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This is an archived track record. This track record was archived on 7/2/21 12:21 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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ES NQ Day Trades
(132580781)

Created by: Systematic_Trader Systematic_Trader
Started: 12/2020
Futures
Last trade: 1,022 days ago
Trading style: Futures 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 $149.00 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
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).
-0.1%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(16.4%)
Max Drawdown
150
Num Trades
24.7%
Win Trades
1.3 : 1
Profit Factor
12.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                                             +0.9%+0.9%
2021+4.1%+5.0%(7.5%)+2.3%+9.3%(12.1%)(0.3%)  -    -    -    -    -  (1%)
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 211 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1106 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/1/21 1:25 INN1 SP CNX Nifty Index SHORT 3 15698.50 7/1 1:35 15722.50 0.28%
Trade id #136277652
Max drawdown($141)
Time7/1/21 1:35
Quant open3
Worst price15722.00
Drawdown as % of equity-0.28%
 ($168)
Includes Typical Broker Commissions trade costs of $24.00
6/30/21 1:35 INN1 SP CNX Nifty Index LONG 9 15874.00 6/30 4:15 15835.33 0.95%
Trade id #136260145
Max drawdown($486)
Time6/30/21 2:14
Quant open9
Worst price15847.00
Drawdown as % of equity-0.95%
 ($768)
Includes Typical Broker Commissions trade costs of $72.00
6/29/21 5:20 INN1 SP CNX Nifty Index SHORT 6 15772.25 6/29 5:35 15788.00 0.6%
Trade id #136244379
Max drawdown($309)
Time6/29/21 5:30
Quant open6
Worst price15798.00
Drawdown as % of equity-0.60%
 ($237)
Includes Typical Broker Commissions trade costs of $48.00
6/29/21 0:35 INN1 SP CNX Nifty Index SHORT 6 15775.00 6/29 2:10 15794.25 0.33%
Trade id #136241564
Max drawdown($168)
Time6/29/21 1:45
Quant open6
Worst price15789.00
Drawdown as % of equity-0.33%
 ($279)
Includes Typical Broker Commissions trade costs of $48.00
6/25/21 3:10 INN1 SP CNX Nifty Index LONG 3 15866.50 6/25 5:49 15898.50 0.13%
Trade id #136204210
Max drawdown($66)
Time6/25/21 3:21
Quant open3
Worst price15855.50
Drawdown as % of equity-0.13%
 $168
Includes Typical Broker Commissions trade costs of $24.00
6/24/21 23:50 INN1 SP CNX Nifty Index LONG 3 15859.00 6/25 0:35 15809.50 0.59%
Trade id #136203449
Max drawdown($309)
Time6/25/21 0:00
Quant open3
Worst price15807.50
Drawdown as % of equity-0.59%
 ($321)
Includes Typical Broker Commissions trade costs of $24.00
6/24/21 3:45 INM1 SP CNX Nifty Index LONG 9 15791.17 6/24 5:40 15775.83 1.14%
Trade id #136186248
Max drawdown($597)
Time6/24/21 4:55
Quant open9
Worst price15758.00
Drawdown as % of equity-1.14%
 ($348)
Includes Typical Broker Commissions trade costs of $72.00
6/23/21 5:00 INM1 SP CNX Nifty Index SHORT 5 15709.90 6/24 0:00 15714.50 0.37%
Trade id #136170222
Max drawdown($194)
Time6/23/21 10:26
Quant open2
Worst price15758.50
Drawdown as % of equity-0.37%
 ($86)
Includes Typical Broker Commissions trade costs of $40.00
6/23/21 3:15 INM1 SP CNX Nifty Index SHORT 5 15733.30 6/23 4:20 15752.20 0.3%
Trade id #136169554
Max drawdown($157)
Time6/23/21 4:00
Quant open5
Worst price15749.00
Drawdown as % of equity-0.30%
 ($229)
Includes Typical Broker Commissions trade costs of $40.00
6/21/21 5:40 INM1 SP CNX Nifty Index LONG 6 15785.25 6/22 4:30 15816.00 2.38%
Trade id #136135548
Max drawdown($1,245)
Time6/22/21 0:00
Quant open6
Worst price15681.50
Drawdown as % of equity-2.38%
 $321
Includes Typical Broker Commissions trade costs of $48.00
6/18/21 1:00 INM1 SP CNX Nifty Index SHORT 3 15578.50 6/18 2:35 15565.50 0.19%
Trade id #136106788
Max drawdown($99)
Time6/18/21 1:06
Quant open3
Worst price15595.00
Drawdown as % of equity-0.19%
 $54
Includes Typical Broker Commissions trade costs of $24.00
6/18/21 0:30 INM1 SP CNX Nifty Index SHORT 3 15585.00 6/18 0:35 15634.50 0.64%
Trade id #136106672
Max drawdown($336)
Time6/18/21 0:35
Quant open3
Worst price15641.00
Drawdown as % of equity-0.64%
 ($321)
Includes Typical Broker Commissions trade costs of $24.00
6/17/21 4:45 INM1 SP CNX Nifty Index SHORT 6 15648.50 6/17 5:30 15688.75 0.92%
Trade id #136089906
Max drawdown($492)
Time6/17/21 5:30
Quant open6
Worst price15689.50
Drawdown as % of equity-0.92%
 ($531)
Includes Typical Broker Commissions trade costs of $48.00
6/16/21 23:50 INM1 SP CNX Nifty Index SHORT 6 15690.75 6/17 0:00 15721.50 2.78%
Trade id #136087651
Max drawdown($1,491)
Time6/17/21 0:00
Quant open6
Worst price15815.00
Drawdown as % of equity-2.78%
 ($417)
Includes Typical Broker Commissions trade costs of $48.00
6/16/21 5:50 INM1 SP CNX Nifty Index SHORT 5 15781.40 6/16 5:55 15785.40 0.15%
Trade id #136072679
Max drawdown($81)
Time6/16/21 5:54
Quant open5
Worst price15789.50
Drawdown as % of equity-0.15%
 ($80)
Includes Typical Broker Commissions trade costs of $40.00
6/16/21 0:55 INM1 SP CNX Nifty Index SHORT 6 15821.00 6/16 4:45 15836.00 0.47%
Trade id #136071399
Max drawdown($252)
Time6/16/21 4:41
Quant open6
Worst price15842.00
Drawdown as % of equity-0.47%
 ($228)
Includes Typical Broker Commissions trade costs of $48.00
6/14/21 23:50 INM1 SP CNX Nifty Index LONG 3 15880.00 6/15 3:30 15897.00 1%
Trade id #136055560
Max drawdown($543)
Time6/15/21 0:00
Quant open3
Worst price15789.50
Drawdown as % of equity-1.00%
 $78
Includes Typical Broker Commissions trade costs of $24.00
6/13/21 23:55 INM1 SP CNX Nifty Index SHORT 8 15706.25 6/14 0:45 15736.62 2.68%
Trade id #136040226
Max drawdown($1,452)
Time6/14/21 0:00
Quant open6
Worst price15840.50
Drawdown as % of equity-2.68%
 ($550)
Includes Typical Broker Commissions trade costs of $64.00
6/10/21 5:35 INM1 SP CNX Nifty Index LONG 9 15783.17 6/11 2:45 15812.50 1.77%
Trade id #135997232
Max drawdown($948)
Time6/11/21 0:00
Quant open9
Worst price15730.50
Drawdown as % of equity-1.77%
 $456
Includes Typical Broker Commissions trade costs of $72.00
6/9/21 5:00 INM1 SP CNX Nifty Index SHORT 2 15679.50 6/9 23:50 15694.00 0.39%
Trade id #135975263
Max drawdown($208)
Time6/9/21 22:27
Quant open2
Worst price15731.50
Drawdown as % of equity-0.39%
 ($74)
Includes Typical Broker Commissions trade costs of $16.00
6/9/21 3:45 INM1 SP CNX Nifty Index SHORT 6 15659.25 6/9 4:10 15713.50 1.24%
Trade id #135974916
Max drawdown($681)
Time6/9/21 4:09
Quant open6
Worst price15716.00
Drawdown as % of equity-1.24%
 ($699)
Includes Typical Broker Commissions trade costs of $48.00
6/9/21 2:40 INM1 SP CNX Nifty Index LONG 6 15810.50 6/9 3:40 15761.50 1.42%
Trade id #135974578
Max drawdown($780)
Time6/9/21 3:40
Quant open6
Worst price15745.50
Drawdown as % of equity-1.42%
 ($636)
Includes Typical Broker Commissions trade costs of $48.00
6/7/21 0:50 INM1 SP CNX Nifty Index LONG 9 15762.17 6/7 5:49 15769.67 0.49%
Trade id #135932195
Max drawdown($272)
Time6/7/21 3:20
Quant open6
Worst price15739.50
Drawdown as % of equity-0.49%
 $63
Includes Typical Broker Commissions trade costs of $72.00
6/4/21 0:40 INM1 SP CNX Nifty Index LONG 3 15758.50 6/4 1:05 15727.50 0.43%
Trade id #135901230
Max drawdown($237)
Time6/4/21 1:05
Quant open3
Worst price15719.00
Drawdown as % of equity-0.43%
 ($210)
Includes Typical Broker Commissions trade costs of $24.00
6/2/21 23:50 INM1 SP CNX Nifty Index LONG 9 15695.00 6/3 3:55 15671.17 2.2%
Trade id #135882657
Max drawdown($1,233)
Time6/3/21 0:00
Quant open9
Worst price15626.50
Drawdown as % of equity-2.20%
 ($501)
Includes Typical Broker Commissions trade costs of $72.00
6/1/21 23:55 INM1 SP CNX Nifty Index SHORT 6 15545.25 6/2 5:20 15576.50 1.16%
Trade id #135866832
Max drawdown($654)
Time6/2/21 0:00
Quant open3
Worst price15663.00
Drawdown as % of equity-1.16%
 ($423)
Includes Typical Broker Commissions trade costs of $48.00
5/31/21 0:40 INM1 SP CNX Nifty Index LONG 9 15532.67 6/1 0:50 15589.50 0.44%
Trade id #135838386
Max drawdown($246)
Time5/31/21 0:47
Quant open9
Worst price15519.00
Drawdown as % of equity-0.44%
 $951
Includes Typical Broker Commissions trade costs of $72.00
5/27/21 23:50 INM1 SP CNX Nifty Index LONG 9 15486.50 5/28 1:35 15456.17 2.41%
Trade id #135813175
Max drawdown($1,368)
Time5/28/21 0:00
Quant open9
Worst price15410.50
Drawdown as % of equity-2.41%
 ($618)
Includes Typical Broker Commissions trade costs of $72.00
5/27/21 2:05 INM1 SP CNX Nifty Index LONG 6 15412.50 5/27 4:40 15384.75 0.78%
Trade id #135795559
Max drawdown($444)
Time5/27/21 4:40
Quant open6
Worst price15375.50
Drawdown as % of equity-0.78%
 ($381)
Includes Typical Broker Commissions trade costs of $48.00
5/26/21 1:10 INK1 SP CNX Nifty Index LONG 9 15294.17 5/27 1:25 15313.33 0.7%
Trade id #135775081
Max drawdown($398)
Time5/26/21 21:25
Quant open6
Worst price15261.00
Drawdown as % of equity-0.70%
 $273
Includes Typical Broker Commissions trade costs of $72.00
Next

Statistics

  • Strategy began
    12/1/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1228.31
  • Age
    41 months ago
  • What it trades
    Futures
  • # Trades
    150
  • # Profitable
    37
  • % Profitable
    24.70%
  • Avg trade duration
    13.4 hours
  • Max peak-to-valley drawdown
    16.39%
  • drawdown period
    March 03, 2021 - April 25, 2021
  • Cumul. Return
    -0.1%
  • Avg win
    $1,060
  • Avg loss
    $268.66
  • Model Account Values (Raw)
  • Cash
    $58,899
  • Margin Used
    $0
  • Buying Power
    $58,899
  • Ratios
  • W:L ratio
    1.29:1
  • Sharpe Ratio
    -0.11
  • Sortino Ratio
    -0.19
  • Calmar Ratio
    1.8
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -18.01%
  • Correlation to SP500
    -0.00520
  • Return Percent SP500 (cumu) during strategy life
    37.13%
  • Return Statistics
  • Ann Return (w trading costs)
    -0.1%
  • Slump
  • Current Slump as Pcnt Equity
    14.70%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.93%
  • 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)
    -0.001%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    5.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    20.00%
  • Chance of 20% account loss
    n/a
  • 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
    99.07%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    834
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    421
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $269
  • Avg Win
    $1,061
  • Sum Trade PL (losers)
    $30,359.000
  • Age
  • Num Months filled monthly returns table
    41
  • Win / Loss
  • Sum Trade PL (winners)
    $39,256.000
  • # Winners
    37
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    113
  • % Winners
    24.7%
  • Frequency
  • Avg Position Time (mins)
    801.12
  • Avg Position Time (hrs)
    13.35
  • Avg Trade Length
    0.6 days
  • Last Trade Ago
    1017
  • Leverage
  • Daily leverage (average)
    3.39
  • Daily leverage (max)
    6.57
  • Regression
  • Alpha
    -0.00
  • Beta
    -0.00
  • Treynor Index
    1.04
  • 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)
    -2.08
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    10.417
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.615
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.119
  • Hold-and-Hope Ratio
    0.096
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.44718
  • SD
    0.17831
  • Sharpe ratio (Glass type estimate)
    2.50783
  • Sharpe ratio (Hedges UMVUE)
    2.10846
  • df
    5.00000
  • t
    1.77331
  • p
    0.06818
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.74091
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.57323
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95596
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.17288
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.13021
  • Upside Potential Ratio
    6.54442
  • Upside part of mean
    0.57045
  • Downside part of mean
    -0.12327
  • Upside SD
    0.18858
  • Downside SD
    0.08717
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.26578
  • Mean of criterion
    0.44718
  • SD of predictor
    0.07312
  • SD of criterion
    0.17831
  • Covariance
    -0.00872
  • r
    -0.66911
  • b (slope, estimate of beta)
    -1.63165
  • a (intercept, estimate of alpha)
    0.88085
  • Mean Square Error
    0.02195
  • DF error
    4.00000
  • t(b)
    -1.80071
  • p(b)
    0.92694
  • t(a)
    2.75938
  • p(a)
    0.02544
  • Lowerbound of 95% confidence interval for beta
    -4.14793
  • Upperbound of 95% confidence interval for beta
    0.88463
  • Lowerbound of 95% confidence interval for alpha
    -0.00562
  • Upperbound of 95% confidence interval for alpha
    1.76732
  • Treynor index (mean / b)
    -0.27406
  • Jensen alpha (a)
    0.88085
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42525
  • SD
    0.17716
  • Sharpe ratio (Glass type estimate)
    2.40044
  • Sharpe ratio (Hedges UMVUE)
    2.01816
  • df
    5.00000
  • t
    1.69736
  • p
    0.07519
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81581
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.43751
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02281
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.05914
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.73804
  • Upside Potential Ratio
    6.15226
  • Upside part of mean
    0.55218
  • Downside part of mean
    -0.12693
  • Upside SD
    0.18212
  • Downside SD
    0.08975
  • N nonnegative terms
    5.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.26018
  • Mean of criterion
    0.42525
  • SD of predictor
    0.07080
  • SD of criterion
    0.17716
  • Covariance
    -0.00848
  • r
    -0.67620
  • b (slope, estimate of beta)
    -1.69189
  • a (intercept, estimate of alpha)
    0.86545
  • Mean Square Error
    0.02129
  • DF error
    4.00000
  • t(b)
    -1.83569
  • p(b)
    0.92985
  • t(a)
    2.73557
  • p(a)
    0.02607
  • Lowerbound of 95% confidence interval for beta
    -4.25135
  • Upperbound of 95% confidence interval for beta
    0.86757
  • Lowerbound of 95% confidence interval for alpha
    -0.01310
  • Upperbound of 95% confidence interval for alpha
    1.74400
  • Treynor index (mean / b)
    -0.25134
  • Jensen alpha (a)
    0.86545
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04751
  • Expected Shortfall on VaR
    0.06749
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00953
  • Expected Shortfall on VaR
    0.02616
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.94069
  • Quartile 1
    1.04015
  • Median
    1.05084
  • Quartile 3
    1.06694
  • Maximum
    1.08629
  • Mean of quarter 1
    0.98906
  • Mean of quarter 2
    1.04829
  • Mean of quarter 3
    1.05340
  • Mean of quarter 4
    1.07887
  • Inter Quartile Range
    0.02679
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.16667
  • Mean of outliers low
    0.94069
  • 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
    0.05931
  • Quartile 1
    0.05931
  • Median
    0.05931
  • Quartile 3
    0.05931
  • Maximum
    0.05931
  • 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)
    0.50860
  • Compounded annual return (geometric extrapolation)
    0.57327
  • Calmar ratio (compounded annual return / max draw down)
    9.66609
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    8.49462
  • 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
    0.28152
  • SD
    0.22581
  • Sharpe ratio (Glass type estimate)
    1.24669
  • Sharpe ratio (Hedges UMVUE)
    1.24045
  • df
    150.00000
  • t
    0.94645
  • p
    0.46148
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.34088
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.83028
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.34509
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.82599
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.32754
  • Upside Potential Ratio
    11.58840
  • Upside part of mean
    1.40161
  • Downside part of mean
    -1.12010
  • Upside SD
    0.19059
  • Downside SD
    0.12095
  • N nonnegative terms
    59.00000
  • N negative terms
    92.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    151.00000
  • Mean of predictor
    0.26707
  • Mean of criterion
    0.28152
  • SD of predictor
    0.12951
  • SD of criterion
    0.22581
  • Covariance
    -0.00067
  • r
    -0.02287
  • b (slope, estimate of beta)
    -0.03988
  • a (intercept, estimate of alpha)
    0.16700
  • Mean Square Error
    0.05131
  • DF error
    149.00000
  • t(b)
    -0.27926
  • p(b)
    0.51456
  • t(a)
    0.97133
  • p(a)
    0.44955
  • Lowerbound of 95% confidence interval for beta
    -0.32207
  • Upperbound of 95% confidence interval for beta
    0.24231
  • Lowerbound of 95% confidence interval for alpha
    -0.30220
  • Upperbound of 95% confidence interval for alpha
    0.88653
  • Treynor index (mean / b)
    -7.05900
  • Jensen alpha (a)
    0.29217
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25630
  • SD
    0.22398
  • Sharpe ratio (Glass type estimate)
    1.14433
  • Sharpe ratio (Hedges UMVUE)
    1.13860
  • df
    150.00000
  • t
    0.86874
  • p
    0.46462
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.44252
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.72742
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.44633
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.72354
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.09653
  • Upside Potential Ratio
    11.31850
  • Upside part of mean
    1.38370
  • Downside part of mean
    -1.12740
  • Upside SD
    0.18745
  • Downside SD
    0.12225
  • N nonnegative terms
    59.00000
  • N negative terms
    92.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    151.00000
  • Mean of predictor
    0.25857
  • Mean of criterion
    0.25630
  • SD of predictor
    0.12957
  • SD of criterion
    0.22398
  • Covariance
    -0.00068
  • r
    -0.02338
  • b (slope, estimate of beta)
    -0.04042
  • a (intercept, estimate of alpha)
    0.26676
  • Mean Square Error
    0.05047
  • DF error
    149.00000
  • t(b)
    -0.28546
  • p(b)
    0.51488
  • t(a)
    0.89457
  • p(a)
    0.45351
  • Lowerbound of 95% confidence interval for beta
    -0.32018
  • Upperbound of 95% confidence interval for beta
    0.23935
  • Lowerbound of 95% confidence interval for alpha
    -0.32248
  • Upperbound of 95% confidence interval for alpha
    0.85599
  • Treynor index (mean / b)
    -6.34180
  • Jensen alpha (a)
    0.26676
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02155
  • Expected Shortfall on VaR
    0.02717
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01114
  • Expected Shortfall on VaR
    0.01926
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    151.00000
  • Minimum
    0.95596
  • Quartile 1
    0.99360
  • Median
    0.99823
  • Quartile 3
    1.00550
  • Maximum
    1.05093
  • Mean of quarter 1
    0.98779
  • Mean of quarter 2
    0.99581
  • Mean of quarter 3
    1.00094
  • Mean of quarter 4
    1.02018
  • Inter Quartile Range
    0.01190
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01324
  • Mean of outliers low
    0.96533
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.06623
  • Mean of outliers high
    1.03700
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26312
  • VaR(95%) (moments method)
    0.01333
  • Expected Shortfall (moments method)
    0.02055
  • Extreme Value Index (regression method)
    0.45304
  • VaR(95%) (regression method)
    0.01177
  • Expected Shortfall (regression method)
    0.02034
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00045
  • Quartile 1
    0.00647
  • Median
    0.01326
  • Quartile 3
    0.02833
  • Maximum
    0.10779
  • Mean of quarter 1
    0.00454
  • Mean of quarter 2
    0.01089
  • Mean of quarter 3
    0.02264
  • Mean of quarter 4
    0.07287
  • Inter Quartile Range
    0.02186
  • 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
    0.15385
  • Mean of outliers high
    0.09330
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.03609
  • VaR(95%) (moments method)
    0.06517
  • Expected Shortfall (moments method)
    0.09086
  • Extreme Value Index (regression method)
    0.60289
  • VaR(95%) (regression method)
    0.08784
  • Expected Shortfall (regression method)
    0.22678
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30881
  • Compounded annual return (geometric extrapolation)
    0.32871
  • Calmar ratio (compounded annual return / max draw down)
    3.04963
  • Compounded annual return / average of 25% largest draw downs
    4.51125
  • Compounded annual return / Expected Shortfall lognormal
    12.09620
  • 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
    0.26585
  • SD
    0.23568
  • Sharpe ratio (Glass type estimate)
    1.12801
  • Sharpe ratio (Hedges UMVUE)
    1.12149
  • df
    130.00000
  • t
    0.79763
  • p
    0.46511
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.64924
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.90116
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.65366
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.89665
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.08742
  • Upside Potential Ratio
    11.36970
  • Upside part of mean
    1.44803
  • Downside part of mean
    -1.18218
  • Upside SD
    0.19792
  • Downside SD
    0.12736
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.27395
  • Mean of criterion
    0.26585
  • SD of predictor
    0.13550
  • SD of criterion
    0.23568
  • Covariance
    -0.00099
  • r
    -0.03094
  • b (slope, estimate of beta)
    -0.05381
  • a (intercept, estimate of alpha)
    0.28059
  • Mean Square Error
    0.05592
  • DF error
    129.00000
  • t(b)
    -0.35152
  • p(b)
    0.51969
  • t(a)
    0.83249
  • p(a)
    0.45350
  • Lowerbound of 95% confidence interval for beta
    -0.35665
  • Upperbound of 95% confidence interval for beta
    0.24904
  • Lowerbound of 95% confidence interval for alpha
    -0.38627
  • Upperbound of 95% confidence interval for alpha
    0.94745
  • Treynor index (mean / b)
    -4.94083
  • Jensen alpha (a)
    0.28059
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23845
  • SD
    0.23373
  • Sharpe ratio (Glass type estimate)
    1.02020
  • Sharpe ratio (Hedges UMVUE)
    1.01431
  • df
    130.00000
  • t
    0.72139
  • p
    0.46843
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.75631
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.79285
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.76024
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.78885
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.85183
  • Upside Potential Ratio
    11.09560
  • Upside part of mean
    1.42873
  • Downside part of mean
    -1.19028
  • Upside SD
    0.19455
  • Downside SD
    0.12877
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26467
  • Mean of criterion
    0.23845
  • SD of predictor
    0.13559
  • SD of criterion
    0.23373
  • Covariance
    -0.00100
  • r
    -0.03144
  • b (slope, estimate of beta)
    -0.05420
  • a (intercept, estimate of alpha)
    0.25280
  • Mean Square Error
    0.05500
  • DF error
    129.00000
  • t(b)
    -0.35729
  • p(b)
    0.52001
  • t(a)
    0.75670
  • p(a)
    0.45771
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    -0.35434
  • Upperbound of 95% confidence interval for beta
    0.24594
  • Lowerbound of 95% confidence interval for alpha
    -0.40819
  • Upperbound of 95% confidence interval for alpha
    0.91378
  • Treynor index (mean / b)
    -4.39944
  • Jensen alpha (a)
    0.25280
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02258
  • Expected Shortfall on VaR
    0.02845
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01177
  • Expected Shortfall on VaR
    0.02031
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95596
  • Quartile 1
    0.99330
  • Median
    0.99828
  • Quartile 3
    1.00550
  • Maximum
    1.05093
  • Mean of quarter 1
    0.98705
  • Mean of quarter 2
    0.99558
  • Mean of quarter 3
    1.00099
  • Mean of quarter 4
    1.02087
  • Inter Quartile Range
    0.01220
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.96533
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.03700
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19849
  • VaR(95%) (moments method)
    0.01381
  • Expected Shortfall (moments method)
    0.02030
  • Extreme Value Index (regression method)
    0.44606
  • VaR(95%) (regression method)
    0.01263
  • Expected Shortfall (regression method)
    0.02191
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00045
  • Quartile 1
    0.00661
  • Median
    0.01326
  • Quartile 3
    0.03017
  • Maximum
    0.10779
  • Mean of quarter 1
    0.00390
  • Mean of quarter 2
    0.01089
  • Mean of quarter 3
    0.02179
  • Mean of quarter 4
    0.07287
  • Inter Quartile Range
    0.02356
  • 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
    0.18182
  • Mean of outliers high
    0.09330
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -21.24970
  • VaR(95%) (moments method)
    0.06745
  • Expected Shortfall (moments method)
    0.06745
  • Extreme Value Index (regression method)
    -1.69120
  • VaR(95%) (regression method)
    0.13465
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.13919
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -305473000
  • Max Equity Drawdown (num days)
    53
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28491
  • Compounded annual return (geometric extrapolation)
    0.30520
  • Calmar ratio (compounded annual return / max draw down)
    2.83152
  • Compounded annual return / average of 25% largest draw downs
    4.18861
  • Compounded annual return / Expected Shortfall lognormal
    10.72840

Strategy Description

Trades SGX Indian Nifty futures both long and short. Leverage employed to be around 5 times. Runs 5 different sub strategies - both intra-day and swing - in an attempt to smooth out the equity curve. In addition to being an top performing system by itself, this system would be an excellent choice for your strategy diversification into emerging markets in case you already have some strategies subscribed to. Please note that you need to enable trading permission for Singapore exchange. ( It is possible on IB which is where I trade the system - please check your individual brokerage if they provide trading on SIMEX)

Summary Statistics

Strategy began
2020-12-01
Suggested Minimum Capital
$50,000
# Trades
150
# Profitable
37
% Profitable
24.7%
Correlation S&P500
-0.005
Sharpe Ratio
-0.11
Sortino Ratio
-0.19
Beta
-0.00
Alpha
-0.00
Leverage
3.39 Average
6.57 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.