Collective2 Collective2
Featured Strategy Lazy Trading ES +44.1% Cumul. Return since Sep 25, 2024 Hypothetical

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ARK 2
(139046671)

Created by: ARKinactively ARKinactively
Started: 01/2022
Futures
Last trade: 596 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. You can subscribe to this system for free.

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.

153.5%
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.

(75.6%)
Max Drawdown
245
Num Trades
88.2%
Win Trades
5.1 : 1
Profit Factor
26.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022(6.9%)+23.7%+17.4%+4.3%(0.3%)+8.7%+9.2%(9.6%)+5.4%(26.2%)(36.5%)+1347.5%+979.2%
2023  -  +8.9%+19.4%  -    -    -    -    -    -    -    -    -  +30.1%
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 1,318 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 708 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
3/27/23 22:52 @CDM3 CANADIAN DOLLAR LONG 60 0.7342 4/5 3:08 0.7356 1.8%
Trade id #144087621
Max drawdown($17,700)
Time3/28/23 0:00
Quant open60
Worst price0.7312
Drawdown as % of equity-1.80%
 $8,195
Includes Typical Broker Commissions trade costs of $480.00
3/27/23 12:30 @JYM3 JAPANESE YEN LONG 105 0.007695 3/28 8:06 0.007743 1.15%
Trade id #144063858
Max drawdown($10,562)
Time3/27/23 14:32
Quant open75
Worst price0.007684
Drawdown as % of equity-1.15%
 $62,055
Includes Typical Broker Commissions trade costs of $840.00
3/24/23 1:04 @CDM3 CANADIAN DOLLAR LONG 150 0.7292 3/27 14:37 0.7324 3.15%
Trade id #144021518
Max drawdown($28,975)
Time3/24/23 8:34
Quant open75
Worst price0.7254
Drawdown as % of equity-3.15%
 $46,225
Includes Typical Broker Commissions trade costs of $1,200.00
3/24/23 4:09 @BPM3 BRITISH POUND LONG 65 1.2241 3/26 22:55 1.2261 1.07%
Trade id #144022080
Max drawdown($9,875)
Time3/24/23 9:45
Quant open65
Worst price1.2217
Drawdown as % of equity-1.07%
 $7,480
Includes Typical Broker Commissions trade costs of $520.00
3/23/23 4:25 @JYM3 JAPANESE YEN LONG 110 0.007716 3/24 1:04 0.007730 3.3%
Trade id #144008280
Max drawdown($29,500)
Time3/23/23 8:44
Quant open100
Worst price0.007692
Drawdown as % of equity-3.30%
 $17,380
Includes Typical Broker Commissions trade costs of $880.00
3/23/23 4:37 @CDM3 CANADIAN DOLLAR LONG 40 0.7324 3/23 11:45 0.7340 0.3%
Trade id #144008314
Max drawdown($2,700)
Time3/23/23 6:17
Quant open40
Worst price0.7317
Drawdown as % of equity-0.30%
 $6,180
Includes Typical Broker Commissions trade costs of $320.00
3/22/23 15:04 @JYM3 JAPANESE YEN LONG 10 0.007697 3/22 22:01 0.007737 0.05%
Trade id #143997687
Max drawdown($375)
Time3/22/23 15:09
Quant open5
Worst price0.007694
Drawdown as % of equity-0.05%
 $4,795
Includes Typical Broker Commissions trade costs of $80.00
3/22/23 14:09 @JYM3 JAPANESE YEN LONG 45 0.007673 3/22 14:45 0.007713 0.06%
Trade id #143996218
Max drawdown($500)
Time3/22/23 14:14
Quant open15
Worst price0.007669
Drawdown as % of equity-0.06%
 $22,298
Includes Typical Broker Commissions trade costs of $360.00
3/22/23 2:31 @JYM3 JAPANESE YEN LONG 85 0.007650 3/22 14:07 0.007684 4.26%
Trade id #143989355
Max drawdown($35,468)
Time3/22/23 8:17
Quant open85
Worst price0.007617
Drawdown as % of equity-4.26%
 $34,510
Includes Typical Broker Commissions trade costs of $680.00
3/21/23 9:44 @BPM3 BRITISH POUND LONG 85 1.2234 3/22 2:30 1.2253 1.75%
Trade id #143976644
Max drawdown($14,468)
Time3/21/23 12:41
Quant open80
Worst price1.2204
Drawdown as % of equity-1.75%
 $9,445
Includes Typical Broker Commissions trade costs of $680.00
3/20/23 8:06 @BPM3 BRITISH POUND LONG 10 1.2247 3/20 9:49 1.2284 0.04%
Trade id #143962693
Max drawdown($281)
Time3/20/23 8:16
Quant open10
Worst price1.2243
Drawdown as % of equity-0.04%
 $2,201
Includes Typical Broker Commissions trade costs of $80.00
3/13/23 23:14 @BPM3 BRITISH POUND LONG 231 1.2183 3/20 7:59 1.2211 10.05%
Trade id #143886814
Max drawdown($78,850)
Time3/15/23 0:00
Quant open87
Worst price1.2036
Drawdown as % of equity-10.05%
 $38,521
Includes Typical Broker Commissions trade costs of $1,848.00
3/17/23 1:48 @EUM3 EUROFX SHORT 40 1.07040 3/17 6:18 1.06910 1.65%
Trade id #143939962
Max drawdown($12,000)
Time3/17/23 4:09
Quant open40
Worst price1.07280
Drawdown as % of equity-1.65%
 $6,180
Includes Typical Broker Commissions trade costs of $320.00
3/9/23 6:42 @EUM3 EUROFX SHORT 40 1.06422 3/13 23:13 1.07310 6.86%
Trade id #143824339
Max drawdown($64,125)
Time3/10/23 0:00
Quant open40
Worst price1.07705
Drawdown as % of equity-6.86%
 ($44,714)
Includes Typical Broker Commissions trade costs of $320.00
3/9/23 3:35 @BPM3 BRITISH POUND SHORT 80 1.1938 3/13 23:13 1.2181 17.37%
Trade id #143823099
Max drawdown($144,750)
Time3/13/23 14:41
Quant open80
Worst price1.2227
Drawdown as % of equity-17.37%
 ($122,390)
Includes Typical Broker Commissions trade costs of $640.00
3/7/23 10:47 @BPM3 BRITISH POUND SHORT 10 1.1928 3/7 13:13 1.1876 n/a $3,201
Includes Typical Broker Commissions trade costs of $80.00
3/2/23 13:58 @BPH3 BRITISH POUND SHORT 85 1.1952 3/7 10:41 1.1896 4.75%
Trade id #143755987
Max drawdown($41,000)
Time3/7/23 2:26
Quant open65
Worst price1.2067
Drawdown as % of equity-4.75%
 $29,445
Includes Typical Broker Commissions trade costs of $680.00
3/2/23 15:37 @EUH3 EUROFX SHORT 35 1.06264 3/7 10:12 1.06025 3.41%
Trade id #143757590
Max drawdown($29,437)
Time3/7/23 2:39
Quant open30
Worst price1.06985
Drawdown as % of equity-3.41%
 $10,189
Includes Typical Broker Commissions trade costs of $280.00
3/2/23 9:15 @EUH3 EUROFX SHORT 20 1.06150 3/2 12:10 1.05965 0.16%
Trade id #143750240
Max drawdown($1,375)
Time3/2/23 10:56
Quant open20
Worst price1.06205
Drawdown as % of equity-0.16%
 $4,465
Includes Typical Broker Commissions trade costs of $160.00
3/2/23 9:02 @BPH3 BRITISH POUND SHORT 20 1.1957 3/2 12:10 1.1941 0.11%
Trade id #143750084
Max drawdown($937)
Time3/2/23 11:06
Quant open15
Worst price1.1965
Drawdown as % of equity-0.11%
 $1,903
Includes Typical Broker Commissions trade costs of $160.00
2/16/23 2:39 @BPH3 BRITISH POUND SHORT 369 1.2028 3/2 8:32 1.1991 7.96%
Trade id #143601035
Max drawdown($65,868)
Time2/28/23 0:00
Quant open90
Worst price1.2148
Drawdown as % of equity-7.96%
 $83,354
Includes Typical Broker Commissions trade costs of $2,952.00
2/15/23 1:28 @BPH3 BRITISH POUND SHORT 30 1.2149 2/15 6:54 1.2081 n/a $12,510
Includes Typical Broker Commissions trade costs of $240.00
11/10/22 8:59 @JYZ2 JAPANESE YEN SHORT 8 0.007006 11/15 8:59 0.007190 15.74%
Trade id #142517301
Max drawdown($15,406)
Time11/11/22 0:00
Quant open5
Worst price0.007253
Drawdown as % of equity-15.74%
 ($18,402)
Includes Typical Broker Commissions trade costs of $64.00
11/10/22 8:45 @JYZ2 JAPANESE YEN SHORT 5 0.006993 11/10 8:56 0.006978 0.93%
Trade id #142517058
Max drawdown($1,050)
Time11/10/22 8:48
Quant open3
Worst price0.007015
Drawdown as % of equity-0.93%
 $923
Includes Typical Broker Commissions trade costs of $40.00
11/9/22 4:09 @JYZ2 JAPANESE YEN LONG 31 0.006875 11/10 8:30 0.006893 10.64%
Trade id #142496703
Max drawdown($12,012)
Time11/9/22 14:39
Quant open27
Worst price0.006842
Drawdown as % of equity-10.64%
 $6,518
Includes Typical Broker Commissions trade costs of $248.00
11/10/22 6:15 @BPZ2 BRITISH POUND SHORT 2 1.1401 11/10 6:57 1.1382 0.08%
Trade id #142516005
Max drawdown($87)
Time11/10/22 6:20
Quant open2
Worst price1.1408
Drawdown as % of equity-0.08%
 $215
Includes Typical Broker Commissions trade costs of $16.00
11/10/22 5:11 @BPZ2 BRITISH POUND SHORT 3 1.1405 11/10 6:06 1.1381 0.13%
Trade id #142515738
Max drawdown($143)
Time11/10/22 6:00
Quant open2
Worst price1.1414
Drawdown as % of equity-0.13%
 $435
Includes Typical Broker Commissions trade costs of $24.00
11/10/22 3:36 @BPZ2 BRITISH POUND SHORT 3 1.1405 11/10 4:56 1.1377 0.1%
Trade id #142515009
Max drawdown($112)
Time11/10/22 3:44
Quant open3
Worst price1.1411
Drawdown as % of equity-0.10%
 $507
Includes Typical Broker Commissions trade costs of $24.00
11/10/22 2:17 @BPZ2 BRITISH POUND SHORT 4 1.1407 11/10 3:31 1.1388 0.21%
Trade id #142514368
Max drawdown($237)
Time11/10/22 3:05
Quant open4
Worst price1.1417
Drawdown as % of equity-0.21%
 $456
Includes Typical Broker Commissions trade costs of $32.00
11/9/22 22:12 @BPZ2 BRITISH POUND SHORT 3 1.1415 11/10 2:10 1.1393 0.14%
Trade id #142512447
Max drawdown($159)
Time11/10/22 1:47
Quant open2
Worst price1.1424
Drawdown as % of equity-0.14%
 $385
Includes Typical Broker Commissions trade costs of $24.00
Next

Statistics

  • Strategy began
    1/21/2022
  • Suggested Minimum Cap
    $1,060,000
  • Strategy Age (days)
    1033.56
  • Age
    35 months ago
  • What it trades
    Futures
  • # Trades
    245
  • # Profitable
    216
  • % Profitable
    88.20%
  • Avg trade duration
    4.5 days
  • Max peak-to-valley drawdown
    75.62%
  • drawdown period
    Sept 21, 2022 - Dec 14, 2022
  • Annual Return (Compounded)
    153.5%
  • Avg win
    $5,768
  • Avg loss
    $8,440
  • Model Account Values (Raw)
  • Cash
    $380,547
  • Margin Used
    $21,910
  • Buying Power
    $822,366
  • Ratios
  • W:L ratio
    5.09:1
  • Sharpe Ratio
    0.55
  • Sortino Ratio
    7.49
  • Calmar Ratio
    10.737
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1269.13%
  • Correlation to SP500
    -0.00600
  • Return Percent SP500 (cumu) during strategy life
    34.54%
  • Return Statistics
  • Ann Return (w trading costs)
    153.5%
  • 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)
    1.535%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    155.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    83.00%
  • Chance of 20% account loss
    72.50%
  • Chance of 30% account loss
    60.00%
  • Chance of 40% account loss
    34.00%
  • Chance of 60% account loss (Monte Carlo)
    12.00%
  • Chance of 70% account loss (Monte Carlo)
    3.50%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • 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
    25.50%
  • Popularity
  • Popularity (Today)
    395
  • Popularity (Last 6 weeks)
    496
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    355
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $8,441
  • Avg Win
    $5,768
  • Sum Trade PL (losers)
    $244,775.000
  • Age
  • Num Months filled monthly returns table
    35
  • Win / Loss
  • Sum Trade PL (winners)
    $1,245,930.000
  • # Winners
    216
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    29
  • % Winners
    88.2%
  • Frequency
  • Avg Position Time (mins)
    6421.02
  • Avg Position Time (hrs)
    107.02
  • Avg Trade Length
    4.5 days
  • Last Trade Ago
    595
  • Leverage
  • Daily leverage (average)
    9.01
  • Daily leverage (max)
    39.80
  • Regression
  • Alpha
    0.87
  • Beta
    -0.17
  • Treynor Index
    -5.15
  • 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)
    6.17
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.14
  • Avg(MAE) / Avg(PL) - All trades
    4.661
  • 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
    0.07
  • Avg(MAE) / Avg(PL) - Winning trades
    1.196
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.594
  • Hold-and-Hope Ratio
    0.890
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    8.63365
  • SD
    9.32495
  • Sharpe ratio (Glass type estimate)
    0.92587
  • Sharpe ratio (Hedges UMVUE)
    0.87521
  • df
    14.00000
  • t
    1.03515
  • p
    0.36668
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87557
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.69577
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90756
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.65798
  • Statistics related to Sortino ratio
  • Sortino ratio
    24.19650
  • Upside Potential Ratio
    25.41920
  • Upside part of mean
    9.06991
  • Downside part of mean
    -0.43625
  • Upside SD
    9.34035
  • Downside SD
    0.35681
  • N nonnegative terms
    9.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.26586
  • Mean of criterion
    8.63365
  • SD of predictor
    0.31415
  • SD of criterion
    9.32495
  • Covariance
    -0.65864
  • r
    -0.22484
  • b (slope, estimate of beta)
    -6.67391
  • a (intercept, estimate of alpha)
    10.40800
  • Mean Square Error
    88.90970
  • DF error
    13.00000
  • t(b)
    -0.83196
  • p(b)
    0.64192
  • t(a)
    1.19643
  • p(a)
    0.30287
  • Lowerbound of 95% confidence interval for beta
    -24.00410
  • Upperbound of 95% confidence interval for beta
    10.65630
  • Lowerbound of 95% confidence interval for alpha
    -8.38550
  • Upperbound of 95% confidence interval for alpha
    29.20150
  • Treynor index (mean / b)
    -1.29364
  • Jensen alpha (a)
    10.40800
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.10235
  • SD
    2.23291
  • Sharpe ratio (Glass type estimate)
    0.94153
  • Sharpe ratio (Hedges UMVUE)
    0.89001
  • df
    14.00000
  • t
    1.05266
  • p
    0.36459
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.86122
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71231
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89376
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67379
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.76767
  • Upside Potential Ratio
    5.94565
  • Upside part of mean
    2.62179
  • Downside part of mean
    -0.51944
  • Upside SD
    2.19713
  • Downside SD
    0.44096
  • N nonnegative terms
    9.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.22000
  • Mean of criterion
    2.10235
  • SD of predictor
    0.29884
  • SD of criterion
    2.23291
  • Covariance
    -0.16608
  • r
    -0.24888
  • b (slope, estimate of beta)
    -1.85962
  • a (intercept, estimate of alpha)
    2.51146
  • Mean Square Error
    5.03684
  • DF error
    13.00000
  • t(b)
    -0.92651
  • p(b)
    0.65679
  • t(a)
    1.22192
  • p(a)
    0.29923
  • Lowerbound of 95% confidence interval for beta
    -6.19576
  • Upperbound of 95% confidence interval for beta
    2.47651
  • Lowerbound of 95% confidence interval for alpha
    -1.92885
  • Upperbound of 95% confidence interval for alpha
    6.95177
  • Treynor index (mean / b)
    -1.13052
  • Jensen alpha (a)
    2.51146
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.58731
  • Expected Shortfall on VaR
    0.67656
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06969
  • Expected Shortfall on VaR
    0.15838
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.62334
  • Quartile 1
    0.99149
  • Median
    1.07347
  • Quartile 3
    1.11102
  • Maximum
    11.43920
  • Mean of quarter 1
    0.86716
  • Mean of quarter 2
    1.03198
  • Mean of quarter 3
    1.09233
  • Mean of quarter 4
    3.73835
  • Inter Quartile Range
    0.11953
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.06667
  • Mean of outliers low
    0.62334
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    11.43920
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.24962
  • VaR(95%) (moments method)
    0.12566
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    3.18397
  • VaR(95%) (regression method)
    0.29435
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01703
  • Quartile 1
    0.01792
  • Median
    0.01882
  • Quartile 3
    0.23478
  • Maximum
    0.45074
  • Mean of quarter 1
    0.01703
  • Mean of quarter 2
    0.01882
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.45074
  • Inter Quartile Range
    0.21685
  • 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)
    10.66930
  • Compounded annual return (geometric extrapolation)
    7.41702
  • Calmar ratio (compounded annual return / max draw down)
    16.45530
  • Compounded annual return / average of 25% largest draw downs
    16.45530
  • Compounded annual return / Expected Shortfall lognormal
    10.96280
  • 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
    10.65980
  • SD
    11.77680
  • Sharpe ratio (Glass type estimate)
    0.90515
  • Sharpe ratio (Hedges UMVUE)
    0.90309
  • df
    330.00000
  • t
    1.01738
  • p
    0.15486
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.84064
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.64960
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84202
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.64820
  • Statistics related to Sortino ratio
  • Sortino ratio
    22.85480
  • Upside Potential Ratio
    28.99780
  • Upside part of mean
    13.52500
  • Downside part of mean
    -2.86518
  • Upside SD
    11.76820
  • Downside SD
    0.46642
  • N nonnegative terms
    150.00000
  • N negative terms
    181.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    331.00000
  • Mean of predictor
    0.23272
  • Mean of criterion
    10.65980
  • SD of predictor
    0.25350
  • SD of criterion
    11.77680
  • Covariance
    -0.01507
  • r
    -0.00505
  • b (slope, estimate of beta)
    -0.23451
  • a (intercept, estimate of alpha)
    10.71400
  • Mean Square Error
    139.11200
  • DF error
    329.00000
  • t(b)
    -0.09156
  • p(b)
    0.53645
  • t(a)
    1.01941
  • p(a)
    0.15438
  • Lowerbound of 95% confidence interval for beta
    -5.27302
  • Upperbound of 95% confidence interval for beta
    4.80400
  • Lowerbound of 95% confidence interval for alpha
    -9.96165
  • Upperbound of 95% confidence interval for alpha
    31.39040
  • Treynor index (mean / b)
    -45.45600
  • Jensen alpha (a)
    10.71440
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.07982
  • SD
    2.45331
  • Sharpe ratio (Glass type estimate)
    0.84776
  • Sharpe ratio (Hedges UMVUE)
    0.84584
  • df
    330.00000
  • t
    0.95288
  • p
    0.17067
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89781
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.59209
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89911
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59078
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.21044
  • Upside Potential Ratio
    10.24780
  • Upside part of mean
    5.06207
  • Downside part of mean
    -2.98225
  • Upside SD
    2.40271
  • Downside SD
    0.49397
  • N nonnegative terms
    150.00000
  • N negative terms
    181.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    331.00000
  • Mean of predictor
    0.20071
  • Mean of criterion
    2.07982
  • SD of predictor
    0.25274
  • SD of criterion
    2.45331
  • Covariance
    -0.00607
  • r
    -0.00979
  • b (slope, estimate of beta)
    -0.09499
  • a (intercept, estimate of alpha)
    2.09889
  • Mean Square Error
    6.03643
  • DF error
    329.00000
  • t(b)
    -0.17751
  • p(b)
    0.57039
  • t(a)
    0.95905
  • p(a)
    0.16912
  • Lowerbound of 95% confidence interval for beta
    -1.14771
  • Upperbound of 95% confidence interval for beta
    0.95773
  • Lowerbound of 95% confidence interval for alpha
    -2.20637
  • Upperbound of 95% confidence interval for alpha
    6.40415
  • Treynor index (mean / b)
    -21.89530
  • Jensen alpha (a)
    2.09889
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21444
  • Expected Shortfall on VaR
    0.26151
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02618
  • Expected Shortfall on VaR
    0.05575
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    331.00000
  • Minimum
    0.81786
  • Quartile 1
    0.99398
  • Median
    1.00000
  • Quartile 3
    1.01042
  • Maximum
    14.21700
  • Mean of quarter 1
    0.95745
  • Mean of quarter 2
    0.99917
  • Mean of quarter 3
    1.00437
  • Mean of quarter 4
    1.20174
  • Inter Quartile Range
    0.01644
  • Number outliers low
    41.00000
  • Percentage of outliers low
    0.12387
  • Mean of outliers low
    0.92840
  • Number of outliers high
    32.00000
  • Percentage of outliers high
    0.09668
  • Mean of outliers high
    1.48972
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59968
  • VaR(95%) (moments method)
    0.03156
  • Expected Shortfall (moments method)
    0.09344
  • Extreme Value Index (regression method)
    0.02630
  • VaR(95%) (regression method)
    0.04055
  • Expected Shortfall (regression method)
    0.06301
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00104
  • Quartile 1
    0.01251
  • Median
    0.02666
  • Quartile 3
    0.05429
  • Maximum
    0.67335
  • Mean of quarter 1
    0.00539
  • Mean of quarter 2
    0.01765
  • Mean of quarter 3
    0.03866
  • Mean of quarter 4
    0.24390
  • Inter Quartile Range
    0.04178
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.28817
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.09158
  • VaR(95%) (moments method)
    0.18294
  • Expected Shortfall (moments method)
    0.25490
  • Extreme Value Index (regression method)
    0.66132
  • VaR(95%) (regression method)
    0.32157
  • Expected Shortfall (regression method)
    1.09426
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    10.55650
  • Compounded annual return (geometric extrapolation)
    7.22955
  • Calmar ratio (compounded annual return / max draw down)
    10.73670
  • Compounded annual return / average of 25% largest draw downs
    29.64140
  • Compounded annual return / Expected Shortfall lognormal
    27.64480
  • 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
    26.06330
  • SD
    18.71200
  • Sharpe ratio (Glass type estimate)
    1.39286
  • Sharpe ratio (Hedges UMVUE)
    1.38481
  • df
    130.00000
  • t
    0.98490
  • p
    0.45697
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.38677
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.16718
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.39210
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.16172
  • Statistics related to Sortino ratio
  • Sortino ratio
    42.67530
  • Upside Potential Ratio
    48.74990
  • Upside part of mean
    29.77330
  • Downside part of mean
    -3.70999
  • Upside SD
    18.69990
  • Downside SD
    0.61074
  • N nonnegative terms
    31.00000
  • N negative terms
    100.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.82287
  • Mean of criterion
    26.06330
  • SD of predictor
    0.25599
  • SD of criterion
    18.71200
  • Covariance
    -0.11716
  • r
    -0.02446
  • b (slope, estimate of beta)
    -1.78776
  • a (intercept, estimate of alpha)
    27.53440
  • Mean Square Error
    352.64300
  • DF error
    129.00000
  • t(b)
    -0.27787
  • p(b)
    0.51557
  • t(a)
    1.01679
  • p(a)
    0.44331
  • Lowerbound of 95% confidence interval for beta
    -14.51710
  • Upperbound of 95% confidence interval for beta
    10.94160
  • Lowerbound of 95% confidence interval for alpha
    -26.04360
  • Upperbound of 95% confidence interval for alpha
    81.11240
  • Treynor index (mean / b)
    -14.57880
  • Jensen alpha (a)
    27.53440
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    4.58943
  • SD
    3.85079
  • Sharpe ratio (Glass type estimate)
    1.19182
  • Sharpe ratio (Hedges UMVUE)
    1.18493
  • df
    130.00000
  • t
    0.84274
  • p
    0.46314
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.58595
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.96523
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.59062
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.96047
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.02712
  • Upside Potential Ratio
    13.01920
  • Upside part of mean
    8.50290
  • Downside part of mean
    -3.91346
  • Upside SD
    3.79067
  • Downside SD
    0.65310
  • N nonnegative terms
    31.00000
  • N negative terms
    100.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.78952
  • Mean of criterion
    4.58943
  • SD of predictor
    0.25320
  • SD of criterion
    3.85079
  • Covariance
    -0.04622
  • r
    -0.04740
  • b (slope, estimate of beta)
    -0.72094
  • a (intercept, estimate of alpha)
    5.15863
  • Mean Square Error
    14.90990
  • DF error
    129.00000
  • t(b)
    -0.53901
  • p(b)
    0.53017
  • t(a)
    0.92749
  • p(a)
    0.44824
  • VAR (95 Confidence Intrvl)
    0.21400
  • Lowerbound of 95% confidence interval for beta
    -3.36729
  • Upperbound of 95% confidence interval for beta
    1.92540
  • Lowerbound of 95% confidence interval for alpha
    -5.84577
  • Upperbound of 95% confidence interval for alpha
    16.16300
  • Treynor index (mean / b)
    -6.36586
  • Jensen alpha (a)
    5.15863
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.31188
  • Expected Shortfall on VaR
    0.37466
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04189
  • Expected Shortfall on VaR
    0.08614
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.81786
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    14.21700
  • Mean of quarter 1
    0.94411
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.45121
  • Inter Quartile Range
    0.00000
  • Number outliers low
    29.00000
  • Percentage of outliers low
    0.22137
  • Mean of outliers low
    0.93640
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.23664
  • Mean of outliers high
    1.48032
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.04566
  • VaR(95%) (moments method)
    0.00386
  • Expected Shortfall (moments method)
    0.00398
  • Extreme Value Index (regression method)
    -0.49767
  • VaR(95%) (regression method)
    0.06475
  • Expected Shortfall (regression method)
    0.08435
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.01116
  • Quartile 1
    0.04295
  • Median
    0.08596
  • Quartile 3
    0.14891
  • Maximum
    0.65910
  • Mean of quarter 1
    0.02626
  • Mean of quarter 2
    0.06525
  • Mean of quarter 3
    0.10726
  • Mean of quarter 4
    0.42483
  • Inter Quartile Range
    0.10595
  • 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
    0.14286
  • Mean of outliers high
    0.65910
  • 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?
    -367045000
  • Max Equity Drawdown (num days)
    84
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    18.12210
  • Compounded annual return (geometric extrapolation)
    100.22400
  • Calmar ratio (compounded annual return / max draw down)
    152.06200
  • Compounded annual return / average of 25% largest draw downs
    235.92000
  • Compounded annual return / Expected Shortfall lognormal
    267.50700

Strategy Description

Hello,

1) Trading experience since 2006. Experience in managing a fund of 20 million USD. The plan and goal for the future is to open a hedge fund.
2) My public verified trading results | 2011 + 12.11% | 2012 + 105.51% | 2013 + 272.49% | 2014 + 182.49% | 2015 + 121.17% | 2016 + 65.57% | 2017 + 18.24% | 2018 + 88.6% | 2019 +16.5%.
3) Manual trading is based on the use of advanced mathematical algorithms that generate accurate entry and exit signals, as well as on the analysis of intraday currency futures of the Chicago Mercantile Exchange (CME Group).
4) Trading is carried out both on a trend and on a reversal, on FX futures CME - British Pound Futures, Euro FX Futures, Australian Dollar Futures, Japanese Yen Futures, Swiss Franc Futures, Canadian Dollar Futures.
5) Each trade is protected by stop loss.
6) Not a martingale.
7) Sims + Subscribers = 217*
8) AUM Subscribers C2 on my systems = 7,101,000 USD*

It is important to know when connecting my system “ARK 2” (FX futures CME) to autotrade:

1) Attention! If your trading account is more than 100,000 USD, then it will be more profitable for you to subscribe to my ARK 2 system, where trading in currency futures on the CME exchange and less commission. I considered that with my turnover per year, the savings on commission is 3-4% per annum than when trading on the forex market.
2) There are no restrictions on the connection of autotrader. Any broker from the list - Interactive Brokers, Tradovate, StoneX, Trade Pro, GarWood, AMP Clearing, AGM Markets, Ninja Trader, CTS Platform (any broker), CQG Platform (any broker), Rithmic Platform (any broker), ETNA Trader (any broker).
3) Attention! I recommend that subscribers in the settings set the maximum risk parameters per month no more than 10-15-20%. Be sure to do this.
4) Attention! To be honest with you, this is not my first profile here. I had great periods here, when the number of paid subscribers was about 100 and the amount under management was about 7 million USD (this is the period from February 2018 to July 2019). For 2018, a profit of 88% was shown, but then 95% of customers left due to a profit of 16% per year!!! From experience I can say that low drawdowns and moderate profit (10-25% per year) are of little interest here, and when you start showing such a result 80-90 percent of clients leave. Strategies with large profits, which lead to large drawdowns in the future, are very popular. This is a pattern and a vicious circle. The more profit the more drawdown awaits you in the future. Therefore, I began to use my system with aggressive risks, which led to a series of failures. Therefore, when subscribing to the system, be sure to set the risk limit acceptable for you in your profile.

Useful recommendations when copying my system “ARK 2” (FX futures CME):

1) Do not idealize the results of my trading. Stable every month for a long period of time, at least over a period of several years, you are unlikely to receive a plus every month, this is not a bank deposit. There will be periods of subsidence, since everything in this world is cyclical and the results in trading are no exception, after growth always follows a decline or for some time there is a stagnation in growth and this should be perceived normally.
2) Diversify your savings - do not put all your eggs in one basket.
3) Constantly and continuously monitor the results, it is desirable to do this several times a week, so you will be calmer.
4) Understand that profitability is not linear, it is not a bank deposit, that income received in the past cannot serve as a guarantee of receiving such income in the future.
5) Do not worry and don’t share your feelings with me about where the market will go or what you think is wrong at the moment (I don’t have a psychological session service), because there is a stop loss for every deal , there is a risk limit. Excessive anxiety only ruins the result.
6) There are periods, several trading sessions, several trading weeks when there is no trading activity, this is normal. Permanent presence in the market and constant trading in no way affects the better profit, does not make it anymore, sometimes just a few trading sessions make the result for a whole month. You need to be able to wait, work out only clear signals and then the result will be much better.
7) There is a possibility that you may lose some or all of your investments and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with foreign exchange trading and seek advice from an independent financial advisor if you have any doubts.

September 12, 2022*
Michael

Summary Statistics

Strategy began
2022-01-21
Suggested Minimum Capital
$1,060,000
# Trades
245
# Profitable
216
% Profitable
88.2%
Correlation S&P500
-0.006
Sharpe Ratio
0.55
Sortino Ratio
7.49
Beta
-0.17
Alpha
0.87
Leverage
9.01 Average
39.80 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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