Collective2 Collective2
Featured Strategy S2Prox0 Followed by live capital $148,000 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Florida Retirement Fund
(127002081)

Created by: TonySchwartz TonySchwartz
Started: 01/2020
Futures
Last trade: 1,516 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 $400.00 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.
-
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(100.0%)
Max Drawdown
62
Num Trades
93.5%
Win Trades
0.1 : 1
Profit Factor
0.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020(22.9%)(111.3%)  -    -    -    -    -    -    -    -    -    -  (108.7%)
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

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 201 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/24/20 10:04 @ESH0 E-MINI S&P 500 LONG 16 3321.38 2/28 10:27 2959.50 6938.96%
Trade id #127200830
Max drawdown($231,206)
Time2/28/20 1:28
Quant open11
Worst price2901.00
Drawdown as % of equity6938.96%
 ($289,628)
Includes Typical Broker Commissions trade costs of $128.00
1/24/20 9:40 @ESH0 E-MINI S&P 500 LONG 5 3328.50 1/24 9:59 3329.25 0.3%
Trade id #127200067
Max drawdown($812)
Time1/24/20 9:49
Quant open5
Worst price3325.25
Drawdown as % of equity-0.30%
 $148
Includes Typical Broker Commissions trade costs of $40.00
1/23/20 21:32 @ESH0 E-MINI S&P 500 SHORT 15 3329.08 1/24 9:32 3331.75 1.91%
Trade id #127194872
Max drawdown($5,125)
Time1/24/20 0:00
Quant open10
Worst price3337.00
Drawdown as % of equity-1.91%
 ($2,120)
Includes Typical Broker Commissions trade costs of $120.00
1/23/20 18:26 @ESH0 E-MINI S&P 500 SHORT 10 3328.00 1/23 19:47 3327.50 0.51%
Trade id #127193809
Max drawdown($1,375)
Time1/23/20 19:01
Quant open10
Worst price3330.75
Drawdown as % of equity-0.51%
 $170
Includes Typical Broker Commissions trade costs of $80.00
1/23/20 18:19 @ESH0 E-MINI S&P 500 SHORT 5 3328.71 1/23 18:23 3328.00 n/a $137
Includes Typical Broker Commissions trade costs of $40.00
1/22/20 10:51 @ESH0 E-MINI S&P 500 LONG 24 3331.04 1/23 18:02 3331.75 14.21%
Trade id #127144533
Max drawdown($35,750)
Time1/23/20 0:00
Quant open24
Worst price3301.25
Drawdown as % of equity-14.21%
 $658
Includes Typical Broker Commissions trade costs of $192.00
1/22/20 10:30 @ESH0 E-MINI S&P 500 SHORT 18 3335.22 1/22 10:50 3334.05 0.76%
Trade id #127142696
Max drawdown($2,050)
Time1/22/20 10:44
Quant open18
Worst price3337.50
Drawdown as % of equity-0.76%
 $915
Includes Typical Broker Commissions trade costs of $144.00
1/22/20 9:59 @ESH0 E-MINI S&P 500 LONG 14 3334.39 1/22 10:26 3335.00 1.02%
Trade id #127141785
Max drawdown($2,725)
Time1/22/20 10:07
Quant open14
Worst price3330.50
Drawdown as % of equity-1.02%
 $313
Includes Typical Broker Commissions trade costs of $112.00
1/22/20 9:52 @ESH0 E-MINI S&P 500 LONG 6 3334.00 1/22 9:59 3335.00 0.11%
Trade id #127141611
Max drawdown($300)
Time1/22/20 9:53
Quant open6
Worst price3333.00
Drawdown as % of equity-0.11%
 $252
Includes Typical Broker Commissions trade costs of $48.00
1/22/20 9:51 @ESH0 E-MINI S&P 500 SHORT 5 3333.92 1/22 9:51 3333.00 n/a $189
Includes Typical Broker Commissions trade costs of $40.00
1/22/20 9:43 @ESH0 E-MINI S&P 500 LONG 10 3334.70 1/22 9:50 3335.48 0.18%
Trade id #127141274
Max drawdown($475)
Time1/22/20 9:47
Quant open10
Worst price3333.75
Drawdown as % of equity-0.18%
 $309
Includes Typical Broker Commissions trade costs of $80.00
1/22/20 9:39 @ESH0 E-MINI S&P 500 LONG 8 3333.75 1/22 9:42 3334.75 0.11%
Trade id #127141168
Max drawdown($300)
Time1/22/20 9:40
Quant open8
Worst price3333.00
Drawdown as % of equity-0.11%
 $336
Includes Typical Broker Commissions trade costs of $64.00
1/22/20 9:37 @ESH0 E-MINI S&P 500 LONG 6 3332.75 1/22 9:39 3333.96 0.06%
Trade id #127141121
Max drawdown($150)
Time1/22/20 9:38
Quant open6
Worst price3332.25
Drawdown as % of equity-0.06%
 $316
Includes Typical Broker Commissions trade costs of $48.00
1/22/20 9:30 @ESH0 E-MINI S&P 500 LONG 6 3330.46 1/22 9:35 3332.21 0.28%
Trade id #127140752
Max drawdown($739)
Time1/22/20 9:32
Quant open6
Worst price3328.00
Drawdown as % of equity-0.28%
 $477
Includes Typical Broker Commissions trade costs of $48.00
1/21/20 21:32 @ESH0 E-MINI S&P 500 SHORT 22 3330.92 1/22 9:26 3330.91 2.58%
Trade id #127135386
Max drawdown($6,784)
Time1/22/20 0:00
Quant open20
Worst price3337.50
Drawdown as % of equity-2.58%
 ($161)
Includes Typical Broker Commissions trade costs of $176.00
1/21/20 21:28 @ESH0 E-MINI S&P 500 SHORT 6 3328.50 1/21 21:29 3327.63 0.03%
Trade id #127135357
Max drawdown($75)
Time1/21/20 21:29
Quant open6
Worst price3328.75
Drawdown as % of equity-0.03%
 $212
Includes Typical Broker Commissions trade costs of $48.00
1/21/20 20:41 @ESH0 E-MINI S&P 500 LONG 10 3324.70 1/21 21:02 3325.11 0.18%
Trade id #127135089
Max drawdown($475)
Time1/21/20 20:52
Quant open10
Worst price3323.75
Drawdown as % of equity-0.18%
 $127
Includes Typical Broker Commissions trade costs of $80.00
1/21/20 12:43 @ESH0 E-MINI S&P 500 LONG 30 3326.08 1/21 20:30 3325.77 4.81%
Trade id #127127482
Max drawdown($12,587)
Time1/21/20 14:02
Quant open25
Worst price3316.25
Drawdown as % of equity-4.81%
 ($703)
Includes Typical Broker Commissions trade costs of $240.00
1/21/20 11:57 @ESH0 E-MINI S&P 500 LONG 20 3328.13 1/21 12:32 3328.61 0.46%
Trade id #127123138
Max drawdown($1,227)
Time1/21/20 12:02
Quant open15
Worst price3326.75
Drawdown as % of equity-0.46%
 $320
Includes Typical Broker Commissions trade costs of $160.00
1/21/20 11:50 @ESH0 E-MINI S&P 500 LONG 10 3327.25 1/21 11:51 3327.88 0.05%
Trade id #127122753
Max drawdown($125)
Time1/21/20 11:51
Quant open10
Worst price3327.00
Drawdown as % of equity-0.05%
 $233
Includes Typical Broker Commissions trade costs of $80.00
1/21/20 11:21 @ESH0 E-MINI S&P 500 LONG 10 3325.50 1/21 11:32 3326.12 0.24%
Trade id #127121709
Max drawdown($625)
Time1/21/20 11:27
Quant open10
Worst price3324.25
Drawdown as % of equity-0.24%
 $233
Includes Typical Broker Commissions trade costs of $80.00
1/19/20 19:00 @ESH0 E-MINI S&P 500 LONG 22 3327.97 1/21 11:11 3323.00 8.91%
Trade id #127093960
Max drawdown($22,787)
Time1/21/20 3:34
Quant open22
Worst price3307.25
Drawdown as % of equity-8.91%
 ($5,639)
Includes Typical Broker Commissions trade costs of $176.00
1/19/20 18:40 @ESH0 E-MINI S&P 500 LONG 20 3326.00 1/19 18:51 3326.47 0.18%
Trade id #127093902
Max drawdown($500)
Time1/19/20 18:46
Quant open20
Worst price3325.50
Drawdown as % of equity-0.18%
 $307
Includes Typical Broker Commissions trade costs of $160.00
1/19/20 18:00 @ESH0 E-MINI S&P 500 LONG 20 3324.00 1/19 18:32 3325.64 0.28%
Trade id #127093681
Max drawdown($750)
Time1/19/20 18:01
Quant open20
Worst price3323.25
Drawdown as % of equity-0.28%
 $1,481
Includes Typical Broker Commissions trade costs of $160.00
1/17/20 14:36 @ESH0 E-MINI S&P 500 LONG 25 3324.51 1/17 14:57 3324.75 0.58%
Trade id #127081765
Max drawdown($1,571)
Time1/17/20 14:46
Quant open25
Worst price3323.25
Drawdown as % of equity-0.58%
 $104
Includes Typical Broker Commissions trade costs of $200.00
1/17/20 14:24 @ESH0 E-MINI S&P 500 LONG 20 3324.50 1/17 14:34 3325.00 0.09%
Trade id #127081418
Max drawdown($250)
Time1/17/20 14:25
Quant open20
Worst price3324.25
Drawdown as % of equity-0.09%
 $340
Includes Typical Broker Commissions trade costs of $160.00
1/17/20 14:15 @ESH0 E-MINI S&P 500 SHORT 23 3325.79 1/17 14:20 3325.63 0.2%
Trade id #127080341
Max drawdown($527)
Time1/17/20 14:17
Quant open23
Worst price3326.25
Drawdown as % of equity-0.20%
 ($2)
Includes Typical Broker Commissions trade costs of $184.00
1/17/20 13:23 @ESH0 E-MINI S&P 500 LONG 23 3324.82 1/17 13:50 3325.12 0.46%
Trade id #127074811
Max drawdown($1,227)
Time1/17/20 13:43
Quant open23
Worst price3323.75
Drawdown as % of equity-0.46%
 $161
Includes Typical Broker Commissions trade costs of $184.00
1/17/20 12:41 @ESH0 E-MINI S&P 500 LONG 20 3324.75 1/17 13:10 3325.25 0.56%
Trade id #127073119
Max drawdown($1,500)
Time1/17/20 13:01
Quant open20
Worst price3323.25
Drawdown as % of equity-0.56%
 $340
Includes Typical Broker Commissions trade costs of $160.00
1/17/20 10:30 @ESH0 E-MINI S&P 500 LONG 23 3324.54 1/17 12:28 3326.10 2.4%
Trade id #127064595
Max drawdown($6,375)
Time1/17/20 11:24
Quant open23
Worst price3319.00
Drawdown as % of equity-2.40%
 $1,608
Includes Typical Broker Commissions trade costs of $184.00
Next

Statistics

  • Strategy began
    1/14/2020
  • Suggested Minimum Cap
    $250,000
  • Strategy Age (days)
    1557.25
  • Age
    52 months ago
  • What it trades
    Futures
  • # Trades
    62
  • # Profitable
    58
  • % Profitable
    93.50%
  • Avg trade duration
    15.6 hours
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Feb 28, 2020 - Feb 28, 2020
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $574.36
  • Avg loss
    $74,356
  • Model Account Values (Raw)
  • Cash
    ($14,117)
  • Margin Used
    $0
  • Buying Power
    ($14,117)
  • Ratios
  • W:L ratio
    0.11:1
  • Sharpe Ratio
    -4.08
  • Sortino Ratio
    -4.01
  • Calmar Ratio
    -1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -159.99%
  • Correlation to SP500
    0.79320
  • Return Percent SP500 (cumu) during strategy life
    52.62%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.98%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $74,356
  • Avg Win
    $574
  • Sum Trade PL (losers)
    $297,426.000
  • Age
  • Num Months filled monthly returns table
    2
  • Win / Loss
  • Sum Trade PL (winners)
    $33,313.000
  • # Winners
    58
  • Num Months Winners
    0
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    4
  • % Winners
    93.5%
  • Frequency
  • Avg Position Time (mins)
    938.45
  • Avg Position Time (hrs)
    15.64
  • Avg Trade Length
    0.7 days
  • Last Trade Ago
    1513
  • Leverage
  • Daily leverage (average)
    43.61
  • Daily leverage (max)
    726.78
  • Regression
  • Alpha
    0.00
  • Beta
    7.48
  • Treynor Index
    0.00
  • 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)
    9.54
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    -1.403
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    3.107
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.913
  • Hold-and-Hope Ratio
    -0.713
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.83684
  • SD
    1.10463
  • Sharpe ratio (Glass type estimate)
    -0.75758
  • Sharpe ratio (Hedges UMVUE)
    -0.69905
  • df
    10.00000
  • t
    -0.72533
  • p
    0.75756
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.81259
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.33373
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.76896
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.37086
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.79934
  • Upside Potential Ratio
    0.26694
  • Upside part of mean
    0.27946
  • Downside part of mean
    -1.11631
  • Upside SD
    0.26757
  • Downside SD
    1.04692
  • N nonnegative terms
    1.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.65328
  • Mean of criterion
    -0.83684
  • SD of predictor
    0.57954
  • SD of criterion
    1.10463
  • Covariance
    0.46332
  • r
    0.72374
  • b (slope, estimate of beta)
    1.37947
  • a (intercept, estimate of alpha)
    -1.73803
  • Mean Square Error
    0.64563
  • DF error
    9.00000
  • t(b)
    3.14634
  • p(b)
    0.00590
  • t(a)
    -1.95995
  • p(a)
    0.95917
  • Lowerbound of 95% confidence interval for beta
    0.38766
  • Upperbound of 95% confidence interval for beta
    2.37129
  • Lowerbound of 95% confidence interval for alpha
    -3.74404
  • Upperbound of 95% confidence interval for alpha
    0.26799
  • Treynor index (mean / b)
    -0.60664
  • Jensen alpha (a)
    -1.73803
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -13.58710
  • SD
    13.24820
  • Sharpe ratio (Glass type estimate)
    -1.02558
  • Sharpe ratio (Hedges UMVUE)
    -0.94635
  • df
    10.00000
  • t
    -0.98191
  • p
    0.82535
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.09611
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.09313
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.03505
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.14236
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.02742
  • Upside Potential Ratio
    0.01877
  • Upside part of mean
    0.24829
  • Downside part of mean
    -13.83530
  • Upside SD
    0.23772
  • Downside SD
    13.22450
  • N nonnegative terms
    1.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.47497
  • Mean of criterion
    -13.58710
  • SD of predictor
    0.61823
  • SD of criterion
    13.24820
  • Covariance
    6.87251
  • r
    0.83909
  • b (slope, estimate of beta)
    17.98090
  • a (intercept, estimate of alpha)
    -22.12750
  • Mean Square Error
    57.71210
  • DF error
    9.00000
  • t(b)
    4.62733
  • p(b)
    0.00062
  • t(a)
    -2.71620
  • p(a)
    0.98812
  • Lowerbound of 95% confidence interval for beta
    9.19061
  • Upperbound of 95% confidence interval for beta
    26.77130
  • Lowerbound of 95% confidence interval for alpha
    -40.55610
  • Upperbound of 95% confidence interval for alpha
    -3.69886
  • Treynor index (mean / b)
    -0.75564
  • Jensen alpha (a)
    -22.12750
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99940
  • Expected Shortfall on VaR
    0.99978
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.30571
  • Expected Shortfall on VaR
    0.64651
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.25850
  • Mean of quarter 1
    0.66667
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.08617
  • Inter Quartile Range
    0.00000
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.09091
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.09091
  • Mean of outliers high
    1.25850
  • 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
    1.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • 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)
    -1.09090
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.00022
  • 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
    -2.21619
  • SD
    1.26962
  • Sharpe ratio (Glass type estimate)
    -1.74555
  • Sharpe ratio (Hedges UMVUE)
    -1.74009
  • df
    240.00000
  • t
    -1.67413
  • p
    0.95230
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.79330
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.30576
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.78958
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.30940
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.77016
  • Upside Potential Ratio
    0.57947
  • Upside part of mean
    0.72548
  • Downside part of mean
    -2.94167
  • Upside SD
    0.23784
  • Downside SD
    1.25197
  • N nonnegative terms
    16.00000
  • N negative terms
    225.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    241.00000
  • Mean of predictor
    0.58191
  • Mean of criterion
    -2.21619
  • SD of predictor
    0.47098
  • SD of criterion
    1.26962
  • Covariance
    0.06289
  • r
    0.10517
  • b (slope, estimate of beta)
    0.28352
  • a (intercept, estimate of alpha)
    -2.38100
  • Mean Square Error
    1.60078
  • DF error
    239.00000
  • t(b)
    1.63502
  • p(b)
    0.05168
  • t(a)
    -1.79976
  • p(a)
    0.96342
  • Lowerbound of 95% confidence interval for beta
    -0.05808
  • Upperbound of 95% confidence interval for beta
    0.62511
  • Lowerbound of 95% confidence interval for alpha
    -4.98750
  • Upperbound of 95% confidence interval for alpha
    0.22515
  • Treynor index (mean / b)
    -7.81673
  • Jensen alpha (a)
    -2.38117
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -13.54020
  • SD
    11.60620
  • Sharpe ratio (Glass type estimate)
    -1.16663
  • Sharpe ratio (Hedges UMVUE)
    -1.16298
  • df
    240.00000
  • t
    -1.11890
  • p
    0.86785
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.21169
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.88079
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.20920
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.88323
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.16624
  • Upside Potential Ratio
    0.06021
  • Upside part of mean
    0.69899
  • Downside part of mean
    -14.23920
  • Upside SD
    0.22598
  • Downside SD
    11.61010
  • N nonnegative terms
    16.00000
  • N negative terms
    225.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    241.00000
  • Mean of predictor
    0.47182
  • Mean of criterion
    -13.54020
  • SD of predictor
    0.46833
  • SD of criterion
    11.60620
  • Covariance
    0.18444
  • r
    0.03393
  • b (slope, estimate of beta)
    0.84091
  • a (intercept, estimate of alpha)
    -13.93690
  • Mean Square Error
    135.11100
  • DF error
    239.00000
  • t(b)
    0.52488
  • p(b)
    0.30008
  • t(a)
    -1.14772
  • p(a)
    0.87388
  • Lowerbound of 95% confidence interval for beta
    -2.31514
  • Upperbound of 95% confidence interval for beta
    3.99696
  • Lowerbound of 95% confidence interval for alpha
    -37.85820
  • Upperbound of 95% confidence interval for alpha
    9.98434
  • Treynor index (mean / b)
    -16.10180
  • Jensen alpha (a)
    -13.93690
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.70803
  • Expected Shortfall on VaR
    0.77672
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03736
  • Expected Shortfall on VaR
    0.08437
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    241.00000
  • Minimum
    0.00002
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.13860
  • Mean of quarter 1
    0.95603
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01115
  • Inter Quartile Range
    0.00000
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.07054
  • Mean of outliers low
    0.84224
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.06639
  • Mean of outliers high
    1.04181
  • 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)
    1.44835
  • VaR(95%) (regression method)
    0.00852
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00548
  • Quartile 1
    0.03004
  • Median
    0.03014
  • Quartile 3
    0.19525
  • Maximum
    1.00000
  • Mean of quarter 1
    0.01776
  • Mean of quarter 2
    0.03014
  • Mean of quarter 3
    0.19525
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.16521
  • 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
    1.00000
  • 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)
    -1.08713
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00000
  • Compounded annual return / average of 25% largest draw downs
    -1.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.28746
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.90705
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.41351
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.82093
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.41291
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6815000000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.70800
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -84527099999999991525988789911552.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -371801000
  • Max Equity Drawdown (num days)
    76
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • 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
    0.00000

Strategy Description

I have long been trading personally using futures to build my own Retirement Fund. I am trading over $200K of my own hard earned money with all of my moves reflected into this strategy. I hate losing money. My strategy is knowing when to hold and when to fold. High frequency of trades and targeting 2% per day.

Of course these are goals only. No performance can be guaranteed, and the actual real-world results may be vastly different from these goals."

Summary Statistics

Strategy began
2020-01-14
Suggested Minimum Capital
$25,000
# Trades
62
# Profitable
58
% Profitable
93.5%
Correlation S&P500
0.793
Sharpe Ratio
-4.08
Sortino Ratio
-4.01
Beta
7.48
Alpha
0.00
Leverage
43.61 Average
726.78 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.