Collective2 Collective2
For your consideration ares +32.3% Annual Return (Compounded) since Sep 12, 2020 Hypothetical

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By Aziz

Futures · Futures · Started Jan 2023

hypothetical · Annual Return (Compounded)
67531675.0%
Max Drawdown
34.5%
Trades
47
Win Trades
59.6%
Profit Factor
1.50
Win Months
4.3%

Commodities

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
20235.949.80.00.00.00.00.00.00.00.00.00.058.7
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 began1/31/2023
Suggested Minimum Capital$98,000
Age45 months
What it tradesFutures
# Trades47
# Profitable28
% Profitable59.6%
Avg trade duration6.2 hours
Max peak-to-valley drawdown34.5%
drawdown periodFeb 09, 2023 - Feb 09, 2023
Cumul. Return59.3%
Avg win$6,531
Avg loss$6,475

Ratios

W:L ratio1.49
Sharpe Ratio0.45
Sortino Ratio1
Calmar Ratio10.96

CORRELATION STATISTICS

Correlation to SP5000.04
Return Percent SP500 (cumu) during strategy life91.6%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)59.2%

Return Statistics

Ann Return (w trading costs)67531675.0%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.6%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)13.8%

Slump

Current Slump as Pcnt Equity52.9%
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 loss38.0%
Chance of 20% account loss8.0%
Chance of 30% account loss1.0%
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)715
Popularity (Last 6 weeks)709
Popularity (7 days, Percentile 1000 scale)760

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$6,475
Avg Win$6,531
# Winners28
Sum Trade PL (losers)$123,027
Sum Trade PL (winners)$182,878
Num Months Winners2
# Losers19
% Winners59.6%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table46

Frequency

Avg Position Time (mins)369.10
Avg Position Time (hrs)6.15
Avg Trade Length0.30
Last Trade Ago1334

Leverage

Daily leverage (average)17.51
Daily leverage (max)55.04

Regression

Alpha0.03
Beta0.07
Treynor Index0.47

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.04
MAE:Equity, 95th Percentile Value for this strat0.14
MAE:Equity, average, losing trades0.03
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0.04
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades1.46
MAE:PL (avg, all trades)0.38
MAE:PL (avg, losing trades)—
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.73
Avg(MAE) / Avg(PL) - Losing trades-1.27
Hold-and-Hope Ratio0.68

RATIO STATISTICS

a (intercept, estimate of alpha)1.24
VAR (95 Confidence Intrvl)0.06

DRAW DOWN STATISTICS

Strat Max DD how much worse than SP500 max DD during strat life?-302679328
Max Equity Drawdown (num days)4
Last 4 Months - Pcnt Negative0.0%

Trading record

SymbolSideQtyOpenedClosedP/L
@NQ H3long15Feb 9, 2023Feb 9, 2023($21,670)
@NQ M3long15Feb 9, 2023Feb 9, 2023($22,920)
@NQ M3short10Feb 9, 2023Feb 9, 2023($6,505)
@NQ H3short10Feb 9, 2023Feb 9, 2023($5,830)
@NQ H3long10Feb 9, 2023Feb 9, 2023($22,120)
@NQ M3long10Feb 8, 2023Feb 9, 2023$29,345
@NQ H3long10Feb 8, 2023Feb 9, 2023$10,405
XG H3short6Feb 8, 2023Feb 8, 2023$5,045
@NQ H3long4Feb 7, 2023Feb 8, 2023($107)
@NQ M3long5Feb 7, 2023Feb 7, 2023$8,735
@NQ H3long5Feb 7, 2023Feb 7, 2023$9,285
@NQ H3long6Feb 7, 2023Feb 7, 2023($17,538)
@NQ H3long5Feb 7, 2023Feb 7, 2023$16,535
@RTY M3long18Feb 6, 2023Feb 7, 2023$6,086
@RTY H3long10Feb 6, 2023Feb 7, 2023$8,095
@NQ M3long10Feb 6, 2023Feb 7, 2023$6,845
@NQ H3long10Feb 6, 2023Feb 7, 2023$7,670
@NQ H3long5Feb 6, 2023Feb 6, 2023($2,860)
@RTY H3long5Feb 6, 2023Feb 6, 2023($1,115)
@NQ H3long5Feb 6, 2023Feb 6, 2023($5,985)
@RTY H3long5Feb 6, 2023Feb 6, 2023($980)
@MNQ H3long10Feb 6, 2023Feb 6, 2023$269
QCL H3short1Feb 6, 2023Feb 6, 2023($548)
@MNQ H3long10Feb 6, 2023Feb 6, 2023$249
@MNQ H3long10Feb 3, 2023Feb 6, 2023($2,244)
QMCL J3long1Feb 3, 2023Feb 3, 2023($278)
@MNQ H3long1Feb 3, 2023Feb 3, 2023$480
QMCL J3long1Feb 2, 2023Feb 3, 2023$17
@MNQ H3long1Feb 3, 2023Feb 3, 2023$55
@MNQ H3long2Feb 2, 2023Feb 2, 2023$100

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.