Collective2 Collective2
Featured Strategy Quant AI pro +15.7% Cumul. Return since Dec 2, 2024 Hypothetical

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DragonFire
(138758679)

Created by: PuDr PuDr
Started: 12/2021
Futures
Last trade: 549 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 $100.00 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.

188.1%
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.

(73.2%)
Max Drawdown
49
Num Trades
79.6%
Win Trades
9.7 : 1
Profit Factor
45.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                                             +1.4%+1.4%
2022+41.2%(17.5%)(24.4%)+80.4%(5.4%)+28.4%(5.9%)(20.5%)+42.6%(1.3%)(22.2%)+36.1%+115.0%
2023+13.6%+19.0%+0.3%+5.9%+12.6%(52.4%)(39.6%)+48.8%  -  
2024+1339.4%  -    -    -    -    -    -    -    -  +1005.3%

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.

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 61 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 593 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
5/5/23 9:49 @ESM3 E-MINI S&P 500 SHORT 5 4165.75 6/14 12:38 4279.55 81.83%
Trade id #144537261
Max drawdown($34,350)
Time6/14/23 11:26
Quant open3
Worst price4394.75
Drawdown as % of equity-81.83%
 ($28,490)
Includes Typical Broker Commissions trade costs of $40.00
5/4/23 10:29 @ESM3 E-MINI S&P 500 LONG 1 4065.75 5/4 16:00 4074.75 0.25%
Trade id #144525686
Max drawdown($175)
Time5/4/23 12:08
Quant open1
Worst price4062.25
Drawdown as % of equity-0.25%
 $442
Includes Typical Broker Commissions trade costs of $8.00
4/27/23 13:39 @ESM3 E-MINI S&P 500 SHORT 2 4156.00 5/4 10:06 4111.62 8.04%
Trade id #144448626
Max drawdown($5,025)
Time5/1/23 0:00
Quant open2
Worst price4206.25
Drawdown as % of equity-8.04%
 $4,422
Includes Typical Broker Commissions trade costs of $16.00
4/26/23 16:09 @ESM3 E-MINI S&P 500 LONG 1 4077.00 4/27 9:57 4107.00 n/a $1,492
Includes Typical Broker Commissions trade costs of $8.00
4/25/23 16:04: Rescaled downward to 40% of previous Model Account size
3/20/23 13:06 @ESM3 E-MINI S&P 500 SHORT 4 4079.43 4/25 16:00 4115.25 25.78%
Trade id #143969246
Max drawdown($14,258)
Time4/18/23 0:00
Quant open2
Worst price4198.25
Drawdown as % of equity-25.78%
 ($7,195)
Includes Typical Broker Commissions trade costs of $32.00
3/14/23 10:31 @ESM3 E-MINI S&P 500 SHORT 1.600000000 3968.88 3/17 15:57 3941.25 1.14%
Trade id #143895132
Max drawdown($776)
Time3/17/23 4:28
Quant open0
Worst price4009.25
Drawdown as % of equity-1.14%
 $2,197
Includes Typical Broker Commissions trade costs of $12.80
3/13/23 15:59 @ESM3 E-MINI S&P 500 LONG 0.800000000 3887.50 3/14 9:30 3943.50 0.06%
Trade id #143883924
Max drawdown($40)
Time3/14/23 8:30
Quant open0
Worst price3885.00
Drawdown as % of equity-0.06%
 $2,234
Includes Typical Broker Commissions trade costs of $6.40
3/3/23 9:37 @ESH3 E-MINI S&P 500 SHORT 1.600000000 4038.62 3/9 23:47 3940.13 2.26%
Trade id #143765605
Max drawdown($1,284)
Time3/6/23 0:00
Quant open0
Worst price4082.50
Drawdown as % of equity-2.26%
 $7,867
Includes Typical Broker Commissions trade costs of $12.80
2/28/23 13:32 @ESH3 E-MINI S&P 500 SHORT 0.800000000 3998.50 3/1 10:46 3970.50 0.13%
Trade id #143723375
Max drawdown($72)
Time2/28/23 14:01
Quant open0
Worst price4003.00
Drawdown as % of equity-0.13%
 $1,114
Includes Typical Broker Commissions trade costs of $6.40
2/24/23 9:32 @ESH3 E-MINI S&P 500 LONG 0.800000000 3967.75 2/28 13:30 4002.25 0.58%
Trade id #143686683
Max drawdown($324)
Time2/24/23 10:57
Quant open0
Worst price3947.50
Drawdown as % of equity-0.58%
 $1,374
Includes Typical Broker Commissions trade costs of $6.40
2/22/23 10:36 @ESH3 E-MINI S&P 500 LONG 0.800000000 3994.25 2/23 9:55 4032.75 0.3%
Trade id #143662740
Max drawdown($168)
Time2/22/23 15:50
Quant open0
Worst price3983.75
Drawdown as % of equity-0.30%
 $1,534
Includes Typical Broker Commissions trade costs of $6.40
2/17/23 14:51 @ESH3 E-MINI S&P 500 SHORT 0.400000000 4083.25 2/21 7:26 4053.75 0.11%
Trade id #143624415
Max drawdown($58)
Time2/17/23 15:04
Quant open0
Worst price4090.50
Drawdown as % of equity-0.11%
 $587
Includes Typical Broker Commissions trade costs of $3.20
2/14/23 10:11 @ESH3 E-MINI S&P 500 SHORT 0.800000000 4165.00 2/16 9:47 4109.50 0.14%
Trade id #143576195
Max drawdown($72)
Time2/14/23 10:17
Quant open0
Worst price4169.50
Drawdown as % of equity-0.14%
 $2,214
Includes Typical Broker Commissions trade costs of $6.40
2/9/23 12:57 @ESH3 E-MINI S&P 500 LONG 0.800000000 4113.38 2/14 8:50 4160.00 1.7%
Trade id #143528027
Max drawdown($842)
Time2/10/23 0:00
Quant open0
Worst price4060.75
Drawdown as % of equity-1.70%
 $1,859
Includes Typical Broker Commissions trade costs of $6.40
1/12/23 12:48 @ESH3 E-MINI S&P 500 SHORT 3.200000000 4103.94 2/9 12:57 4109.88 7.43%
Trade id #143197318
Max drawdown($3,449)
Time2/3/23 0:00
Quant open1
Worst price4194.00
Drawdown as % of equity-7.43%
 ($976)
Includes Typical Broker Commissions trade costs of $25.60
12/23/22 15:44 @ESH3 E-MINI S&P 500 LONG 1.200000000 3853.75 1/12/23 3:00 3987.50 1.95%
Trade id #142987481
Max drawdown($848)
Time1/3/23 0:00
Quant open0
Worst price3814.50
Drawdown as % of equity-1.95%
 $8,015
Includes Typical Broker Commissions trade costs of $9.60
12/20/22 13:37 @ESH3 E-MINI S&P 500 SHORT 0.400000000 3862.00 12/22 11:48 3824.50 1.1%
Trade id #142944073
Max drawdown($460)
Time12/22/22 3:20
Quant open0
Worst price3919.50
Drawdown as % of equity-1.10%
 $747
Includes Typical Broker Commissions trade costs of $3.20
12/19/22 11:58 @ESH3 E-MINI S&P 500 LONG 0.400000000 3856.00 12/20 13:00 3855.25 1%
Trade id #142928109
Max drawdown($420)
Time12/20/22 0:35
Quant open0
Worst price3803.50
Drawdown as % of equity-1.00%
 ($18)
Includes Typical Broker Commissions trade costs of $3.20
11/10/22 8:55 @ESZ2 E-MINI S&P 500 SHORT 1.200000000 3918.08 12/15 10:05 3907.00 14.28%
Trade id #142517228
Max drawdown($5,446)
Time12/13/22 0:00
Quant open0
Worst price4145.00
Drawdown as % of equity-14.28%
 $655
Includes Typical Broker Commissions trade costs of $9.60
11/1/22 12:33 @ESZ2 E-MINI S&P 500 LONG 0.400000000 3864.25 11/10 8:41 3865.50 3.16%
Trade id #142398593
Max drawdown($1,280)
Time11/3/22 0:00
Quant open0
Worst price3704.25
Drawdown as % of equity-3.16%
 $22
Includes Typical Broker Commissions trade costs of $3.20
10/21/22 14:02 @ESZ2 E-MINI S&P 500 SHORT 1.200000000 3825.25 11/1 12:21 3871.92 5.16%
Trade id #142267912
Max drawdown($2,276)
Time10/28/22 0:00
Quant open0
Worst price3924.25
Drawdown as % of equity-5.16%
 ($2,810)
Includes Typical Broker Commissions trade costs of $9.60
9/27/22 11:32 @ESZ2 E-MINI S&P 500 LONG 1.200000000 3704.17 10/21 13:34 3735.75 13.25%
Trade id #141944909
Max drawdown($4,852)
Time10/13/22 0:00
Quant open0
Worst price3502.00
Drawdown as % of equity-13.25%
 $1,885
Includes Typical Broker Commissions trade costs of $9.60
9/23/22 11:50 @ESZ2 E-MINI S&P 500 LONG 0.400000000 3694.75 9/23 15:58 3702.25 0.65%
Trade id #141909266
Max drawdown($276)
Time9/23/22 14:58
Quant open0
Worst price3660.25
Drawdown as % of equity-0.65%
 $147
Includes Typical Broker Commissions trade costs of $3.20
9/21/22 15:00 @ESZ2 E-MINI S&P 500 SHORT 0.800000000 3910.00 9/23 10:46 3708.25 n/a $8,064
Includes Typical Broker Commissions trade costs of $6.40
9/16/22 13:33 @ESZ2 E-MINI S&P 500 SHORT 0.800000000 3863.25 9/20 9:43 3869.75 3.55%
Trade id #141834177
Max drawdown($1,168)
Time9/20/22 3:20
Quant open0
Worst price3936.25
Drawdown as % of equity-3.55%
 ($266)
Includes Typical Broker Commissions trade costs of $6.40
9/13/22 15:51 @ESZ2 E-MINI S&P 500 LONG 0.400000000 3952.50 9/16 13:33 3867.75 2.25%
Trade id #141773054
Max drawdown($796)
Time9/16/22 12:27
Quant open0
Worst price3853.00
Drawdown as % of equity-2.25%
 ($1,698)
Includes Typical Broker Commissions trade costs of $3.20
9/12/22 13:32 @ESZ2 E-MINI S&P 500 SHORT 0.400000000 4130.00 9/12 15:15 4126.75 0.03%
Trade id #141751560
Max drawdown($12)
Time9/12/22 13:35
Quant open0
Worst price4131.50
Drawdown as % of equity-0.03%
 $62
Includes Typical Broker Commissions trade costs of $3.20
8/26/22 11:21 @ESU2 E-MINI S&P 500 LONG 1.200000000 4059.25 9/9 12:59 4061.00 15.76%
Trade id #141558634
Max drawdown($4,218)
Time9/7/22 0:00
Quant open0
Worst price3883.50
Drawdown as % of equity-15.76%
 $95
Includes Typical Broker Commissions trade costs of $9.60
7/15/22 14:21 @ESU2 E-MINI S&P 500 SHORT 2.800000000 4127.43 8/26 11:20 4162.93 15.59%
Trade id #141076986
Max drawdown($4,915)
Time8/16/22 0:00
Quant open0
Worst price4327.50
Drawdown as % of equity-15.59%
 ($4,992)
Includes Typical Broker Commissions trade costs of $22.40
7/13/22 15:58 @ESU2 E-MINI S&P 500 LONG 0.400000000 3809.75 7/15 10:28 3850.50 1.68%
Trade id #141051649
Max drawdown($688)
Time7/14/22 0:00
Quant open0
Worst price3723.75
Drawdown as % of equity-1.68%
 $812
Includes Typical Broker Commissions trade costs of $3.20
Next

Statistics

  • Strategy began
    12/30/2021
  • Suggested Minimum Cap
    $480,000
  • Strategy Age (days)
    1094.58
  • Age
    37 months ago
  • What it trades
    Futures
  • # Trades
    49
  • # Profitable
    39
  • % Profitable
    79.60%
  • Avg trade duration
    21.0 days
  • Max peak-to-valley drawdown
    73.22%
  • drawdown period
    May 24, 2023 - July 27, 2023
  • Annual Return (Compounded)
    188.1%
  • Avg win
    $13,248
  • Avg loss
    $5,336
  • Model Account Values (Raw)
  • Cash
    $43,339
  • Margin Used
    $32,356
  • Buying Power
    $304,291
  • Ratios
  • W:L ratio
    9.68:1
  • Sharpe Ratio
    0.55
  • Sortino Ratio
    11.56
  • Calmar Ratio
    8.732
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    2283.76%
  • Correlation to SP500
    0.53010
  • Return Percent SP500 (cumu) during strategy life
    24.95%
  • Return Statistics
  • Ann Return (w trading costs)
    188.1%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • 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)
    1.881%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    188.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    92.50%
  • Chance of 20% account loss
    87.50%
  • Chance of 30% account loss
    78.50%
  • Chance of 40% account loss
    55.00%
  • Chance of 60% account loss (Monte Carlo)
    22.50%
  • Chance of 70% account loss (Monte Carlo)
    7.00%
  • Chance of 80% account loss (Monte Carlo)
    0.50%
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    38.00%
  • 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
    $5,337
  • Avg Win
    $13,248
  • Sum Trade PL (losers)
    $53,368.000
  • Age
  • Num Months filled monthly returns table
    33
  • Win / Loss
  • Sum Trade PL (winners)
    $516,671.000
  • # Winners
    39
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    10
  • % Winners
    79.6%
  • Frequency
  • Avg Position Time (mins)
    30185.60
  • Avg Position Time (hrs)
    503.09
  • Avg Trade Length
    21.0 days
  • Last Trade Ago
    548
  • Leverage
  • Daily leverage (average)
    5.02
  • Daily leverage (max)
    18.05
  • Regression
  • Alpha
    1.02
  • Beta
    20.55
  • Treynor Index
    0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.08
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.60
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.23
  • Avg(MAE) / Avg(PL) - All trades
    26.478
  • 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
    0.82
  • Avg(MAE) / Avg(PL) - Winning trades
    0.577
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.370
  • Hold-and-Hope Ratio
    3.881
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    9.00603
  • SD
    10.40790
  • Sharpe ratio (Glass type estimate)
    0.86530
  • Sharpe ratio (Hedges UMVUE)
    0.82866
  • df
    18.00000
  • t
    1.08882
  • p
    0.37571
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72893
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.43647
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75231
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40962
  • Statistics related to Sortino ratio
  • Sortino ratio
    18.36460
  • Upside Potential Ratio
    20.24550
  • Upside part of mean
    9.92844
  • Downside part of mean
    -0.92241
  • Upside SD
    10.44710
  • Downside SD
    0.49040
  • N nonnegative terms
    10.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.05602
  • Mean of criterion
    9.00603
  • SD of predictor
    0.22821
  • SD of criterion
    10.40790
  • Covariance
    1.37360
  • r
    0.57830
  • b (slope, estimate of beta)
    26.37430
  • a (intercept, estimate of alpha)
    7.52860
  • Mean Square Error
    76.33850
  • DF error
    17.00000
  • t(b)
    2.92271
  • p(b)
    0.15354
  • t(a)
    1.08139
  • p(a)
    0.34024
  • Lowerbound of 95% confidence interval for beta
    7.33548
  • Upperbound of 95% confidence interval for beta
    45.41320
  • Lowerbound of 95% confidence interval for alpha
    -7.15992
  • Upperbound of 95% confidence interval for alpha
    22.21710
  • Treynor index (mean / b)
    0.34147
  • Jensen alpha (a)
    7.52860
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.97262
  • SD
    2.27888
  • Sharpe ratio (Glass type estimate)
    0.86561
  • Sharpe ratio (Hedges UMVUE)
    0.82895
  • df
    18.00000
  • t
    1.08920
  • p
    0.37567
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72864
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.43679
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.75203
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40993
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.28633
  • Upside Potential Ratio
    5.08048
  • Upside part of mean
    3.04957
  • Downside part of mean
    -1.07694
  • Upside SD
    2.20996
  • Downside SD
    0.60025
  • N nonnegative terms
    10.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.03202
  • Mean of criterion
    1.97262
  • SD of predictor
    0.22260
  • SD of criterion
    2.27888
  • Covariance
    0.16675
  • r
    0.32872
  • b (slope, estimate of beta)
    3.36530
  • a (intercept, estimate of alpha)
    1.86487
  • Mean Square Error
    4.90459
  • DF error
    17.00000
  • t(b)
    1.43509
  • p(b)
    0.29456
  • t(a)
    1.05862
  • p(a)
    0.34333
  • Lowerbound of 95% confidence interval for beta
    -1.58224
  • Upperbound of 95% confidence interval for beta
    8.31284
  • Lowerbound of 95% confidence interval for alpha
    -1.85180
  • Upperbound of 95% confidence interval for alpha
    5.58155
  • Treynor index (mean / b)
    0.58617
  • Jensen alpha (a)
    1.86487
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.60056
  • Expected Shortfall on VaR
    0.68836
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.17302
  • Expected Shortfall on VaR
    0.32088
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.55886
  • Quartile 1
    0.87347
  • Median
    1.01961
  • Quartile 3
    1.28717
  • Maximum
    14.10400
  • Mean of quarter 1
    0.75354
  • Mean of quarter 2
    0.96248
  • Mean of quarter 3
    1.17928
  • Mean of quarter 4
    4.00132
  • Inter Quartile Range
    0.41369
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.05263
  • Mean of outliers high
    14.10400
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.75195
  • VaR(95%) (moments method)
    0.27200
  • Expected Shortfall (moments method)
    0.30116
  • Extreme Value Index (regression method)
    0.24405
  • VaR(95%) (regression method)
    0.31196
  • Expected Shortfall (regression method)
    0.48319
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00857
  • Quartile 1
    0.23002
  • Median
    0.24552
  • Quartile 3
    0.34968
  • Maximum
    0.50451
  • Mean of quarter 1
    0.11930
  • Mean of quarter 2
    0.24552
  • Mean of quarter 3
    0.34968
  • Mean of quarter 4
    0.50451
  • Inter Quartile Range
    0.11966
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.00857
  • 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)
    14.36730
  • Compounded annual return (geometric extrapolation)
    6.39297
  • Calmar ratio (compounded annual return / max draw down)
    12.67170
  • Compounded annual return / average of 25% largest draw downs
    12.67170
  • Compounded annual return / Expected Shortfall lognormal
    9.28722
  • 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
    8.59627
  • SD
    10.12690
  • Sharpe ratio (Glass type estimate)
    0.84886
  • Sharpe ratio (Hedges UMVUE)
    0.84734
  • df
    420.00000
  • t
    1.07603
  • p
    0.14127
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69883
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.39564
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69989
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.39457
  • Statistics related to Sortino ratio
  • Sortino ratio
    16.98240
  • Upside Potential Ratio
    24.72010
  • Upside part of mean
    12.51300
  • Downside part of mean
    -3.91668
  • Upside SD
    10.11610
  • Downside SD
    0.50619
  • N nonnegative terms
    213.00000
  • N negative terms
    208.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    421.00000
  • Mean of predictor
    0.13447
  • Mean of criterion
    8.59627
  • SD of predictor
    0.29160
  • SD of criterion
    10.12690
  • Covariance
    1.77071
  • r
    0.59964
  • b (slope, estimate of beta)
    20.82470
  • a (intercept, estimate of alpha)
    5.79600
  • Mean Square Error
    65.83580
  • DF error
    419.00000
  • t(b)
    15.33760
  • p(b)
    -0.00000
  • t(a)
    0.90512
  • p(a)
    0.18296
  • Lowerbound of 95% confidence interval for beta
    18.15590
  • Upperbound of 95% confidence interval for beta
    23.49360
  • Lowerbound of 95% confidence interval for alpha
    -6.79104
  • Upperbound of 95% confidence interval for alpha
    18.38290
  • Treynor index (mean / b)
    0.41279
  • Jensen alpha (a)
    5.79595
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.94332
  • SD
    2.21819
  • Sharpe ratio (Glass type estimate)
    0.87608
  • Sharpe ratio (Hedges UMVUE)
    0.87452
  • df
    420.00000
  • t
    1.11054
  • p
    0.13370
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.67171
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.42290
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.67278
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42182
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.60913
  • Upside Potential Ratio
    11.14050
  • Upside part of mean
    5.99855
  • Downside part of mean
    -4.05523
  • Upside SD
    2.15248
  • Downside SD
    0.53844
  • N nonnegative terms
    213.00000
  • N negative terms
    208.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    421.00000
  • Mean of predictor
    0.09424
  • Mean of criterion
    1.94332
  • SD of predictor
    0.28035
  • SD of criterion
    2.21819
  • Covariance
    0.28306
  • r
    0.45519
  • b (slope, estimate of beta)
    3.60159
  • a (intercept, estimate of alpha)
    1.60391
  • Mean Square Error
    3.91022
  • DF error
    419.00000
  • t(b)
    10.46430
  • p(b)
    -0.00000
  • t(a)
    1.02796
  • p(a)
    0.15228
  • Lowerbound of 95% confidence interval for beta
    2.92506
  • Upperbound of 95% confidence interval for beta
    4.27812
  • Lowerbound of 95% confidence interval for alpha
    -1.46305
  • Upperbound of 95% confidence interval for alpha
    4.67087
  • Treynor index (mean / b)
    0.53957
  • Jensen alpha (a)
    1.60391
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19587
  • Expected Shortfall on VaR
    0.23966
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03412
  • Expected Shortfall on VaR
    0.06759
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    421.00000
  • Minimum
    0.72986
  • Quartile 1
    0.97948
  • Median
    1.00050
  • Quartile 3
    1.02032
  • Maximum
    13.79800
  • Mean of quarter 1
    0.94835
  • Mean of quarter 2
    0.99243
  • Mean of quarter 3
    1.00976
  • Mean of quarter 4
    1.18193
  • Inter Quartile Range
    0.04084
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.03088
  • Mean of outliers low
    0.88250
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.05226
  • Mean of outliers high
    1.70790
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.03261
  • VaR(95%) (moments method)
    0.04727
  • Expected Shortfall (moments method)
    0.06494
  • Extreme Value Index (regression method)
    -0.06204
  • VaR(95%) (regression method)
    0.05047
  • Expected Shortfall (regression method)
    0.06708
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    27.00000
  • Minimum
    0.00035
  • Quartile 1
    0.01368
  • Median
    0.02646
  • Quartile 3
    0.18555
  • Maximum
    0.70765
  • Mean of quarter 1
    0.00583
  • Mean of quarter 2
    0.02039
  • Mean of quarter 3
    0.07742
  • Mean of quarter 4
    0.35009
  • Inter Quartile Range
    0.17188
  • 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
    0.07407
  • Mean of outliers high
    0.60081
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.35751
  • VaR(95%) (moments method)
    0.40785
  • Expected Shortfall (moments method)
    0.67246
  • Extreme Value Index (regression method)
    1.03943
  • VaR(95%) (regression method)
    0.41115
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    14.15680
  • Compounded annual return (geometric extrapolation)
    6.17948
  • Calmar ratio (compounded annual return / max draw down)
    8.73236
  • Compounded annual return / average of 25% largest draw downs
    17.65120
  • Compounded annual return / Expected Shortfall lognormal
    25.78410
  • 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
    25.34060
  • SD
    18.13020
  • Sharpe ratio (Glass type estimate)
    1.39770
  • Sharpe ratio (Hedges UMVUE)
    1.38962
  • df
    130.00000
  • t
    0.98832
  • p
    0.45682
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.38197
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.17205
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.38733
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.16656
  • Statistics related to Sortino ratio
  • Sortino ratio
    37.37700
  • Upside Potential Ratio
    44.91590
  • Upside part of mean
    30.45170
  • Downside part of mean
    -5.11114
  • Upside SD
    18.11600
  • Downside SD
    0.67797
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.74805
  • Mean of criterion
    25.34060
  • SD of predictor
    0.38639
  • SD of criterion
    18.13020
  • Covariance
    5.77260
  • r
    0.82403
  • b (slope, estimate of beta)
    38.66580
  • a (intercept, estimate of alpha)
    -3.58327
  • Mean Square Error
    106.32200
  • DF error
    129.00000
  • t(b)
    16.52000
  • p(b)
    0.04312
  • t(a)
    -0.24397
  • p(a)
    0.51367
  • Lowerbound of 95% confidence interval for beta
    34.03490
  • Upperbound of 95% confidence interval for beta
    43.29660
  • Lowerbound of 95% confidence interval for alpha
    -32.64190
  • Upperbound of 95% confidence interval for alpha
    25.47540
  • Treynor index (mean / b)
    0.65538
  • Jensen alpha (a)
    -3.58327
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    4.47518
  • SD
    3.85221
  • Sharpe ratio (Glass type estimate)
    1.16172
  • Sharpe ratio (Hedges UMVUE)
    1.15500
  • df
    130.00000
  • t
    0.82146
  • p
    0.46407
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.61586
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.93495
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.62036
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.93036
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.07808
  • Upside Potential Ratio
    13.36720
  • Upside part of mean
    9.84198
  • Downside part of mean
    -5.36680
  • Upside SD
    3.77631
  • Downside SD
    0.73628
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.68006
  • Mean of criterion
    4.47518
  • SD of predictor
    0.35851
  • SD of criterion
    3.85221
  • Covariance
    1.01487
  • r
    0.73486
  • b (slope, estimate of beta)
    7.89618
  • a (intercept, estimate of alpha)
    -0.89466
  • Mean Square Error
    6.87878
  • DF error
    129.00000
  • t(b)
    12.30640
  • p(b)
    0.07860
  • t(a)
    -0.23955
  • p(a)
    0.51342
  • VAR (95 Confidence Intrvl)
    0.19600
  • Lowerbound of 95% confidence interval for beta
    6.62669
  • Upperbound of 95% confidence interval for beta
    9.16566
  • Lowerbound of 95% confidence interval for alpha
    -8.28385
  • Upperbound of 95% confidence interval for alpha
    6.49452
  • Treynor index (mean / b)
    0.56675
  • Jensen alpha (a)
    -0.89466
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.31228
  • Expected Shortfall on VaR
    0.37505
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04453
  • Expected Shortfall on VaR
    0.08925
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.72986
  • Quartile 1
    0.97664
  • Median
    1.00045
  • Quartile 3
    1.02223
  • Maximum
    13.79800
  • Mean of quarter 1
    0.93099
  • Mean of quarter 2
    0.99179
  • Mean of quarter 3
    1.01073
  • Mean of quarter 4
    1.45118
  • Inter Quartile Range
    0.04558
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.85879
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    3.28825
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.44909
  • VaR(95%) (moments method)
    0.06061
  • Expected Shortfall (moments method)
    0.07167
  • Extreme Value Index (regression method)
    -0.05150
  • VaR(95%) (regression method)
    0.06215
  • Expected Shortfall (regression method)
    0.08404
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00559
  • Quartile 1
    0.01440
  • Median
    0.02432
  • Quartile 3
    0.15222
  • Maximum
    0.70765
  • Mean of quarter 1
    0.00725
  • Mean of quarter 2
    0.01921
  • Mean of quarter 3
    0.07708
  • Mean of quarter 4
    0.46672
  • Inter Quartile Range
    0.13783
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.70765
  • 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?
    -566382000
  • Max Equity Drawdown (num days)
    64
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    17.00480
  • Compounded annual return (geometric extrapolation)
    89.29520
  • Calmar ratio (compounded annual return / max draw down)
    126.18500
  • Compounded annual return / average of 25% largest draw downs
    191.32600
  • Compounded annual return / Expected Shortfall lognormal
    238.09200

Strategy Description

I am not a quant developer/trader so this is not algo based. Based on proprietary methods developed that combine pattern analysis, timing, wave structure (not EW), special indicators and market buyer/seller dynamics all correlated to look for likely high probability trades. This is not HFT. Activity could range from 1-2 per day to 1-2 per month. Holds can also be intraday or several weeks. Expect returns to smooth out and volatility to decrease over time with steady gains eventually becoming more the norm..

*I am not a Financial Advisor. Use at your own risk and as such, I do not answer questions or offer guidance on how to use trade signals.

Summary Statistics

Strategy began
2021-12-30
Suggested Minimum Capital
$480,000
# Trades
49
# Profitable
39
% Profitable
79.6%
Correlation S&P500
0.530
Sharpe Ratio
0.55
Sortino Ratio
11.56
Beta
20.55
Alpha
1.02
Leverage
5.02 Average
18.05 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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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.