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

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 04/02/2023
Most recent certification approved 4/2/23 20:30 ET
Trades at broker Interactive Brokers (Europe)
Scaling percentage used 100%
# trading signals issued by system since certification 4,557
# trading signals executed in manager's Interactive Brokers (Europe) account 4,542
Percent signals followed since 04/02/2023 99.7%
This information was last updated 6/24/24 5:50 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 04/02/2023, 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.

IC Algotrading
(144135459)

Created by: REVYKTRADER REVYKTRADER
Started: 03/2023
Stocks, Futures
Last trade: Today
Trading style: Futures Trend-following Momentum

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.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
108.9%
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.

(20.1%)
Max Drawdown
1916
Num Trades
40.8%
Win Trades
1.3 : 1
Profit Factor
68.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023              (0.3%)(4.2%)(3.7%)+8.5%(7.7%)+10.9%  -  +3.7%+19.1%+13.2%+43.0%
2024+24.4%+8.9%+4.8%+4.2%+16.5%+1.4%                                    +74.7%

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 4,542 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/21/24 13:52 ADBE ADOBE INC LONG 53 532.70 6/21 15:04 533.44 0.04%
Trade id #148472460
Max drawdown($47)
Time6/21/24 14:04
Quant open53
Worst price531.81
Drawdown as % of equity-0.04%
$38
Includes Typical Broker Commissions trade costs of $1.06
6/17/24 9:56 CAT CATERPILLAR LONG 86 320.46 6/21 15:04 327.11 0.1%
Trade id #148426952
Max drawdown($116)
Time6/17/24 10:11
Quant open86
Worst price319.11
Drawdown as % of equity-0.10%
$569
Includes Typical Broker Commissions trade costs of $1.72
6/21/24 11:44 GOOG ALPHABET INC CLASS C LONG 156 181.43 6/21 15:04 181.59 0.06%
Trade id #148469079
Max drawdown($71)
Time6/21/24 13:36
Quant open156
Worst price180.97
Drawdown as % of equity-0.06%
$21
Includes Typical Broker Commissions trade costs of $3.12
6/17/24 12:28 INTU INTUIT LONG 47 596.10 6/21 15:04 627.25 0%
Trade id #148429498
Max drawdown($1)
Time6/17/24 12:31
Quant open47
Worst price596.08
Drawdown as % of equity-0.00%
$1,463
Includes Typical Broker Commissions trade costs of $0.94
6/21/24 15:00 @MESU4 MICRO E-MINI S&P 500 LONG 1 5531.97 6/21 15:02 5532.00 n/a ($1)
Includes Typical Broker Commissions trade costs of $0.94
6/21/24 10:25 QMGCQ4 E-Micro Gold SHORT 2 2341.9 6/21 15:01 2335.1 0.07%
Trade id #148468105
Max drawdown($92)
Time6/21/24 10:39
Quant open1
Worst price2352.0
Drawdown as % of equity-0.07%
$136
Includes Typical Broker Commissions trade costs of $1.40
6/17/24 9:59 @MESU4 MICRO E-MINI S&P 500 LONG 2 5521.11 6/21 15:00 5531.48 0%
Trade id #148427057
Max drawdown($4)
Time6/17/24 10:02
Quant open1
Worst price5493.75
Drawdown as % of equity-0.00%
$102
Includes Typical Broker Commissions trade costs of $1.88
6/20/24 12:37 NFLX NETFLIX SHORT 41 676.98 6/21 14:25 685.73 0.29%
Trade id #148457544
Max drawdown($359)
Time6/21/24 14:25
Quant open41
Worst price685.75
Drawdown as % of equity-0.29%
($360)
Includes Typical Broker Commissions trade costs of $0.82
6/20/24 14:59 ADBE ADOBE INC SHORT 54 521.56 6/21 13:52 532.67 0.49%
Trade id #148459081
Max drawdown($610)
Time6/21/24 13:52
Quant open54
Worst price532.86
Drawdown as % of equity-0.49%
($601)
Includes Typical Broker Commissions trade costs of $1.08
6/21/24 9:55 AMZN AMAZON.COM SHORT 151 186.61 6/21 11:54 188.24 0.2%
Trade id #148467503
Max drawdown($255)
Time6/21/24 11:54
Quant open151
Worst price188.30
Drawdown as % of equity-0.20%
($249)
Includes Typical Broker Commissions trade costs of $3.02
6/20/24 10:50 QCOM QUALCOMM SHORT 131 217.16 6/21 11:03 212.83 0.12%
Trade id #148455466
Max drawdown($146)
Time6/20/24 11:46
Quant open131
Worst price218.28
Drawdown as % of equity-0.12%
$564
Includes Typical Broker Commissions trade costs of $2.62
6/18/24 11:41 QMGCQ4 E-Micro Gold LONG 6 2353.1 6/21 9:53 2356.1 0.05%
Trade id #148439026
Max drawdown($65)
Time6/18/24 21:11
Quant open3
Worst price2341.0
Drawdown as % of equity-0.05%
$179
Includes Typical Broker Commissions trade costs of $4.20
6/20/24 10:44 AMZN AMAZON.COM LONG 153 185.69 6/21 9:52 186.79 0.23%
Trade id #148455419
Max drawdown($285)
Time6/20/24 12:37
Quant open153
Worst price183.82
Drawdown as % of equity-0.23%
$166
Includes Typical Broker Commissions trade costs of $3.06
6/17/24 9:50 BAC BANK OF AMERICA CORPORATION LONG 711 39.29 6/21 9:30 39.75 0.1%
Trade id #148426810
Max drawdown($120)
Time6/17/24 10:01
Quant open711
Worst price39.12
Drawdown as % of equity-0.10%
$322
Includes Typical Broker Commissions trade costs of $5.00
6/20/24 11:34 DXSM4 MICRO-DAX INDEX LONG 1 18254 6/21 5:00 18155 0.08%
Trade id #148455893
Max drawdown($105)
Time6/21/24 4:58
Quant open1
Worst price18155
Drawdown as % of equity-0.08%
($107)
Includes Typical Broker Commissions trade costs of $0.80
6/17/24 9:56 BKNG BOOKING HOLDINGS INC. COMMON STOCK LONG 7 3866.70 6/20 15:43 3960.87 0.04%
Trade id #148426928
Max drawdown($51)
Time6/17/24 10:06
Quant open7
Worst price3859.40
Drawdown as % of equity-0.04%
$659
Includes Typical Broker Commissions trade costs of $0.14
6/17/24 13:31 COST COSTCO WHOLESALE LONG 32 866.91 6/20 13:31 864.07 0.07%
Trade id #148430304
Max drawdown($94)
Time6/20/24 13:31
Quant open32
Worst price863.97
Drawdown as % of equity-0.07%
($92)
Includes Typical Broker Commissions trade costs of $0.64
6/17/24 9:57 NFLX NETFLIX LONG 41 666.88 6/20 12:37 677.01 0.02%
Trade id #148426981
Max drawdown($25)
Time6/17/24 10:00
Quant open41
Worst price666.26
Drawdown as % of equity-0.02%
$414
Includes Typical Broker Commissions trade costs of $0.82
6/18/24 11:36 NVDA NVIDIA LONG 211 133.72 6/20 12:19 136.10 0.01%
Trade id #148438989
Max drawdown($16)
Time6/18/24 16:00
Quant open211
Worst price133.64
Drawdown as % of equity-0.01%
$499
Includes Typical Broker Commissions trade costs of $4.22
6/20/24 10:31 AMD ADVANCED MICRO DEVICES INC. C LONG 173 163.94 6/20 12:01 164.00 0.01%
Trade id #148455276
Max drawdown($9)
Time6/20/24 12:01
Quant open173
Worst price163.89
Drawdown as % of equity-0.01%
$7
Includes Typical Broker Commissions trade costs of $3.46
6/20/24 9:01 DXSM4 MICRO-DAX INDEX SHORT 2 18117 6/20 11:34 18232 0.16%
Trade id #148452273
Max drawdown($207)
Time6/20/24 10:32
Quant open2
Worst price18214
Drawdown as % of equity-0.16%
($248)
Includes Typical Broker Commissions trade costs of $1.60
6/17/24 11:02 ADBE ADOBE INC SHORT 15 509.70 6/20 9:38 530.41 0.25%
Trade id #148427723
Max drawdown($320)
Time6/20/24 9:38
Quant open15
Worst price531.09
Drawdown as % of equity-0.25%
($311)
Includes Typical Broker Commissions trade costs of $0.30
6/18/24 11:13 AMD ADVANCED MICRO DEVICES INC. C SHORT 182 154.52 6/20 9:34 157.29 0.42%
Trade id #148438822
Max drawdown($523)
Time6/20/24 9:34
Quant open182
Worst price157.40
Drawdown as % of equity-0.42%
($507)
Includes Typical Broker Commissions trade costs of $3.64
6/17/24 9:57 MSFT MICROSOFT LONG 62 441.26 6/20 9:31 444.69 n/a $212
Includes Typical Broker Commissions trade costs of $1.24
6/17/24 9:58 DXSM4 MICRO-DAX INDEX LONG 3 18098 6/20 9:01 18112 0.08%
Trade id #148427023
Max drawdown($98)
Time6/17/24 10:03
Quant open2
Worst price18021
Drawdown as % of equity-0.08%
$45
Includes Typical Broker Commissions trade costs of $2.40
6/17/24 9:59 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 5 20065.72 6/20 3:30 20254.84 0.03%
Trade id #148427044
Max drawdown($40)
Time6/17/24 10:29
Quant open1
Worst price19929.20
Drawdown as % of equity-0.03%
$1,886
Includes Typical Broker Commissions trade costs of $4.70
6/18/24 6:44 QMGCQ4 E-Micro Gold SHORT 1 2321.6 6/18 11:41 2343.0 0.19%
Trade id #148435826
Max drawdown($229)
Time6/18/24 11:41
Quant open1
Worst price2344.6
Drawdown as % of equity-0.19%
($215)
Includes Typical Broker Commissions trade costs of $0.70
6/17/24 9:56 GOOG ALPHABET INC CLASS C LONG 156 177.00 6/18 11:24 177.14 0.03%
Trade id #148426955
Max drawdown($33)
Time6/17/24 11:18
Quant open156
Worst price176.79
Drawdown as % of equity-0.03%
$18
Includes Typical Broker Commissions trade costs of $3.12
6/17/24 13:54 AMD ADVANCED MICRO DEVICES INC. C LONG 19 158.76 6/18 11:13 154.53 0.07%
Trade id #148430828
Max drawdown($85)
Time6/18/24 11:13
Quant open19
Worst price154.25
Drawdown as % of equity-0.07%
($80)
Includes Typical Broker Commissions trade costs of $0.38
6/18/24 9:50 AMZN AMAZON.COM SHORT 155 182.63 6/18 10:13 183.81 0.17%
Trade id #148437559
Max drawdown($210)
Time6/18/24 10:13
Quant open155
Worst price183.99
Drawdown as % of equity-0.17%
($185)
Includes Typical Broker Commissions trade costs of $3.10

Statistics

  • Strategy began
    3/31/2023
  • Suggested Minimum Cap
    $120,000
  • Strategy Age (days)
    450.59
  • Age
    15 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    1916
  • # Profitable
    781
  • % Profitable
    40.80%
  • Avg trade duration
    1.7 days
  • Max peak-to-valley drawdown
    20.1%
  • drawdown period
    July 18, 2023 - Aug 16, 2023
  • Annual Return (Compounded)
    108.9%
  • Avg win
    $408.40
  • Avg loss
    $211.08
  • Model Account Values (Raw)
  • Cash
    $130,677
  • Margin Used
    $1,807
  • Buying Power
    $128,882
  • Ratios
  • W:L ratio
    1.34:1
  • Sharpe Ratio
    1.78
  • Sortino Ratio
    3.15
  • Calmar Ratio
    6.27
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    116.83%
  • Correlation to SP500
    0.42770
  • Return Percent SP500 (cumu) during strategy life
    32.98%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    108.9%
  • Slump
  • Current Slump as Pcnt Equity
    2.00%
  • Instruments
  • Percent Trades Futures
    0.47%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • 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)
    1.089%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.53%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    117.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    19.50%
  • Chance of 20% account loss
    5.00%
  • 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
  • Chance of 100% 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)
    992
  • Popularity (Last 6 weeks)
    997
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    970
  • Popularity (7 days, Percentile 1000 scale)
    989
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $211
  • Avg Win
    $408
  • Sum Trade PL (losers)
    $239,577.000
  • Age
  • Num Months filled monthly returns table
    16
  • Win / Loss
  • Sum Trade PL (winners)
    $318,957.000
  • # Winners
    781
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    1301
  • AUM
  • AUM (AutoTrader live capital)
    1865540
  • Win / Loss
  • # Losers
    1135
  • % Winners
    40.8%
  • Frequency
  • Avg Position Time (mins)
    2505.73
  • Avg Position Time (hrs)
    41.76
  • Avg Trade Length
    1.7 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    3.61
  • Daily leverage (max)
    14.75
  • Regression
  • Alpha
    0.13
  • Beta
    1.40
  • Treynor Index
    0.15
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.66
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    1.929
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.206
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.194
  • Hold-and-Hope Ratio
    0.515
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.84017
  • SD
    0.30573
  • Sharpe ratio (Glass type estimate)
    2.74808
  • Sharpe ratio (Hedges UMVUE)
    2.58589
  • df
    13.00000
  • t
    2.96827
  • p
    0.12457
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.61454
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.80305
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51692
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.65487
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.82571
  • Upside Potential Ratio
    11.34680
  • Upside part of mean
    0.97023
  • Downside part of mean
    -0.13007
  • Upside SD
    0.37189
  • Downside SD
    0.08551
  • N nonnegative terms
    10.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.19671
  • Mean of criterion
    0.84017
  • SD of predictor
    0.12627
  • SD of criterion
    0.30573
  • Covariance
    0.01266
  • r
    0.32781
  • b (slope, estimate of beta)
    0.79368
  • a (intercept, estimate of alpha)
    0.68404
  • Mean Square Error
    0.09038
  • DF error
    12.00000
  • t(b)
    1.20198
  • p(b)
    0.33609
  • t(a)
    2.22710
  • p(a)
    0.22961
  • Lowerbound of 95% confidence interval for beta
    -0.64501
  • Upperbound of 95% confidence interval for beta
    2.23237
  • Lowerbound of 95% confidence interval for alpha
    0.01483
  • Upperbound of 95% confidence interval for alpha
    1.35325
  • Treynor index (mean / b)
    1.05857
  • Jensen alpha (a)
    0.68404
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.77212
  • SD
    0.28734
  • Sharpe ratio (Glass type estimate)
    2.68712
  • Sharpe ratio (Hedges UMVUE)
    2.52853
  • df
    13.00000
  • t
    2.90242
  • p
    0.12878
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.56553
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.73106
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47006
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.58700
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.73915
  • Upside Potential Ratio
    10.25100
  • Upside part of mean
    0.90569
  • Downside part of mean
    -0.13358
  • Upside SD
    0.34430
  • Downside SD
    0.08835
  • N nonnegative terms
    10.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.18751
  • Mean of criterion
    0.77212
  • SD of predictor
    0.12429
  • SD of criterion
    0.28734
  • Covariance
    0.01156
  • r
    0.32377
  • b (slope, estimate of beta)
    0.74853
  • a (intercept, estimate of alpha)
    0.63176
  • Mean Square Error
    0.08007
  • DF error
    12.00000
  • t(b)
    1.18544
  • p(b)
    0.33811
  • t(a)
    2.19754
  • p(a)
    0.23216
  • Lowerbound of 95% confidence interval for beta
    -0.62726
  • Upperbound of 95% confidence interval for beta
    2.12432
  • Lowerbound of 95% confidence interval for alpha
    0.00538
  • Upperbound of 95% confidence interval for alpha
    1.25814
  • Treynor index (mean / b)
    1.03151
  • Jensen alpha (a)
    0.63176
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06956
  • Expected Shortfall on VaR
    0.10083
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01661
  • Expected Shortfall on VaR
    0.03765
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.92327
  • Quartile 1
    0.99518
  • Median
    1.09311
  • Quartile 3
    1.12678
  • Maximum
    1.23316
  • Mean of quarter 1
    0.96439
  • Mean of quarter 2
    1.04787
  • Mean of quarter 3
    1.11531
  • Mean of quarter 4
    1.16642
  • Inter Quartile Range
    0.13161
  • 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)
    0.24449
  • VaR(95%) (moments method)
    0.03347
  • Expected Shortfall (moments method)
    0.05775
  • Extreme Value Index (regression method)
    1.00105
  • VaR(95%) (regression method)
    0.06331
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01100
  • Quartile 1
    0.03256
  • Median
    0.05412
  • Quartile 3
    0.06542
  • Maximum
    0.07673
  • Mean of quarter 1
    0.01100
  • Mean of quarter 2
    0.05412
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.07673
  • Inter Quartile Range
    0.03286
  • 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)
    1.32260
  • Compounded annual return (geometric extrapolation)
    1.22559
  • Calmar ratio (compounded annual return / max draw down)
    15.97290
  • Compounded annual return / average of 25% largest draw downs
    15.97290
  • Compounded annual return / Expected Shortfall lognormal
    12.15460
  • 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
    0.82042
  • SD
    0.35834
  • Sharpe ratio (Glass type estimate)
    2.28950
  • Sharpe ratio (Hedges UMVUE)
    2.28413
  • df
    320.00000
  • t
    2.53421
  • p
    0.00587
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50820
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.06734
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.50461
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.06366
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.07949
  • Upside Potential Ratio
    11.71090
  • Upside part of mean
    2.35516
  • Downside part of mean
    -1.53474
  • Upside SD
    0.30022
  • Downside SD
    0.20111
  • N nonnegative terms
    172.00000
  • N negative terms
    149.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    321.00000
  • Mean of predictor
    0.21124
  • Mean of criterion
    0.82042
  • SD of predictor
    0.11330
  • SD of criterion
    0.35834
  • Covariance
    0.01783
  • r
    0.43906
  • b (slope, estimate of beta)
    1.38870
  • a (intercept, estimate of alpha)
    0.52700
  • Mean Square Error
    0.10398
  • DF error
    319.00000
  • t(b)
    8.72812
  • p(b)
    -0.00000
  • t(a)
    1.79735
  • p(a)
    0.03661
  • Lowerbound of 95% confidence interval for beta
    1.07567
  • Upperbound of 95% confidence interval for beta
    1.70173
  • Lowerbound of 95% confidence interval for alpha
    -0.04988
  • Upperbound of 95% confidence interval for alpha
    1.10404
  • Treynor index (mean / b)
    0.59079
  • Jensen alpha (a)
    0.52708
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.75627
  • SD
    0.35385
  • Sharpe ratio (Glass type estimate)
    2.13725
  • Sharpe ratio (Hedges UMVUE)
    2.13224
  • df
    320.00000
  • t
    2.36569
  • p
    0.00930
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35719
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.91405
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.35385
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.91063
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.68820
  • Upside Potential Ratio
    11.27330
  • Upside part of mean
    2.31160
  • Downside part of mean
    -1.55533
  • Upside SD
    0.29147
  • Downside SD
    0.20505
  • N nonnegative terms
    172.00000
  • N negative terms
    149.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    321.00000
  • Mean of predictor
    0.20474
  • Mean of criterion
    0.75627
  • SD of predictor
    0.11320
  • SD of criterion
    0.35385
  • Covariance
    0.01752
  • r
    0.43742
  • b (slope, estimate of beta)
    1.36738
  • a (intercept, estimate of alpha)
    0.47631
  • Mean Square Error
    0.10157
  • DF error
    319.00000
  • t(b)
    8.68770
  • p(b)
    -0.00000
  • t(a)
    1.64401
  • p(a)
    0.05058
  • Lowerbound of 95% confidence interval for beta
    1.05772
  • Upperbound of 95% confidence interval for beta
    1.67704
  • Lowerbound of 95% confidence interval for alpha
    -0.09370
  • Upperbound of 95% confidence interval for alpha
    1.04633
  • Treynor index (mean / b)
    0.55308
  • Jensen alpha (a)
    0.47631
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03253
  • Expected Shortfall on VaR
    0.04130
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01282
  • Expected Shortfall on VaR
    0.02580
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    321.00000
  • Minimum
    0.93540
  • Quartile 1
    0.99291
  • Median
    1.00120
  • Quartile 3
    1.01120
  • Maximum
    1.13269
  • Mean of quarter 1
    0.97982
  • Mean of quarter 2
    0.99721
  • Mean of quarter 3
    1.00544
  • Mean of quarter 4
    1.03077
  • Inter Quartile Range
    0.01830
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.04050
  • Mean of outliers low
    0.95293
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.06854
  • Mean of outliers high
    1.05576
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29358
  • VaR(95%) (moments method)
    0.01971
  • Expected Shortfall (moments method)
    0.03365
  • Extreme Value Index (regression method)
    0.01552
  • VaR(95%) (regression method)
    0.02062
  • Expected Shortfall (regression method)
    0.02923
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    29.00000
  • Minimum
    0.00124
  • Quartile 1
    0.00535
  • Median
    0.01786
  • Quartile 3
    0.05274
  • Maximum
    0.18990
  • Mean of quarter 1
    0.00373
  • Mean of quarter 2
    0.01208
  • Mean of quarter 3
    0.03366
  • Mean of quarter 4
    0.11395
  • Inter Quartile Range
    0.04739
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.10345
  • Mean of outliers high
    0.16054
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.10243
  • VaR(95%) (moments method)
    0.11330
  • Expected Shortfall (moments method)
    0.15971
  • Extreme Value Index (regression method)
    0.86470
  • VaR(95%) (regression method)
    0.10424
  • Expected Shortfall (regression method)
    0.53461
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.31710
  • Compounded annual return (geometric extrapolation)
    1.19060
  • Calmar ratio (compounded annual return / max draw down)
    6.26977
  • Compounded annual return / average of 25% largest draw downs
    10.44890
  • Compounded annual return / Expected Shortfall lognormal
    28.83050
  • 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
    1.16655
  • SD
    0.27474
  • Sharpe ratio (Glass type estimate)
    4.24603
  • Sharpe ratio (Hedges UMVUE)
    4.22149
  • df
    130.00000
  • t
    3.00240
  • p
    0.37268
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.41885
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.05750
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.40258
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.04039
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.79884
  • Upside Potential Ratio
    16.32090
  • Upside part of mean
    2.16383
  • Downside part of mean
    -0.99728
  • Upside SD
    0.25004
  • Downside SD
    0.13258
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25617
  • Mean of criterion
    1.16655
  • SD of predictor
    0.10612
  • SD of criterion
    0.27474
  • Covariance
    0.01319
  • r
    0.45227
  • b (slope, estimate of beta)
    1.17090
  • a (intercept, estimate of alpha)
    0.86660
  • Mean Square Error
    0.06051
  • DF error
    129.00000
  • t(b)
    5.75948
  • p(b)
    0.22222
  • t(a)
    2.46368
  • p(a)
    0.36606
  • Lowerbound of 95% confidence interval for beta
    0.76867
  • Upperbound of 95% confidence interval for beta
    1.57314
  • Lowerbound of 95% confidence interval for alpha
    0.17065
  • Upperbound of 95% confidence interval for alpha
    1.56254
  • Treynor index (mean / b)
    0.99628
  • Jensen alpha (a)
    0.86660
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.12708
  • SD
    0.27156
  • Sharpe ratio (Glass type estimate)
    4.15033
  • Sharpe ratio (Hedges UMVUE)
    4.12634
  • df
    130.00000
  • t
    2.93473
  • p
    0.37537
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.32538
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.95995
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.30952
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.94316
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.38253
  • Upside Potential Ratio
    15.86550
  • Upside part of mean
    2.13321
  • Downside part of mean
    -1.00613
  • Upside SD
    0.24485
  • Downside SD
    0.13446
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25044
  • Mean of criterion
    1.12708
  • SD of predictor
    0.10603
  • SD of criterion
    0.27156
  • Covariance
    0.01303
  • r
    0.45267
  • b (slope, estimate of beta)
    1.15942
  • a (intercept, estimate of alpha)
    0.83671
  • Mean Square Error
    0.05909
  • DF error
    129.00000
  • t(b)
    5.76599
  • p(b)
    0.22199
  • t(a)
    2.40820
  • p(a)
    0.36891
  • VAR (95 Confidence Intrvl)
    0.03300
  • Lowerbound of 95% confidence interval for beta
    0.76158
  • Upperbound of 95% confidence interval for beta
    1.55726
  • Lowerbound of 95% confidence interval for alpha
    0.14929
  • Upperbound of 95% confidence interval for alpha
    1.52413
  • Treynor index (mean / b)
    0.97210
  • Jensen alpha (a)
    0.83671
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02303
  • Expected Shortfall on VaR
    0.02983
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00769
  • Expected Shortfall on VaR
    0.01586
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95744
  • Quartile 1
    0.99488
  • Median
    1.00236
  • Quartile 3
    1.01245
  • Maximum
    1.07439
  • Mean of quarter 1
    0.98706
  • Mean of quarter 2
    0.99854
  • Mean of quarter 3
    1.00657
  • Mean of quarter 4
    1.02613
  • Inter Quartile Range
    0.01757
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.95769
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.05217
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38294
  • VaR(95%) (moments method)
    0.01391
  • Expected Shortfall (moments method)
    0.02528
  • Extreme Value Index (regression method)
    0.15720
  • VaR(95%) (regression method)
    0.01252
  • Expected Shortfall (regression method)
    0.01832
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00124
  • Quartile 1
    0.00543
  • Median
    0.01476
  • Quartile 3
    0.03164
  • Maximum
    0.09098
  • Mean of quarter 1
    0.00377
  • Mean of quarter 2
    0.01169
  • Mean of quarter 3
    0.02161
  • Mean of quarter 4
    0.05580
  • Inter Quartile Range
    0.02621
  • 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
    0.05882
  • Mean of outliers high
    0.09098
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.09293
  • VaR(95%) (moments method)
    0.05784
  • Expected Shortfall (moments method)
    0.07787
  • Extreme Value Index (regression method)
    1.22759
  • VaR(95%) (regression method)
    0.06512
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -351281000
  • Max Equity Drawdown (num days)
    29
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.56313
  • Compounded annual return (geometric extrapolation)
    2.17398
  • Calmar ratio (compounded annual return / max draw down)
    23.89450
  • Compounded annual return / average of 25% largest draw downs
    38.95730
  • Compounded annual return / Expected Shortfall lognormal
    72.87540

Strategy Description

IC Algotrading system is an algorithmic trading system based on more than 200 algo trading strategies. Each strategy is created for specific futures, stocks and their timeframe including LONG and SHORT trades. Each trade always includes a stop loss. The strategy works with futures such as MNQ, MES, MGC, MCL, DXS, MYM, BD and highly capitalized stocks.

Our IC Algotrading system has an excellent risk/reward ratio. We focus on making sure our system does not lose money rather than making money, although the performance of the system is not bad.

Our algorithmic trading strategies (ATS) look for predictable and repeatable behavior in the financial futures and equity markets. Our approach to algorithmic trading focuses on a strategic combination of research, engineering and trading expertise. We encourage an individual and unique approach at each stage of strategy development. Our algorithmic trading consists of a diverse set of uncorrelated trading styles. We prefer latency-insensitive strategies with a greater emphasis on understanding and risk-taking. Our proprietary technology infrastructure provides excellent access to electronic markets and myriad tools to facilitate the development of algorithmic trading strategies, allowing us to bring ideas to market quickly and reliably.

IC Algotrading's platform setup includes Multicharts and TWS (Interactive Brokers) running on the Contabo platform in St. Louis, USA 24 hours a day, 7 days a week.

Summary Statistics

Strategy began
2023-03-31
Suggested Minimum Capital
$120,000
Rank at C2 %
Top 3.0%
Rank # 
#23
# Trades
1916
# Profitable
781
% Profitable
40.8%
Net Dividends
Correlation S&P500
0.428
Sharpe Ratio
1.78
Sortino Ratio
3.15
Beta
1.40
Alpha
0.13
Leverage
3.61 Average
14.75 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.