Collective2 Collective2
For your consideration Calicut Commodities +58.8% Annual Return (Compounded) since Nov 15, 2023 Hypothetical

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Michigan Avenue

By DonaldWPendergast3

Futures · Started Aug 2024

hypothetical · Annual Return (Compounded)
-54.7%
Max Drawdown
3.9%
Trades
34
Win Trades
64.7%
Profit Factor
0.50
Win Months
0.0%

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2024-2.90.00.00.00.0-2.9
20250.00.00.00.00.00.00.00.00.00.00.00.00.0
20260.00.00.00.00.00.00.00.00.00.00.0

Statistics

Overview

Strategy began8/13/2024
Suggested Minimum Capital$50,000
Age26 months
What it tradesFutures
# Trades34
# Profitable22
% Profitable64.7%
Avg trade duration20.3 minutes
Max peak-to-valley drawdown3.9%
drawdown periodAug 15, 2024 - Aug 22, 2024
Cumul. Return-2.9%
Avg win$63
Avg loss$223

Ratios

W:L ratio0.51
Sharpe Ratio-1.45
Sortino Ratio-1.52
Calmar Ratio-3.30

CORRELATION STATISTICS

Correlation to SP500-0.00
Return Percent SP500 (cumu) during strategy life43.7%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)-5.9%

Return Statistics

Ann Return (w trading costs)-54.7%
Return Pcnt (Compound or Annual, age-based, NFA compliant)-0.0%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)-1.2%

Slump

Current Slump as Pcnt Equity4.1%
Current Slump, time of slump as pcnt of strategy life1.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures1.0%
Percent Trades Options0.0%
Short Options - Percent Covered100.0%
Percent Trades Stocks0.0%

Automation

Percentage Signals Automated100.0%

Popularity

Popularity (Today)0
Popularity (Last 6 weeks)472
Popularity (7 days, Percentile 1000 scale)482

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$223
Avg Win$63
# Winners22
Sum Trade PL (losers)$2,674
Sum Trade PL (winners)$1,376
Num Months Winners0
# Losers12
% Winners64.7%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table27

Frequency

Avg Position Time (mins)20.32
Avg Position Time (hrs)0.34
Avg Trade Length0
Last Trade Ago774

Leverage

Daily leverage (average)1.35
Daily leverage (max)1.56

Regression

Alpha-0.01
Beta0
Treynor Index87.93

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0
MAE:Equity, 95th Percentile Value for this strat0
MAE:Equity, average, losing trades0
MAE:Equity, losing trades only, 95th Percentile Value for this strat—
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat—
Avg(MAE) / Avg(PL) - All trades2.61
MAE:PL (avg, all trades)1.56
MAE:PL (avg, losing trades)—
MAE:PL (avg, winning trades)—
MAE:PL - worst single value for strategy—
Avg(MAE) / Avg(PL) - Winning trades0.48
Avg(MAE) / Avg(PL) - Losing trades-1.06
Hold-and-Hope Ratio0.38

RATIO STATISTICS

a (intercept, estimate of alpha)-0.17
VAR (95 Confidence Intrvl)0.01

DRAW DOWN STATISTICS

Strat Max DD how much worse than SP500 max DD during strat life?-339371360
Max Equity Drawdown (num days)7
Last 4 Months - Pcnt Negative0.0%

Trading record

SymbolSideQtyOpenedClosedP/L
@MNQ U4long32Aug 22, 2024Aug 22, 2024($1,116)
@MNQ U4long14Aug 22, 2024Aug 22, 2024($501)
@MNQ U4long4Aug 22, 2024Aug 22, 2024($13)
@MNQ U4long4Aug 22, 2024Aug 22, 2024$74
@MNQ U4long2Aug 22, 2024Aug 22, 2024$16
@MNQ U4long2Aug 22, 2024Aug 22, 2024($126)
@MNQ U4long2Aug 22, 2024Aug 22, 2024$38
@MNQ U4long2Aug 22, 2024Aug 22, 2024$16
@MNQ U4long2Aug 22, 2024Aug 22, 2024($309)
@MNQ U4long1Aug 22, 2024Aug 22, 2024$8
@MNQ U4short1Aug 22, 2024Aug 22, 2024($66)
@MNQ U4short1Aug 22, 2024Aug 22, 2024$4
@MNQ U4short1Aug 21, 2024Aug 21, 2024$18
@MNQ U4short1Aug 21, 2024Aug 21, 2024($3)
@MNQ U4long1Aug 21, 2024Aug 21, 2024$19
@MNQ U4long2Aug 21, 2024Aug 21, 2024$13
@MNQ U4long1Aug 21, 2024Aug 21, 2024$25
@MNQ U4short1Aug 21, 2024Aug 21, 2024$22
@MNQ U4short1Aug 21, 2024Aug 21, 2024($34)
@MNQ U4long1Aug 21, 2024Aug 21, 2024$38
@MNQ U4long1Aug 21, 2024Aug 21, 2024$15
@MNQ U4short1Aug 21, 2024Aug 21, 2024$9
@MNQ U4long1Aug 21, 2024Aug 21, 2024$16
@MNQ U4short1Aug 21, 2024Aug 21, 2024($8)
@MNQ U4long1Aug 21, 2024Aug 21, 2024$18
@MNQ U4short1Aug 21, 2024Aug 21, 2024$6
@MNQ U4short1Aug 21, 2024Aug 21, 2024$0
@MNQ U4long1Aug 21, 2024Aug 21, 2024($7)
@MNQ U4short2Aug 20, 2024Aug 20, 2024$8
@MNQ U4short21Aug 19, 2024Aug 19, 2024$39

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.