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This is an archived track record. This track record was archived on 12/17/21 10:53 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

DSX50
(138312622)

Created by: LaurenGar LaurenGar
Started: 11/2021
Futures
Last trade: 832 days ago
Trading style: Futures Momentum

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $125.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Futures
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
219.9%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(38.4%)
Max Drawdown
50
Num Trades
50.0%
Win Trades
0.5 : 1
Profit Factor
3.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                                      +4.4%(60.3%)(58.6%)
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 14 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 832 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/17/21 10:16 @NQH2 E-MINI NASDAQ 100 STK IDX SHORT 25 15670.00 12/17 10:39 15817.00 n/a ($73,700)
Includes Typical Broker Commissions trade costs of $200.00
12/17/21 9:39 @NQH2 E-MINI NASDAQ 100 STK IDX SHORT 10 15691.25 12/17 9:51 15827.25 n/a ($27,280)
Includes Typical Broker Commissions trade costs of $80.00
12/17/21 9:42 @ESH2 E-MINI S&P 500 SHORT 10 4606.25 12/17 9:51 4624.50 n/a ($9,205)
Includes Typical Broker Commissions trade costs of $80.00
12/17/21 9:45 XGH2 DAX INDEX SHORT 10 15467.40 12/17 9:51 15468.00 n/a ($249)
Includes Typical Broker Commissions trade costs of $80.00
12/17/21 9:34 @NQH2 E-MINI NASDAQ 100 STK IDX LONG 10 15770.50 12/17 9:38 15696.25 n/a ($14,930)
Includes Typical Broker Commissions trade costs of $80.00
12/17/21 9:30 @NQH2 E-MINI NASDAQ 100 STK IDX SHORT 10 15718.25 12/17 9:32 15748.25 n/a ($6,080)
Includes Typical Broker Commissions trade costs of $80.00
12/17/21 8:19 @NQH2 E-MINI NASDAQ 100 STK IDX SHORT 10 15676.50 12/17 8:43 15715.50 n/a ($7,880)
Includes Typical Broker Commissions trade costs of $80.00
12/17/21 7:49 @NQH2 E-MINI NASDAQ 100 STK IDX SHORT 10 15706.00 12/17 8:11 15683.25 0.39%
Trade id #138616007
Max drawdown($850)
Time12/17/21 8:03
Quant open10
Worst price15710.20
Drawdown as % of equity-0.39%
$4,470
Includes Typical Broker Commissions trade costs of $80.00
12/17/21 4:04 @NQH2 E-MINI NASDAQ 100 STK IDX SHORT 10 15731.75 12/17 4:41 15725.75 0.12%
Trade id #138614730
Max drawdown($275)
Time12/17/21 4:08
Quant open5
Worst price15778.80
Drawdown as % of equity-0.12%
$1,120
Includes Typical Broker Commissions trade costs of $80.00
12/17/21 2:38 @NQH2 E-MINI NASDAQ 100 STK IDX LONG 5 15858.00 12/17 3:41 15808.00 2.47%
Trade id #138614235
Max drawdown($5,425)
Time12/17/21 3:41
Quant open5
Worst price15803.80
Drawdown as % of equity-2.47%
($5,040)
Includes Typical Broker Commissions trade costs of $40.00
12/16/21 22:42 XGH2 DAX INDEX SHORT 4 15565.00 12/16 23:45 15544.00 n/a $2,348
Includes Typical Broker Commissions trade costs of $32.00
12/16/21 22:42 DXMH2 MINI-DAX INDEX SHORT 10 15567.0 12/16 23:45 15543.0 n/a $1,280
Includes Typical Broker Commissions trade costs of $80.00
12/16/21 13:17 @NQH2 E-MINI NASDAQ 100 STK IDX LONG 5 15959.75 12/16 14:09 15898.00 2.84%
Trade id #138607767
Max drawdown($6,250)
Time12/16/21 14:09
Quant open5
Worst price15897.20
Drawdown as % of equity-2.84%
($6,215)
Includes Typical Broker Commissions trade costs of $40.00
12/16/21 10:25 @NQH2 E-MINI NASDAQ 100 STK IDX LONG 5 16145.50 12/16 10:32 16148.00 n/a $210
Includes Typical Broker Commissions trade costs of $40.00
12/16/21 9:58 @NQH2 E-MINI NASDAQ 100 STK IDX SHORT 10 16186.75 12/16 10:02 16136.75 n/a $9,920
Includes Typical Broker Commissions trade costs of $80.00
12/16/21 10:00 @RTYH2 Russell 2000 CME SHORT 10 2207.35 12/16 10:02 2201.40 n/a $2,895
Includes Typical Broker Commissions trade costs of $80.00
12/16/21 6:41 @NQH2 E-MINI NASDAQ 100 STK IDX LONG 4 16323.38 12/16 9:58 16190.00 5.26%
Trade id #138600264
Max drawdown($11,570)
Time12/16/21 9:58
Quant open4
Worst price16178.80
Drawdown as % of equity-5.26%
($10,702)
Includes Typical Broker Commissions trade costs of $32.00
12/15/21 8:56 @NQH2 E-MINI NASDAQ 100 STK IDX SHORT 4 15911.02 12/15 9:47 15882.69 0.31%
Trade id #138587095
Max drawdown($678)
Time12/15/21 9:31
Quant open2
Worst price15927.80
Drawdown as % of equity-0.31%
$2,235
Includes Typical Broker Commissions trade costs of $32.00
12/15/21 6:22 @ESH2 E-MINI S&P 500 SHORT 2 4622.00 12/15 7:15 4628.25 0.32%
Trade id #138585981
Max drawdown($700)
Time12/15/21 7:15
Quant open2
Worst price4629.00
Drawdown as % of equity-0.32%
($641)
Includes Typical Broker Commissions trade costs of $16.00
12/15/21 4:10 @NQH2 E-MINI NASDAQ 100 STK IDX SHORT 4 15917.75 12/15 4:33 15862.50 n/a $4,388
Includes Typical Broker Commissions trade costs of $32.00
12/15/21 3:54 @NQH2 E-MINI NASDAQ 100 STK IDX LONG 2 15941.50 12/15 4:10 15926.00 0.3%
Trade id #138585185
Max drawdown($660)
Time12/15/21 4:10
Quant open2
Worst price15925.00
Drawdown as % of equity-0.30%
($636)
Includes Typical Broker Commissions trade costs of $16.00
12/15/21 2:45 @NQH2 E-MINI NASDAQ 100 STK IDX LONG 2 15949.00 12/15 3:34 15932.00 0.35%
Trade id #138584852
Max drawdown($760)
Time12/15/21 3:34
Quant open2
Worst price15930.00
Drawdown as % of equity-0.35%
($696)
Includes Typical Broker Commissions trade costs of $16.00
12/15/21 2:10 @RTYH2 Russell 2000 CME SHORT 2 2154.70 12/15 2:42 2160.20 0.25%
Trade id #138584680
Max drawdown($550)
Time12/15/21 2:42
Quant open2
Worst price2160.20
Drawdown as % of equity-0.25%
($566)
Includes Typical Broker Commissions trade costs of $16.00
12/14/21 9:37: Rescaled downward to 80% of previous Model Account size
12/14/21 9:13 @RTYH2 Russell 2000 CME SHORT 8 2163.50 12/14 9:33 2160.60 0.05%
Trade id #138572154
Max drawdown($80)
Time12/14/21 9:16
Quant open8
Worst price2163.70
Drawdown as % of equity-0.05%
$1,096
Includes Typical Broker Commissions trade costs of $64.00
12/13/21 11:55 @RTYH2 Russell 2000 CME SHORT 32 2173.78 12/14 9:12 2162.00 19.45%
Trade id #138560964
Max drawdown($28,360)
Time12/14/21 3:13
Quant open32
Worst price2191.50
Drawdown as % of equity-19.45%
$18,584
Includes Typical Broker Commissions trade costs of $256.00
12/13/21 11:56 @NQH2 E-MINI NASDAQ 100 STK IDX SHORT 8 16115.25 12/14 9:12 15895.00 10.14%
Trade id #138560975
Max drawdown($14,920)
Time12/13/21 15:03
Quant open8
Worst price16208.50
Drawdown as % of equity-10.14%
$35,176
Includes Typical Broker Commissions trade costs of $64.00
12/13/21 11:07 @ESH2 E-MINI S&P 500 LONG 8 4672.25 12/13 11:51 4663.50 1.51%
Trade id #138559384
Max drawdown($3,040)
Time12/13/21 11:29
Quant open6
Worst price4662.75
Drawdown as % of equity-1.51%
($3,564)
Includes Typical Broker Commissions trade costs of $64.00
12/13/21 11:07 @NQH2 E-MINI NASDAQ 100 STK IDX LONG 8 16209.00 12/13 11:51 16118.00 5.98%
Trade id #138559386
Max drawdown($12,000)
Time12/13/21 11:51
Quant open6
Worst price16115.20
Drawdown as % of equity-5.98%
($14,624)
Includes Typical Broker Commissions trade costs of $64.00
12/13/21 11:17 @NQZ1 E-MINI NASDAQ 100 STK IDX LONG 8 16191.00 12/13 11:51 16118.25 4.92%
Trade id #138559535
Max drawdown($9,888)
Time12/13/21 11:51
Quant open6
Worst price16113.80
Drawdown as % of equity-4.92%
($11,704)
Includes Typical Broker Commissions trade costs of $64.00
12/13/21 10:23 @ESH2 E-MINI S&P 500 SHORT 8 4680.50 12/13 11:00 4674.00 n/a $2,536
Includes Typical Broker Commissions trade costs of $64.00

Statistics

  • Strategy began
    11/23/2021
  • Suggested Minimum Cap
    $200,000
  • Strategy Age (days)
    852.97
  • Age
    29 months ago
  • What it trades
    Futures
  • # Trades
    50
  • # Profitable
    25
  • % Profitable
    50.00%
  • Avg trade duration
    4.1 hours
  • Max peak-to-valley drawdown
    38.38%
  • drawdown period
    Dec 10, 2021 - Dec 13, 2021
  • Cumul. Return
    8.9%
  • Avg win
    $4,064
  • Avg loss
    $8,633
  • Model Account Values (Raw)
  • Cash
    $85,788
  • Margin Used
    $0
  • Buying Power
    $85,788
  • Ratios
  • W:L ratio
    0.47:1
  • Sharpe Ratio
    -0.54
  • Sortino Ratio
    -0.6
  • Calmar Ratio
    -1.487
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    9.33%
  • Correlation to SP500
    0.04330
  • Return Percent SP500 (cumu) during strategy life
    11.89%
  • Return Statistics
  • Ann Return (w trading costs)
    219.9%
  • Slump
  • Current Slump as Pcnt Equity
    170.60%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.089%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.97%
  • Instruments
  • Percent Trades Stocks
    n/a
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -30.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    68.50%
  • Chance of 20% account loss
    46.00%
  • Chance of 30% account loss
    19.00%
  • Chance of 40% account loss
    5.50%
  • 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
    97.58%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    953
  • Popularity (Last 6 weeks)
    921
  • Popularity (7 days, Percentile 1000 scale)
    962
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $4,065
  • Avg Loss
    $8,633
  • Sum Trade PL (losers)
    $215,826.000
  • # Winners
    25
  • Num Months Winners
    1
  • Age
  • Num Months filled monthly returns table
    29
  • Win / Loss
  • Sum Trade PL (winners)
    $101,615.000
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    25
  • % Winners
    50.0%
  • Frequency
  • Avg Position Time (mins)
    244.27
  • Avg Position Time (hrs)
    4.07
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    829
  • Leverage
  • Daily leverage (average)
    7.54
  • Daily leverage (max)
    40.18
  • Regression
  • Alpha
    -0.08
  • Beta
    0.10
  • Treynor Index
    -0.79
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.74
  • Avg(MAE) / Avg(PL) - All trades
    -14.543
  • MAE:Equity, 95th Percentile Value for this strat
    0.03
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.721
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.990
  • Hold-and-Hope Ratio
    -0.069
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    -1.69700
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.14000
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -300815000
  • Max Equity Drawdown (num days)
    3
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

Summary Statistics

Strategy began
2021-11-23
Suggested Minimum Capital
$180,000
# Trades
50
# Profitable
25
% Profitable
50.0%
Correlation S&P500
0.043
Sharpe Ratio
-0.54
Sortino Ratio
-0.60
Beta
0.10
Alpha
-0.08
Leverage
7.54 Average
40.18 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.

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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.