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Featured Strategy Cryptoverse Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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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 08/19/2024
Most recent certification approved 8/19/24 23:20 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 176
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 169
Percent signals followed since 08/19/2024 96%
This information was last updated 12/21/24 9:37 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 08/19/2024, 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.

Lothʼs Futures Daily
(148743612)

Powered by BrokerTransmit.
Read important disclosures.

Created by: LothsTradingCollab LothsTradingCollab
Started: 07/2024
Futures
Last trade: 94 days ago
Trading style: Futures Momentum Short Term

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 $20.00 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).
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
15.1%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(4.7%)
Max Drawdown
182
Num Trades
60.4%
Win Trades
1.5 : 1
Profit Factor
33.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                                          +12.8%+4.8%(2.7%)  -    -    -  +15.1%

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 one hour.

Trading Record

This strategy has placed 349 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/18/24 18:17 @MESZ4 MICRO E-MINI S&P 500 LONG 1 5699.00 9/18 18:47 5700.75 0.01%
Trade id #149447088
Max drawdown($2)
Time9/18/24 18:25
Quant open1
Worst price5698.50
Drawdown as % of equity-0.01%
 $8
Includes Typical Broker Commissions trade costs of $0.94
9/16/24 14:51 @MESU4 MICRO E-MINI S&P 500 LONG 2 5633.75 9/16 14:54 5630.50 0.13%
Trade id #149412736
Max drawdown($35)
Time9/16/24 14:54
Quant open2
Worst price5630.25
Drawdown as % of equity-0.13%
 ($35)
Includes Typical Broker Commissions trade costs of $1.88
9/16/24 11:05 @MESU4 MICRO E-MINI S&P 500 LONG 2 5617.05 9/16 11:08 5619.10 n/a $19
Includes Typical Broker Commissions trade costs of $1.88
9/11/24 11:39 @MESU4 MICRO E-MINI S&P 500 LONG 1 5454.50 9/11 11:43 5459.00 n/a $22
Includes Typical Broker Commissions trade costs of $0.94
9/11/24 11:03 @MESU4 MICRO E-MINI S&P 500 LONG 2 5428.25 9/11 11:21 5434.00 n/a $56
Includes Typical Broker Commissions trade costs of $1.88
9/10/24 15:58 @MESU4 MICRO E-MINI S&P 500 LONG 2 5504.12 9/10 16:03 5500.25 0.19%
Trade id #149350428
Max drawdown($51)
Time9/10/24 16:01
Quant open2
Worst price5499.00
Drawdown as % of equity-0.19%
 ($41)
Includes Typical Broker Commissions trade costs of $1.88
9/10/24 14:36 @MESU4 MICRO E-MINI S&P 500 SHORT 4 5494.25 9/10 15:20 5499.56 0.42%
Trade id #149349025
Max drawdown($115)
Time9/10/24 15:20
Quant open4
Worst price5500.00
Drawdown as % of equity-0.42%
 ($110)
Includes Typical Broker Commissions trade costs of $3.76
9/10/24 14:10 @MESU4 MICRO E-MINI S&P 500 LONG 4 5491.50 9/10 14:15 5492.25 0.25%
Trade id #149348441
Max drawdown($70)
Time9/10/24 14:13
Quant open4
Worst price5488.00
Drawdown as % of equity-0.25%
 $11
Includes Typical Broker Commissions trade costs of $3.76
9/10/24 12:31 @MESU4 MICRO E-MINI S&P 500 LONG 2 5460.00 9/10 12:41 5465.00 0.1%
Trade id #149341313
Max drawdown($27)
Time9/10/24 12:34
Quant open2
Worst price5457.25
Drawdown as % of equity-0.10%
 $48
Includes Typical Broker Commissions trade costs of $1.88
9/10/24 11:10 @MESU4 MICRO E-MINI S&P 500 LONG 2 5487.79 9/10 11:31 5489.75 0.17%
Trade id #149338387
Max drawdown($47)
Time9/10/24 11:13
Quant open2
Worst price5483.00
Drawdown as % of equity-0.17%
 $18
Includes Typical Broker Commissions trade costs of $1.88
9/10/24 10:49 @MESU4 MICRO E-MINI S&P 500 LONG 2 5482.96 9/10 10:50 5479.50 0.13%
Trade id #149337910
Max drawdown($35)
Time9/10/24 10:50
Quant open2
Worst price5479.50
Drawdown as % of equity-0.13%
 ($37)
Includes Typical Broker Commissions trade costs of $1.88
9/10/24 10:26 @MESU4 MICRO E-MINI S&P 500 SHORT 2 5479.50 9/10 10:30 5485.08 0.29%
Trade id #149337491
Max drawdown($80)
Time9/10/24 10:29
Quant open2
Worst price5487.50
Drawdown as % of equity-0.29%
 ($58)
Includes Typical Broker Commissions trade costs of $1.88
9/10/24 10:17 @MESU4 MICRO E-MINI S&P 500 LONG 2 5472.75 9/10 10:17 5475.33 n/a $24
Includes Typical Broker Commissions trade costs of $1.88
9/5/24 10:56 @MESU4 MICRO E-MINI S&P 500 LONG 4 5529.31 9/5 11:00 5521.25 0.78%
Trade id #149261008
Max drawdown($216)
Time9/5/24 11:00
Quant open4
Worst price5518.50
Drawdown as % of equity-0.78%
 ($165)
Includes Typical Broker Commissions trade costs of $3.76
9/5/24 10:29 @MESU4 MICRO E-MINI S&P 500 SHORT 4 5547.50 9/5 10:40 5545.81 0.27%
Trade id #149260338
Max drawdown($75)
Time9/5/24 10:33
Quant open4
Worst price5551.25
Drawdown as % of equity-0.27%
 $30
Includes Typical Broker Commissions trade costs of $3.76
9/4/24 13:47 @MESU4 MICRO E-MINI S&P 500 LONG 5 5536.54 9/4 13:51 5529.25 0.72%
Trade id #149253022
Max drawdown($200)
Time9/4/24 13:51
Quant open5
Worst price5528.50
Drawdown as % of equity-0.72%
 ($187)
Includes Typical Broker Commissions trade costs of $4.70
9/4/24 13:41 @MESU4 MICRO E-MINI S&P 500 LONG 5 5535.20 9/4 13:44 5529.75 0.53%
Trade id #149252843
Max drawdown($148)
Time9/4/24 13:44
Quant open5
Worst price5529.25
Drawdown as % of equity-0.53%
 ($141)
Includes Typical Broker Commissions trade costs of $4.70
9/4/24 13:27 @MESU4 MICRO E-MINI S&P 500 SHORT 5 5532.00 9/4 13:41 5535.33 0.31%
Trade id #149252660
Max drawdown($87)
Time9/4/24 13:41
Quant open5
Worst price5535.50
Drawdown as % of equity-0.31%
 ($88)
Includes Typical Broker Commissions trade costs of $4.70
9/4/24 12:32 @MESU4 MICRO E-MINI S&P 500 LONG 5 5547.00 9/4 12:35 5549.75 n/a $64
Includes Typical Broker Commissions trade costs of $4.70
9/4/24 11:45 @MESU4 MICRO E-MINI S&P 500 LONG 5 5540.69 9/4 11:47 5543.06 n/a $54
Includes Typical Broker Commissions trade costs of $4.70
9/4/24 11:21 @MESU4 MICRO E-MINI S&P 500 SHORT 5 5548.54 9/4 11:26 5546.83 0.22%
Trade id #149247353
Max drawdown($61)
Time9/4/24 11:26
Quant open5
Worst price5551.00
Drawdown as % of equity-0.22%
 $38
Includes Typical Broker Commissions trade costs of $4.70
9/4/24 11:03 @MESU4 MICRO E-MINI S&P 500 LONG 5 5563.92 9/4 11:08 5557.50 0.59%
Trade id #149246942
Max drawdown($166)
Time9/4/24 11:08
Quant open5
Worst price5557.25
Drawdown as % of equity-0.59%
 ($165)
Includes Typical Broker Commissions trade costs of $4.70
9/4/24 10:44 @MESU4 MICRO E-MINI S&P 500 LONG 5 5555.50 9/4 10:59 5560.19 0.82%
Trade id #149246474
Max drawdown($231)
Time9/4/24 10:48
Quant open5
Worst price5546.25
Drawdown as % of equity-0.82%
 $112
Includes Typical Broker Commissions trade costs of $4.70
9/4/24 10:35 @MESU4 MICRO E-MINI S&P 500 LONG 2 5550.94 9/4 10:39 5554.53 0.07%
Trade id #149246203
Max drawdown($19)
Time9/4/24 10:37
Quant open2
Worst price5549.00
Drawdown as % of equity-0.07%
 $34
Includes Typical Broker Commissions trade costs of $1.88
9/4/24 9:41 @MESU4 MICRO E-MINI S&P 500 LONG 1 5538.92 9/4 9:51 5540.42 0.11%
Trade id #149245018
Max drawdown($29)
Time9/4/24 9:47
Quant open1
Worst price5533.00
Drawdown as % of equity-0.11%
 $7
Includes Typical Broker Commissions trade costs of $0.94
9/3/24 11:35 @MESU4 MICRO E-MINI S&P 500 LONG 5 5588.80 9/3 11:41 5581.69 0.64%
Trade id #149215409
Max drawdown($182)
Time9/3/24 11:41
Quant open5
Worst price5581.50
Drawdown as % of equity-0.64%
 ($183)
Includes Typical Broker Commissions trade costs of $4.70
9/3/24 11:06 @MESU4 MICRO E-MINI S&P 500 LONG 4 5585.25 9/3 11:13 5587.50 0.14%
Trade id #149212113
Max drawdown($40)
Time9/3/24 11:10
Quant open4
Worst price5583.25
Drawdown as % of equity-0.14%
 $41
Includes Typical Broker Commissions trade costs of $3.76
9/3/24 5:23 @MESU4 MICRO E-MINI S&P 500 LONG 4 5634.38 9/3 6:01 5627.25 0.56%
Trade id #149203522
Max drawdown($157)
Time9/3/24 6:01
Quant open4
Worst price5626.50
Drawdown as % of equity-0.56%
 ($147)
Includes Typical Broker Commissions trade costs of $3.76
9/3/24 5:00 @MESU4 MICRO E-MINI S&P 500 LONG 4 5640.83 9/3 5:11 5633.45 0.55%
Trade id #149203399
Max drawdown($156)
Time9/3/24 5:11
Quant open4
Worst price5633.00
Drawdown as % of equity-0.55%
 ($152)
Includes Typical Broker Commissions trade costs of $3.76
9/2/24 22:37 @MESU4 MICRO E-MINI S&P 500 LONG 4 5657.75 9/2 22:46 5654.41 0.24%
Trade id #149202170
Max drawdown($70)
Time9/2/24 22:46
Quant open4
Worst price5654.25
Drawdown as % of equity-0.24%
 ($71)
Includes Typical Broker Commissions trade costs of $3.76
Next

Statistics

  • Strategy began
    7/25/2024
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    141.11
  • Age
    149 days ago
  • What it trades
    Futures
  • # Trades
    182
  • # Profitable
    110
  • % Profitable
    60.40%
  • Avg trade duration
    24.3 minutes
  • Max peak-to-valley drawdown
    4.74%
  • drawdown period
    Aug 03, 2024 - Aug 06, 2024
  • Cumul. Return
    15.1%
  • Avg win
    $119.64
  • Avg loss
    $119.90
  • Model Account Values (Raw)
  • Cash
    $29,524
  • Margin Used
    $0
  • Buying Power
    $29,524
  • Ratios
  • W:L ratio
    1.52:1
  • Sharpe Ratio
    2.02
  • Sortino Ratio
    5.77
  • Calmar Ratio
    25.795
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    3.07%
  • Correlation to SP500
    0.18640
  • Return Percent SP500 (cumu) during strategy life
    9.85%
  • Return Statistics
  • Ann Return (w trading costs)
    42.7%
  • Slump
  • Current Slump as Pcnt Equity
    4.30%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.80%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.151%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    50.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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
    24.76%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    714
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    351
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $120
  • Avg Win
    $120
  • Sum Trade PL (losers)
    $8,633.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $13,160.000
  • # Winners
    110
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    28891
  • Win / Loss
  • # Losers
    72
  • % Winners
    60.4%
  • Frequency
  • Avg Position Time (mins)
    24.33
  • Avg Position Time (hrs)
    0.41
  • Avg Trade Length
    0.0 days
  • Last Trade Ago
    86
  • Leverage
  • Daily leverage (average)
    6.42
  • Daily leverage (max)
    14.90
  • Regression
  • Alpha
    0.09
  • Beta
    0.20
  • Treynor Index
    0.52
  • 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)
    0.09
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    47.686
  • 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
    0.613
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.170
  • Hold-and-Hope Ratio
    0.021
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.71229
  • SD
    0.43145
  • Sharpe ratio (Glass type estimate)
    1.65091
  • Sharpe ratio (Hedges UMVUE)
    0.93142
  • df
    2.00000
  • t
    0.82545
  • p
    0.24795
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.70459
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.68969
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.09337
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.95622
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.87650
  • Upside Potential Ratio
    18.07330
  • Upside part of mean
    0.81085
  • Downside part of mean
    -0.09856
  • Upside SD
    0.40542
  • Downside SD
    0.04486
  • N nonnegative terms
    1.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.39155
  • Mean of criterion
    0.71229
  • SD of predictor
    0.01444
  • SD of criterion
    0.43145
  • Covariance
    0.00150
  • r
    0.24083
  • b (slope, estimate of beta)
    7.19442
  • a (intercept, estimate of alpha)
    -2.10471
  • Mean Square Error
    0.35071
  • DF error
    1.00000
  • t(b)
    0.24813
  • p(b)
    0.42258
  • t(a)
    -0.18439
  • p(a)
    0.55804
  • Lowerbound of 95% confidence interval for beta
    -361.21500
  • Upperbound of 95% confidence interval for beta
    375.60400
  • Lowerbound of 95% confidence interval for alpha
    -147.13900
  • Upperbound of 95% confidence interval for alpha
    142.93000
  • Treynor index (mean / b)
    0.09901
  • Jensen alpha (a)
    -2.10471
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.63740
  • SD
    0.39476
  • Sharpe ratio (Glass type estimate)
    1.61465
  • Sharpe ratio (Hedges UMVUE)
    0.91097
  • df
    2.00000
  • t
    0.80733
  • p
    0.25211
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.72690
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.64414
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.10933
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.93127
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.08290
  • Upside Potential Ratio
    16.27780
  • Upside part of mean
    0.73675
  • Downside part of mean
    -0.09935
  • Upside SD
    0.36837
  • Downside SD
    0.04526
  • N nonnegative terms
    1.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.38435
  • Mean of criterion
    0.63740
  • SD of predictor
    0.01396
  • SD of criterion
    0.39476
  • Covariance
    0.00138
  • r
    0.24994
  • b (slope, estimate of beta)
    7.06659
  • a (intercept, estimate of alpha)
    -2.07867
  • Mean Square Error
    0.29220
  • DF error
    1.00000
  • t(b)
    0.25813
  • p(b)
    0.41959
  • t(a)
    -0.19652
  • p(a)
    0.56177
  • Lowerbound of 95% confidence interval for beta
    -340.77500
  • Upperbound of 95% confidence interval for beta
    354.90800
  • Lowerbound of 95% confidence interval for alpha
    -136.47700
  • Upperbound of 95% confidence interval for alpha
    132.32000
  • Treynor index (mean / b)
    0.09020
  • Jensen alpha (a)
    -2.07867
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12570
  • Expected Shortfall on VaR
    0.16562
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02216
  • Expected Shortfall on VaR
    0.03471
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.98002
  • Quartile 1
    0.99001
  • Median
    1.00000
  • Quartile 3
    1.10252
  • Maximum
    1.20504
  • Mean of quarter 1
    0.98002
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.20504
  • Inter Quartile Range
    0.11251
  • 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
    0.01998
  • Quartile 1
    0.01998
  • Median
    0.01998
  • Quartile 3
    0.01998
  • Maximum
    0.01998
  • 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)
    0.72384
  • Compounded annual return (geometric extrapolation)
    0.94510
  • Calmar ratio (compounded annual return / max draw down)
    47.29560
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    5.70638
  • 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
    0.55319
  • SD
    0.17383
  • Sharpe ratio (Glass type estimate)
    3.18239
  • Sharpe ratio (Hedges UMVUE)
    3.15088
  • df
    76.00000
  • t
    1.72523
  • p
    0.04427
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47827
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.82263
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49903
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.80079
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.34710
  • Upside Potential Ratio
    15.75020
  • Upside part of mean
    0.84207
  • Downside part of mean
    -0.28887
  • Upside SD
    0.16773
  • Downside SD
    0.05346
  • N nonnegative terms
    19.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    0.37381
  • Mean of criterion
    0.55319
  • SD of predictor
    0.16614
  • SD of criterion
    0.17383
  • Covariance
    0.00504
  • r
    0.17438
  • b (slope, estimate of beta)
    0.18245
  • a (intercept, estimate of alpha)
    0.48500
  • Mean Square Error
    0.02969
  • DF error
    75.00000
  • t(b)
    1.53366
  • p(b)
    0.06466
  • t(a)
    1.51121
  • p(a)
    0.06747
  • Lowerbound of 95% confidence interval for beta
    -0.05454
  • Upperbound of 95% confidence interval for beta
    0.41944
  • Lowerbound of 95% confidence interval for alpha
    -0.15433
  • Upperbound of 95% confidence interval for alpha
    1.12432
  • Treynor index (mean / b)
    3.03203
  • Jensen alpha (a)
    0.48499
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53804
  • SD
    0.17053
  • Sharpe ratio (Glass type estimate)
    3.15502
  • Sharpe ratio (Hedges UMVUE)
    3.12378
  • df
    76.00000
  • t
    1.71040
  • p
    0.04564
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50503
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.79476
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52553
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.77310
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.98021
  • Upside Potential Ratio
    15.36480
  • Upside part of mean
    0.82832
  • Downside part of mean
    -0.29029
  • Upside SD
    0.16402
  • Downside SD
    0.05391
  • N nonnegative terms
    19.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    0.35993
  • Mean of criterion
    0.53804
  • SD of predictor
    0.16577
  • SD of criterion
    0.17053
  • Covariance
    0.00504
  • r
    0.17814
  • b (slope, estimate of beta)
    0.18326
  • a (intercept, estimate of alpha)
    0.47208
  • Mean Square Error
    0.02853
  • DF error
    75.00000
  • t(b)
    1.56780
  • p(b)
    0.06057
  • t(a)
    1.50141
  • p(a)
    0.06872
  • Lowerbound of 95% confidence interval for beta
    -0.04960
  • Upperbound of 95% confidence interval for beta
    0.41612
  • Lowerbound of 95% confidence interval for alpha
    -0.15429
  • Upperbound of 95% confidence interval for alpha
    1.09844
  • Treynor index (mean / b)
    2.93589
  • Jensen alpha (a)
    0.47208
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01516
  • Expected Shortfall on VaR
    0.01948
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00323
  • Expected Shortfall on VaR
    0.00684
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    77.00000
  • Minimum
    0.97728
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00010
  • Maximum
    1.05541
  • Mean of quarter 1
    0.99606
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00001
  • Mean of quarter 4
    1.01313
  • Inter Quartile Range
    0.00010
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.19481
  • Mean of outliers low
    0.99474
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.20779
  • Mean of outliers high
    1.01556
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.85471
  • VaR(95%) (moments method)
    0.00259
  • Expected Shortfall (moments method)
    0.00274
  • Extreme Value Index (regression method)
    0.03215
  • VaR(95%) (regression method)
    0.00497
  • Expected Shortfall (regression method)
    0.00847
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00314
  • Quartile 1
    0.00337
  • Median
    0.00871
  • Quartile 3
    0.02714
  • Maximum
    0.02951
  • Mean of quarter 1
    0.00325
  • Mean of quarter 2
    0.00871
  • Mean of quarter 3
    0.02714
  • Mean of quarter 4
    0.02951
  • Inter Quartile Range
    0.02377
  • 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)
    0.61573
  • Compounded annual return (geometric extrapolation)
    0.76111
  • Calmar ratio (compounded annual return / max draw down)
    25.79490
  • Compounded annual return / average of 25% largest draw downs
    25.79490
  • Compounded annual return / Expected Shortfall lognormal
    39.07440
  • 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)
    0.01500
  • 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
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -356726000
  • Max Equity Drawdown (num days)
    3

Strategy Description

This strategies places emphasis on a intraday movement based on the lower timeframe market rotations. These daily rotations are determined by volume imprint delta profiles, fib levels, and market structure. This strategy may execute several orders per day, depending on the market conditions. The primary goals are to achieve minimal down draw and to appreciate the portfolio value for consistent income generation and capital preservation.

The strategy can be scaled for account multiple of $5K (i.e. $5000, 10000, 15000, 20000, 25000). We will use micro contracts (i.e. MES, MNQ) so that they can be scaled accordingly to the linked accounts.

Summary Statistics

Strategy began
2024-07-25
Suggested Minimum Capital
$30,000
# Trades
182
# Profitable
110
% Profitable
60.4%
Correlation S&P500
0.186
Sharpe Ratio
2.02
Sortino Ratio
5.77
Beta
0.20
Alpha
0.09
Leverage
6.42 Average
14.90 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.