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This is an archived track record. This track record was archived on 3/13/20 18:03 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Stock Operator
(126205039)

Created by: Superbull Superbull
Started: 11/2019
Futures
Last trade: 28 days ago
Trading style: Futures Macro / Fundamental 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 $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.

Trading Category: Futures
Macro / Fundamental
Category: Equity

Macro / Fundamental

Predicts large-scale events related to national economies, history, and international relations. The strategy typically employs forecasts and analysis of interest rate trends, international trade and payments, political changes, government policies, inter-government relations, and other broad systemic factors.
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
10.0%
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.

(9.3%)
Max Drawdown
71
Num Trades
45.1%
Win Trades
1.8 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                      (1.4%)+8.0%+6.5%
2020+4.1%(1.9%)+1.1%  -                                                  +3.3%

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.

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 229 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/12/20 15:51 QMGCJ0 E-Micro Gold LONG 4 1576.3 3/13 9:47 1574.7 4.42%
Trade id #128014121
Max drawdown($1,446)
Time3/13/20 0:00
Quant open2
Worst price1504.0
Drawdown as % of equity-4.42%
($96)
Includes Typical Broker Commissions trade costs of $32.00
3/12/20 15:43 @MESM0 MICRO E-MINI S&P 500 SHORT 5 2499.15 3/12 15:49 2497.75 0.44%
Trade id #128013879
Max drawdown($146)
Time3/12/20 15:46
Quant open5
Worst price2505.00
Drawdown as % of equity-0.44%
$30
Includes Typical Broker Commissions trade costs of $4.70
1/30/20 14:51 QMGCJ0 E-Micro Gold LONG 9 1628.9 3/12 15:26 1623.2 7.7%
Trade id #127296748
Max drawdown($2,618)
Time2/28/20 0:00
Quant open4
Worst price1563.4
Drawdown as % of equity-7.70%
($583)
Includes Typical Broker Commissions trade costs of $72.00
3/12/20 12:22 @MYMH0 MICRO E-MINI DOW LONG 5 21397 3/12 12:41 21345 0.19%
Trade id #128008150
Max drawdown($65)
Time3/12/20 12:41
Quant open5
Worst price21371
Drawdown as % of equity-0.19%
($135)
Includes Typical Broker Commissions trade costs of $4.70
3/11/20 12:02 @MNQH0 MICRO E-MINI NASDAQ 100 SHORT 3 8079.75 3/11 12:04 8110.00 0.52%
Trade id #127976445
Max drawdown($182)
Time3/11/20 12:04
Quant open3
Worst price8110.00
Drawdown as % of equity-0.52%
($185)
Includes Typical Broker Commissions trade costs of $2.82
3/11/20 11:05 @QMJ0 MINY CRUDE OIL SHORT 2 33.350 3/11 11:39 33.450 0.57%
Trade id #127974841
Max drawdown($200)
Time3/11/20 11:35
Quant open2
Worst price33.550
Drawdown as % of equity-0.57%
($116)
Includes Typical Broker Commissions trade costs of $16.00
3/10/20 13:41 @MNQH0 MICRO E-MINI NASDAQ 100 SHORT 5 8096.75 3/10 14:33 8085.45 0.23%
Trade id #127952983
Max drawdown($82)
Time3/10/20 13:44
Quant open5
Worst price8105.00
Drawdown as % of equity-0.23%
$108
Includes Typical Broker Commissions trade costs of $4.70
3/10/20 12:47 @MNQH0 MICRO E-MINI NASDAQ 100 SHORT 7 8086.96 3/10 13:08 8088.21 0.65%
Trade id #127950733
Max drawdown($228)
Time3/10/20 12:57
Quant open5
Worst price8117.25
Drawdown as % of equity-0.65%
($25)
Includes Typical Broker Commissions trade costs of $6.58
3/9/20 9:52 @MESH0 MICRO E-MINI S&P 500 LONG 3 2763.08 3/9 14:05 2767.08 0.69%
Trade id #127918747
Max drawdown($248)
Time3/9/20 14:05
Quant open2
Worst price2738.25
Drawdown as % of equity-0.69%
$57
Includes Typical Broker Commissions trade costs of $2.82
3/6/20 15:26 @MNQH0 MICRO E-MINI NASDAQ 100 SHORT 5 8390.00 3/6 15:30 8395.25 0.38%
Trade id #127898199
Max drawdown($135)
Time3/6/20 15:27
Quant open5
Worst price8403.50
Drawdown as % of equity-0.38%
($58)
Includes Typical Broker Commissions trade costs of $4.70
3/6/20 12:53 @MNQH0 MICRO E-MINI NASDAQ 100 SHORT 3 8434.00 3/6 13:03 8431.67 0.03%
Trade id #127894663
Max drawdown($11)
Time3/6/20 13:03
Quant open2
Worst price8436.75
Drawdown as % of equity-0.03%
$11
Includes Typical Broker Commissions trade costs of $2.82
3/6/20 11:40 @MNQH0 MICRO E-MINI NASDAQ 100 SHORT 3 8466.25 3/6 12:45 8448.08 0.21%
Trade id #127892296
Max drawdown($75)
Time3/6/20 11:41
Quant open3
Worst price8478.75
Drawdown as % of equity-0.21%
$106
Includes Typical Broker Commissions trade costs of $2.82
3/6/20 10:46 @MNQH0 MICRO E-MINI NASDAQ 100 SHORT 5 8516.35 3/6 10:50 8540.00 0.57%
Trade id #127890548
Max drawdown($201)
Time3/6/20 10:48
Quant open5
Worst price8536.50
Drawdown as % of equity-0.57%
($242)
Includes Typical Broker Commissions trade costs of $4.70
3/5/20 13:59 @MNQH0 MICRO E-MINI NASDAQ 100 SHORT 7 8706.32 3/5 20:50 8665.11 0.24%
Trade id #127874608
Max drawdown($85)
Time3/5/20 14:00
Quant open5
Worst price8723.00
Drawdown as % of equity-0.24%
$570
Includes Typical Broker Commissions trade costs of $6.58
3/3/20 10:49 @M6EH0 E-MICRO EUR/USD SHORT 10 1.1189 3/5 11:43 1.1166 0.35%
Trade id #127827425
Max drawdown($122)
Time3/3/20 14:09
Quant open7
Worst price1.1203
Drawdown as % of equity-0.35%
$283
Includes Typical Broker Commissions trade costs of $5.00
3/5/20 9:47 @MYMH0 MICRO E-MINI DOW SHORT 6 26349 3/5 10:14 26338 0.28%
Trade id #127868296
Max drawdown($97)
Time3/5/20 9:48
Quant open5
Worst price26404
Drawdown as % of equity-0.28%
$27
Includes Typical Broker Commissions trade costs of $5.64
3/4/20 9:47 @MNQH0 MICRO E-MINI NASDAQ 100 LONG 5 8714.75 3/4 9:49 8696.05 0.25%
Trade id #127846480
Max drawdown($87)
Time3/4/20 9:49
Quant open5
Worst price8706.00
Drawdown as % of equity-0.25%
($192)
Includes Typical Broker Commissions trade costs of $4.70
3/3/20 11:07 @MYMH0 MICRO E-MINI DOW SHORT 1 26560 3/3 11:10 26499 0.03%
Trade id #127827976
Max drawdown($11)
Time3/3/20 11:08
Quant open1
Worst price26583
Drawdown as % of equity-0.03%
$30
Includes Typical Broker Commissions trade costs of $0.94
3/3/20 9:48 @MNQH0 MICRO E-MINI NASDAQ 100 SHORT 5 8810.60 3/3 10:00 8785.50 0.42%
Trade id #127824707
Max drawdown($141)
Time3/3/20 9:50
Quant open5
Worst price8824.75
Drawdown as % of equity-0.42%
$246
Includes Typical Broker Commissions trade costs of $4.70
3/2/20 10:30 @MYMH0 MICRO E-MINI DOW LONG 15 25499 3/2 10:40 25566 1.2%
Trade id #127804274
Max drawdown($395)
Time3/2/20 10:32
Quant open15
Worst price25447
Drawdown as % of equity-1.20%
$485
Includes Typical Broker Commissions trade costs of $14.10
3/2/20 9:48 @MNQH0 MICRO E-MINI NASDAQ 100 LONG 5 8542.00 3/2 9:53 8532.00 0.63%
Trade id #127803214
Max drawdown($205)
Time3/2/20 9:53
Quant open5
Worst price8521.50
Drawdown as % of equity-0.63%
($105)
Includes Typical Broker Commissions trade costs of $4.70
2/27/20 16:57 @MESH0 MICRO E-MINI S&P 500 LONG 5 2952.70 2/27 22:23 2945.00 1.25%
Trade id #127751679
Max drawdown($430)
Time2/27/20 18:03
Quant open5
Worst price2935.50
Drawdown as % of equity-1.25%
($198)
Includes Typical Broker Commissions trade costs of $4.70
2/27/20 10:14 @MYMH0 MICRO E-MINI DOW SHORT 10 26338 2/27 10:34 26222 0.08%
Trade id #127742447
Max drawdown($27)
Time2/27/20 10:15
Quant open10
Worst price26344
Drawdown as % of equity-0.08%
$574
Includes Typical Broker Commissions trade costs of $9.40
2/27/20 10:04 @MNQH0 MICRO E-MINI NASDAQ 100 LONG 10 8644.67 2/27 10:10 8650.48 0.29%
Trade id #127741854
Max drawdown($98)
Time2/27/20 10:08
Quant open10
Worst price8639.75
Drawdown as % of equity-0.29%
$107
Includes Typical Broker Commissions trade costs of $9.40
2/26/20 15:26 @MYMH0 MICRO E-MINI DOW SHORT 10 26955 2/26 15:54 26996 1.13%
Trade id #127728338
Max drawdown($382)
Time2/26/20 15:51
Quant open10
Worst price27032
Drawdown as % of equity-1.13%
($216)
Includes Typical Broker Commissions trade costs of $9.40
2/26/20 15:02 @MYMH0 MICRO E-MINI DOW SHORT 5 26934 2/26 15:10 26982 0.4%
Trade id #127727888
Max drawdown($135)
Time2/26/20 15:05
Quant open5
Worst price26988
Drawdown as % of equity-0.40%
($125)
Includes Typical Broker Commissions trade costs of $4.70
2/26/20 13:29 @MNQH0 MICRO E-MINI NASDAQ 100 LONG 2 8925.38 2/26 13:34 8885.00 0.47%
Trade id #127725774
Max drawdown($159)
Time2/26/20 13:34
Quant open2
Worst price8885.50
Drawdown as % of equity-0.47%
($164)
Includes Typical Broker Commissions trade costs of $1.88
2/26/20 9:56 @MNQH0 MICRO E-MINI NASDAQ 100 SHORT 5 8960.20 2/26 10:14 8953.00 0.27%
Trade id #127720090
Max drawdown($93)
Time2/26/20 9:57
Quant open5
Worst price8969.50
Drawdown as % of equity-0.27%
$67
Includes Typical Broker Commissions trade costs of $4.70
2/25/20 10:03 @MYMH0 MICRO E-MINI DOW SHORT 2 28033 2/25 10:27 27889 0%
Trade id #127697300
Max drawdown($1)
Time2/25/20 10:04
Quant open2
Worst price28034
Drawdown as % of equity-0.00%
$142
Includes Typical Broker Commissions trade costs of $1.88
2/25/20 9:16 @MESH0 MICRO E-MINI S&P 500 SHORT 5 3236.70 2/25 10:01 3232.15 0.33%
Trade id #127695762
Max drawdown($112)
Time2/25/20 9:31
Quant open3
Worst price3247.50
Drawdown as % of equity-0.33%
$109
Includes Typical Broker Commissions trade costs of $4.70

Statistics

  • Strategy began
    11/14/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    147.69
  • Age
    148 days ago
  • What it trades
    Futures
  • # Trades
    71
  • # Profitable
    32
  • % Profitable
    45.10%
  • Avg trade duration
    1.6 days
  • Max peak-to-valley drawdown
    9.34%
  • drawdown period
    March 09, 2020 - March 12, 2020
  • Cumul. Return
    10.0%
  • Avg win
    $291.03
  • Avg loss
    $131.21
  • Model Account Values (Raw)
  • Cash
    $34,196
  • Margin Used
    $0
  • Buying Power
    $34,196
  • Ratios
  • W:L ratio
    1.82:1
  • Sharpe Ratio
    1.36
  • Sortino Ratio
    1.89
  • Calmar Ratio
    5.958
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    19.93%
  • Correlation to SP500
    0.05940
  • Return Percent SP500 (cumu) during strategy life
    -9.91%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    26.0%
  • Slump
  • Current Slump as Pcnt Equity
    0.09%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.20%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.100%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    38.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    383
  • Popularity (Last 6 weeks)
    885
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    557
  • 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 Loss
    $131
  • Avg Win
    $291
  • Sum Trade PL (losers)
    $5,117.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $9,313.000
  • # Winners
    32
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    39
  • % Winners
    45.1%
  • Frequency
  • Avg Position Time (mins)
    2308.32
  • Avg Position Time (hrs)
    38.47
  • Avg Trade Length
    1.6 days
  • Last Trade Ago
    28
  • Leverage
  • Daily leverage (average)
    2.43
  • Daily leverage (max)
    8.38
  • Regression
  • Alpha
    0.07
  • Beta
    0.02
  • Treynor Index
    3.56
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.94
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.819
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.295
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.775
  • Hold-and-Hope Ratio
    0.355
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37742
  • SD
    0.12610
  • Sharpe ratio (Glass type estimate)
    2.99304
  • Sharpe ratio (Hedges UMVUE)
    2.16577
  • df
    3.00000
  • t
    1.72803
  • p
    0.09122
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24736
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.93135
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64572
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.97726
  • Statistics related to Sortino ratio
  • Sortino ratio
    141.19700
  • Upside Potential Ratio
    142.92900
  • Upside part of mean
    0.38205
  • Downside part of mean
    -0.00463
  • Upside SD
    0.15424
  • Downside SD
    0.00267
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.63493
  • Mean of criterion
    0.37742
  • SD of predictor
    0.55113
  • SD of criterion
    0.12610
  • Covariance
    0.02045
  • r
    0.29425
  • b (slope, estimate of beta)
    0.06733
  • a (intercept, estimate of alpha)
    0.42017
  • Mean Square Error
    0.02179
  • DF error
    2.00000
  • t(b)
    0.43541
  • p(b)
    0.35287
  • t(a)
    1.53426
  • p(a)
    0.13236
  • Lowerbound of 95% confidence interval for beta
    -0.59798
  • Upperbound of 95% confidence interval for beta
    0.73263
  • Lowerbound of 95% confidence interval for alpha
    -0.75815
  • Upperbound of 95% confidence interval for alpha
    1.59849
  • Treynor index (mean / b)
    5.60591
  • Jensen alpha (a)
    0.42017
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36527
  • SD
    0.12055
  • Sharpe ratio (Glass type estimate)
    3.02990
  • Sharpe ratio (Hedges UMVUE)
    2.19244
  • df
    3.00000
  • t
    1.74932
  • p
    0.08927
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.22650
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.98349
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.62880
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.01368
  • Statistics related to Sortino ratio
  • Sortino ratio
    136.86200
  • Upside Potential Ratio
    138.59400
  • Upside part of mean
    0.36989
  • Downside part of mean
    -0.00462
  • Upside SD
    0.14836
  • Downside SD
    0.00267
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    -0.79482
  • Mean of criterion
    0.36527
  • SD of predictor
    0.63980
  • SD of criterion
    0.12055
  • Covariance
    0.02143
  • r
    0.27785
  • b (slope, estimate of beta)
    0.05235
  • a (intercept, estimate of alpha)
    0.40688
  • Mean Square Error
    0.02012
  • DF error
    2.00000
  • t(b)
    0.40904
  • p(b)
    0.36108
  • t(a)
    1.53022
  • p(a)
    0.13280
  • Lowerbound of 95% confidence interval for beta
    -0.49834
  • Upperbound of 95% confidence interval for beta
    0.60305
  • Lowerbound of 95% confidence interval for alpha
    -0.73717
  • Upperbound of 95% confidence interval for alpha
    1.55092
  • Treynor index (mean / b)
    6.97696
  • Jensen alpha (a)
    0.40688
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02645
  • Expected Shortfall on VaR
    0.04042
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00055
  • Expected Shortfall on VaR
    0.00121
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    1.00078
  • Quartile 1
    1.01649
  • Median
    1.02432
  • Quartile 3
    1.04162
  • Maximum
    1.08569
  • Mean of quarter 1
    1.00078
  • Mean of quarter 2
    1.02172
  • Mean of quarter 3
    1.02693
  • Mean of quarter 4
    1.08569
  • Inter Quartile Range
    0.02513
  • 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
    0.25000
  • Mean of outliers high
    1.08569
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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)
    0.42010
  • Compounded annual return (geometric extrapolation)
    0.48167
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    11.91600
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31568
  • SD
    0.14192
  • Sharpe ratio (Glass type estimate)
    2.22434
  • Sharpe ratio (Hedges UMVUE)
    2.20795
  • df
    102.00000
  • t
    1.39466
  • p
    0.43160
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92170
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.35975
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93264
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.34853
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.27908
  • Upside Potential Ratio
    8.76910
  • Upside part of mean
    0.84421
  • Downside part of mean
    -0.52853
  • Upside SD
    0.10516
  • Downside SD
    0.09627
  • N nonnegative terms
    48.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    103.00000
  • Mean of predictor
    -0.17929
  • Mean of criterion
    0.31568
  • SD of predictor
    0.47735
  • SD of criterion
    0.14192
  • Covariance
    0.00103
  • r
    0.01526
  • b (slope, estimate of beta)
    0.00454
  • a (intercept, estimate of alpha)
    0.31600
  • Mean Square Error
    0.02034
  • DF error
    101.00000
  • t(b)
    0.15335
  • p(b)
    0.43921
  • t(a)
    1.39117
  • p(a)
    0.08362
  • Lowerbound of 95% confidence interval for beta
    -0.05414
  • Upperbound of 95% confidence interval for beta
    0.06321
  • Lowerbound of 95% confidence interval for alpha
    -0.13481
  • Upperbound of 95% confidence interval for alpha
    0.76779
  • Treynor index (mean / b)
    69.59090
  • Jensen alpha (a)
    0.31649
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30546
  • SD
    0.14223
  • Sharpe ratio (Glass type estimate)
    2.14760
  • Sharpe ratio (Hedges UMVUE)
    2.13177
  • df
    102.00000
  • t
    1.34655
  • p
    0.43392
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99728
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.28216
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.00782
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.27137
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.12870
  • Upside Potential Ratio
    8.58991
  • Upside part of mean
    0.83865
  • Downside part of mean
    -0.53319
  • Upside SD
    0.10420
  • Downside SD
    0.09763
  • N nonnegative terms
    48.00000
  • N negative terms
    55.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    103.00000
  • Mean of predictor
    -0.29331
  • Mean of criterion
    0.30546
  • SD of predictor
    0.48107
  • SD of criterion
    0.14223
  • Covariance
    0.00192
  • r
    0.02801
  • b (slope, estimate of beta)
    0.00828
  • a (intercept, estimate of alpha)
    0.30789
  • Mean Square Error
    0.02041
  • DF error
    101.00000
  • t(b)
    0.28161
  • p(b)
    0.38941
  • t(a)
    1.35015
  • p(a)
    0.08999
  • Lowerbound of 95% confidence interval for beta
    -0.05006
  • Upperbound of 95% confidence interval for beta
    0.06662
  • Lowerbound of 95% confidence interval for alpha
    -0.14448
  • Upperbound of 95% confidence interval for alpha
    0.76027
  • Treynor index (mean / b)
    36.88490
  • Jensen alpha (a)
    0.30789
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01320
  • Expected Shortfall on VaR
    0.01681
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00472
  • Expected Shortfall on VaR
    0.01037
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    103.00000
  • Minimum
    0.96285
  • Quartile 1
    0.99950
  • Median
    1.00000
  • Quartile 3
    1.00441
  • Maximum
    1.03115
  • Mean of quarter 1
    0.99225
  • Mean of quarter 2
    0.99998
  • Mean of quarter 3
    1.00192
  • Mean of quarter 4
    1.01112
  • Inter Quartile Range
    0.00492
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.08738
  • Mean of outliers low
    0.98373
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.09709
  • Mean of outliers high
    1.01787
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.05707
  • VaR(95%) (moments method)
    0.00304
  • Expected Shortfall (moments method)
    0.00439
  • Extreme Value Index (regression method)
    0.03885
  • VaR(95%) (regression method)
    0.00666
  • Expected Shortfall (regression method)
    0.01070
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00054
  • Quartile 1
    0.00350
  • Median
    0.01583
  • Quartile 3
    0.03529
  • Maximum
    0.06640
  • Mean of quarter 1
    0.00201
  • Mean of quarter 2
    0.00637
  • Mean of quarter 3
    0.02798
  • Mean of quarter 4
    0.05347
  • Inter Quartile Range
    0.03179
  • 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)
    0.35620
  • Compounded annual return (geometric extrapolation)
    0.39566
  • Calmar ratio (compounded annual return / max draw down)
    5.95837
  • Compounded annual return / average of 25% largest draw downs
    7.39907
  • Compounded annual return / Expected Shortfall lognormal
    23.53530
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.01300
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -334896000
  • Max Equity Drawdown (num days)
    3

Strategy Description

- 10+ years trading experience
- Futures trading with own money (TOS)
- Risk no more than 1% for each position
- Stop loss is placed when a position is opened, subscribers should receive notification

Deep Value (top 1%): https://collective2.com/details/125319676
Daily Scalp (C2Star certified): https://collective2.com/details/126079605

Summary Statistics

Strategy began
2019-11-14
Suggested Minimum Capital
$35,000
# Trades
71
# Profitable
32
% Profitable
45.1%
Correlation S&P500
0.059
Sharpe Ratio
1.36
Sortino Ratio
1.89
Beta
0.02
Alpha
0.07
Leverage
2.43 Average
8.38 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.