Collective2 Collective2
Featured Strategy S2Prox0 +64.3% Annual Return (Compounded) since Dec 23, 2022 Hypothetical

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Marlin
(143228957)

Created by: sean_modd sean_modd
Started: 01/2023
Futures
Last trade: 11 days ago
Trading style: Futures Trend-following Macro / Fundamental

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 $125.00 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.
Macro / Fundamental
Category: Equity

Macro / Fundamental

Predicts large-scale events related to national economies, history, and international relations. The strategy typically employs forecasts and analysis of interest rate trends, international trade and payments, political changes, government policies, inter-government relations, and other broad systemic factors.
3.1%
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.

(35.3%)
Max Drawdown
86
Num Trades
43.0%
Win Trades
1.1 : 1
Profit Factor
31.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023+23.5%+14.5%(18.2%)(4.6%)(3.9%)(3.8%)+11.8%(1.8%)+5.8%(2%)(11.8%)+24.7%+27.7%
2024(7.7%)(2.2%)(6.3%)(3.8%)                                                (18.6%)

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/15/24 11:58 @BON4 SOYBEAN OIL LONG 1 48.92 4/15 14:07 46.00 3.38%
Trade id #147650693
Max drawdown($1,764)
Time4/15/24 14:07
Quant open1
Worst price45.98
Drawdown as % of equity-3.38%
 ($1,760)
Includes Typical Broker Commissions trade costs of $8.00
3/15/24 13:20 @MNQM4 MICRO E-MINI NASDAQ 100 SHORT 3 18043.50 3/20 16:01 18500.00 4.94%
Trade id #147651433
Max drawdown($2,742)
Time3/20/24 16:01
Quant open3
Worst price18500.50
Drawdown as % of equity-4.94%
 ($2,742)
Includes Typical Broker Commissions trade costs of $2.82
2/9/24 11:28 @LBRH4 Lumber SHORT 3 551.50 3/1 11:10 575 5.68%
Trade id #147269284
Max drawdown($3,258)
Time3/1/24 11:10
Quant open3
Worst price591
Drawdown as % of equity-5.68%
 ($1,963)
Includes Typical Broker Commissions trade costs of $24.00
1/3/24 11:16 @OJH4 Orange Juice SHORT 1 325.70 1/22 12:09 304.75 3.83%
Trade id #146888973
Max drawdown($2,265)
Time1/4/24 0:00
Quant open1
Worst price340.80
Drawdown as % of equity-3.83%
 $3,135
Includes Typical Broker Commissions trade costs of $8.00
1/17/24 15:39 @RTYH4 Russell 2000 CME SHORT 1 1919.80 1/22 9:34 1980.00 5.15%
Trade id #147036269
Max drawdown($3,050)
Time1/22/24 9:34
Quant open1
Worst price1980.80
Drawdown as % of equity-5.15%
 ($3,018)
Includes Typical Broker Commissions trade costs of $8.00
1/2/24 10:38 @SBH4 Sugar #11 SHORT 1 21.19 1/9 3:30 21.78 1.15%
Trade id #146873826
Max drawdown($705)
Time1/9/24 3:30
Quant open1
Worst price21.82
Drawdown as % of equity-1.15%
 ($669)
Includes Typical Broker Commissions trade costs of $8.00
1/3/24 11:16 @SH4 SOYBEANS LONG 1 1275 2/4 1/8 7:05 1250 2.11%
Trade id #146888977
Max drawdown($1,275)
Time1/8/24 7:05
Quant open1
Worst price1250
Drawdown as % of equity-2.11%
 ($1,283)
Includes Typical Broker Commissions trade costs of $8.00
1/2/24 10:37 @LEJ4 LIVE CATTLE LONG 1 175.100 1/3 11:49 173.925 0.96%
Trade id #146873809
Max drawdown($590)
Time1/3/24 9:37
Quant open1
Worst price173.625
Drawdown as % of equity-0.96%
 ($478)
Includes Typical Broker Commissions trade costs of $8.00
12/26/23 9:30 @LEG4 LIVE CATTLE SHORT 2 168.075 1/2/24 10:37 171.600 4.2%
Trade id #146806787
Max drawdown($2,680)
Time1/2/24 9:43
Quant open2
Worst price171.425
Drawdown as % of equity-4.20%
 ($2,836)
Includes Typical Broker Commissions trade costs of $16.00
12/22/23 7:26 @SBH4 Sugar #11 SHORT 4 20.50 12/28 11:47 21.51 7.19%
Trade id #146785367
Max drawdown($4,827)
Time12/28/23 11:33
Quant open4
Worst price21.58
Drawdown as % of equity-7.19%
 ($4,546)
Includes Typical Broker Commissions trade costs of $32.00
12/19/23 13:37 @OJH4 Orange Juice SHORT 2 360.20 12/22 8:05 325.95 0.35%
Trade id #146748876
Max drawdown($195)
Time12/19/23 13:59
Quant open2
Worst price360.85
Drawdown as % of equity-0.35%
 $10,259
Includes Typical Broker Commissions trade costs of $16.00
12/20/23 3:30 @SBH4 Sugar #11 SHORT 2 21.43 12/22 7:26 20.42 0.96%
Trade id #146755321
Max drawdown($537)
Time12/20/23 8:28
Quant open2
Worst price21.67
Drawdown as % of equity-0.96%
 $2,246
Includes Typical Broker Commissions trade costs of $16.00
11/27/23 12:53 @LEG4 LIVE CATTLE SHORT 1 169.675 12/19 13:35 169.225 3.38%
Trade id #146545692
Max drawdown($1,680)
Time11/29/23 0:00
Quant open1
Worst price173.875
Drawdown as % of equity-3.38%
 $172
Includes Typical Broker Commissions trade costs of $8.00
11/27/23 12:53 @SBH4 Sugar #11 SHORT 1 27.20 12/15 7:00 22.26 0.11%
Trade id #146545696
Max drawdown($56)
Time11/28/23 0:00
Quant open1
Worst price27.25
Drawdown as % of equity-0.11%
 $5,525
Includes Typical Broker Commissions trade costs of $8.00
11/13/23 11:42 @HEZ3 LEAN HOGS LONG 1 73.200 11/21 9:30 70.000 2.91%
Trade id #146420476
Max drawdown($1,480)
Time11/21/23 9:30
Quant open1
Worst price69.500
Drawdown as % of equity-2.91%
 ($1,288)
Includes Typical Broker Commissions trade costs of $8.00
11/13/23 11:39 QHGH4 Copper SHORT 1 369.30 11/14 10:26 375.00 2.75%
Trade id #146420440
Max drawdown($1,425)
Time11/14/23 10:26
Quant open1
Worst price375.00
Drawdown as % of equity-2.75%
 ($1,433)
Includes Typical Broker Commissions trade costs of $8.00
10/24/23 13:31 @LEG4 LIVE CATTLE SHORT 2 180.550 11/13 11:37 175.525 9.12%
Trade id #146222439
Max drawdown($4,880)
Time11/3/23 0:00
Quant open2
Worst price186.650
Drawdown as % of equity-9.12%
 $4,004
Includes Typical Broker Commissions trade costs of $16.00
10/5/23 12:50 @SX3 SOYBEANS SHORT 3 1289 11/13 11:36 1364 1/4 22.82%
Trade id #146044880
Max drawdown($11,950)
Time11/8/23 0:00
Quant open3
Worst price1368 3/4
Drawdown as % of equity-22.82%
 ($11,299)
Includes Typical Broker Commissions trade costs of $24.00
10/3/23 13:43 @LEZ3 LIVE CATTLE SHORT 4 181.475 10/24 13:31 177.925 4.21%
Trade id #146014065
Max drawdown($2,240)
Time10/13/23 0:00
Quant open2
Worst price188.125
Drawdown as % of equity-4.21%
 $5,648
Includes Typical Broker Commissions trade costs of $32.00
10/2/23 9:41 @ADZ3 AUSTRALIAN DOLLAR LONG 7 0.6352 10/24 9:54 0.6388 2.02%
Trade id #145991405
Max drawdown($1,125)
Time10/6/23 0:00
Quant open2
Worst price0.6329
Drawdown as % of equity-2.02%
 $2,414
Includes Typical Broker Commissions trade costs of $56.00
10/3/23 11:17 @QCH4 Emini Copper LONG 1 366 10/23 7:58 359 1.84%
Trade id #146009138
Max drawdown($1,025)
Time10/5/23 0:00
Quant open1
Worst price358
Drawdown as % of equity-1.84%
 ($933)
Includes Typical Broker Commissions trade costs of $8.00
10/9/23 15:02 @QOZ3 miNY Gold SHORT 1 1871.75 10/13 7:54 1910.25 3.74%
Trade id #146080439
Max drawdown($1,937)
Time10/13/23 7:54
Quant open1
Worst price1910.50
Drawdown as % of equity-3.74%
 ($1,933)
Includes Typical Broker Commissions trade costs of $8.00
10/6/23 10:16 @CCH4 COCOA SHORT 1 3453 10/12 8:00 3520 1.25%
Trade id #146055426
Max drawdown($700)
Time10/12/23 8:00
Quant open1
Worst price3523
Drawdown as % of equity-1.25%
 ($678)
Includes Typical Broker Commissions trade costs of $8.00
10/3/23 13:16 @RRX3 Rough Rice SHORT 1 15.755 10/5 12:49 15.750 0.24%
Trade id #146013720
Max drawdown($140)
Time10/3/23 13:56
Quant open1
Worst price15.825
Drawdown as % of equity-0.24%
 $2
Includes Typical Broker Commissions trade costs of $8.00
9/19/23 7:22 @SX3 SOYBEANS SHORT 4 1310 4/4 10/3 13:16 1270 1.05%
Trade id #145863545
Max drawdown($562)
Time9/20/23 0:00
Quant open1
Worst price1322 3/4
Drawdown as % of equity-1.05%
 $8,143
Includes Typical Broker Commissions trade costs of $32.00
9/27/23 11:23 @CCZ3 COCOA SHORT 4 3431 10/2 11:42 3516 6.84%
Trade id #145945908
Max drawdown($3,770)
Time10/2/23 11:00
Quant open4
Worst price3525
Drawdown as % of equity-6.84%
 ($3,442)
Includes Typical Broker Commissions trade costs of $32.00
9/25/23 13:18 @CCZ3 COCOA LONG 1 3493 9/27 4:50 3460 0.65%
Trade id #145926214
Max drawdown($340)
Time9/27/23 4:50
Quant open1
Worst price3459
Drawdown as % of equity-0.65%
 ($338)
Includes Typical Broker Commissions trade costs of $8.00
9/19/23 7:23 @KCZ3 COFFEE LONG 1 161.30 9/21 8:20 157.00 3.32%
Trade id #145863549
Max drawdown($1,743)
Time9/21/23 8:20
Quant open1
Worst price156.65
Drawdown as % of equity-3.32%
 ($1,621)
Includes Typical Broker Commissions trade costs of $8.00
9/15/23 8:21 @YMZ3 MINI DOW LONG 1 35320 9/15 11:06 35000 2.93%
Trade id #145834456
Max drawdown($1,625)
Time9/15/23 11:06
Quant open1
Worst price34995
Drawdown as % of equity-2.93%
 ($1,608)
Includes Typical Broker Commissions trade costs of $8.00
9/14/23 10:00 @LEZ3 LIVE CATTLE SHORT 1 189.000 9/14 12:47 190.000 0.81%
Trade id #145821132
Max drawdown($450)
Time9/14/23 12:47
Quant open1
Worst price190.125
Drawdown as % of equity-0.81%
 ($408)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    1/16/2023
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    463.18
  • Age
    16 months ago
  • What it trades
    Futures
  • # Trades
    86
  • # Profitable
    37
  • % Profitable
    43.00%
  • Avg trade duration
    6.7 days
  • Max peak-to-valley drawdown
    35.33%
  • drawdown period
    March 07, 2023 - Nov 06, 2023
  • Annual Return (Compounded)
    3.0%
  • Avg win
    $2,294
  • Avg loss
    $1,618
  • Model Account Values (Raw)
  • Cash
    $55,579
  • Margin Used
    $0
  • Buying Power
    $55,579
  • Ratios
  • W:L ratio
    1.07:1
  • Sharpe Ratio
    0.17
  • Sortino Ratio
    0.29
  • Calmar Ratio
    0.319
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -22.88%
  • Correlation to SP500
    -0.00430
  • Return Percent SP500 (cumu) during strategy life
    27.78%
  • Return Statistics
  • Ann Return (w trading costs)
    3.0%
  • Slump
  • Current Slump as Pcnt Equity
    45.70%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.89%
  • 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)
    0.030%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    8.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    75.00%
  • Chance of 20% account loss
    41.50%
  • Chance of 30% account loss
    11.00%
  • Chance of 40% account loss
    2.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    331
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    297
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,618
  • Avg Win
    $2,294
  • Sum Trade PL (losers)
    $79,305.000
  • Age
  • Num Months filled monthly returns table
    16
  • Win / Loss
  • Sum Trade PL (winners)
    $84,881.000
  • # Winners
    37
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    49
  • % Winners
    43.0%
  • Frequency
  • Avg Position Time (mins)
    9705.78
  • Avg Position Time (hrs)
    161.76
  • Avg Trade Length
    6.7 days
  • Last Trade Ago
    39
  • Leverage
  • Daily leverage (average)
    2.90
  • Daily leverage (max)
    11.34
  • Regression
  • Alpha
    0.02
  • Beta
    -0.01
  • Treynor Index
    -1.62
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.60
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    27.858
  • 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
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    0.353
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.172
  • Hold-and-Hope Ratio
    0.036
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19956
  • SD
    0.48853
  • Sharpe ratio (Glass type estimate)
    0.40848
  • Sharpe ratio (Hedges UMVUE)
    0.38232
  • df
    12.00000
  • t
    0.42516
  • p
    0.43909
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.48983
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.29014
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.50696
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.27159
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.03707
  • Upside Potential Ratio
    3.52613
  • Upside part of mean
    0.67851
  • Downside part of mean
    -0.47895
  • Upside SD
    0.43196
  • Downside SD
    0.19242
  • N nonnegative terms
    4.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.22797
  • Mean of criterion
    0.19956
  • SD of predictor
    0.13906
  • SD of criterion
    0.48853
  • Covariance
    0.01648
  • r
    0.24266
  • b (slope, estimate of beta)
    0.85252
  • a (intercept, estimate of alpha)
    0.00521
  • Mean Square Error
    0.24502
  • DF error
    11.00000
  • t(b)
    0.82961
  • p(b)
    0.21220
  • t(a)
    0.00982
  • p(a)
    0.49617
  • Lowerbound of 95% confidence interval for beta
    -1.40924
  • Upperbound of 95% confidence interval for beta
    3.11428
  • Lowerbound of 95% confidence interval for alpha
    -1.16164
  • Upperbound of 95% confidence interval for alpha
    1.17206
  • Treynor index (mean / b)
    0.23408
  • Jensen alpha (a)
    0.00521
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10360
  • SD
    0.43785
  • Sharpe ratio (Glass type estimate)
    0.23661
  • Sharpe ratio (Hedges UMVUE)
    0.22146
  • df
    12.00000
  • t
    0.24627
  • p
    0.46454
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.65359
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.11718
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.66370
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10661
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.51488
  • Upside Potential Ratio
    2.98715
  • Upside part of mean
    0.60106
  • Downside part of mean
    -0.49745
  • Upside SD
    0.37064
  • Downside SD
    0.20121
  • N nonnegative terms
    4.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.21652
  • Mean of criterion
    0.10360
  • SD of predictor
    0.13892
  • SD of criterion
    0.43785
  • Covariance
    0.01516
  • r
    0.24930
  • b (slope, estimate of beta)
    0.78574
  • a (intercept, estimate of alpha)
    -0.06653
  • Mean Square Error
    0.19614
  • DF error
    11.00000
  • t(b)
    0.85381
  • p(b)
    0.20571
  • t(a)
    -0.14160
  • p(a)
    0.55502
  • Lowerbound of 95% confidence interval for beta
    -1.23977
  • Upperbound of 95% confidence interval for beta
    2.81126
  • Lowerbound of 95% confidence interval for alpha
    -1.10067
  • Upperbound of 95% confidence interval for alpha
    0.96761
  • Treynor index (mean / b)
    0.13185
  • Jensen alpha (a)
    -0.06653
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18067
  • Expected Shortfall on VaR
    0.22198
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10376
  • Expected Shortfall on VaR
    0.14030
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.87624
  • Quartile 1
    0.93529
  • Median
    0.96637
  • Quartile 3
    1.08791
  • Maximum
    1.40885
  • Mean of quarter 1
    0.91743
  • Mean of quarter 2
    0.94983
  • Mean of quarter 3
    1.02359
  • Mean of quarter 4
    1.21882
  • Inter Quartile Range
    0.15263
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    1.40885
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.23925
  • VaR(95%) (moments method)
    0.09771
  • Expected Shortfall (moments method)
    0.13157
  • Extreme Value Index (regression method)
    1.69004
  • VaR(95%) (regression method)
    0.11435
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.25549
  • Quartile 1
    0.25549
  • Median
    0.25549
  • Quartile 3
    0.25549
  • Maximum
    0.25549
  • 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)
    0.14134
  • Compounded annual return (geometric extrapolation)
    0.14055
  • Calmar ratio (compounded annual return / max draw down)
    0.55011
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.63314
  • 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
    0.12672
  • SD
    0.34954
  • Sharpe ratio (Glass type estimate)
    0.36255
  • Sharpe ratio (Hedges UMVUE)
    0.36161
  • df
    292.00000
  • t
    0.38339
  • p
    0.35085
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.49134
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21589
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.49200
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21523
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.59653
  • Upside Potential Ratio
    8.20145
  • Upside part of mean
    1.74225
  • Downside part of mean
    -1.61552
  • Upside SD
    0.27693
  • Downside SD
    0.21243
  • N nonnegative terms
    109.00000
  • N negative terms
    184.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    293.00000
  • Mean of predictor
    0.19286
  • Mean of criterion
    0.12672
  • SD of predictor
    0.13000
  • SD of criterion
    0.34954
  • Covariance
    -0.00208
  • r
    -0.04574
  • b (slope, estimate of beta)
    -0.12298
  • a (intercept, estimate of alpha)
    0.15000
  • Mean Square Error
    0.12234
  • DF error
    291.00000
  • t(b)
    -0.78109
  • p(b)
    0.78231
  • t(a)
    0.45294
  • p(a)
    0.32546
  • Lowerbound of 95% confidence interval for beta
    -0.43287
  • Upperbound of 95% confidence interval for beta
    0.18690
  • Lowerbound of 95% confidence interval for alpha
    -0.50326
  • Upperbound of 95% confidence interval for alpha
    0.80414
  • Treynor index (mean / b)
    -1.03040
  • Jensen alpha (a)
    0.15044
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06668
  • SD
    0.34590
  • Sharpe ratio (Glass type estimate)
    0.19279
  • Sharpe ratio (Hedges UMVUE)
    0.19229
  • df
    292.00000
  • t
    0.20387
  • p
    0.41930
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.66082
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.04607
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.66116
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.04574
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.30717
  • Upside Potential Ratio
    7.85521
  • Upside part of mean
    1.70526
  • Downside part of mean
    -1.63857
  • Upside SD
    0.26856
  • Downside SD
    0.21709
  • N nonnegative terms
    109.00000
  • N negative terms
    184.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    293.00000
  • Mean of predictor
    0.18436
  • Mean of criterion
    0.06668
  • SD of predictor
    0.12989
  • SD of criterion
    0.34590
  • Covariance
    -0.00202
  • r
    -0.04492
  • b (slope, estimate of beta)
    -0.11962
  • a (intercept, estimate of alpha)
    0.08874
  • Mean Square Error
    0.11981
  • DF error
    291.00000
  • t(b)
    -0.76704
  • p(b)
    0.77816
  • t(a)
    0.27006
  • p(a)
    0.39365
  • Lowerbound of 95% confidence interval for beta
    -0.42655
  • Upperbound of 95% confidence interval for beta
    0.18731
  • Lowerbound of 95% confidence interval for alpha
    -0.55795
  • Upperbound of 95% confidence interval for alpha
    0.73542
  • Treynor index (mean / b)
    -0.55747
  • Jensen alpha (a)
    0.08874
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03429
  • Expected Shortfall on VaR
    0.04285
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01630
  • Expected Shortfall on VaR
    0.03157
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    293.00000
  • Minimum
    0.92748
  • Quartile 1
    0.99189
  • Median
    1.00000
  • Quartile 3
    1.00475
  • Maximum
    1.11067
  • Mean of quarter 1
    0.97860
  • Mean of quarter 2
    0.99722
  • Mean of quarter 3
    1.00114
  • Mean of quarter 4
    1.02571
  • Inter Quartile Range
    0.01287
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.05461
  • Mean of outliers low
    0.95619
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.08874
  • Mean of outliers high
    1.05089
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.19920
  • VaR(95%) (moments method)
    0.02060
  • Expected Shortfall (moments method)
    0.03195
  • Extreme Value Index (regression method)
    0.11893
  • VaR(95%) (regression method)
    0.02081
  • Expected Shortfall (regression method)
    0.03062
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00194
  • Quartile 1
    0.00532
  • Median
    0.02142
  • Quartile 3
    0.04298
  • Maximum
    0.31130
  • Mean of quarter 1
    0.00228
  • Mean of quarter 2
    0.00961
  • Mean of quarter 3
    0.03299
  • Mean of quarter 4
    0.18741
  • Inter Quartile Range
    0.03766
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.31130
  • 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)
    0.09977
  • Compounded annual return (geometric extrapolation)
    0.09921
  • Calmar ratio (compounded annual return / max draw down)
    0.31869
  • Compounded annual return / average of 25% largest draw downs
    0.52936
  • Compounded annual return / Expected Shortfall lognormal
    2.31535
  • 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
    0.03233
  • SD
    0.38035
  • Sharpe ratio (Glass type estimate)
    0.08501
  • Sharpe ratio (Hedges UMVUE)
    0.08452
  • df
    130.00000
  • t
    0.06011
  • p
    0.49736
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.68694
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.85672
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.68731
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.85634
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.14285
  • Upside Potential Ratio
    8.49470
  • Upside part of mean
    1.92281
  • Downside part of mean
    -1.89047
  • Upside SD
    0.30386
  • Downside SD
    0.22635
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23894
  • Mean of criterion
    0.03233
  • SD of predictor
    0.12061
  • SD of criterion
    0.38035
  • Covariance
    -0.00102
  • r
    -0.02220
  • b (slope, estimate of beta)
    -0.07002
  • a (intercept, estimate of alpha)
    0.04907
  • Mean Square Error
    0.14572
  • DF error
    129.00000
  • t(b)
    -0.25225
  • p(b)
    0.51413
  • t(a)
    0.09021
  • p(a)
    0.49494
  • Lowerbound of 95% confidence interval for beta
    -0.61926
  • Upperbound of 95% confidence interval for beta
    0.47921
  • Lowerbound of 95% confidence interval for alpha
    -1.02707
  • Upperbound of 95% confidence interval for alpha
    1.12520
  • Treynor index (mean / b)
    -0.46176
  • Jensen alpha (a)
    0.04907
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03810
  • SD
    0.37509
  • Sharpe ratio (Glass type estimate)
    -0.10158
  • Sharpe ratio (Hedges UMVUE)
    -0.10099
  • df
    130.00000
  • t
    -0.07183
  • p
    0.50315
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.87329
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.67038
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.87282
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67084
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.16504
  • Upside Potential Ratio
    8.13676
  • Upside part of mean
    1.87847
  • Downside part of mean
    -1.91657
  • Upside SD
    0.29381
  • Downside SD
    0.23086
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23160
  • Mean of criterion
    -0.03810
  • SD of predictor
    0.12054
  • SD of criterion
    0.37509
  • Covariance
    -0.00105
  • r
    -0.02329
  • b (slope, estimate of beta)
    -0.07247
  • a (intercept, estimate of alpha)
    -0.02132
  • Mean Square Error
    0.14170
  • DF error
    129.00000
  • t(b)
    -0.26458
  • p(b)
    0.51482
  • t(a)
    -0.03976
  • p(a)
    0.50223
  • VAR (95 Confidence Intrvl)
    0.03400
  • Lowerbound of 95% confidence interval for beta
    -0.61438
  • Upperbound of 95% confidence interval for beta
    0.46944
  • Lowerbound of 95% confidence interval for alpha
    -1.08205
  • Upperbound of 95% confidence interval for alpha
    1.03942
  • Treynor index (mean / b)
    0.52577
  • Jensen alpha (a)
    -0.02132
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03754
  • Expected Shortfall on VaR
    0.04678
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01896
  • Expected Shortfall on VaR
    0.03503
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93168
  • Quartile 1
    0.99051
  • Median
    0.99886
  • Quartile 3
    1.00532
  • Maximum
    1.11067
  • Mean of quarter 1
    0.97651
  • Mean of quarter 2
    0.99522
  • Mean of quarter 3
    1.00111
  • Mean of quarter 4
    1.02810
  • Inter Quartile Range
    0.01481
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.95648
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.05426
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26567
  • VaR(95%) (moments method)
    0.02402
  • Expected Shortfall (moments method)
    0.03925
  • Extreme Value Index (regression method)
    0.27225
  • VaR(95%) (regression method)
    0.02141
  • Expected Shortfall (regression method)
    0.03392
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00348
  • Quartile 1
    0.02803
  • Median
    0.07392
  • Quartile 3
    0.16080
  • Maximum
    0.21238
  • Mean of quarter 1
    0.01492
  • Mean of quarter 2
    0.03302
  • Mean of quarter 3
    0.11481
  • Mean of quarter 4
    0.19425
  • Inter Quartile Range
    0.13277
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -457714000
  • Max Equity Drawdown (num days)
    244
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01017
  • Compounded annual return (geometric extrapolation)
    -0.01014
  • Calmar ratio (compounded annual return / max draw down)
    -0.04775
  • Compounded annual return / average of 25% largest draw downs
    -0.05221
  • Compounded annual return / Expected Shortfall lognormal
    -0.21681

Strategy Description

Oops. That didnt go according to plan! Three years of trading just went down the toilet thanks to a stupid glitch on my end! No point belly aching about it, and rather than just reappear under a pseudonym, Im going to acknowledge the mistake and build up my track record again!

Summary Statistics

Strategy began
2023-01-16
Suggested Minimum Capital
$50,000
# Trades
86
# Profitable
37
% Profitable
43.0%
Correlation S&P500
-0.004
Sharpe Ratio
0.17
Sortino Ratio
0.29
Beta
-0.01
Alpha
0.02
Leverage
2.90 Average
11.34 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.