Collective2 Collective2
Featured Strategy S2Prox0 Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
Watchlist Watchlist
These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast Share System Watchlist Watchlist More...

MoMo Tracker
(136596860)

Created by: FuturesPro FuturesPro
Started: 07/2021
Futures
Last trade: 682 days ago
Subscriptions not currently available.

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 $595.00 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.

-6.7%
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.

(48.8%)
Max Drawdown
100
Num Trades
98.0%
Win Trades
0.8 : 1
Profit Factor
20.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                          (0.3%)+5.1%(2%)+17.4%+5.6%+4.5%+33.1%
2022+6.7%+4.6%+7.8%(29%)(3.1%)(25.3%)  -    -    -    -    -    -  (38.1%)
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 122 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/5/22 10:44 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 66 13931.82 6/13 10:49 12452.78 67.65%
Trade id #140030799
Max drawdown($144,526)
Time6/13/22 10:43
Quant open28
Worst price11351.00
Drawdown as % of equity-67.65%
 ($195,294)
Includes Typical Broker Commissions trade costs of $62.04
4/4/22 14:34 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 12 15124.59 4/4 19:38 15160.75 0.06%
Trade id #140022204
Max drawdown($242)
Time4/4/22 15:03
Quant open12
Worst price15114.50
Drawdown as % of equity-0.06%
 $857
Includes Typical Broker Commissions trade costs of $11.28
4/1/22 9:55 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 12 14820.96 4/1 10:14 14873.00 0.09%
Trade id #139991019
Max drawdown($359)
Time4/1/22 10:04
Quant open12
Worst price14806.00
Drawdown as % of equity-0.09%
 $1,238
Includes Typical Broker Commissions trade costs of $11.28
3/31/22 9:57 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 12 15007.90 3/31 10:46 15060.00 0.25%
Trade id #139978550
Max drawdown($1,005)
Time3/31/22 10:03
Quant open12
Worst price14966.00
Drawdown as % of equity-0.25%
 $1,239
Includes Typical Broker Commissions trade costs of $11.28
3/30/22 9:47 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 26 15132.03 3/30 20:40 15160.00 1.56%
Trade id #139964720
Max drawdown($6,241)
Time3/30/22 15:24
Quant open26
Worst price15012.00
Drawdown as % of equity-1.56%
 $1,430
Includes Typical Broker Commissions trade costs of $24.44
3/29/22 10:17 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 12 15071.22 3/29 10:51 15127.53 0.22%
Trade id #139954040
Max drawdown($893)
Time3/29/22 10:42
Quant open12
Worst price15034.00
Drawdown as % of equity-0.22%
 $1,340
Includes Typical Broker Commissions trade costs of $11.28
3/28/22 13:11 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 12 14797.05 3/28 13:34 14840.00 0.05%
Trade id #139943896
Max drawdown($211)
Time3/28/22 13:14
Quant open12
Worst price14788.20
Drawdown as % of equity-0.05%
 $1,020
Includes Typical Broker Commissions trade costs of $11.28
3/25/22 11:37 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 12 14603.68 3/25 12:51 14660.00 0.13%
Trade id #139921672
Max drawdown($508)
Time3/25/22 11:58
Quant open12
Worst price14582.50
Drawdown as % of equity-0.13%
 $1,341
Includes Typical Broker Commissions trade costs of $11.28
3/23/22 10:31 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 14 14576.26 3/23 11:24 14632.00 0.34%
Trade id #139888528
Max drawdown($1,358)
Time3/23/22 10:47
Quant open14
Worst price14527.80
Drawdown as % of equity-0.34%
 $1,548
Includes Typical Broker Commissions trade costs of $13.16
3/22/22 14:25 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 14 14626.75 3/22 15:09 14667.75 0.26%
Trade id #139878047
Max drawdown($1,022)
Time3/22/22 14:31
Quant open14
Worst price14590.20
Drawdown as % of equity-0.26%
 $1,135
Includes Typical Broker Commissions trade costs of $13.16
3/21/22 9:38 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 24 14362.32 3/21 11:18 14405.50 1.66%
Trade id #139854424
Max drawdown($6,447)
Time3/21/22 10:28
Quant open24
Worst price14228.00
Drawdown as % of equity-1.66%
 $2,050
Includes Typical Broker Commissions trade costs of $22.56
3/18/22 14:55 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 19 14328.32 3/18 15:19 14361.06 0.02%
Trade id #139838780
Max drawdown($97)
Time3/18/22 15:00
Quant open12
Worst price14324.20
Drawdown as % of equity-0.02%
 $1,226
Includes Typical Broker Commissions trade costs of $17.86
3/17/22 11:08 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 12 13894.37 3/17 12:21 13956.00 0.17%
Trade id #139820274
Max drawdown($662)
Time3/17/22 11:14
Quant open12
Worst price13866.80
Drawdown as % of equity-0.17%
 $1,468
Includes Typical Broker Commissions trade costs of $11.28
3/11/22 10:27 @MNQH2 MICRO E-MINI NASDAQ 100 LONG 34 13389.15 3/15 15:22 13439.00 8.38%
Trade id #139750766
Max drawdown($30,338)
Time3/15/22 5:08
Quant open34
Worst price12943.00
Drawdown as % of equity-8.38%
 $3,358
Includes Typical Broker Commissions trade costs of $31.96
3/10/22 13:12 @MNQH2 MICRO E-MINI NASDAQ 100 LONG 12 13452.50 3/10 13:49 13523.00 0.13%
Trade id #139737782
Max drawdown($504)
Time3/10/22 13:15
Quant open12
Worst price13431.50
Drawdown as % of equity-0.13%
 $1,681
Includes Typical Broker Commissions trade costs of $11.28
3/9/22 15:59 @MNQH2 MICRO E-MINI NASDAQ 100 LONG 12 13725.75 3/9 16:40 13785.00 0.06%
Trade id #139722861
Max drawdown($234)
Time3/9/22 16:13
Quant open12
Worst price13716.00
Drawdown as % of equity-0.06%
 $1,411
Includes Typical Broker Commissions trade costs of $11.28
3/7/22 10:25 @MNQH2 MICRO E-MINI NASDAQ 100 LONG 30 13423.74 3/8 12:16 13470.00 5.19%
Trade id #139677381
Max drawdown($19,064)
Time3/8/22 1:36
Quant open30
Worst price13106.00
Drawdown as % of equity-5.19%
 $2,748
Includes Typical Broker Commissions trade costs of $28.20
3/4/22 10:37 @MNQH2 MICRO E-MINI NASDAQ 100 LONG 18 13839.67 3/4 13:00 13895.00 1.01%
Trade id #139649002
Max drawdown($3,822)
Time3/4/22 11:13
Quant open18
Worst price13733.50
Drawdown as % of equity-1.01%
 $1,975
Includes Typical Broker Commissions trade costs of $16.92
3/3/22 10:29 @MNQH2 MICRO E-MINI NASDAQ 100 LONG 21 14123.64 3/3 12:34 14175.00 1.02%
Trade id #139629415
Max drawdown($3,859)
Time3/3/22 11:16
Quant open21
Worst price14031.80
Drawdown as % of equity-1.02%
 $2,137
Includes Typical Broker Commissions trade costs of $19.74
3/2/22 11:02 @MNQH2 MICRO E-MINI NASDAQ 100 LONG 12 14047.50 3/2 11:04 14120.00 n/a $1,729
Includes Typical Broker Commissions trade costs of $11.28
3/1/22 13:01 @MNQH2 MICRO E-MINI NASDAQ 100 LONG 20 14039.88 3/1 19:25 14060.00 1.48%
Trade id #139596647
Max drawdown($5,506)
Time3/1/22 15:50
Quant open16
Worst price13900.00
Drawdown as % of equity-1.48%
 $786
Includes Typical Broker Commissions trade costs of $18.80
2/28/22 12:49 @MNQH2 MICRO E-MINI NASDAQ 100 LONG 12 14091.75 2/28 13:12 14180.00 0.16%
Trade id #139576680
Max drawdown($588)
Time2/28/22 12:53
Quant open12
Worst price14067.20
Drawdown as % of equity-0.16%
 $2,107
Includes Typical Broker Commissions trade costs of $11.28
2/25/22 10:03 @MNQH2 MICRO E-MINI NASDAQ 100 LONG 12 13850.00 2/25 10:08 13925.00 n/a $1,789
Includes Typical Broker Commissions trade costs of $11.28
2/24/22 13:59 @MNQH2 MICRO E-MINI NASDAQ 100 LONG 16 13603.19 2/24 14:15 13650.00 0.39%
Trade id #139535032
Max drawdown($1,446)
Time2/24/22 14:09
Quant open16
Worst price13558.00
Drawdown as % of equity-0.39%
 $1,483
Includes Typical Broker Commissions trade costs of $15.04
2/24/22 13:32 @MNQH2 MICRO E-MINI NASDAQ 100 LONG 12 13509.75 2/24 13:37 13571.75 0.01%
Trade id #139534318
Max drawdown($54)
Time2/24/22 13:35
Quant open12
Worst price13507.50
Drawdown as % of equity-0.01%
 $1,477
Includes Typical Broker Commissions trade costs of $11.28
2/23/22 11:35 @MNQH2 MICRO E-MINI NASDAQ 100 LONG 12 13760.25 2/23 11:56 13830.00 0.11%
Trade id #139508392
Max drawdown($402)
Time2/23/22 11:45
Quant open12
Worst price13743.50
Drawdown as % of equity-0.11%
 $1,663
Includes Typical Broker Commissions trade costs of $11.28
2/22/22 11:24 @MNQH2 MICRO E-MINI NASDAQ 100 LONG 22 13844.68 2/22 14:55 13935.25 1.53%
Trade id #139490808
Max drawdown($5,566)
Time2/22/22 14:11
Quant open18
Worst price13710.50
Drawdown as % of equity-1.53%
 $3,964
Includes Typical Broker Commissions trade costs of $20.68
2/18/22 13:26 @MNQH2 MICRO E-MINI NASDAQ 100 LONG 10 13934.55 2/18 13:50 13991.50 0.06%
Trade id #139455460
Max drawdown($211)
Time2/18/22 13:29
Quant open10
Worst price13924.00
Drawdown as % of equity-0.06%
 $1,130
Includes Typical Broker Commissions trade costs of $9.40
2/16/22 10:06 @MNQH2 MICRO E-MINI NASDAQ 100 LONG 18 14419.96 2/16 14:00 14490.25 0.35%
Trade id #139415776
Max drawdown($1,258)
Time2/16/22 12:34
Quant open18
Worst price14385.00
Drawdown as % of equity-0.35%
 $2,514
Includes Typical Broker Commissions trade costs of $16.92
2/9/22 10:58 @MNQH2 MICRO E-MINI NASDAQ 100 LONG 20 14593.62 2/15 15:52 14614.00 5.23%
Trade id #139320759
Max drawdown($18,035)
Time2/14/22 0:00
Quant open10
Worst price14030.80
Drawdown as % of equity-5.23%
 $796
Includes Typical Broker Commissions trade costs of $18.80
Next

Statistics

  • Strategy began
    7/20/2021
  • Suggested Minimum Cap
    $250,000
  • Strategy Age (days)
    1008.22
  • Age
    34 months ago
  • What it trades
    Futures
  • # Trades
    100
  • # Profitable
    98
  • % Profitable
    98.00%
  • Avg trade duration
    1.7 days
  • Max peak-to-valley drawdown
    48.81%
  • drawdown period
    April 04, 2022 - June 13, 2022
  • Annual Return (Compounded)
    -6.7%
  • Avg win
    $1,674
  • Avg loss
    $99,568
  • Model Account Values (Raw)
  • Cash
    $214,915
  • Margin Used
    $0
  • Buying Power
    $214,915
  • Ratios
  • W:L ratio
    0.82:1
  • Sharpe Ratio
    -0.24
  • Sortino Ratio
    -0.32
  • Calmar Ratio
    -0.255
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -34.85%
  • Correlation to SP500
    0.37940
  • Return Percent SP500 (cumu) during strategy life
    16.44%
  • Return Statistics
  • Ann Return (w trading costs)
    -6.7%
  • Slump
  • Current Slump as Pcnt Equity
    95.40%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.74%
  • 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)
    -0.067%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -5.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    88.00%
  • Chance of 30% account loss
    58.50%
  • Chance of 40% account loss
    27.00%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    6.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $99,568
  • Avg Win
    $1,674
  • Sum Trade PL (losers)
    $199,136.000
  • Age
  • Num Months filled monthly returns table
    34
  • Win / Loss
  • Sum Trade PL (winners)
    $164,063.000
  • # Winners
    98
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    2
  • % Winners
    98.0%
  • Frequency
  • Avg Position Time (mins)
    2505.37
  • Avg Position Time (hrs)
    41.76
  • Avg Trade Length
    1.7 days
  • Last Trade Ago
    680
  • Leverage
  • Daily leverage (average)
    2.64
  • Daily leverage (max)
    7.32
  • Regression
  • Alpha
    -0.02
  • Beta
    0.50
  • Treynor Index
    -0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.40
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.37
  • Avg(MAE) / Avg(PL) - All trades
    -16.622
  • 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
    0.68
  • Avg(MAE) / Avg(PL) - Winning trades
    3.405
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.833
  • Hold-and-Hope Ratio
    -0.060
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07806
  • SD
    0.39462
  • Sharpe ratio (Glass type estimate)
    -0.19781
  • Sharpe ratio (Hedges UMVUE)
    -0.18614
  • df
    13.00000
  • t
    -0.21366
  • p
    0.53764
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.01023
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62204
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.00212
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62985
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.24772
  • Upside Potential Ratio
    1.29189
  • Upside part of mean
    0.40708
  • Downside part of mean
    -0.48514
  • Upside SD
    0.21405
  • Downside SD
    0.31511
  • N nonnegative terms
    8.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.13055
  • Mean of criterion
    -0.07806
  • SD of predictor
    0.21362
  • SD of criterion
    0.39462
  • Covariance
    0.04382
  • r
    0.51988
  • b (slope, estimate of beta)
    0.96039
  • a (intercept, estimate of alpha)
    -0.20344
  • Mean Square Error
    0.12311
  • DF error
    12.00000
  • t(b)
    2.10823
  • p(b)
    0.24006
  • t(a)
    -0.61603
  • p(a)
    0.58754
  • Lowerbound of 95% confidence interval for beta
    -0.03215
  • Upperbound of 95% confidence interval for beta
    1.95293
  • Lowerbound of 95% confidence interval for alpha
    -0.92296
  • Upperbound of 95% confidence interval for alpha
    0.51609
  • Treynor index (mean / b)
    -0.08128
  • Jensen alpha (a)
    -0.20344
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.15752
  • SD
    0.42301
  • Sharpe ratio (Glass type estimate)
    -0.37239
  • Sharpe ratio (Hedges UMVUE)
    -0.35041
  • df
    13.00000
  • t
    -0.40223
  • p
    0.57044
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.18545
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.45473
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.16998
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.46915
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.44038
  • Upside Potential Ratio
    1.07675
  • Upside part of mean
    0.38516
  • Downside part of mean
    -0.54268
  • Upside SD
    0.20068
  • Downside SD
    0.35770
  • N nonnegative terms
    8.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.10880
  • Mean of criterion
    -0.15752
  • SD of predictor
    0.21174
  • SD of criterion
    0.42301
  • Covariance
    0.05106
  • r
    0.57010
  • b (slope, estimate of beta)
    1.13892
  • a (intercept, estimate of alpha)
    -0.28143
  • Mean Square Error
    0.13084
  • DF error
    12.00000
  • t(b)
    2.40381
  • p(b)
    0.21495
  • t(a)
    -0.83059
  • p(a)
    0.61658
  • Lowerbound of 95% confidence interval for beta
    0.10660
  • Upperbound of 95% confidence interval for beta
    2.17123
  • Lowerbound of 95% confidence interval for alpha
    -1.01968
  • Upperbound of 95% confidence interval for alpha
    0.45682
  • Treynor index (mean / b)
    -0.13831
  • Jensen alpha (a)
    -0.28143
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19264
  • Expected Shortfall on VaR
    0.23203
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08337
  • Expected Shortfall on VaR
    0.17423
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.72794
  • Quartile 1
    1.00000
  • Median
    1.00286
  • Quartile 3
    1.05549
  • Maximum
    1.17278
  • Mean of quarter 1
    0.86199
  • Mean of quarter 2
    1.00094
  • Mean of quarter 3
    1.02039
  • Mean of quarter 4
    1.10739
  • Inter Quartile Range
    0.05549
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.21429
  • Mean of outliers low
    0.81599
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    1.17278
  • 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)
    -0.61531
  • VaR(95%) (regression method)
    0.15917
  • Expected Shortfall (regression method)
    0.19283
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.46161
  • Quartile 1
    0.46161
  • Median
    0.46161
  • Quartile 3
    0.46161
  • Maximum
    0.46161
  • 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)
    -0.12029
  • Compounded annual return (geometric extrapolation)
    -0.12157
  • Calmar ratio (compounded annual return / max draw down)
    -0.26336
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.52394
  • 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
    -0.09238
  • SD
    0.35948
  • Sharpe ratio (Glass type estimate)
    -0.25697
  • Sharpe ratio (Hedges UMVUE)
    -0.25633
  • df
    305.00000
  • t
    -0.27771
  • p
    0.60929
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.07046
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.55694
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.07003
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55736
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.34628
  • Upside Potential Ratio
    5.74494
  • Upside part of mean
    1.53253
  • Downside part of mean
    -1.62491
  • Upside SD
    0.24016
  • Downside SD
    0.26676
  • N nonnegative terms
    128.00000
  • N negative terms
    178.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    306.00000
  • Mean of predictor
    0.14139
  • Mean of criterion
    -0.09238
  • SD of predictor
    0.25653
  • SD of criterion
    0.35948
  • Covariance
    0.03709
  • r
    0.40219
  • b (slope, estimate of beta)
    0.56360
  • a (intercept, estimate of alpha)
    -0.17200
  • Mean Square Error
    0.10868
  • DF error
    304.00000
  • t(b)
    7.65908
  • p(b)
    0.00000
  • t(a)
    -0.56373
  • p(a)
    0.71332
  • Lowerbound of 95% confidence interval for beta
    0.41880
  • Upperbound of 95% confidence interval for beta
    0.70841
  • Lowerbound of 95% confidence interval for alpha
    -0.77268
  • Upperbound of 95% confidence interval for alpha
    0.42855
  • Treynor index (mean / b)
    -0.16390
  • Jensen alpha (a)
    -0.17206
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.15738
  • SD
    0.36206
  • Sharpe ratio (Glass type estimate)
    -0.43469
  • Sharpe ratio (Hedges UMVUE)
    -0.43362
  • df
    305.00000
  • t
    -0.46977
  • p
    0.68057
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.24829
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.37954
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.24753
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.38029
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.57039
  • Upside Potential Ratio
    5.45296
  • Upside part of mean
    1.50456
  • Downside part of mean
    -1.66194
  • Upside SD
    0.23371
  • Downside SD
    0.27592
  • N nonnegative terms
    128.00000
  • N negative terms
    178.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    306.00000
  • Mean of predictor
    0.10865
  • Mean of criterion
    -0.15738
  • SD of predictor
    0.25605
  • SD of criterion
    0.36206
  • Covariance
    0.03762
  • r
    0.40577
  • b (slope, estimate of beta)
    0.57377
  • a (intercept, estimate of alpha)
    -0.21972
  • Mean Square Error
    0.10986
  • DF error
    304.00000
  • t(b)
    7.74080
  • p(b)
    0.00000
  • t(a)
    -0.71615
  • p(a)
    0.76278
  • Lowerbound of 95% confidence interval for beta
    0.42791
  • Upperbound of 95% confidence interval for beta
    0.71963
  • Lowerbound of 95% confidence interval for alpha
    -0.82345
  • Upperbound of 95% confidence interval for alpha
    0.38401
  • Treynor index (mean / b)
    -0.27429
  • Jensen alpha (a)
    -0.21972
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03670
  • Expected Shortfall on VaR
    0.04563
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01545
  • Expected Shortfall on VaR
    0.03273
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    306.00000
  • Minimum
    0.87594
  • Quartile 1
    0.99657
  • Median
    1.00000
  • Quartile 3
    1.00416
  • Maximum
    1.10778
  • Mean of quarter 1
    0.97573
  • Mean of quarter 2
    0.99986
  • Mean of quarter 3
    1.00141
  • Mean of quarter 4
    1.02203
  • Inter Quartile Range
    0.00758
  • Number outliers low
    41.00000
  • Percentage of outliers low
    0.13399
  • Mean of outliers low
    0.96187
  • Number of outliers high
    41.00000
  • Percentage of outliers high
    0.13399
  • Mean of outliers high
    1.03545
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40668
  • VaR(95%) (moments method)
    0.01589
  • Expected Shortfall (moments method)
    0.03371
  • Extreme Value Index (regression method)
    0.23510
  • VaR(95%) (regression method)
    0.02063
  • Expected Shortfall (regression method)
    0.03738
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00081
  • Quartile 1
    0.00399
  • Median
    0.02279
  • Quartile 3
    0.04757
  • Maximum
    0.47569
  • Mean of quarter 1
    0.00213
  • Mean of quarter 2
    0.01205
  • Mean of quarter 3
    0.03834
  • Mean of quarter 4
    0.14788
  • Inter Quartile Range
    0.04358
  • 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
    0.08333
  • Mean of outliers high
    0.31090
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.70791
  • VaR(95%) (moments method)
    0.15924
  • Expected Shortfall (moments method)
    0.56783
  • Extreme Value Index (regression method)
    1.43626
  • VaR(95%) (regression method)
    0.16910
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.12016
  • Compounded annual return (geometric extrapolation)
    -0.12144
  • Calmar ratio (compounded annual return / max draw down)
    -0.25530
  • Compounded annual return / average of 25% largest draw downs
    -0.82123
  • Compounded annual return / Expected Shortfall lognormal
    -2.66142
  • 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
    -1.18531
  • SD
    0.39078
  • Sharpe ratio (Glass type estimate)
    -3.03315
  • Sharpe ratio (Hedges UMVUE)
    -3.01561
  • df
    130.00000
  • t
    -2.14476
  • p
    0.59243
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.82365
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.23133
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.81155
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21968
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.41736
  • Upside Potential Ratio
    2.86460
  • Upside part of mean
    0.99358
  • Downside part of mean
    -2.17889
  • Upside SD
    0.19133
  • Downside SD
    0.34685
  • N nonnegative terms
    28.00000
  • N negative terms
    103.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26460
  • Mean of criterion
    -1.18531
  • SD of predictor
    0.34481
  • SD of criterion
    0.39078
  • Covariance
    0.05433
  • r
    0.40319
  • b (slope, estimate of beta)
    0.45695
  • a (intercept, estimate of alpha)
    -1.30621
  • Mean Square Error
    0.12888
  • DF error
    129.00000
  • t(b)
    5.00418
  • p(b)
    0.25045
  • t(a)
    -2.56991
  • p(a)
    0.63935
  • Lowerbound of 95% confidence interval for beta
    0.27629
  • Upperbound of 95% confidence interval for beta
    0.63762
  • Lowerbound of 95% confidence interval for alpha
    -2.31184
  • Upperbound of 95% confidence interval for alpha
    -0.30059
  • Treynor index (mean / b)
    -2.59393
  • Jensen alpha (a)
    -1.30621
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.26625
  • SD
    0.40005
  • Sharpe ratio (Glass type estimate)
    -3.16525
  • Sharpe ratio (Hedges UMVUE)
    -3.14696
  • df
    130.00000
  • t
    -2.23817
  • p
    0.59631
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.95766
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.36102
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.94503
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.34888
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.51241
  • Upside Potential Ratio
    2.70653
  • Upside part of mean
    0.97572
  • Downside part of mean
    -2.24197
  • Upside SD
    0.18700
  • Downside SD
    0.36051
  • N nonnegative terms
    28.00000
  • N negative terms
    103.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20568
  • Mean of criterion
    -1.26625
  • SD of predictor
    0.34397
  • SD of criterion
    0.40005
  • Covariance
    0.05576
  • r
    0.40521
  • b (slope, estimate of beta)
    0.47126
  • a (intercept, estimate of alpha)
    -1.36318
  • Mean Square Error
    0.13480
  • DF error
    129.00000
  • t(b)
    5.03413
  • p(b)
    0.24928
  • t(a)
    -2.62362
  • p(a)
    0.64206
  • VAR (95 Confidence Intrvl)
    0.03700
  • Lowerbound of 95% confidence interval for beta
    0.28605
  • Upperbound of 95% confidence interval for beta
    0.65648
  • Lowerbound of 95% confidence interval for alpha
    -2.39118
  • Upperbound of 95% confidence interval for alpha
    -0.33518
  • Treynor index (mean / b)
    -2.68691
  • Jensen alpha (a)
    -1.36318
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04447
  • Expected Shortfall on VaR
    0.05424
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02506
  • Expected Shortfall on VaR
    0.05090
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.87594
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.06192
  • Mean of quarter 1
    0.96732
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01514
  • Inter Quartile Range
    0.00000
  • Number outliers low
    32.00000
  • Percentage of outliers low
    0.24427
  • Mean of outliers low
    0.96630
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.21374
  • Mean of outliers high
    1.01785
  • 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)
    -0.17039
  • VaR(95%) (regression method)
    0.03489
  • Expected Shortfall (regression method)
    0.05099
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.47569
  • Quartile 1
    0.47569
  • Median
    0.47569
  • Quartile 3
    0.47569
  • Maximum
    0.47569
  • 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
  • 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?
    -446672000
  • Max Equity Drawdown (num days)
    70
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.92322
  • Compounded annual return (geometric extrapolation)
    -0.71013
  • Calmar ratio (compounded annual return / max draw down)
    -1.49284
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -13.09140

Strategy Description

Momentum-focused futures strategy that uses regression analysis in combination with a proprietary trading model to achieve aggressive growth objectives. We're going for a high-growth trajectory, so the risk element will be commensurate. Please don't commit capital unless you're up for the ride.

Summary Statistics

Strategy began
2021-07-20
Suggested Minimum Capital
$100,000
# Trades
100
# Profitable
98
% Profitable
98.0%
Correlation S&P500
0.379
Sharpe Ratio
-0.24
Sortino Ratio
-0.32
Beta
0.50
Alpha
-0.02
Leverage
2.64 Average
7.32 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

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.