Collective2 Collective2
Featured Strategy Lazy Trading ES +44.1% Cumul. Return since Sep 25, 2024 Hypothetical

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Trading Profit
(144504719)

Created by: Smalltax_com Smalltax_com
Started: 05/2023
Futures
Last trade: 495 days ago
Trading style: Futures 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
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).
-0.2%
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.

(9.9%)
Max Drawdown
136
Num Trades
72.1%
Win Trades
1.1 : 1
Profit Factor
5.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                            +1.1%(0.2%)(1.1%)  -    -    -    -    -  (0.2%)
2024  -    -    -    -    -    -    -    -    -    -    -        0.0

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.

System developer has asked us to delay this information by 72 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/5/23 14:29 QMGCQ3 E-Micro Gold LONG 2 1924.0 7/19 1:17 1979.1 0.63%
Trade id #145124208
Max drawdown($310)
Time7/6/23 0:00
Quant open2
Worst price1908.5
Drawdown as % of equity-0.63%
 $1,101
Includes Typical Broker Commissions trade costs of $1.40
7/5/23 14:28 @QMQ3 MINY CRUDE OIL SHORT 1 71.825 7/19 1:17 75.525 5.78%
Trade id #145124187
Max drawdown($2,762)
Time7/13/23 0:00
Quant open1
Worst price77.350
Drawdown as % of equity-5.78%
 ($1,858)
Includes Typical Broker Commissions trade costs of $8.00
7/5/23 14:13 @MYMU3 MICRO E-MINI DOW LONG 2 34520 7/19 1:17 35163 1.52%
Trade id #145123999
Max drawdown($718)
Time7/10/23 0:00
Quant open2
Worst price33802
Drawdown as % of equity-1.52%
 $641
Includes Typical Broker Commissions trade costs of $1.88
7/5/23 14:12 @MNQU3 MICRO E-MINI NASDAQ 100 LONG 1 15369.00 7/19 1:17 15960.75 1.29%
Trade id #145123996
Max drawdown($611)
Time7/10/23 0:00
Quant open1
Worst price15063.50
Drawdown as % of equity-1.29%
 $1,183
Includes Typical Broker Commissions trade costs of $0.94
7/5/23 11:37 QMCLQ3 MICRO CRUDE OIL SHORT 1 72.03 7/19 1:17 75.50 1.11%
Trade id #145121654
Max drawdown($530)
Time7/13/23 0:00
Quant open1
Worst price77.33
Drawdown as % of equity-1.11%
 ($349)
Includes Typical Broker Commissions trade costs of $1.50
6/29/23 12:30 @TNU3 ULTRA 10 YR US TREASURY NOTE LONG 1 118.156250 7/6 5:00 116.875000 2.66%
Trade id #145070510
Max drawdown($1,296)
Time7/6/23 4:59
Quant open1
Worst price116.859000
Drawdown as % of equity-2.66%
 ($1,289)
Includes Typical Broker Commissions trade costs of $8.00
7/5/23 9:16 QMGCQ3 E-Micro Gold LONG 5 1938.5 7/5 13:53 1926.8 1.24%
Trade id #145117408
Max drawdown($630)
Time7/5/23 10:38
Quant open5
Worst price1925.9
Drawdown as % of equity-1.24%
 ($589)
Includes Typical Broker Commissions trade costs of $3.50
7/4/23 2:32 @M6EU3 E-MICRO EUR/USD SHORT 5 1.0948 7/5 9:10 1.0936 0.11%
Trade id #145106407
Max drawdown($55)
Time7/5/23 0:00
Quant open5
Worst price1.0957
Drawdown as % of equity-0.11%
 $71
Includes Typical Broker Commissions trade costs of $3.90
7/4/23 3:04 @MNQU3 MICRO E-MINI NASDAQ 100 SHORT 2 15351.50 7/5 9:10 15284.75 0.18%
Trade id #145106464
Max drawdown($93)
Time7/5/23 0:00
Quant open2
Worst price15374.80
Drawdown as % of equity-0.18%
 $265
Includes Typical Broker Commissions trade costs of $1.88
7/4/23 3:05 @NQU3 E-MINI NASDAQ 100 STK IDX SHORT 1 15350.00 7/4 3:30 15350.00 0.15%
Trade id #145106472
Max drawdown($75)
Time7/4/23 3:17
Quant open1
Worst price15353.80
Drawdown as % of equity-0.15%
 ($8)
Includes Typical Broker Commissions trade costs of $8.00
7/4/23 1:33 @QCQ3 Emini Copper SHORT 1 377 7/4 3:03 380 n/a ($358)
Includes Typical Broker Commissions trade costs of $8.00
7/4/23 1:23 QCLQ3 CRUDE OIL SHORT 1 70.11 7/4 1:55 70.04 0.1%
Trade id #145106259
Max drawdown($50)
Time7/4/23 1:36
Quant open1
Worst price70.16
Drawdown as % of equity-0.10%
 $62
Includes Typical Broker Commissions trade costs of $8.00
6/30/23 12:58 @MNQU3 MICRO E-MINI NASDAQ 100 LONG 6 15355.12 7/4 1:06 15351.00 1.1%
Trade id #145083457
Max drawdown($562)
Time6/30/23 16:00
Quant open6
Worst price15308.20
Drawdown as % of equity-1.10%
 ($56)
Includes Typical Broker Commissions trade costs of $5.64
6/30/23 12:55 @YMU3 MINI DOW LONG 1 34631 7/4 1:06 34641 0.39%
Trade id #145083425
Max drawdown($200)
Time6/30/23 16:00
Quant open1
Worst price34591
Drawdown as % of equity-0.39%
 $42
Includes Typical Broker Commissions trade costs of $8.00
6/29/23 12:30 @MYMU3 MICRO E-MINI DOW LONG 1 34381 7/4 1:06 34643 0.14%
Trade id #145070505
Max drawdown($68)
Time6/29/23 14:08
Quant open1
Worst price34245
Drawdown as % of equity-0.14%
 $130
Includes Typical Broker Commissions trade costs of $0.94
6/27/23 10:51 QMGCQ3 E-Micro Gold LONG 5 1926.3 7/4 1:05 1931.8 2.66%
Trade id #145042736
Max drawdown($1,305)
Time6/29/23 0:00
Quant open5
Worst price1900.2
Drawdown as % of equity-2.66%
 $272
Includes Typical Broker Commissions trade costs of $3.50
6/28/23 5:10 QGCQ3 Gold 100 oz LONG 1 1919.6 6/30 12:54 1927.3 3.87%
Trade id #145050781
Max drawdown($1,900)
Time6/29/23 0:00
Quant open1
Worst price1900.6
Drawdown as % of equity-3.87%
 $762
Includes Typical Broker Commissions trade costs of $8.00
6/12/23 13:30 @TYU3 US T-NOTE 10 YR LONG 1 113 21/64 6/29 15:37 112 8/64 2.62%
Trade id #144900092
Max drawdown($1,296)
Time6/29/23 10:08
Quant open1
Worst price112 2/64
Drawdown as % of equity-2.62%
 ($1,211)
Includes Typical Broker Commissions trade costs of $8.00
6/21/23 11:38 @MYMU3 MICRO E-MINI DOW LONG 2 34188 6/29 12:05 34304 0.48%
Trade id #144981680
Max drawdown($250)
Time6/26/23 0:00
Quant open1
Worst price33856
Drawdown as % of equity-0.48%
 $114
Includes Typical Broker Commissions trade costs of $1.88
6/29/23 9:38 @YMU3 MINI DOW LONG 1 34168 6/29 12:05 34300 n/a $652
Includes Typical Broker Commissions trade costs of $8.00
6/28/23 14:25 @MNQU3 MICRO E-MINI NASDAQ 100 LONG 2 15143.50 6/28 20:01 15169.00 0.63%
Trade id #145057355
Max drawdown($313)
Time6/28/23 15:07
Quant open2
Worst price15065.20
Drawdown as % of equity-0.63%
 $100
Includes Typical Broker Commissions trade costs of $1.88
6/28/23 11:38 @YMU3 MINI DOW LONG 1 34092 6/28 20:01 34159 0.96%
Trade id #145054698
Max drawdown($460)
Time6/28/23 12:55
Quant open1
Worst price34000
Drawdown as % of equity-0.96%
 $327
Includes Typical Broker Commissions trade costs of $8.00
6/28/23 10:44 @MNQU3 MICRO E-MINI NASDAQ 100 SHORT 3 15181.00 6/28 12:53 15084.75 0.47%
Trade id #145053827
Max drawdown($226)
Time6/28/23 12:18
Quant open3
Worst price15218.80
Drawdown as % of equity-0.47%
 $575
Includes Typical Broker Commissions trade costs of $2.82
6/27/23 12:38 QMCLQ3 MICRO CRUDE OIL LONG 4 68.25 6/28 11:26 69.32 0.95%
Trade id #145044940
Max drawdown($480)
Time6/28/23 0:00
Quant open4
Worst price67.05
Drawdown as % of equity-0.95%
 $422
Includes Typical Broker Commissions trade costs of $6.00
6/28/23 6:06 @YMU3 MINI DOW LONG 1 34192 6/28 11:00 34008 2.02%
Trade id #145050916
Max drawdown($970)
Time6/28/23 10:58
Quant open1
Worst price33998
Drawdown as % of equity-2.02%
 ($928)
Includes Typical Broker Commissions trade costs of $8.00
6/28/23 10:35 @MNQU3 MICRO E-MINI NASDAQ 100 LONG 4 15170.50 6/28 10:43 15188.75 n/a $142
Includes Typical Broker Commissions trade costs of $3.76
6/27/23 10:22 @MESU3 MICRO E-MINI S&P 500 SHORT 4 4386.62 6/28 10:34 4418.25 1.42%
Trade id #145042190
Max drawdown($727)
Time6/27/23 14:31
Quant open4
Worst price4423.00
Drawdown as % of equity-1.42%
 ($637)
Includes Typical Broker Commissions trade costs of $3.76
6/28/23 4:25 @MNQU3 MICRO E-MINI NASDAQ 100 SHORT 3 15048.17 6/28 10:33 15169.00 1.51%
Trade id #145050581
Max drawdown($738)
Time6/28/23 10:33
Quant open3
Worst price15171.20
Drawdown as % of equity-1.51%
 ($728)
Includes Typical Broker Commissions trade costs of $2.82
6/27/23 15:49 @QCN3 Emini Copper LONG 1 378 6/28 6:07 374 0.85%
Trade id #145047016
Max drawdown($425)
Time6/28/23 6:05
Quant open1
Worst price374
Drawdown as % of equity-0.85%
 ($533)
Includes Typical Broker Commissions trade costs of $8.00
6/28/23 2:48 @ESU3 E-MINI S&P 500 SHORT 1 4410.50 6/28 5:39 4409.50 0.42%
Trade id #145050304
Max drawdown($212)
Time6/28/23 3:44
Quant open1
Worst price4414.75
Drawdown as % of equity-0.42%
 $42
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    5/2/2023
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    561.96
  • Age
    19 months ago
  • What it trades
    Futures
  • # Trades
    136
  • # Profitable
    98
  • % Profitable
    72.10%
  • Avg trade duration
    1.6 days
  • Max peak-to-valley drawdown
    9.91%
  • drawdown period
    June 26, 2023 - July 10, 2023
  • Annual Return (Compounded)
    -0.2%
  • Avg win
    $151.50
  • Avg loss
    $362.55
  • Model Account Values (Raw)
  • Cash
    $51,062
  • Margin Used
    $0
  • Buying Power
    $51,062
  • Ratios
  • W:L ratio
    1.08:1
  • Sharpe Ratio
    -0.23
  • Sortino Ratio
    -0.27
  • Calmar Ratio
    0.68
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -45.53%
  • Correlation to SP500
    0.02110
  • Return Percent SP500 (cumu) during strategy life
    44.90%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    -0.2%
  • Slump
  • Current Slump as Pcnt Equity
    4.80%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.90%
  • 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)
    -0.002%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    4.00%
  • Chance of 20% account loss
    n/a
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $363
  • Avg Win
    $152
  • Sum Trade PL (losers)
    $13,777.000
  • Age
  • Num Months filled monthly returns table
    19
  • Win / Loss
  • Sum Trade PL (winners)
    $14,847.000
  • # Winners
    98
  • Num Months Winners
    1
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    38
  • % Winners
    72.1%
  • Frequency
  • Avg Position Time (mins)
    2345.32
  • Avg Position Time (hrs)
    39.09
  • Avg Trade Length
    1.6 days
  • Last Trade Ago
    484
  • Leverage
  • Daily leverage (average)
    3.92
  • Daily leverage (max)
    20.18
  • Regression
  • Alpha
    -0.01
  • Beta
    0.01
  • Treynor Index
    -0.49
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.45
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -38.764
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.203
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.324
  • Hold-and-Hope Ratio
    -0.026
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03136
  • SD
    0.05263
  • Sharpe ratio (Glass type estimate)
    0.59592
  • Sharpe ratio (Hedges UMVUE)
    0.43121
  • df
    3.00000
  • t
    0.34405
  • p
    0.37676
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.87497
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.97500
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.98104
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.84345
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.09211
  • Upside Potential Ratio
    3.05023
  • Upside part of mean
    0.08759
  • Downside part of mean
    -0.05623
  • Upside SD
    0.03653
  • Downside SD
    0.02872
  • N nonnegative terms
    2.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.73787
  • Mean of criterion
    0.03136
  • SD of predictor
    0.24009
  • SD of criterion
    0.05263
  • Covariance
    -0.00062
  • r
    -0.04905
  • b (slope, estimate of beta)
    -0.01075
  • a (intercept, estimate of alpha)
    0.03929
  • Mean Square Error
    0.00414
  • DF error
    2.00000
  • t(b)
    -0.06945
  • p(b)
    0.52452
  • t(a)
    0.24616
  • p(a)
    0.41426
  • Lowerbound of 95% confidence interval for beta
    -0.67684
  • Upperbound of 95% confidence interval for beta
    0.65534
  • Lowerbound of 95% confidence interval for alpha
    -0.64754
  • Upperbound of 95% confidence interval for alpha
    0.72613
  • Treynor index (mean / b)
    -2.91701
  • Jensen alpha (a)
    0.03929
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.03022
  • SD
    0.05248
  • Sharpe ratio (Glass type estimate)
    0.57574
  • Sharpe ratio (Hedges UMVUE)
    0.41661
  • df
    3.00000
  • t
    0.33241
  • p
    0.38073
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.89163
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.95435
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.99447
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.82769
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.04617
  • Upside Potential Ratio
    3.00285
  • Upside part of mean
    0.08673
  • Downside part of mean
    -0.05651
  • Upside SD
    0.03616
  • Downside SD
    0.02888
  • N nonnegative terms
    2.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.69596
  • Mean of criterion
    0.03022
  • SD of predictor
    0.22033
  • SD of criterion
    0.05248
  • Covariance
    -0.00040
  • r
    -0.03424
  • b (slope, estimate of beta)
    -0.00816
  • a (intercept, estimate of alpha)
    0.03589
  • Mean Square Error
    0.00413
  • DF error
    2.00000
  • t(b)
    -0.04845
  • p(b)
    0.51712
  • t(a)
    0.22215
  • p(a)
    0.42241
  • Lowerbound of 95% confidence interval for beta
    -0.73245
  • Upperbound of 95% confidence interval for beta
    0.71614
  • Lowerbound of 95% confidence interval for alpha
    -0.65930
  • Upperbound of 95% confidence interval for alpha
    0.73109
  • Treynor index (mean / b)
    -3.70461
  • Jensen alpha (a)
    0.03589
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02215
  • Expected Shortfall on VaR
    0.02831
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01093
  • Expected Shortfall on VaR
    0.01956
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.98591
  • Quartile 1
    0.99648
  • Median
    1.00694
  • Quartile 3
    1.01540
  • Maximum
    1.01998
  • Mean of quarter 1
    0.98591
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.01388
  • Mean of quarter 4
    1.01998
  • Inter Quartile Range
    0.01892
  • 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)
    0.00000
  • 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
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.01409
  • Quartile 1
    0.01409
  • Median
    0.01409
  • Quartile 3
    0.01409
  • Maximum
    0.01409
  • 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)
    0.05869
  • Compounded annual return (geometric extrapolation)
    0.05985
  • Calmar ratio (compounded annual return / max draw down)
    4.24833
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    2.11404
  • 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
    0.02922
  • SD
    0.11732
  • Sharpe ratio (Glass type estimate)
    0.24908
  • Sharpe ratio (Hedges UMVUE)
    0.24721
  • df
    100.00000
  • t
    0.15465
  • p
    0.43870
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.90839
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.40546
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.90971
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.40413
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.31951
  • Upside Potential Ratio
    5.72517
  • Upside part of mean
    0.52362
  • Downside part of mean
    -0.49440
  • Upside SD
    0.07257
  • Downside SD
    0.09146
  • N nonnegative terms
    33.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    101.00000
  • Mean of predictor
    0.90790
  • Mean of criterion
    0.02922
  • SD of predictor
    0.22073
  • SD of criterion
    0.11732
  • Covariance
    0.00073
  • r
    0.02821
  • b (slope, estimate of beta)
    0.01500
  • a (intercept, estimate of alpha)
    0.01600
  • Mean Square Error
    0.01389
  • DF error
    99.00000
  • t(b)
    0.28085
  • p(b)
    0.38971
  • t(a)
    0.07966
  • p(a)
    0.46834
  • Lowerbound of 95% confidence interval for beta
    -0.09096
  • Upperbound of 95% confidence interval for beta
    0.12095
  • Lowerbound of 95% confidence interval for alpha
    -0.37316
  • Upperbound of 95% confidence interval for alpha
    0.40437
  • Treynor index (mean / b)
    1.94859
  • Jensen alpha (a)
    0.01561
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02235
  • SD
    0.11801
  • Sharpe ratio (Glass type estimate)
    0.18940
  • Sharpe ratio (Hedges UMVUE)
    0.18798
  • df
    100.00000
  • t
    0.11760
  • p
    0.45331
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.96791
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.34578
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.96886
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.34482
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.24106
  • Upside Potential Ratio
    5.61848
  • Upside part of mean
    0.52096
  • Downside part of mean
    -0.49861
  • Upside SD
    0.07206
  • Downside SD
    0.09272
  • N nonnegative terms
    33.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    101.00000
  • Mean of predictor
    0.88234
  • Mean of criterion
    0.02235
  • SD of predictor
    0.21960
  • SD of criterion
    0.11801
  • Covariance
    0.00076
  • r
    0.02927
  • b (slope, estimate of beta)
    0.01573
  • a (intercept, estimate of alpha)
    0.00847
  • Mean Square Error
    0.01406
  • DF error
    99.00000
  • t(b)
    0.29139
  • p(b)
    0.38568
  • t(a)
    0.04305
  • p(a)
    0.48288
  • Lowerbound of 95% confidence interval for beta
    -0.09139
  • Upperbound of 95% confidence interval for beta
    0.12286
  • Lowerbound of 95% confidence interval for alpha
    -0.38202
  • Upperbound of 95% confidence interval for alpha
    0.39896
  • Treynor index (mean / b)
    1.42083
  • Jensen alpha (a)
    0.00847
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01184
  • Expected Shortfall on VaR
    0.01484
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00514
  • Expected Shortfall on VaR
    0.01102
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    101.00000
  • Minimum
    0.96557
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00303
  • Maximum
    1.02079
  • Mean of quarter 1
    0.99295
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00061
  • Mean of quarter 4
    1.00760
  • Inter Quartile Range
    0.00303
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.12871
  • Mean of outliers low
    0.98783
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.09901
  • Mean of outliers high
    1.01229
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.71141
  • VaR(95%) (moments method)
    0.00351
  • Expected Shortfall (moments method)
    0.00413
  • Extreme Value Index (regression method)
    -0.25741
  • VaR(95%) (regression method)
    0.00600
  • Expected Shortfall (regression method)
    0.00830
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00473
  • Quartile 1
    0.00866
  • Median
    0.00930
  • Quartile 3
    0.01672
  • Maximum
    0.07578
  • Mean of quarter 1
    0.00669
  • Mean of quarter 2
    0.00930
  • Mean of quarter 3
    0.01672
  • Mean of quarter 4
    0.07578
  • Inter Quartile Range
    0.00806
  • 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
    0.20000
  • Mean of outliers high
    0.07578
  • 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)
    0.05075
  • Compounded annual return (geometric extrapolation)
    0.05154
  • Calmar ratio (compounded annual return / max draw down)
    0.68019
  • Compounded annual return / average of 25% largest draw downs
    0.68019
  • Compounded annual return / Expected Shortfall lognormal
    3.47359
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.01200
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -378373000
  • Max Equity Drawdown (num days)
    14

Strategy Description

Please do not follow this strategy for now. I had some Future Options against DX. I will try to clean up and restart it very soon.

This will have futures only, with target drawdown of max 10% and target growth of 5% per month.


Relevant Educational Qualifications: M Com, (Master's degree in Commerce), CA (Chartered Account), CWA (Cost and Works Accountant), CPA (Certified Public Accountant-Licensed in IL), CIA (Certified Internal Auditor), CISA (Certified Information System Auditor)

Summary Statistics

Strategy began
2023-05-02
Suggested Minimum Capital
$50,000
# Trades
136
# Profitable
98
% Profitable
72.1%
Correlation S&P500
0.021
Sharpe Ratio
-0.23
Sortino Ratio
-0.27
Beta
0.01
Alpha
-0.01
Leverage
3.92 Average
20.18 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.