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ES NQ Day Trades
(146006468)

Created by: Systematic_Trader Systematic_Trader
Started: 10/2023
Futures
Last trade: 18 days ago
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 $149.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Futures
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).
30.1%
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.

(34.3%)
Max Drawdown
405
Num Trades
44.2%
Win Trades
1.1 : 1
Profit Factor
57.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                               +25.4%+8.4%(1.1%)+34.5%
2024+11.3%(0.5%)+4.5%+6.4%(4.8%)+1.5%(5.4%)+5.3%+19.6%(18.7%)(12.5%)      +0.7%

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 723 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/5/24 9:35 @ESZ4 E-MINI S&P 500 LONG 1 5766.00 11/5 15:59 5810.95 0.1%
Trade id #149985278
Max drawdown($112)
Time11/5/24 9:43
Quant open1
Worst price5763.75
Drawdown as % of equity-0.10%
 $2,240
Includes Typical Broker Commissions trade costs of $8.00
11/5/24 9:35 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 20210.26 11/5 15:59 20335.42 0.27%
Trade id #149985283
Max drawdown($315)
Time11/5/24 9:43
Quant open1
Worst price20194.50
Drawdown as % of equity-0.27%
 $2,495
Includes Typical Broker Commissions trade costs of $8.00
11/4/24 11:35 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 10 20149.34 11/4 15:59 20085.43 0.46%
Trade id #149959529
Max drawdown($528)
Time11/4/24 13:46
Quant open10
Worst price20175.80
Drawdown as % of equity-0.46%
 $1,269
Includes Typical Broker Commissions trade costs of $9.40
11/4/24 11:25 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 5757.87 11/4 15:59 5740.70 0.05%
Trade id #149959349
Max drawdown($56)
Time11/4/24 11:28
Quant open10
Worst price5759.00
Drawdown as % of equity-0.05%
 $850
Includes Typical Broker Commissions trade costs of $9.40
11/4/24 10:50 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 20200.85 11/4 11:35 20149.23 1.03%
Trade id #149958904
Max drawdown($1,177)
Time11/4/24 11:35
Quant open1
Worst price20142.00
Drawdown as % of equity-1.03%
 ($1,040)
Includes Typical Broker Commissions trade costs of $8.00
11/4/24 9:35 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 5750.02 11/4 10:25 5770.43 0.9%
Trade id #149957106
Max drawdown($1,073)
Time11/4/24 10:25
Quant open10
Worst price5771.50
Drawdown as % of equity-0.90%
 ($1,030)
Includes Typical Broker Commissions trade costs of $9.40
11/4/24 9:35 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 10 20048.82 11/4 10:20 20161.19 2.09%
Trade id #149957103
Max drawdown($2,493)
Time11/4/24 10:20
Quant open10
Worst price20173.50
Drawdown as % of equity-2.09%
 ($2,256)
Includes Typical Broker Commissions trade costs of $9.40
11/1/24 12:45 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 10 20197.15 11/1 15:59 20150.59 0.95%
Trade id #149933585
Max drawdown($1,102)
Time11/1/24 13:29
Quant open10
Worst price20252.20
Drawdown as % of equity-0.95%
 $922
Includes Typical Broker Commissions trade costs of $9.40
11/1/24 12:30 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 5782.17 11/1 15:59 5756.81 0.34%
Trade id #149933360
Max drawdown($391)
Time11/1/24 12:34
Quant open10
Worst price5790.00
Drawdown as % of equity-0.34%
 $1,259
Includes Typical Broker Commissions trade costs of $9.40
10/30/24 13:30 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 5866.82 10/30 15:59 5848.72 0.17%
Trade id #149904458
Max drawdown($196)
Time10/30/24 14:08
Quant open10
Worst price5870.75
Drawdown as % of equity-0.17%
 $896
Includes Typical Broker Commissions trade costs of $9.40
10/30/24 11:55 @ESZ4 E-MINI S&P 500 LONG 1 5885.27 10/30 13:30 5866.75 0.89%
Trade id #149899283
Max drawdown($1,026)
Time10/30/24 13:30
Quant open1
Worst price5864.75
Drawdown as % of equity-0.89%
 ($934)
Includes Typical Broker Commissions trade costs of $8.00
10/30/24 9:35 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 5862.16 10/30 10:10 5879.07 0.75%
Trade id #149892809
Max drawdown($879)
Time10/30/24 10:09
Quant open10
Worst price5879.75
Drawdown as % of equity-0.75%
 ($854)
Includes Typical Broker Commissions trade costs of $9.40
10/29/24 10:25 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 20591.74 10/29 15:59 20697.35 1.11%
Trade id #149874471
Max drawdown($1,294)
Time10/29/24 10:28
Quant open1
Worst price20527.00
Drawdown as % of equity-1.11%
 $2,104
Includes Typical Broker Commissions trade costs of $8.00
10/29/24 10:25 @ESZ4 E-MINI S&P 500 LONG 1 5870.48 10/29 15:59 5870.02 0.59%
Trade id #149874467
Max drawdown($686)
Time10/29/24 10:28
Quant open1
Worst price5856.75
Drawdown as % of equity-0.59%
 ($31)
Includes Typical Broker Commissions trade costs of $8.00
10/29/24 9:35 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 5839.53 10/29 10:05 5857.83 0.92%
Trade id #149873523
Max drawdown($1,073)
Time10/29/24 10:04
Quant open10
Worst price5861.00
Drawdown as % of equity-0.92%
 ($924)
Includes Typical Broker Commissions trade costs of $9.40
10/29/24 9:35 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 10 20456.70 10/29 10:05 20529.93 1.44%
Trade id #149873521
Max drawdown($1,681)
Time10/29/24 10:04
Quant open10
Worst price20540.80
Drawdown as % of equity-1.44%
 ($1,474)
Includes Typical Broker Commissions trade costs of $9.40
10/28/24 9:40 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 20583.68 10/28 15:59 20494.86 1.65%
Trade id #149863051
Max drawdown($1,953)
Time10/28/24 15:58
Quant open1
Worst price20486.00
Drawdown as % of equity-1.65%
 ($1,784)
Includes Typical Broker Commissions trade costs of $8.00
10/28/24 9:50 @ESZ4 E-MINI S&P 500 LONG 1 5872.50 10/28 15:59 5861.32 0.55%
Trade id #149863282
Max drawdown($650)
Time10/28/24 15:55
Quant open1
Worst price5859.50
Drawdown as % of equity-0.55%
 ($567)
Includes Typical Broker Commissions trade costs of $8.00
10/25/24 9:35 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 20548.10 10/25 15:59 20495.13 1.46%
Trade id #149829856
Max drawdown($1,762)
Time10/25/24 14:10
Quant open1
Worst price20460.00
Drawdown as % of equity-1.46%
 ($1,067)
Includes Typical Broker Commissions trade costs of $8.00
10/25/24 13:45 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 5840.23 10/25 14:50 5858.75 0.82%
Trade id #149837293
Max drawdown($988)
Time10/25/24 14:49
Quant open10
Worst price5860.00
Drawdown as % of equity-0.82%
 ($935)
Includes Typical Broker Commissions trade costs of $9.40
10/25/24 9:35 @ESZ4 E-MINI S&P 500 LONG 1 5877.50 10/25 13:35 5852.10 1.08%
Trade id #149829852
Max drawdown($1,325)
Time10/25/24 13:35
Quant open1
Worst price5851.00
Drawdown as % of equity-1.08%
 ($1,278)
Includes Typical Broker Commissions trade costs of $8.00
10/24/24 11:40 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 5838.85 10/24 15:59 5851.39 0.71%
Trade id #149818858
Max drawdown($869)
Time10/24/24 15:32
Quant open10
Worst price5856.25
Drawdown as % of equity-0.71%
 ($636)
Includes Typical Broker Commissions trade costs of $9.40
10/24/24 13:05 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 20376.89 10/24 15:59 20387.57 0.81%
Trade id #149820552
Max drawdown($992)
Time10/24/24 14:00
Quant open1
Worst price20327.20
Drawdown as % of equity-0.81%
 $206
Includes Typical Broker Commissions trade costs of $8.00
10/24/24 11:50 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 10 20281.76 10/24 12:50 20363.37 1.36%
Trade id #149819781
Max drawdown($1,674)
Time10/24/24 12:50
Quant open10
Worst price20365.50
Drawdown as % of equity-1.36%
 ($1,641)
Includes Typical Broker Commissions trade costs of $9.40
10/18/24 9:45 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 20501.41 10/18 15:59 20477.59 0.95%
Trade id #149694656
Max drawdown($1,188)
Time10/18/24 12:16
Quant open1
Worst price20442.00
Drawdown as % of equity-0.95%
 ($484)
Includes Typical Broker Commissions trade costs of $8.00
10/17/24 11:35 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 20464.13 10/17 15:59 20370.55 1.76%
Trade id #149685859
Max drawdown($2,207)
Time10/17/24 15:39
Quant open1
Worst price20353.80
Drawdown as % of equity-1.76%
 ($1,880)
Includes Typical Broker Commissions trade costs of $8.00
10/17/24 11:05 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 10 20378.43 10/17 11:35 20464.29 1.4%
Trade id #149685623
Max drawdown($1,791)
Time10/17/24 11:35
Quant open10
Worst price20468.00
Drawdown as % of equity-1.40%
 ($1,726)
Includes Typical Broker Commissions trade costs of $9.40
10/17/24 9:45 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 20451.04 10/17 11:05 20376.07 1.3%
Trade id #149684267
Max drawdown($1,690)
Time10/17/24 10:10
Quant open1
Worst price20366.50
Drawdown as % of equity-1.30%
 ($1,507)
Includes Typical Broker Commissions trade costs of $8.00
10/16/24 9:35 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 10 20292.42 10/16 15:59 20347.02 1.34%
Trade id #149672756
Max drawdown($1,741)
Time10/16/24 14:25
Quant open10
Worst price20379.50
Drawdown as % of equity-1.34%
 ($1,101)
Includes Typical Broker Commissions trade costs of $9.40
10/8/24 9:45 @ESZ4 E-MINI S&P 500 LONG 1 5766.81 10/8 15:59 5802.98 0.06%
Trade id #149604552
Max drawdown($77)
Time10/8/24 9:48
Quant open1
Worst price5765.25
Drawdown as % of equity-0.06%
 $1,800
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    10/3/2023
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    416.76
  • Age
    14 months ago
  • What it trades
    Futures
  • # Trades
    405
  • # Profitable
    179
  • % Profitable
    44.20%
  • Avg trade duration
    3.1 hours
  • Max peak-to-valley drawdown
    34.31%
  • drawdown period
    Sept 17, 2024 - Nov 21, 2024
  • Annual Return (Compounded)
    30.1%
  • Avg win
    $1,800
  • Avg loss
    $1,282
  • Model Account Values (Raw)
  • Cash
    $107,276
  • Margin Used
    $0
  • Buying Power
    $107,276
  • Ratios
  • W:L ratio
    1.11:1
  • Sharpe Ratio
    0.65
  • Sortino Ratio
    0.94
  • Calmar Ratio
    1.048
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -5.77%
  • Correlation to SP500
    0.06660
  • Return Percent SP500 (cumu) during strategy life
    41.14%
  • Return Statistics
  • Ann Return (w trading costs)
    30.1%
  • Slump
  • Current Slump as Pcnt Equity
    48.60%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.16%
  • 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)
    0.301%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    36.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    46.00%
  • Chance of 20% account loss
    18.50%
  • Chance of 30% account loss
    3.50%
  • 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
    91.08%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    900
  • Popularity (Last 6 weeks)
    990
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    339
  • Popularity (7 days, Percentile 1000 scale)
    964
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,283
  • Avg Win
    $1,801
  • Sum Trade PL (losers)
    $289,954.000
  • Age
  • Num Months filled monthly returns table
    14
  • Win / Loss
  • Sum Trade PL (winners)
    $322,330.000
  • # Winners
    179
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    727704
  • Win / Loss
  • # Losers
    226
  • % Winners
    44.2%
  • Frequency
  • Avg Position Time (mins)
    185.32
  • Avg Position Time (hrs)
    3.09
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    5.51
  • Daily leverage (max)
    11.97
  • Regression
  • Alpha
    0.06
  • Beta
    0.18
  • Treynor Index
    0.40
  • 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)
    -0.75
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -39.497
  • 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
    0.317
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.180
  • Hold-and-Hope Ratio
    -0.025
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47656
  • SD
    0.38746
  • Sharpe ratio (Glass type estimate)
    1.22996
  • Sharpe ratio (Hedges UMVUE)
    1.15117
  • df
    12.00000
  • t
    1.28018
  • p
    0.32668
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73874
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.15118
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.78740
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.08974
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.80686
  • Upside Potential Ratio
    6.05036
  • Upside part of mean
    0.75741
  • Downside part of mean
    -0.28085
  • Upside SD
    0.37660
  • Downside SD
    0.12518
  • N nonnegative terms
    6.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.30400
  • Mean of criterion
    0.47656
  • SD of predictor
    0.10844
  • SD of criterion
    0.38746
  • Covariance
    0.00554
  • r
    0.13187
  • b (slope, estimate of beta)
    0.47117
  • a (intercept, estimate of alpha)
    0.33332
  • Mean Square Error
    0.16092
  • DF error
    11.00000
  • t(b)
    0.44123
  • p(b)
    0.33380
  • t(a)
    0.66147
  • p(a)
    0.26096
  • Lowerbound of 95% confidence interval for beta
    -1.87917
  • Upperbound of 95% confidence interval for beta
    2.82151
  • Lowerbound of 95% confidence interval for alpha
    -0.77578
  • Upperbound of 95% confidence interval for alpha
    1.44243
  • Treynor index (mean / b)
    1.01143
  • Jensen alpha (a)
    0.33332
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40520
  • SD
    0.35981
  • Sharpe ratio (Glass type estimate)
    1.12616
  • Sharpe ratio (Hedges UMVUE)
    1.05402
  • df
    12.00000
  • t
    1.17215
  • p
    0.33974
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83086
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.03931
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.87569
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.98373
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.14356
  • Upside Potential Ratio
    5.38045
  • Upside part of mean
    0.69353
  • Downside part of mean
    -0.28833
  • Upside SD
    0.34142
  • Downside SD
    0.12890
  • N nonnegative terms
    6.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.29419
  • Mean of criterion
    0.40520
  • SD of predictor
    0.10842
  • SD of criterion
    0.35981
  • Covariance
    0.00537
  • r
    0.13774
  • b (slope, estimate of beta)
    0.45711
  • a (intercept, estimate of alpha)
    0.27072
  • Mean Square Error
    0.13855
  • DF error
    11.00000
  • t(b)
    0.46124
  • p(b)
    0.32681
  • t(a)
    0.58673
  • p(a)
    0.28462
  • Lowerbound of 95% confidence interval for beta
    -1.72418
  • Upperbound of 95% confidence interval for beta
    2.63839
  • Lowerbound of 95% confidence interval for alpha
    -0.74484
  • Upperbound of 95% confidence interval for alpha
    1.28628
  • Treynor index (mean / b)
    0.88645
  • Jensen alpha (a)
    0.27072
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12810
  • Expected Shortfall on VaR
    0.16452
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05675
  • Expected Shortfall on VaR
    0.08930
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.92210
  • Quartile 1
    0.95381
  • Median
    1.00000
  • Quartile 3
    1.11911
  • Maximum
    1.24090
  • Mean of quarter 1
    0.94236
  • Mean of quarter 2
    0.98087
  • Mean of quarter 3
    1.06525
  • Mean of quarter 4
    1.21291
  • Inter Quartile Range
    0.16530
  • 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)
    -0.27748
  • VaR(95%) (moments method)
    0.06589
  • Expected Shortfall (moments method)
    0.07399
  • Extreme Value Index (regression method)
    0.54542
  • VaR(95%) (regression method)
    0.07386
  • Expected Shortfall (regression method)
    0.12795
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.02299
  • Quartile 1
    0.03155
  • Median
    0.06434
  • Quartile 3
    0.10311
  • Maximum
    0.12959
  • Mean of quarter 1
    0.02299
  • Mean of quarter 2
    0.03440
  • Mean of quarter 3
    0.09428
  • Mean of quarter 4
    0.12959
  • Inter Quartile Range
    0.07156
  • 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)
    0.55266
  • Compounded annual return (geometric extrapolation)
    0.54204
  • Calmar ratio (compounded annual return / max draw down)
    4.18271
  • Compounded annual return / average of 25% largest draw downs
    4.18271
  • Compounded annual return / Expected Shortfall lognormal
    3.29467
  • 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
    0.29956
  • SD
    0.32943
  • Sharpe ratio (Glass type estimate)
    0.90932
  • Sharpe ratio (Hedges UMVUE)
    0.90699
  • df
    293.00000
  • t
    0.96326
  • p
    0.16811
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94312
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.76026
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94469
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.75868
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.31435
  • Upside Potential Ratio
    7.25539
  • Upside part of mean
    1.65364
  • Downside part of mean
    -1.35407
  • Upside SD
    0.23781
  • Downside SD
    0.22792
  • N nonnegative terms
    100.00000
  • N negative terms
    194.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    294.00000
  • Mean of predictor
    0.28722
  • Mean of criterion
    0.29956
  • SD of predictor
    0.12579
  • SD of criterion
    0.32943
  • Covariance
    0.00356
  • r
    0.08595
  • b (slope, estimate of beta)
    0.22509
  • a (intercept, estimate of alpha)
    0.23500
  • Mean Square Error
    0.10809
  • DF error
    292.00000
  • t(b)
    1.47416
  • p(b)
    0.07076
  • t(a)
    0.74943
  • p(a)
    0.22710
  • Lowerbound of 95% confidence interval for beta
    -0.07543
  • Upperbound of 95% confidence interval for beta
    0.52561
  • Lowerbound of 95% confidence interval for alpha
    -0.38200
  • Upperbound of 95% confidence interval for alpha
    0.85183
  • Treynor index (mean / b)
    1.33084
  • Jensen alpha (a)
    0.23491
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24505
  • SD
    0.33080
  • Sharpe ratio (Glass type estimate)
    0.74076
  • Sharpe ratio (Hedges UMVUE)
    0.73886
  • df
    293.00000
  • t
    0.78469
  • p
    0.21663
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11104
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.59136
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11234
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59005
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.04239
  • Upside Potential Ratio
    6.91697
  • Upside part of mean
    1.62603
  • Downside part of mean
    -1.38099
  • Upside SD
    0.23244
  • Downside SD
    0.23508
  • N nonnegative terms
    100.00000
  • N negative terms
    194.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    294.00000
  • Mean of predictor
    0.27915
  • Mean of criterion
    0.24505
  • SD of predictor
    0.12581
  • SD of criterion
    0.33080
  • Covariance
    0.00342
  • r
    0.08216
  • b (slope, estimate of beta)
    0.21604
  • a (intercept, estimate of alpha)
    0.18474
  • Mean Square Error
    0.10906
  • DF error
    292.00000
  • t(b)
    1.40873
  • p(b)
    0.07999
  • t(a)
    0.58705
  • p(a)
    0.27881
  • Lowerbound of 95% confidence interval for beta
    -0.08579
  • Upperbound of 95% confidence interval for beta
    0.51787
  • Lowerbound of 95% confidence interval for alpha
    -0.43460
  • Upperbound of 95% confidence interval for alpha
    0.80407
  • Treynor index (mean / b)
    1.13424
  • Jensen alpha (a)
    0.18474
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03215
  • Expected Shortfall on VaR
    0.04036
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01395
  • Expected Shortfall on VaR
    0.02931
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    294.00000
  • Minimum
    0.88970
  • Quartile 1
    0.99864
  • Median
    1.00000
  • Quartile 3
    1.00618
  • Maximum
    1.07809
  • Mean of quarter 1
    0.97983
  • Mean of quarter 2
    0.99992
  • Mean of quarter 3
    1.00120
  • Mean of quarter 4
    1.02404
  • Inter Quartile Range
    0.00753
  • Number outliers low
    45.00000
  • Percentage of outliers low
    0.15306
  • Mean of outliers low
    0.97023
  • Number of outliers high
    41.00000
  • Percentage of outliers high
    0.13946
  • Mean of outliers high
    1.03437
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.37418
  • VaR(95%) (moments method)
    0.00813
  • Expected Shortfall (moments method)
    0.01710
  • Extreme Value Index (regression method)
    0.32334
  • VaR(95%) (regression method)
    0.01697
  • Expected Shortfall (regression method)
    0.03533
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00046
  • Quartile 1
    0.01294
  • Median
    0.02775
  • Quartile 3
    0.05598
  • Maximum
    0.29936
  • Mean of quarter 1
    0.00334
  • Mean of quarter 2
    0.02196
  • Mean of quarter 3
    0.04305
  • Mean of quarter 4
    0.14848
  • Inter Quartile Range
    0.04304
  • 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
    0.15790
  • Mean of outliers high
    0.19444
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.60789
  • VaR(95%) (moments method)
    0.14270
  • Expected Shortfall (moments method)
    0.14843
  • Extreme Value Index (regression method)
    -0.27648
  • VaR(95%) (regression method)
    0.16553
  • Expected Shortfall (regression method)
    0.20698
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31937
  • Compounded annual return (geometric extrapolation)
    0.31384
  • Calmar ratio (compounded annual return / max draw down)
    1.04835
  • Compounded annual return / average of 25% largest draw downs
    2.11370
  • Compounded annual return / Expected Shortfall lognormal
    7.77688
  • 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
    -0.21642
  • SD
    0.39031
  • Sharpe ratio (Glass type estimate)
    -0.55449
  • Sharpe ratio (Hedges UMVUE)
    -0.55129
  • df
    130.00000
  • t
    -0.39208
  • p
    0.51718
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.32615
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21910
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.32390
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22133
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.73393
  • Upside Potential Ratio
    5.54034
  • Upside part of mean
    1.63376
  • Downside part of mean
    -1.85019
  • Upside SD
    0.25377
  • Downside SD
    0.29489
  • N nonnegative terms
    35.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.21125
  • Mean of criterion
    -0.21642
  • SD of predictor
    0.13647
  • SD of criterion
    0.39031
  • Covariance
    0.00437
  • r
    0.08202
  • b (slope, estimate of beta)
    0.23457
  • a (intercept, estimate of alpha)
    -0.26598
  • Mean Square Error
    0.15249
  • DF error
    129.00000
  • t(b)
    0.93469
  • p(b)
    0.44784
  • t(a)
    -0.47942
  • p(a)
    0.52684
  • Lowerbound of 95% confidence interval for beta
    -0.26197
  • Upperbound of 95% confidence interval for beta
    0.73111
  • Lowerbound of 95% confidence interval for alpha
    -1.36364
  • Upperbound of 95% confidence interval for alpha
    0.83169
  • Treynor index (mean / b)
    -0.92263
  • Jensen alpha (a)
    -0.26598
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.29313
  • SD
    0.39436
  • Sharpe ratio (Glass type estimate)
    -0.74331
  • Sharpe ratio (Hedges UMVUE)
    -0.73901
  • df
    130.00000
  • t
    -0.52560
  • p
    0.52302
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.51526
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.03130
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.51228
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.03425
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.95925
  • Upside Potential Ratio
    5.24383
  • Upside part of mean
    1.60244
  • Downside part of mean
    -1.89558
  • Upside SD
    0.24755
  • Downside SD
    0.30559
  • N nonnegative terms
    35.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20189
  • Mean of criterion
    -0.29313
  • SD of predictor
    0.13662
  • SD of criterion
    0.39436
  • Covariance
    0.00408
  • r
    0.07564
  • b (slope, estimate of beta)
    0.21835
  • a (intercept, estimate of alpha)
    -0.33722
  • Mean Square Error
    0.15583
  • DF error
    129.00000
  • t(b)
    0.86162
  • p(b)
    0.45189
  • t(a)
    -0.60152
  • p(a)
    0.53365
  • VAR (95 Confidence Intrvl)
    0.03200
  • Lowerbound of 95% confidence interval for beta
    -0.28304
  • Upperbound of 95% confidence interval for beta
    0.71973
  • Lowerbound of 95% confidence interval for alpha
    -1.44639
  • Upperbound of 95% confidence interval for alpha
    0.77196
  • Treynor index (mean / b)
    -1.34253
  • Jensen alpha (a)
    -0.33722
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04036
  • Expected Shortfall on VaR
    0.05004
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02039
  • Expected Shortfall on VaR
    0.04171
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.88970
  • Quartile 1
    0.99792
  • Median
    1.00000
  • Quartile 3
    1.00363
  • Maximum
    1.07809
  • Mean of quarter 1
    0.97253
  • Mean of quarter 2
    0.99975
  • Mean of quarter 3
    1.00019
  • Mean of quarter 4
    1.02469
  • Inter Quartile Range
    0.00571
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.19847
  • Mean of outliers low
    0.96671
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.15267
  • Mean of outliers high
    1.03576
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.35510
  • VaR(95%) (moments method)
    0.00951
  • Expected Shortfall (moments method)
    0.01007
  • Extreme Value Index (regression method)
    0.07295
  • VaR(95%) (regression method)
    0.03026
  • Expected Shortfall (regression method)
    0.05025
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00225
  • Quartile 1
    0.05330
  • Median
    0.08246
  • Quartile 3
    0.10029
  • Maximum
    0.29936
  • Mean of quarter 1
    0.02565
  • Mean of quarter 2
    0.06606
  • Mean of quarter 3
    0.09886
  • Mean of quarter 4
    0.20006
  • Inter Quartile Range
    0.04699
  • 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
    0.16667
  • Mean of outliers high
    0.29936
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -408139000
  • Max Equity Drawdown (num days)
    65
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.24839
  • Compounded annual return (geometric extrapolation)
    -0.23297
  • Calmar ratio (compounded annual return / max draw down)
    -0.77821
  • Compounded annual return / average of 25% largest draw downs
    -1.16448
  • Compounded annual return / Expected Shortfall lognormal
    -4.65581

Strategy Description

Trades ES NQ Futures intraday. Longs are taken with 1 NQ and/or 1 ES, Shorts are taken with 10 MNQ and/or 10 MES.

Summary Statistics

Strategy began
2023-10-03
Suggested Minimum Capital
$100,000
# Trades
405
# Profitable
179
% Profitable
44.2%
Correlation S&P500
0.067
Sharpe Ratio
0.65
Sortino Ratio
0.94
Beta
0.18
Alpha
0.06
Leverage
5.51 Average
11.97 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.