879
  • SD of criterion
    0.59383
  • Covariance
    0.05012
  • r
    0.40424
  • b (slope, estimate of beta)
    1.14969
  • a (intercept, estimate of alpha)
    0.15438
  • Mean Square Error
    0.30841
  • DF error
    22.00000
  • t(b)
    2.07297
  • p(b)
    0.02505
  • t(a)
    0.37911
  • p(a)
    0.35412
  • Lowerbound of 95% confidence interval for beta
    -0.00050
  • Upperbound of 95% confidence interval for beta
    2.29988
  • Lowerbound of 95% confidence interval for alpha
    -0.69014
  • Upperbound of 95% confidence interval for alpha
    0.99891
  • Treynor index (mean / b)
    0.32865
  • Jensen alpha (a)
    0.15438
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18634
  • SD
    0.65228
  • Sharpe ratio (Glass type estimate)
    0.28567
  • Sharpe ratio (Hedges UMVUE)
    0.27623
  • df
    23.00000
  • t
    0.40399
  • p
    0.34497
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10573
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67096
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11197
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66443
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.35770
  • Upside Potential Ratio
    1.56020
  • Upside part of mean
    0.81274
  • Downside part of mean
    -0.62641
  • Upside SD
    0.37320
  • Downside SD
    0.52092
  • N nonnegative terms
    16.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.17246
  • Mean of criterion
    0.18634
  • SD of predictor
    0.20339
  • SD of criterion
    0.65228
  • Covariance
    0.06046
  • r
    0.45571
  • b (slope, estimate of beta)
    1.46151
  • a (intercept, estimate of alpha)
    -0.06571
  • Mean Square Error
    0.35244
  • DF error
    22.00000
  • t(b)
    2.40127
  • p(b)
    0.01261
  • t(a)
    -0.15187
  • p(a)
    0.55966
  • Lowerbound of 95% confidence interval for beta
    0.19927
  • Upperbound of 95% confidence interval for beta
    2.72375
  • Lowerbound of 95% confidence interval for alpha
    -0.96310
  • Upperbound of 95% confidence interval for alpha
    0.83167
  • Treynor index (mean / b)
    0.12750
  • Jensen alpha (a)
    -0.06571
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.25487
  • Expected Shortfall on VaR
    0.30962
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07185
  • Expected Shortfall on VaR
    0.16723
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.53563
  • Quartile 1
    0.98992
  • Median
    1.05849
  • Quartile 3
    1.11720
  • Maximum
    1.48287
  • Mean of quarter 1
    0.83199
  • Mean of quarter 2
    1.02262
  • Mean of quarter 3
    1.08720
  • Mean of quarter 4
    1.19345
  • Inter Quartile Range
    0.12727
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.08333
  • Mean of outliers low
    0.61642
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.04167
  • Mean of outliers high
    1.48287
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.79823
  • VaR(95%) (moments method)
    0.16671
  • Expected Shortfall (moments method)
    0.90222
  • Extreme Value Index (regression method)
    1.26281
  • VaR(95%) (regression method)
    0.19194
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.04030
  • Quartile 1
    0.07791
  • Median
    0.09878
  • Quartile 3
    0.19643
  • Maximum
    0.46437
  • Mean of quarter 1
    0.04030
  • Mean of quarter 2
    0.09045
  • Mean of quarter 3
    0.10712
  • Mean of quarter 4
    0.46437
  • Inter Quartile Range
    0.11852
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    0.46437
  • 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)
    0.26747
  • Compounded annual return (geometric extrapolation)
    0.23892
  • Calmar ratio (compounded annual return / max draw down)
    0.51451
  • Compounded annual return / average of 25% largest draw downs
    0.51451
  • Compounded annual return / Expected Shortfall lognormal
    0.77167
  • 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
    0.69551
  • SD
    1.09485
  • Sharpe ratio (Glass type estimate)
    0.63526
  • Sharpe ratio (Hedges UMVUE)
    0.63436
  • df
    527.00000
  • t
    0.90182
  • p
    0.18378
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74622
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01614
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.74682
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01553
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.21159
  • Upside Potential Ratio
    6.76858
  • Upside part of mean
    3.88549
  • Downside part of mean
    -3.18998
  • Upside SD
    0.93206
  • Downside SD
    0.57405
  • N nonnegative terms
    255.00000
  • N negative terms
    273.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    528.00000
  • Mean of predictor
    0.23285
  • Mean of criterion
    0.69551
  • SD of predictor
    0.23767
  • SD of criterion
    1.09485
  • Covariance
    0.07198
  • r
    0.27664
  • b (slope, estimate of beta)
    1.27436
  • a (intercept, estimate of alpha)
    0.39900
  • Mean Square Error
    1.10906
  • DF error
    526.00000
  • t(b)
    6.60220
  • p(b)
    0.00000
  • t(a)
    0.53657
  • p(a)
    0.29590
  • Lowerbound of 95% confidence interval for beta
    0.89517
  • Upperbound of 95% confidence interval for beta
    1.65354
  • Lowerbound of 95% confidence interval for alpha
    -1.06123
  • Upperbound of 95% confidence interval for alpha
    1.85879
  • Treynor index (mean / b)
    0.54578
  • Jensen alpha (a)
    0.39878
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18471
  • SD
    0.98398
  • Sharpe ratio (Glass type estimate)
    0.18772
  • Sharpe ratio (Hedges UMVUE)
    0.18745
  • df
    527.00000
  • t
    0.26649
  • p
    0.39498
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.19303
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.56835
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19324
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.56814
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.28902
  • Upside Potential Ratio
    5.57663
  • Upside part of mean
    3.56404
  • Downside part of mean
    -3.37933
  • Upside SD
    0.74703
  • Downside SD
    0.63910
  • N nonnegative terms
    255.00000
  • N negative terms
    273.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    528.00000
  • Mean of predictor
    0.20442
  • Mean of criterion
    0.18471
  • SD of predictor
    0.23855
  • SD of criterion
    0.98398
  • Covariance
    0.06734
  • r
    0.28689
  • b (slope, estimate of beta)
    1.18338
  • a (intercept, estimate of alpha)
    -0.05719
  • Mean Square Error
    0.89021
  • DF error
    526.00000
  • t(b)
    6.86856
  • p(b)
    0.00000
  • t(a)
    -0.08593
  • p(a)
    0.53422
  • Lowerbound of 95% confidence interval for beta
    0.84492
  • Upperbound of 95% confidence interval for beta
    1.52184
  • Lowerbound of 95% confidence interval for alpha
    -1.36468
  • Upperbound of 95% confidence interval for alpha
    1.25030
  • Treynor index (mean / b)
    0.15609
  • Jensen alpha (a)
    -0.05719
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09452
  • Expected Shortfall on VaR
    0.11700
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02790
  • Expected Shortfall on VaR
    0.06139
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    528.00000
  • Minimum
    0.63138
  • Quartile 1
    0.99279
  • Median
    1.00000
  • Quartile 3
    1.01018
  • Maximum
    1.95341
  • Mean of quarter 1
    0.95353
  • Mean of quarter 2
    0.99799
  • Mean of quarter 3
    1.00443
  • Mean of quarter 4
    1.05509
  • Inter Quartile Range
    0.01739
  • Number outliers low
    51.00000
  • Percentage of outliers low
    0.09659
  • Mean of outliers low
    0.90674
  • Number of outliers high
    50.00000
  • Percentage of outliers high
    0.09470
  • Mean of outliers high
    1.11364
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.72572
  • VaR(95%) (moments method)
    0.03824
  • Expected Shortfall (moments method)
    0.15739
  • Extreme Value Index (regression method)
    0.39955
  • VaR(95%) (regression method)
    0.04264
  • Expected Shortfall (regression method)
    0.09227
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    29.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00400
  • Median
    0.01466
  • Quartile 3
    0.08952
  • Maximum
    0.65050
  • Mean of quarter 1
    0.00164
  • Mean of quarter 2
    0.00834
  • Mean of quarter 3
    0.03747
  • Mean of quarter 4
    0.28561
  • Inter Quartile Range
    0.08552
  • 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
    0.06897
  • Mean of outliers high
    0.57700
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.04098
  • VaR(95%) (moments method)
    0.23152
  • Expected Shortfall (moments method)
    0.32864
  • Extreme Value Index (regression method)
    0.32621
  • VaR(95%) (regression method)
    0.32100
  • Expected Shortfall (regression method)
    0.58734
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26544
  • Compounded annual return (geometric extrapolation)
    0.23691
  • Calmar ratio (compounded annual return / max draw down)
    0.36421
  • Compounded annual return / average of 25% largest draw downs
    0.82949
  • Compounded annual return / Expected Shortfall lognormal
    2.02483
  • 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
    -0.11423
  • SD
    0.73698
  • Sharpe ratio (Glass type estimate)
    -0.15499
  • Sharpe ratio (Hedges UMVUE)
    -0.15410
  • df
    130.00000
  • t
    -0.10960
  • p
    0.50481
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.92662
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.61712
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.92597
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.61777
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.22918
  • Upside Potential Ratio
    5.29718
  • Upside part of mean
    2.64014
  • Downside part of mean
    -2.75437
  • Upside SD
    0.53911
  • Downside SD
    0.49840
  • N nonnegative terms
    29.00000
  • N negative terms
    102.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.45703
  • Mean of criterion
    -0.11423
  • SD of predictor
    0.39139
  • SD of criterion
    0.73698
  • Covariance
    0.08847
  • r
    0.30673
  • b (slope, estimate of beta)
    0.57756
  • a (intercept, estimate of alpha)
    -0.37818
  • Mean Square Error
    0.49585
  • DF error
    129.00000
  • t(b)
    3.66017
  • p(b)
    0.30784
  • t(a)
    -0.37877
  • p(a)
    0.52121
  • Lowerbound of 95% confidence interval for beta
    0.26535
  • Upperbound of 95% confidence interval for beta
    0.88975
  • Lowerbound of 95% confidence interval for alpha
    -2.35365
  • Upperbound of 95% confidence interval for alpha
    1.59728
  • Treynor index (mean / b)
    -0.19778
  • Jensen alpha (a)
    -0.37818
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.38049
  • SD
    0.73121
  • Sharpe ratio (Glass type estimate)
    -0.52036
  • Sharpe ratio (Hedges UMVUE)
    -0.51735
  • df
    130.00000
  • t
    -0.36795
  • p
    0.51613
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.29192
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.25314
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.28987
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.25517
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.71911
  • Upside Potential Ratio
    4.74009
  • Upside part of mean
    2.50806
  • Downside part of mean
    -2.88856
  • Upside SD
    0.50118
  • Downside SD
    0.52912
  • N nonnegative terms
    29.00000
  • N negative terms
    102.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.38014
  • Mean of criterion
    -0.38049
  • SD of predictor
    0.39350
  • SD of criterion
    0.73121
  • Covariance
    0.08966
  • r
    0.31159
  • b (slope, estimate of beta)
    0.57900
  • a (intercept, estimate of alpha)
    -0.60059
  • Mean Square Error
    0.48651
  • DF error
    129.00000
  • t(b)
    3.72438
  • p(b)
    0.30490
  • t(a)
    -0.60777
  • p(a)
    0.53400
  • VAR (95 Confidence Intrvl)
    0.09500
  • Lowerbound of 95% confidence interval for beta
    0.27142
  • Upperbound of 95% confidence interval for beta
    0.88659
  • Lowerbound of 95% confidence interval for alpha
    -2.55574
  • Upperbound of 95% confidence interval for alpha
    1.35455
  • Treynor index (mean / b)
    -0.65716
  • Jensen alpha (a)
    -0.60059
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07296
  • Expected Shortfall on VaR
    0.09017
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03143
  • Expected Shortfall on VaR
    0.06604
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.84608
  • Quartile 1
    0.99856
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.20343
  • Mean of quarter 1
    0.95864
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.04010
  • Inter Quartile Range
    0.00144
  • Number outliers low
    29.00000
  • Percentage of outliers low
    0.22137
  • Mean of outliers low
    0.95324
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.21374
  • Mean of outliers high
    1.04725
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.20671
  • VaR(95%) (moments method)
    0.02116
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.25852
  • VaR(95%) (regression method)
    0.03903
  • Expected Shortfall (regression method)
    0.07736
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.02398
  • Quartile 1
    0.03190
  • Median
    0.03982
  • Quartile 3
    0.23778
  • Maximum
    0.43574
  • Mean of quarter 1
    0.02398
  • Mean of quarter 2
    0.03982
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.43574
  • Inter Quartile Range
    0.20588
  • 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?
    -344562000
  • Max Equity Drawdown (num days)
    1
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.32326
  • Compounded annual return (geometric extrapolation)
    -0.29713
  • Calmar ratio (compounded annual return / max draw down)
    -0.68190
  • Compounded annual return / average of 25% largest draw downs
    -0.68190
  • Compounded annual return / Expected Shortfall lognormal
    -3.29534

Strategy Description

Trade emini futures and micro emini futures.
Trade in both directions (long & short).
Manage to make profit from the market's mid-term trending moves and intra-day range moves as well.
Risk management is always #1 priority.

Summary Statistics

Strategy began
2020-09-06
Suggested Minimum Capital
$60,000
# Trades
44
# Profitable
29
% Profitable
65.9%
Correlation S&P500
0.251
Sharpe Ratio
0.37
Sortino Ratio
0.78
Beta
1.57
Alpha
0.07
Leverage
14.44 Average
507.30 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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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.