PASSIVE 100
(136797645)
Subscription terms. Subscriptions to this system cost $499.00 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.
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.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2021 | (1.8%) | (6.5%) | - | - | - | (8.2%) | |||||||
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.
Started | $50,000 | |
Buy Power | $47,877 | |
Cash | $47,877 | |
Equity | $0 | |
Cumulative $ | ($2,122) | |
Total System Equity | $47,877 | |
Margined | $0 | |
Open P/L | $0 |
Trading Record
Statistics
-
Strategy began8/3/2021
-
Suggested Minimum Cap$50,000
-
Strategy Age (days)966.81
-
Age32 months ago
-
What it tradesFutures
-
# Trades167
-
# Profitable120
-
% Profitable71.90%
-
Avg trade duration21.3 minutes
-
Max peak-to-valley drawdown17.69%
-
drawdown periodAug 27, 2021 - Sept 02, 2021
-
Annual Return (Compounded)-3.2%
-
Avg win$141.73
-
Avg loss$407.00
- Model Account Values (Raw)
-
Cash$47,877
-
Margin Used$0
-
Buying Power$47,877
- Ratios
-
W:L ratio0.89:1
-
Sharpe Ratio-0.72
-
Sortino Ratio-0.81
-
Calmar Ratio-0.715
- CORRELATION STATISTICS
-
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-25.84%
-
Correlation to SP500-0.00340
-
Return Percent SP500 (cumu) during strategy life18.66%
- Return Statistics
-
Ann Return (w trading costs)-3.2%
- Slump
-
Current Slump as Pcnt Equity16.50%
- Instruments
-
Percent Trades Futures1.00%
- Slump
-
Current Slump, time of slump as pcnt of strategy life0.97%
- Return Statistics
-
Return Pcnt Since TOS Statusn/a
- Instruments
-
Short Options - Percent Covered100.00%
- Return Statistics
-
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.032%
- Instruments
-
Percent Trades Optionsn/a
-
Percent Trades Stocksn/a
-
Percent Trades Forexn/a
- Return Statistics
-
Ann Return (Compnd, No Fees)-1.6%
- Risk of Ruin (Monte-Carlo)
-
Chance of 10% account loss36.50%
-
Chance of 20% account loss1.00%
-
Chance of 30% account lossn/a
-
Chance of 40% account lossn/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 Automated1.25%
- Risk of Ruin (Monte-Carlo)
-
Chance of 50% account lossn/a
- Popularity
-
Popularity (Today)0
-
Popularity (Last 6 weeks)0
- Trading Style
-
Any stock shorts? 0/10
- Popularity
-
Popularity (7 days, Percentile 1000 scale)0
- Trades-Own-System Certification
-
Trades Own System?-
-
TOS percentn/a
- Win / Loss
-
Avg Loss$407
-
Avg Win$142
-
Sum Trade PL (losers)$19,129.000
- Age
-
Num Months filled monthly returns table32
- Win / Loss
-
Sum Trade PL (winners)$17,008.000
-
# Winners120
-
Num Months Winners0
- Dividends
-
Dividends Received in Model Acct0
- Win / Loss
-
# Losers47
-
% Winners71.9%
- Frequency
-
Avg Position Time (mins)21.25
-
Avg Position Time (hrs)0.35
-
Avg Trade Length0.0 days
-
Last Trade Ago935
- Leverage
-
Daily leverage (average)7.52
-
Daily leverage (max)31.16
- Regression
-
Alpha-0.01
-
Beta-0.00
-
Treynor Index12.03
- Maximum Adverse Excursion (MAE)
-
MAE:Equity, average, all trades0.01
-
MAE:PL - worst single value for strategy-
-
MAE:PL (avg, winning trades)-
-
MAE:PL (avg, losing trades)-
-
MAE:PL (avg, all trades)-0.04
-
MAE:Equity, average, winning trades0.00
-
MAE:Equity, average, losing trades0.01
-
Avg(MAE) / Avg(PL) - All trades-4.149
-
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 strat0.00
-
Avg(MAE) / Avg(PL) - Winning trades0.764
-
Avg(MAE) / Avg(PL) - Losing trades-1.388
-
Hold-and-Hope Ratio-0.241
- Analysis based on MONTHLY values, full history
- RATIO STATISTICS
- Ratio statistics of excess return rates
- Statistics related to Sharpe ratio
-
Mean-0.12358
-
SD0.04280
-
Sharpe ratio (Glass type estimate)-2.88736
-
Sharpe ratio (Hedges UMVUE)-2.42754
-
df5.00000
-
t-2.04167
-
p0.95167
-
Lowerbound of 95% confidence interval for Sharpe Ratio-6.06251
-
Upperbound of 95% confidence interval for Sharpe Ratio0.48259
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-5.58137
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.72629
- Statistics related to Sortino ratio
-
Sortino ratio-2.33576
-
Upside Potential Ratio0.00000
-
Upside part of mean0.00000
-
Downside part of mean-0.12358
-
Upside SD0.00000
-
Downside SD0.05291
-
N nonnegative terms0.00000
-
N negative terms6.00000
- Statistics related to linear regression on benchmark
-
N of observations6.00000
-
Mean of predictor0.08394
-
Mean of criterion-0.12358
-
SD of predictor0.40822
-
SD of criterion0.04280
-
Covariance0.00168
-
r0.09595
-
b (slope, estimate of beta)0.01006
-
a (intercept, estimate of alpha)-0.12442
-
Mean Square Error0.00227
-
DF error4.00000
-
t(b)0.19280
-
p(b)0.42825
-
t(a)-1.84323
-
p(a)0.93046
-
Lowerbound of 95% confidence interval for beta-0.13484
-
Upperbound of 95% confidence interval for beta0.15496
-
Lowerbound of 95% confidence interval for alpha-0.31187
-
Upperbound of 95% confidence interval for alpha0.06303
-
Treynor index (mean / b)-12.28370
-
Jensen alpha (a)-0.12442
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean-0.12471
-
SD0.04332
-
Sharpe ratio (Glass type estimate)-2.87872
-
Sharpe ratio (Hedges UMVUE)-2.42028
-
df5.00000
-
t-2.03556
-
p0.95129
-
Lowerbound of 95% confidence interval for Sharpe Ratio-6.05125
-
Upperbound of 95% confidence interval for Sharpe Ratio0.48844
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-5.57196
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.73141
- Statistics related to Sortino ratio
-
Sortino ratio-2.33194
-
Upside Potential Ratio0.00000
-
Upside part of mean0.00000
-
Downside part of mean-0.12471
-
Upside SD0.00000
-
Downside SD0.05348
-
N nonnegative terms0.00000
-
N negative terms6.00000
- Statistics related to linear regression on benchmark
-
N of observations6.00000
-
Mean of predictor0.01665
-
Mean of criterion-0.12471
-
SD of predictor0.39869
-
SD of criterion0.04332
-
Covariance0.00111
-
r0.06401
-
b (slope, estimate of beta)0.00695
-
a (intercept, estimate of alpha)-0.12482
-
Mean Square Error0.00234
-
DF error4.00000
-
t(b)0.12828
-
p(b)0.45206
-
t(a)-1.82593
-
p(a)0.92905
-
Lowerbound of 95% confidence interval for beta-0.14361
-
Upperbound of 95% confidence interval for beta0.15751
-
Lowerbound of 95% confidence interval for alpha-0.31466
-
Upperbound of 95% confidence interval for alpha0.06502
-
Treynor index (mean / b)-17.93150
-
Jensen alpha (a)-0.12482
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.03049
-
Expected Shortfall on VaR0.03553
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.03212
-
Expected Shortfall on VaR0.04533
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations6.00000
-
Minimum0.97537
-
Quartile 10.98261
-
Median1.00000
-
Quartile 31.00000
-
Maximum1.00000
-
Mean of quarter 10.97609
-
Mean of quarter 21.00000
-
Mean of quarter 31.00000
-
Mean of quarter 41.00000
-
Inter Quartile Range0.01739
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high0.00000
-
Percentage of outliers high0.00000
-
Mean of outliers high0.00000
- 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 observations1.00000
-
Minimum0.04725
-
Quartile 10.04725
-
Median0.04725
-
Quartile 30.04725
-
Maximum0.04725
-
Mean of quarter 10.00000
-
Mean of quarter 20.00000
-
Mean of quarter 30.00000
-
Mean of quarter 40.00000
-
Inter Quartile Range0.00000
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high0.00000
-
Percentage of outliers high0.00000
-
Mean of outliers high0.00000
- 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)-0.09450
-
Compounded annual return (geometric extrapolation)-0.09226
-
Calmar ratio (compounded annual return / max draw down)-1.95275
-
Compounded annual return / average of 25% largest draw downs0.00000
-
Compounded annual return / Expected Shortfall lognormal-2.59674
-
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-0.10629
-
SD0.10005
-
Sharpe ratio (Glass type estimate)-1.06235
-
Sharpe ratio (Hedges UMVUE)-1.05706
-
df151.00000
-
t-0.80917
-
p0.54180
-
Lowerbound of 95% confidence interval for Sharpe Ratio-3.63669
-
Upperbound of 95% confidence interval for Sharpe Ratio1.51533
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-3.63304
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.51892
- Statistics related to Sortino ratio
-
Sortino ratio-1.24686
-
Upside Potential Ratio2.11584
-
Upside part of mean0.18036
-
Downside part of mean-0.28665
-
Upside SD0.05216
-
Downside SD0.08524
-
N nonnegative terms13.00000
-
N negative terms139.00000
- Statistics related to linear regression on benchmark
-
N of observations152.00000
-
Mean of predictor0.30734
-
Mean of criterion-0.10629
-
SD of predictor0.38127
-
SD of criterion0.10005
-
Covariance0.00012
-
r0.00310
-
b (slope, estimate of beta)0.00081
-
a (intercept, estimate of alpha)-0.10700
-
Mean Square Error0.01008
-
DF error150.00000
-
t(b)0.03797
-
p(b)0.49845
-
t(a)-0.80738
-
p(a)0.53289
-
Lowerbound of 95% confidence interval for beta-0.04152
-
Upperbound of 95% confidence interval for beta0.04315
-
Lowerbound of 95% confidence interval for alpha-0.36727
-
Upperbound of 95% confidence interval for alpha0.15419
-
Treynor index (mean / b)-130.63300
-
Jensen alpha (a)-0.10654
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean-0.11133
-
SD0.10100
-
Sharpe ratio (Glass type estimate)-1.10231
-
Sharpe ratio (Hedges UMVUE)-1.09683
-
df151.00000
-
t-0.83961
-
p0.54336
-
Lowerbound of 95% confidence interval for Sharpe Ratio-3.67676
-
Upperbound of 95% confidence interval for Sharpe Ratio1.47568
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-3.67302
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation1.47936
- Statistics related to Sortino ratio
-
Sortino ratio-1.28357
-
Upside Potential Ratio2.06376
-
Upside part of mean0.17900
-
Downside part of mean-0.29034
-
Upside SD0.05155
-
Downside SD0.08674
-
N nonnegative terms13.00000
-
N negative terms139.00000
- Statistics related to linear regression on benchmark
-
N of observations152.00000
-
Mean of predictor0.23415
-
Mean of criterion-0.11133
-
SD of predictor0.38469
-
SD of criterion0.10100
-
Covariance0.00009
-
r0.00235
-
b (slope, estimate of beta)0.00062
-
a (intercept, estimate of alpha)-0.11148
-
Mean Square Error0.01027
-
DF error150.00000
-
t(b)0.02877
-
p(b)0.49883
-
t(a)-0.83731
-
p(a)0.53410
-
Lowerbound of 95% confidence interval for beta-0.04174
-
Upperbound of 95% confidence interval for beta0.04297
-
Lowerbound of 95% confidence interval for alpha-0.37455
-
Upperbound of 95% confidence interval for alpha0.15159
-
Treynor index (mean / b)-180.54900
-
Jensen alpha (a)-0.11148
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.01063
-
Expected Shortfall on VaR0.01321
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.00360
-
Expected Shortfall on VaR0.00798
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations152.00000
-
Minimum0.95723
-
Quartile 11.00000
-
Median1.00000
-
Quartile 31.00000
-
Maximum1.03140
-
Mean of quarter 10.99601
-
Mean of quarter 21.00000
-
Mean of quarter 31.00000
-
Mean of quarter 41.00279
-
Inter Quartile Range0.00000
-
Number outliers low11.00000
-
Percentage of outliers low0.07237
-
Mean of outliers low0.98623
-
Number of outliers high13.00000
-
Percentage of outliers high0.08553
-
Mean of outliers high1.00816
- Risk estimates for a one-period unit investment (based on Ex
-
Extreme Value Index (moments method)-0.82798
-
VaR(95%) (moments method)0.00135
-
Expected Shortfall (moments method)0.00313
-
Extreme Value Index (regression method)0.01063
-
VaR(95%) (regression method)0.00414
-
Expected Shortfall (regression method)0.01691
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations4.00000
-
Minimum0.00075
-
Quartile 10.00916
-
Median0.01695
-
Quartile 30.04443
-
Maximum0.11189
-
Mean of quarter 10.00075
-
Mean of quarter 20.01196
-
Mean of quarter 30.02195
-
Mean of quarter 40.11189
-
Inter Quartile Range0.03528
-
Number outliers low0.00000
-
Percentage of outliers low0.00000
-
Mean of outliers low0.00000
-
Number of outliers high1.00000
-
Percentage of outliers high0.25000
-
Mean of outliers high0.11189
- 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)-0.08144
-
Compounded annual return (geometric extrapolation)-0.08004
-
Calmar ratio (compounded annual return / max draw down)-0.71538
-
Compounded annual return / average of 25% largest draw downs-0.71538
-
Compounded annual return / Expected Shortfall lognormal-6.06134
-
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-0.14268
-
SD0.06210
-
Sharpe ratio (Glass type estimate)-2.29769
-
Sharpe ratio (Hedges UMVUE)-2.28441
-
df130.00000
-
t-1.62471
-
p0.57054
-
Lowerbound of 95% confidence interval for Sharpe Ratio-5.07917
-
Upperbound of 95% confidence interval for Sharpe Ratio0.49239
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-5.07009
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.50127
- Statistics related to Sortino ratio
-
Sortino ratio-2.29329
-
Upside Potential Ratio0.13143
-
Upside part of mean0.00818
-
Downside part of mean-0.15085
-
Upside SD0.00578
-
Downside SD0.06222
-
N nonnegative terms1.00000
-
N negative terms130.00000
- Statistics related to linear regression on benchmark
-
N of observations131.00000
-
Mean of predictor0.31543
-
Mean of criterion-0.14268
-
SD of predictor0.40967
-
SD of criterion0.06210
-
Covariance-0.00003
-
r-0.00104
-
b (slope, estimate of beta)-0.00016
-
a (intercept, estimate of alpha)-0.14263
-
Mean Square Error0.00389
-
DF error129.00000
-
t(b)-0.01187
-
p(b)0.50067
-
t(a)-1.61605
-
p(a)0.58938
-
Lowerbound of 95% confidence interval for beta-0.02656
-
Upperbound of 95% confidence interval for beta0.02625
-
Lowerbound of 95% confidence interval for alpha-0.31725
-
Upperbound of 95% confidence interval for alpha0.03199
-
Treynor index (mean / b)900.88100
-
Jensen alpha (a)-0.14263
- Ratio statistics of excess log return rates
- Statistics related to Sharpe ratio
-
Mean-0.14466
-
SD0.06309
-
Sharpe ratio (Glass type estimate)-2.29296
-
Sharpe ratio (Hedges UMVUE)-2.27971
-
df130.00000
-
t-1.62137
-
p0.57039
-
Lowerbound of 95% confidence interval for Sharpe Ratio-5.07438
-
Upperbound of 95% confidence interval for Sharpe Ratio0.49707
-
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-5.06533
-
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation0.50592
- Statistics related to Sortino ratio
-
Sortino ratio-2.28831
-
Upside Potential Ratio0.12907
-
Upside part of mean0.00816
-
Downside part of mean-0.15282
-
Upside SD0.00577
-
Downside SD0.06322
-
N nonnegative terms1.00000
-
N negative terms130.00000
- Statistics related to linear regression on benchmark
-
N of observations131.00000
-
Mean of predictor0.23103
-
Mean of criterion-0.14466
-
SD of predictor0.41336
-
SD of criterion0.06309
-
Covariance-0.00006
-
r-0.00248
-
b (slope, estimate of beta)-0.00038
-
a (intercept, estimate of alpha)-0.14457
-
Mean Square Error0.00401
-
DF error129.00000
-
t(b)-0.02821
-
p(b)0.50158
-
t(a)-1.61318
-
p(a)0.58923
-
VAR (95 Confidence Intrvl)0.01100
-
Lowerbound of 95% confidence interval for beta-0.02697
-
Upperbound of 95% confidence interval for beta0.02621
-
Lowerbound of 95% confidence interval for alpha-0.32188
-
Upperbound of 95% confidence interval for alpha0.03274
-
Treynor index (mean / b)381.61100
-
Jensen alpha (a)-0.14457
- Risk estimates for a one-period unit investment (parametric)
- assuming log normal returns and losses (using central moments from Sharpe statistics)
-
VaR(95%)0.00694
-
Expected Shortfall on VaR0.00855
- assuming Pareto losses only (using partial moments from Sortino statistics)
-
VaR(95%)0.00199
-
Expected Shortfall on VaR0.00447
- ORDER STATISTICS
- Quartiles of return rates
-
Number of observations131.00000
-
Minimum0.96569
-
Quartile 11.00000
-
Median1.00000
-
Quartile 31.00000
-
Maximum1.00419
-
Mean of quarter 10.99813
-
Mean of quarter 21.00000
-
Mean of quarter 31.00000
-
Mean of quarter 41.00013
-
Inter Quartile Range0.00000
-
Number outliers low2.00000
-
Percentage of outliers low0.01527
-
Mean of outliers low0.96921
-
Number of outliers high1.00000
-
Percentage of outliers high0.00763
-
Mean of outliers high1.00419
- 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)-2.95429
-
VaR(95%) (regression method)-0.56707
-
Expected Shortfall (regression method)0.00000
- DRAW DOWN STATISTICS
- Quartiles of draw downs
-
Number of observations1.00000
-
Minimum0.06064
-
Quartile 10.06064
-
Median0.06064
-
Quartile 30.06064
-
Maximum0.06064
-
Mean of quarter 10.00000
-
Mean of quarter 20.00000
-
Mean of quarter 30.00000
-
Mean of quarter 40.00000
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Inter Quartile Range0.00000
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Number outliers low0.00000
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Percentage of outliers low0.00000
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Mean of outliers low0.00000
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Number of outliers high0.00000
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Percentage of outliers high0.00000
-
Mean of outliers high0.00000
- Risk estimates based on draw downs (based on Extreme Value T
-
Extreme Value Index (moments method)0.00000
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VaR(95%) (moments method)0.00000
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Expected Shortfall (moments method)0.00000
-
Extreme Value Index (regression method)0.00000
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VaR(95%) (regression method)0.00000
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Last 4 Months - Pcnt Negativen/a
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Expected Shortfall (regression method)0.00000
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Strat Max DD how much worse than SP500 max DD during strat life?-428808000
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Max Equity Drawdown (num days)6
- COMBINED STATISTICS
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Annualized return (arithmetic extrapolation)-0.11341
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Compounded annual return (geometric extrapolation)-0.11019
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Calmar ratio (compounded annual return / max draw down)-1.81703
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Compounded annual return / average of 25% largest draw downs0.00000
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Compounded annual return / Expected Shortfall lognormal-12.88230
Strategy Description
Trade Time:
• All trading activities start after the US opening bell and all operations will be closed at least 16 Minutes before the US closing bell.
• I have enabled ''Daily Auto-Close Time (ET) at 15.44'' from Trade leader C2 Setting. The reason for closing all trades 16 minutes early is because some ‘’Discount Brokers’’ expect all trades to be closed 15 minutes before US closing bell.
Objectives:
• As its name indicates, this strategy is designed to produce passive income for investors while the strategy is actively managed by Trade Leader on a discretionary basis.
• The primary objective of the strategy is organic capital growth while maintaining reasonable risk management.
• In terms of Risk Management, the objective is to keep the drawdown less than 10% of the Starting equity of the Strategy (C2 model capital). Just for information, PASSIVE's Initial Capital is US$50,000.
• Regarding ROI, I will try to produce 10%+ in a calendar month based on Initial Capital, but actual results may vary. ROI aim is based on the Strategy’s initial C2 Model capital.
Risk Warning: Please see "Day-Trading Risk by www.finra.org"
for more information, please visit – https://www.finra.org/rules-guidance/rulebooks/finra-rules/2270
It is always better to keep an eye on your capital on daily basis to see if the strategy provides what you expected.
Capital Requirement:
• Though the Strategy’s Initial capital is US$50,000, an investor can follow it at 100% scaling with Capital of anything around USD10,000+ if the investor uses any of the discount Brokers supported by C2; Example: Ninja Trader-Dorman/Philip, Gain Capital-Daniel’s trading or Tradovate etc.
• Though trading with less Capital through Discount Broker is desirable to small investors, I should remind you that trading with less capital carries more risk and may lead to margin call if market goes against the trades suddenly.
• If Investor prefers to start with 50% scaling, around US$5000+ is good enough capital with any of the above-mentioned Brokers.
• Investors with Interactive Brokers may require more capital because IBKR requires Day trading margins as per CME’s guidelines.
• I have no affiliation with any of the brokers mentioned above. Please do your own due diligence and, if required, seek help from a ‘’Registered Investment Advisor’’ in your Domicile.
• This link may be useful to US based investors - - https://www.investor.gov/.
Order Types and Stop-Loss & Take Profit:
• Orders could be executed at ''Market price or at Limit orders'' to Enter/Exit a Trade.
• No standard/pre-defined SL/TP is used in each trade, limit orders are executed based on the market conditions at the discretion of the Trade Leader.
• If you like to follow my strategy at 100% scaling, for additional safety, I recommend that you set your Maximum allowed contract size = 4.
• For 50% scaling, set your Maximum allowed contract size = 2.
• For 200% scaling, , set your Maximum allowed contract size = 8 and so on..
Since this is a discretionary strategy, I can’t rule out human error and keeping additional safety at C2 level is always safe.
Trading Cost:
There are two types of Trading cost involved in Auto-Trading PASSIVE.
1. Broker side trading cost
2. C2 side Trading cost.
Broker side trading cost:
• Typically, ‘’Exchange Fee, Commission, Clearing and NFA Fees’’ come under Broker side trading cost and this may be charged automatically from your brokerage account itself daily.
• There may be around 3 to 10+ trades per each trading day. The average trading cost is around $1.50 to $1.75+ per each MNQ/MES. On average, we assume trading cost = $1.65/MNQ
• For example, if 5 trades are executed in a day with minimum contacts traded per lot, then the trading cost = 5 x 2 x $1.65 = $16.5
• If the Gross profit for the day is $300, then the Net profit for the day = $300 - $16.5 = $283.5
C2 side Trading cost:
There are two types of cost involved on C2 side trading cost.
1. The strategy Subscription fee, which is recurring fee monthly. PASSIVE cost $99/month.
2. C2 Investor Trading Plan fee (Check INVESTORS): The minimum fee is $49/month, and the maximum is $299/month.
IRA accounts:
• IRA accounts can be used to follow this strategy, please check with a Qualified Investment Advisor.
• Some useful link - https://www.interactivebrokers.com/en/index.php?f=14429
Latest Activity
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.