Collective2 Collective2
For your consideration Long Horizon +40.8% Annual Return (Compounded) since Dec 27, 2022 Hypothetical

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Dev Quantum

By DonaldWPendergast3

Futures · Futures · Started Sep 2022

hypothetical · Annual Return (Compounded)
3.1%
Max Drawdown
3.9%
Trades
242
Win Trades
71.9%
Profit Factor
1.30
Win Months
4.0%

About this strategy

This system may issue signals infrequently thru Ocober 20,2022 then cease operation







Short Term

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20224.2-2.9-0.1-0.11.0
20230.10.00.00.00.00.00.00.00.00.00.00.00.1
20240.00.00.00.00.00.00.00.00.00.00.00.00.0
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began9/9/2022
Suggested Minimum Capital$50,000
Age50 months
What it tradesFutures
# Trades242
# Profitable174
% Profitable71.9%
Avg trade duration9.5 minutes
Max peak-to-valley drawdown3.9%
drawdown periodOct 06, 2022 - Oct 11, 2022
Cumul. Return1.2%
Avg win$38
Avg loss$76

Ratios

W:L ratio1.30
Sharpe Ratio-1.14
Sortino Ratio-1.39
Calmar Ratio1.62

CORRELATION STATISTICS

Correlation to SP500-0.04
Return Percent SP500 (cumu) during strategy life92.0%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)3.5%

Return Statistics

Ann Return (w trading costs)3.1%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)0.7%

Slump

Current Slump as Pcnt Equity4.1%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures1.0%
Percent Trades Options0.0%
Short Options - Percent Covered100.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss0.0%
Chance of 20% account loss0.0%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated100.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)0
Popularity (7 days, Percentile 1000 scale)0

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$76
Avg Win$38
# Winners174
Sum Trade PL (losers)$5,144
Sum Trade PL (winners)$6,676
Num Months Winners2
# Losers68
% Winners71.9%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table50

Frequency

Avg Position Time (mins)9.52
Avg Position Time (hrs)0.16
Avg Trade Length0
Last Trade Ago1358

Leverage

Daily leverage (average)3.22
Daily leverage (max)14.20

Regression

Alpha0
Beta0
Treynor Index1.46

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades-16.52
MAE:PL (avg, all trades)-0.35
MAE:PL (avg, losing trades)—
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades1.92
Avg(MAE) / Avg(PL) - Losing trades-1.70
Hold-and-Hope Ratio-0.06

RATIO STATISTICS

a (intercept, estimate of alpha)0.03
VAR (95 Confidence Intrvl)0.00

DRAW DOWN STATISTICS

Strat Max DD how much worse than SP500 max DD during strat life?-341770816
Max Equity Drawdown (num days)5
Last 4 Months - Pcnt Negative0.0%

Trading record

SymbolSideQtyOpenedClosedP/L
@MES H3short6Jan 23, 2023Jan 23, 2023$84
@MES Z2long26Oct 11, 2022Oct 11, 2022($1,095)
@MES Z2long3Oct 11, 2022Oct 11, 2022($78)
@MES Z2long5Oct 11, 2022Oct 11, 2022($165)
@MES Z2long1Oct 11, 2022Oct 11, 2022$2
@MES Z2long1Oct 11, 2022Oct 11, 2022$4
@MES Z2long1Oct 11, 2022Oct 11, 2022$2
@MES Z2long1Oct 11, 2022Oct 11, 2022$12
@MES Z2short3Oct 11, 2022Oct 11, 2022$30
@MES Z2short3Oct 11, 2022Oct 11, 2022$0
@MES Z2short6Oct 11, 2022Oct 11, 2022$81
@MES Z2short4Oct 11, 2022Oct 11, 2022($78)
@MES Z2short3Oct 11, 2022Oct 11, 2022($89)
@MES Z2short2Oct 11, 2022Oct 11, 2022$26
@MES Z2short1Oct 11, 2022Oct 11, 2022($32)
@MES Z2short2Oct 11, 2022Oct 11, 2022$9
@MES Z2long2Oct 10, 2022Oct 10, 2022$31
@MES Z2long4Oct 10, 2022Oct 10, 2022($6)
@MES Z2short1Oct 10, 2022Oct 10, 2022($36)
@MES Z2long20Oct 10, 2022Oct 10, 2022$97
@MES Z2long3Oct 10, 2022Oct 10, 2022($87)
@MES Z2long2Oct 10, 2022Oct 10, 2022$24
@MES Z2long11Oct 7, 2022Oct 7, 2022($218)
@MES Z2long12Oct 7, 2022Oct 7, 2022($138)
@MES Z2long7Oct 7, 2022Oct 7, 2022$21
@MES Z2long3Oct 7, 2022Oct 7, 2022$10
@MES Z2long15Oct 7, 2022Oct 7, 2022($539)
@MES Z2long2Oct 7, 2022Oct 7, 2022($97)
@MES Z2long2Oct 7, 2022Oct 7, 2022$24
@MES Z2long3Oct 7, 2022Oct 7, 2022$12

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.