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Bond USA
(126043352)

Created by: LarryBrown LarryBrown
Started: 11/2019
Futures
Last trade: 15 days ago
Trading style: Futures Momentum Macro / Fundamental

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).
Macro / Fundamental
Category: Equity

Macro / Fundamental

Predicts large-scale events related to national economies, history, and international relations. The strategy typically employs forecasts and analysis of interest rate trends, international trade and payments, political changes, government policies, inter-government relations, and other broad systemic factors.
36.7%
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.

(3.3%)
Max Drawdown
208
Num Trades
64.4%
Win Trades
2.0 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                                      +9.6%+7.3%+17.7%
2020+7.9%+0.6%+0.2%+2.1%+0.8%+2.7%+0.6%+0.4%                        +16.2%

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.

System developer has asked us to delay this information by 144 hours.

Trading Record

This strategy has placed 290 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/21/20 10:42 @MYMU0 MICRO E-MINI DOW LONG 1.740000000 26828 7/21 11:07 26865 0.08%
Trade id #130188650
Max drawdown($40)
Time7/21/20 10:45
Quant open2
Worst price26775
Drawdown as % of equity-0.08%
$31
Includes Typical Broker Commissions trade costs of $1.64
7/16/20 9:52 @MYMU0 MICRO E-MINI DOW LONG 3.480000000 26684 7/16 10:58 26712 0.33%
Trade id #130114748
Max drawdown($158)
Time7/16/20 10:08
Quant open3
Worst price26580
Drawdown as % of equity-0.33%
$45
Includes Typical Broker Commissions trade costs of $3.28
7/16/20 9:05 @M2KU0 MICRO E-MINI RUSSELL 2000 LONG 1.740000000 1471.08 7/16 9:30 1463.92 0.15%
Trade id #130113470
Max drawdown($71)
Time7/16/20 9:30
Quant open2
Worst price1461.60
Drawdown as % of equity-0.15%
($64)
Includes Typical Broker Commissions trade costs of $1.64
7/15/20 6:21 @M2KU0 MICRO E-MINI RUSSELL 2000 LONG 2.610000000 1444.26 7/15 7:24 1454.13 0.04%
Trade id #130088671
Max drawdown($17)
Time7/15/20 6:26
Quant open3
Worst price1442.70
Drawdown as % of equity-0.04%
$127
Includes Typical Broker Commissions trade costs of $2.46
7/12/20 23:06 @M2KU0 MICRO E-MINI RUSSELL 2000 LONG 4.350000000 1431.83 7/13 2:25 1432.64 0.36%
Trade id #130036643
Max drawdown($172)
Time7/13/20 0:00
Quant open3
Worst price1422.70
Drawdown as % of equity-0.36%
$14
Includes Typical Broker Commissions trade costs of $4.09
7/12/20 20:25 @M2KU0 MICRO E-MINI RUSSELL 2000 LONG 3.480000000 1426.73 7/12 23:02 1430.59 0.01%
Trade id #130034674
Max drawdown($3)
Time7/12/20 21:23
Quant open3
Worst price1426.50
Drawdown as % of equity-0.01%
$64
Includes Typical Broker Commissions trade costs of $3.28
7/8/20 9:42 @M2KU0 MICRO E-MINI RUSSELL 2000 LONG 3.480000000 1415.96 7/8 10:21 1424.57 0.02%
Trade id #129966194
Max drawdown($8)
Time7/8/20 9:47
Quant open3
Worst price1415.40
Drawdown as % of equity-0.02%
$147
Includes Typical Broker Commissions trade costs of $3.28
7/7/20 11:04 @M2KU0 MICRO E-MINI RUSSELL 2000 LONG 3.480000000 1430.44 7/7 11:41 1434.01 0%
Trade id #129946591
Max drawdown($0)
Time7/7/20 11:07
Quant open3
Worst price1430.40
Drawdown as % of equity-0.00%
$59
Includes Typical Broker Commissions trade costs of $3.28
7/6/20 10:39 @M2KU0 MICRO E-MINI RUSSELL 2000 LONG 5.220000000 1443.10 7/6 15:02 1437.67 0.38%
Trade id #129924674
Max drawdown($181)
Time7/6/20 13:07
Quant open4
Worst price1435.10
Drawdown as % of equity-0.38%
($147)
Includes Typical Broker Commissions trade costs of $4.91
7/1/20 11:54 @YMU0 MINI DOW LONG 0.870000000 25698 7/1 12:27 25743 0.23%
Trade id #129847256
Max drawdown($110)
Time7/1/20 12:01
Quant open1
Worst price25669
Drawdown as % of equity-0.23%
$188
Includes Typical Broker Commissions trade costs of $6.96
7/1/20 12:07 @RTYU0 Russell 2000 CME LONG 0.870000000 1426.24 7/1 12:27 1433.05 0.03%
Trade id #129847523
Max drawdown($12)
Time7/1/20 12:11
Quant open1
Worst price1425.90
Drawdown as % of equity-0.03%
$289
Includes Typical Broker Commissions trade costs of $6.96
7/1/20 10:29 @M2KU0 MICRO E-MINI RUSSELL 2000 LONG 8.700000000 1430.39 7/1 11:20 1422.96 0.7%
Trade id #129844587
Max drawdown($329)
Time7/1/20 11:20
Quant open8
Worst price1421.70
Drawdown as % of equity-0.70%
($331)
Includes Typical Broker Commissions trade costs of $8.19
6/23/20 6:53 @M2KU0 MICRO E-MINI RUSSELL 2000 LONG 1.740000000 1451.75 6/23 8:27 1456.63 0.08%
Trade id #129701037
Max drawdown($38)
Time6/23/20 7:10
Quant open2
Worst price1446.60
Drawdown as % of equity-0.08%
$40
Includes Typical Broker Commissions trade costs of $1.64
6/17/20 3:31 @MYMU0 MICRO E-MINI DOW LONG 1.740000000 26345 6/17 4:31 26465 0.05%
Trade id #129596905
Max drawdown($24)
Time6/17/20 4:06
Quant open2
Worst price26313
Drawdown as % of equity-0.05%
$102
Includes Typical Broker Commissions trade costs of $1.64
6/16/20 11:41 @MYMU0 MICRO E-MINI DOW LONG 3.480000000 26076 6/16 12:37 26216 0.16%
Trade id #129582067
Max drawdown($76)
Time6/16/20 12:07
Quant open2
Worst price26003
Drawdown as % of equity-0.16%
$242
Includes Typical Broker Commissions trade costs of $3.28
6/16/20 10:36 @MYMU0 MICRO E-MINI DOW LONG 1.740000000 26376 6/16 10:37 26248 0.21%
Trade id #129579903
Max drawdown($96)
Time6/16/20 10:37
Quant open2
Worst price26248
Drawdown as % of equity-0.21%
($114)
Includes Typical Broker Commissions trade costs of $1.64
6/5/20 2:24 @FVU0 US T-NOTE 5 YR SHORT 0.870000000 125 2/64 6/5 8:36 124 38/64 0.04%
Trade id #129370807
Max drawdown($17)
Time6/5/20 4:57
Quant open1
Worst price125 4/64
Drawdown as % of equity-0.04%
$380
Includes Typical Broker Commissions trade costs of $6.96
6/4/20 10:15 @MYMM0 MICRO E-MINI DOW LONG 4.350000000 26251 6/4 10:35 26331 0.03%
Trade id #129355349
Max drawdown($14)
Time6/4/20 10:22
Quant open3
Worst price26244
Drawdown as % of equity-0.03%
$171
Includes Typical Broker Commissions trade costs of $4.08
6/4/20 9:43 @MYMM0 MICRO E-MINI DOW LONG 4.350000000 26182 6/4 10:06 26253 0.21%
Trade id #129354332
Max drawdown($98)
Time6/4/20 9:48
Quant open3
Worst price26131
Drawdown as % of equity-0.21%
$151
Includes Typical Broker Commissions trade costs of $4.08
6/4/20 7:14 @MYMM0 MICRO E-MINI DOW LONG 4.350000000 26124 6/4 8:04 26205 0.09%
Trade id #129351486
Max drawdown($40)
Time6/4/20 7:45
Quant open3
Worst price26103
Drawdown as % of equity-0.09%
$174
Includes Typical Broker Commissions trade costs of $4.08
6/2/20 12:20 @MESM0 MICRO E-MINI S&P 500 LONG 4.350000000 3060.25 6/2 13:25 3065.75 0.08%
Trade id #129313123
Max drawdown($37)
Time6/2/20 12:25
Quant open3
Worst price3058.25
Drawdown as % of equity-0.08%
$116
Includes Typical Broker Commissions trade costs of $4.08
6/1/20 9:52 @MYMM0 MICRO E-MINI DOW LONG 3.480000000 25332 6/1 10:22 25398 0.05%
Trade id #129286979
Max drawdown($21)
Time6/1/20 10:01
Quant open3
Worst price25318
Drawdown as % of equity-0.05%
$112
Includes Typical Broker Commissions trade costs of $3.28
5/21/20 10:27 @MYMM0 MICRO E-MINI DOW LONG 1.740000000 24634 5/21 10:32 24543 0.14%
Trade id #129130530
Max drawdown($64)
Time5/21/20 10:32
Quant open2
Worst price24550
Drawdown as % of equity-0.14%
($81)
Includes Typical Broker Commissions trade costs of $1.64
5/21/20 7:02 @ESM0 E-MINI S&P 500 LONG 0.870000000 2951.75 5/21 9:55 2962.75 0.08%
Trade id #129125859
Max drawdown($37)
Time5/21/20 7:05
Quant open1
Worst price2950.75
Drawdown as % of equity-0.08%
$472
Includes Typical Broker Commissions trade costs of $6.96
5/21/20 6:54 @MESM0 MICRO E-MINI S&P 500 LONG 4.350000000 2950.75 5/21 7:29 2956.39 0.06%
Trade id #129125761
Max drawdown($28)
Time5/21/20 6:57
Quant open3
Worst price2949.25
Drawdown as % of equity-0.06%
$119
Includes Typical Broker Commissions trade costs of $4.08
5/21/20 5:29 @MESM0 MICRO E-MINI S&P 500 LONG 4.350000000 2952.03 5/21 6:02 2944.35 0.31%
Trade id #129124466
Max drawdown($142)
Time5/21/20 6:01
Quant open3
Worst price2944.50
Drawdown as % of equity-0.31%
($171)
Includes Typical Broker Commissions trade costs of $4.08
5/20/20 10:56 @MESM0 MICRO E-MINI S&P 500 LONG 2.610000000 2967.75 5/20 11:35 2973.75 0.04%
Trade id #129108992
Max drawdown($17)
Time5/20/20 11:06
Quant open3
Worst price2966.25
Drawdown as % of equity-0.04%
$76
Includes Typical Broker Commissions trade costs of $2.46
5/20/20 9:00 @MESM0 MICRO E-MINI S&P 500 LONG 4.350000000 2953.75 5/20 10:26 2967.80 0.06%
Trade id #129105984
Max drawdown($28)
Time5/20/20 9:37
Quant open3
Worst price2952.25
Drawdown as % of equity-0.06%
$302
Includes Typical Broker Commissions trade costs of $4.08
5/20/20 8:10 @ESM0 E-MINI S&P 500 LONG 0.870000000 2952.75 5/20 8:49 2953.25 0.15%
Trade id #129105348
Max drawdown($66)
Time5/20/20 8:37
Quant open1
Worst price2951.00
Drawdown as % of equity-0.15%
$15
Includes Typical Broker Commissions trade costs of $6.96
5/20/20 4:37 @MESM0 MICRO E-MINI S&P 500 LONG 3.480000000 2945.50 5/20 6:45 2952.00 0.13%
Trade id #129103294
Max drawdown($56)
Time5/20/20 5:07
Quant open3
Worst price2941.75
Drawdown as % of equity-0.13%
$110
Includes Typical Broker Commissions trade costs of $3.28

Statistics

  • Strategy began
    11/1/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    278.26
  • Age
    9 months ago
  • What it trades
    Futures
  • # Trades
    208
  • # Profitable
    134
  • % Profitable
    64.40%
  • Avg trade duration
    15.0 hours
  • Max peak-to-valley drawdown
    3.29%
  • drawdown period
    Feb 10, 2020 - March 04, 2020
  • Cumul. Return
    36.7%
  • Avg win
    $230.31
  • Avg loss
    $207.65
  • Model Account Values (Raw)
  • Cash
    $50,291
  • Margin Used
    $0
  • Buying Power
    $50,291
  • Ratios
  • W:L ratio
    2.01:1
  • Sharpe Ratio
    3.22
  • Sortino Ratio
    10.07
  • Calmar Ratio
    31.633
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    28.18%
  • Correlation to SP500
    0.00010
  • Return Percent SP500 (cumu) during strategy life
    8.51%
  • Verified
  • C2Star
    1
  • Return Statistics
  • Ann Return (w trading costs)
    49.9%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.367%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    61.8%
  • 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
    9563.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    830
  • Popularity (Last 6 weeks)
    979
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    956
  • Popularity (7 days, Percentile 1000 scale)
    935
  • 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
    $208
  • Avg Win
    $230
  • Sum Trade PL (losers)
    $15,366.000
  • AUM
  • AUM (AutoTrader num accounts)
    12
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $30,861.000
  • # Winners
    134
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    585853
  • Win / Loss
  • # Losers
    74
  • % Winners
    64.4%
  • Frequency
  • Avg Position Time (mins)
    901.77
  • Avg Position Time (hrs)
    15.03
  • Avg Trade Length
    0.6 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    4.04
  • Daily leverage (max)
    19.43
  • Regression
  • Alpha
    0.11
  • Beta
    0.00
  • Treynor Index
    -
  • 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)
    0.45
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    7.955
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.476
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.902
  • Hold-and-Hope Ratio
    0.125
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53533
  • SD
    0.15430
  • Sharpe ratio (Glass type estimate)
    3.46940
  • Sharpe ratio (Hedges UMVUE)
    3.08154
  • df
    7.00000
  • t
    2.83276
  • p
    0.01265
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.40370
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.38222
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18883
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.97424
  • Statistics related to Sortino ratio
  • Sortino ratio
    112.10800
  • Upside Potential Ratio
    113.33300
  • Upside part of mean
    0.54118
  • Downside part of mean
    -0.00585
  • Upside SD
    0.21140
  • Downside SD
    0.00478
  • 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
    0.04467
  • Mean of criterion
    0.53533
  • SD of predictor
    0.27960
  • SD of criterion
    0.15430
  • Covariance
    0.01331
  • r
    0.30853
  • b (slope, estimate of beta)
    0.17027
  • a (intercept, estimate of alpha)
    0.52772
  • Mean Square Error
    0.02513
  • DF error
    6.00000
  • t(b)
    0.79451
  • p(b)
    0.22858
  • t(a)
    2.71466
  • p(a)
    0.01744
  • Lowerbound of 95% confidence interval for beta
    -0.35412
  • Upperbound of 95% confidence interval for beta
    0.69465
  • Lowerbound of 95% confidence interval for alpha
    0.05204
  • Upperbound of 95% confidence interval for alpha
    1.00341
  • Treynor index (mean / b)
    3.14408
  • Jensen alpha (a)
    0.52772
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51321
  • SD
    0.14535
  • Sharpe ratio (Glass type estimate)
    3.53079
  • Sharpe ratio (Hedges UMVUE)
    3.13606
  • df
    7.00000
  • t
    2.88288
  • p
    0.01178
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44588
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.46222
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.22732
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.04479
  • Statistics related to Sortino ratio
  • Sortino ratio
    107.51700
  • Upside Potential Ratio
    108.74200
  • Upside part of mean
    0.51906
  • Downside part of mean
    -0.00585
  • Upside SD
    0.20103
  • Downside SD
    0.00477
  • 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
    0.00996
  • Mean of criterion
    0.51321
  • SD of predictor
    0.28248
  • SD of criterion
    0.14535
  • Covariance
    0.01350
  • r
    0.32878
  • b (slope, estimate of beta)
    0.16918
  • a (intercept, estimate of alpha)
    0.51153
  • Mean Square Error
    0.02198
  • DF error
    6.00000
  • t(b)
    0.85275
  • p(b)
    0.21326
  • t(a)
    2.81669
  • p(a)
    0.01524
  • Lowerbound of 95% confidence interval for beta
    -0.31627
  • Upperbound of 95% confidence interval for beta
    0.65463
  • Lowerbound of 95% confidence interval for alpha
    0.06715
  • Upperbound of 95% confidence interval for alpha
    0.95591
  • Treynor index (mean / b)
    3.03360
  • Jensen alpha (a)
    0.51153
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02591
  • Expected Shortfall on VaR
    0.04272
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00031
  • Expected Shortfall on VaR
    0.00103
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.99843
  • Quartile 1
    1.02104
  • Median
    1.02811
  • Quartile 3
    1.06954
  • Maximum
    1.12017
  • Mean of quarter 1
    1.00550
  • Mean of quarter 2
    1.02554
  • Mean of quarter 3
    1.04297
  • Mean of quarter 4
    1.11375
  • Inter Quartile Range
    0.04850
  • 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
    0.00157
  • Quartile 1
    0.00157
  • Median
    0.00157
  • Quartile 3
    0.00157
  • Maximum
    0.00157
  • 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)
    0.65160
  • Compounded annual return (geometric extrapolation)
    0.71793
  • Calmar ratio (compounded annual return / max draw down)
    457.11200
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    16.80410
  • 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
    0.47617
  • SD
    0.10472
  • Sharpe ratio (Glass type estimate)
    4.54699
  • Sharpe ratio (Hedges UMVUE)
    4.52948
  • df
    195.00000
  • t
    3.93280
  • p
    0.32956
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.23093
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.85196
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21927
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.83970
  • Statistics related to Sortino ratio
  • Sortino ratio
    17.28030
  • Upside Potential Ratio
    22.30080
  • Upside part of mean
    0.61452
  • Downside part of mean
    -0.13834
  • Upside SD
    0.10496
  • Downside SD
    0.02756
  • N nonnegative terms
    88.00000
  • N negative terms
    108.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    196.00000
  • Mean of predictor
    0.15344
  • Mean of criterion
    0.47617
  • SD of predictor
    0.37911
  • SD of criterion
    0.10472
  • Covariance
    0.00029
  • r
    0.00741
  • b (slope, estimate of beta)
    0.00205
  • a (intercept, estimate of alpha)
    0.47600
  • Mean Square Error
    0.01102
  • DF error
    194.00000
  • t(b)
    0.10322
  • p(b)
    0.49629
  • t(a)
    3.91899
  • p(a)
    0.36457
  • Lowerbound of 95% confidence interval for beta
    -0.03707
  • Upperbound of 95% confidence interval for beta
    0.04116
  • Lowerbound of 95% confidence interval for alpha
    0.23638
  • Upperbound of 95% confidence interval for alpha
    0.71534
  • Treynor index (mean / b)
    232.60900
  • Jensen alpha (a)
    0.47586
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47035
  • SD
    0.10315
  • Sharpe ratio (Glass type estimate)
    4.56000
  • Sharpe ratio (Hedges UMVUE)
    4.54244
  • df
    195.00000
  • t
    3.94405
  • p
    0.32912
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.24368
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.86513
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.23198
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.85290
  • Statistics related to Sortino ratio
  • Sortino ratio
    16.99600
  • Upside Potential Ratio
    22.00830
  • Upside part of mean
    0.60906
  • Downside part of mean
    -0.13871
  • Upside SD
    0.10326
  • Downside SD
    0.02767
  • N nonnegative terms
    88.00000
  • N negative terms
    108.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    196.00000
  • Mean of predictor
    0.08121
  • Mean of criterion
    0.47035
  • SD of predictor
    0.38207
  • SD of criterion
    0.10315
  • Covariance
    0.00035
  • r
    0.00891
  • b (slope, estimate of beta)
    0.00241
  • a (intercept, estimate of alpha)
    0.47015
  • Mean Square Error
    0.01069
  • DF error
    194.00000
  • t(b)
    0.12416
  • p(b)
    0.49554
  • t(a)
    3.93210
  • p(a)
    0.36416
  • Lowerbound of 95% confidence interval for beta
    -0.03582
  • Upperbound of 95% confidence interval for beta
    0.04063
  • Lowerbound of 95% confidence interval for alpha
    0.23433
  • Upperbound of 95% confidence interval for alpha
    0.70598
  • Treynor index (mean / b)
    195.45800
  • Jensen alpha (a)
    0.47015
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00865
  • Expected Shortfall on VaR
    0.01128
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00126
  • Expected Shortfall on VaR
    0.00280
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    196.00000
  • Minimum
    0.98765
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00222
  • Maximum
    1.05001
  • Mean of quarter 1
    0.99812
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00087
  • Mean of quarter 4
    1.00871
  • Inter Quartile Range
    0.00222
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.03571
  • Mean of outliers low
    0.99233
  • Number of outliers high
    22.00000
  • Percentage of outliers high
    0.11224
  • Mean of outliers high
    1.01473
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09582
  • VaR(95%) (moments method)
    0.00167
  • Expected Shortfall (moments method)
    0.00291
  • Extreme Value Index (regression method)
    0.53516
  • VaR(95%) (regression method)
    0.00169
  • Expected Shortfall (regression method)
    0.00453
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00037
  • Median
    0.00186
  • Quartile 3
    0.00554
  • Maximum
    0.02042
  • Mean of quarter 1
    0.00017
  • Mean of quarter 2
    0.00115
  • Mean of quarter 3
    0.00322
  • Mean of quarter 4
    0.01371
  • Inter Quartile Range
    0.00517
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15790
  • Mean of outliers high
    0.01747
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -5.39278
  • VaR(95%) (moments method)
    0.01228
  • Expected Shortfall (moments method)
    0.01228
  • Extreme Value Index (regression method)
    -1.57751
  • VaR(95%) (regression method)
    0.02145
  • Expected Shortfall (regression method)
    0.02228
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.60381
  • Compounded annual return (geometric extrapolation)
    0.64585
  • Calmar ratio (compounded annual return / max draw down)
    31.63280
  • Compounded annual return / average of 25% largest draw downs
    47.10490
  • Compounded annual return / Expected Shortfall lognormal
    57.24430
  • 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
    0.17057
  • SD
    0.04643
  • Sharpe ratio (Glass type estimate)
    3.67353
  • Sharpe ratio (Hedges UMVUE)
    3.65230
  • df
    130.00000
  • t
    2.59758
  • p
    0.38893
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.85927
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.47423
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.84517
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.45943
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.41685
  • Upside Potential Ratio
    11.47250
  • Upside part of mean
    0.30496
  • Downside part of mean
    -0.13439
  • Upside SD
    0.03929
  • Downside SD
    0.02658
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09627
  • Mean of criterion
    0.17057
  • SD of predictor
    0.45985
  • SD of criterion
    0.04643
  • Covariance
    -0.00044
  • r
    -0.02065
  • b (slope, estimate of beta)
    -0.00209
  • a (intercept, estimate of alpha)
    0.17078
  • Mean Square Error
    0.00217
  • DF error
    129.00000
  • t(b)
    -0.23464
  • p(b)
    0.51315
  • t(a)
    2.59095
  • p(a)
    0.35959
  • Lowerbound of 95% confidence interval for beta
    -0.01967
  • Upperbound of 95% confidence interval for beta
    0.01550
  • Lowerbound of 95% confidence interval for alpha
    0.04037
  • Upperbound of 95% confidence interval for alpha
    0.30118
  • Treynor index (mean / b)
    -81.78890
  • Jensen alpha (a)
    0.17078
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16943
  • SD
    0.04640
  • Sharpe ratio (Glass type estimate)
    3.65148
  • Sharpe ratio (Hedges UMVUE)
    3.63037
  • df
    130.00000
  • t
    2.58199
  • p
    0.38957
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.83764
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.45176
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.82366
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.43709
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.34711
  • Upside Potential Ratio
    11.39430
  • Upside part of mean
    0.30416
  • Downside part of mean
    -0.13473
  • Upside SD
    0.03916
  • Downside SD
    0.02669
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.00969
  • Mean of criterion
    0.16943
  • SD of predictor
    0.46343
  • SD of criterion
    0.04640
  • Covariance
    -0.00047
  • r
    -0.02176
  • b (slope, estimate of beta)
    -0.00218
  • a (intercept, estimate of alpha)
    0.16941
  • Mean Square Error
    0.00217
  • DF error
    129.00000
  • t(b)
    -0.24721
  • p(b)
    0.51385
  • t(a)
    2.57232
  • p(a)
    0.36053
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    -0.01962
  • Upperbound of 95% confidence interval for beta
    0.01526
  • Lowerbound of 95% confidence interval for alpha
    0.03911
  • Upperbound of 95% confidence interval for alpha
    0.29972
  • Treynor index (mean / b)
    -77.76540
  • Jensen alpha (a)
    0.16941
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00406
  • Expected Shortfall on VaR
    0.00525
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00130
  • Expected Shortfall on VaR
    0.00285
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98765
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00162
  • Maximum
    1.01098
  • Mean of quarter 1
    0.99821
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00050
  • Mean of quarter 4
    1.00430
  • Inter Quartile Range
    0.00162
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.99451
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.12214
  • Mean of outliers high
    1.00626
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25309
  • VaR(95%) (moments method)
    0.00171
  • Expected Shortfall (moments method)
    0.00334
  • Extreme Value Index (regression method)
    0.77208
  • VaR(95%) (regression method)
    0.00184
  • Expected Shortfall (regression method)
    0.00903
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00068
  • Median
    0.00197
  • Quartile 3
    0.00506
  • Maximum
    0.02042
  • Mean of quarter 1
    0.00020
  • Mean of quarter 2
    0.00118
  • Mean of quarter 3
    0.00268
  • Mean of quarter 4
    0.01475
  • Inter Quartile Range
    0.00439
  • 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
    0.16667
  • Mean of outliers high
    0.01689
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.34190
  • VaR(95%) (moments method)
    0.01714
  • Expected Shortfall (moments method)
    0.01809
  • Extreme Value Index (regression method)
    0.29523
  • VaR(95%) (regression method)
    0.02035
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.03172
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -243183000
  • Max Equity Drawdown (num days)
    23
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20740
  • Compounded annual return (geometric extrapolation)
    0.21816
  • Calmar ratio (compounded annual return / max draw down)
    10.68500
  • Compounded annual return / average of 25% largest draw downs
    14.78810
  • Compounded annual return / Expected Shortfall lognormal
    41.53790

Strategy Description

Summary Statistics

Strategy began
2019-11-01
Suggested Minimum Capital
$50,000
Rank at C2 %
Top 4.4%
Rank # 
#28
# Trades
208
# Profitable
134
% Profitable
64.4%
Correlation S&P500
0.000
Sharpe Ratio
3.22
Sortino Ratio
10.07
Beta
0.00
Alpha
0.11
Leverage
4.04 Average
19.43 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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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.