Collective2 Collective2
Featured Strategy QUANT AI Gold and Silver +40.0% Cumul. Return since Sep 23, 2025 Hypothetical

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ARK Futures 2
(151021485)

Created by: ARK2 ARK2
Started: 03/2025
Futures
Last trade: 200 days ago

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 $299.00 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.

-
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.

(100.0%)
Max Drawdown
184
Num Trades
88.6%
Win Trades
0.0 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2025              +5.7%+12.2%+4.6%+0.9%+11.4%+5.5%(3.6%)(54.2%)(40.4%)+34.9%(47.8%)
2026(6667.3%)  -    -    -                                                  

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 947 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 254 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/16/25 13:30 @JEZ5 E-MINI JAPANESE YEN SHORT 2 0.006696 10/17 8:10 0.006686 0.41%
Trade id #153182861
Max drawdown($437)
Time10/17/25 3:20
Quant open2
Worst price0.006731
Drawdown as % of equity-0.41%
 $109
Includes Typical Broker Commissions trade costs of $16.00
10/15/25 3:21 @BPZ5 BRITISH POUND LONG 4 1.3353 10/15 11:19 1.3383 0.45%
Trade id #153165545
Max drawdown($431)
Time10/15/25 9:29
Quant open4
Worst price1.3336
Drawdown as % of equity-0.45%
 $712
Includes Typical Broker Commissions trade costs of $32.00
10/14/25 23:30 @BPZ5 BRITISH POUND LONG 3 1.3353 10/15 2:16 1.3371 0.15%
Trade id #153164689
Max drawdown($150)
Time10/15/25 0:35
Quant open3
Worst price1.3345
Drawdown as % of equity-0.15%
 $314
Includes Typical Broker Commissions trade costs of $24.00
9/17/25 14:31 @BPZ5 BRITISH POUND LONG 32 1.3498 10/9 11:28 1.3443 12.08%
Trade id #152938244
Max drawdown($11,826)
Time9/26/25 0:00
Quant open8
Worst price1.3332
Drawdown as % of equity-12.08%
 ($11,387)
Includes Typical Broker Commissions trade costs of $256.00
9/17/25 8:26 @JYZ5 JAPANESE YEN LONG 1 0.006890 9/17 14:02 0.006921 0.01%
Trade id #152933567
Max drawdown($12)
Time9/17/25 8:29
Quant open1
Worst price0.006889
Drawdown as % of equity-0.01%
 $380
Includes Typical Broker Commissions trade costs of $8.00
9/17/25 5:23 @BPZ5 BRITISH POUND LONG 4 1.3648 9/17 10:58 1.3662 0.14%
Trade id #152932884
Max drawdown($168)
Time9/17/25 6:13
Quant open3
Worst price1.3640
Drawdown as % of equity-0.14%
 $312
Includes Typical Broker Commissions trade costs of $32.00
9/17/25 2:01 @JYZ5 JAPANESE YEN LONG 3 0.006885 9/17 6:38 0.006894 0.15%
Trade id #152932034
Max drawdown($175)
Time9/17/25 3:58
Quant open3
Worst price0.006880
Drawdown as % of equity-0.15%
 $314
Includes Typical Broker Commissions trade costs of $24.00
9/16/25 6:05 @JYZ5 JAPANESE YEN LONG 3 0.006859 9/16 9:52 0.006872 0.14%
Trade id #152923130
Max drawdown($162)
Time9/16/25 8:34
Quant open3
Worst price0.006855
Drawdown as % of equity-0.14%
 $439
Includes Typical Broker Commissions trade costs of $24.00
9/16/25 3:29: Rescaled downward to 95% of previous Model Account size
9/9/25 11:02 @JYZ5 JAPANESE YEN LONG 9.500000000 0.006850 9/15 23:42 0.006859 1.82%
Trade id #152863020
Max drawdown($2,125)
Time9/11/25 0:00
Quant open4
Worst price0.006811
Drawdown as % of equity-1.82%
 $898
Includes Typical Broker Commissions trade costs of $76.00
9/9/25 11:06 @JYU5 JAPANESE YEN LONG 4.750000000 0.006788 9/11 10:21 0.006798 1.35%
Trade id #152863065
Max drawdown($1,556)
Time9/11/25 8:30
Quant open3
Worst price0.006748
Drawdown as % of equity-1.35%
 $568
Includes Typical Broker Commissions trade costs of $38.00
9/5/25 12:33 @JYZ5 JAPANESE YEN LONG 4.750000000 0.006862 9/9 5:14 0.006884 1.29%
Trade id #152838381
Max drawdown($1,432)
Time9/8/25 0:00
Quant open2
Worst price0.006799
Drawdown as % of equity-1.29%
 $1,280
Includes Typical Broker Commissions trade costs of $38.00
8/29/25 2:22 @JYU5 JAPANESE YEN LONG 20.900000000 0.006791 9/9 1:11 0.006802 6.02%
Trade id #152779298
Max drawdown($6,499)
Time9/3/25 0:00
Quant open7
Worst price0.006715
Drawdown as % of equity-6.02%
 $2,802
Includes Typical Broker Commissions trade costs of $167.20
8/29/25 3:51 @JEU5 E-MINI JAPANESE YEN LONG 0.950000000 0.006810 9/5 12:25 0.006814 0.51%
Trade id #152779507
Max drawdown($547)
Time9/3/25 0:00
Quant open1
Worst price0.006713
Drawdown as % of equity-0.51%
 $16
Includes Typical Broker Commissions trade costs of $7.60
9/4/25 7:11 @BPU5 BRITISH POUND LONG 2.850000000 1.3440 9/4 20:55 1.3448 0.35%
Trade id #152824106
Max drawdown($383)
Time9/4/25 10:00
Quant open3
Worst price1.3417
Drawdown as % of equity-0.35%
 $125
Includes Typical Broker Commissions trade costs of $22.80
9/4/25 3:10 @BPU5 BRITISH POUND LONG 2.850000000 1.3431 9/4 4:12 1.3444 0.18%
Trade id #152823077
Max drawdown($197)
Time9/4/25 3:24
Quant open3
Worst price1.3419
Drawdown as % of equity-0.18%
 $215
Includes Typical Broker Commissions trade costs of $22.80
9/3/25 23:29 @BPU5 BRITISH POUND LONG 2.850000000 1.3432 9/4 2:52 1.3441 0.08%
Trade id #152822275
Max drawdown($84)
Time9/4/25 1:53
Quant open3
Worst price1.3427
Drawdown as % of equity-0.08%
 $137
Includes Typical Broker Commissions trade costs of $22.80
9/3/25 12:45 @JYZ5 JAPANESE YEN SHORT 1.900000000 0.006829 9/3 18:52 0.006826 0.14%
Trade id #152817935
Max drawdown($157)
Time9/3/25 13:20
Quant open2
Worst price0.006836
Drawdown as % of equity-0.14%
 $56
Includes Typical Broker Commissions trade costs of $15.20
8/29/25 8:31 @BPU5 BRITISH POUND LONG 0.950000000 1.3460 8/29 10:22 1.3481 0.05%
Trade id #152780487
Max drawdown($62)
Time8/29/25 9:08
Quant open1
Worst price1.3449
Drawdown as % of equity-0.05%
 $117
Includes Typical Broker Commissions trade costs of $7.60
8/28/25 20:34: Rescaled downward to 95% of previous Model Account size
8/7/25 3:12 @JYU5 JAPANESE YEN LONG 53.247000000 0.006807 8/28 5:47 0.006815 5.65%
Trade id #152543193
Max drawdown($5,923)
Time8/22/25 0:00
Quant open8
Worst price0.006738
Drawdown as % of equity-5.65%
 $4,752
Includes Typical Broker Commissions trade costs of $425.85
8/27/25 11:32 @BPU5 BRITISH POUND LONG 0.902000000 1.3470 8/27 13:12 1.3497 0.01%
Trade id #152724245
Max drawdown($15)
Time8/27/25 11:50
Quant open1
Worst price1.3467
Drawdown as % of equity-0.01%
 $145
Includes Typical Broker Commissions trade costs of $7.22
8/26/25 9:06 @BPU5 BRITISH POUND LONG 3.610000000 1.3461 8/27 11:20 1.3473 0.76%
Trade id #152709251
Max drawdown($829)
Time8/27/25 7:02
Quant open4
Worst price1.3420
Drawdown as % of equity-0.76%
 $236
Includes Typical Broker Commissions trade costs of $28.87
8/26/25 6:36 @BPU5 BRITISH POUND LONG 0.902000000 1.3477 8/26 7:50 1.3491 0.01%
Trade id #152708823
Max drawdown($10)
Time8/26/25 6:42
Quant open1
Worst price1.3475
Drawdown as % of equity-0.01%
 $72
Includes Typical Broker Commissions trade costs of $7.22
8/25/25 21:08 @BPU5 BRITISH POUND LONG 3.610000000 1.3473 8/26 5:56 1.3478 0.66%
Trade id #152706768
Max drawdown($733)
Time8/26/25 3:21
Quant open4
Worst price1.3437
Drawdown as % of equity-0.66%
 $73
Includes Typical Broker Commissions trade costs of $28.88
8/20/25 11:58 @JEU5 E-MINI JAPANESE YEN LONG 0.902000000 0.006815 8/22 11:26 0.006838 0.37%
Trade id #152650906
Max drawdown($386)
Time8/22/25 6:42
Quant open1
Worst price0.006739
Drawdown as % of equity-0.37%
 $123
Includes Typical Broker Commissions trade costs of $7.22
8/1/25 9:10 @JEU5 E-MINI JAPANESE YEN SHORT 2.708000000 0.006793 8/7 3:07 0.006814 0.78%
Trade id #152491824
Max drawdown($839)
Time8/5/25 0:00
Quant open3
Worst price0.006848
Drawdown as % of equity-0.78%
 ($377)
Includes Typical Broker Commissions trade costs of $21.65
8/1/25 9:07 @JYU5 JAPANESE YEN SHORT 9.025000000 0.006808 8/7 3:07 0.006814 1.7%
Trade id #152491794
Max drawdown($1,824)
Time8/5/25 0:00
Quant open4
Worst price0.006852
Drawdown as % of equity-1.70%
 ($670)
Includes Typical Broker Commissions trade costs of $72.17
8/4/25 11:10 @BPU5 BRITISH POUND SHORT 0.902000000 1.3300 8/4 12:19 1.3289 0.02%
Trade id #152510772
Max drawdown($20)
Time8/4/25 11:16
Quant open1
Worst price1.3304
Drawdown as % of equity-0.02%
 $55
Includes Typical Broker Commissions trade costs of $7.22
8/4/25 8:16 @BPU5 BRITISH POUND SHORT 1.805000000 1.3313 8/4 11:02 1.3295 0.22%
Trade id #152507722
Max drawdown($239)
Time8/4/25 10:27
Quant open2
Worst price1.3336
Drawdown as % of equity-0.22%
 $183
Includes Typical Broker Commissions trade costs of $14.44
8/4/25 5:49 @BPU5 BRITISH POUND LONG 1.805000000 1.3293 8/4 7:21 1.3313 0.13%
Trade id #152506988
Max drawdown($142)
Time8/4/25 6:24
Quant open1
Worst price1.3277
Drawdown as % of equity-0.13%
 $217
Includes Typical Broker Commissions trade costs of $14.44
8/1/25 2:42 @JYU5 JAPANESE YEN LONG 3.610000000 0.006674 8/1 8:31 0.006698 0.11%
Trade id #152489497
Max drawdown($122)
Time8/1/25 2:46
Quant open3
Worst price0.006670
Drawdown as % of equity-0.11%
 $1,031
Includes Typical Broker Commissions trade costs of $28.87

Statistics

  • Strategy began
    3/5/2025
  • Suggested Minimum Cap
    $77,164
  • Strategy Age (days)
    456.3
  • Age
    15 months ago
  • What it trades
    Futures
  • # Trades
    184
  • # Profitable
    163
  • % Profitable
    88.60%
  • Avg trade duration
    4.1 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Jan 23, 2026 - Jan 23, 2026
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $365.03
  • Avg loss
    $132,120
  • Model Account Values (Raw)
  • Cash
    $117,134
  • Margin Used
    $81,728
  • Buying Power
    ($744,770)
  • Ratios
  • W:L ratio
    0.02:1
  • Sharpe Ratio
    -0.89
  • Sortino Ratio
    -0.89
  • Calmar Ratio
    -1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -3559.23%
  • Correlation to SP500
    -0.00480
  • Return Percent SP500 (cumu) during strategy life
    26.38%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.51%
  • 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)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    57.00%
  • Chance of 60% account loss (Monte Carlo)
    1.00%
  • 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
    16.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    375
  • 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
    $132,120
  • Avg Win
    $365
  • Sum Trade PL (losers)
    $2,774,510.000
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $59,500.000
  • # Winners
    163
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    21
  • % Winners
    88.6%
  • Frequency
  • Avg Position Time (mins)
    5876.13
  • Avg Position Time (hrs)
    97.94
  • Avg Trade Length
    4.1 days
  • Last Trade Ago
    197
  • Leverage
  • Daily leverage (average)
    5.75
  • Daily leverage (max)
    31.59
  • Regression
  • Alpha
    0.00
  • Beta
    -0.06
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.50
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.21
  • Avg(MAE) / Avg(PL) - All trades
    -5.168
  • 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
    3.33
  • Avg(MAE) / Avg(PL) - Winning trades
    1.249
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.550
  • Hold-and-Hope Ratio
    -16.175
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.34230
  • SD
    0.67072
  • Sharpe ratio (Glass type estimate)
    -0.51034
  • Sharpe ratio (Hedges UMVUE)
    -0.46069
  • df
    8.00000
  • t
    -0.44197
  • p
    0.66489
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.77141
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.78154
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.73509
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81371
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.56907
  • Upside Potential Ratio
    0.91348
  • Upside part of mean
    0.54946
  • Downside part of mean
    -0.89175
  • Upside SD
    0.21872
  • Downside SD
    0.60150
  • N nonnegative terms
    6.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.20665
  • Mean of criterion
    -0.34230
  • SD of predictor
    0.22641
  • SD of criterion
    0.67072
  • Covariance
    0.00476
  • r
    0.03135
  • b (slope, estimate of beta)
    0.09287
  • a (intercept, estimate of alpha)
    -0.36149
  • Mean Square Error
    0.51362
  • DF error
    7.00000
  • t(b)
    0.08298
  • p(b)
    0.46809
  • t(a)
    -0.42070
  • p(a)
    0.65671
  • Lowerbound of 95% confidence interval for beta
    -2.55349
  • Upperbound of 95% confidence interval for beta
    2.73923
  • Lowerbound of 95% confidence interval for alpha
    -2.39330
  • Upperbound of 95% confidence interval for alpha
    1.67033
  • Treynor index (mean / b)
    -3.68573
  • Jensen alpha (a)
    -0.36149
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.63960
  • SD
    0.88325
  • Sharpe ratio (Glass type estimate)
    -0.72415
  • Sharpe ratio (Hedges UMVUE)
    -0.65369
  • df
    8.00000
  • t
    -0.62713
  • p
    0.72598
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.99242
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58740
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.93942
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63203
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.77327
  • Upside Potential Ratio
    0.63570
  • Upside part of mean
    0.52581
  • Downside part of mean
    -1.16541
  • Upside SD
    0.20825
  • Downside SD
    0.82714
  • N nonnegative terms
    6.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.18116
  • Mean of criterion
    -0.63960
  • SD of predictor
    0.23224
  • SD of criterion
    0.88325
  • Covariance
    0.00453
  • r
    0.02207
  • b (slope, estimate of beta)
    0.08393
  • a (intercept, estimate of alpha)
    -0.65481
  • Mean Square Error
    0.89114
  • DF error
    7.00000
  • t(b)
    0.05840
  • p(b)
    0.47753
  • t(a)
    -0.58429
  • p(a)
    0.71132
  • Lowerbound of 95% confidence interval for beta
    -3.31435
  • Upperbound of 95% confidence interval for beta
    3.48222
  • Lowerbound of 95% confidence interval for alpha
    -3.30485
  • Upperbound of 95% confidence interval for alpha
    1.99524
  • Treynor index (mean / b)
    -7.62027
  • Jensen alpha (a)
    -0.65481
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.37668
  • Expected Shortfall on VaR
    0.43726
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.12751
  • Expected Shortfall on VaR
    0.28262
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.49496
  • Quartile 1
    0.94275
  • Median
    1.04315
  • Quartile 3
    1.09023
  • Maximum
    1.12047
  • Mean of quarter 1
    0.77939
  • Mean of quarter 2
    1.03240
  • Mean of quarter 3
    1.06901
  • Mean of quarter 4
    1.11162
  • Inter Quartile Range
    0.14749
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.11111
  • Mean of outliers low
    0.49496
  • 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)
    0.45214
  • VaR(95%) (moments method)
    0.22370
  • Expected Shortfall (moments method)
    0.50372
  • Extreme Value Index (regression method)
    2.26152
  • VaR(95%) (regression method)
    0.90207
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.57983
  • Quartile 1
    0.57983
  • Median
    0.57983
  • Quartile 3
    0.57983
  • Maximum
    0.57983
  • 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)
    -0.49059
  • Compounded annual return (geometric extrapolation)
    -0.45757
  • Calmar ratio (compounded annual return / max draw down)
    -0.78915
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.04644
  • 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
    -1.55039
  • SD
    1.32939
  • Sharpe ratio (Glass type estimate)
    -1.16624
  • Sharpe ratio (Hedges UMVUE)
    -1.16211
  • df
    212.00000
  • t
    -1.05154
  • p
    0.85290
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.34148
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.01168
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.33867
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.01445
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.25458
  • Upside Potential Ratio
    2.25308
  • Upside part of mean
    2.78432
  • Downside part of mean
    -4.33470
  • Upside SD
    0.49091
  • Downside SD
    1.23578
  • N nonnegative terms
    119.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    213.00000
  • Mean of predictor
    0.19297
  • Mean of criterion
    -1.55039
  • SD of predictor
    0.19869
  • SD of criterion
    1.32939
  • Covariance
    -0.00965
  • r
    -0.03655
  • b (slope, estimate of beta)
    -0.24458
  • a (intercept, estimate of alpha)
    -1.50300
  • Mean Square Error
    1.77328
  • DF error
    211.00000
  • t(b)
    -0.53132
  • p(b)
    0.70212
  • t(a)
    -1.01597
  • p(a)
    0.84460
  • Lowerbound of 95% confidence interval for beta
    -1.15198
  • Upperbound of 95% confidence interval for beta
    0.66283
  • Lowerbound of 95% confidence interval for alpha
    -4.41981
  • Upperbound of 95% confidence interval for alpha
    1.41343
  • Treynor index (mean / b)
    6.33909
  • Jensen alpha (a)
    -1.50319
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -13.86920
  • SD
    11.99180
  • Sharpe ratio (Glass type estimate)
    -1.15656
  • Sharpe ratio (Hedges UMVUE)
    -1.15246
  • df
    212.00000
  • t
    -1.04281
  • p
    0.85089
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.33175
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.02131
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.32897
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.02405
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.15715
  • Upside Potential Ratio
    0.22323
  • Upside part of mean
    2.67562
  • Downside part of mean
    -16.54480
  • Upside SD
    0.45372
  • Downside SD
    11.98570
  • N nonnegative terms
    119.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    213.00000
  • Mean of predictor
    0.17342
  • Mean of criterion
    -13.86920
  • SD of predictor
    0.19739
  • SD of criterion
    11.99180
  • Covariance
    -0.03485
  • r
    -0.01472
  • b (slope, estimate of beta)
    -0.89438
  • a (intercept, estimate of alpha)
    -13.71410
  • Mean Square Error
    144.45400
  • DF error
    211.00000
  • t(b)
    -0.21387
  • p(b)
    0.58457
  • t(a)
    -1.02731
  • p(a)
    0.84727
  • Lowerbound of 95% confidence interval for beta
    -9.13821
  • Upperbound of 95% confidence interval for beta
    7.34944
  • Lowerbound of 95% confidence interval for alpha
    -40.02970
  • Upperbound of 95% confidence interval for alpha
    12.60150
  • Treynor index (mean / b)
    15.50700
  • Jensen alpha (a)
    -13.71410
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.71960
  • Expected Shortfall on VaR
    0.78727
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03315
  • Expected Shortfall on VaR
    0.07974
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    213.00000
  • Minimum
    0.00002
  • Quartile 1
    0.99451
  • Median
    1.00190
  • Quartile 3
    1.00886
  • Maximum
    1.27200
  • Mean of quarter 1
    0.93568
  • Mean of quarter 2
    0.99947
  • Mean of quarter 3
    1.00491
  • Mean of quarter 4
    1.03779
  • Inter Quartile Range
    0.01435
  • Number outliers low
    27.00000
  • Percentage of outliers low
    0.12676
  • Mean of outliers low
    0.88394
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.08451
  • Mean of outliers high
    1.07903
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.04943
  • VaR(95%) (moments method)
    0.04491
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.64304
  • VaR(95%) (regression method)
    0.04162
  • Expected Shortfall (regression method)
    0.14222
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00304
  • Median
    0.00888
  • Quartile 3
    0.02964
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00152
  • Mean of quarter 2
    0.00627
  • Mean of quarter 3
    0.01992
  • Mean of quarter 4
    0.24026
  • Inter Quartile Range
    0.02660
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.09524
  • Mean of outliers high
    0.53673
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.20206
  • VaR(95%) (moments method)
    0.17922
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    2.54291
  • VaR(95%) (regression method)
    0.11449
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.23003
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00001
  • Compounded annual return / average of 25% largest draw downs
    -4.16216
  • Compounded annual return / Expected Shortfall lognormal
    -1.27021
  • 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
    -3.04201
  • SD
    1.68127
  • Sharpe ratio (Glass type estimate)
    -1.80935
  • Sharpe ratio (Hedges UMVUE)
    -1.79889
  • df
    130.00000
  • t
    -1.27940
  • p
    0.55576
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.58648
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.97456
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.57931
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98152
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.93552
  • Upside Potential Ratio
    2.20503
  • Upside part of mean
    3.46559
  • Downside part of mean
    -6.50760
  • Upside SD
    0.60847
  • Downside SD
    1.57168
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19600
  • Mean of criterion
    -3.04201
  • SD of predictor
    0.11446
  • SD of criterion
    1.68127
  • Covariance
    -0.01351
  • r
    -0.07020
  • b (slope, estimate of beta)
    -1.03116
  • a (intercept, estimate of alpha)
    -2.83990
  • Mean Square Error
    2.83454
  • DF error
    129.00000
  • t(b)
    -0.79931
  • p(b)
    0.54466
  • t(a)
    -1.18607
  • p(a)
    0.56600
  • Lowerbound of 95% confidence interval for beta
    -3.58361
  • Upperbound of 95% confidence interval for beta
    1.52128
  • Lowerbound of 95% confidence interval for alpha
    -7.57723
  • Upperbound of 95% confidence interval for alpha
    1.89742
  • Treynor index (mean / b)
    2.95007
  • Jensen alpha (a)
    -2.83990
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -23.05450
  • SD
    15.28510
  • Sharpe ratio (Glass type estimate)
    -1.50830
  • Sharpe ratio (Hedges UMVUE)
    -1.49958
  • df
    130.00000
  • t
    -1.06653
  • p
    0.54657
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.28339
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.27234
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.27738
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.27821
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.50852
  • Upside Potential Ratio
    0.21590
  • Upside part of mean
    3.29957
  • Downside part of mean
    -26.35410
  • Upside SD
    0.56011
  • Downside SD
    15.28280
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18941
  • Mean of criterion
    -23.05450
  • SD of predictor
    0.11443
  • SD of criterion
    15.28510
  • Covariance
    -0.05275
  • r
    -0.03016
  • b (slope, estimate of beta)
    -4.02855
  • a (intercept, estimate of alpha)
    -22.29150
  • Mean Square Error
    235.23100
  • DF error
    129.00000
  • t(b)
    -0.34269
  • p(b)
    0.51920
  • t(a)
    -1.02235
  • p(a)
    0.55700
  • VAR (95 Confidence Intrvl)
    0.72000
  • Lowerbound of 95% confidence interval for beta
    -27.28720
  • Upperbound of 95% confidence interval for beta
    19.23010
  • Lowerbound of 95% confidence interval for alpha
    -65.43150
  • Upperbound of 95% confidence interval for alpha
    20.84850
  • Treynor index (mean / b)
    5.72279
  • Jensen alpha (a)
    -22.29150
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.80626
  • Expected Shortfall on VaR
    0.86240
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05390
  • Expected Shortfall on VaR
    0.12559
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00002
  • Quartile 1
    0.98859
  • Median
    1.00038
  • Quartile 3
    1.00935
  • Maximum
    1.27200
  • Mean of quarter 1
    0.90334
  • Mean of quarter 2
    0.99829
  • Mean of quarter 3
    1.00427
  • Mean of quarter 4
    1.04857
  • Inter Quartile Range
    0.02076
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.14504
  • Mean of outliers low
    0.85093
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.10659
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.55325
  • VaR(95%) (moments method)
    0.05952
  • Expected Shortfall (moments method)
    0.16089
  • Extreme Value Index (regression method)
    0.40644
  • VaR(95%) (regression method)
    0.07072
  • Expected Shortfall (regression method)
    0.15490
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00071
  • Quartile 1
    0.00371
  • Median
    0.00888
  • Quartile 3
    0.02655
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00192
  • Mean of quarter 2
    0.00625
  • Mean of quarter 3
    0.01638
  • Mean of quarter 4
    0.35477
  • Inter Quartile Range
    0.02284
  • 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
    0.09091
  • Mean of outliers high
    0.99999
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.74002
  • VaR(95%) (moments method)
    0.29428
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    6.58418
  • VaR(95%) (regression method)
    4.26461
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -455665000
  • Max Equity Drawdown (num days)
    76
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99998
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00001
  • Compounded annual return / average of 25% largest draw downs
    -2.81873
  • Compounded annual return / Expected Shortfall lognormal
    -1.15956

Strategy Description

Hello,

I have done a lot of work on my mistakes. This is more from the field of psychology. Bugs have been fixed. The system has become more reliable and stable. During this time, I have optimized my system, leaving only the best algorithms there and optimized risk management. I believe in my system.

Attention! Depending on your risk preferences, after subscribing to the system, I definitely recommend setting a risk limit of no more than 5-10-15-20%. This is a must!

1)ARK LR (fx futures CME) + 5.1%*, max dd - 6.4% | https://collective2.com/details/151021485 | Maximum monthly loss no more than 5%. Suggested Minimum Capital 50,000 - 100,000 USD

2) Internet trading experience since 2006. Manual trading system, based on the use of advanced mathematical algorithms that generate accurate entry and exit signals, as well as on the analysis of intraday bulletins of currency futures of the Chicago Mercantile Exchange (CME Group) - British Pound Futures, Euro FX Futures, Australian Dollar Futures, Japanese Yen Futures, Swiss Franc Futures, Canadian Dollar Futures. Trading is carried out both on the trend and on reversals, on currency futures G10 CME Group. Each trade is protected by a stop loss. Not martingale. The plan and goal for the future is to open my own hedge fund.

3) My public verified trading results myfxbook | 2011 + 12.11% | 2012 + 105.51% | 2013 + 272.49% | 2014 + 182.49% | 2015 + 121.17% | 2016 + 65.57% | 2017 + 18.24% | 2018 + 88.6% | 2019 +16.5%

4) Attention! To be honest, this is not my first profile here. I had great periods here when the number of paid subscribers was about 100, and the amount under management was about 7 million US dollars (this is the period from February 2018 to July 2019). In 2018, a profit of 88% was shown, but then 95% of clients left due to a profit of 16% per year!!! From experience, I can say that low drawdowns and moderate profits (10-25% per year) are of little interest to anyone here, and when you start showing such a result, 80-90 percent of clients leave. Strategies with high profits are very popular, which subsequently lead to large drawdowns. This is a pattern and a vicious circle. The more profit, the greater the drawdown awaits you in the future. That's why I started using my system with aggressive risks, which led to a series of failures.

5) From November 2021 to October 2022, I had the ARK system here, until May 2022 there was a stable increase in clients, excellent results for six months, profit over 250%, the number of paid subscribers is just over 100, funds are 15 million USD. Then I started trading more conservatively (less risky) and the number of subscribers decreased by 9 times in 3 months!!! I started trading again, but more aggressively and this eventually led to a mistake, there was a big drawdown when selling USD / JPY due to high leverage, the idea was correct to sell 145-147-150 take profit 135-133 -131, but very poor execution led to a loss. I am the only one to blame for this and there is no excuse for this.

6) In 2024, at the moment, my M8888 system managed to show excellent results of 420% with a maximum drawdown of 42%. But the bet on aggressive trading eventually led to a large drawdown. It was obvious and a matter of time. Now there is a profit of 230% with a drawdown of 70%. I understand that such results are of no interest to anyone. An adequate balance of risk and profit is needed.

7) You can see the archive of my systems for 2018-2024 on my website.

Useful recommendations when copying my system “ARK LR” (FX futures CME):

1) Do not idealize the results of my trading. Stable every month for a long period of time, at least over a period of several years, you are unlikely to receive a plus every month, this is not a bank deposit. There will be periods of subsidence, since everything in this world is cyclical and the results in trading are no exception, after growth always follows a decline or for some time there is a stagnation in growth and this should be perceived normally.

2) Diversify your savings - do not put all your eggs in one basket.

3) Constantly and continuously monitor the results, it is desirable to do this several times a week, so you will be calmer.

4) Understand that profitability is not linear, it is not a bank deposit, that income received in the past cannot serve as a guarantee of receiving such income in the future.

5) Do not worry and don’t share your feelings with me about where the market will go or what you think is wrong at the moment (I don’t have a psychological session service), because there is a stop loss for every deal , there is a risk limit. Excessive anxiety only ruins the result.

6) There are periods, several trading sessions, several trading weeks when there is no trading activity, this is normal. Permanent presence in the market and constant trading in no way affects the better profit, does not make it anymore, sometimes just a few trading sessions make the result for a whole month. You need to be able to wait, work out only clear signals and then the result will be much better.

7) There is a possibility that you may lose some or all of your investments and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with foreign exchange trading and seek advice from an independent financial advisor if you have any doubts.


Michael
April 1, 2025
Trade this strategy at Tradier

Summary Statistics

Strategy began
2025-03-05
Suggested Minimum Capital
$25,000
# Trades
184
# Profitable
163
% Profitable
88.6%
Correlation S&P500
-0.005
Sharpe Ratio
-0.89
Sortino Ratio
-0.89
Beta
-0.06
Alpha
0.00
Leverage
5.75 Average
31.59 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

subscribed on started simulation

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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Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.