Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

These are hypothetical performance results that have certain inherent limitations. Learn more

EMNQ Trader
(127328382)

Created by: Colin Colin
Started: 02/2020
Futures
Last trade: 15 days ago
Trading style: Futures Trend-following Financials / Indexes

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
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
37.1%
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.

(3.8%)
Max Drawdown
316
Num Trades
55.7%
Win Trades
2.0 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020       +1.7%+17.9%+7.9%+1.4%+2.2%+1.0%+1.3%                        +37.1%

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 100 hours.

Trading Record

This strategy has placed 369 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/21/20 11:23 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 1.800000000 10888.04 7/21 14:50 10901.88 0.4%
Trade id #130189873
Max drawdown($193)
Time7/21/20 12:03
Quant open2
Worst price10828.20
Drawdown as % of equity-0.40%
$48
Includes Typical Broker Commissions trade costs of $1.70
7/15/20 8:44 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 3.600000000 10714.45 7/15 10:27 10734.87 0.42%
Trade id #130090535
Max drawdown($202)
Time7/15/20 9:40
Quant open3
Worst price10677.20
Drawdown as % of equity-0.42%
$144
Includes Typical Broker Commissions trade costs of $3.38
7/14/20 7:37 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 3.600000000 10642.40 7/14 7:56 10668.19 0.09%
Trade id #130066782
Max drawdown($41)
Time7/14/20 7:47
Quant open4
Worst price10636.00
Drawdown as % of equity-0.09%
$183
Includes Typical Broker Commissions trade costs of $3.38
7/14/20 3:40 @MNQU0 MICRO E-MINI NASDAQ 100 SHORT 3.600000000 10614.65 7/14 3:53 10601.83 0.02%
Trade id #130063794
Max drawdown($8)
Time7/14/20 3:47
Quant open4
Worst price10616.00
Drawdown as % of equity-0.02%
$89
Includes Typical Broker Commissions trade costs of $3.38
7/14/20 3:29 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 2.700000000 10647.79 7/14 3:36 10633.09 0.18%
Trade id #130063592
Max drawdown($88)
Time7/14/20 3:33
Quant open3
Worst price10629.50
Drawdown as % of equity-0.18%
($82)
Includes Typical Broker Commissions trade costs of $2.54
7/8/20 10:02 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 3.600000000 10624.91 7/8 10:16 10621.97 0.11%
Trade id #129967033
Max drawdown($51)
Time7/8/20 10:11
Quant open4
Worst price10617.00
Drawdown as % of equity-0.11%
($24)
Includes Typical Broker Commissions trade costs of $3.39
7/8/20 9:51 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 3.600000000 10612.66 7/8 10:00 10621.95 0.06%
Trade id #129966538
Max drawdown($26)
Time7/8/20 9:55
Quant open4
Worst price10608.50
Drawdown as % of equity-0.06%
$64
Includes Typical Broker Commissions trade costs of $3.38
7/8/20 3:12 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 3.600000000 10562.50 7/8 4:39 10570.82 0.2%
Trade id #129961057
Max drawdown($97)
Time7/8/20 4:33
Quant open4
Worst price10547.50
Drawdown as % of equity-0.20%
$57
Includes Typical Broker Commissions trade costs of $3.38
7/1/20 10:00 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 1.800000000 10158.11 7/1 10:23 10190.23 0.03%
Trade id #129843634
Max drawdown($13)
Time7/1/20 10:03
Quant open2
Worst price10154.00
Drawdown as % of equity-0.03%
$114
Includes Typical Broker Commissions trade costs of $1.70
6/23/20 9:38 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 0.900000000 10180.40 6/23 9:42 10193.99 n/a $23
Includes Typical Broker Commissions trade costs of $0.84
6/17/20 12:22 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 4.500000000 9998.38 6/17 13:16 10035.15 0.03%
Trade id #129606374
Max drawdown($13)
Time6/17/20 12:25
Quant open4
Worst price9996.75
Drawdown as % of equity-0.03%
$327
Includes Typical Broker Commissions trade costs of $4.22
6/17/20 7:34 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 3.600000000 10016.89 6/17 9:57 9985.12 0.62%
Trade id #129600406
Max drawdown($297)
Time6/17/20 9:57
Quant open4
Worst price9971.00
Drawdown as % of equity-0.62%
($232)
Includes Typical Broker Commissions trade costs of $3.39
6/17/20 4:48 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 9 9999.05 6/17 6:11 9998.94 0.55%
Trade id #129597937
Max drawdown($265)
Time6/17/20 5:50
Quant open4
Worst price9973.00
Drawdown as % of equity-0.55%
($10)
Includes Typical Broker Commissions trade costs of $8.48
6/17/20 3:33 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 2.700000000 10016.53 6/17 4:32 10031.74 0.11%
Trade id #129596948
Max drawdown($54)
Time6/17/20 4:05
Quant open3
Worst price10005.20
Drawdown as % of equity-0.11%
$79
Includes Typical Broker Commissions trade costs of $2.54
6/16/20 11:45 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 9 9923.23 6/16 12:37 9956.52 0.98%
Trade id #129582603
Max drawdown($461)
Time6/16/20 12:22
Quant open8
Worst price9894.75
Drawdown as % of equity-0.98%
$591
Includes Typical Broker Commissions trade costs of $8.45
6/16/20 11:08 @MNQU0 MICRO E-MINI NASDAQ 100 SHORT 4.500000000 9882.02 6/16 11:16 9917.74 0.72%
Trade id #129581003
Max drawdown($346)
Time6/16/20 11:15
Quant open4
Worst price9924.75
Drawdown as % of equity-0.72%
($325)
Includes Typical Broker Commissions trade costs of $4.22
6/16/20 10:50 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 1.800000000 9942.05 6/16 10:57 9872.80 0.53%
Trade id #129580313
Max drawdown($254)
Time6/16/20 10:57
Quant open2
Worst price9863.50
Drawdown as % of equity-0.53%
($251)
Includes Typical Broker Commissions trade costs of $1.70
6/16/20 10:35 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 1.800000000 9993.14 6/16 10:38 9955.11 0.32%
Trade id #129579852
Max drawdown($156)
Time6/16/20 10:38
Quant open2
Worst price9944.75
Drawdown as % of equity-0.32%
($139)
Includes Typical Broker Commissions trade costs of $1.70
6/11/20 0:11 @MNQM0 MICRO E-MINI NASDAQ 100 SHORT 1.800000000 10014.25 6/11 1:08 10008.37 0.14%
Trade id #129483769
Max drawdown($65)
Time6/11/20 0:43
Quant open2
Worst price10034.50
Drawdown as % of equity-0.14%
$19
Includes Typical Broker Commissions trade costs of $1.70
6/9/20 10:34 @ESM0 E-MINI S&P 500 LONG 1.800000000 3200.00 6/9 11:05 3211.06 0.11%
Trade id #129436082
Max drawdown($50)
Time6/9/20 10:37
Quant open1
Worst price3197.50
Drawdown as % of equity-0.11%
$982
Includes Typical Broker Commissions trade costs of $14.40
6/9/20 10:23 @NQM0 E-MINI NASDAQ 100 STK IDX LONG 1.800000000 9912.31 6/9 10:34 9915.41 0.8%
Trade id #129435673
Max drawdown($374)
Time6/9/20 10:30
Quant open2
Worst price9900.75
Drawdown as % of equity-0.80%
$97
Includes Typical Broker Commissions trade costs of $14.40
6/9/20 9:45 @ESM0 E-MINI S&P 500 LONG 0.900000000 3202.25 6/9 10:00 3191.25 0.7%
Trade id #129434316
Max drawdown($334)
Time6/9/20 10:00
Quant open1
Worst price3194.00
Drawdown as % of equity-0.70%
($502)
Includes Typical Broker Commissions trade costs of $7.20
6/8/20 12:23 @ESM0 E-MINI S&P 500 LONG 1.800000000 3204.75 6/8 14:31 3216.00 0.43%
Trade id #129414062
Max drawdown($202)
Time6/8/20 12:32
Quant open2
Worst price3202.25
Drawdown as % of equity-0.43%
$999
Includes Typical Broker Commissions trade costs of $14.40
6/8/20 11:53 @ESM0 E-MINI S&P 500 LONG 1.800000000 3207.00 6/8 12:14 3203.25 0.34%
Trade id #129413456
Max drawdown($162)
Time6/8/20 12:06
Quant open2
Worst price3205.00
Drawdown as % of equity-0.34%
($352)
Includes Typical Broker Commissions trade costs of $14.40
6/8/20 10:45 @ESM0 E-MINI S&P 500 LONG 1.800000000 3203.62 6/8 11:39 3204.00 n/a $20
Includes Typical Broker Commissions trade costs of $14.40
6/8/20 6:10 @RTYM0 Russell 2000 CME LONG 0.900000000 1522.20 6/8 7:01 1523.85 0.34%
Trade id #129405804
Max drawdown($157)
Time6/8/20 6:14
Quant open1
Worst price1518.30
Drawdown as % of equity-0.34%
$67
Includes Typical Broker Commissions trade costs of $7.20
6/8/20 4:52 @RTYM0 Russell 2000 CME LONG 1.800000000 1516.97 6/8 5:50 1518.60 n/a $132
Includes Typical Broker Commissions trade costs of $14.40
6/5/20 2:32 @MNQM0 MICRO E-MINI NASDAQ 100 LONG 1.800000000 9682.00 6/5 3:57 9698.16 0.08%
Trade id #129370903
Max drawdown($37)
Time6/5/20 3:06
Quant open2
Worst price9670.50
Drawdown as % of equity-0.08%
$56
Includes Typical Broker Commissions trade costs of $1.70
6/5/20 3:22 @M2KM0 MICRO E-MINI RUSSELL 2000 LONG 1.800000000 1481.42 6/5 3:25 1481.90 n/a $2
Includes Typical Broker Commissions trade costs of $1.70
6/4/20 14:09 @MNQM0 MICRO E-MINI NASDAQ 100 LONG 4.500000000 9661.35 6/4 14:39 9633.12 0.54%
Trade id #129361715
Max drawdown($253)
Time6/4/20 14:35
Quant open4
Worst price9630.00
Drawdown as % of equity-0.54%
($258)
Includes Typical Broker Commissions trade costs of $4.22

Statistics

  • Strategy began
    2/2/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    184.47
  • Age
    6 months ago
  • What it trades
    Futures
  • # Trades
    316
  • # Profitable
    176
  • % Profitable
    55.70%
  • Avg trade duration
    6.6 hours
  • Max peak-to-valley drawdown
    3.8%
  • drawdown period
    March 20, 2020 - March 30, 2020
  • Cumul. Return
    37.1%
  • Avg win
    $175.30
  • Avg loss
    $111.43
  • Model Account Values (Raw)
  • Cash
    $51,252
  • Margin Used
    $0
  • Buying Power
    $51,252
  • Ratios
  • W:L ratio
    1.98:1
  • Sharpe Ratio
    4.13
  • Sortino Ratio
    13.92
  • Calmar Ratio
    42.55
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    34.09%
  • Correlation to SP500
    0.04470
  • Return Percent SP500 (cumu) during strategy life
    2.51%
  • Verified
  • C2Star
    2
  • Return Statistics
  • Ann Return (w trading costs)
    84.8%
  • 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
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.371%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    100.4%
  • Automation
  • Percentage Signals Automated
    9883.00%
  • Popularity
  • Popularity (Today)
    969
  • Popularity (Last 6 weeks)
    993
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    995
  • Popularity (7 days, Percentile 1000 scale)
    963
  • 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
    $111
  • Avg Win
    $175
  • Sum Trade PL (losers)
    $15,600.000
  • AUM
  • AUM (AutoTrader num accounts)
    10
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $30,852.000
  • # Winners
    176
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    502743
  • Win / Loss
  • # Losers
    140
  • % Winners
    55.7%
  • Frequency
  • Avg Position Time (mins)
    395.05
  • Avg Position Time (hrs)
    6.58
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.83
  • Daily leverage (max)
    9.16
  • Regression
  • Alpha
    0.17
  • Beta
    0.01
  • Treynor Index
    13.90
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.63
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    5.794
  • 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
    0.411
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.939
  • Hold-and-Hope Ratio
    0.173
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.68935
  • SD
    0.17423
  • Sharpe ratio (Glass type estimate)
    3.95651
  • Sharpe ratio (Hedges UMVUE)
    3.32643
  • df
    5.00000
  • t
    2.79767
  • p
    0.01905
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.19806
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.50746
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12807
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.78092
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.68935
  • Downside part of mean
    0.00000
  • Upside SD
    0.25475
  • Downside SD
    0.00000
  • N nonnegative terms
    6.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.08903
  • Mean of criterion
    0.68935
  • SD of predictor
    0.43018
  • SD of criterion
    0.17423
  • Covariance
    -0.02614
  • r
    -0.34875
  • b (slope, estimate of beta)
    -0.14125
  • a (intercept, estimate of alpha)
    0.70192
  • Mean Square Error
    0.03333
  • DF error
    4.00000
  • t(b)
    -0.74422
  • p(b)
    0.75096
  • t(a)
    2.71284
  • p(a)
    0.02669
  • Lowerbound of 95% confidence interval for beta
    -0.66831
  • Upperbound of 95% confidence interval for beta
    0.38581
  • Lowerbound of 95% confidence interval for alpha
    -0.01660
  • Upperbound of 95% confidence interval for alpha
    1.42045
  • Treynor index (mean / b)
    -4.88041
  • Jensen alpha (a)
    0.70192
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.65761
  • SD
    0.16319
  • Sharpe ratio (Glass type estimate)
    4.02970
  • Sharpe ratio (Hedges UMVUE)
    3.38796
  • df
    5.00000
  • t
    2.84943
  • p
    0.01792
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.24247
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.60936
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08943
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.86535
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.65761
  • Downside part of mean
    0.00000
  • Upside SD
    0.24131
  • Downside SD
    0.00000
  • N nonnegative terms
    6.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.00723
  • Mean of criterion
    0.65761
  • SD of predictor
    0.44990
  • SD of criterion
    0.16319
  • Covariance
    -0.02636
  • r
    -0.35898
  • b (slope, estimate of beta)
    -0.13021
  • a (intercept, estimate of alpha)
    0.65855
  • Mean Square Error
    0.02900
  • DF error
    4.00000
  • t(b)
    -0.76923
  • p(b)
    0.75767
  • t(a)
    2.73449
  • p(a)
    0.02610
  • Lowerbound of 95% confidence interval for beta
    -0.60028
  • Upperbound of 95% confidence interval for beta
    0.33986
  • Lowerbound of 95% confidence interval for alpha
    -0.01024
  • Upperbound of 95% confidence interval for alpha
    1.32734
  • Treynor index (mean / b)
    -5.05036
  • Jensen alpha (a)
    0.65855
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02243
  • Expected Shortfall on VaR
    0.04134
  • 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
    6.00000
  • Minimum
    1.01486
  • Quartile 1
    1.01662
  • Median
    1.05318
  • Quartile 3
    1.08665
  • Maximum
    1.13519
  • Mean of quarter 1
    1.01511
  • Mean of quarter 2
    1.02040
  • Mean of quarter 3
    1.08597
  • Mean of quarter 4
    1.11103
  • Inter Quartile Range
    0.07003
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.81766
  • Compounded annual return (geometric extrapolation)
    0.98480
  • 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
    23.82130
  • 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
    0.68064
  • SD
    0.12509
  • Sharpe ratio (Glass type estimate)
    5.44119
  • Sharpe ratio (Hedges UMVUE)
    5.40998
  • df
    131.00000
  • t
    3.86216
  • p
    0.29998
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.59278
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.27002
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.57205
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.24790
  • Statistics related to Sortino ratio
  • Sortino ratio
    20.48290
  • Upside Potential Ratio
    25.92100
  • Upside part of mean
    0.86134
  • Downside part of mean
    -0.18070
  • Upside SD
    0.12725
  • Downside SD
    0.03323
  • N nonnegative terms
    69.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    132.00000
  • Mean of predictor
    0.12272
  • Mean of criterion
    0.68064
  • SD of predictor
    0.45852
  • SD of criterion
    0.12509
  • Covariance
    0.00041
  • r
    0.00707
  • b (slope, estimate of beta)
    0.00193
  • a (intercept, estimate of alpha)
    0.68000
  • Mean Square Error
    0.01577
  • DF error
    130.00000
  • t(b)
    0.08056
  • p(b)
    0.49647
  • t(a)
    3.84562
  • p(a)
    0.34020
  • Lowerbound of 95% confidence interval for beta
    -0.04541
  • Upperbound of 95% confidence interval for beta
    0.04926
  • Lowerbound of 95% confidence interval for alpha
    0.33037
  • Upperbound of 95% confidence interval for alpha
    1.03044
  • Treynor index (mean / b)
    353.09800
  • Jensen alpha (a)
    0.68040
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67208
  • SD
    0.12333
  • Sharpe ratio (Glass type estimate)
    5.44928
  • Sharpe ratio (Hedges UMVUE)
    5.41803
  • df
    131.00000
  • t
    3.86790
  • p
    0.29972
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.60065
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.27834
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.57987
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.25618
  • Statistics related to Sortino ratio
  • Sortino ratio
    20.13560
  • Upside Potential Ratio
    25.56560
  • Upside part of mean
    0.85332
  • Downside part of mean
    -0.18124
  • Upside SD
    0.12532
  • Downside SD
    0.03338
  • N nonnegative terms
    69.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    132.00000
  • Mean of predictor
    0.01736
  • Mean of criterion
    0.67208
  • SD of predictor
    0.46210
  • SD of criterion
    0.12333
  • Covariance
    0.00027
  • r
    0.00472
  • b (slope, estimate of beta)
    0.00126
  • a (intercept, estimate of alpha)
    0.67206
  • Mean Square Error
    0.01533
  • DF error
    130.00000
  • t(b)
    0.05378
  • p(b)
    0.49764
  • t(a)
    3.85302
  • p(a)
    0.33993
  • Lowerbound of 95% confidence interval for beta
    -0.04505
  • Upperbound of 95% confidence interval for beta
    0.04757
  • Lowerbound of 95% confidence interval for alpha
    0.32698
  • Upperbound of 95% confidence interval for alpha
    1.01713
  • Treynor index (mean / b)
    533.89100
  • Jensen alpha (a)
    0.67206
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00992
  • Expected Shortfall on VaR
    0.01306
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00149
  • Expected Shortfall on VaR
    0.00334
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    132.00000
  • Minimum
    0.98610
  • Quartile 1
    1.00000
  • Median
    1.00018
  • Quartile 3
    1.00338
  • Maximum
    1.04944
  • Mean of quarter 1
    0.99744
  • Mean of quarter 2
    1.00002
  • Mean of quarter 3
    1.00163
  • Mean of quarter 4
    1.01173
  • Inter Quartile Range
    0.00338
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03788
  • Mean of outliers low
    0.99129
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10606
  • Mean of outliers high
    1.02028
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.01662
  • VaR(95%) (moments method)
    0.00220
  • Expected Shortfall (moments method)
    0.00337
  • Extreme Value Index (regression method)
    0.26057
  • VaR(95%) (regression method)
    0.00318
  • Expected Shortfall (regression method)
    0.00636
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00021
  • Quartile 1
    0.00088
  • Median
    0.00153
  • Quartile 3
    0.01273
  • Maximum
    0.02382
  • Mean of quarter 1
    0.00055
  • Mean of quarter 2
    0.00110
  • Mean of quarter 3
    0.00769
  • Mean of quarter 4
    0.01805
  • Inter Quartile Range
    0.01186
  • 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)
    -0.87362
  • VaR(95%) (moments method)
    0.02072
  • Expected Shortfall (moments method)
    0.02241
  • Extreme Value Index (regression method)
    0.61822
  • VaR(95%) (regression method)
    0.02357
  • Expected Shortfall (regression method)
    0.04904
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.83930
  • Compounded annual return (geometric extrapolation)
    1.01372
  • Calmar ratio (compounded annual return / max draw down)
    42.55010
  • Compounded annual return / average of 25% largest draw downs
    56.17240
  • Compounded annual return / Expected Shortfall lognormal
    77.61020
  • 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
    0.68238
  • SD
    0.12556
  • Sharpe ratio (Glass type estimate)
    5.43450
  • Sharpe ratio (Hedges UMVUE)
    5.40309
  • df
    130.00000
  • t
    3.84277
  • p
    0.34031
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.57539
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.27389
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.55454
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.25163
  • Statistics related to Sortino ratio
  • Sortino ratio
    20.45740
  • Upside Potential Ratio
    25.91610
  • Upside part of mean
    0.86446
  • Downside part of mean
    -0.18208
  • Upside SD
    0.12771
  • Downside SD
    0.03336
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09391
  • Mean of criterion
    0.68238
  • SD of predictor
    0.45982
  • SD of criterion
    0.12556
  • Covariance
    0.00043
  • r
    0.00751
  • b (slope, estimate of beta)
    0.00205
  • a (intercept, estimate of alpha)
    0.68219
  • Mean Square Error
    0.01589
  • DF error
    129.00000
  • t(b)
    0.08534
  • p(b)
    0.49522
  • t(a)
    3.82668
  • p(a)
    0.30024
  • Lowerbound of 95% confidence interval for beta
    -0.04552
  • Upperbound of 95% confidence interval for beta
    0.04962
  • Lowerbound of 95% confidence interval for alpha
    0.32947
  • Upperbound of 95% confidence interval for alpha
    1.03490
  • Treynor index (mean / b)
    332.57400
  • Jensen alpha (a)
    0.68219
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67376
  • SD
    0.12380
  • Sharpe ratio (Glass type estimate)
    5.44225
  • Sharpe ratio (Hedges UMVUE)
    5.41079
  • df
    130.00000
  • t
    3.84825
  • p
    0.34010
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.58292
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.28185
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.56202
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.25956
  • Statistics related to Sortino ratio
  • Sortino ratio
    20.10930
  • Upside Potential Ratio
    25.55990
  • Upside part of mean
    0.85638
  • Downside part of mean
    -0.18262
  • Upside SD
    0.12578
  • Downside SD
    0.03350
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.01204
  • Mean of criterion
    0.67376
  • SD of predictor
    0.46340
  • SD of criterion
    0.12380
  • Covariance
    0.00030
  • r
    0.00516
  • b (slope, estimate of beta)
    0.00138
  • a (intercept, estimate of alpha)
    0.67377
  • Mean Square Error
    0.01545
  • DF error
    129.00000
  • t(b)
    0.05858
  • p(b)
    0.49672
  • t(a)
    3.83356
  • p(a)
    0.29993
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    -0.04516
  • Upperbound of 95% confidence interval for beta
    0.04792
  • Lowerbound of 95% confidence interval for alpha
    0.32604
  • Upperbound of 95% confidence interval for alpha
    1.02151
  • Treynor index (mean / b)
    488.94300
  • Jensen alpha (a)
    0.67377
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00996
  • Expected Shortfall on VaR
    0.01311
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00151
  • Expected Shortfall on VaR
    0.00338
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98610
  • Quartile 1
    1.00000
  • Median
    1.00018
  • Quartile 3
    1.00341
  • Maximum
    1.04944
  • Mean of quarter 1
    0.99744
  • Mean of quarter 2
    1.00002
  • Mean of quarter 3
    1.00162
  • Mean of quarter 4
    1.01173
  • Inter Quartile Range
    0.00341
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.99129
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.02028
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.01662
  • VaR(95%) (moments method)
    0.00221
  • Expected Shortfall (moments method)
    0.00338
  • Extreme Value Index (regression method)
    0.26057
  • VaR(95%) (regression method)
    0.00320
  • Expected Shortfall (regression method)
    0.00638
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00021
  • Quartile 1
    0.00088
  • Median
    0.00153
  • Quartile 3
    0.01273
  • Maximum
    0.02382
  • Mean of quarter 1
    0.00055
  • Mean of quarter 2
    0.00110
  • Mean of quarter 3
    0.00769
  • Mean of quarter 4
    0.01805
  • Inter Quartile Range
    0.01186
  • 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)
    -0.87362
  • VaR(95%) (moments method)
    0.02072
  • Expected Shortfall (moments method)
    0.02241
  • Extreme Value Index (regression method)
    0.61822
  • VaR(95%) (regression method)
    0.02357
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.04904
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -267376000
  • Max Equity Drawdown (num days)
    10
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.84050
  • Compounded annual return (geometric extrapolation)
    1.01711
  • Calmar ratio (compounded annual return / max draw down)
    42.69200
  • Compounded annual return / average of 25% largest draw downs
    56.35980
  • Compounded annual return / Expected Shortfall lognormal
    77.55750

Strategy Description

This is the statement of my 8 Strategies:
1 C2star: MNQ Trader 5 Regular: MicroNQ start
2 C2star: RTY and FX: 6 Regular: ES Russell
3 C2star: ES DSXmes 7 Regular: Futrs only
4 C2star: YM AGRI 8 Regular: MYM far from

at the same time, I will only trade one pair strategies: 01pair 1,5; 02pair 2,6; 03pair 3,7; 04pair 4,8

strategy3 "ES DSXmes" will trade ES and DSX
strategy4 "YM AGRI " will trade YM and mini dax
all C2star strategies will trade micro forex-futures

Risk management: the risk of Regular strategies will be biger than C2star strategies.

Summary Statistics

Strategy began
2020-02-02
Suggested Minimum Capital
$50,000
Rank at C2 %
Top 0.5%
Rank # 
#3
# Trades
316
# Profitable
176
% Profitable
55.7%
Correlation S&P500
0.045
Sharpe Ratio
4.13
Sortino Ratio
13.92
Beta
0.01
Alpha
0.17
Leverage
1.83 Average
9.16 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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

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

C2Star strategies cannot be made private.

To make this strategy private, you need to first withdraw from C2Star program.

Strategy is no longer visible

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

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

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

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

You can restore public visibility at any time.

Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.