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These are hypothetical performance results that have certain inherent limitations. Learn more

Breakout Intraday
(140244823)

Created by: TheStig TheStig
Started: 04/2022
Futures
Last trade: 457 days ago
Trading style: Futures Short Term Financials / Indexes

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 $299.00 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.
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
-11.6%
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.

(32.0%)
Max Drawdown
268
Num Trades
36.6%
Win Trades
1.0 : 1
Profit Factor
16.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                     (4.1%)+3.0%+16.3%(3.6%)(16.6%)+0.3%(0.5%)(14.5%)+1.5%(20%)
2023(1.5%)  -    -    -    -    -    -    -    -    -    -    -  (1.5%)
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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/28/22 9:36 @MESH3 MICRO E-MINI S&P 500 LONG 2 3872.00 12/28 10:25 3853.25 1.84%
Trade id #143017327
Max drawdown($202)
Time12/28/22 10:25
Quant open2
Worst price3851.75
Drawdown as % of equity-1.84%
($190)
Includes Typical Broker Commissions trade costs of $1.88
12/27/22 9:47 @MESH3 MICRO E-MINI S&P 500 SHORT 1 3845.50 12/27 15:52 3857.00 1.25%
Trade id #143005376
Max drawdown($137)
Time12/27/22 10:46
Quant open1
Worst price3873.00
Drawdown as % of equity-1.25%
($59)
Includes Typical Broker Commissions trade costs of $0.94
12/21/22 9:41 @MESH3 MICRO E-MINI S&P 500 SHORT 2 3872.50 12/21 9:44 3877.75 0.49%
Trade id #142951945
Max drawdown($57)
Time12/21/22 9:44
Quant open2
Worst price3878.25
Drawdown as % of equity-0.49%
($55)
Includes Typical Broker Commissions trade costs of $1.88
12/20/22 9:45 @MESH3 MICRO E-MINI S&P 500 SHORT 1 3827.25 12/20 10:22 3860.25 1.44%
Trade id #142939004
Max drawdown($167)
Time12/20/22 10:22
Quant open1
Worst price3860.75
Drawdown as % of equity-1.44%
($166)
Includes Typical Broker Commissions trade costs of $0.94
12/20/22 9:40 @MESH3 MICRO E-MINI S&P 500 SHORT 3 3835.08 12/20 9:41 3838.08 0.39%
Trade id #142938797
Max drawdown($45)
Time12/20/22 9:41
Quant open2
Worst price3838.00
Drawdown as % of equity-0.39%
($48)
Includes Typical Broker Commissions trade costs of $2.82
12/19/22 9:41 @MESH3 MICRO E-MINI S&P 500 SHORT 1 3879.00 12/19 10:21 3878.25 0.12%
Trade id #142923364
Max drawdown($13)
Time12/19/22 10:21
Quant open1
Worst price3881.75
Drawdown as % of equity-0.12%
$3
Includes Typical Broker Commissions trade costs of $0.94
12/16/22 9:45 @MESH3 MICRO E-MINI S&P 500 SHORT 2 3904.25 12/16 15:30 3894.00 0.73%
Trade id #142902955
Max drawdown($85)
Time12/16/22 9:50
Quant open2
Worst price3912.75
Drawdown as % of equity-0.73%
$101
Includes Typical Broker Commissions trade costs of $1.88
12/13/22 9:49 @MESH3 MICRO E-MINI S&P 500 SHORT 1 4123.50 12/13 15:58 4055.00 0.67%
Trade id #142858988
Max drawdown($75)
Time12/13/22 9:55
Quant open1
Worst price4138.50
Drawdown as % of equity-0.67%
$342
Includes Typical Broker Commissions trade costs of $0.94
12/9/22 9:48 @MNQZ2 MICRO E-MINI NASDAQ 100 LONG 1 11631.50 12/9 15:58 11568.25 1.13%
Trade id #142828105
Max drawdown($129)
Time12/9/22 15:58
Quant open1
Worst price11567.00
Drawdown as % of equity-1.13%
($128)
Includes Typical Broker Commissions trade costs of $0.94
12/8/22 9:54 @MESZ2 MICRO E-MINI S&P 500 LONG 3 3960.58 12/8 14:06 3955.58 0.46%
Trade id #142811544
Max drawdown($52)
Time12/8/22 14:06
Quant open1
Worst price3950.00
Drawdown as % of equity-0.46%
($78)
Includes Typical Broker Commissions trade costs of $2.82
12/7/22 10:17 @MESZ2 MICRO E-MINI S&P 500 LONG 1 3945.75 12/7 10:34 3945.50 0.42%
Trade id #142797589
Max drawdown($48)
Time12/7/22 10:26
Quant open1
Worst price3936.00
Drawdown as % of equity-0.42%
($2)
Includes Typical Broker Commissions trade costs of $0.94
12/7/22 9:34 @MESZ2 MICRO E-MINI S&P 500 LONG 1 3943.50 12/7 9:43 3944.75 0.01%
Trade id #142795880
Max drawdown($1)
Time12/7/22 9:43
Quant open1
Worst price3943.25
Drawdown as % of equity-0.01%
$5
Includes Typical Broker Commissions trade costs of $0.94
12/6/22 9:39 @MESZ2 MICRO E-MINI S&P 500 SHORT 2 3997.50 12/6 15:52 3936.00 n/a $613
Includes Typical Broker Commissions trade costs of $1.88
12/5/22 9:44 @MESZ2 MICRO E-MINI S&P 500 SHORT 1 4049.50 12/5 10:27 4039.50 n/a $49
Includes Typical Broker Commissions trade costs of $0.94
12/2/22 15:58 @MESZ2 MICRO E-MINI S&P 500 LONG 1 4075.25 12/2 16:46 4067.00 0.39%
Trade id #142756146
Max drawdown($42)
Time12/2/22 16:44
Quant open1
Worst price4066.75
Drawdown as % of equity-0.39%
($42)
Includes Typical Broker Commissions trade costs of $0.94
12/2/22 9:51 @MESZ2 MICRO E-MINI S&P 500 SHORT 2 4032.75 12/2 9:53 4034.75 0.18%
Trade id #142749473
Max drawdown($20)
Time12/2/22 9:53
Quant open2
Worst price4034.75
Drawdown as % of equity-0.18%
($22)
Includes Typical Broker Commissions trade costs of $1.88
11/30/22 9:37 @MESZ2 MICRO E-MINI S&P 500 SHORT 2 3964.00 11/30 13:35 3973.25 1.82%
Trade id #142718457
Max drawdown($202)
Time11/30/22 13:31
Quant open2
Worst price3984.25
Drawdown as % of equity-1.82%
($95)
Includes Typical Broker Commissions trade costs of $1.88
11/28/22 9:36 @MESZ2 MICRO E-MINI S&P 500 LONG 3 4015.50 11/28 10:53 3994.75 2.97%
Trade id #142693497
Max drawdown($333)
Time11/28/22 10:53
Quant open3
Worst price3993.25
Drawdown as % of equity-2.97%
($314)
Includes Typical Broker Commissions trade costs of $2.82
11/23/22 10:28 @MESZ2 MICRO E-MINI S&P 500 LONG 2 4027.38 11/23 16:44 4022.25 2.08%
Trade id #142659712
Max drawdown($233)
Time11/23/22 12:57
Quant open2
Worst price4004.00
Drawdown as % of equity-2.08%
($53)
Includes Typical Broker Commissions trade costs of $1.88
11/21/22 20:24 @MESZ2 MICRO E-MINI S&P 500 LONG 2 3965.00 11/22 2:59 3957.25 1.26%
Trade id #142639533
Max drawdown($142)
Time11/22/22 2:20
Quant open2
Worst price3950.75
Drawdown as % of equity-1.26%
($80)
Includes Typical Broker Commissions trade costs of $1.88
11/21/22 9:46 @MESZ2 MICRO E-MINI S&P 500 LONG 5 3964.90 11/21 10:45 3946.10 4.04%
Trade id #142631296
Max drawdown($478)
Time11/21/22 10:43
Quant open5
Worst price3945.75
Drawdown as % of equity-4.04%
($475)
Includes Typical Broker Commissions trade costs of $4.70
11/21/22 9:44 @MESZ2 MICRO E-MINI S&P 500 SHORT 1 3957.50 11/21 9:46 3960.50 0.13%
Trade id #142631238
Max drawdown($15)
Time11/21/22 9:46
Quant open1
Worst price3960.50
Drawdown as % of equity-0.13%
($16)
Includes Typical Broker Commissions trade costs of $0.94
11/21/22 9:32 @MESZ2 MICRO E-MINI S&P 500 LONG 1 3968.75 11/21 9:44 3957.25 0.57%
Trade id #142630725
Max drawdown($70)
Time11/21/22 9:37
Quant open1
Worst price3954.75
Drawdown as % of equity-0.57%
($59)
Includes Typical Broker Commissions trade costs of $0.94
11/15/22 9:34 @MESZ2 MICRO E-MINI S&P 500 SHORT 2 4032.75 11/15 11:07 4022.00 0.45%
Trade id #142568009
Max drawdown($55)
Time11/15/22 10:02
Quant open2
Worst price4038.25
Drawdown as % of equity-0.45%
$106
Includes Typical Broker Commissions trade costs of $1.88
11/8/22 11:33 @MNQZ2 MICRO E-MINI NASDAQ 100 LONG 1 11208.25 11/8 13:21 11141.25 1.15%
Trade id #142484374
Max drawdown($141)
Time11/8/22 13:21
Quant open1
Worst price11137.80
Drawdown as % of equity-1.15%
($135)
Includes Typical Broker Commissions trade costs of $0.94
11/8/22 9:33 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 1 11044.00 11/8 9:54 11077.50 0.66%
Trade id #142481106
Max drawdown($81)
Time11/8/22 9:54
Quant open1
Worst price11084.80
Drawdown as % of equity-0.66%
($68)
Includes Typical Broker Commissions trade costs of $0.94
11/7/22 9:45 @MESZ2 MICRO E-MINI S&P 500 SHORT 1 3786.00 11/7 13:09 3794.00 0.56%
Trade id #142465535
Max drawdown($70)
Time11/7/22 10:16
Quant open1
Worst price3800.00
Drawdown as % of equity-0.56%
($41)
Includes Typical Broker Commissions trade costs of $0.94
11/7/22 9:39 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 1 10879.50 11/7 9:44 10899.25 0.58%
Trade id #142465332
Max drawdown($72)
Time11/7/22 9:44
Quant open1
Worst price10915.50
Drawdown as % of equity-0.58%
($41)
Includes Typical Broker Commissions trade costs of $0.94
11/7/22 9:31 @MNQZ2 MICRO E-MINI NASDAQ 100 LONG 2 10960.00 11/7 9:38 10884.50 2.5%
Trade id #142464844
Max drawdown($318)
Time11/7/22 9:36
Quant open2
Worst price10880.50
Drawdown as % of equity-2.50%
($304)
Includes Typical Broker Commissions trade costs of $1.88
11/6/22 18:00 @MESZ2 MICRO E-MINI S&P 500 LONG 2 3746.00 11/6 20:57 3767.50 n/a $213
Includes Typical Broker Commissions trade costs of $1.88

Statistics

  • Strategy began
    4/25/2022
  • Suggested Minimum Cap
    $14,000
  • Strategy Age (days)
    703.2
  • Age
    23 months ago
  • What it trades
    Futures
  • # Trades
    268
  • # Profitable
    98
  • % Profitable
    36.60%
  • Avg trade duration
    2.0 hours
  • Max peak-to-valley drawdown
    31.98%
  • drawdown period
    June 28, 2022 - Dec 02, 2022
  • Annual Return (Compounded)
    -11.6%
  • Avg win
    $165.97
  • Avg loss
    $94.69
  • Model Account Values (Raw)
  • Cash
    $14,177
  • Margin Used
    $0
  • Buying Power
    $14,177
  • Ratios
  • W:L ratio
    1.01:1
  • Sharpe Ratio
    -0.74
  • Sortino Ratio
    -0.96
  • Calmar Ratio
    0.071
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -43.34%
  • Correlation to SP500
    -0.02840
  • Return Percent SP500 (cumu) during strategy life
    22.30%
  • Return Statistics
  • Ann Return (w trading costs)
    -11.6%
  • Slump
  • Current Slump as Pcnt Equity
    46.20%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.91%
  • 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)
    -0.116%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    0.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    46.50%
  • Chance of 20% account loss
    7.50%
  • 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
    100.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    339
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    329
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $95
  • Avg Win
    $166
  • Sum Trade PL (losers)
    $16,098.000
  • Age
  • Num Months filled monthly returns table
    24
  • Win / Loss
  • Sum Trade PL (winners)
    $16,265.000
  • # Winners
    98
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    170
  • % Winners
    36.6%
  • Frequency
  • Avg Position Time (mins)
    120.42
  • Avg Position Time (hrs)
    2.01
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    456
  • Leverage
  • Daily leverage (average)
    3.02
  • Daily leverage (max)
    8.35
  • Regression
  • Alpha
    -0.03
  • Beta
    -0.02
  • Treynor Index
    1.58
  • 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)
    -0.57
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -6.393
  • 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
    0.356
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.133
  • Hold-and-Hope Ratio
    -0.156
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.01947
  • SD
    0.27939
  • Sharpe ratio (Glass type estimate)
    0.06967
  • Sharpe ratio (Hedges UMVUE)
    0.06429
  • df
    10.00000
  • t
    0.06670
  • p
    0.47407
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.97937
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11532
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.98302
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11160
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.12494
  • Upside Potential Ratio
    1.83704
  • Upside part of mean
    0.28621
  • Downside part of mean
    -0.26675
  • Upside SD
    0.21615
  • Downside SD
    0.15580
  • N nonnegative terms
    3.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.14592
  • Mean of criterion
    0.01947
  • SD of predictor
    0.22365
  • SD of criterion
    0.27939
  • Covariance
    -0.01234
  • r
    -0.19748
  • b (slope, estimate of beta)
    -0.24671
  • a (intercept, estimate of alpha)
    0.05546
  • Mean Square Error
    0.08335
  • DF error
    9.00000
  • t(b)
    -0.60435
  • p(b)
    0.71973
  • t(a)
    0.18045
  • p(a)
    0.43040
  • Lowerbound of 95% confidence interval for beta
    -1.17016
  • Upperbound of 95% confidence interval for beta
    0.67675
  • Lowerbound of 95% confidence interval for alpha
    -0.63985
  • Upperbound of 95% confidence interval for alpha
    0.75078
  • Treynor index (mean / b)
    -0.07890
  • Jensen alpha (a)
    0.05546
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01420
  • SD
    0.26904
  • Sharpe ratio (Glass type estimate)
    -0.05279
  • Sharpe ratio (Hedges UMVUE)
    -0.04871
  • df
    10.00000
  • t
    -0.05054
  • p
    0.51966
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.09880
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99569
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.09593
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.99852
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.08650
  • Upside Potential Ratio
    1.61357
  • Upside part of mean
    0.26492
  • Downside part of mean
    -0.27912
  • Upside SD
    0.19713
  • Downside SD
    0.16418
  • N nonnegative terms
    3.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.12177
  • Mean of criterion
    -0.01420
  • SD of predictor
    0.22676
  • SD of criterion
    0.26904
  • Covariance
    -0.01174
  • r
    -0.19241
  • b (slope, estimate of beta)
    -0.22829
  • a (intercept, estimate of alpha)
    0.01360
  • Mean Square Error
    0.07745
  • DF error
    9.00000
  • t(b)
    -0.58823
  • p(b)
    0.71458
  • t(a)
    0.04618
  • p(a)
    0.48209
  • Lowerbound of 95% confidence interval for beta
    -1.10621
  • Upperbound of 95% confidence interval for beta
    0.64964
  • Lowerbound of 95% confidence interval for alpha
    -0.65256
  • Upperbound of 95% confidence interval for alpha
    0.67976
  • Treynor index (mean / b)
    0.06221
  • Jensen alpha (a)
    0.01360
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12096
  • Expected Shortfall on VaR
    0.14868
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06408
  • Expected Shortfall on VaR
    0.11908
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.88607
  • Quartile 1
    0.98818
  • Median
    1.00000
  • Quartile 3
    1.01364
  • Maximum
    1.20477
  • Mean of quarter 1
    0.92629
  • Mean of quarter 2
    0.99841
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.08978
  • Inter Quartile Range
    0.02546
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.18182
  • Mean of outliers low
    0.89889
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    1.20477
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -83.50130
  • VaR(95%) (moments method)
    0.05083
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.43619
  • VaR(95%) (regression method)
    0.16884
  • Expected Shortfall (regression method)
    0.17098
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01890
  • Quartile 1
    0.05569
  • Median
    0.09247
  • Quartile 3
    0.12925
  • Maximum
    0.16603
  • Mean of quarter 1
    0.01890
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.16603
  • Inter Quartile Range
    0.07356
  • 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)
    0.01379
  • Compounded annual return (geometric extrapolation)
    0.01380
  • Calmar ratio (compounded annual return / max draw down)
    0.08312
  • Compounded annual return / average of 25% largest draw downs
    0.08312
  • Compounded annual return / Expected Shortfall lognormal
    0.09282
  • 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
    -0.00153
  • SD
    0.16167
  • Sharpe ratio (Glass type estimate)
    -0.00943
  • Sharpe ratio (Hedges UMVUE)
    -0.00940
  • df
    245.00000
  • t
    -0.00914
  • p
    0.50364
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.03213
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01327
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.03210
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01329
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.01364
  • Upside Potential Ratio
    7.17779
  • Upside part of mean
    0.80270
  • Downside part of mean
    -0.80423
  • Upside SD
    0.11629
  • Downside SD
    0.11183
  • N nonnegative terms
    76.00000
  • N negative terms
    170.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    246.00000
  • Mean of predictor
    0.20727
  • Mean of criterion
    -0.00153
  • SD of predictor
    0.26987
  • SD of criterion
    0.16167
  • Covariance
    -0.00132
  • r
    -0.03029
  • b (slope, estimate of beta)
    -0.01814
  • a (intercept, estimate of alpha)
    0.00200
  • Mean Square Error
    0.02622
  • DF error
    244.00000
  • t(b)
    -0.47331
  • p(b)
    0.68179
  • t(a)
    0.01336
  • p(a)
    0.49467
  • Lowerbound of 95% confidence interval for beta
    -0.09365
  • Upperbound of 95% confidence interval for beta
    0.05736
  • Lowerbound of 95% confidence interval for alpha
    -0.32729
  • Upperbound of 95% confidence interval for alpha
    0.33176
  • Treynor index (mean / b)
    0.08405
  • Jensen alpha (a)
    0.00224
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.01453
  • SD
    0.16155
  • Sharpe ratio (Glass type estimate)
    -0.08992
  • Sharpe ratio (Hedges UMVUE)
    -0.08964
  • df
    245.00000
  • t
    -0.08713
  • p
    0.53468
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.11257
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.93286
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.11235
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93307
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.12856
  • Upside Potential Ratio
    7.04451
  • Upside part of mean
    0.79596
  • Downside part of mean
    -0.81048
  • Upside SD
    0.11501
  • Downside SD
    0.11299
  • N nonnegative terms
    76.00000
  • N negative terms
    170.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    246.00000
  • Mean of predictor
    0.17105
  • Mean of criterion
    -0.01453
  • SD of predictor
    0.26918
  • SD of criterion
    0.16155
  • Covariance
    -0.00137
  • r
    -0.03146
  • b (slope, estimate of beta)
    -0.01888
  • a (intercept, estimate of alpha)
    -0.01130
  • Mean Square Error
    0.02618
  • DF error
    244.00000
  • t(b)
    -0.49162
  • p(b)
    0.68829
  • t(a)
    -0.06760
  • p(a)
    0.52692
  • Lowerbound of 95% confidence interval for beta
    -0.09452
  • Upperbound of 95% confidence interval for beta
    0.05676
  • Lowerbound of 95% confidence interval for alpha
    -0.34046
  • Upperbound of 95% confidence interval for alpha
    0.31787
  • Treynor index (mean / b)
    0.76941
  • Jensen alpha (a)
    -0.01130
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01634
  • Expected Shortfall on VaR
    0.02042
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00858
  • Expected Shortfall on VaR
    0.01684
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    246.00000
  • Minimum
    0.96540
  • Quartile 1
    0.99748
  • Median
    1.00000
  • Quartile 3
    1.00326
  • Maximum
    1.03511
  • Mean of quarter 1
    0.98845
  • Mean of quarter 2
    0.99965
  • Mean of quarter 3
    1.00036
  • Mean of quarter 4
    1.01193
  • Inter Quartile Range
    0.00578
  • Number outliers low
    27.00000
  • Percentage of outliers low
    0.10976
  • Mean of outliers low
    0.98213
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.10569
  • Mean of outliers high
    1.01945
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.60668
  • VaR(95%) (moments method)
    0.00814
  • Expected Shortfall (moments method)
    0.00943
  • Extreme Value Index (regression method)
    -0.33155
  • VaR(95%) (regression method)
    0.01125
  • Expected Shortfall (regression method)
    0.01432
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00252
  • Quartile 1
    0.01040
  • Median
    0.05270
  • Quartile 3
    0.11671
  • Maximum
    0.18971
  • Mean of quarter 1
    0.00252
  • Mean of quarter 2
    0.01302
  • Mean of quarter 3
    0.09238
  • Mean of quarter 4
    0.18971
  • Inter Quartile Range
    0.10632
  • 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)
    0.01347
  • Compounded annual return (geometric extrapolation)
    0.01347
  • Calmar ratio (compounded annual return / max draw down)
    0.07101
  • Compounded annual return / average of 25% largest draw downs
    0.07101
  • Compounded annual return / Expected Shortfall lognormal
    0.65953
  • 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
    -0.20447
  • SD
    0.12892
  • Sharpe ratio (Glass type estimate)
    -1.58600
  • Sharpe ratio (Hedges UMVUE)
    -1.57683
  • df
    130.00000
  • t
    -1.12147
  • p
    0.54894
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.36148
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.19553
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.35526
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.20159
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.09832
  • Upside Potential Ratio
    3.85012
  • Upside part of mean
    0.37517
  • Downside part of mean
    -0.57963
  • Upside SD
    0.08460
  • Downside SD
    0.09744
  • N nonnegative terms
    17.00000
  • N negative terms
    114.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.63266
  • Mean of criterion
    -0.20447
  • SD of predictor
    0.27076
  • SD of criterion
    0.12892
  • Covariance
    -0.00397
  • r
    -0.11361
  • b (slope, estimate of beta)
    -0.05409
  • a (intercept, estimate of alpha)
    -0.17024
  • Mean Square Error
    0.01653
  • DF error
    129.00000
  • t(b)
    -1.29876
  • p(b)
    0.57217
  • t(a)
    -0.92655
  • p(a)
    0.55171
  • Lowerbound of 95% confidence interval for beta
    -0.13650
  • Upperbound of 95% confidence interval for beta
    0.02831
  • Lowerbound of 95% confidence interval for alpha
    -0.53378
  • Upperbound of 95% confidence interval for alpha
    0.19329
  • Treynor index (mean / b)
    3.77982
  • Jensen alpha (a)
    -0.17024
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.21279
  • SD
    0.12905
  • Sharpe ratio (Glass type estimate)
    -1.64883
  • Sharpe ratio (Hedges UMVUE)
    -1.63929
  • df
    130.00000
  • t
    -1.16590
  • p
    0.55086
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.42472
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.13324
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.41825
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.13966
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.15981
  • Upside Potential Ratio
    3.77182
  • Upside part of mean
    0.37160
  • Downside part of mean
    -0.58439
  • Upside SD
    0.08363
  • Downside SD
    0.09852
  • N nonnegative terms
    17.00000
  • N negative terms
    114.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.59591
  • Mean of criterion
    -0.21279
  • SD of predictor
    0.26863
  • SD of criterion
    0.12905
  • Covariance
    -0.00396
  • r
    -0.11411
  • b (slope, estimate of beta)
    -0.05482
  • a (intercept, estimate of alpha)
    -0.18012
  • Mean Square Error
    0.01657
  • DF error
    129.00000
  • t(b)
    -1.30451
  • p(b)
    0.57248
  • t(a)
    -0.98034
  • p(a)
    0.55468
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    -0.13796
  • Upperbound of 95% confidence interval for beta
    0.02832
  • Lowerbound of 95% confidence interval for alpha
    -0.54364
  • Upperbound of 95% confidence interval for alpha
    0.18340
  • Treynor index (mean / b)
    3.88168
  • Jensen alpha (a)
    -0.18012
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01383
  • Expected Shortfall on VaR
    0.01711
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00709
  • Expected Shortfall on VaR
    0.01447
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96930
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03244
  • Mean of quarter 1
    0.99158
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00574
  • Inter Quartile Range
    0.00000
  • Number outliers low
    29.00000
  • Percentage of outliers low
    0.22137
  • Mean of outliers low
    0.99042
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.01053
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.47673
  • VaR(95%) (moments method)
    0.00170
  • Expected Shortfall (moments method)
    0.00170
  • Extreme Value Index (regression method)
    -0.38569
  • VaR(95%) (regression method)
    0.01024
  • Expected Shortfall (regression method)
    0.01420
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01113
  • Quartile 1
    0.01147
  • Median
    0.01181
  • Quartile 3
    0.07678
  • Maximum
    0.14176
  • Mean of quarter 1
    0.01113
  • Mean of quarter 2
    0.01181
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14176
  • Inter Quartile Range
    0.06532
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -333336000
  • Max Equity Drawdown (num days)
    157
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.17659
  • Compounded annual return (geometric extrapolation)
    -0.16880
  • Calmar ratio (compounded annual return / max draw down)
    -1.19071
  • Compounded annual return / average of 25% largest draw downs
    -1.19071
  • Compounded annual return / Expected Shortfall lognormal
    -9.86781

Strategy Description

NEW SUBSCRIBERS: Do not sync existing open positions when setting up AutoTrading.

For allocation $250K - 10MM, please visit collective2.com/details/140655971

TEAM
Persons: 6.
Location: North America (4), Europe (2).
Experience: 75+ years combined experience in markets.
Roles: traders, developers, quants, risk managers.

GENERAL OVERVIEW
Strategies catch fast-moving market trends.
3 Portfolios of instruments
20+ strategy instances running simultaneously in each portfolio.
Extensively walk-forward tested.
Weekly portfolio/risk balancing

MARKETS
Exposes to: US equities.
Instruments: MES, MNQ, MYM.
New instruments: may be added

BEHAVIOR
Target Annual profit: 60%
Expected Max drawdown: 20%
Trades per month: 60
Executions automation: 100%.
Average trade duration: 1.5 hour.
Average loss per trade: $180 (2%)
Intraday only.
Both Long and Short.

RISK CONTROL
No martingale and adding to positions.
SL and TP always placed.
Account monitored 24/7 with two persons.
We trade these strategies in our own accounts.

POSITION SIZING, LEVERAGE, CAPITAL REQUIRED, ETC.
The strategy uses all available margin of model account.
Scaling is dangerous.
If you scale up, WE WILL CANCEL YOUR SUBSCRIPTION.
If you need to scale, please contact us.

COMMUNICATION
You can place a message on my C2 support thread, https://forums.collective2.com/t/breakout-momentum-intraday/15716.
We respond to private messages at least once per week.
We can arrange a Skype call with live subscribers.
We are busy; C2 is not our primary occupation.

RISK DISCLOSURE
At Collective2 service, we are merely acting as a signal provider.
Trading is a high-risk industry.
Past performance does not guarantee future profits.
Please read the important notices posted on the C2 website and at the bottom of this strategy description page.

Summary Statistics

Strategy began
2022-04-25
Suggested Minimum Capital
$25,000
# Trades
268
# Profitable
98
% Profitable
36.6%
Correlation S&P500
-0.028
Sharpe Ratio
-0.74
Sortino Ratio
-0.96
Beta
-0.02
Alpha
-0.03
Leverage
3.02 Average
8.35 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.