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EMNQ Trader
(127328382)

Created by: Colin Colin
Started: 02/2020
Futures
Last trade: 7 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.
44.9%
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.

(9.4%)
Max Drawdown
383
Num Trades
56.1%
Win Trades
1.8 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020       +1.6%+17.9%+7.8%+1.3%+2.1%+0.9%+1.4%+3.8%+2.0%            +44.9%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 100 hours.

Trading Record

This strategy has placed 512 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/20/20 13:46 @MNQZ0 MICRO E-MINI NASDAQ 100 LONG 1 11777.64 10/21 3:11 11679.86 0.59%
Trade id #131799563
Max drawdown($310)
Time10/20/20 16:00
Quant open1
Worst price11622.20
Drawdown as % of equity-0.59%
($197)
Includes Typical Broker Commissions trade costs of $0.94
10/8/20 22:53 @M6EZ0 E-MICRO EUR/USD LONG 1 1.1793 10/13 10:05 1.1766 0.07%
Trade id #131604778
Max drawdown($38)
Time10/13/20 9:42
Quant open1
Worst price1.1762
Drawdown as % of equity-0.07%
($35)
Includes Typical Broker Commissions trade costs of $0.70
10/12/20 9:57 @MNQZ0 MICRO E-MINI NASDAQ 100 LONG 4 11884.11 10/12 11:18 12003.97 0.25%
Trade id #131643747
Max drawdown($128)
Time10/12/20 10:01
Quant open4
Worst price11868.00
Drawdown as % of equity-0.25%
$955
Includes Typical Broker Commissions trade costs of $3.76
10/8/20 23:10 @EUZ0 EUROFX LONG 1 1.17960 10/9 4:10 1.18065 0.55%
Trade id #131604945
Max drawdown($282)
Time10/9/20 0:00
Quant open1
Worst price1.17734
Drawdown as % of equity-0.55%
$123
Includes Typical Broker Commissions trade costs of $8.00
10/8/20 9:08 @M6EZ0 E-MICRO EUR/USD SHORT 1 1.1748 10/8 22:52 1.1794 0.11%
Trade id #131587542
Max drawdown($56)
Time10/8/20 22:48
Quant open1
Worst price1.1794
Drawdown as % of equity-0.11%
($58)
Includes Typical Broker Commissions trade costs of $0.70
10/8/20 1:31 @M6EZ0 E-MICRO EUR/USD LONG 1 1.1790 10/8 9:08 1.1751 0.1%
Trade id #131581498
Max drawdown($52)
Time10/8/20 9:08
Quant open1
Worst price1.1748
Drawdown as % of equity-0.10%
($50)
Includes Typical Broker Commissions trade costs of $0.70
10/8/20 2:17 @MNQZ0 MICRO E-MINI NASDAQ 100 LONG 3 11538.88 10/8 5:18 11550.26 0.11%
Trade id #131582040
Max drawdown($54)
Time10/8/20 4:29
Quant open2
Worst price11524.80
Drawdown as % of equity-0.11%
$65
Includes Typical Broker Commissions trade costs of $2.82
10/2/20 1:49 @M6EZ0 E-MICRO EUR/USD LONG 1 1.1746 10/6 4:08 1.1787 0.07%
Trade id #131476399
Max drawdown($37)
Time10/2/20 8:53
Quant open1
Worst price1.1716
Drawdown as % of equity-0.07%
$50
Includes Typical Broker Commissions trade costs of $0.70
10/2/20 5:34 @MNQZ0 MICRO E-MINI NASDAQ 100 SHORT 1 11332.73 10/2 5:47 11321.88 n/a $21
Includes Typical Broker Commissions trade costs of $0.94
10/2/20 5:20 @MNQZ0 MICRO E-MINI NASDAQ 100 SHORT 3 11381.13 10/2 5:31 11339.96 n/a $244
Includes Typical Broker Commissions trade costs of $2.82
10/2/20 3:46 @MNQZ0 MICRO E-MINI NASDAQ 100 SHORT 1 11409.32 10/2 3:57 11391.30 n/a $35
Includes Typical Broker Commissions trade costs of $0.94
10/1/20 19:32 @M6EZ0 E-MICRO EUR/USD SHORT 1 1.1761 10/2 1:30 1.1733 0.01%
Trade id #131472678
Max drawdown($5)
Time10/2/20 0:00
Quant open1
Worst price1.1765
Drawdown as % of equity-0.01%
$34
Includes Typical Broker Commissions trade costs of $0.70
9/30/20 6:39 @M6EZ0 E-MICRO EUR/USD LONG 1 1.1734 10/1 18:14 1.1763 0.08%
Trade id #131431992
Max drawdown($38)
Time9/30/20 9:46
Quant open1
Worst price1.1703
Drawdown as % of equity-0.08%
$35
Includes Typical Broker Commissions trade costs of $0.70
9/30/20 8:40 @MNQZ0 MICRO E-MINI NASDAQ 100 LONG 1 11321.13 9/30 9:33 11346.14 0.05%
Trade id #131433500
Max drawdown($27)
Time9/30/20 9:01
Quant open1
Worst price11307.20
Drawdown as % of equity-0.05%
$49
Includes Typical Broker Commissions trade costs of $0.94
9/29/20 23:10 @M6EZ0 E-MICRO EUR/USD SHORT 1 1.1753 9/30 6:39 1.1734 0.05%
Trade id #131427612
Max drawdown($25)
Time9/30/20 0:00
Quant open1
Worst price1.1773
Drawdown as % of equity-0.05%
$23
Includes Typical Broker Commissions trade costs of $0.70
9/28/20 20:30 @M6EZ0 E-MICRO EUR/USD LONG 1 1.1699 9/29 23:07 1.1756 0.05%
Trade id #131404599
Max drawdown($23)
Time9/29/20 0:00
Quant open1
Worst price1.1680
Drawdown as % of equity-0.05%
$70
Includes Typical Broker Commissions trade costs of $0.70
9/29/20 21:23 @MNQZ0 MICRO E-MINI NASDAQ 100 LONG 2 11373.24 9/29 22:32 11413.58 0.1%
Trade id #131426400
Max drawdown($50)
Time9/29/20 21:45
Quant open2
Worst price11360.50
Drawdown as % of equity-0.10%
$159
Includes Typical Broker Commissions trade costs of $1.88
9/29/20 14:45 @MNQZ0 MICRO E-MINI NASDAQ 100 LONG 1 11361.33 9/29 20:35 11338.61 0.26%
Trade id #131421427
Max drawdown($133)
Time9/29/20 15:39
Quant open1
Worst price11294.80
Drawdown as % of equity-0.26%
($46)
Includes Typical Broker Commissions trade costs of $0.94
9/29/20 3:12 @MNQZ0 MICRO E-MINI NASDAQ 100 SHORT 1 11357.38 9/29 14:18 11338.25 0.14%
Trade id #131407872
Max drawdown($69)
Time9/29/20 7:11
Quant open1
Worst price11392.20
Drawdown as % of equity-0.14%
$37
Includes Typical Broker Commissions trade costs of $0.94
9/25/20 11:39 @M6EZ0 E-MICRO EUR/USD SHORT 1 1.1635 9/28 20:30 1.1699 0.17%
Trade id #131365801
Max drawdown($85)
Time9/28/20 20:15
Quant open1
Worst price1.1703
Drawdown as % of equity-0.17%
($81)
Includes Typical Broker Commissions trade costs of $0.70
9/27/20 21:51 @MNQZ0 MICRO E-MINI NASDAQ 100 LONG 2 11191.91 9/28 2:00 11202.55 0.2%
Trade id #131383181
Max drawdown($103)
Time9/28/20 0:00
Quant open1
Worst price11136.00
Drawdown as % of equity-0.20%
$41
Includes Typical Broker Commissions trade costs of $1.88
9/23/20 22:45 @EUZ0 EUROFX SHORT 1 1.16822 9/24 6:26 1.16635 0.42%
Trade id #131330632
Max drawdown($210)
Time9/24/20 0:00
Quant open1
Worst price1.16990
Drawdown as % of equity-0.42%
$226
Includes Typical Broker Commissions trade costs of $8.00
9/23/20 22:44 @MNQZ0 MICRO E-MINI NASDAQ 100 SHORT 1 10807.50 9/24 4:21 10776.42 0.16%
Trade id #131330613
Max drawdown($79)
Time9/24/20 0:00
Quant open1
Worst price10847.00
Drawdown as % of equity-0.16%
$61
Includes Typical Broker Commissions trade costs of $0.94
9/23/20 19:46 @MNQZ0 MICRO E-MINI NASDAQ 100 SHORT 1 10755.96 9/23 20:46 10819.26 0.26%
Trade id #131328471
Max drawdown($129)
Time9/23/20 20:46
Quant open1
Worst price10820.80
Drawdown as % of equity-0.26%
($128)
Includes Typical Broker Commissions trade costs of $0.94
9/23/20 10:46 @EUZ0 EUROFX SHORT 1 1.16870 9/23 20:09 1.16845 0.57%
Trade id #131316004
Max drawdown($281)
Time9/23/20 12:40
Quant open1
Worst price1.17095
Drawdown as % of equity-0.57%
$23
Includes Typical Broker Commissions trade costs of $8.00
9/23/20 13:46 @NQZ0 E-MINI NASDAQ 100 STK IDX SHORT 1 10978.54 9/23 14:20 10890.70 0.73%
Trade id #131321028
Max drawdown($354)
Time9/23/20 13:49
Quant open1
Worst price10996.20
Drawdown as % of equity-0.73%
$1,749
Includes Typical Broker Commissions trade costs of $8.00
9/23/20 12:00 @MNQZ0 MICRO E-MINI NASDAQ 100 SHORT 10 10999.92 9/23 13:08 11028.61 1.83%
Trade id #131318732
Max drawdown($901)
Time9/23/20 13:00
Quant open10
Worst price11045.00
Drawdown as % of equity-1.83%
($583)
Includes Typical Broker Commissions trade costs of $9.40
9/23/20 11:24 @NQZ0 E-MINI NASDAQ 100 STK IDX SHORT 1 11056.44 9/23 12:00 10988.08 0.09%
Trade id #131317187
Max drawdown($41)
Time9/23/20 11:27
Quant open1
Worst price11058.50
Drawdown as % of equity-0.09%
$1,359
Includes Typical Broker Commissions trade costs of $8.00
9/23/20 11:08 @NQZ0 E-MINI NASDAQ 100 STK IDX LONG 1 11084.44 9/23 11:18 11071.34 0.83%
Trade id #131316728
Max drawdown($403)
Time9/23/20 11:15
Quant open1
Worst price11064.20
Drawdown as % of equity-0.83%
($270)
Includes Typical Broker Commissions trade costs of $8.00
9/23/20 10:45 @MNQZ0 MICRO E-MINI NASDAQ 100 LONG 10 11084.61 9/23 11:18 11075.57 0.94%
Trade id #131315983
Max drawdown($458)
Time9/23/20 11:04
Quant open5
Worst price11049.00
Drawdown as % of equity-0.94%
($190)
Includes Typical Broker Commissions trade costs of $9.40

Statistics

  • Strategy began
    2/2/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    268.27
  • Age
    9 months ago
  • What it trades
    Futures
  • # Trades
    383
  • # Profitable
    215
  • % Profitable
    56.10%
  • Avg trade duration
    6.7 hours
  • Max peak-to-valley drawdown
    9.42%
  • drawdown period
    Aug 31, 2020 - Sept 09, 2020
  • Cumul. Return
    44.9%
  • Avg win
    $197.36
  • Avg loss
    $139.90
  • Model Account Values (Raw)
  • Cash
    $54,929
  • Margin Used
    $0
  • Buying Power
    $54,929
  • Ratios
  • W:L ratio
    1.81:1
  • Sharpe Ratio
    3.36
  • Sortino Ratio
    8.05
  • Calmar Ratio
    11.758
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    39.81%
  • Correlation to SP500
    0.05980
  • Return Percent SP500 (cumu) during strategy life
    5.12%
  • Verified
  • C2Star
    2
  • Return Statistics
  • Ann Return (w trading costs)
    64.6%
  • Slump
  • Current Slump as Pcnt Equity
    0.50%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.06%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.449%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    77.3%
  • Automation
  • Percentage Signals Automated
    9903.00%
  • Popularity
  • Popularity (Today)
    913
  • Popularity (Last 6 weeks)
    987
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    994
  • Popularity (7 days, Percentile 1000 scale)
    967
  • 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
    $140
  • Avg Win
    $197
  • Sum Trade PL (losers)
    $23,503.000
  • AUM
  • AUM (AutoTrader num accounts)
    10
  • Age
  • Num Months filled monthly returns table
    9
  • Win / Loss
  • Sum Trade PL (winners)
    $42,432.000
  • # Winners
    215
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    509140
  • Win / Loss
  • # Losers
    168
  • % Winners
    56.1%
  • Frequency
  • Avg Position Time (mins)
    399.92
  • Avg Position Time (hrs)
    6.67
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    7
  • Leverage
  • Daily leverage (average)
    2.03
  • Daily leverage (max)
    12.24
  • Regression
  • Alpha
    0.14
  • Beta
    0.02
  • Treynor Index
    7.25
  • 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)
    -0.57
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    7.042
  • 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
    0.423
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.103
  • Hold-and-Hope Ratio
    0.142
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.61011
  • SD
    0.17041
  • Sharpe ratio (Glass type estimate)
    3.58013
  • Sharpe ratio (Hedges UMVUE)
    3.17989
  • df
    7.00000
  • t
    2.92317
  • p
    0.01112
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47977
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.52663
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25812
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.10165
  • Statistics related to Sortino ratio
  • Sortino ratio
    53.34780
  • Upside Potential Ratio
    54.57250
  • Upside part of mean
    0.62411
  • Downside part of mean
    -0.01401
  • Upside SD
    0.23727
  • Downside SD
    0.01144
  • N nonnegative terms
    7.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.10701
  • Mean of criterion
    0.61011
  • SD of predictor
    0.36769
  • SD of criterion
    0.17041
  • Covariance
    -0.02310
  • r
    -0.36871
  • b (slope, estimate of beta)
    -0.17089
  • a (intercept, estimate of alpha)
    0.62839
  • Mean Square Error
    0.02928
  • DF error
    6.00000
  • t(b)
    -0.97160
  • p(b)
    0.81561
  • t(a)
    2.98669
  • p(a)
    0.01221
  • Lowerbound of 95% confidence interval for beta
    -0.60125
  • Upperbound of 95% confidence interval for beta
    0.25948
  • Lowerbound of 95% confidence interval for alpha
    0.11356
  • Upperbound of 95% confidence interval for alpha
    1.14322
  • Treynor index (mean / b)
    -3.57027
  • Jensen alpha (a)
    0.62839
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.58239
  • SD
    0.16079
  • Sharpe ratio (Glass type estimate)
    3.62199
  • Sharpe ratio (Hedges UMVUE)
    3.21706
  • df
    7.00000
  • t
    2.95734
  • p
    0.01059
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.50837
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.58131
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28415
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.14997
  • Statistics related to Sortino ratio
  • Sortino ratio
    50.80520
  • Upside Potential Ratio
    52.02990
  • Upside part of mean
    0.59644
  • Downside part of mean
    -0.01404
  • Upside SD
    0.22529
  • Downside SD
    0.01146
  • N nonnegative terms
    7.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.04406
  • Mean of criterion
    0.58239
  • SD of predictor
    0.38445
  • SD of criterion
    0.16079
  • Covariance
    -0.02346
  • r
    -0.37943
  • b (slope, estimate of beta)
    -0.15870
  • a (intercept, estimate of alpha)
    0.58939
  • Mean Square Error
    0.02582
  • DF error
    6.00000
  • t(b)
    -1.00454
  • p(b)
    0.82305
  • t(a)
    2.99292
  • p(a)
    0.01211
  • Lowerbound of 95% confidence interval for beta
    -0.54527
  • Upperbound of 95% confidence interval for beta
    0.22787
  • Lowerbound of 95% confidence interval for alpha
    0.10752
  • Upperbound of 95% confidence interval for alpha
    1.07126
  • Treynor index (mean / b)
    -3.66984
  • Jensen alpha (a)
    0.58939
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02743
  • Expected Shortfall on VaR
    0.04597
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00075
  • Expected Shortfall on VaR
    0.00248
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.99299
  • Quartile 1
    1.01532
  • Median
    1.04700
  • Quartile 3
    1.08620
  • Maximum
    1.13519
  • Mean of quarter 1
    1.00392
  • Mean of quarter 2
    1.01794
  • Mean of quarter 3
    1.07979
  • Mean of quarter 4
    1.11103
  • Inter Quartile Range
    0.07087
  • 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
    1.00000
  • Minimum
    0.00701
  • Quartile 1
    0.00701
  • Median
    0.00701
  • Quartile 3
    0.00701
  • Maximum
    0.00701
  • 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)
    0.75316
  • Compounded annual return (geometric extrapolation)
    0.84099
  • Calmar ratio (compounded annual return / max draw down)
    119.97900
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    18.29240
  • 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
    0.55608
  • SD
    0.12401
  • Sharpe ratio (Glass type estimate)
    4.48419
  • Sharpe ratio (Hedges UMVUE)
    4.46656
  • df
    191.00000
  • t
    3.83870
  • p
    0.33168
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.14537
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.81176
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13362
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.79950
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.13880
  • Upside Potential Ratio
    15.82390
  • Upside part of mean
    0.78998
  • Downside part of mean
    -0.23390
  • Upside SD
    0.11826
  • Downside SD
    0.04992
  • N nonnegative terms
    93.00000
  • N negative terms
    99.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    192.00000
  • Mean of predictor
    0.10808
  • Mean of criterion
    0.55608
  • SD of predictor
    0.39335
  • SD of criterion
    0.12401
  • Covariance
    0.00153
  • r
    0.03139
  • b (slope, estimate of beta)
    0.00990
  • a (intercept, estimate of alpha)
    0.55500
  • Mean Square Error
    0.01544
  • DF error
    190.00000
  • t(b)
    0.43294
  • p(b)
    0.48430
  • t(a)
    3.82260
  • p(a)
    0.36638
  • Lowerbound of 95% confidence interval for beta
    -0.03520
  • Upperbound of 95% confidence interval for beta
    0.05499
  • Lowerbound of 95% confidence interval for alpha
    0.26862
  • Upperbound of 95% confidence interval for alpha
    0.84141
  • Treynor index (mean / b)
    56.18660
  • Jensen alpha (a)
    0.55501
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.54790
  • SD
    0.12273
  • Sharpe ratio (Glass type estimate)
    4.46427
  • Sharpe ratio (Hedges UMVUE)
    4.44671
  • df
    191.00000
  • t
    3.82164
  • p
    0.33236
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.12583
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.79154
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11416
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.77927
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.88960
  • Upside Potential Ratio
    15.56280
  • Upside part of mean
    0.78303
  • Downside part of mean
    -0.23513
  • Upside SD
    0.11661
  • Downside SD
    0.05031
  • N nonnegative terms
    93.00000
  • N negative terms
    99.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    192.00000
  • Mean of predictor
    0.03037
  • Mean of criterion
    0.54790
  • SD of predictor
    0.39632
  • SD of criterion
    0.12273
  • Covariance
    0.00144
  • r
    0.02959
  • b (slope, estimate of beta)
    0.00916
  • a (intercept, estimate of alpha)
    0.54762
  • Mean Square Error
    0.01513
  • DF error
    190.00000
  • t(b)
    0.40804
  • p(b)
    0.48520
  • t(a)
    3.81132
  • p(a)
    0.36675
  • Lowerbound of 95% confidence interval for beta
    -0.03513
  • Upperbound of 95% confidence interval for beta
    0.05346
  • Lowerbound of 95% confidence interval for alpha
    0.26420
  • Upperbound of 95% confidence interval for alpha
    0.83104
  • Treynor index (mean / b)
    59.79430
  • Jensen alpha (a)
    0.54762
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01033
  • Expected Shortfall on VaR
    0.01345
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00202
  • Expected Shortfall on VaR
    0.00460
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    192.00000
  • Minimum
    0.97966
  • Quartile 1
    1.00000
  • Median
    1.00001
  • Quartile 3
    1.00313
  • Maximum
    1.04944
  • Mean of quarter 1
    0.99665
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00119
  • Mean of quarter 4
    1.01108
  • Inter Quartile Range
    0.00313
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.04688
  • Mean of outliers low
    0.98762
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    1.01745
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.49229
  • VaR(95%) (moments method)
    0.00270
  • Expected Shortfall (moments method)
    0.00712
  • Extreme Value Index (regression method)
    0.05593
  • VaR(95%) (regression method)
    0.00398
  • Expected Shortfall (regression method)
    0.00722
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00072
  • Median
    0.00153
  • Quartile 3
    0.01273
  • Maximum
    0.06622
  • Mean of quarter 1
    0.00032
  • Mean of quarter 2
    0.00101
  • Mean of quarter 3
    0.00684
  • Mean of quarter 4
    0.03009
  • Inter Quartile Range
    0.01201
  • 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
    0.06250
  • Mean of outliers high
    0.06622
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.44192
  • VaR(95%) (moments method)
    0.03275
  • Expected Shortfall (moments method)
    0.06642
  • Extreme Value Index (regression method)
    1.59310
  • VaR(95%) (regression method)
    0.04600
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.71635
  • Compounded annual return (geometric extrapolation)
    0.77857
  • Calmar ratio (compounded annual return / max draw down)
    11.75770
  • Compounded annual return / average of 25% largest draw downs
    25.87520
  • Compounded annual return / Expected Shortfall lognormal
    57.87050
  • 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
    0.26237
  • SD
    0.09553
  • Sharpe ratio (Glass type estimate)
    2.74646
  • Sharpe ratio (Hedges UMVUE)
    2.73058
  • df
    130.00000
  • t
    1.94204
  • p
    0.41604
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05049
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.53307
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06102
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.52219
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.60398
  • Upside Potential Ratio
    8.99688
  • Upside part of mean
    0.51271
  • Downside part of mean
    -0.25034
  • Upside SD
    0.07792
  • Downside SD
    0.05699
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33175
  • Mean of criterion
    0.26237
  • SD of predictor
    0.20674
  • SD of criterion
    0.09553
  • Covariance
    0.00125
  • r
    0.06347
  • b (slope, estimate of beta)
    0.02933
  • a (intercept, estimate of alpha)
    0.25264
  • Mean Square Error
    0.00916
  • DF error
    129.00000
  • t(b)
    0.72230
  • p(b)
    0.45962
  • t(a)
    1.85741
  • p(a)
    0.39770
  • Lowerbound of 95% confidence interval for beta
    -0.05100
  • Upperbound of 95% confidence interval for beta
    0.10966
  • Lowerbound of 95% confidence interval for alpha
    -0.01647
  • Upperbound of 95% confidence interval for alpha
    0.52175
  • Treynor index (mean / b)
    8.94645
  • Jensen alpha (a)
    0.25264
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25770
  • SD
    0.09535
  • Sharpe ratio (Glass type estimate)
    2.70271
  • Sharpe ratio (Hedges UMVUE)
    2.68709
  • df
    130.00000
  • t
    1.91111
  • p
    0.41735
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.09348
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.48882
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10389
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.47808
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.48409
  • Upside Potential Ratio
    8.86827
  • Upside part of mean
    0.50965
  • Downside part of mean
    -0.25195
  • Upside SD
    0.07728
  • Downside SD
    0.05747
  • N nonnegative terms
    53.00000
  • N negative terms
    78.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31014
  • Mean of criterion
    0.25770
  • SD of predictor
    0.20801
  • SD of criterion
    0.09535
  • Covariance
    0.00132
  • r
    0.06652
  • b (slope, estimate of beta)
    0.03049
  • a (intercept, estimate of alpha)
    0.24824
  • Mean Square Error
    0.00912
  • DF error
    129.00000
  • t(b)
    0.75718
  • p(b)
    0.45768
  • t(a)
    1.83015
  • p(a)
    0.39915
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    -0.04918
  • Upperbound of 95% confidence interval for beta
    0.11016
  • Lowerbound of 95% confidence interval for alpha
    -0.02013
  • Upperbound of 95% confidence interval for alpha
    0.51660
  • Treynor index (mean / b)
    8.45177
  • Jensen alpha (a)
    0.24824
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00867
  • Expected Shortfall on VaR
    0.01110
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00238
  • Expected Shortfall on VaR
    0.00537
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97966
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00131
  • Maximum
    1.02595
  • Mean of quarter 1
    0.99646
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00039
  • Mean of quarter 4
    1.00756
  • Inter Quartile Range
    0.00131
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.99056
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.17557
  • Mean of outliers high
    1.00976
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.41646
  • VaR(95%) (moments method)
    0.00207
  • Expected Shortfall (moments method)
    0.00326
  • Extreme Value Index (regression method)
    -0.66649
  • VaR(95%) (regression method)
    0.00601
  • Expected Shortfall (regression method)
    0.00925
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00031
  • Median
    0.00427
  • Quartile 3
    0.01394
  • Maximum
    0.06622
  • Mean of quarter 1
    0.00019
  • Mean of quarter 2
    0.00250
  • Mean of quarter 3
    0.01142
  • Mean of quarter 4
    0.04129
  • Inter Quartile Range
    0.01364
  • 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
    0.11111
  • Mean of outliers high
    0.06622
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.60310
  • VaR(95%) (moments method)
    0.04292
  • Expected Shortfall (moments method)
    0.11714
  • Extreme Value Index (regression method)
    3.35988
  • VaR(95%) (regression method)
    0.16589
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -292982000
  • Max Equity Drawdown (num days)
    9
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30700
  • Compounded annual return (geometric extrapolation)
    0.33056
  • Calmar ratio (compounded annual return / max draw down)
    4.99207
  • Compounded annual return / average of 25% largest draw downs
    8.00499
  • Compounded annual return / Expected Shortfall lognormal
    29.77390

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 0.6%
Rank # 
#4
# Trades
383
# Profitable
215
% Profitable
56.1%
Correlation S&P500
0.060
Sharpe Ratio
3.36
Sortino Ratio
8.05
Beta
0.02
Alpha
0.14
Leverage
2.03 Average
12.24 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.