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Featured Strategy QUANT AI Gold and Silver +37.2% Cumul. Return since Sep 23, 2025 Hypothetical

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This is an archived track record. This track record was archived on 3/27/26 7:17 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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BLACK SEA NASDAQ FUTURES
(151356232)

Created by: TENEDOS76 TENEDOS76
Started: 04/2025
Futures, Options
Last trade: 76 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 $1,000.00 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.
-
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.

(100.0%)
Max Drawdown
66
Num Trades
71.2%
Win Trades
1.0 : 1
Profit Factor
33.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2025                     +352.6%+131.5%(43%)(32.9%)+137.5%+195.4%+4.1%(56.6%)(47.5%)+566.1%
2026(3.7%)(71.8%)(550.5%)  -    -    -                                      (222.5%)

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.

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Trading Record

This strategy has placed 53 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 247 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/22/25 14:53 SPY2630F700 SPY Jun30'26 700 call LONG 10 26.94 3/27/26 7:17 6.20 199.19%
Trade id #153895618
Max drawdown($21,240)
Time3/26/26 0:00
Quant open10
Worst price5.70
Drawdown as % of equity199.19%
 ($20,754)
Includes Typical Broker Commissions trade costs of $14.00
11/10/25 10:30 SPY2531L680 SPY Dec31'25 680 call LONG 21 14.71 12/22 14:51 7.88 327.22%
Trade id #153393752
Max drawdown($23,252)
Time12/17/25 0:00
Quant open20
Worst price3.08
Drawdown as % of equity-327.22%
 ($14,370)
Includes Typical Broker Commissions trade costs of $29.70
11/12/25 11:32 SPY2528K680 SPY Nov28'25 680 call LONG 14 3.92 11/26 11:43 3.00 51.43%
Trade id #153419387
Max drawdown($5,213)
Time11/25/25 0:00
Quant open14
Worst price0.20
Drawdown as % of equity-51.43%
 ($1,313)
Includes Typical Broker Commissions trade costs of $19.60
11/10/25 10:28 @ESZ5 E-MINI S&P 500 LONG 1 6834.00 11/10 11:29 6799.75 6.93%
Trade id #153393709
Max drawdown($1,950)
Time11/10/25 11:05
Quant open1
Worst price6795.00
Drawdown as % of equity-6.93%
 ($1,721)
Includes Typical Broker Commissions trade costs of $8.00
11/7/25 9:35 TSLA2512X440 TSLA Dec12'25 440 put LONG 15 34.25 11/10 10:00 27.30 25%
Trade id #153374626
Max drawdown($10,275)
Time11/10/25 10:00
Quant open15
Worst price27.40
Drawdown as % of equity-25.00%
 ($10,446)
Includes Typical Broker Commissions trade costs of $21.00
10/8/25 11:34 UBER2618F100 UBER Jun18'26 100 call LONG 10 13.80 11/7 9:34 8.50 10.58%
Trade id #153108994
Max drawdown($5,300)
Time11/4/25 0:00
Quant open10
Worst price8.50
Drawdown as % of equity-10.58%
 ($5,314)
Includes Typical Broker Commissions trade costs of $14.00
10/8/25 9:58 B2715A40 B Jan15'27 40 call LONG 100 4.35 11/7 9:33 3.55 28.4%
Trade id #153107669
Max drawdown($12,100)
Time10/22/25 0:00
Quant open100
Worst price3.14
Drawdown as % of equity-28.40%
 ($8,140)
Includes Typical Broker Commissions trade costs of $140.00
10/7/25 12:11 @ESZ5 E-MINI S&P 500 SHORT 1 6753.50 10/8 9:57 6774.25 2.1%
Trade id #153099812
Max drawdown($1,150)
Time10/8/25 9:27
Quant open1
Worst price6776.50
Drawdown as % of equity-2.10%
 ($1,046)
Includes Typical Broker Commissions trade costs of $8.00
10/6/25 14:27 GOOG2618F250 GOOG Jun18'26 250 call LONG 10 32.46 10/7 11:52 30.27 3.94%
Trade id #153087738
Max drawdown($2,190)
Time10/7/25 11:52
Quant open10
Worst price30.27
Drawdown as % of equity-3.94%
 ($2,202)
Includes Typical Broker Commissions trade costs of $14.00
9/15/25 10:01 PYPL2618F70 PYPL Jun18'26 70 call LONG 80 8.01 10/6 13:59 10.10 7.16%
Trade id #152913194
Max drawdown($2,540)
Time9/16/25 0:00
Quant open30
Worst price7.32
Drawdown as % of equity-7.16%
 $16,623
Includes Typical Broker Commissions trade costs of $112.00
9/26/25 13:05 MRK2618F80 MRK Jun18'26 80 call LONG 2 7.06 10/1 11:38 13.76 0.17%
Trade id #153016553
Max drawdown($72)
Time9/29/25 0:00
Quant open2
Worst price6.70
Drawdown as % of equity-0.17%
 $1,337
Includes Typical Broker Commissions trade costs of $3.40
9/18/25 9:48 UBER2616A100 UBER Jan16'26 100 call LONG 20 5.92 9/23 15:31 8.75 0.36%
Trade id #152945442
Max drawdown($140)
Time9/18/25 11:51
Quant open20
Worst price5.85
Drawdown as % of equity-0.36%
 $5,642
Includes Typical Broker Commissions trade costs of $28.00
9/3/25 10:35 UBER2519L100 UBER Dec19'25 100 call LONG 55 4.64 9/16 9:42 7.11 11.24%
Trade id #152815493
Max drawdown($2,160)
Time9/8/25 0:00
Quant open55
Worst price4.25
Drawdown as % of equity-11.24%
 $13,513
Includes Typical Broker Commissions trade costs of $77.00
9/16/25 9:39 UBER2519I100 UBER Sep19'25 100 call SHORT 15 0.70 9/16 9:39 0.77 0.3%
Trade id #152924464
Max drawdown($105)
Time9/16/25 9:39
Quant open15
Worst price0.77
Drawdown as % of equity-0.30%
 ($126)
Includes Typical Broker Commissions trade costs of $21.00
9/16/25 9:37 UBER2519I100 UBER Sep19'25 100 call SHORT 15 0.85 9/16 9:38 0.83 n/a $9
Includes Typical Broker Commissions trade costs of $21.00
5/16/25 10:20 GLD2531L330 GLD Dec31'25 330 call LONG 20 9.51 9/5 10:02 14.03 36.75%
Trade id #151747322
Max drawdown($2,720)
Time8/19/25 0:00
Quant open10
Worst price4.70
Drawdown as % of equity-36.75%
 $9,012
Includes Typical Broker Commissions trade costs of $28.00
6/27/25 13:23 B2618F25 B Jun18'26 25 call LONG 20 1.32 9/2 11:02 4.53 0.63%
Trade id #152170266
Max drawdown($60)
Time7/17/25 0:00
Quant open20
Worst price1.29
Drawdown as % of equity-0.63%
 $6,392
Includes Typical Broker Commissions trade costs of $28.00
6/16/25 10:03 QGCZ5 Gold 100 oz LONG 1 3466.4 6/27 5:58 3350.0 117.1%
Trade id #152064773
Max drawdown($11,653)
Time6/27/25 4:22
Quant open1
Worst price3349.9
Drawdown as % of equity-117.10%
 ($11,651)
Includes Typical Broker Commissions trade costs of $8.00
5/16/25 11:24 B2618F22 B Jun18'26 22 call LONG 60 1.44 6/16 9:30 3.00 n/a $9,286
Includes Typical Broker Commissions trade costs of $84.00
5/16/25 13:25 SPY2529E595 SPY May29'25 595 call LONG 20 4.44 5/30 8:05 0.00 48.77%
Trade id #151749707
Max drawdown($8,860)
Time5/29/25 0:00
Quant open20
Worst price0.01
Drawdown as % of equity-48.77%
 ($8,894)
Includes Typical Broker Commissions trade costs of $14.00
5/16/25 7:37 QMGCZ5 E-Micro Gold LONG 1 3263.4 5/16 15:07 3275.0 1.2%
Trade id #151744340
Max drawdown($239)
Time5/16/25 7:55
Quant open1
Worst price3239.5
Drawdown as % of equity-1.20%
 $115
Includes Typical Broker Commissions trade costs of $0.70
5/16/25 10:29 SPY2522E595 SPY May22'25 595 call LONG 20 2.40 5/16 13:35 3.20 1.53%
Trade id #151747402
Max drawdown($300)
Time5/16/25 10:45
Quant open10
Worst price1.96
Drawdown as % of equity-1.53%
 $1,582
Includes Typical Broker Commissions trade costs of $28.00
5/15/25 14:17 @MNQM5 MICRO E-MINI NASDAQ 100 LONG 5 21430.78 5/16 10:18 21450.00 2.15%
Trade id #151738405
Max drawdown($420)
Time5/16/25 9:42
Quant open5
Worst price21388.80
Drawdown as % of equity-2.15%
 $187
Includes Typical Broker Commissions trade costs of $4.70
5/16/25 9:33 GLD2531L330 GLD Dec31'25 330 call LONG 10 7.40 5/16 10:09 7.56 n/a $146
Includes Typical Broker Commissions trade costs of $14.00
5/14/25 7:20 @MESM5 MICRO E-MINI S&P 500 LONG 7 5915.82 5/16 4:36 5943.64 5.19%
Trade id #151718146
Max drawdown($903)
Time5/14/25 13:23
Quant open7
Worst price5890.00
Drawdown as % of equity-5.19%
 $966
Includes Typical Broker Commissions trade costs of $8.40
5/15/25 11:32 SPY2522E590 SPY May22'25 590 call LONG 10 4.20 5/15 13:05 5.50 n/a $1,286
Includes Typical Broker Commissions trade costs of $14.00
5/13/25 9:28 @MESM5 MICRO E-MINI S&P 500 LONG 6 5869.04 5/13 11:26 5917.00 0.66%
Trade id #151705914
Max drawdown($106)
Time5/13/25 9:31
Quant open5
Worst price5863.75
Drawdown as % of equity-0.66%
 $1,432
Includes Typical Broker Commissions trade costs of $7.20
5/13/25 9:24: Rescaled downward to 50% of previous Model Account size
5/13/25 9:05: Rescaled downward to 50% of previous Model Account size
5/12/25 13:08 @ESM5 E-MINI S&P 500 LONG 0.500000000 5855.50 5/12 16:01 5875.00 0.47%
Trade id #151697025
Max drawdown($71)
Time5/12/25 15:46
Quant open0
Worst price5844.00
Drawdown as % of equity-0.47%
 $484
Includes Typical Broker Commissions trade costs of $4.00
5/12/25 13:06: Rescaled downward to 50% of previous Model Account size
5/12/25 5:01 @ESM5 E-MINI S&P 500 LONG 0.375000000 5825.08 5/12 13:04 5850.00 0.88%
Trade id #151689225
Max drawdown($90)
Time5/12/25 10:31
Quant open0
Worst price5805.75
Drawdown as % of equity-0.88%
 $464
Includes Typical Broker Commissions trade costs of $3.00
5/12/25 10:00 @NQM5 E-MINI NASDAQ 100 STK IDX LONG 0.125000000 20785.75 5/12 12:57 20876.50 0.58%
Trade id #151693750
Max drawdown($59)
Time5/12/25 10:31
Quant open0
Worst price20690.00
Drawdown as % of equity-0.58%
 $226
Includes Typical Broker Commissions trade costs of $1.00

Statistics

  • Strategy began
    4/10/2025
  • Suggested Minimum Cap
    $1,562
  • Strategy Age (days)
    417.51
  • Age
    14 months ago
  • What it trades
    Options, Futures
  • # Trades
    66
  • # Profitable
    47
  • % Profitable
    71.20%
  • Avg trade duration
    8.4 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    March 05, 2026 - March 26, 2026
  • Cumul. Return
    -915.2%
  • Avg win
    $1,819
  • Avg loss
    $4,655
  • Model Account Values (Raw)
  • Cash
    ($1,388)
  • Margin Used
    $0
  • Buying Power
    ($1,388)
  • Ratios
  • W:L ratio
    0.97:1
  • Sharpe Ratio
    0.88
  • Sortino Ratio
    46.01
  • Calmar Ratio
    -1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -938.19%
  • Correlation to SP500
    0.32610
  • Return Percent SP500 (cumu) during strategy life
    40.36%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.53%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.55%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -9.152%
  • Instruments
  • Percent Trades Options
    0.47%
  • 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
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    0.51%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    661
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    318
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $4,656
  • Avg Win
    $1,819
  • Sum Trade PL (losers)
    $88,459.000
  • Age
  • Num Months filled monthly returns table
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $85,509.000
  • # Winners
    47
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    19
  • % Winners
    71.2%
  • Frequency
  • Avg Position Time (mins)
    12039.40
  • Avg Position Time (hrs)
    200.66
  • Avg Trade Length
    8.4 days
  • Last Trade Ago
    67
  • Leverage
  • Daily leverage (average)
    34.85
  • Daily leverage (max)
    852.40
  • Regression
  • Alpha
    0.00
  • Beta
    14.31
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.12
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.14
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.33
  • Avg(MAE) / Avg(PL) - All trades
    -7.756
  • 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
    0.51
  • Avg(MAE) / Avg(PL) - Winning trades
    0.146
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.171
  • Hold-and-Hope Ratio
    -0.129
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    9.72153
  • SD
    8.80882
  • Sharpe ratio (Glass type estimate)
    1.10361
  • Sharpe ratio (Hedges UMVUE)
    1.01835
  • df
    10.00000
  • t
    1.05663
  • p
    0.15777
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.02420
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.17992
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.07685
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.11355
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.03383
  • Upside Potential Ratio
    9.13990
  • Upside part of mean
    12.63230
  • Downside part of mean
    -2.91081
  • Upside SD
    8.74681
  • Downside SD
    1.38211
  • N nonnegative terms
    6.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.22080
  • Mean of criterion
    9.72153
  • SD of predictor
    0.13212
  • SD of criterion
    8.80882
  • Covariance
    0.95320
  • r
    0.81904
  • b (slope, estimate of beta)
    54.60900
  • a (intercept, estimate of alpha)
    -2.33597
  • Mean Square Error
    28.37990
  • DF error
    9.00000
  • t(b)
    4.28271
  • p(b)
    0.00102
  • t(a)
    -0.37460
  • p(a)
    0.64168
  • Lowerbound of 95% confidence interval for beta
    25.76410
  • Upperbound of 95% confidence interval for beta
    83.45380
  • Lowerbound of 95% confidence interval for alpha
    -16.44260
  • Upperbound of 95% confidence interval for alpha
    11.77060
  • Treynor index (mean / b)
    0.17802
  • Jensen alpha (a)
    -2.33597
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.71785
  • SD
    5.12593
  • Sharpe ratio (Glass type estimate)
    -0.33513
  • Sharpe ratio (Hedges UMVUE)
    -0.30924
  • df
    10.00000
  • t
    -0.32086
  • p
    0.62254
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.37918
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.72526
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.36084
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74236
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.41720
  • Upside Potential Ratio
    1.18304
  • Upside part of mean
    4.87129
  • Downside part of mean
    -6.58914
  • Upside SD
    2.67914
  • Downside SD
    4.11760
  • N nonnegative terms
    6.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.21076
  • Mean of criterion
    -1.71785
  • SD of predictor
    0.12836
  • SD of criterion
    5.12593
  • Covariance
    0.56271
  • r
    0.85523
  • b (slope, estimate of beta)
    34.15230
  • a (intercept, estimate of alpha)
    -8.91574
  • Mean Square Error
    7.84131
  • DF error
    9.00000
  • t(b)
    4.95061
  • p(b)
    0.00040
  • t(a)
    -2.72970
  • p(a)
    0.98838
  • Lowerbound of 95% confidence interval for beta
    18.54660
  • Upperbound of 95% confidence interval for beta
    49.75800
  • Lowerbound of 95% confidence interval for alpha
    -16.30440
  • Upperbound of 95% confidence interval for alpha
    -1.52707
  • Treynor index (mean / b)
    -0.05030
  • Jensen alpha (a)
    -8.91574
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.92400
  • Expected Shortfall on VaR
    0.95388
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.53821
  • Expected Shortfall on VaR
    0.92112
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.02370
  • Quartile 1
    0.52982
  • Median
    1.11466
  • Quartile 3
    1.45018
  • Maximum
    9.03676
  • Mean of quarter 1
    0.33188
  • Mean of quarter 2
    0.82081
  • Mean of quarter 3
    1.29953
  • Mean of quarter 4
    4.62663
  • Inter Quartile Range
    0.92036
  • 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
    0.18182
  • Mean of outliers high
    6.14167
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.31632
  • VaR(95%) (moments method)
    0.76543
  • Expected Shortfall (moments method)
    0.90544
  • Extreme Value Index (regression method)
    1.30507
  • VaR(95%) (regression method)
    1.02139
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.47156
  • Quartile 1
    0.60219
  • Median
    0.73283
  • Quartile 3
    0.86346
  • Maximum
    0.99409
  • Mean of quarter 1
    0.47156
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99409
  • Inter Quartile Range
    0.26127
  • 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)
    -0.85916
  • Compounded annual return (geometric extrapolation)
    -0.81547
  • Calmar ratio (compounded annual return / max draw down)
    -0.82032
  • Compounded annual return / average of 25% largest draw downs
    -0.82032
  • Compounded annual return / Expected Shortfall lognormal
    -0.85489
  • 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
    3.68289
  • SD
    3.61696
  • Sharpe ratio (Glass type estimate)
    1.01823
  • Sharpe ratio (Hedges UMVUE)
    1.01506
  • df
    241.00000
  • t
    0.97859
  • p
    0.16438
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.02419
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.05855
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.02630
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.05641
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.69108
  • Upside Potential Ratio
    8.95192
  • Upside part of mean
    19.49580
  • Downside part of mean
    -15.81290
  • Upside SD
    2.88741
  • Downside SD
    2.17783
  • N nonnegative terms
    124.00000
  • N negative terms
    118.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    242.00000
  • Mean of predictor
    0.20441
  • Mean of criterion
    3.68289
  • SD of predictor
    0.13081
  • SD of criterion
    3.61696
  • Covariance
    0.18765
  • r
    0.39660
  • b (slope, estimate of beta)
    10.96600
  • a (intercept, estimate of alpha)
    1.14800
  • Mean Square Error
    11.07060
  • DF error
    240.00000
  • t(b)
    6.69294
  • p(b)
    0.00000
  • t(a)
    0.41441
  • p(a)
    0.33947
  • Lowerbound of 95% confidence interval for beta
    7.73841
  • Upperbound of 95% confidence interval for beta
    14.19350
  • Lowerbound of 95% confidence interval for alpha
    -5.41026
  • Upperbound of 95% confidence interval for alpha
    8.29304
  • Treynor index (mean / b)
    0.33585
  • Jensen alpha (a)
    1.44139
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -8.09550
  • SD
    7.78073
  • Sharpe ratio (Glass type estimate)
    -1.04046
  • Sharpe ratio (Hedges UMVUE)
    -1.03721
  • df
    241.00000
  • t
    -0.99996
  • p
    0.84083
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.08087
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.00205
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.07866
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.00423
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.08382
  • Upside Potential Ratio
    2.23016
  • Upside part of mean
    16.65810
  • Downside part of mean
    -24.75360
  • Upside SD
    2.17877
  • Downside SD
    7.46945
  • N nonnegative terms
    124.00000
  • N negative terms
    118.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    242.00000
  • Mean of predictor
    0.19579
  • Mean of criterion
    -8.09550
  • SD of predictor
    0.13078
  • SD of criterion
    7.78073
  • Covariance
    0.30167
  • r
    0.29646
  • b (slope, estimate of beta)
    17.63840
  • a (intercept, estimate of alpha)
    -11.54890
  • Mean Square Error
    55.44890
  • DF error
    240.00000
  • t(b)
    4.80900
  • p(b)
    0.00000
  • t(a)
    -1.48421
  • p(a)
    0.93047
  • Lowerbound of 95% confidence interval for beta
    10.41320
  • Upperbound of 95% confidence interval for beta
    24.86360
  • Lowerbound of 95% confidence interval for alpha
    -26.87710
  • Upperbound of 95% confidence interval for alpha
    3.77923
  • Treynor index (mean / b)
    -0.45897
  • Jensen alpha (a)
    -11.54890
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.56026
  • Expected Shortfall on VaR
    0.63497
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.13575
  • Expected Shortfall on VaR
    0.27722
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    242.00000
  • Minimum
    0.00121
  • Quartile 1
    0.91703
  • Median
    1.00319
  • Quartile 3
    1.08661
  • Maximum
    2.38677
  • Mean of quarter 1
    0.79417
  • Mean of quarter 2
    0.96614
  • Mean of quarter 3
    1.04562
  • Mean of quarter 4
    1.25045
  • Inter Quartile Range
    0.16958
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.02479
  • Mean of outliers low
    0.37539
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.04959
  • Mean of outliers high
    1.63675
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.43757
  • VaR(95%) (moments method)
    0.22172
  • Expected Shortfall (moments method)
    0.43572
  • Extreme Value Index (regression method)
    0.48818
  • VaR(95%) (regression method)
    0.19881
  • Expected Shortfall (regression method)
    0.40115
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.01275
  • Quartile 1
    0.04928
  • Median
    0.11718
  • Quartile 3
    0.21478
  • Maximum
    0.99999
  • Mean of quarter 1
    0.01603
  • Mean of quarter 2
    0.09348
  • Mean of quarter 3
    0.14178
  • Mean of quarter 4
    0.58180
  • Inter Quartile Range
    0.16550
  • 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
    0.13333
  • Mean of outliers high
    0.84597
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.78487
  • VaR(95%) (moments method)
    0.61585
  • Expected Shortfall (moments method)
    0.69343
  • Extreme Value Index (regression method)
    -0.07985
  • VaR(95%) (regression method)
    0.89482
  • Expected Shortfall (regression method)
    1.23251
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.08202
  • Compounded annual return (geometric extrapolation)
    -0.99969
  • Calmar ratio (compounded annual return / max draw down)
    -0.99970
  • Compounded annual return / average of 25% largest draw downs
    -1.71826
  • Compounded annual return / Expected Shortfall lognormal
    -1.57439
  • 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
    -2.16896
  • SD
    4.25622
  • Sharpe ratio (Glass type estimate)
    -0.50960
  • Sharpe ratio (Hedges UMVUE)
    -0.50665
  • df
    130.00000
  • t
    -0.36034
  • p
    0.51579
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.28113
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26387
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.27914
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26584
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.78597
  • Upside Potential Ratio
    7.01290
  • Upside part of mean
    19.35270
  • Downside part of mean
    -21.52160
  • Upside SD
    3.22177
  • Downside SD
    2.75958
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05752
  • Mean of criterion
    -2.16896
  • SD of predictor
    0.12731
  • SD of criterion
    4.25622
  • Covariance
    0.24701
  • r
    0.45585
  • b (slope, estimate of beta)
    15.23990
  • a (intercept, estimate of alpha)
    -1.29236
  • Mean Square Error
    14.46220
  • DF error
    129.00000
  • t(b)
    5.81707
  • p(b)
    0.22018
  • t(a)
    -0.24021
  • p(a)
    0.51346
  • Lowerbound of 95% confidence interval for beta
    10.05640
  • Upperbound of 95% confidence interval for beta
    20.42330
  • Lowerbound of 95% confidence interval for alpha
    -11.93730
  • Upperbound of 95% confidence interval for alpha
    9.35260
  • Treynor index (mean / b)
    -0.14232
  • Jensen alpha (a)
    -1.29236
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -21.30000
  • SD
    10.29450
  • Sharpe ratio (Glass type estimate)
    -2.06905
  • Sharpe ratio (Hedges UMVUE)
    -2.05709
  • df
    130.00000
  • t
    -1.46304
  • p
    0.56364
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.84837
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.71802
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.84015
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.72597
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.11351
  • Upside Potential Ratio
    1.59303
  • Upside part of mean
    16.05450
  • Downside part of mean
    -37.35450
  • Upside SD
    2.30954
  • Downside SD
    10.07800
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.06559
  • Mean of criterion
    -21.30000
  • SD of predictor
    0.12761
  • SD of criterion
    10.29450
  • Covariance
    0.45811
  • r
    0.34873
  • b (slope, estimate of beta)
    28.13290
  • a (intercept, estimate of alpha)
    -19.45480
  • Mean Square Error
    93.81120
  • DF error
    129.00000
  • t(b)
    4.22608
  • p(b)
    0.28258
  • t(a)
    -1.41959
  • p(a)
    0.57875
  • VAR (95 Confidence Intrvl)
    0.55700
  • Lowerbound of 95% confidence interval for beta
    14.96190
  • Upperbound of 95% confidence interval for beta
    41.30390
  • Lowerbound of 95% confidence interval for alpha
    -46.56940
  • Upperbound of 95% confidence interval for alpha
    7.65990
  • Treynor index (mean / b)
    -0.75712
  • Jensen alpha (a)
    -19.45480
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.67613
  • Expected Shortfall on VaR
    0.74543
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.19705
  • Expected Shortfall on VaR
    0.38475
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00121
  • Quartile 1
    0.88611
  • Median
    0.99093
  • Quartile 3
    1.07737
  • Maximum
    2.38677
  • Mean of quarter 1
    0.72879
  • Mean of quarter 2
    0.94566
  • Mean of quarter 3
    1.03474
  • Mean of quarter 4
    1.25942
  • Inter Quartile Range
    0.19126
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.32686
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.83859
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32175
  • VaR(95%) (moments method)
    0.28508
  • Expected Shortfall (moments method)
    0.48444
  • Extreme Value Index (regression method)
    0.36902
  • VaR(95%) (regression method)
    0.27509
  • Expected Shortfall (regression method)
    0.48143
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01275
  • Quartile 1
    0.07592
  • Median
    0.13363
  • Quartile 3
    0.16102
  • Maximum
    0.99999
  • Mean of quarter 1
    0.04433
  • Mean of quarter 2
    0.13363
  • Mean of quarter 3
    0.16102
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.08510
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.99999
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -355748000
  • Max Equity Drawdown (num days)
    21
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99995
  • 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
    -1.00001
  • Compounded annual return / Expected Shortfall lognormal
    -1.34151

Strategy Description

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Summary Statistics

Strategy began
2025-04-10
Suggested Minimum Capital
$25,000
# Trades
66
# Profitable
47
% Profitable
71.2%
Correlation S&P500
0.326
Sharpe Ratio
0.88
Sortino Ratio
46.01
Beta
14.31
Alpha
0.00
Leverage
34.85 Average
852.40 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.