Collective2 Collective2
Featured Strategy Cryptoverse Followed by live capital $1.80 million Hypothetical

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This is an archived track record. This track record was archived on 9/7/23 10:50 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
(136310103)

Created by: Systematic_Trader Systematic_Trader
Started: 07/2021
Futures
Last trade: 472 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $20.00 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.

20.3%
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.

(22.0%)
Max Drawdown
462
Num Trades
32.3%
Win Trades
1.4 : 1
Profit Factor
33.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                          (2%)+21.6%+7.2%+5.1%+2.9%+4.6%+44.5%
2022(2.9%)(8.9%)+12.0%+5.3%+3.3%(15.7%)+17.6%(1.3%)(0.2%)(0.5%)+3.6%(7%)+0.8%
2023(5.1%)(2.8%)+0.6%(2.3%)+6.1%+6.2%(0.2%)(0.1%)+1.1%  -    -    -  +2.9%
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 482 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 939 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/6/23 9:35 @MESU3 MICRO E-MINI S&P 500 SHORT 10 4486.25 9/6 11:15 4462.75 0.82%
Trade id #145746447
Max drawdown($400)
Time9/6/23 9:45
Quant open10
Worst price4494.25
Drawdown as % of equity-0.82%
 $1,166
Includes Typical Broker Commissions trade costs of $9.40
9/6/23 9:35 @MNQU3 MICRO E-MINI NASDAQ 100 SHORT 10 15473.25 9/6 11:15 15359.25 1.67%
Trade id #145746445
Max drawdown($820)
Time9/6/23 9:45
Quant open10
Worst price15514.20
Drawdown as % of equity-1.67%
 $2,271
Includes Typical Broker Commissions trade costs of $9.40
9/5/23 9:35 @MESU3 MICRO E-MINI S&P 500 SHORT 10 4513.50 9/5 15:59 4503.50 0.72%
Trade id #145735564
Max drawdown($362)
Time9/5/23 11:09
Quant open10
Worst price4520.75
Drawdown as % of equity-0.72%
 $491
Includes Typical Broker Commissions trade costs of $9.40
9/5/23 11:05 @NQU3 E-MINI NASDAQ 100 STK IDX LONG 1 15556.75 9/5 15:59 15537.00 2.15%
Trade id #145737605
Max drawdown($1,075)
Time9/5/23 11:38
Quant open1
Worst price15503.00
Drawdown as % of equity-2.15%
 ($403)
Includes Typical Broker Commissions trade costs of $8.00
9/5/23 9:35 @MNQU3 MICRO E-MINI NASDAQ 100 SHORT 10 15456.25 9/5 10:25 15514.00 2.47%
Trade id #145735560
Max drawdown($1,240)
Time9/5/23 10:25
Quant open10
Worst price15518.20
Drawdown as % of equity-2.47%
 ($1,164)
Includes Typical Broker Commissions trade costs of $9.40
9/4/23 11:00 @MNQU3 MICRO E-MINI NASDAQ 100 SHORT 10 15517.75 9/4 12:45 15530.50 0.65%
Trade id #145729923
Max drawdown($325)
Time9/4/23 12:37
Quant open10
Worst price15534.00
Drawdown as % of equity-0.65%
 ($264)
Includes Typical Broker Commissions trade costs of $9.40
9/4/23 10:30 @MESU3 MICRO E-MINI S&P 500 SHORT 10 4519.25 9/4 12:45 4520.25 0.1%
Trade id #145729803
Max drawdown($50)
Time9/4/23 12:45
Quant open10
Worst price4520.25
Drawdown as % of equity-0.10%
 ($59)
Includes Typical Broker Commissions trade costs of $9.40
9/4/23 9:35 @NQU3 E-MINI NASDAQ 100 STK IDX LONG 1 15570.50 9/4 11:00 15517.25 2.11%
Trade id #145729520
Max drawdown($1,070)
Time9/4/23 11:00
Quant open1
Worst price15517.00
Drawdown as % of equity-2.11%
 ($1,073)
Includes Typical Broker Commissions trade costs of $8.00
9/4/23 9:40 @ESU3 E-MINI S&P 500 LONG 1 4527.25 9/4 10:30 4519.25 0.79%
Trade id #145729551
Max drawdown($412)
Time9/4/23 10:29
Quant open1
Worst price4519.00
Drawdown as % of equity-0.79%
 ($408)
Includes Typical Broker Commissions trade costs of $8.00
6/28/23 21:00 INN3 SP CNX Nifty Index LONG 8 19174.50 6/30 12:00 19269.19 1%
Trade id #145060179
Max drawdown($504)
Time6/30/23 0:00
Quant open8
Worst price19143.00
Drawdown as % of equity-1.00%
 $1,451
Includes Typical Broker Commissions trade costs of $64.00
6/27/23 2:40 INM3 SP CNX Nifty Index LONG 17 18801.62 6/28 21:00 18862.41 1.1%
Trade id #145038352
Max drawdown($533)
Time6/27/23 3:30
Quant open11
Worst price18745.00
Drawdown as % of equity-1.10%
 $1,931
Includes Typical Broker Commissions trade costs of $136.00
6/23/23 5:30 INM3 SP CNX Nifty Index SHORT 3 18713.00 6/23 5:55 18710.50 0.12%
Trade id #145012509
Max drawdown($60)
Time6/23/23 5:40
Quant open3
Worst price18723.00
Drawdown as % of equity-0.12%
 ($9)
Includes Typical Broker Commissions trade costs of $24.00
6/22/23 23:50 INM3 SP CNX Nifty Index SHORT 3 18744.50 6/23 3:10 18767.50 0.37%
Trade id #145011250
Max drawdown($180)
Time6/23/23 3:06
Quant open3
Worst price18774.50
Drawdown as % of equity-0.37%
 ($162)
Includes Typical Broker Commissions trade costs of $24.00
6/22/23 3:25 INM3 SP CNX Nifty Index SHORT 3 18824.50 6/22 3:55 18855.00 0.46%
Trade id #144994686
Max drawdown($225)
Time6/22/23 3:52
Quant open3
Worst price18862.00
Drawdown as % of equity-0.46%
 ($207)
Includes Typical Broker Commissions trade costs of $24.00
6/21/23 0:25 INM3 SP CNX Nifty Index LONG 3 18912.00 6/21 1:10 18866.00 0.55%
Trade id #144976677
Max drawdown($273)
Time6/21/23 1:10
Quant open3
Worst price18866.50
Drawdown as % of equity-0.55%
 ($300)
Includes Typical Broker Commissions trade costs of $24.00
6/20/23 5:55 INM3 SP CNX Nifty Index LONG 3 18886.50 6/20 23:50 18856.00 0.48%
Trade id #144966255
Max drawdown($240)
Time6/20/23 10:31
Quant open3
Worst price18846.50
Drawdown as % of equity-0.48%
 ($207)
Includes Typical Broker Commissions trade costs of $24.00
6/19/23 23:50 INM3 SP CNX Nifty Index SHORT 3 18773.00 6/20 2:05 18773.00 1.41%
Trade id #144964908
Max drawdown($699)
Time6/20/23 0:00
Quant open3
Worst price18889.50
Drawdown as % of equity-1.41%
 ($24)
Includes Typical Broker Commissions trade costs of $24.00
6/19/23 3:50 INM3 SP CNX Nifty Index SHORT 3 18816.00 6/19 5:10 18847.50 0.44%
Trade id #144959663
Max drawdown($219)
Time6/19/23 5:07
Quant open3
Worst price18852.50
Drawdown as % of equity-0.44%
 ($213)
Includes Typical Broker Commissions trade costs of $24.00
6/16/23 3:10 INM3 SP CNX Nifty Index LONG 11 18839.50 6/18 23:55 18902.82 0.36%
Trade id #144940984
Max drawdown($176)
Time6/16/23 3:27
Quant open11
Worst price18831.50
Drawdown as % of equity-0.36%
 $1,305
Includes Typical Broker Commissions trade costs of $88.00
6/15/23 4:45 INM3 SP CNX Nifty Index SHORT 3 18781.00 6/15 5:55 18754.00 0.02%
Trade id #144928150
Max drawdown($12)
Time6/15/23 4:55
Quant open3
Worst price18783.00
Drawdown as % of equity-0.02%
 $138
Includes Typical Broker Commissions trade costs of $24.00
6/15/23 0:50 INM3 SP CNX Nifty Index LONG 11 18880.09 6/15 1:45 18841.32 1.62%
Trade id #144927260
Max drawdown($805)
Time6/15/23 1:38
Quant open11
Worst price18843.50
Drawdown as % of equity-1.62%
 ($941)
Includes Typical Broker Commissions trade costs of $88.00
6/14/23 2:30 INM3 SP CNX Nifty Index LONG 11 18819.95 6/14 23:50 18816.82 1.57%
Trade id #144915438
Max drawdown($783)
Time6/14/23 14:25
Quant open8
Worst price18771.00
Drawdown as % of equity-1.57%
 ($157)
Includes Typical Broker Commissions trade costs of $88.00
6/12/23 4:45 INM3 SP CNX Nifty Index LONG 14 18716.32 6/14 0:10 18728.86 1.56%
Trade id #144894481
Max drawdown($767)
Time6/12/23 4:53
Quant open11
Worst price18672.00
Drawdown as % of equity-1.56%
 $239
Includes Typical Broker Commissions trade costs of $112.00
6/9/23 1:35 INM3 SP CNX Nifty Index SHORT 3 18667.00 6/9 1:55 18695.50 0.39%
Trade id #144878498
Max drawdown($192)
Time6/9/23 1:51
Quant open3
Worst price18699.00
Drawdown as % of equity-0.39%
 ($195)
Includes Typical Broker Commissions trade costs of $24.00
6/8/23 5:20 INM3 SP CNX Nifty Index SHORT 3 18728.50 6/8 5:55 18726.00 0.07%
Trade id #144868673
Max drawdown($36)
Time6/8/23 5:36
Quant open3
Worst price18734.50
Drawdown as % of equity-0.07%
 ($9)
Includes Typical Broker Commissions trade costs of $24.00
6/6/23 23:55 INM3 SP CNX Nifty Index LONG 11 18733.50 6/8 2:15 18802.45 2.63%
Trade id #144855283
Max drawdown($1,265)
Time6/7/23 0:00
Quant open11
Worst price18676.00
Drawdown as % of equity-2.63%
 $1,429
Includes Typical Broker Commissions trade costs of $88.00
6/6/23 1:40 INM3 SP CNX Nifty Index SHORT 3 18630.50 6/6 5:35 18657.00 0.39%
Trade id #144841320
Max drawdown($189)
Time6/6/23 5:33
Quant open3
Worst price18662.00
Drawdown as % of equity-0.39%
 ($183)
Includes Typical Broker Commissions trade costs of $24.00
6/2/23 3:45 INM3 SP CNX Nifty Index LONG 11 18656.00 6/5 23:50 18626.50 1.87%
Trade id #144810398
Max drawdown($913)
Time6/2/23 4:50
Quant open11
Worst price18614.50
Drawdown as % of equity-1.87%
 ($737)
Includes Typical Broker Commissions trade costs of $88.00
6/1/23 5:40 INM3 SP CNX Nifty Index SHORT 3 18569.00 6/1 5:55 18577.50 0.2%
Trade id #144798373
Max drawdown($99)
Time6/1/23 5:54
Quant open3
Worst price18585.50
Drawdown as % of equity-0.20%
 ($75)
Includes Typical Broker Commissions trade costs of $24.00
5/30/23 23:50 INM3 SP CNX Nifty Index SHORT 3 18648.00 5/31 5:20 18634.00 1.28%
Trade id #144786163
Max drawdown($627)
Time5/31/23 0:00
Quant open3
Worst price18752.50
Drawdown as % of equity-1.28%
 $60
Includes Typical Broker Commissions trade costs of $24.00
Next

Statistics

  • Strategy began
    7/2/2021
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1259.23
  • Age
    42 months ago
  • What it trades
    Futures
  • # Trades
    462
  • # Profitable
    149
  • % Profitable
    32.30%
  • Avg trade duration
    8.7 hours
  • Max peak-to-valley drawdown
    22%
  • drawdown period
    May 18, 2022 - May 25, 2023
  • Annual Return (Compounded)
    20.3%
  • Avg win
    $833.77
  • Avg loss
    $288.25
  • Model Account Values (Raw)
  • Cash
    $71,658
  • Margin Used
    $0
  • Buying Power
    $71,658
  • Ratios
  • W:L ratio
    1.38:1
  • Sharpe Ratio
    0.51
  • Sortino Ratio
    1.05
  • Calmar Ratio
    2.356
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    47.30%
  • Correlation to SP500
    0.15390
  • Return Percent SP500 (cumu) during strategy life
    36.27%
  • Return Statistics
  • Ann Return (w trading costs)
    20.3%
  • Slump
  • Current Slump as Pcnt Equity
    9.70%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.75%
  • 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)
    0.203%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    22.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    10.50%
  • Chance of 20% account loss
    1.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    99.05%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    789
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    650
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $288
  • Avg Win
    $834
  • Sum Trade PL (losers)
    $90,223.000
  • Age
  • Num Months filled monthly returns table
    42
  • Win / Loss
  • Sum Trade PL (winners)
    $124,231.000
  • # Winners
    149
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    313
  • % Winners
    32.2%
  • Frequency
  • Avg Position Time (mins)
    519.58
  • Avg Position Time (hrs)
    8.66
  • Avg Trade Length
    0.4 days
  • Last Trade Ago
    463
  • Leverage
  • Daily leverage (average)
    3.75
  • Daily leverage (max)
    16.72
  • Regression
  • Alpha
    0.03
  • Beta
    0.17
  • Treynor Index
    0.18
  • 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)
    -0.34
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    8.140
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.786
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.760
  • Hold-and-Hope Ratio
    0.132
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34658
  • SD
    0.25426
  • Sharpe ratio (Glass type estimate)
    1.36308
  • Sharpe ratio (Hedges UMVUE)
    1.31996
  • df
    24.00000
  • t
    1.96744
  • p
    0.03040
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.06103
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.76103
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08835
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72827
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.92675
  • Upside Potential Ratio
    4.48711
  • Upside part of mean
    0.53135
  • Downside part of mean
    -0.18477
  • Upside SD
    0.24094
  • Downside SD
    0.11842
  • N nonnegative terms
    15.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    -0.00211
  • Mean of criterion
    0.34658
  • SD of predictor
    0.16587
  • SD of criterion
    0.25426
  • Covariance
    0.01768
  • r
    0.41916
  • b (slope, estimate of beta)
    0.64254
  • a (intercept, estimate of alpha)
    0.34794
  • Mean Square Error
    0.05561
  • DF error
    23.00000
  • t(b)
    2.21411
  • p(b)
    0.01850
  • t(a)
    2.12966
  • p(a)
    0.02206
  • Lowerbound of 95% confidence interval for beta
    0.04221
  • Upperbound of 95% confidence interval for beta
    1.24286
  • Lowerbound of 95% confidence interval for alpha
    0.00997
  • Upperbound of 95% confidence interval for alpha
    0.68591
  • Treynor index (mean / b)
    0.53939
  • Jensen alpha (a)
    0.34794
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31177
  • SD
    0.24630
  • Sharpe ratio (Glass type estimate)
    1.26579
  • Sharpe ratio (Hedges UMVUE)
    1.22575
  • df
    24.00000
  • t
    1.82701
  • p
    0.04008
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15032
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.65738
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17573
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62723
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.50754
  • Upside Potential Ratio
    4.05030
  • Upside part of mean
    0.50358
  • Downside part of mean
    -0.19182
  • Upside SD
    0.22557
  • Downside SD
    0.12433
  • N nonnegative terms
    15.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    -0.01535
  • Mean of criterion
    0.31177
  • SD of predictor
    0.16637
  • SD of criterion
    0.24630
  • Covariance
    0.01710
  • r
    0.41734
  • b (slope, estimate of beta)
    0.61784
  • a (intercept, estimate of alpha)
    0.32125
  • Mean Square Error
    0.05228
  • DF error
    23.00000
  • t(b)
    2.20244
  • p(b)
    0.01896
  • t(a)
    2.02725
  • p(a)
    0.02719
  • Lowerbound of 95% confidence interval for beta
    0.03753
  • Upperbound of 95% confidence interval for beta
    1.19814
  • Lowerbound of 95% confidence interval for alpha
    -0.00656
  • Upperbound of 95% confidence interval for alpha
    0.64906
  • Treynor index (mean / b)
    0.50461
  • Jensen alpha (a)
    0.32125
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08696
  • Expected Shortfall on VaR
    0.11338
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03034
  • Expected Shortfall on VaR
    0.06376
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.88033
  • Quartile 1
    0.98584
  • Median
    1.03848
  • Quartile 3
    1.07205
  • Maximum
    1.18495
  • Mean of quarter 1
    0.94949
  • Mean of quarter 2
    1.00830
  • Mean of quarter 3
    1.05730
  • Mean of quarter 4
    1.12337
  • Inter Quartile Range
    0.08622
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21905
  • VaR(95%) (moments method)
    0.04501
  • Expected Shortfall (moments method)
    0.07477
  • Extreme Value Index (regression method)
    0.50004
  • VaR(95%) (regression method)
    0.05363
  • Expected Shortfall (regression method)
    0.12300
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00941
  • Quartile 1
    0.01416
  • Median
    0.07164
  • Quartile 3
    0.11968
  • Maximum
    0.12809
  • Mean of quarter 1
    0.01179
  • Mean of quarter 2
    0.07164
  • Mean of quarter 3
    0.11968
  • Mean of quarter 4
    0.12809
  • Inter Quartile Range
    0.10551
  • 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)
    0.49403
  • Compounded annual return (geometric extrapolation)
    0.40449
  • Calmar ratio (compounded annual return / max draw down)
    3.15786
  • Compounded annual return / average of 25% largest draw downs
    3.15786
  • Compounded annual return / Expected Shortfall lognormal
    3.56763
  • 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
    0.32409
  • SD
    0.20592
  • Sharpe ratio (Glass type estimate)
    1.57384
  • Sharpe ratio (Hedges UMVUE)
    1.57176
  • df
    566.00000
  • t
    2.31527
  • p
    0.01048
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.23771
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.90864
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.23630
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.90722
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.52960
  • Upside Potential Ratio
    12.46920
  • Upside part of mean
    1.14494
  • Downside part of mean
    -0.82084
  • Upside SD
    0.18520
  • Downside SD
    0.09182
  • N nonnegative terms
    190.00000
  • N negative terms
    377.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    567.00000
  • Mean of predictor
    0.00211
  • Mean of criterion
    0.32409
  • SD of predictor
    0.19069
  • SD of criterion
    0.20592
  • Covariance
    0.00716
  • r
    0.18221
  • b (slope, estimate of beta)
    0.19676
  • a (intercept, estimate of alpha)
    0.28200
  • Mean Square Error
    0.04107
  • DF error
    565.00000
  • t(b)
    4.40486
  • p(b)
    0.00001
  • t(a)
    2.34959
  • p(a)
    0.00957
  • Lowerbound of 95% confidence interval for beta
    0.10902
  • Upperbound of 95% confidence interval for beta
    0.28450
  • Lowerbound of 95% confidence interval for alpha
    0.05309
  • Upperbound of 95% confidence interval for alpha
    0.59426
  • Treynor index (mean / b)
    1.64711
  • Jensen alpha (a)
    0.32368
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30320
  • SD
    0.20236
  • Sharpe ratio (Glass type estimate)
    1.49833
  • Sharpe ratio (Hedges UMVUE)
    1.49635
  • df
    566.00000
  • t
    2.20419
  • p
    0.01396
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16255
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.83289
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16118
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.83151
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.27723
  • Upside Potential Ratio
    12.19460
  • Upside part of mean
    1.12821
  • Downside part of mean
    -0.82501
  • Upside SD
    0.18074
  • Downside SD
    0.09252
  • N nonnegative terms
    190.00000
  • N negative terms
    377.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    567.00000
  • Mean of predictor
    -0.01605
  • Mean of criterion
    0.30320
  • SD of predictor
    0.19081
  • SD of criterion
    0.20236
  • Covariance
    0.00704
  • r
    0.18243
  • b (slope, estimate of beta)
    0.19346
  • a (intercept, estimate of alpha)
    0.30630
  • Mean Square Error
    0.03966
  • DF error
    565.00000
  • t(b)
    4.41028
  • p(b)
    0.00001
  • t(a)
    2.26273
  • p(a)
    0.01202
  • Lowerbound of 95% confidence interval for beta
    0.10730
  • Upperbound of 95% confidence interval for beta
    0.27963
  • Lowerbound of 95% confidence interval for alpha
    0.04042
  • Upperbound of 95% confidence interval for alpha
    0.57219
  • Treynor index (mean / b)
    1.56721
  • Jensen alpha (a)
    0.30630
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01922
  • Expected Shortfall on VaR
    0.02432
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00857
  • Expected Shortfall on VaR
    0.01505
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    567.00000
  • Minimum
    0.96798
  • Quartile 1
    0.99534
  • Median
    0.99909
  • Quartile 3
    1.00332
  • Maximum
    1.09939
  • Mean of quarter 1
    0.99035
  • Mean of quarter 2
    0.99751
  • Mean of quarter 3
    1.00044
  • Mean of quarter 4
    1.01707
  • Inter Quartile Range
    0.00798
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.01940
  • Mean of outliers low
    0.97681
  • Number of outliers high
    57.00000
  • Percentage of outliers high
    0.10053
  • Mean of outliers high
    1.02957
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07246
  • VaR(95%) (moments method)
    0.00964
  • Expected Shortfall (moments method)
    0.01318
  • Extreme Value Index (regression method)
    0.10486
  • VaR(95%) (regression method)
    0.00907
  • Expected Shortfall (regression method)
    0.01240
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    30.00000
  • Minimum
    0.00043
  • Quartile 1
    0.01130
  • Median
    0.01584
  • Quartile 3
    0.03187
  • Maximum
    0.15474
  • Mean of quarter 1
    0.00467
  • Mean of quarter 2
    0.01353
  • Mean of quarter 3
    0.02190
  • Mean of quarter 4
    0.07845
  • Inter Quartile Range
    0.02056
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.13333
  • Mean of outliers high
    0.11685
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.15326
  • VaR(95%) (moments method)
    0.07837
  • Expected Shortfall (moments method)
    0.11834
  • Extreme Value Index (regression method)
    0.02897
  • VaR(95%) (regression method)
    0.09603
  • Expected Shortfall (regression method)
    0.13721
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.48397
  • Compounded annual return (geometric extrapolation)
    0.39251
  • Calmar ratio (compounded annual return / max draw down)
    2.53660
  • Compounded annual return / average of 25% largest draw downs
    5.00332
  • Compounded annual return / Expected Shortfall lognormal
    16.14010
  • 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
    0.19753
  • SD
    0.15126
  • Sharpe ratio (Glass type estimate)
    1.30590
  • Sharpe ratio (Hedges UMVUE)
    1.29835
  • df
    130.00000
  • t
    0.92341
  • p
    0.45964
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47287
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.07983
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47795
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07464
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.82042
  • Upside Potential Ratio
    11.07820
  • Upside part of mean
    0.77587
  • Downside part of mean
    -0.57834
  • Upside SD
    0.13397
  • Downside SD
    0.07004
  • N nonnegative terms
    33.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20402
  • Mean of criterion
    0.19753
  • SD of predictor
    0.12441
  • SD of criterion
    0.15126
  • Covariance
    0.00209
  • r
    0.11121
  • b (slope, estimate of beta)
    0.13521
  • a (intercept, estimate of alpha)
    0.16995
  • Mean Square Error
    0.02277
  • DF error
    129.00000
  • t(b)
    1.27094
  • p(b)
    0.42935
  • t(a)
    0.79224
  • p(a)
    0.45574
  • Lowerbound of 95% confidence interval for beta
    -0.07528
  • Upperbound of 95% confidence interval for beta
    0.34569
  • Lowerbound of 95% confidence interval for alpha
    -0.25447
  • Upperbound of 95% confidence interval for alpha
    0.59436
  • Treynor index (mean / b)
    1.46095
  • Jensen alpha (a)
    0.16995
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18627
  • SD
    0.14950
  • Sharpe ratio (Glass type estimate)
    1.24591
  • Sharpe ratio (Hedges UMVUE)
    1.23871
  • df
    130.00000
  • t
    0.88099
  • p
    0.46148
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53233
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.01956
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.53718
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01460
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.64387
  • Upside Potential Ratio
    10.88710
  • Upside part of mean
    0.76702
  • Downside part of mean
    -0.58075
  • Upside SD
    0.13172
  • Downside SD
    0.07045
  • N nonnegative terms
    33.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19626
  • Mean of criterion
    0.18627
  • SD of predictor
    0.12426
  • SD of criterion
    0.14950
  • Covariance
    0.00203
  • r
    0.10905
  • b (slope, estimate of beta)
    0.13120
  • a (intercept, estimate of alpha)
    0.16052
  • Mean Square Error
    0.02226
  • DF error
    129.00000
  • t(b)
    1.24600
  • p(b)
    0.43071
  • t(a)
    0.75719
  • p(a)
    0.45768
  • VAR (95 Confidence Intrvl)
    0.01900
  • Lowerbound of 95% confidence interval for beta
    -0.07713
  • Upperbound of 95% confidence interval for beta
    0.33953
  • Lowerbound of 95% confidence interval for alpha
    -0.25891
  • Upperbound of 95% confidence interval for alpha
    0.57994
  • Treynor index (mean / b)
    1.41970
  • Jensen alpha (a)
    0.16052
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01438
  • Expected Shortfall on VaR
    0.01817
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00646
  • Expected Shortfall on VaR
    0.01176
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97806
  • Quartile 1
    0.99653
  • Median
    1.00000
  • Quartile 3
    1.00008
  • Maximum
    1.05805
  • Mean of quarter 1
    0.99251
  • Mean of quarter 2
    0.99904
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01186
  • Inter Quartile Range
    0.00355
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.98590
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.15267
  • Mean of outliers high
    1.01811
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.11597
  • VaR(95%) (moments method)
    0.00750
  • Expected Shortfall (moments method)
    0.00942
  • Extreme Value Index (regression method)
    0.21325
  • VaR(95%) (regression method)
    0.00791
  • Expected Shortfall (regression method)
    0.01179
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00012
  • Quartile 1
    0.01336
  • Median
    0.01551
  • Quartile 3
    0.02162
  • Maximum
    0.05554
  • Mean of quarter 1
    0.00653
  • Mean of quarter 2
    0.01465
  • Mean of quarter 3
    0.01643
  • Mean of quarter 4
    0.04117
  • Inter Quartile Range
    0.00825
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.00012
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.05554
  • 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?
    -357297000
  • Max Equity Drawdown (num days)
    372
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22606
  • Compounded annual return (geometric extrapolation)
    0.23884
  • Calmar ratio (compounded annual return / max draw down)
    4.30011
  • Compounded annual return / average of 25% largest draw downs
    5.80056
  • Compounded annual return / Expected Shortfall lognormal
    13.14610

Strategy Description

Update mid 2023 - System can not trade Nifty Index Futures as this is not available on SGX anymore. Will be reset for making space for a new system. Stay Tuned!

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)

Note that C2 has an outage with IB for approx 1 hour from midnight EST, which is an active hour for the Indian Market. System dynamics are affected during this hour. I have addressed this here - https://forums.collective2.com/t/trading-during-0000-0108-est/15205

update : system rescaled by 70% on 11/04/2022. Nevertheless, trading will happen with same number of contracts. (max 9 nifty contracts at any given time)

Summary Statistics

Strategy began
2021-07-02
Suggested Minimum Capital
$50,000
# Trades
462
# Profitable
149
% Profitable
32.3%
Correlation S&P500
0.154
Sharpe Ratio
0.51
Sortino Ratio
1.05
Beta
0.17
Alpha
0.03
Leverage
3.75 Average
16.72 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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