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

Peak Crest Factor
(127677335)

Created by: FuturesPro FuturesPro
Started: 02/2020
Futures
Last trade: 5 days ago

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 $200.00 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.

36.2%
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.

(54.9%)
Max Drawdown
165
Num Trades
98.8%
Win Trades
1.3 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020       +6.9%+37.1%+56.0%+19.7%+9.7%(37.6%)(27.3%)                        +36.2%

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 1,145 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/30/20 9:05 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 2 9947.64 6/30 9:39 9994.50 0.01%
Trade id #129818949
Max drawdown($18)
Time6/30/20 9:31
Quant open2
Worst price9943.00
Drawdown as % of equity-0.01%
$185
Includes Typical Broker Commissions trade costs of $1.88
6/26/20 13:05 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 17 9830.08 6/29 10:38 9860.00 2.24%
Trade id #129778809
Max drawdown($3,316)
Time6/29/20 9:52
Quant open15
Worst price9729.50
Drawdown as % of equity-2.24%
$1,001
Includes Typical Broker Commissions trade costs of $15.98
6/26/20 9:58 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 13 9949.22 6/26 11:48 9962.25 1.71%
Trade id #129773721
Max drawdown($2,537)
Time6/26/20 10:50
Quant open12
Worst price9851.00
Drawdown as % of equity-1.71%
$327
Includes Typical Broker Commissions trade costs of $12.22
6/25/20 13:21 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 6 10002.64 6/25 15:05 10025.00 0.29%
Trade id #129760137
Max drawdown($427)
Time6/25/20 14:35
Quant open5
Worst price9966.00
Drawdown as % of equity-0.29%
$262
Includes Typical Broker Commissions trade costs of $5.64
6/25/20 12:02 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 3 10010.47 6/25 12:16 10030.50 n/a $117
Includes Typical Broker Commissions trade costs of $2.82
6/25/20 10:55 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 6 9971.53 6/25 11:23 10000.50 0.22%
Trade id #129756770
Max drawdown($330)
Time6/25/20 11:11
Quant open6
Worst price9944.00
Drawdown as % of equity-0.22%
$342
Includes Typical Broker Commissions trade costs of $5.64
6/24/20 10:45 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 12 10009.18 6/24 15:47 10033.46 1.29%
Trade id #129726673
Max drawdown($1,911)
Time6/24/20 11:49
Quant open11
Worst price9927.25
Drawdown as % of equity-1.29%
$572
Includes Typical Broker Commissions trade costs of $11.28
6/23/20 14:59 @MNQU0 MICRO E-MINI NASDAQ 100 SHORT 3 10243.04 6/23 15:26 10214.00 0.04%
Trade id #129710193
Max drawdown($52)
Time6/23/20 15:16
Quant open3
Worst price10251.80
Drawdown as % of equity-0.04%
$171
Includes Typical Broker Commissions trade costs of $2.82
6/23/20 13:53 @ESU0 E-MINI S&P 500 SHORT 3 3141.74 6/23 13:58 3140.62 0.05%
Trade id #129708990
Max drawdown($77)
Time6/23/20 13:56
Quant open3
Worst price3142.25
Drawdown as % of equity-0.05%
$143
Includes Typical Broker Commissions trade costs of $24.00
6/22/20 9:50 @MNQU0 MICRO E-MINI NASDAQ 100 SHORT 26 10067.94 6/22 21:30 10020.08 3.3%
Trade id #129685726
Max drawdown($4,682)
Time6/22/20 19:42
Quant open26
Worst price10158.00
Drawdown as % of equity-3.30%
$2,465
Includes Typical Broker Commissions trade costs of $24.44
6/19/20 10:38 @MNQU0 MICRO E-MINI NASDAQ 100 SHORT 4 10091.33 6/19 12:05 10040.00 0.03%
Trade id #129660506
Max drawdown($41)
Time6/19/20 11:12
Quant open4
Worst price10096.50
Drawdown as % of equity-0.03%
$407
Includes Typical Broker Commissions trade costs of $3.76
6/18/20 13:00 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 3 9976.56 6/18 13:49 9992.00 0.03%
Trade id #129639750
Max drawdown($42)
Time6/18/20 13:05
Quant open3
Worst price9969.50
Drawdown as % of equity-0.03%
$90
Includes Typical Broker Commissions trade costs of $2.82
6/18/20 10:06 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 5 9975.00 6/18 11:15 10005.00 0.36%
Trade id #129635764
Max drawdown($530)
Time6/18/20 10:33
Quant open5
Worst price9922.00
Drawdown as % of equity-0.36%
$295
Includes Typical Broker Commissions trade costs of $4.70
6/17/20 12:37 @MNQU0 MICRO E-MINI NASDAQ 100 SHORT 6 10029.75 6/17 15:14 9997.04 0.14%
Trade id #129606687
Max drawdown($208)
Time6/17/20 13:43
Quant open5
Worst price10047.50
Drawdown as % of equity-0.14%
$386
Includes Typical Broker Commissions trade costs of $5.64
6/17/20 11:12 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 5 9993.31 6/17 12:32 10020.66 0.14%
Trade id #129604621
Max drawdown($197)
Time6/17/20 11:24
Quant open4
Worst price9973.25
Drawdown as % of equity-0.14%
$269
Includes Typical Broker Commissions trade costs of $4.70
6/16/20 9:49 @MNQU0 MICRO E-MINI NASDAQ 100 SHORT 4 9981.80 6/16 10:45 9914.43 0.11%
Trade id #129578183
Max drawdown($163)
Time6/16/20 10:18
Quant open4
Worst price10002.20
Drawdown as % of equity-0.11%
$535
Includes Typical Broker Commissions trade costs of $3.76
6/15/20 14:23 @MNQU0 MICRO E-MINI NASDAQ 100 SHORT 3 9778.56 6/15 15:29 9745.00 0.08%
Trade id #129562744
Max drawdown($119)
Time6/15/20 14:30
Quant open3
Worst price9798.50
Drawdown as % of equity-0.08%
$198
Includes Typical Broker Commissions trade costs of $2.82
6/15/20 10:22 @MNQM0 MICRO E-MINI NASDAQ 100 SHORT 3 9619.15 6/15 10:31 9580.92 n/a $226
Includes Typical Broker Commissions trade costs of $2.82
6/15/20 10:11 @MNQM0 MICRO E-MINI NASDAQ 100 SHORT 30 9625.84 6/15 10:12 9622.26 n/a $187
Includes Typical Broker Commissions trade costs of $28.20
6/11/20 12:29 @MNQM0 MICRO E-MINI NASDAQ 100 LONG 18 9685.48 6/11 22:48 9713.79 2.41%
Trade id #129509113
Max drawdown($3,373)
Time6/11/20 16:01
Quant open17
Worst price9586.25
Drawdown as % of equity-2.41%
$1,002
Includes Typical Broker Commissions trade costs of $16.92
6/9/20 9:45 @MNQM0 MICRO E-MINI NASDAQ 100 SHORT 31 9989.81 6/11 3:12 9954.72 5.99%
Trade id #129434325
Max drawdown($8,273)
Time6/10/20 0:00
Quant open19
Worst price10155.50
Drawdown as % of equity-5.99%
$2,147
Includes Typical Broker Commissions trade costs of $29.14
6/5/20 9:50 @MNQM0 MICRO E-MINI NASDAQ 100 SHORT 15 9799.10 6/8 10:03 9760.00 1.08%
Trade id #129378694
Max drawdown($1,497)
Time6/8/20 2:01
Quant open15
Worst price9849.00
Drawdown as % of equity-1.08%
$1,159
Includes Typical Broker Commissions trade costs of $14.10
6/4/20 9:51 @MNQM0 MICRO E-MINI NASDAQ 100 SHORT 9 9734.07 6/4 11:11 9679.11 0.09%
Trade id #129354597
Max drawdown($125)
Time6/4/20 9:58
Quant open7
Worst price9742.50
Drawdown as % of equity-0.09%
$981
Includes Typical Broker Commissions trade costs of $8.46
6/3/20 9:39 @MNQM0 MICRO E-MINI NASDAQ 100 SHORT 17 9687.08 6/3 18:26 9679.46 1.02%
Trade id #129331062
Max drawdown($1,399)
Time6/3/20 15:51
Quant open17
Worst price9728.25
Drawdown as % of equity-1.02%
$243
Includes Typical Broker Commissions trade costs of $15.98
6/1/20 9:52 @MNQM0 MICRO E-MINI NASDAQ 100 SHORT 13 9579.36 6/2 11:02 9529.00 1.71%
Trade id #129286973
Max drawdown($2,350)
Time6/2/20 0:00
Quant open13
Worst price9669.75
Drawdown as % of equity-1.71%
$1,297
Includes Typical Broker Commissions trade costs of $12.22
5/29/20 9:51 @MNQM0 MICRO E-MINI NASDAQ 100 LONG 10 9432.64 5/29 14:09 9480.00 0.89%
Trade id #129259510
Max drawdown($1,207)
Time5/29/20 11:05
Quant open10
Worst price9372.25
Drawdown as % of equity-0.89%
$938
Includes Typical Broker Commissions trade costs of $9.40
5/28/20 10:05 @MNQM0 MICRO E-MINI NASDAQ 100 SHORT 22 9505.03 5/28 15:21 9477.50 2.01%
Trade id #129237606
Max drawdown($2,660)
Time5/28/20 13:46
Quant open22
Worst price9565.50
Drawdown as % of equity-2.01%
$1,191
Includes Typical Broker Commissions trade costs of $20.68
5/27/20 9:40 @MNQM0 MICRO E-MINI NASDAQ 100 LONG 17 9265.44 5/27 12:08 9305.09 2.36%
Trade id #129212398
Max drawdown($3,106)
Time5/27/20 10:50
Quant open16
Worst price9173.25
Drawdown as % of equity-2.36%
$1,332
Includes Typical Broker Commissions trade costs of $15.98
5/22/20 10:01 @MNQM0 MICRO E-MINI NASDAQ 100 SHORT 48 9475.20 5/26 11:32 9447.12 10.36%
Trade id #129150219
Max drawdown($12,365)
Time5/26/20 2:44
Quant open48
Worst price9604.00
Drawdown as % of equity-10.36%
$2,651
Includes Typical Broker Commissions trade costs of $45.12
5/21/20 11:21 @MNQM0 MICRO E-MINI NASDAQ 100 LONG 3 9363.08 5/21 11:36 9394.00 0.04%
Trade id #129132440
Max drawdown($48)
Time5/21/20 11:27
Quant open3
Worst price9355.00
Drawdown as % of equity-0.04%
$183
Includes Typical Broker Commissions trade costs of $2.82

Statistics

  • Strategy began
    2/24/2020
  • Suggested Minimum Cap
    $70,000
  • Strategy Age (days)
    165.81
  • Age
    166 days ago
  • What it trades
    Futures
  • # Trades
    165
  • # Profitable
    163
  • % Profitable
    98.80%
  • Avg trade duration
    10.8 hours
  • Max peak-to-valley drawdown
    54.91%
  • drawdown period
    July 01, 2020 - Aug 06, 2020
  • Cumul. Return
    36.2%
  • Avg win
    $640.29
  • Avg loss
    $41,698
  • Model Account Values (Raw)
  • Cash
    $154,346
  • Margin Used
    $38,350
  • Buying Power
    $32,622
  • Ratios
  • W:L ratio
    1.25:1
  • Sharpe Ratio
    1.07
  • Sortino Ratio
    1.7
  • Calmar Ratio
    1.379
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    32.27%
  • Correlation to SP500
    0.07180
  • Return Percent SP500 (cumu) during strategy life
    3.89%
  • Return Statistics
  • Ann Return (w trading costs)
    95.0%
  • Slump
  • Current Slump as Pcnt Equity
    121.50%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.22%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.362%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    115.1%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    736
  • Popularity (Last 6 weeks)
    990
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    775
  • Popularity (7 days, Percentile 1000 scale)
    927
  • 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
    $41,698
  • Avg Win
    $640
  • Sum Trade PL (losers)
    $83,396.000
  • AUM
  • AUM (AutoTrader num accounts)
    2
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $104,368.000
  • # Winners
    163
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    277199
  • Win / Loss
  • # Losers
    2
  • % Winners
    98.8%
  • Frequency
  • Avg Position Time (mins)
    648.60
  • Avg Position Time (hrs)
    10.81
  • Avg Trade Length
    0.5 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    5.57
  • Daily leverage (max)
    26.80
  • Regression
  • Alpha
    0.37
  • Beta
    0.16
  • Treynor Index
    2.37
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.72
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.75
  • Avg(MAE) / Avg(PL) - All trades
    -164.960
  • 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
    1.50
  • Avg(MAE) / Avg(PL) - Winning trades
    2.790
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.000
  • Hold-and-Hope Ratio
    0.046
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.00212
  • SD
    0.76658
  • Sharpe ratio (Glass type estimate)
    3.91625
  • Sharpe ratio (Hedges UMVUE)
    3.12471
  • df
    4.00000
  • t
    2.52793
  • p
    0.03240
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21497
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.79997
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60462
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.85404
  • Statistics related to Sortino ratio
  • Sortino ratio
    31.77290
  • Upside Potential Ratio
    33.32210
  • Upside part of mean
    3.14849
  • Downside part of mean
    -0.14638
  • Upside SD
    1.10102
  • Downside SD
    0.09449
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.07218
  • Mean of criterion
    3.00212
  • SD of predictor
    0.49400
  • SD of criterion
    0.76658
  • Covariance
    -0.16717
  • r
    -0.44143
  • b (slope, estimate of beta)
    -0.68500
  • a (intercept, estimate of alpha)
    3.05156
  • Mean Square Error
    0.63085
  • DF error
    3.00000
  • t(b)
    -0.85209
  • p(b)
    0.77161
  • t(a)
    2.47726
  • p(a)
    0.04474
  • Lowerbound of 95% confidence interval for beta
    -3.24338
  • Upperbound of 95% confidence interval for beta
    1.87339
  • Lowerbound of 95% confidence interval for alpha
    -0.86868
  • Upperbound of 95% confidence interval for alpha
    6.97180
  • Treynor index (mean / b)
    -4.38267
  • Jensen alpha (a)
    3.05156
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.51629
  • SD
    0.63603
  • Sharpe ratio (Glass type estimate)
    3.95621
  • Sharpe ratio (Hedges UMVUE)
    3.15660
  • df
    4.00000
  • t
    2.55372
  • p
    0.03153
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.19230
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.85736
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58560
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.89881
  • Statistics related to Sortino ratio
  • Sortino ratio
    25.87250
  • Upside Potential Ratio
    27.42170
  • Upside part of mean
    2.66696
  • Downside part of mean
    -0.15067
  • Upside SD
    0.91750
  • Downside SD
    0.09726
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.03555
  • Mean of criterion
    2.51629
  • SD of predictor
    0.53280
  • SD of criterion
    0.63603
  • Covariance
    -0.15087
  • r
    -0.44520
  • b (slope, estimate of beta)
    -0.53146
  • a (intercept, estimate of alpha)
    2.49739
  • Mean Square Error
    0.43248
  • DF error
    3.00000
  • t(b)
    -0.86116
  • p(b)
    0.77376
  • t(a)
    2.45075
  • p(a)
    0.04581
  • Lowerbound of 95% confidence interval for beta
    -2.49549
  • Upperbound of 95% confidence interval for beta
    1.43257
  • Lowerbound of 95% confidence interval for alpha
    -0.74563
  • Upperbound of 95% confidence interval for alpha
    5.74041
  • Treynor index (mean / b)
    -4.73468
  • Jensen alpha (a)
    2.49739
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08818
  • Expected Shortfall on VaR
    0.15362
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01386
  • Expected Shortfall on VaR
    0.03438
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.94134
  • Quartile 1
    1.19131
  • Median
    1.20262
  • Quartile 3
    1.42073
  • Maximum
    1.50652
  • Mean of quarter 1
    1.06632
  • Mean of quarter 2
    1.20262
  • Mean of quarter 3
    1.42073
  • Mean of quarter 4
    1.50652
  • Inter Quartile Range
    0.22942
  • 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
    0.05866
  • Quartile 1
    0.05866
  • Median
    0.05866
  • Quartile 3
    0.05866
  • Maximum
    0.05866
  • 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)
    4.52785
  • Compounded annual return (geometric extrapolation)
    11.73290
  • Calmar ratio (compounded annual return / max draw down)
    200.00700
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    76.37660
  • 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
    1.25352
  • SD
    1.24488
  • Sharpe ratio (Glass type estimate)
    1.00694
  • Sharpe ratio (Hedges UMVUE)
    1.00053
  • df
    118.00000
  • t
    0.67862
  • p
    0.46882
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.90616
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.91586
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.91048
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.91153
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.83218
  • Upside Potential Ratio
    8.52463
  • Upside part of mean
    5.83227
  • Downside part of mean
    -4.57875
  • Upside SD
    1.03663
  • Downside SD
    0.68417
  • N nonnegative terms
    75.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    119.00000
  • Mean of predictor
    0.17100
  • Mean of criterion
    1.25352
  • SD of predictor
    0.47909
  • SD of criterion
    1.24488
  • Covariance
    0.07576
  • r
    0.12703
  • b (slope, estimate of beta)
    0.33007
  • a (intercept, estimate of alpha)
    1.19700
  • Mean Square Error
    1.53774
  • DF error
    117.00000
  • t(b)
    1.38524
  • p(b)
    0.41935
  • t(a)
    0.65042
  • p(a)
    0.46181
  • Lowerbound of 95% confidence interval for beta
    -0.14183
  • Upperbound of 95% confidence interval for beta
    0.80197
  • Lowerbound of 95% confidence interval for alpha
    -2.44785
  • Upperbound of 95% confidence interval for alpha
    4.84200
  • Treynor index (mean / b)
    3.79774
  • Jensen alpha (a)
    1.19707
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56042
  • SD
    1.15686
  • Sharpe ratio (Glass type estimate)
    0.48443
  • Sharpe ratio (Hedges UMVUE)
    0.48135
  • df
    118.00000
  • t
    0.32648
  • p
    0.48498
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.42536
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.39236
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.42751
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.39020
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.76042
  • Upside Potential Ratio
    7.32310
  • Upside part of mean
    5.39700
  • Downside part of mean
    -4.83658
  • Upside SD
    0.88607
  • Downside SD
    0.73698
  • N nonnegative terms
    75.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    119.00000
  • Mean of predictor
    0.05605
  • Mean of criterion
    0.56042
  • SD of predictor
    0.48286
  • SD of criterion
    1.15686
  • Covariance
    0.05826
  • r
    0.10430
  • b (slope, estimate of beta)
    0.24990
  • a (intercept, estimate of alpha)
    0.54641
  • Mean Square Error
    1.33508
  • DF error
    117.00000
  • t(b)
    1.13439
  • p(b)
    0.43372
  • t(a)
    0.31870
  • p(a)
    0.48125
  • Lowerbound of 95% confidence interval for beta
    -0.18638
  • Upperbound of 95% confidence interval for beta
    0.68617
  • Lowerbound of 95% confidence interval for alpha
    -2.84910
  • Upperbound of 95% confidence interval for alpha
    3.94192
  • Treynor index (mean / b)
    2.24261
  • Jensen alpha (a)
    0.54641
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10901
  • Expected Shortfall on VaR
    0.13492
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03220
  • Expected Shortfall on VaR
    0.07086
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    119.00000
  • Minimum
    0.79263
  • Quartile 1
    0.98311
  • Median
    1.00444
  • Quartile 3
    1.01713
  • Maximum
    1.54029
  • Mean of quarter 1
    0.93397
  • Mean of quarter 2
    0.99814
  • Mean of quarter 3
    1.00938
  • Mean of quarter 4
    1.07823
  • Inter Quartile Range
    0.03402
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.09244
  • Mean of outliers low
    0.87452
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.07563
  • Mean of outliers high
    1.17654
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.60689
  • VaR(95%) (moments method)
    0.06814
  • Expected Shortfall (moments method)
    0.19263
  • Extreme Value Index (regression method)
    0.09486
  • VaR(95%) (regression method)
    0.05221
  • Expected Shortfall (regression method)
    0.07728
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00037
  • Quartile 1
    0.00375
  • Median
    0.01114
  • Quartile 3
    0.02511
  • Maximum
    0.58069
  • Mean of quarter 1
    0.00166
  • Mean of quarter 2
    0.00786
  • Mean of quarter 3
    0.01968
  • Mean of quarter 4
    0.19788
  • Inter Quartile Range
    0.02136
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10526
  • Mean of outliers high
    0.42693
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.86547
  • VaR(95%) (moments method)
    0.15896
  • Expected Shortfall (moments method)
    1.34676
  • Extreme Value Index (regression method)
    1.61231
  • VaR(95%) (regression method)
    0.24899
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.67443
  • Compounded annual return (geometric extrapolation)
    0.80097
  • Calmar ratio (compounded annual return / max draw down)
    1.37933
  • Compounded annual return / average of 25% largest draw downs
    4.04770
  • Compounded annual return / Expected Shortfall lognormal
    5.93648
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.10900
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.50%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -258435000
  • Max Equity Drawdown (num days)
    36

Strategy Description

Summary Statistics

Strategy began
2020-02-24
Suggested Minimum Capital
$70,000
Rank at C2 
#144
# Trades
165
# Profitable
163
% Profitable
98.8%
Correlation S&P500
0.072
Sharpe Ratio
1.07
Sortino Ratio
1.70
Beta
0.16
Alpha
0.37
Leverage
5.57 Average
26.80 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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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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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.