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

X GoldFuturES
(125982253)

Created by: LarryBrown LarryBrown
Started: 10/2019
Futures
Last trade: 7 days ago
Trading style: Futures Momentum

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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
125.7%
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.

(23.2%)
Max Drawdown
512
Num Trades
57.4%
Win Trades
1.4 : 1
Profit Factor
76.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                               +2.0%+1.6%+13.1%+17.2%
2020+1.0%(6.7%)+74.7%+12.2%+5.7%+4.4%(15.1%)+1.8%+19.8%(8.9%)            +92.5%

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 166 hours.

Trading Record

This strategy has placed 900 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
10/13/20 4:52 @MESZ0 MICRO E-MINI S&P 500 LONG 10 3524.25 10/13 5:03 3526.23 n/a $90
Includes Typical Broker Commissions trade costs of $9.40
10/13/20 2:21 @MESZ0 MICRO E-MINI S&P 500 LONG 5 3529.50 10/13 2:37 3520.65 0.38%
Trade id #131660032
Max drawdown($218)
Time10/13/20 2:37
Quant open5
Worst price3520.75
Drawdown as % of equity-0.38%
($226)
Includes Typical Broker Commissions trade costs of $4.70
10/5/20 10:10 @ESZ0 E-MINI S&P 500 LONG 1 3371.75 10/5 10:54 3384.25 n/a $617
Includes Typical Broker Commissions trade costs of $8.00
10/5/20 9:32 @ESZ0 E-MINI S&P 500 LONG 2 3368.88 10/5 10:09 3371.75 0.81%
Trade id #131514626
Max drawdown($462)
Time10/5/20 9:56
Quant open2
Worst price3364.25
Drawdown as % of equity-0.81%
$272
Includes Typical Broker Commissions trade costs of $16.00
10/5/20 8:28 @ESZ0 E-MINI S&P 500 LONG 2 3360.38 10/5 9:06 3361.25 0.42%
Trade id #131513203
Max drawdown($237)
Time10/5/20 8:43
Quant open2
Worst price3358.00
Drawdown as % of equity-0.42%
$72
Includes Typical Broker Commissions trade costs of $16.00
10/5/20 7:48 @ESZ0 E-MINI S&P 500 LONG 1 3364.25 10/5 8:19 3357.50 0.59%
Trade id #131512622
Max drawdown($337)
Time10/5/20 8:19
Quant open1
Worst price3357.50
Drawdown as % of equity-0.59%
($346)
Includes Typical Broker Commissions trade costs of $8.00
10/2/20 4:08 @MESZ0 MICRO E-MINI S&P 500 SHORT 5 3326.50 10/2 4:17 3325.75 0.04%
Trade id #131478495
Max drawdown($25)
Time10/2/20 4:16
Quant open5
Worst price3327.50
Drawdown as % of equity-0.04%
$14
Includes Typical Broker Commissions trade costs of $4.70
10/2/20 3:25 @MESZ0 MICRO E-MINI S&P 500 SHORT 5 3335.13 10/2 3:52 3323.77 0.19%
Trade id #131477859
Max drawdown($109)
Time10/2/20 3:28
Quant open5
Worst price3339.50
Drawdown as % of equity-0.19%
$279
Includes Typical Broker Commissions trade costs of $4.70
9/30/20 9:47 @ESZ0 E-MINI S&P 500 LONG 1 3344.50 9/30 9:52 3344.75 0.17%
Trade id #131435287
Max drawdown($100)
Time9/30/20 9:50
Quant open1
Worst price3342.50
Drawdown as % of equity-0.17%
$5
Includes Typical Broker Commissions trade costs of $8.00
9/30/20 9:07 @ESZ0 E-MINI S&P 500 LONG 1 3333.00 9/30 9:34 3342.00 0.22%
Trade id #131433977
Max drawdown($125)
Time9/30/20 9:28
Quant open1
Worst price3330.50
Drawdown as % of equity-0.22%
$442
Includes Typical Broker Commissions trade costs of $8.00
9/30/20 8:47 @MESZ0 MICRO E-MINI S&P 500 LONG 10 3329.88 9/30 9:08 3332.75 0.08%
Trade id #131433706
Max drawdown($43)
Time9/30/20 9:05
Quant open10
Worst price3329.00
Drawdown as % of equity-0.08%
$135
Includes Typical Broker Commissions trade costs of $9.40
9/30/20 8:10 @ESZ0 E-MINI S&P 500 LONG 4 3317.56 9/30 8:47 3329.69 n/a $2,393
Includes Typical Broker Commissions trade costs of $32.00
9/30/20 7:24 @ESZ0 E-MINI S&P 500 LONG 2 3316.62 9/30 8:06 3312.25 1.03%
Trade id #131432476
Max drawdown($562)
Time9/30/20 8:06
Quant open2
Worst price3311.00
Drawdown as % of equity-1.03%
($454)
Includes Typical Broker Commissions trade costs of $16.00
9/30/20 6:50 @MESZ0 MICRO E-MINI S&P 500 LONG 10 3320.62 9/30 7:14 3317.75 0.34%
Trade id #131432145
Max drawdown($187)
Time9/30/20 7:00
Quant open5
Worst price3316.00
Drawdown as % of equity-0.34%
($153)
Includes Typical Broker Commissions trade costs of $9.40
9/30/20 6:43 @ESZ0 E-MINI S&P 500 LONG 1 3321.75 9/30 6:46 3323.75 n/a $92
Includes Typical Broker Commissions trade costs of $8.00
9/30/20 6:26 @ESZ0 E-MINI S&P 500 LONG 2 3311.25 9/30 6:43 3321.00 0.14%
Trade id #131431841
Max drawdown($75)
Time9/30/20 6:29
Quant open2
Worst price3310.50
Drawdown as % of equity-0.14%
$959
Includes Typical Broker Commissions trade costs of $16.00
9/30/20 5:29 @ESZ0 E-MINI S&P 500 SHORT 2 3296.75 9/30 5:36 3303.25 1.33%
Trade id #131431364
Max drawdown($725)
Time9/30/20 5:36
Quant open2
Worst price3304.00
Drawdown as % of equity-1.33%
($666)
Includes Typical Broker Commissions trade costs of $16.00
9/30/20 3:31 @ESZ0 E-MINI S&P 500 LONG 2 3316.75 9/30 3:37 3317.00 0.14%
Trade id #131430271
Max drawdown($75)
Time9/30/20 3:34
Quant open2
Worst price3316.00
Drawdown as % of equity-0.14%
$9
Includes Typical Broker Commissions trade costs of $16.00
9/30/20 3:14 @ESZ0 E-MINI S&P 500 SHORT 1 3312.50 9/30 3:29 3312.00 0.41%
Trade id #131430140
Max drawdown($225)
Time9/30/20 3:19
Quant open1
Worst price3317.00
Drawdown as % of equity-0.41%
$17
Includes Typical Broker Commissions trade costs of $8.00
9/30/20 2:07 @ESZ0 E-MINI S&P 500 SHORT 2 3293.50 9/30 2:27 3298.00 1.14%
Trade id #131429448
Max drawdown($625)
Time9/30/20 2:27
Quant open2
Worst price3299.75
Drawdown as % of equity-1.14%
($466)
Includes Typical Broker Commissions trade costs of $16.00
9/30/20 0:15 @ESZ0 E-MINI S&P 500 SHORT 1 3311.75 9/30 0:24 3304.75 n/a $342
Includes Typical Broker Commissions trade costs of $8.00
9/29/20 22:49 @ESZ0 E-MINI S&P 500 SHORT 4 3326.73 9/29 23:38 3319.92 1.42%
Trade id #131427363
Max drawdown($754)
Time9/29/20 22:52
Quant open2
Worst price3336.75
Drawdown as % of equity-1.42%
$1,331
Includes Typical Broker Commissions trade costs of $32.00
9/29/20 22:36 @ESZ0 E-MINI S&P 500 LONG 1 3354.50 9/29 22:48 3330.33 2.41%
Trade id #131427153
Max drawdown($1,312)
Time9/29/20 22:48
Quant open1
Worst price3328.25
Drawdown as % of equity-2.41%
($1,216)
Includes Typical Broker Commissions trade costs of $8.00
9/29/20 21:16 @ESZ0 E-MINI S&P 500 LONG 4 3341.22 9/29 22:16 3355.25 n/a $2,774
Includes Typical Broker Commissions trade costs of $32.00
9/29/20 20:38 @ESZ0 E-MINI S&P 500 SHORT 2 3335.25 9/29 21:15 3338.00 0.63%
Trade id #131425973
Max drawdown($325)
Time9/29/20 21:15
Quant open2
Worst price3338.50
Drawdown as % of equity-0.63%
($291)
Includes Typical Broker Commissions trade costs of $16.00
9/29/20 20:05 @ESZ0 E-MINI S&P 500 LONG 2 3338.00 9/29 20:35 3335.75 0.58%
Trade id #131425685
Max drawdown($300)
Time9/29/20 20:31
Quant open2
Worst price3335.00
Drawdown as % of equity-0.58%
($241)
Includes Typical Broker Commissions trade costs of $16.00
9/29/20 14:29 @ESZ0 E-MINI S&P 500 LONG 2 3336.50 9/29 15:21 3332.50 0.9%
Trade id #131421012
Max drawdown($475)
Time9/29/20 15:01
Quant open2
Worst price3331.75
Drawdown as % of equity-0.90%
($416)
Includes Typical Broker Commissions trade costs of $16.00
9/29/20 4:18 @ESZ0 E-MINI S&P 500 LONG 2 3340.25 9/29 4:31 3340.25 0.14%
Trade id #131408780
Max drawdown($75)
Time9/29/20 4:23
Quant open2
Worst price3339.50
Drawdown as % of equity-0.14%
($16)
Includes Typical Broker Commissions trade costs of $16.00
9/29/20 3:15 @ESZ0 E-MINI S&P 500 SHORT 2 3336.00 9/29 3:47 3340.25 1.27%
Trade id #131407905
Max drawdown($675)
Time9/29/20 3:26
Quant open2
Worst price3342.75
Drawdown as % of equity-1.27%
($441)
Includes Typical Broker Commissions trade costs of $16.00
9/29/20 0:13 @ESZ0 E-MINI S&P 500 LONG 2 3357.50 9/29 1:11 3360.25 0.24%
Trade id #131406402
Max drawdown($125)
Time9/29/20 0:31
Quant open2
Worst price3356.25
Drawdown as % of equity-0.24%
$259
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    10/29/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    357.02
  • Age
    12 months ago
  • What it trades
    Futures
  • # Trades
    512
  • # Profitable
    294
  • % Profitable
    57.40%
  • Avg trade duration
    5.8 hours
  • Max peak-to-valley drawdown
    23.16%
  • drawdown period
    July 22, 2020 - Aug 04, 2020
  • Cumul. Return
    125.7%
  • Avg win
    $407.38
  • Avg loss
    $383.66
  • Model Account Values (Raw)
  • Cash
    $59,226
  • Margin Used
    $0
  • Buying Power
    $59,226
  • Ratios
  • W:L ratio
    1.43:1
  • Sharpe Ratio
    2.1
  • Sortino Ratio
    4.05
  • Calmar Ratio
    9.457
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    112.81%
  • Correlation to SP500
    0.00050
  • Return Percent SP500 (cumu) during strategy life
    12.84%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    127.9%
  • Slump
  • Current Slump as Pcnt Equity
    11.50%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.257%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    161.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    9804.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    846
  • Popularity (Last 6 weeks)
    951
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    899
  • Popularity (7 days, Percentile 1000 scale)
    868
  • 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
    $384
  • Avg Win
    $407
  • Sum Trade PL (losers)
    $83,638.000
  • AUM
  • AUM (AutoTrader num accounts)
    2
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $119,770.000
  • # Winners
    294
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    162128
  • Win / Loss
  • # Losers
    218
  • % Winners
    57.4%
  • Frequency
  • Avg Position Time (mins)
    346.88
  • Avg Position Time (hrs)
    5.78
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    5.42
  • Daily leverage (max)
    21.65
  • Regression
  • Alpha
    0.24
  • Beta
    0.00
  • Treynor Index
    480.82
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.24
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -18.535
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.532
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.024
  • Hold-and-Hope Ratio
    -0.054
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.32099
  • SD
    0.75639
  • Sharpe ratio (Glass type estimate)
    1.74645
  • Sharpe ratio (Hedges UMVUE)
    1.61152
  • df
    10.00000
  • t
    1.67209
  • p
    0.06273
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47339
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.89068
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55400
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.77705
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.93072
  • Upside Potential Ratio
    10.23940
  • Upside part of mean
    1.51457
  • Downside part of mean
    -0.19358
  • Upside SD
    0.80228
  • Downside SD
    0.14791
  • N nonnegative terms
    9.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.13633
  • Mean of criterion
    1.32099
  • SD of predictor
    0.31129
  • SD of criterion
    0.75639
  • Covariance
    -0.16662
  • r
    -0.70762
  • b (slope, estimate of beta)
    -1.71941
  • a (intercept, estimate of alpha)
    1.55539
  • Mean Square Error
    0.31738
  • DF error
    9.00000
  • t(b)
    -3.00439
  • p(b)
    0.99257
  • t(a)
    2.62041
  • p(a)
    0.01390
  • Lowerbound of 95% confidence interval for beta
    -3.01405
  • Upperbound of 95% confidence interval for beta
    -0.42478
  • Lowerbound of 95% confidence interval for alpha
    0.21265
  • Upperbound of 95% confidence interval for alpha
    2.89813
  • Treynor index (mean / b)
    -0.76828
  • Jensen alpha (a)
    1.55539
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.07489
  • SD
    0.59595
  • Sharpe ratio (Glass type estimate)
    1.80365
  • Sharpe ratio (Hedges UMVUE)
    1.66431
  • df
    10.00000
  • t
    1.72686
  • p
    0.05745
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.42581
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.95564
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50887
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.83749
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.80988
  • Upside Potential Ratio
    8.10888
  • Upside part of mean
    1.27992
  • Downside part of mean
    -0.20504
  • Upside SD
    0.62788
  • Downside SD
    0.15784
  • N nonnegative terms
    9.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.08912
  • Mean of criterion
    1.07489
  • SD of predictor
    0.32475
  • SD of criterion
    0.59595
  • Covariance
    -0.13496
  • r
    -0.69735
  • b (slope, estimate of beta)
    -1.27971
  • a (intercept, estimate of alpha)
    1.18894
  • Mean Square Error
    0.20272
  • DF error
    9.00000
  • t(b)
    -2.91885
  • p(b)
    0.99147
  • t(a)
    2.51956
  • p(a)
    0.01640
  • Lowerbound of 95% confidence interval for beta
    -2.27151
  • Upperbound of 95% confidence interval for beta
    -0.28791
  • Lowerbound of 95% confidence interval for alpha
    0.12146
  • Upperbound of 95% confidence interval for alpha
    2.25642
  • Treynor index (mean / b)
    -0.83994
  • Jensen alpha (a)
    1.18894
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17585
  • Expected Shortfall on VaR
    0.23149
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01609
  • Expected Shortfall on VaR
    0.04372
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.86717
  • Quartile 1
    1.02218
  • Median
    1.06035
  • Quartile 3
    1.14014
  • Maximum
    1.71150
  • Mean of quarter 1
    0.94847
  • Mean of quarter 2
    1.04417
  • Mean of quarter 3
    1.10228
  • Mean of quarter 4
    1.35135
  • Inter Quartile Range
    0.11796
  • 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
    0.09091
  • Mean of outliers high
    1.71150
  • 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)
    -0.32488
  • VaR(95%) (regression method)
    0.14812
  • Expected Shortfall (regression method)
    0.20749
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03996
  • Quartile 1
    0.06318
  • Median
    0.08639
  • Quartile 3
    0.10961
  • Maximum
    0.13283
  • Mean of quarter 1
    0.03996
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.13283
  • Inter Quartile Range
    0.04643
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.90697
  • Compounded annual return (geometric extrapolation)
    2.01257
  • Calmar ratio (compounded annual return / max draw down)
    15.15170
  • Compounded annual return / average of 25% largest draw downs
    15.15170
  • Compounded annual return / Expected Shortfall lognormal
    8.69385
  • 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
    0.99639
  • SD
    0.32351
  • Sharpe ratio (Glass type estimate)
    3.07994
  • Sharpe ratio (Hedges UMVUE)
    3.07077
  • df
    252.00000
  • t
    3.02658
  • p
    0.00136
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.06442
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.08954
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.05831
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.08322
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.61352
  • Upside Potential Ratio
    10.96200
  • Upside part of mean
    1.65153
  • Downside part of mean
    -0.65514
  • Upside SD
    0.29212
  • Downside SD
    0.15066
  • N nonnegative terms
    131.00000
  • N negative terms
    122.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    253.00000
  • Mean of predictor
    0.15701
  • Mean of criterion
    0.99639
  • SD of predictor
    0.34473
  • SD of criterion
    0.32351
  • Covariance
    -0.00120
  • r
    -0.01074
  • b (slope, estimate of beta)
    -0.01008
  • a (intercept, estimate of alpha)
    0.99800
  • Mean Square Error
    0.10506
  • DF error
    251.00000
  • t(b)
    -0.17022
  • p(b)
    0.56751
  • t(a)
    3.02434
  • p(a)
    0.00138
  • Lowerbound of 95% confidence interval for beta
    -0.12673
  • Upperbound of 95% confidence interval for beta
    0.10657
  • Lowerbound of 95% confidence interval for alpha
    0.34809
  • Upperbound of 95% confidence interval for alpha
    1.64785
  • Treynor index (mean / b)
    -98.82640
  • Jensen alpha (a)
    0.99797
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.94449
  • SD
    0.31388
  • Sharpe ratio (Glass type estimate)
    3.00907
  • Sharpe ratio (Hedges UMVUE)
    3.00011
  • df
    252.00000
  • t
    2.95694
  • p
    0.00170
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.99443
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.01792
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.98847
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.01175
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.11360
  • Upside Potential Ratio
    10.42980
  • Upside part of mean
    1.61129
  • Downside part of mean
    -0.66680
  • Upside SD
    0.27869
  • Downside SD
    0.15449
  • N nonnegative terms
    131.00000
  • N negative terms
    122.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    253.00000
  • Mean of predictor
    0.09722
  • Mean of criterion
    0.94449
  • SD of predictor
    0.34733
  • SD of criterion
    0.31388
  • Covariance
    -0.00117
  • r
    -0.01074
  • b (slope, estimate of beta)
    -0.00971
  • a (intercept, estimate of alpha)
    0.94543
  • Mean Square Error
    0.09890
  • DF error
    251.00000
  • t(b)
    -0.17020
  • p(b)
    0.56750
  • t(a)
    2.95374
  • p(a)
    0.00172
  • Lowerbound of 95% confidence interval for beta
    -0.12204
  • Upperbound of 95% confidence interval for beta
    0.10262
  • Lowerbound of 95% confidence interval for alpha
    0.31505
  • Upperbound of 95% confidence interval for alpha
    1.57582
  • Treynor index (mean / b)
    -97.29610
  • Jensen alpha (a)
    0.94543
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02789
  • Expected Shortfall on VaR
    0.03572
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00539
  • Expected Shortfall on VaR
    0.01250
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    253.00000
  • Minimum
    0.92875
  • Quartile 1
    1.00000
  • Median
    1.00028
  • Quartile 3
    1.00437
  • Maximum
    1.17078
  • Mean of quarter 1
    0.99032
  • Mean of quarter 2
    1.00002
  • Mean of quarter 3
    1.00210
  • Mean of quarter 4
    1.02342
  • Inter Quartile Range
    0.00437
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.07510
  • Mean of outliers low
    0.97199
  • Number of outliers high
    40.00000
  • Percentage of outliers high
    0.15810
  • Mean of outliers high
    1.03291
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.93757
  • VaR(95%) (moments method)
    0.00491
  • Expected Shortfall (moments method)
    0.09565
  • Extreme Value Index (regression method)
    0.26811
  • VaR(95%) (regression method)
    0.00815
  • Expected Shortfall (regression method)
    0.01776
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00060
  • Median
    0.00181
  • Quartile 3
    0.00703
  • Maximum
    0.17387
  • Mean of quarter 1
    0.00040
  • Mean of quarter 2
    0.00132
  • Mean of quarter 3
    0.00600
  • Mean of quarter 4
    0.08426
  • Inter Quartile Range
    0.00643
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.19048
  • Mean of outliers high
    0.10164
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.66331
  • VaR(95%) (moments method)
    0.03194
  • Expected Shortfall (moments method)
    0.03741
  • Extreme Value Index (regression method)
    0.16843
  • VaR(95%) (regression method)
    0.08972
  • Expected Shortfall (regression method)
    0.15711
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.61281
  • Compounded annual return (geometric extrapolation)
    1.64428
  • Calmar ratio (compounded annual return / max draw down)
    9.45685
  • Compounded annual return / average of 25% largest draw downs
    19.51360
  • Compounded annual return / Expected Shortfall lognormal
    46.03860
  • 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
    0.33378
  • SD
    0.29740
  • Sharpe ratio (Glass type estimate)
    1.12231
  • Sharpe ratio (Hedges UMVUE)
    1.11583
  • df
    130.00000
  • t
    0.79360
  • p
    0.46528
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.65490
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.89542
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.65930
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.89095
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.64653
  • Upside Potential Ratio
    6.55201
  • Upside part of mean
    1.32821
  • Downside part of mean
    -0.99443
  • Upside SD
    0.21704
  • Downside SD
    0.20272
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.38280
  • Mean of criterion
    0.33378
  • SD of predictor
    0.21350
  • SD of criterion
    0.29740
  • Covariance
    0.00555
  • r
    0.08739
  • b (slope, estimate of beta)
    0.12173
  • a (intercept, estimate of alpha)
    0.28718
  • Mean Square Error
    0.08845
  • DF error
    129.00000
  • t(b)
    0.99631
  • p(b)
    0.44444
  • t(a)
    0.67860
  • p(a)
    0.46205
  • Lowerbound of 95% confidence interval for beta
    -0.12001
  • Upperbound of 95% confidence interval for beta
    0.36347
  • Lowerbound of 95% confidence interval for alpha
    -0.55012
  • Upperbound of 95% confidence interval for alpha
    1.12449
  • Treynor index (mean / b)
    2.74199
  • Jensen alpha (a)
    0.28718
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28973
  • SD
    0.29724
  • Sharpe ratio (Glass type estimate)
    0.97473
  • Sharpe ratio (Hedges UMVUE)
    0.96909
  • df
    130.00000
  • t
    0.68924
  • p
    0.46983
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.80142
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.74725
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.80522
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.74340
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.39210
  • Upside Potential Ratio
    6.27184
  • Upside part of mean
    1.30533
  • Downside part of mean
    -1.01560
  • Upside SD
    0.21138
  • Downside SD
    0.20813
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35970
  • Mean of criterion
    0.28973
  • SD of predictor
    0.21479
  • SD of criterion
    0.29724
  • Covariance
    0.00580
  • r
    0.09086
  • b (slope, estimate of beta)
    0.12574
  • a (intercept, estimate of alpha)
    0.24450
  • Mean Square Error
    0.08830
  • DF error
    129.00000
  • t(b)
    1.03624
  • p(b)
    0.44224
  • t(a)
    0.57869
  • p(a)
    0.46762
  • VAR (95 Confidence Intrvl)
    0.02800
  • Lowerbound of 95% confidence interval for beta
    -0.11434
  • Upperbound of 95% confidence interval for beta
    0.36582
  • Lowerbound of 95% confidence interval for alpha
    -0.59144
  • Upperbound of 95% confidence interval for alpha
    1.08045
  • Treynor index (mean / b)
    2.30421
  • Jensen alpha (a)
    0.24450
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02868
  • Expected Shortfall on VaR
    0.03608
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00892
  • Expected Shortfall on VaR
    0.02000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92875
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00300
  • Maximum
    1.07841
  • Mean of quarter 1
    0.98516
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00127
  • Mean of quarter 4
    1.01909
  • Inter Quartile Range
    0.00300
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.12977
  • Mean of outliers low
    0.97221
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.17557
  • Mean of outliers high
    1.02540
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.53108
  • VaR(95%) (moments method)
    0.00348
  • Expected Shortfall (moments method)
    0.01030
  • Extreme Value Index (regression method)
    -0.08385
  • VaR(95%) (regression method)
    0.01310
  • Expected Shortfall (regression method)
    0.02160
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00041
  • Quartile 1
    0.00330
  • Median
    0.00703
  • Quartile 3
    0.08757
  • Maximum
    0.17387
  • Mean of quarter 1
    0.00048
  • Mean of quarter 2
    0.00655
  • Mean of quarter 3
    0.05544
  • Mean of quarter 4
    0.14679
  • Inter Quartile Range
    0.08427
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -289978000
  • Max Equity Drawdown (num days)
    13
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.34425
  • Compounded annual return (geometric extrapolation)
    0.37388
  • Calmar ratio (compounded annual return / max draw down)
    2.15032
  • Compounded annual return / average of 25% largest draw downs
    2.54703
  • Compounded annual return / Expected Shortfall lognormal
    10.36160

Strategy Description

Summary Statistics

Strategy began
2019-10-29
Suggested Minimum Capital
$50,000
Rank at C2 
#68
# Trades
512
# Profitable
294
% Profitable
57.4%
Correlation S&P500
0.001
Sharpe Ratio
2.10
Sortino Ratio
4.05
Beta
0.00
Alpha
0.24
Leverage
5.42 Average
21.65 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.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

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.