Collective2 Collective2
Featured Strategy Easiest Followed by live capital $481,000 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 05/22/2023
Most recent certification approved 5/26/23 10:31 ET
Trades at broker Interactive Brokers (Server 7)
Scaling percentage used 100%
# trading signals issued by system since certification 112
# trading signals executed in manager's Interactive Brokers (Server 7) account 109
Percent signals followed since 05/22/2023 97.3%
This information was last updated 4/11/24 16:05 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 05/22/2023, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

MNQ Trades
(142745411)

Created by: Systematic_Trader Systematic_Trader
Started: 12/2022
Futures
Last trade: 7 days ago
Trading style: Futures 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 $149.00 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
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
39.4%
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.

(14.8%)
Max Drawdown
91
Num Trades
51.6%
Win Trades
1.5 : 1
Profit Factor
58.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                             (2.5%)(2.5%)
2023+12.2%(4.7%)+20.2%+9.2%+2.4%+3.7%(4.4%)+1.1%(7%)(3.4%)+16.4%(0.9%)+49.4%
2024+7.9%+5.7%(5.1%)+0.7%                                                +8.9%

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 165 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/11/24 13:15 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 15 18392.20 4/11 15:59 18486.19 0.24%
Trade id #147875019
Max drawdown($186)
Time4/11/24 13:18
Quant open15
Worst price18386.00
Drawdown as % of equity-0.24%
 $2,806
Includes Typical Broker Commissions trade costs of $14.10
4/4/24 12:10 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 16 18560.04 4/4 14:00 18489.05 3.16%
Trade id #147808684
Max drawdown($2,441)
Time4/4/24 14:00
Quant open16
Worst price18483.80
Drawdown as % of equity-3.16%
 ($2,287)
Includes Typical Broker Commissions trade costs of $15.04
3/21/24 9:40 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 16 18692.00 3/21 13:55 18614.30 3.15%
Trade id #147702661
Max drawdown($2,536)
Time3/21/24 13:55
Quant open16
Worst price18612.80
Drawdown as % of equity-3.15%
 ($2,501)
Includes Typical Broker Commissions trade costs of $15.04
3/20/24 14:05 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 17 18388.99 3/20 14:35 18297.91 4.12%
Trade id #147696448
Max drawdown($3,484)
Time3/20/24 14:35
Quant open17
Worst price18286.50
Drawdown as % of equity-4.12%
 ($3,113)
Includes Typical Broker Commissions trade costs of $15.98
3/12/24 10:25 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 16 18112.68 3/12 15:59 18228.86 1.4%
Trade id #147607299
Max drawdown($1,149)
Time3/12/24 12:45
Quant open16
Worst price18076.80
Drawdown as % of equity-1.40%
 $3,703
Includes Typical Broker Commissions trade costs of $15.04
3/8/24 9:55 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 16 18374.88 3/8 11:05 18308.33 2.98%
Trade id #147575385
Max drawdown($2,460)
Time3/8/24 11:05
Quant open16
Worst price18298.00
Drawdown as % of equity-2.98%
 ($2,144)
Includes Typical Broker Commissions trade costs of $15.04
2/29/24 9:35 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 17 18069.40 2/29 10:15 17996.29 3.51%
Trade id #147499499
Max drawdown($3,005)
Time2/29/24 10:14
Quant open17
Worst price17981.00
Drawdown as % of equity-3.51%
 ($2,502)
Includes Typical Broker Commissions trade costs of $15.98
2/22/24 9:35 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 16 17875.81 2/22 15:59 18053.62 0.01%
Trade id #147409051
Max drawdown($9)
Time2/22/24 9:38
Quant open16
Worst price17875.50
Drawdown as % of equity-0.01%
 $5,675
Includes Typical Broker Commissions trade costs of $15.04
2/14/24 15:40 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 16 17853.29 2/14 15:59 17877.25 0.07%
Trade id #147338274
Max drawdown($57)
Time2/14/24 15:43
Quant open16
Worst price17851.50
Drawdown as % of equity-0.07%
 $752
Includes Typical Broker Commissions trade costs of $15.04
2/2/24 10:45 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 15 17658.15 2/2 12:45 17682.05 1.99%
Trade id #147204239
Max drawdown($1,564)
Time2/2/24 11:04
Quant open15
Worst price17606.00
Drawdown as % of equity-1.99%
 $703
Includes Typical Broker Commissions trade costs of $14.10
1/24/24 10:10 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 15 17682.46 1/24 13:40 17708.06 n/a $754
Includes Typical Broker Commissions trade costs of $14.10
1/23/24 14:55 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 15 17495.28 1/23 15:59 17531.88 0.23%
Trade id #147105811
Max drawdown($173)
Time1/23/24 15:03
Quant open15
Worst price17489.50
Drawdown as % of equity-0.23%
 $1,084
Includes Typical Broker Commissions trade costs of $14.10
1/19/24 12:00 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 14 17266.40 1/19 15:59 17434.46 1.18%
Trade id #147067848
Max drawdown($851)
Time1/19/24 12:11
Quant open14
Worst price17236.00
Drawdown as % of equity-1.18%
 $4,693
Includes Typical Broker Commissions trade costs of $13.16
1/18/24 9:35 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 14 17041.26 1/18 12:05 17021.10 2.12%
Trade id #147048948
Max drawdown($1,547)
Time1/18/24 10:05
Quant open14
Worst price16986.00
Drawdown as % of equity-2.12%
 ($578)
Includes Typical Broker Commissions trade costs of $13.16
12/27/23 13:45 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 15 17118.04 12/27 14:05 17068.98 2.32%
Trade id #146822951
Max drawdown($1,726)
Time12/27/23 14:05
Quant open15
Worst price17060.50
Drawdown as % of equity-2.32%
 ($1,486)
Includes Typical Broker Commissions trade costs of $14.10
12/12/23 10:20 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 14 16274.74 12/12 15:59 16358.39 1.03%
Trade id #146670838
Max drawdown($741)
Time12/12/23 10:34
Quant open14
Worst price16248.20
Drawdown as % of equity-1.03%
 $2,329
Includes Typical Broker Commissions trade costs of $13.16
12/8/23 10:10 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 14 16077.41 12/8 10:40 16031.48 2.18%
Trade id #146644579
Max drawdown($1,600)
Time12/8/23 10:38
Quant open14
Worst price16020.20
Drawdown as % of equity-2.18%
 ($1,299)
Includes Typical Broker Commissions trade costs of $13.16
11/22/23 9:35 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 15 16148.64 11/22 9:55 16055.73 4.11%
Trade id #146509288
Max drawdown($3,139)
Time11/22/23 9:55
Quant open15
Worst price16044.00
Drawdown as % of equity-4.11%
 ($2,801)
Includes Typical Broker Commissions trade costs of $14.10
11/17/23 13:10 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 15 15899.00 11/17 15:35 15885.20 0.94%
Trade id #146474288
Max drawdown($720)
Time11/17/23 15:33
Quant open15
Worst price15875.00
Drawdown as % of equity-0.94%
 ($428)
Includes Typical Broker Commissions trade costs of $14.10
11/14/23 9:35 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 15 15828.98 11/14 10:10 15862.24 0.24%
Trade id #146429839
Max drawdown($179)
Time11/14/23 9:41
Quant open15
Worst price15823.00
Drawdown as % of equity-0.24%
 $984
Includes Typical Broker Commissions trade costs of $14.10
11/10/23 11:55 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 14 15448.28 11/10 15:59 15591.60 0.28%
Trade id #146400361
Max drawdown($203)
Time11/10/23 11:58
Quant open14
Worst price15441.00
Drawdown as % of equity-0.28%
 $4,000
Includes Typical Broker Commissions trade costs of $13.16
11/7/23 13:35 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 14 15395.07 11/7 15:55 15360.88 1.56%
Trade id #146359071
Max drawdown($1,136)
Time11/7/23 15:55
Quant open14
Worst price15354.50
Drawdown as % of equity-1.56%
 ($970)
Includes Typical Broker Commissions trade costs of $13.16
11/3/23 9:35 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 14 15057.73 11/3 15:59 15175.07 0.7%
Trade id #146325330
Max drawdown($489)
Time11/3/23 9:39
Quant open14
Worst price15040.20
Drawdown as % of equity-0.70%
 $3,273
Includes Typical Broker Commissions trade costs of $13.16
11/2/23 9:35 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 13 14918.80 11/2 15:59 14995.40 1.92%
Trade id #146314094
Max drawdown($1,294)
Time11/2/23 10:14
Quant open13
Worst price14869.00
Drawdown as % of equity-1.92%
 $1,980
Includes Typical Broker Commissions trade costs of $12.22
11/1/23 9:45 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 12 14562.33 11/1 15:59 14749.16 1.23%
Trade id #146299419
Max drawdown($775)
Time11/1/23 10:10
Quant open12
Worst price14530.00
Drawdown as % of equity-1.23%
 $4,473
Includes Typical Broker Commissions trade costs of $11.28
10/31/23 13:55 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 12 14476.23 10/31 15:59 14497.23 1.33%
Trade id #146292220
Max drawdown($833)
Time10/31/23 14:29
Quant open12
Worst price14441.50
Drawdown as % of equity-1.33%
 $493
Includes Typical Broker Commissions trade costs of $11.28
10/30/23 15:25 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 12 14468.26 10/30 15:59 14420.14 2.1%
Trade id #146281069
Max drawdown($1,338)
Time10/30/23 15:59
Quant open12
Worst price14412.50
Drawdown as % of equity-2.10%
 ($1,166)
Includes Typical Broker Commissions trade costs of $11.28
10/30/23 9:50 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 13 14469.01 10/30 10:15 14410.42 2.88%
Trade id #146274969
Max drawdown($1,878)
Time10/30/23 10:15
Quant open13
Worst price14396.80
Drawdown as % of equity-2.88%
 ($1,535)
Includes Typical Broker Commissions trade costs of $12.22
10/24/23 10:40 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 13 14850.86 10/24 11:25 14812.04 2.2%
Trade id #146219283
Max drawdown($1,465)
Time10/24/23 11:21
Quant open13
Worst price14794.50
Drawdown as % of equity-2.20%
 ($1,021)
Includes Typical Broker Commissions trade costs of $12.22
10/23/23 13:00 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 13 14844.84 10/23 13:20 14790.79 2.39%
Trade id #146208568
Max drawdown($1,627)
Time10/23/23 13:20
Quant open13
Worst price14782.20
Drawdown as % of equity-2.39%
 ($1,417)
Includes Typical Broker Commissions trade costs of $12.22
Next

Statistics

  • Strategy began
    12/2/2022
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    503.62
  • Age
    17 months ago
  • What it trades
    Futures
  • # Trades
    91
  • # Profitable
    47
  • % Profitable
    51.60%
  • Avg trade duration
    2.6 hours
  • Max peak-to-valley drawdown
    14.82%
  • drawdown period
    July 07, 2023 - Oct 31, 2023
  • Annual Return (Compounded)
    39.4%
  • Avg win
    $2,034
  • Avg loss
    $1,411
  • Model Account Values (Raw)
  • Cash
    $83,487
  • Margin Used
    $0
  • Buying Power
    $83,487
  • Ratios
  • W:L ratio
    1.54:1
  • Sharpe Ratio
    1.42
  • Sortino Ratio
    2.81
  • Calmar Ratio
    3.771
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    35.55%
  • Correlation to SP500
    0.30900
  • Return Percent SP500 (cumu) during strategy life
    23.07%
  • Return Statistics
  • Ann Return (w trading costs)
    39.4%
  • Slump
  • Current Slump as Pcnt Equity
    8.70%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.11%
  • Return Statistics
  • Return Pcnt Since TOS Status
    20.260%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.394%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    44.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    12.00%
  • Chance of 20% account loss
    1.00%
  • 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
    99.45%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    871
  • Popularity (Last 6 weeks)
    978
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    415
  • Popularity (7 days, Percentile 1000 scale)
    946
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $1,412
  • Avg Win
    $2,034
  • Sum Trade PL (losers)
    $62,123.000
  • Age
  • Num Months filled monthly returns table
    17
  • Win / Loss
  • Sum Trade PL (winners)
    $95,616.000
  • # Winners
    47
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    580154
  • Win / Loss
  • # Losers
    44
  • % Winners
    51.6%
  • Frequency
  • Avg Position Time (mins)
    156.75
  • Avg Position Time (hrs)
    2.61
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    7
  • Leverage
  • Daily leverage (average)
    5.62
  • Daily leverage (max)
    7.54
  • Regression
  • Alpha
    0.07
  • Beta
    0.47
  • Treynor Index
    0.20
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.45
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    4.679
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.250
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.222
  • Hold-and-Hope Ratio
    0.214
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36633
  • SD
    0.26058
  • Sharpe ratio (Glass type estimate)
    1.40582
  • Sharpe ratio (Hedges UMVUE)
    1.33413
  • df
    15.00000
  • t
    1.62330
  • p
    0.26019
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38466
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.15357
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42911
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.09737
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.65398
  • Upside Potential Ratio
    5.57343
  • Upside part of mean
    0.55877
  • Downside part of mean
    -0.19243
  • Upside SD
    0.25454
  • Downside SD
    0.10025
  • N nonnegative terms
    10.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.16637
  • Mean of criterion
    0.36633
  • SD of predictor
    0.13979
  • SD of criterion
    0.26058
  • Covariance
    0.02248
  • r
    0.61720
  • b (slope, estimate of beta)
    1.15054
  • a (intercept, estimate of alpha)
    0.17492
  • Mean Square Error
    0.04504
  • DF error
    14.00000
  • t(b)
    2.93506
  • p(b)
    0.19140
  • t(a)
    0.89691
  • p(a)
    0.38345
  • Lowerbound of 95% confidence interval for beta
    0.30979
  • Upperbound of 95% confidence interval for beta
    1.99130
  • Lowerbound of 95% confidence interval for alpha
    -0.24336
  • Upperbound of 95% confidence interval for alpha
    0.59319
  • Treynor index (mean / b)
    0.31840
  • Jensen alpha (a)
    0.17492
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33083
  • SD
    0.24827
  • Sharpe ratio (Glass type estimate)
    1.33255
  • Sharpe ratio (Hedges UMVUE)
    1.26460
  • df
    15.00000
  • t
    1.53869
  • p
    0.27040
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44986
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07411
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49207
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.02126
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.21507
  • Upside Potential Ratio
    5.13132
  • Upside part of mean
    0.52802
  • Downside part of mean
    -0.19718
  • Upside SD
    0.23731
  • Downside SD
    0.10290
  • N nonnegative terms
    10.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.15589
  • Mean of criterion
    0.33083
  • SD of predictor
    0.13861
  • SD of criterion
    0.24827
  • Covariance
    0.02112
  • r
    0.61377
  • b (slope, estimate of beta)
    1.09933
  • a (intercept, estimate of alpha)
    0.15946
  • Mean Square Error
    0.04116
  • DF error
    14.00000
  • t(b)
    2.90889
  • p(b)
    0.19311
  • t(a)
    0.86048
  • p(a)
    0.38794
  • Lowerbound of 95% confidence interval for beta
    0.28877
  • Upperbound of 95% confidence interval for beta
    1.90988
  • Lowerbound of 95% confidence interval for alpha
    -0.23800
  • Upperbound of 95% confidence interval for alpha
    0.55693
  • Treynor index (mean / b)
    0.30094
  • Jensen alpha (a)
    0.15946
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08636
  • Expected Shortfall on VaR
    0.11300
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03127
  • Expected Shortfall on VaR
    0.05938
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.94146
  • Quartile 1
    0.97196
  • Median
    1.02709
  • Quartile 3
    1.07672
  • Maximum
    1.19994
  • Mean of quarter 1
    0.94590
  • Mean of quarter 2
    1.00392
  • Mean of quarter 3
    1.04873
  • Mean of quarter 4
    1.13288
  • Inter Quartile Range
    0.10476
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.51419
  • VaR(95%) (moments method)
    0.05753
  • Expected Shortfall (moments method)
    0.06024
  • Extreme Value Index (regression method)
    -1.03141
  • VaR(95%) (regression method)
    0.05314
  • Expected Shortfall (regression method)
    0.05358
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00541
  • Quartile 1
    0.02080
  • Median
    0.05006
  • Quartile 3
    0.05854
  • Maximum
    0.07977
  • Mean of quarter 1
    0.01311
  • Mean of quarter 2
    0.05006
  • Mean of quarter 3
    0.05854
  • Mean of quarter 4
    0.07977
  • Inter Quartile Range
    0.03774
  • 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)
    0.46002
  • Compounded annual return (geometric extrapolation)
    0.43152
  • Calmar ratio (compounded annual return / max draw down)
    5.40960
  • Compounded annual return / average of 25% largest draw downs
    5.40960
  • Compounded annual return / Expected Shortfall lognormal
    3.81867
  • 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
    0.36727
  • SD
    0.19477
  • Sharpe ratio (Glass type estimate)
    1.88561
  • Sharpe ratio (Hedges UMVUE)
    1.88163
  • df
    356.00000
  • t
    2.20107
  • p
    0.01419
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.19956
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.56907
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19690
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.56636
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.79705
  • Upside Potential Ratio
    10.39180
  • Upside part of mean
    1.00513
  • Downside part of mean
    -0.63787
  • Upside SD
    0.17026
  • Downside SD
    0.09672
  • N nonnegative terms
    77.00000
  • N negative terms
    280.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    357.00000
  • Mean of predictor
    0.13316
  • Mean of criterion
    0.36727
  • SD of predictor
    0.13185
  • SD of criterion
    0.19477
  • Covariance
    0.00870
  • r
    0.33864
  • b (slope, estimate of beta)
    0.50024
  • a (intercept, estimate of alpha)
    0.30100
  • Mean Square Error
    0.03368
  • DF error
    355.00000
  • t(b)
    6.78106
  • p(b)
    -0.00000
  • t(a)
    1.90860
  • p(a)
    0.02856
  • Lowerbound of 95% confidence interval for beta
    0.35516
  • Upperbound of 95% confidence interval for beta
    0.64532
  • Lowerbound of 95% confidence interval for alpha
    -0.00915
  • Upperbound of 95% confidence interval for alpha
    0.61046
  • Treynor index (mean / b)
    0.73418
  • Jensen alpha (a)
    0.30066
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34835
  • SD
    0.19267
  • Sharpe ratio (Glass type estimate)
    1.80801
  • Sharpe ratio (Hedges UMVUE)
    1.80420
  • df
    356.00000
  • t
    2.11050
  • p
    0.01776
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.12247
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.49107
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.11993
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.48848
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.56895
  • Upside Potential Ratio
    10.15200
  • Upside part of mean
    0.99088
  • Downside part of mean
    -0.64253
  • Upside SD
    0.16719
  • Downside SD
    0.09760
  • N nonnegative terms
    77.00000
  • N negative terms
    280.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    357.00000
  • Mean of predictor
    0.12445
  • Mean of criterion
    0.34835
  • SD of predictor
    0.13181
  • SD of criterion
    0.19267
  • Covariance
    0.00846
  • r
    0.33333
  • b (slope, estimate of beta)
    0.48725
  • a (intercept, estimate of alpha)
    0.28771
  • Mean Square Error
    0.03309
  • DF error
    355.00000
  • t(b)
    6.66142
  • p(b)
    0.00000
  • t(a)
    1.84311
  • p(a)
    0.03307
  • Lowerbound of 95% confidence interval for beta
    0.34340
  • Upperbound of 95% confidence interval for beta
    0.63111
  • Lowerbound of 95% confidence interval for alpha
    -0.01929
  • Upperbound of 95% confidence interval for alpha
    0.59470
  • Treynor index (mean / b)
    0.71492
  • Jensen alpha (a)
    0.28771
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01808
  • Expected Shortfall on VaR
    0.02295
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00733
  • Expected Shortfall on VaR
    0.01466
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    357.00000
  • Minimum
    0.97094
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.05829
  • Mean of quarter 1
    0.99067
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01548
  • Inter Quartile Range
    0.00000
  • Number outliers low
    76.00000
  • Percentage of outliers low
    0.21288
  • Mean of outliers low
    0.98896
  • Number of outliers high
    77.00000
  • Percentage of outliers high
    0.21569
  • Mean of outliers high
    1.01789
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -8.92433
  • VaR(95%) (moments method)
    0.00161
  • Expected Shortfall (moments method)
    0.00161
  • Extreme Value Index (regression method)
    -0.59711
  • VaR(95%) (regression method)
    0.00943
  • Expected Shortfall (regression method)
    0.01194
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00156
  • Quartile 1
    0.00764
  • Median
    0.02241
  • Quartile 3
    0.05373
  • Maximum
    0.12113
  • Mean of quarter 1
    0.00487
  • Mean of quarter 2
    0.01360
  • Mean of quarter 3
    0.03797
  • Mean of quarter 4
    0.09400
  • Inter Quartile Range
    0.04609
  • 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)
    -21.54940
  • VaR(95%) (moments method)
    0.09358
  • Expected Shortfall (moments method)
    0.09358
  • Extreme Value Index (regression method)
    -1.28007
  • VaR(95%) (regression method)
    0.10269
  • Expected Shortfall (regression method)
    0.10616
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.49153
  • Compounded annual return (geometric extrapolation)
    0.45682
  • Calmar ratio (compounded annual return / max draw down)
    3.77116
  • Compounded annual return / average of 25% largest draw downs
    4.85980
  • Compounded annual return / Expected Shortfall lognormal
    19.90840
  • 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
    0.32267
  • SD
    0.20508
  • Sharpe ratio (Glass type estimate)
    1.57340
  • Sharpe ratio (Hedges UMVUE)
    1.56430
  • df
    130.00000
  • t
    1.11256
  • p
    0.45144
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20790
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.34877
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.21402
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.34262
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.22769
  • Upside Potential Ratio
    9.79254
  • Upside part of mean
    0.97896
  • Downside part of mean
    -0.65629
  • Upside SD
    0.17928
  • Downside SD
    0.09997
  • N nonnegative terms
    24.00000
  • N negative terms
    107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25127
  • Mean of criterion
    0.32267
  • SD of predictor
    0.11802
  • SD of criterion
    0.20508
  • Covariance
    0.00768
  • r
    0.31720
  • b (slope, estimate of beta)
    0.55121
  • a (intercept, estimate of alpha)
    0.18417
  • Mean Square Error
    0.03812
  • DF error
    129.00000
  • t(b)
    3.79890
  • p(b)
    0.30150
  • t(a)
    0.66127
  • p(a)
    0.46302
  • Lowerbound of 95% confidence interval for beta
    0.26413
  • Upperbound of 95% confidence interval for beta
    0.83829
  • Lowerbound of 95% confidence interval for alpha
    -0.36687
  • Upperbound of 95% confidence interval for alpha
    0.73521
  • Treynor index (mean / b)
    0.58539
  • Jensen alpha (a)
    0.18417
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30194
  • SD
    0.20253
  • Sharpe ratio (Glass type estimate)
    1.49080
  • Sharpe ratio (Hedges UMVUE)
    1.48218
  • df
    130.00000
  • t
    1.05415
  • p
    0.45397
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.28971
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.26574
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.29548
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.25983
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.99327
  • Upside Potential Ratio
    9.54888
  • Upside part of mean
    0.96321
  • Downside part of mean
    -0.66128
  • Upside SD
    0.17573
  • Downside SD
    0.10087
  • N nonnegative terms
    24.00000
  • N negative terms
    107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24422
  • Mean of criterion
    0.30194
  • SD of predictor
    0.11789
  • SD of criterion
    0.20253
  • Covariance
    0.00743
  • r
    0.31109
  • b (slope, estimate of beta)
    0.53444
  • a (intercept, estimate of alpha)
    0.17141
  • Mean Square Error
    0.03734
  • DF error
    129.00000
  • t(b)
    3.71774
  • p(b)
    0.30520
  • t(a)
    0.62216
  • p(a)
    0.46520
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    0.25002
  • Upperbound of 95% confidence interval for beta
    0.81886
  • Lowerbound of 95% confidence interval for alpha
    -0.37370
  • Upperbound of 95% confidence interval for alpha
    0.71652
  • Treynor index (mean / b)
    0.56496
  • Jensen alpha (a)
    0.17141
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01924
  • Expected Shortfall on VaR
    0.02435
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00773
  • Expected Shortfall on VaR
    0.01542
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97094
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.05377
  • Mean of quarter 1
    0.99040
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01491
  • Inter Quartile Range
    0.00000
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.19847
  • Mean of outliers low
    0.98782
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.18321
  • Mean of outliers high
    1.02050
  • 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)
    -0.74488
  • VaR(95%) (regression method)
    0.00839
  • Expected Shortfall (regression method)
    0.01032
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00156
  • Quartile 1
    0.00971
  • Median
    0.03441
  • Quartile 3
    0.06708
  • Maximum
    0.09788
  • Mean of quarter 1
    0.00515
  • Mean of quarter 2
    0.01263
  • Mean of quarter 3
    0.05620
  • Mean of quarter 4
    0.08429
  • Inter Quartile Range
    0.05737
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -385847000
  • Max Equity Drawdown (num days)
    116
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.35860
  • Compounded annual return (geometric extrapolation)
    0.39075
  • Calmar ratio (compounded annual return / max draw down)
    3.99233
  • Compounded annual return / average of 25% largest draw downs
    4.63579
  • Compounded annual return / Expected Shortfall lognormal
    16.05030

Strategy Description

day trades MNQ with 1 MNQ per 5000 USD in model account

Summary Statistics

Strategy began
2022-12-02
Suggested Minimum Capital
$80,000
# Trades
91
# Profitable
47
% Profitable
51.6%
Correlation S&P500
0.309
Sharpe Ratio
1.42
Sortino Ratio
2.81
Beta
0.47
Alpha
0.07
Leverage
5.62 Average
7.54 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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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.