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C2Star Applicant 126149296
(126149296)

Created by: ZengYong ZengYong
Started: 11/2019
Futures
Last trade: Today

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 $125.00 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.

14.4%
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.

(5.0%)
Max Drawdown
76
Num Trades
52.6%
Win Trades
2.1 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                      +1.0%+12.2%+13.3%
2020+0.9%                                                                  +0.9%

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 38 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/17/20 3:40 QHGH0 Copper LONG 1 287.10 1/17 5:53 286.80 0.25%
Trade id #127058586
Max drawdown($112)
Time1/17/20 4:38
Quant open1
Worst price286.65
Drawdown as % of equity-0.25%
($83)
Includes Typical Broker Commissions trade costs of $8.00
1/15/20 10:14 @MNQH0 MICRO E-MINI NASDAQ 100 LONG 5 9079.85 1/15 11:49 9082.62 0.19%
Trade id #127011920
Max drawdown($88)
Time1/15/20 11:13
Quant open5
Worst price9071.00
Drawdown as % of equity-0.19%
$23
Includes Typical Broker Commissions trade costs of $4.70
1/10/20 11:40 QHGH0 Copper LONG 1 281.90 1/14 3:39 285.30 1.03%
Trade id #126947046
Max drawdown($462)
Time1/10/20 12:10
Quant open1
Worst price280.05
Drawdown as % of equity-1.03%
$842
Includes Typical Broker Commissions trade costs of $8.00
1/10/20 10:37 @JYH0 JAPANESE YEN SHORT 1 0.009153 1/10 11:26 0.009165 0.28%
Trade id #126945887
Max drawdown($125)
Time1/10/20 11:25
Quant open1
Worst price0.009163
Drawdown as % of equity-0.28%
($158)
Includes Typical Broker Commissions trade costs of $8.00
1/10/20 5:10 @JYH0 JAPANESE YEN SHORT 1 0.009151 1/10 9:38 0.009158 0.36%
Trade id #126942158
Max drawdown($162)
Time1/10/20 8:31
Quant open1
Worst price0.009164
Drawdown as % of equity-0.36%
($96)
Includes Typical Broker Commissions trade costs of $8.00
1/8/20 10:45 @MESH0 MICRO E-MINI S&P 500 LONG 6 3241.25 1/8 11:35 3248.08 0.2%
Trade id #126913644
Max drawdown($90)
Time1/8/20 10:50
Quant open6
Worst price3238.25
Drawdown as % of equity-0.20%
$199
Includes Typical Broker Commissions trade costs of $5.64
1/6/20 13:37 @MESH0 MICRO E-MINI S&P 500 SHORT 5 3237.50 1/6 15:53 3245.75 0.43%
Trade id #126884877
Max drawdown($193)
Time1/6/20 15:53
Quant open5
Worst price3245.25
Drawdown as % of equity-0.43%
($211)
Includes Typical Broker Commissions trade costs of $4.70
12/31/19 13:10 @ESH0 E-MINI S&P 500 SHORT 2 3219.00 1/6/20 13:36 3237.50 9.83%
Trade id #126805767
Max drawdown($4,450)
Time1/3/20 0:00
Quant open2
Worst price3263.50
Drawdown as % of equity-9.83%
($1,866)
Includes Typical Broker Commissions trade costs of $16.00
12/31/19 13:10 @ESM0 E-MINI S&P 500 LONG 2 3219.25 1/6/20 13:28 3237.00 2.26%
Trade id #126805765
Max drawdown($1,025)
Time1/3/20 0:00
Quant open2
Worst price3209.00
Drawdown as % of equity-2.26%
$1,759
Includes Typical Broker Commissions trade costs of $16.00
1/6/20 9:51 @MESH0 MICRO E-MINI S&P 500 SHORT 5 3227.00 1/6 10:11 3228.25 0.01%
Trade id #126881007
Max drawdown($6)
Time1/6/20 9:52
Quant open5
Worst price3227.25
Drawdown as % of equity-0.01%
($36)
Includes Typical Broker Commissions trade costs of $4.70
1/3/20 10:14 @TYH0 US T-NOTE 10 YR LONG 1 129 15/64 1/3 11:54 129 17/64 0.17%
Trade id #126852733
Max drawdown($77)
Time1/3/20 10:17
Quant open1
Worst price129 10/64
Drawdown as % of equity-0.17%
$24
Includes Typical Broker Commissions trade costs of $8.00
1/3/20 10:13 @YMH0 MINI DOW LONG 1 28614 1/3 10:16 28642 0.14%
Trade id #126852715
Max drawdown($65)
Time1/3/20 10:14
Quant open1
Worst price28601
Drawdown as % of equity-0.14%
$130
Includes Typical Broker Commissions trade costs of $8.00
1/2/20 10:15 QHGH0 Copper LONG 1 279.85 1/2 20:34 281.35 0.11%
Trade id #126832120
Max drawdown($50)
Time1/2/20 10:16
Quant open1
Worst price279.65
Drawdown as % of equity-0.11%
$367
Includes Typical Broker Commissions trade costs of $8.00
1/2/20 8:34 QHGH0 Copper LONG 1 280.55 1/2 9:03 279.75 0.36%
Trade id #126829451
Max drawdown($162)
Time1/2/20 9:03
Quant open1
Worst price279.90
Drawdown as % of equity-0.36%
($208)
Includes Typical Broker Commissions trade costs of $8.00
1/2/20 7:00 QHGH0 Copper LONG 1 280.95 1/2 8:15 280.15 0.39%
Trade id #126828286
Max drawdown($175)
Time1/2/20 8:15
Quant open1
Worst price280.25
Drawdown as % of equity-0.39%
($208)
Includes Typical Broker Commissions trade costs of $8.00
12/31/19 9:18 QHGH0 Copper LONG 2 280.95 12/31 12:59 279.70 1.26%
Trade id #126799927
Max drawdown($575)
Time12/31/19 12:59
Quant open2
Worst price279.80
Drawdown as % of equity-1.26%
($641)
Includes Typical Broker Commissions trade costs of $16.00
12/30/19 11:17 QHGH0 Copper LONG 1 282.30 12/31 7:59 280.30 1.45%
Trade id #126790438
Max drawdown($675)
Time12/31/19 0:00
Quant open1
Worst price279.60
Drawdown as % of equity-1.45%
($508)
Includes Typical Broker Commissions trade costs of $8.00
12/27/19 2:55 @TYH0 US T-NOTE 10 YR LONG 2 128 27/64 12/29 21:22 128 40/64 0.14%
Trade id #126763388
Max drawdown($62)
Time12/27/19 3:05
Quant open2
Worst price128 25/64
Drawdown as % of equity-0.14%
$390
Includes Typical Broker Commissions trade costs of $16.00
12/26/19 10:40 @TYH0 US T-NOTE 10 YR SHORT 1 128 20/64 12/26 13:28 128 28/64 0.24%
Trade id #126755922
Max drawdown($109)
Time12/26/19 13:21
Quant open1
Worst price128 27/64
Drawdown as % of equity-0.24%
($134)
Includes Typical Broker Commissions trade costs of $8.00
12/13/19 4:02 @TYH0 US T-NOTE 10 YR SHORT 2 128 26/64 12/13 9:08 128 49/64 1.13%
Trade id #126609695
Max drawdown($531)
Time12/13/19 9:08
Quant open2
Worst price128 43/64
Drawdown as % of equity-1.13%
($735)
Includes Typical Broker Commissions trade costs of $16.00
12/12/19 5:18 @TYH0 US T-NOTE 10 YR LONG 1.600000000 129 11/64 12/12 9:18 129 10/64 0.05%
Trade id #126591781
Max drawdown($25)
Time12/12/19 5:19
Quant open2
Worst price129 10/64
Drawdown as % of equity-0.05%
($38)
Includes Typical Broker Commissions trade costs of $12.80
12/12/19 7:52 XGH0 DAX INDEX SHORT 0.800000000 13156.50 12/12 8:00 13130.50 n/a $573
Includes Typical Broker Commissions trade costs of $6.40
12/12/19 5:24 XGH0 DAX INDEX SHORT 0.800000000 13172.00 12/12 5:27 13147.00 n/a $551
Includes Typical Broker Commissions trade costs of $6.40
12/12/19 3:17 @TYH0 US T-NOTE 10 YR SHORT 0.800000000 129 6/64 12/12 5:15 129 12/64 0.13%
Trade id #126591199
Max drawdown($60)
Time12/12/19 5:15
Quant open1
Worst price129 12/64
Drawdown as % of equity-0.13%
($81)
Includes Typical Broker Commissions trade costs of $6.40
12/12/19 3:36 XGH0 DAX INDEX LONG 0.800000000 13148.00 12/12 3:40 13170.00 n/a $484
Includes Typical Broker Commissions trade costs of $6.40
12/12/19 3:14 XGH0 DAX INDEX SHORT 0.800000000 13169.50 12/12 3:17 13158.50 n/a $239
Includes Typical Broker Commissions trade costs of $6.40
12/12/19 2:40 XGH0 DAX INDEX LONG 0.800000000 13143.00 12/12 3:00 13170.00 n/a $595
Includes Typical Broker Commissions trade costs of $6.40
12/11/19 8:30 @TYH0 US T-NOTE 10 YR LONG 1.600000000 128 59/64 12/12 1:57 129 11/64 0.09%
Trade id #126574820
Max drawdown($40)
Time12/11/19 8:31
Quant open2
Worst price128 57/64
Drawdown as % of equity-0.09%
$387
Includes Typical Broker Commissions trade costs of $12.80
12/11/19 7:18 @TYH0 US T-NOTE 10 YR LONG 1.600000000 128 63/64 12/11 8:27 128 57/64 0.18%
Trade id #126574215
Max drawdown($80)
Time12/11/19 8:12
Quant open2
Worst price128 59/64
Drawdown as % of equity-0.18%
($163)
Includes Typical Broker Commissions trade costs of $12.80
12/10/19 11:08 XGH0 DAX INDEX LONG 0.800000000 13036.00 12/10 11:29 13062.00 n/a $571
Includes Typical Broker Commissions trade costs of $6.40

Statistics

  • Strategy began
    11/11/2019
  • Suggested Minimum Cap
    $45,000
  • Strategy Age (days)
    67.85
  • Age
    68 days ago
  • What it trades
    Futures
  • # Trades
    76
  • # Profitable
    40
  • % Profitable
    52.60%
  • Avg trade duration
    7.7 hours
  • Max peak-to-valley drawdown
    4.96%
  • drawdown period
    Dec 12, 2019 - Jan 10, 2020
  • Cumul. Return
    14.4%
  • Avg win
    $342.77
  • Avg loss
    $181.00
  • Model Account Values (Raw)
  • Cash
    $47,195
  • Margin Used
    $0
  • Buying Power
    $47,195
  • Ratios
  • W:L ratio
    2.10:1
  • Sharpe Ratio
    4.06
  • Sortino Ratio
    10.81
  • Calmar Ratio
    54.42
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    6.55%
  • Correlation to SP500
    0.04330
  • Return Percent SP500 (cumu) during strategy life
    7.86%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    100.4%
  • Slump
  • Current Slump as Pcnt Equity
    0.03%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.144%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.54%
  • Instruments
  • Percent Trades Stocks
    n/a
  • Short Options - Percent Covered
    100.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    140.4%
  • 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
  • Automation
  • Percentage Signals Automated
    10000.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Popularity
  • Popularity (Today)
    500
  • Popularity (Last 6 weeks)
    912
  • Popularity (7 days, Percentile 1000 scale)
    816
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    749
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $343
  • Avg Loss
    $181
  • Sum Trade PL (losers)
    $6,516.000
  • # Winners
    40
  • Num Months Winners
    3
  • Age
  • Num Months filled monthly returns table
    3
  • AUM
  • AUM (AutoTrader num accounts)
    3
  • Win / Loss
  • Sum Trade PL (winners)
    $13,711.000
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    138415
  • Win / Loss
  • # Losers
    36
  • % Winners
    52.6%
  • Frequency
  • Avg Position Time (mins)
    460.52
  • Avg Position Time (hrs)
    7.67
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    7.40
  • Daily leverage (max)
    20.22
  • Regression
  • Alpha
    0.20
  • Beta
    0.09
  • Treynor Index
    2.34
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.47
  • Avg(MAE) / Avg(PL) - All trades
    -5.186
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.474
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.327
  • Hold-and-Hope Ratio
    -0.192
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    1.09300
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.01300
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -260135000
  • Max Equity Drawdown (num days)
    29
  • Last 4 Months - Pcnt Negative
    n/a

Strategy Description

Summary Statistics

Strategy began
2019-11-11
Suggested Minimum Capital
$45,000
# Trades
76
# Profitable
40
% Profitable
52.6%
Correlation S&P500
0.043
Sharpe Ratio
4.06
Sortino Ratio
10.81
Beta
0.09
Alpha
0.20
Leverage
7.40 Average
20.22 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

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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.