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

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wstreet9
(139851734)

Created by: RICH01 RICH01
Started: 03/2022
Futures
Last trade: 403 days ago
Trading style: Futures Short Term

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 $240.00 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
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
-
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.

(100.0%)
Max Drawdown
231
Num Trades
88.7%
Win Trades
0.1 : 1
Profit Factor
37.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022              +3.3%+2.4%+0.9%+4.1%+5.6%+3.4%+1.8%(0.3%)(0.3%)+1.8%+25.0%
2023(0.6%)+0.4%(1.2%)(263%)  -    -    -    -    -    -    -  (260.8%)
2024  -    -    -                                                        

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 81 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 581 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/28/23 7:06 @QMJ3 MINY CRUDE OIL SHORT 1 76.775 3/1 5:58 76.275 0.17%
Trade id #143717204
Max drawdown($525)
Time2/28/23 9:15
Quant open1
Worst price77.825
Drawdown as % of equity-0.17%
 $242
Includes Typical Broker Commissions trade costs of $8.00
2/27/23 11:18 @QMJ3 MINY CRUDE OIL LONG 1 75.875 2/28 6:23 76.850 0.14%
Trade id #143708833
Max drawdown($450)
Time2/27/23 13:45
Quant open1
Worst price74.975
Drawdown as % of equity-0.14%
 $480
Includes Typical Broker Commissions trade costs of $8.00
2/27/23 10:21 @QMJ3 MINY CRUDE OIL SHORT 1 75.750 2/27 11:10 75.675 0.03%
Trade id #143707781
Max drawdown($100)
Time2/27/23 10:28
Quant open1
Worst price75.950
Drawdown as % of equity-0.03%
 $30
Includes Typical Broker Commissions trade costs of $8.00
2/27/23 3:39 @QMJ3 MINY CRUDE OIL SHORT 2 76.375 2/27 6:36 76.200 0.17%
Trade id #143703447
Max drawdown($525)
Time2/27/23 4:20
Quant open2
Worst price76.900
Drawdown as % of equity-0.17%
 $159
Includes Typical Broker Commissions trade costs of $16.00
2/24/23 12:03 @QMJ3 MINY CRUDE OIL SHORT 1 76.250 2/24 12:25 75.800 n/a $217
Includes Typical Broker Commissions trade costs of $8.00
2/24/23 8:15 @QMJ3 MINY CRUDE OIL LONG 2 75.312 2/24 11:26 75.825 0.31%
Trade id #143685409
Max drawdown($962)
Time2/24/23 9:46
Quant open1
Worst price74.100
Drawdown as % of equity-0.31%
 $497
Includes Typical Broker Commissions trade costs of $16.00
2/22/23 11:17 @QMJ3 MINY CRUDE OIL LONG 1 74.425 2/22 12:47 74.500 0.05%
Trade id #143663598
Max drawdown($150)
Time2/22/23 11:41
Quant open1
Worst price74.125
Drawdown as % of equity-0.05%
 $30
Includes Typical Broker Commissions trade costs of $8.00
2/22/23 6:08 @QMJ3 MINY CRUDE OIL LONG 1 75.775 2/22 6:25 75.725 0.02%
Trade id #143659422
Max drawdown($50)
Time2/22/23 6:13
Quant open1
Worst price75.675
Drawdown as % of equity-0.02%
 ($33)
Includes Typical Broker Commissions trade costs of $8.00
2/22/23 6:03 @ESH3 E-MINI S&P 500 LONG 1 4007.00 2/22 6:04 4007.25 n/a $5
Includes Typical Broker Commissions trade costs of $8.00
2/1/23 10:09 @QMH3 MINY CRUDE OIL LONG 2 76.225 2/7 11:50 76.750 0.88%
Trade id #143412766
Max drawdown($2,737)
Time2/3/23 0:00
Quant open1
Worst price73.100
Drawdown as % of equity-0.88%
 $509
Includes Typical Broker Commissions trade costs of $16.00
1/31/23 10:52 @QMH3 MINY CRUDE OIL LONG 1 79.225 2/1 7:43 79.400 0.16%
Trade id #143400090
Max drawdown($500)
Time1/31/23 14:09
Quant open1
Worst price78.225
Drawdown as % of equity-0.16%
 $80
Includes Typical Broker Commissions trade costs of $8.00
1/31/23 10:07 @QMH3 MINY CRUDE OIL SHORT 1 78.200 1/31 10:13 78.325 0.02%
Trade id #143399013
Max drawdown($75)
Time1/31/23 10:13
Quant open1
Worst price78.350
Drawdown as % of equity-0.02%
 ($71)
Includes Typical Broker Commissions trade costs of $8.00
1/31/23 9:34 @QMH3 MINY CRUDE OIL LONG 1 77.500 1/31 9:47 77.825 n/a $155
Includes Typical Broker Commissions trade costs of $8.00
1/27/23 11:25 @QMH3 MINY CRUDE OIL LONG 2 79.225 1/30 11:20 79.600 0.45%
Trade id #143366118
Max drawdown($1,400)
Time1/30/23 9:01
Quant open2
Worst price77.825
Drawdown as % of equity-0.45%
 $359
Includes Typical Broker Commissions trade costs of $16.00
1/26/23 10:32 @QMH3 MINY CRUDE OIL SHORT 1 81.025 1/27 10:54 80.675 0.24%
Trade id #143351150
Max drawdown($737)
Time1/27/23 9:05
Quant open1
Worst price82.500
Drawdown as % of equity-0.24%
 $167
Includes Typical Broker Commissions trade costs of $8.00
1/24/23 10:15 @QMH3 MINY CRUDE OIL LONG 1 81.225 1/26 8:53 81.575 0.25%
Trade id #143317726
Max drawdown($775)
Time1/24/23 13:48
Quant open1
Worst price79.675
Drawdown as % of equity-0.25%
 $167
Includes Typical Broker Commissions trade costs of $8.00
1/20/23 11:03 @QMH3 MINY CRUDE OIL LONG 1 80.650 1/20 11:16 80.800 n/a $67
Includes Typical Broker Commissions trade costs of $8.00
1/20/23 10:11 @QMH3 MINY CRUDE OIL SHORT 1 80.750 1/20 10:17 80.425 n/a $155
Includes Typical Broker Commissions trade costs of $8.00
1/11/23 11:32 @QMH3 MINY CRUDE OIL SHORT 2 79.325 1/18 20:18 78.950 1.1%
Trade id #143179149
Max drawdown($3,350)
Time1/18/23 10:28
Quant open2
Worst price82.675
Drawdown as % of equity-1.10%
 $359
Includes Typical Broker Commissions trade costs of $16.00
1/11/23 11:26 @QMG3 MINY CRUDE OIL SHORT 16 81.097 1/18 11:58 81.450 2.57%
Trade id #143179056
Max drawdown($7,825)
Time1/18/23 11:13
Quant open16
Worst price82.075
Drawdown as % of equity-2.57%
 ($2,953)
Includes Typical Broker Commissions trade costs of $128.00
1/11/23 8:53 @QMG3 MINY CRUDE OIL SHORT 1 76.675 1/11 9:45 76.300 0.08%
Trade id #143174415
Max drawdown($237)
Time1/11/23 9:06
Quant open1
Worst price77.150
Drawdown as % of equity-0.08%
 $180
Includes Typical Broker Commissions trade costs of $8.00
1/10/23 8:35 @QMG3 MINY CRUDE OIL LONG 1 75.000 1/10 9:06 75.550 0.03%
Trade id #143159077
Max drawdown($87)
Time1/10/23 8:53
Quant open1
Worst price74.825
Drawdown as % of equity-0.03%
 $267
Includes Typical Broker Commissions trade costs of $8.00
1/9/23 11:23 @QMG3 MINY CRUDE OIL LONG 1 74.900 1/9 12:34 75.000 0.04%
Trade id #143147661
Max drawdown($125)
Time1/9/23 11:36
Quant open1
Worst price74.650
Drawdown as % of equity-0.04%
 $42
Includes Typical Broker Commissions trade costs of $8.00
1/9/23 11:21 @QMG3 MINY CRUDE OIL LONG 1 75.425 1/9 11:23 74.875 0.09%
Trade id #143147631
Max drawdown($275)
Time1/9/23 11:23
Quant open1
Worst price74.875
Drawdown as % of equity-0.09%
 ($283)
Includes Typical Broker Commissions trade costs of $8.00
12/28/22 10:47 @QMG3 MINY CRUDE OIL LONG 1 77.575 12/28 11:29 77.850 0.04%
Trade id #143019031
Max drawdown($125)
Time12/28/22 11:08
Quant open1
Worst price77.325
Drawdown as % of equity-0.04%
 $130
Includes Typical Broker Commissions trade costs of $8.00
12/5/22 10:11 @QMF3 MINY CRUDE OIL LONG 16 74.830 12/13 9:13 74.900 4.3%
Trade id #142768810
Max drawdown($13,037)
Time12/13/22 7:13
Quant open16
Worst price73.200
Drawdown as % of equity-4.30%
 $435
Includes Typical Broker Commissions trade costs of $128.00
12/2/22 11:31 @QMF3 MINY CRUDE OIL LONG 1 81.250 12/2 11:43 81.475 0.01%
Trade id #142751666
Max drawdown($37)
Time12/2/22 11:36
Quant open1
Worst price81.175
Drawdown as % of equity-0.01%
 $105
Includes Typical Broker Commissions trade costs of $8.00
12/2/22 9:21 @QMF3 MINY CRUDE OIL LONG 1 81.150 12/2 9:35 81.500 n/a $167
Includes Typical Broker Commissions trade costs of $8.00
12/1/22 10:01 @QMF3 MINY CRUDE OIL SHORT 1 82.700 12/1 12:12 82.275 0.1%
Trade id #142733055
Max drawdown($312)
Time12/1/22 10:15
Quant open1
Worst price83.325
Drawdown as % of equity-0.10%
 $205
Includes Typical Broker Commissions trade costs of $8.00
11/16/22 10:30 @QMF3 MINY CRUDE OIL LONG 4 82.519 12/1 9:10 82.850 6%
Trade id #142585310
Max drawdown($17,887)
Time11/28/22 0:00
Quant open4
Worst price73.575
Drawdown as % of equity-6.00%
 $631
Includes Typical Broker Commissions trade costs of $32.00
Next

Statistics

  • Strategy began
    3/21/2022
  • Suggested Minimum Cap
    $250,000
  • Strategy Age (days)
    757.47
  • Age
    25 months ago
  • What it trades
    Futures
  • # Trades
    231
  • # Profitable
    205
  • % Profitable
    88.70%
  • Avg trade duration
    2.4 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    March 31, 2022 - April 07, 2023
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $404.96
  • Avg loss
    $31,834
  • Model Account Values (Raw)
  • Cash
    $320,009
  • Margin Used
    $156,000
  • Buying Power
    ($650,703)
  • Ratios
  • W:L ratio
    0.10:1
  • Sharpe Ratio
    -0.69
  • Sortino Ratio
    -0.69
  • Calmar Ratio
    -1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -314.64%
  • Correlation to SP500
    -0.00240
  • Return Percent SP500 (cumu) during strategy life
    12.32%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • 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
    0.52%
  • 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)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    19.50%
  • Chance of 20% account loss
    1.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • 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
    $31,835
  • Avg Win
    $405
  • Sum Trade PL (losers)
    $827,700.000
  • Age
  • Num Months filled monthly returns table
    14
  • Win / Loss
  • Sum Trade PL (winners)
    $83,017.000
  • # Winners
    205
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    26
  • % Winners
    88.7%
  • Frequency
  • Avg Position Time (mins)
    3477.97
  • Avg Position Time (hrs)
    57.97
  • Avg Trade Length
    2.4 days
  • Last Trade Ago
    369
  • Leverage
  • Daily leverage (average)
    0.52
  • Daily leverage (max)
    3.23
  • Regression
  • Alpha
    0.00
  • Beta
    -0.02
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.47
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    23.485
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    3.496
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.096
  • Hold-and-Hope Ratio
    -1.981
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.72520
  • SD
    0.98940
  • Sharpe ratio (Glass type estimate)
    -0.73297
  • Sharpe ratio (Hedges UMVUE)
    -0.68602
  • df
    12.00000
  • t
    -0.76290
  • p
    0.60754
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.62353
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.18702
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.58898
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.21695
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.75250
  • Upside Potential Ratio
    0.27229
  • Upside part of mean
    0.26241
  • Downside part of mean
    -0.98761
  • Upside SD
    0.13670
  • Downside SD
    0.96372
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    -0.04000
  • Mean of criterion
    -0.72520
  • SD of predictor
    0.21632
  • SD of criterion
    0.98940
  • Covariance
    -0.08609
  • r
    -0.40224
  • b (slope, estimate of beta)
    -1.83971
  • a (intercept, estimate of alpha)
    -0.79879
  • Mean Square Error
    0.89513
  • DF error
    11.00000
  • t(b)
    -1.45714
  • p(b)
    0.91349
  • t(a)
    -0.87740
  • p(a)
    0.80049
  • Lowerbound of 95% confidence interval for beta
    -4.61855
  • Upperbound of 95% confidence interval for beta
    0.93914
  • Lowerbound of 95% confidence interval for alpha
    -2.80256
  • Upperbound of 95% confidence interval for alpha
    1.20499
  • Treynor index (mean / b)
    0.39419
  • Jensen alpha (a)
    -0.79879
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -11.50120
  • SD
    12.18580
  • Sharpe ratio (Glass type estimate)
    -0.94382
  • Sharpe ratio (Hedges UMVUE)
    -0.88336
  • df
    12.00000
  • t
    -0.98236
  • p
    0.63641
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.84487
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.99459
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.79931
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.03259
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.94515
  • Upside Potential Ratio
    0.02079
  • Upside part of mean
    0.25299
  • Downside part of mean
    -11.75420
  • Upside SD
    0.13098
  • Downside SD
    12.16870
  • N nonnegative terms
    8.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    -0.06212
  • Mean of criterion
    -11.50120
  • SD of predictor
    0.22037
  • SD of criterion
    12.18580
  • Covariance
    -1.04256
  • r
    -0.38823
  • b (slope, estimate of beta)
    -21.46770
  • a (intercept, estimate of alpha)
    -12.83470
  • Mean Square Error
    137.57700
  • DF error
    11.00000
  • t(b)
    -1.39721
  • p(b)
    0.90505
  • t(a)
    -1.13486
  • p(a)
    0.85972
  • Lowerbound of 95% confidence interval for beta
    -55.28520
  • Upperbound of 95% confidence interval for beta
    12.34980
  • Lowerbound of 95% confidence interval for alpha
    -37.72680
  • Upperbound of 95% confidence interval for alpha
    12.05730
  • Treynor index (mean / b)
    0.53574
  • Jensen alpha (a)
    -12.83470
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99882
  • Expected Shortfall on VaR
    0.99955
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.15114
  • Expected Shortfall on VaR
    0.35813
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.00000
  • Quartile 1
    0.99255
  • Median
    1.00416
  • Quartile 3
    1.02862
  • Maximum
    1.10166
  • Mean of quarter 1
    0.73726
  • Mean of quarter 2
    1.00022
  • Mean of quarter 3
    1.01944
  • Mean of quarter 4
    1.07887
  • Inter Quartile Range
    0.03607
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.07692
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    1.09406
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    2.04535
  • VaR(95%) (moments method)
    0.18967
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    3.80371
  • VaR(95%) (regression method)
    0.82679
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01311
  • Quartile 1
    0.02176
  • Median
    0.03041
  • Quartile 3
    0.51520
  • Maximum
    1.00000
  • Mean of quarter 1
    0.01311
  • Mean of quarter 2
    0.03041
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.49344
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.92307
  • Compounded annual return (geometric extrapolation)
    -0.99999
  • Calmar ratio (compounded annual return / max draw down)
    -0.99999
  • Compounded annual return / average of 25% largest draw downs
    -0.99999
  • Compounded annual return / Expected Shortfall lognormal
    -1.00044
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.70621
  • SD
    0.95772
  • Sharpe ratio (Glass type estimate)
    -0.73739
  • Sharpe ratio (Hedges UMVUE)
    -0.73549
  • df
    291.00000
  • t
    -0.77846
  • p
    0.78153
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.59431
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.12073
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.59300
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.12203
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.74306
  • Upside Potential Ratio
    0.65566
  • Upside part of mean
    0.62314
  • Downside part of mean
    -1.32935
  • Upside SD
    0.11276
  • Downside SD
    0.95040
  • N nonnegative terms
    118.00000
  • N negative terms
    174.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    292.00000
  • Mean of predictor
    0.15690
  • Mean of criterion
    -0.70621
  • SD of predictor
    0.27764
  • SD of criterion
    0.95772
  • Covariance
    -0.00004
  • r
    -0.00017
  • b (slope, estimate of beta)
    -0.00057
  • a (intercept, estimate of alpha)
    -0.70600
  • Mean Square Error
    0.92038
  • DF error
    290.00000
  • t(b)
    -0.00282
  • p(b)
    0.50113
  • t(a)
    -0.77655
  • p(a)
    0.78097
  • Lowerbound of 95% confidence interval for beta
    -0.39924
  • Upperbound of 95% confidence interval for beta
    0.39810
  • Lowerbound of 95% confidence interval for alpha
    -2.49579
  • Upperbound of 95% confidence interval for alpha
    1.08355
  • Treynor index (mean / b)
    1235.78000
  • Jensen alpha (a)
    -0.70612
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -11.18030
  • SD
    11.99660
  • Sharpe ratio (Glass type estimate)
    -0.93196
  • Sharpe ratio (Hedges UMVUE)
    -0.92956
  • df
    291.00000
  • t
    -0.98387
  • p
    0.83700
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.78930
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.92690
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.78764
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.92853
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.93205
  • Upside Potential Ratio
    0.05143
  • Upside part of mean
    0.61687
  • Downside part of mean
    -11.79720
  • Upside SD
    0.11080
  • Downside SD
    11.99540
  • N nonnegative terms
    118.00000
  • N negative terms
    174.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    292.00000
  • Mean of predictor
    0.11892
  • Mean of criterion
    -11.18030
  • SD of predictor
    0.27510
  • SD of criterion
    11.99660
  • Covariance
    -0.00563
  • r
    -0.00171
  • b (slope, estimate of beta)
    -0.07446
  • a (intercept, estimate of alpha)
    -11.17140
  • Mean Square Error
    144.41300
  • DF error
    290.00000
  • t(b)
    -0.02908
  • p(b)
    0.51159
  • t(a)
    -0.98105
  • p(a)
    0.83631
  • Lowerbound of 95% confidence interval for beta
    -5.11453
  • Upperbound of 95% confidence interval for beta
    4.96561
  • Lowerbound of 95% confidence interval for alpha
    -33.58350
  • Upperbound of 95% confidence interval for alpha
    11.24070
  • Treynor index (mean / b)
    150.15600
  • Jensen alpha (a)
    -11.17140
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.71684
  • Expected Shortfall on VaR
    0.78520
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01247
  • Expected Shortfall on VaR
    0.02982
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    292.00000
  • Minimum
    0.00000
  • Quartile 1
    0.99910
  • Median
    1.00000
  • Quartile 3
    1.00149
  • Maximum
    1.06243
  • Mean of quarter 1
    0.97999
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00045
  • Mean of quarter 4
    1.00925
  • Inter Quartile Range
    0.00239
  • Number outliers low
    36.00000
  • Percentage of outliers low
    0.12329
  • Mean of outliers low
    0.96193
  • Number of outliers high
    39.00000
  • Percentage of outliers high
    0.13356
  • Mean of outliers high
    1.01469
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.94594
  • VaR(95%) (moments method)
    0.00673
  • Expected Shortfall (moments method)
    0.13620
  • Extreme Value Index (regression method)
    0.60921
  • VaR(95%) (regression method)
    0.00571
  • Expected Shortfall (regression method)
    0.01757
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00423
  • Median
    0.01255
  • Quartile 3
    0.03964
  • Maximum
    1.00000
  • Mean of quarter 1
    0.00212
  • Mean of quarter 2
    0.01074
  • Mean of quarter 3
    0.02092
  • Mean of quarter 4
    0.23547
  • Inter Quartile Range
    0.03541
  • 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
    0.04762
  • Mean of outliers high
    1.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.06080
  • VaR(95%) (moments method)
    0.15565
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    3.10733
  • VaR(95%) (regression method)
    0.12613
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.89726
  • Compounded annual return (geometric extrapolation)
    -0.99999
  • Calmar ratio (compounded annual return / max draw down)
    -0.99999
  • Compounded annual return / average of 25% largest draw downs
    -4.24676
  • Compounded annual return / Expected Shortfall lognormal
    -1.27354
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.98618
  • SD
    1.42128
  • Sharpe ratio (Glass type estimate)
    -1.39746
  • Sharpe ratio (Hedges UMVUE)
    -1.38938
  • df
    130.00000
  • t
    -0.98815
  • p
    0.54317
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.17181
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.38221
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.16633
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.38756
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.40174
  • Upside Potential Ratio
    0.32137
  • Upside part of mean
    0.45536
  • Downside part of mean
    -2.44154
  • Upside SD
    0.10931
  • Downside SD
    1.41694
  • N nonnegative terms
    32.00000
  • N negative terms
    99.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.70881
  • Mean of criterion
    -1.98618
  • SD of predictor
    0.30532
  • SD of criterion
    1.42128
  • Covariance
    0.00418
  • r
    0.00964
  • b (slope, estimate of beta)
    0.04488
  • a (intercept, estimate of alpha)
    -2.01799
  • Mean Square Error
    2.03551
  • DF error
    129.00000
  • t(b)
    0.10950
  • p(b)
    0.49386
  • t(a)
    -0.98995
  • p(a)
    0.55521
  • Lowerbound of 95% confidence interval for beta
    -0.76600
  • Upperbound of 95% confidence interval for beta
    0.85575
  • Lowerbound of 95% confidence interval for alpha
    -6.05118
  • Upperbound of 95% confidence interval for alpha
    2.01520
  • Treynor index (mean / b)
    -44.25920
  • Jensen alpha (a)
    -2.01799
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -25.32210
  • SD
    17.90910
  • Sharpe ratio (Glass type estimate)
    -1.41392
  • Sharpe ratio (Hedges UMVUE)
    -1.40575
  • df
    130.00000
  • t
    -0.99979
  • p
    0.54368
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.18839
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.36587
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.18281
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37132
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.41395
  • Upside Potential Ratio
    0.02510
  • Upside part of mean
    0.44952
  • Downside part of mean
    -25.77160
  • Upside SD
    0.10687
  • Downside SD
    17.90880
  • N nonnegative terms
    32.00000
  • N negative terms
    99.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.66282
  • Mean of criterion
    -25.32210
  • SD of predictor
    0.29941
  • SD of criterion
    17.90910
  • Covariance
    0.04042
  • r
    0.00754
  • b (slope, estimate of beta)
    0.45084
  • a (intercept, estimate of alpha)
    -25.62090
  • Mean Square Error
    323.20500
  • DF error
    129.00000
  • t(b)
    0.08561
  • p(b)
    0.49520
  • t(a)
    -0.99835
  • p(a)
    0.55567
  • VAR (95 Confidence Intrvl)
    0.71700
  • Lowerbound of 95% confidence interval for beta
    -9.96858
  • Upperbound of 95% confidence interval for beta
    10.87030
  • Lowerbound of 95% confidence interval for alpha
    -76.39590
  • Upperbound of 95% confidence interval for alpha
    25.15420
  • Treynor index (mean / b)
    -56.16580
  • Jensen alpha (a)
    -25.62090
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.85289
  • Expected Shortfall on VaR
    0.90060
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02696
  • Expected Shortfall on VaR
    0.06263
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00000
  • Quartile 1
    0.99903
  • Median
    1.00000
  • Quartile 3
    1.00004
  • Maximum
    1.06243
  • Mean of quarter 1
    0.96341
  • Mean of quarter 2
    0.99991
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00701
  • Inter Quartile Range
    0.00101
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.16794
  • Mean of outliers low
    0.94585
  • Number of outliers high
    19.00000
  • Percentage of outliers high
    0.14504
  • Mean of outliers high
    1.01168
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.36987
  • VaR(95%) (moments method)
    0.00991
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.33213
  • VaR(95%) (regression method)
    0.00639
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00838
  • Quartile 1
    0.01623
  • Median
    0.02599
  • Quartile 3
    0.04130
  • Maximum
    1.00000
  • Mean of quarter 1
    0.01179
  • Mean of quarter 2
    0.01934
  • Mean of quarter 3
    0.03264
  • Mean of quarter 4
    0.52209
  • Inter Quartile Range
    0.02507
  • 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
    0.16667
  • Mean of outliers high
    1.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -405586000
  • Max Equity Drawdown (num days)
    372
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99999
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00000
  • Compounded annual return / average of 25% largest draw downs
    -1.91538
  • Compounded annual return / Expected Shortfall lognormal
    -1.11036

Strategy Description

From now on, namely from August 02, 2022, the WSTREET9 strategy will work according to the following principle: the initial entry will be made starting from 1 contract.
This transition is due to the fact that investors with a capital of $10,000 or more can also use this strategy and increase their deposit.
Further, according to the situation, additional purchases are possible (based on the technology of this strategy) up to 8 contracts.
The maximum fixation of the minus is in the range of 1000-1500 US dollars.
The drawdown is controlled by an investor or a trader who has connected to us, but our drawdown in an active trade can be maximum in the range of 1-8% of the deposit.
All trading operations are performed intraday, 98% of them are closed during the current trading day. It is rarely possible to move to the next trading day.
A team of experienced traders closely monitors open positions, as well as the timely transition of futures to the next trading month

Summary Statistics

Strategy began
2022-03-21
Suggested Minimum Capital
$25,000
# Trades
231
# Profitable
205
% Profitable
88.7%
Correlation S&P500
-0.002
Sharpe Ratio
-0.69
Sortino Ratio
-0.69
Beta
-0.02
Alpha
0.00
Leverage
0.52 Average
3.23 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.