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C2Star Strategy Momentum Mastery RTS C2Star: in evaluation Hypothetical

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ECFXBB
(140118626)

Created by: LaremyWade2 LaremyWade2
Started: 04/2022
Forex
Last trade: 342 days ago
Trading style: Futures Trend-following
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 $200.00 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
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
24.9%
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
36
Num Trades
94.4%
Win Trades
384.9 : 1
Profit Factor
31.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                     (53.4%)+81.6%(65.8%)(165.3%)(237.8%)(133.4%)(52.4%)(124.5%)+195.9%(48.5%)
2023+108.4%(53.1%)+101.6%+34.9%(43.9%)+34.6%+27.1%(34.9%)(60.2%)+17.4%+224.7%+1.7%+156.1%
2024(24.8%)(3.3%)(5.4%)(28%)+45.2%(27%)+47.2%+59.0%(2.3%)(48.6%)(76.1%)(55.3%)(93.4%)
2025+137.5%(115.2%)(2676.2%)+145.2%(7.5%)+43.1%(3.8%)  -    -    -    -    -  +2810.2%
2026  -    -    -    -    -    -                                      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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/21/22 11:25 EUR/USD EUR/USD LONG 1000 1.08589 7/13/25 17:15 1.16660 177.42%
Trade id #140213997
Max drawdown($132,310)
Time9/28/22 0:00
Quant open100
Worst price0.95358
Drawdown as % of equity177.42%
 $80,710.00
4/21/22 11:18 EUR/USD EUR/USD LONG 1000 1.08543 4/21 11:22 1.08560 0.47%
Trade id #140213775
Max drawdown($260)
Time4/21/22 11:21
Quant open100
Worst price1.08517
Drawdown as % of equity-0.47%
 $170.00
4/21/22 11:13 EUR/USD EUR/USD LONG 1000 1.08526 4/21 11:17 1.08535 0.36%
Trade id #140213668
Max drawdown($200)
Time4/21/22 11:15
Quant open100
Worst price1.08506
Drawdown as % of equity-0.36%
 $90.00
4/20/22 14:23 AUD/USD AUD/USD LONG 500 0.74503 4/20 18:07 0.74521 1.17%
Trade id #140201115
Max drawdown($635)
Time4/20/22 14:56
Quant open50
Worst price0.74376
Drawdown as % of equity-1.17%
 $90.00
4/20/22 15:42 EUR/USD EUR/USD LONG 500 1.08500 4/20 15:50 1.08526 0.14%
Trade id #140202115
Max drawdown($75)
Time4/20/22 15:47
Quant open50
Worst price1.08485
Drawdown as % of equity-0.14%
 $130.00
4/20/22 15:17 EUR/USD EUR/USD LONG 1000 1.08466 4/20 15:23 1.08470 0.11%
Trade id #140201842
Max drawdown($60)
Time4/20/22 15:20
Quant open50
Worst price1.08445
Drawdown as % of equity-0.11%
 $45.00
4/20/22 14:20 EUR/USD EUR/USD LONG 1000 1.08513 4/20 14:22 1.08526 n/a $130.00
4/19/22 11:41 USD/JPY USD/JPY LONG 1000 128.667 4/19 12:02 128.684 1.99%
Trade id #140184312
Max drawdown($1,067)
Time4/19/22 11:59
Quant open100
Worst price128.529
Drawdown as % of equity-1.99%
 $105.43
4/19/22 11:38 USD/JPY USD/JPY LONG 1000 128.618 4/19 11:40 128.650 n/a $198.45
4/19/22 11:01 EUR/USD EUR/USD LONG 1000 1.07867 4/19 11:16 1.07888 0.92%
Trade id #140183540
Max drawdown($492)
Time4/19/22 11:12
Quant open100
Worst price1.07818
Drawdown as % of equity-0.92%
 $208.00
4/19/22 11:01 USD/JPY USD/JPY LONG 400 128.822 4/19 11:02 128.877 n/a $136.44
4/18/22 15:12 USD/CHF USD/CHF LONG 750 0.94437 4/18 15:44 0.94451 0.18%
Trade id #140173564
Max drawdown($95)
Time4/18/22 15:24
Quant open75
Worst price0.94425
Drawdown as % of equity-0.18%
 $130.22
4/18/22 13:23 EUR/USD EUR/USD LONG 1000 1.07791 4/18 13:33 1.07805 0.49%
Trade id #140172034
Max drawdown($260)
Time4/18/22 13:27
Quant open100
Worst price1.07765
Drawdown as % of equity-0.49%
 $140.00
4/18/22 0:05 EUR/USD EUR/USD LONG 1000 1.07947 4/18 0:07 1.07958 n/a $110.00
4/17/22 21:02 AUD/USD AUD/USD SHORT 1000 0.73820 4/17 23:30 0.73630 1.54%
Trade id #140161335
Max drawdown($780)
Time4/17/22 21:31
Quant open100
Worst price0.73898
Drawdown as % of equity-1.54%
 $1,900.00
4/17/22 21:00 USD/CHF USD/CHF LONG 1000 0.94313 4/17 21:01 0.94327 n/a $173.63
4/17/22 20:47 EUR/USD EUR/USD LONG 1000 1.07983 4/17 20:55 1.08000 0.96%
Trade id #140161261
Max drawdown($490)
Time4/17/22 20:51
Quant open100
Worst price1.07934
Drawdown as % of equity-0.96%
 $170.00
4/17/22 20:38 USD/CHF USD/CHF LONG 1000 0.94297 4/17 20:41 0.94322 n/a $310.06
4/13/22 22:10 AUD/USD AUD/USD LONG 100 0.74596 4/13 22:20 0.74608 0.06%
Trade id #140132089
Max drawdown($30)
Time4/13/22 22:13
Quant open10
Worst price0.74566
Drawdown as % of equity-0.06%
 $12.00
4/13/22 22:04 USD/JPY USD/JPY LONG 100 125.357 4/13 22:07 125.371 n/a $8.68
4/13/22 21:46 GBP/USD GBP/USD LONG 1000 1.31289 4/13 21:51 1.31299 0.14%
Trade id #140131998
Max drawdown($73)
Time4/13/22 21:50
Quant open100
Worst price1.31282
Drawdown as % of equity-0.14%
 $97.00
4/13/22 21:45 EUR/USD EUR/USD LONG 1000 1.08947 4/13 21:47 1.08957 n/a $100.00
4/13/22 0:02 AUD/USD AUD/USD LONG 1000 0.74631 4/13 21:20 0.74648 15.7%
Trade id #140119400
Max drawdown($7,150)
Time4/13/22 9:10
Quant open100
Worst price0.73916
Drawdown as % of equity-15.70%
 $169.40
4/13/22 0:40 USD/CHF USD/CHF LONG 250 0.93266 4/13 0:55 0.93291 0.06%
Trade id #140119548
Max drawdown($29)
Time4/13/22 0:45
Quant open25
Worst price0.93255
Drawdown as % of equity-0.06%
 $77.51
4/12/22 22:41 USD/JPY USD/JPY SHORT 1000 125.595 4/12 22:46 125.594 0.14%
Trade id #140119088
Max drawdown($71)
Time4/12/22 22:46
Quant open100
Worst price125.604
Drawdown as % of equity-0.14%
 $6.20
4/12/22 22:37 USD/JPY USD/JPY SHORT 100 125.586 4/12 22:39 125.607 0.03%
Trade id #140119069
Max drawdown($17)
Time4/12/22 22:39
Quant open10
Worst price125.607
Drawdown as % of equity-0.03%
 ($13.02)
4/12/22 22:18 USD/JPY USD/JPY LONG 500 125.638 4/12 22:37 125.586 0.45%
Trade id #140118956
Max drawdown($222)
Time4/12/22 22:37
Quant open50
Worst price125.582
Drawdown as % of equity-0.45%
 ($161.24)
4/12/22 22:18 USD/CHF USD/CHF SHORT 500 0.93299 4/12 22:22 0.93283 n/a $99.22
4/12/22 22:02 USD/JPY USD/JPY SHORT 500 125.578 4/12 22:09 125.574 0.09%
Trade id #140118871
Max drawdown($43)
Time4/12/22 22:08
Quant open50
Worst price125.589
Drawdown as % of equity-0.09%
 $12.40
4/12/22 22:02 USD/CHF USD/CHF LONG 500 0.93246 4/12 22:07 0.93254 n/a $49.61

Statistics

  • Strategy began
    4/12/2022
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1523.42
  • Age
    51 months ago
  • What it trades
    Forex
  • # Trades
    36
  • # Profitable
    34
  • % Profitable
    94.40%
  • Avg trade duration
    32.8 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Aug 10, 2022 - Sept 27, 2022
  • Annual Return (Compounded)
    24.9%
  • Avg win
    $2,536
  • Avg loss
    $112.00
  • Model Account Values (Raw)
  • Cash
    $136,002
  • Margin Used
    $0
  • Buying Power
    $136,002
  • Ratios
  • W:L ratio
    384.93:1
  • Sharpe Ratio
    -0.48
  • Sortino Ratio
    -0.48
  • Calmar Ratio
    2.918
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    84.37%
  • Correlation to SP500
    0.11600
  • Return Percent SP500 (cumu) during strategy life
    70.57%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    24.9%
  • Slump
  • Current Slump as Pcnt Equity
    5.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.22%
  • 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)
    0.249%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    27.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    97.50%
  • Chance of 30% account loss
    89.50%
  • Chance of 40% account loss
    81.50%
  • Chance of 60% account loss (Monte Carlo)
    59.00%
  • Chance of 70% account loss (Monte Carlo)
    29.50%
  • Chance of 80% account loss (Monte Carlo)
    16.00%
  • Chance of 90% account loss (Monte Carlo)
    3.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    73.00%
  • 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
    $112
  • Avg Win
    $2,536
  • Sum Trade PL (losers)
    $224.000
  • Age
  • Num Months filled monthly returns table
    4
  • Win / Loss
  • Sum Trade PL (winners)
    $86,225.000
  • # Winners
    34
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    2
  • % Winners
    94.4%
  • Frequency
  • Avg Position Time (mins)
    47221.80
  • Avg Position Time (hrs)
    787.03
  • Avg Trade Length
    32.8 days
  • Last Trade Ago
    336
  • Leverage
  • Daily leverage (average)
    22.03
  • Daily leverage (max)
    26.78
  • Regression
  • Alpha
    0.00
  • Beta
    1.37
  • 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)
    3.80
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    1.712
  • 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
    1.704
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.069
  • Hold-and-Hope Ratio
    0.584
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    63.02040
  • SD
    36.33140
  • Sharpe ratio (Glass type estimate)
    1.73460
  • Sharpe ratio (Hedges UMVUE)
    1.54068
  • df
    7.00000
  • t
    1.41630
  • p
    0.09981
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87898
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.24215
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99181
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07317
  • Statistics related to Sortino ratio
  • Sortino ratio
    34.80360
  • Upside Potential Ratio
    37.11880
  • Upside part of mean
    67.21270
  • Downside part of mean
    -4.19229
  • Upside SD
    38.50530
  • Downside SD
    1.81074
  • N nonnegative terms
    4.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.62742
  • Mean of criterion
    63.02040
  • SD of predictor
    0.35729
  • SD of criterion
    36.33140
  • Covariance
    -2.90488
  • r
    -0.22378
  • b (slope, estimate of beta)
    -22.75580
  • a (intercept, estimate of alpha)
    77.29790
  • Mean Square Error
    1462.84000
  • DF error
    6.00000
  • t(b)
    -0.56242
  • p(b)
    0.70290
  • t(a)
    1.45080
  • p(a)
    0.09851
  • Lowerbound of 95% confidence interval for beta
    -121.76000
  • Upperbound of 95% confidence interval for beta
    76.24880
  • Lowerbound of 95% confidence interval for alpha
    -53.07400
  • Upperbound of 95% confidence interval for alpha
    207.67000
  • Treynor index (mean / b)
    -2.76942
  • Jensen alpha (a)
    77.29790
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.47306
  • SD
    7.24145
  • Sharpe ratio (Glass type estimate)
    0.20342
  • Sharpe ratio (Hedges UMVUE)
    0.18068
  • df
    7.00000
  • t
    0.16609
  • p
    0.43639
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.20638
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.59915
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.22164
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.58300
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.36399
  • Upside Potential Ratio
    2.55653
  • Upside part of mean
    10.34620
  • Downside part of mean
    -8.87311
  • Upside SD
    5.44855
  • Downside SD
    4.04696
  • N nonnegative terms
    4.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.55869
  • Mean of criterion
    1.47306
  • SD of predictor
    0.34532
  • SD of criterion
    7.24145
  • Covariance
    -0.51597
  • r
    -0.20634
  • b (slope, estimate of beta)
    -4.32685
  • a (intercept, estimate of alpha)
    3.89042
  • Mean Square Error
    58.57370
  • DF error
    6.00000
  • t(b)
    -0.51653
  • p(b)
    0.68802
  • t(a)
    0.37134
  • p(a)
    0.36157
  • Lowerbound of 95% confidence interval for beta
    -24.82420
  • Upperbound of 95% confidence interval for beta
    16.17050
  • Lowerbound of 95% confidence interval for alpha
    -21.74560
  • Upperbound of 95% confidence interval for alpha
    29.52650
  • Treynor index (mean / b)
    -0.34045
  • Jensen alpha (a)
    3.89042
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.96369
  • Expected Shortfall on VaR
    0.98115
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.81386
  • Expected Shortfall on VaR
    1.24999
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.09109
  • Quartile 1
    0.20879
  • Median
    0.99509
  • Quartile 3
    6.11892
  • Maximum
    26.07280
  • Mean of quarter 1
    0.14395
  • Mean of quarter 2
    0.46327
  • Mean of quarter 3
    1.38998
  • Mean of quarter 4
    23.01890
  • Inter Quartile Range
    5.91013
  • 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
    0.25000
  • Mean of outliers high
    23.01890
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.97526
  • Quartile 1
    0.97526
  • Median
    0.97526
  • Quartile 3
    0.97526
  • Maximum
    0.97526
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    2.58006
  • Compounded annual return (geometric extrapolation)
    3.48604
  • Calmar ratio (compounded annual return / max draw down)
    3.57447
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    3.55300
  • 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
    30190.00000
  • SD
    21826.90000
  • Sharpe ratio (Glass type estimate)
    1.38316
  • Sharpe ratio (Hedges UMVUE)
    1.37772
  • df
    191.00000
  • t
    1.18405
  • p
    0.44572
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91231
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.67516
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.91599
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.67142
  • Statistics related to Sortino ratio
  • Sortino ratio
    9826.39000
  • Upside Potential Ratio
    9833.06000
  • Upside part of mean
    30210.50000
  • Downside part of mean
    -20.46930
  • Upside SD
    21849.80000
  • Downside SD
    3.07234
  • N nonnegative terms
    73.00000
  • N negative terms
    119.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    192.00000
  • Mean of predictor
    0.79441
  • Mean of criterion
    30190.00000
  • SD of predictor
    0.38675
  • SD of criterion
    21826.90000
  • Covariance
    320.90200
  • r
    0.03801
  • b (slope, estimate of beta)
    2145.43000
  • a (intercept, estimate of alpha)
    28485.70000
  • Mean Square Error
    478230000.00000
  • DF error
    190.00000
  • t(b)
    0.52438
  • p(b)
    0.48099
  • t(a)
    1.10617
  • p(a)
    0.46000
  • Lowerbound of 95% confidence interval for beta
    -5924.98000
  • Upperbound of 95% confidence interval for beta
    10215.80000
  • Lowerbound of 95% confidence interval for alpha
    -22310.20000
  • Upperbound of 95% confidence interval for alpha
    79281.60000
  • Treynor index (mean / b)
    14.07180
  • Jensen alpha (a)
    28485.70000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.33756
  • SD
    24.89480
  • Sharpe ratio (Glass type estimate)
    0.05373
  • Sharpe ratio (Hedges UMVUE)
    0.05352
  • df
    191.00000
  • t
    0.04599
  • p
    0.49788
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.23582
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.34327
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.23603
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.34306
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.07578
  • Upside Potential Ratio
    3.22432
  • Upside part of mean
    56.91410
  • Downside part of mean
    -55.57650
  • Upside SD
    17.46300
  • Downside SD
    17.65150
  • N nonnegative terms
    73.00000
  • N negative terms
    119.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    192.00000
  • Mean of predictor
    0.71868
  • Mean of criterion
    1.33756
  • SD of predictor
    0.38757
  • SD of criterion
    24.89480
  • Covariance
    0.52567
  • r
    0.05448
  • b (slope, estimate of beta)
    3.49964
  • a (intercept, estimate of alpha)
    -1.17757
  • Mean Square Error
    621.16500
  • DF error
    190.00000
  • t(b)
    0.75211
  • p(b)
    0.47276
  • t(a)
    -0.04018
  • p(a)
    0.50146
  • Lowerbound of 95% confidence interval for beta
    -5.67869
  • Upperbound of 95% confidence interval for beta
    12.67800
  • Lowerbound of 95% confidence interval for alpha
    -58.98360
  • Upperbound of 95% confidence interval for alpha
    56.62840
  • Treynor index (mean / b)
    0.38220
  • Jensen alpha (a)
    -1.17757
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.91992
  • Expected Shortfall on VaR
    0.95217
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.20367
  • Expected Shortfall on VaR
    0.41645
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    192.00000
  • Minimum
    0.00008
  • Quartile 1
    0.91833
  • Median
    1.00000
  • Quartile 3
    1.06946
  • Maximum
    18515.30000
  • Mean of quarter 1
    0.70548
  • Mean of quarter 2
    0.98228
  • Mean of quarter 3
    1.01677
  • Mean of quarter 4
    462.21300
  • Inter Quartile Range
    0.15113
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.07812
  • Mean of outliers low
    0.42993
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.10417
  • Mean of outliers high
    1107.69000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31136
  • VaR(95%) (moments method)
    0.25967
  • Expected Shortfall (moments method)
    0.46508
  • Extreme Value Index (regression method)
    -0.72057
  • VaR(95%) (regression method)
    0.29855
  • Expected Shortfall (regression method)
    0.34013
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.04378
  • Quartile 1
    0.05186
  • Median
    0.25500
  • Quartile 3
    0.85851
  • Maximum
    0.99999
  • Mean of quarter 1
    0.04381
  • Mean of quarter 2
    0.07589
  • Mean of quarter 3
    0.43411
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.80666
  • 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)
    2.34714
  • Compounded annual return (geometric extrapolation)
    2.91755
  • Calmar ratio (compounded annual return / max draw down)
    2.91758
  • Compounded annual return / average of 25% largest draw downs
    2.91759
  • Compounded annual return / Expected Shortfall lognormal
    3.06411
  • 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
    44250.50000
  • SD
    26411.50000
  • Sharpe ratio (Glass type estimate)
    1.67542
  • Sharpe ratio (Hedges UMVUE)
    1.66574
  • df
    130.00000
  • t
    1.18470
  • p
    0.44833
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10700
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.45155
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11345
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.44493
  • Statistics related to Sortino ratio
  • Sortino ratio
    14148.10000
  • Upside Potential Ratio
    14154.50000
  • Upside part of mean
    44270.70000
  • Downside part of mean
    -20.21410
  • Upside SD
    26452.20000
  • Downside SD
    3.12766
  • N nonnegative terms
    47.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.33190
  • Mean of criterion
    44250.50000
  • SD of predictor
    0.41242
  • SD of criterion
    26411.50000
  • Covariance
    379.92800
  • r
    0.03488
  • b (slope, estimate of beta)
    2233.68000
  • a (intercept, estimate of alpha)
    41275.40000
  • Mean Square Error
    702122000.00000
  • DF error
    129.00000
  • t(b)
    0.39639
  • p(b)
    0.47780
  • t(a)
    1.08002
  • p(a)
    0.43983
  • Lowerbound of 95% confidence interval for beta
    -8915.31000
  • Upperbound of 95% confidence interval for beta
    13382.70000
  • Lowerbound of 95% confidence interval for alpha
    -34338.70000
  • Upperbound of 95% confidence interval for alpha
    116890.00000
  • Treynor index (mean / b)
    19.81060
  • Jensen alpha (a)
    41275.40000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    23.61290
  • SD
    26.90800
  • Sharpe ratio (Glass type estimate)
    0.87754
  • Sharpe ratio (Hedges UMVUE)
    0.87247
  • df
    130.00000
  • t
    0.62052
  • p
    0.47283
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.89789
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.64983
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.90136
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.64630
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.42311
  • Upside Potential Ratio
    4.64122
  • Upside part of mean
    77.00910
  • Downside part of mean
    -53.39620
  • Upside SD
    21.10290
  • Downside SD
    16.59240
  • N nonnegative terms
    47.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    1.24402
  • Mean of criterion
    23.61290
  • SD of predictor
    0.41345
  • SD of criterion
    26.90800
  • Covariance
    0.61392
  • r
    0.05518
  • b (slope, estimate of beta)
    3.59151
  • a (intercept, estimate of alpha)
    19.14500
  • Mean Square Error
    727.43300
  • DF error
    129.00000
  • t(b)
    0.62773
  • p(b)
    0.46489
  • t(a)
    0.49341
  • p(a)
    0.47238
  • VAR (95 Confidence Intrvl)
    0.92000
  • Lowerbound of 95% confidence interval for beta
    -7.72854
  • Upperbound of 95% confidence interval for beta
    14.91160
  • Lowerbound of 95% confidence interval for alpha
    -57.62390
  • Upperbound of 95% confidence interval for alpha
    95.91400
  • Treynor index (mean / b)
    6.57466
  • Jensen alpha (a)
    19.14500
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.92894
  • Expected Shortfall on VaR
    0.95894
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.20519
  • Expected Shortfall on VaR
    0.42211
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00013
  • Quartile 1
    0.93594
  • Median
    1.00000
  • Quartile 3
    1.09173
  • Maximum
    18515.30000
  • Mean of quarter 1
    0.70159
  • Mean of quarter 2
    0.99241
  • Mean of quarter 3
    1.01598
  • Mean of quarter 4
    671.75300
  • Inter Quartile Range
    0.15579
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.45437
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1703.39000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14173
  • VaR(95%) (moments method)
    0.22059
  • Expected Shortfall (moments method)
    0.34487
  • Extreme Value Index (regression method)
    -0.41249
  • VaR(95%) (regression method)
    0.30301
  • Expected Shortfall (regression method)
    0.37551
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.04385
  • Quartile 1
    0.23981
  • Median
    0.42922
  • Quartile 3
    0.71665
  • Maximum
    0.99999
  • Mean of quarter 1
    0.05987
  • Mean of quarter 2
    0.41648
  • Mean of quarter 3
    0.43411
  • Mean of quarter 4
    0.99959
  • Inter Quartile Range
    0.47684
  • 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
  • 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?
    -534302000
  • Max Equity Drawdown (num days)
    48
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    272002.00000
  • Compounded annual return (geometric extrapolation)
    18496500000.00000
  • Calmar ratio (compounded annual return / max draw down)
    18496700000.00000
  • Compounded annual return / average of 25% largest draw downs
    18504100000.00000
  • Compounded annual return / Expected Shortfall lognormal
    19288500000.00000

Strategy Description

Summary Statistics

Strategy began
2022-04-12
Suggested Minimum Capital
$100,000
# Trades
36
# Profitable
34
% Profitable
94.4%
Correlation S&P500
0.116
Sharpe Ratio
-0.48
Sortino Ratio
-0.48
Beta
1.37
Alpha
0.00
Leverage
22.03 Average
26.78 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

subscribed on started simulation

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.