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

Market Sentiment Trader
(128942616)

Created by: shakavon_thomas shakavon_thomas
Started: 05/2020
Forex
Last trade: 1,114 days ago
Trading style: Futures Macro / Fundamental Currencies

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. You can subscribe to this system for free.

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
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.
Currencies
Category: Equity

Currencies

Focuses on currency futures.
5.1%
Annual Return (Compounded)

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 Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(98.6%)
Max Drawdown
205
Num Trades
43.9%
Win Trades
1.1 : 1
Profit Factor
10.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                            +45.5%+83.8%(16.8%)(8.4%)+54.2%(64.1%)(91.9%)(11.8%)(92%)
2021(4.7%)+41.0%(5.4%)  -    -    -    -    -    -    -    -    -  +27.1%
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -  +1085.7%  -    -    -    -    -    -    -    -    -    -  +1085.7%
2024  -    -    -                                                        0.0

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 374 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1260 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/12/21 16:07 NZD/JPY NZD/JPY LONG 1 74.978 3/10 8:02 77.909 39.8%
Trade id #133336310
Max drawdown($122)
Time1/18/21 0:00
Quant open1
Worst price73.651
Drawdown as % of equity-39.80%
$270
1/8/21 16:06 EUR/USD EUR/USD LONG 1 1.22245 1/12 16:07 1.22071 28.88%
Trade id #133283669
Max drawdown($92)
Time1/11/21 0:00
Quant open1
Worst price1.21321
Drawdown as % of equity-28.88%
($17)
1/8/21 9:47 AUD/USD AUD/USD LONG 2 0.77753 1/8 16:01 0.77582 31.76%
Trade id #133271509
Max drawdown($94)
Time1/8/21 13:43
Quant open2
Worst price0.77283
Drawdown as % of equity-31.76%
($34)
1/8/21 9:47 EUR/USD EUR/USD LONG 1 1.22611 1/8 11:10 1.22480 11.15%
Trade id #133271513
Max drawdown($38)
Time1/8/21 10:28
Quant open1
Worst price1.22222
Drawdown as % of equity-11.15%
($13)
1/8/21 9:47 EUR/JPY EUR/JPY LONG 1 127.315 1/8 11:10 127.223 6.64%
Trade id #133271511
Max drawdown($23)
Time1/8/21 10:41
Quant open1
Worst price127.074
Drawdown as % of equity-6.64%
($9)
1/8/21 9:47 AUD/CHF AUD/CHF LONG 1 0.68756 1/8 11:10 0.68687 4.47%
Trade id #133271507
Max drawdown($15)
Time1/8/21 10:29
Quant open1
Worst price0.68618
Drawdown as % of equity-4.47%
($8)
12/31/20 5:49 EUR/USD EUR/USD LONG 1 1.22785 1/5/21 9:03 1.22662 15.47%
Trade id #133105457
Max drawdown($63)
Time12/31/20 13:48
Quant open1
Worst price1.22149
Drawdown as % of equity-15.47%
($12)
12/31/20 5:49 AUD/JPY AUD/JPY LONG 1 79.644 1/5/21 9:03 79.195 18.64%
Trade id #133105455
Max drawdown($77)
Time1/4/21 0:00
Quant open1
Worst price78.850
Drawdown as % of equity-18.64%
($44)
12/20/20 17:15 AUD/USD AUD/USD LONG 1 0.75981 12/31 13:01 0.76981 35.4%
Trade id #132924064
Max drawdown($136)
Time12/21/20 0:00
Quant open1
Worst price0.74618
Drawdown as % of equity-35.40%
$100
12/31/20 5:49 NZD/USD NZD/USD LONG 1 0.72354 12/31 13:01 0.71857 12.17%
Trade id #133105459
Max drawdown($53)
Time12/31/20 12:59
Quant open1
Worst price0.71821
Drawdown as % of equity-12.17%
($50)
12/16/20 5:39 NZD/CHF NZD/CHF SHORT 1 0.62795 12/21 13:42 0.62842 17.2%
Trade id #132844569
Max drawdown($67)
Time12/17/20 0:00
Quant open1
Worst price0.63394
Drawdown as % of equity-17.20%
($5)
12/20/20 17:15 EUR/CHF EUR/CHF SHORT 1 1.08149 12/21 0:58 1.08057 2.5%
Trade id #132924062
Max drawdown($9)
Time12/20/20 18:22
Quant open1
Worst price1.08235
Drawdown as % of equity-2.50%
$10
11/12/20 8:19 USD/CZK USD/CZK LONG 1 22.44572 12/20 17:15 17.20100 n/a $0
11/9/20 10:38 GBP/AUD GBP/AUD SHORT 1 1.80048 11/17 19:26 1.81952 5.37%
Trade id #132152731
Max drawdown($191)
Time11/10/20 0:00
Quant open1
Worst price1.82667
Drawdown as % of equity-5.37%
($139)
11/11/20 9:25 EUR/SEK EUR/SEK LONG 1 10.18120 11/12 8:16 10.18160 2.18%
Trade id #132197124
Max drawdown($76)
Time11/11/20 16:58
Quant open1
Worst price10.11490
Drawdown as % of equity-2.18%
$0
11/9/20 8:08 SGD/CHF SGD/CHF SHORT 1 0.67497 11/9 10:35 0.67800 0.96%
Trade id #132146870
Max drawdown($35)
Time11/9/20 10:35
Quant open1
Worst price0.67820
Drawdown as % of equity-0.96%
($33)
11/9/20 7:01 USD/ZAR USD/ZAR SHORT 1 15.43611 11/9 10:35 15.37096 0.86%
Trade id #132145116
Max drawdown($31)
Time11/9/20 7:04
Quant open1
Worst price15.48420
Drawdown as % of equity-0.86%
$42
11/5/20 6:52 EUR/CAD EUR/CAD SHORT 2 1.54946 11/9 7:00 1.54539 1.33%
Trade id #132087501
Max drawdown($50)
Time11/6/20 0:00
Quant open2
Worst price1.55271
Drawdown as % of equity-1.33%
$63
11/9/20 6:49 USD/CAD USD/CAD LONG 1 1.29819 11/9 6:57 1.29828 0.34%
Trade id #132144676
Max drawdown($12)
Time11/9/20 6:52
Quant open1
Worst price1.29658
Drawdown as % of equity-0.34%
$1
11/5/20 10:29 AUD/USD AUD/USD SHORT 3 0.72453 11/9 6:49 0.73130 5.55%
Trade id #132093269
Max drawdown($205)
Time11/9/20 6:49
Quant open3
Worst price0.73137
Drawdown as % of equity-5.55%
($203)
11/4/20 16:16 EUR/NZD EUR/NZD LONG 1 1.74814 11/5 10:28 1.74938 0.25%
Trade id #132081243
Max drawdown($9)
Time11/5/20 3:11
Quant open1
Worst price1.74673
Drawdown as % of equity-0.25%
$8
11/3/20 18:49 USD/JPY USD/JPY SHORT 1 104.591 11/4 18:39 104.467 1.85%
Trade id #132060245
Max drawdown($72)
Time11/3/20 21:42
Quant open1
Worst price105.347
Drawdown as % of equity-1.85%
$12
11/4/20 5:08 USD/CAD USD/CAD LONG 1 1.32196 11/4 5:09 1.32168 0.05%
Trade id #132065846
Max drawdown($2)
Time11/4/20 5:09
Quant open1
Worst price1.32168
Drawdown as % of equity-0.05%
($2)
11/3/20 21:18 AUD/USD AUD/USD LONG 2 0.71249 11/3 21:42 0.70588 3.4%
Trade id #132061678
Max drawdown($132)
Time11/3/20 21:42
Quant open2
Worst price0.70585
Drawdown as % of equity-3.40%
($132)
11/3/20 19:57 AUD/USD AUD/USD SHORT 2 0.71438 11/3 20:45 0.71476 1.17%
Trade id #132061096
Max drawdown($46)
Time11/3/20 20:11
Quant open2
Worst price0.71668
Drawdown as % of equity-1.17%
($8)
10/15/20 5:02 AUD/USD AUD/USD SHORT 14 0.70684 11/3 18:42 0.71533 16.32%
Trade id #131709045
Max drawdown($961)
Time10/21/20 0:00
Quant open14
Worst price0.71371
Drawdown as % of equity-16.32%
($1,188)
10/29/20 7:53 NZD/USD NZD/USD SHORT 2 0.66232 11/3 10:52 0.67080 4%
Trade id #131963510
Max drawdown($170)
Time11/3/20 10:51
Quant open2
Worst price0.67082
Drawdown as % of equity-4.00%
($170)
10/29/20 7:53 EUR/AUD EUR/AUD LONG 4 1.66594 11/3 10:35 1.64074 17.01%
Trade id #131963508
Max drawdown($768)
Time11/3/20 7:38
Quant open4
Worst price1.63921
Drawdown as % of equity-17.01%
($720)
10/20/20 7:58 NZD/JPY NZD/JPY SHORT 4 69.319 10/21 12:10 69.706 2.85%
Trade id #131789150
Max drawdown($149)
Time10/21/20 11:36
Quant open4
Worst price69.711
Drawdown as % of equity-2.85%
($148)
10/13/20 6:10 NZD/USD NZD/USD LONG 8 0.66668 10/15 5:02 0.65965 9.13%
Trade id #131662206
Max drawdown($582)
Time10/15/20 5:02
Quant open8
Worst price0.65941
Drawdown as % of equity-9.13%
($563)

Statistics

  • Strategy began
    5/10/2020
  • Suggested Minimum Cap
    $5,000
  • Strategy Age (days)
    1414.2
  • Age
    47 months ago
  • What it trades
    Forex
  • # Trades
    205
  • # Profitable
    90
  • % Profitable
    43.90%
  • Avg trade duration
    4.6 days
  • Max peak-to-valley drawdown
    98.58%
  • drawdown period
    Oct 01, 2020 - Jan 20, 2021
  • Annual Return (Compounded)
    5.1%
  • Avg win
    $142.23
  • Avg loss
    $99.00
  • Model Account Values (Raw)
  • Cash
    $6,422
  • Margin Used
    $0
  • Buying Power
    $6,422
  • Ratios
  • W:L ratio
    1.12:1
  • Sharpe Ratio
    0.39
  • Sortino Ratio
    3.51
  • Calmar Ratio
    0.262
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -57.47%
  • Correlation to SP500
    -0.07950
  • Return Percent SP500 (cumu) during strategy life
    79.14%
  • Return Statistics
  • Ann Return (w trading costs)
    5.1%
  • Slump
  • Current Slump as Pcnt Equity
    159.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.90%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.051%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.7%
  • Automation
  • Percentage Signals Automated
    95.35%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $99
  • Avg Win
    $142
  • Sum Trade PL (losers)
    $11,385.000
  • Age
  • Num Months filled monthly returns table
    47
  • Win / Loss
  • Sum Trade PL (winners)
    $12,801.000
  • # Winners
    90
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    115
  • % Winners
    43.9%
  • Frequency
  • Avg Position Time (mins)
    6688.73
  • Avg Position Time (hrs)
    111.48
  • Avg Trade Length
    4.6 days
  • Last Trade Ago
    1110
  • Leverage
  • Daily leverage (average)
    14.00
  • Daily leverage (max)
    114.78
  • Regression
  • Alpha
    0.82
  • Beta
    -2.58
  • Treynor Index
    -0.28
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.18
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    61.530
  • 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
    0.12
  • Avg(MAE) / Avg(PL) - Winning trades
    0.502
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.160
  • Hold-and-Hope Ratio
    0.016
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    5.80139
  • SD
    6.34276
  • Sharpe ratio (Glass type estimate)
    0.91465
  • Sharpe ratio (Hedges UMVUE)
    0.85606
  • df
    12.00000
  • t
    0.95200
  • p
    0.36750
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.02101
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81406
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.05791
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77002
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.95996
  • Upside Potential Ratio
    7.63489
  • Upside part of mean
    7.43176
  • Downside part of mean
    -1.63037
  • Upside SD
    6.24445
  • Downside SD
    0.97339
  • N nonnegative terms
    4.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.34088
  • Mean of criterion
    5.80139
  • SD of predictor
    0.18117
  • SD of criterion
    6.34276
  • Covariance
    -0.05694
  • r
    -0.04955
  • b (slope, estimate of beta)
    -1.73480
  • a (intercept, estimate of alpha)
    6.39275
  • Mean Square Error
    43.78020
  • DF error
    11.00000
  • t(b)
    -0.16454
  • p(b)
    0.56386
  • t(a)
    0.87540
  • p(a)
    0.20003
  • Lowerbound of 95% confidence interval for beta
    -24.94020
  • Upperbound of 95% confidence interval for beta
    21.47060
  • Lowerbound of 95% confidence interval for alpha
    -9.68030
  • Upperbound of 95% confidence interval for alpha
    22.46580
  • Treynor index (mean / b)
    -3.34413
  • Jensen alpha (a)
    6.39275
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20796
  • SD
    2.89314
  • Sharpe ratio (Glass type estimate)
    0.07188
  • Sharpe ratio (Hedges UMVUE)
    0.06727
  • df
    12.00000
  • t
    0.07481
  • p
    0.48920
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.81284
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95374
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.81599
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95054
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.11421
  • Upside Potential Ratio
    1.59618
  • Upside part of mean
    2.90627
  • Downside part of mean
    -2.69831
  • Upside SD
    2.10115
  • Downside SD
    1.82076
  • N nonnegative terms
    4.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.32065
  • Mean of criterion
    0.20796
  • SD of predictor
    0.17998
  • SD of criterion
    2.89314
  • Covariance
    0.02128
  • r
    0.04086
  • b (slope, estimate of beta)
    0.65685
  • a (intercept, estimate of alpha)
    -0.00266
  • Mean Square Error
    9.11597
  • DF error
    11.00000
  • t(b)
    0.13564
  • p(b)
    0.44728
  • t(a)
    -0.00081
  • p(a)
    0.50031
  • Lowerbound of 95% confidence interval for beta
    -10.00170
  • Upperbound of 95% confidence interval for beta
    11.31540
  • Lowerbound of 95% confidence interval for alpha
    -7.24450
  • Upperbound of 95% confidence interval for alpha
    7.23918
  • Treynor index (mean / b)
    0.31660
  • Jensen alpha (a)
    -0.00266
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.74242
  • Expected Shortfall on VaR
    0.81055
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.38072
  • Expected Shortfall on VaR
    0.71929
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.18354
  • Quartile 1
    0.88817
  • Median
    1.00000
  • Quartile 3
    1.03418
  • Maximum
    7.34783
  • Mean of quarter 1
    0.58996
  • Mean of quarter 2
    0.96496
  • Mean of quarter 3
    1.01139
  • Mean of quarter 4
    3.67540
  • Inter Quartile Range
    0.14601
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.15385
  • Mean of outliers low
    0.31470
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.23077
  • Mean of outliers high
    3.67540
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.06658
  • VaR(95%) (moments method)
    0.34782
  • Expected Shortfall (moments method)
    0.52169
  • Extreme Value Index (regression method)
    0.35189
  • VaR(95%) (regression method)
    0.66938
  • Expected Shortfall (regression method)
    1.32966
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.94378
  • Quartile 1
    0.94378
  • Median
    0.94378
  • Quartile 3
    0.94378
  • Maximum
    0.94378
  • 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)
    0.26874
  • Compounded annual return (geometric extrapolation)
    0.26600
  • Calmar ratio (compounded annual return / max draw down)
    0.28185
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.32817
  • 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
    4.96700
  • SD
    6.09357
  • Sharpe ratio (Glass type estimate)
    0.81512
  • Sharpe ratio (Hedges UMVUE)
    0.81305
  • df
    295.00000
  • t
    0.86640
  • p
    0.19349
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.03066
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.65962
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.03208
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.65818
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.09789
  • Upside Potential Ratio
    9.00667
  • Upside part of mean
    8.77543
  • Downside part of mean
    -3.80843
  • Upside SD
    6.01257
  • Downside SD
    0.97433
  • N nonnegative terms
    64.00000
  • N negative terms
    232.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    296.00000
  • Mean of predictor
    0.51521
  • Mean of criterion
    4.96700
  • SD of predictor
    0.29117
  • SD of criterion
    6.09357
  • Covariance
    -0.02744
  • r
    -0.01546
  • b (slope, estimate of beta)
    -0.32364
  • a (intercept, estimate of alpha)
    5.13400
  • Mean Square Error
    37.24900
  • DF error
    294.00000
  • t(b)
    -0.26519
  • p(b)
    0.60448
  • t(a)
    0.88876
  • p(a)
    0.18743
  • Lowerbound of 95% confidence interval for beta
    -2.72549
  • Upperbound of 95% confidence interval for beta
    2.07820
  • Lowerbound of 95% confidence interval for alpha
    -6.23440
  • Upperbound of 95% confidence interval for alpha
    16.50190
  • Treynor index (mean / b)
    -15.34710
  • Jensen alpha (a)
    5.13375
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19826
  • SD
    2.38102
  • Sharpe ratio (Glass type estimate)
    0.08327
  • Sharpe ratio (Hedges UMVUE)
    0.08306
  • df
    295.00000
  • t
    0.08851
  • p
    0.46477
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.76076
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92719
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.76092
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92703
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.15044
  • Upside Potential Ratio
    3.57470
  • Upside part of mean
    4.71112
  • Downside part of mean
    -4.51286
  • Upside SD
    1.97822
  • Downside SD
    1.31791
  • N nonnegative terms
    64.00000
  • N negative terms
    232.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    296.00000
  • Mean of predictor
    0.47251
  • Mean of criterion
    0.19826
  • SD of predictor
    0.29096
  • SD of criterion
    2.38102
  • Covariance
    -0.01753
  • r
    -0.02531
  • b (slope, estimate of beta)
    -0.20712
  • a (intercept, estimate of alpha)
    0.29613
  • Mean Square Error
    5.68489
  • DF error
    294.00000
  • t(b)
    -0.43411
  • p(b)
    0.66774
  • t(a)
    0.13135
  • p(a)
    0.44779
  • Lowerbound of 95% confidence interval for beta
    -1.14611
  • Upperbound of 95% confidence interval for beta
    0.73187
  • Lowerbound of 95% confidence interval for alpha
    -4.14085
  • Upperbound of 95% confidence interval for alpha
    4.73311
  • Treynor index (mean / b)
    -0.95723
  • Jensen alpha (a)
    0.29613
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.21432
  • Expected Shortfall on VaR
    0.26008
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04337
  • Expected Shortfall on VaR
    0.09622
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    296.00000
  • Minimum
    0.41906
  • Quartile 1
    0.99794
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    7.34783
  • Mean of quarter 1
    0.94228
  • Mean of quarter 2
    0.99991
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.13407
  • Inter Quartile Range
    0.00206
  • Number outliers low
    66.00000
  • Percentage of outliers low
    0.22297
  • Mean of outliers low
    0.93571
  • Number of outliers high
    59.00000
  • Percentage of outliers high
    0.19932
  • Mean of outliers high
    1.16807
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.90812
  • VaR(95%) (moments method)
    0.02248
  • Expected Shortfall (moments method)
    0.28227
  • Extreme Value Index (regression method)
    0.65371
  • VaR(95%) (regression method)
    0.03674
  • Expected Shortfall (regression method)
    0.13657
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00128
  • Quartile 1
    0.01337
  • Median
    0.03332
  • Quartile 3
    0.29511
  • Maximum
    0.96698
  • Mean of quarter 1
    0.00726
  • Mean of quarter 2
    0.02340
  • Mean of quarter 3
    0.06025
  • Mean of quarter 4
    0.74848
  • Inter Quartile Range
    0.28174
  • 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
    0.14286
  • Mean of outliers high
    0.96698
  • 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)
    0.25769
  • Compounded annual return (geometric extrapolation)
    0.25379
  • Calmar ratio (compounded annual return / max draw down)
    0.26245
  • Compounded annual return / average of 25% largest draw downs
    0.33907
  • Compounded annual return / Expected Shortfall lognormal
    0.97580
  • 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
    13.03780
  • SD
    8.98697
  • Sharpe ratio (Glass type estimate)
    1.45075
  • Sharpe ratio (Hedges UMVUE)
    1.44236
  • df
    130.00000
  • t
    1.02583
  • p
    0.45520
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.32932
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.22538
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.33498
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.21971
  • Statistics related to Sortino ratio
  • Sortino ratio
    47.31650
  • Upside Potential Ratio
    50.29200
  • Upside part of mean
    13.85770
  • Downside part of mean
    -0.81989
  • Upside SD
    8.98454
  • Downside SD
    0.27554
  • N nonnegative terms
    8.00000
  • N negative terms
    123.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.67859
  • Mean of criterion
    13.03780
  • SD of predictor
    0.38052
  • SD of criterion
    8.98697
  • Covariance
    -0.04014
  • r
    -0.01174
  • b (slope, estimate of beta)
    -0.27719
  • a (intercept, estimate of alpha)
    13.22590
  • Mean Square Error
    81.38040
  • DF error
    129.00000
  • t(b)
    -0.13331
  • p(b)
    0.50747
  • t(a)
    1.03041
  • p(a)
    0.44256
  • Lowerbound of 95% confidence interval for beta
    -4.39106
  • Upperbound of 95% confidence interval for beta
    3.83668
  • Lowerbound of 95% confidence interval for alpha
    -12.16960
  • Upperbound of 95% confidence interval for alpha
    38.62140
  • Treynor index (mean / b)
    -47.03640
  • Jensen alpha (a)
    13.22590
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    4.22771
  • SD
    2.85540
  • Sharpe ratio (Glass type estimate)
    1.48060
  • Sharpe ratio (Hedges UMVUE)
    1.47204
  • df
    130.00000
  • t
    1.04694
  • p
    0.45428
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.29982
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.25547
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.30553
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.24962
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.49610
  • Upside Potential Ratio
    17.44740
  • Upside part of mean
    5.08846
  • Downside part of mean
    -0.86074
  • Upside SD
    2.84152
  • Downside SD
    0.29165
  • N nonnegative terms
    8.00000
  • N negative terms
    123.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.60620
  • Mean of criterion
    4.22771
  • SD of predictor
    0.37950
  • SD of criterion
    2.85540
  • Covariance
    -0.01331
  • r
    -0.01228
  • b (slope, estimate of beta)
    -0.09242
  • a (intercept, estimate of alpha)
    4.28374
  • Mean Square Error
    8.21528
  • DF error
    129.00000
  • t(b)
    -0.13952
  • p(b)
    0.50782
  • t(a)
    1.05166
  • p(a)
    0.44139
  • VAR (95 Confidence Intrvl)
    0.21400
  • Lowerbound of 95% confidence interval for beta
    -1.40303
  • Upperbound of 95% confidence interval for beta
    1.21819
  • Lowerbound of 95% confidence interval for alpha
    -3.77540
  • Upperbound of 95% confidence interval for alpha
    12.34290
  • Treynor index (mean / b)
    -45.74490
  • Jensen alpha (a)
    4.28374
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.23969
  • Expected Shortfall on VaR
    0.29225
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01046
  • Expected Shortfall on VaR
    0.02334
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.86755
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    7.34783
  • Mean of quarter 1
    0.98797
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.20999
  • Inter Quartile Range
    0.00000
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.93386
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.86621
  • 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)
    -0.81327
  • VaR(95%) (regression method)
    0.00442
  • Expected Shortfall (regression method)
    0.04484
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03128
  • Quartile 1
    0.10219
  • Median
    0.17309
  • Quartile 3
    0.24399
  • Maximum
    0.31489
  • Mean of quarter 1
    0.03128
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.31489
  • Inter Quartile Range
    0.14180
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -355293000
  • Max Equity Drawdown (num days)
    111
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    14.79290
  • Compounded annual return (geometric extrapolation)
    69.50050
  • Calmar ratio (compounded annual return / max draw down)
    220.71000
  • Compounded annual return / average of 25% largest draw downs
    220.71000
  • Compounded annual return / Expected Shortfall lognormal
    237.81500

Strategy Description

Update 2.1 Oct 4 2020

I have updated my strategy after showing poor results for March - July
Hi Thanks for considering my strategy. Over the past 3 months there has been a slight draw down but still up for the year. Due to the seasonal rotation of liquidity in the markets summer is a challenging time especially for my trading capacity. Over the last quarter of the year is usually a VERY good quarter for me, going into 2020 I will begin charging until then it will remain free.

As I continue to re-frame and update my trading style I routinely have to update the way I trade generally though my system is based off of trading the Quarters theory and fib based time extensions I am in the process of adding different filter that I am using to better understand and volatility and market directions.

Overall though going into my the core statistics of how I trade. My trading is best optimized for multiple position portfolio with a profit target on 2+week time frame with an affinity for the London trading session over the last year I have won 57.6% of trades placed before the 12 pm hour central standard time

Summary Statistics

Strategy began
2020-05-10
Suggested Minimum Capital
$10,000
# Trades
205
# Profitable
90
% Profitable
43.9%
Correlation S&P500
-0.080
Sharpe Ratio
0.39
Sortino Ratio
3.51
Beta
-2.58
Alpha
0.82
Leverage
14.00 Average
114.78 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.

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