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Z EXP
(129760656)

Created by: LarryBrown LarryBrown
Started: 06/2020
Futures
Last trade: 16 days ago
Trading style: Futures Momentum Financials / Indexes

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $125.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Futures
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).
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
10.4%
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.

(13.7%)
Max Drawdown
55
Num Trades
63.6%
Win Trades
1.6 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                   +1.5%+8.6%+0.1%                        +10.4%

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 168 hours.

Trading Record

This strategy has placed 84 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/23/20 10:48 @MESU0 MICRO E-MINI S&P 500 LONG 10 3264.75 7/23 11:51 3266.00 1.14%
Trade id #130239106
Max drawdown($225)
Time7/23/20 11:05
Quant open5
Worst price3257.75
Drawdown as % of equity-1.14%
$54
Includes Typical Broker Commissions trade costs of $9.40
7/23/20 9:35 @MESU0 MICRO E-MINI S&P 500 LONG 20 3264.12 7/23 10:48 3266.50 3.31%
Trade id #130236906
Max drawdown($637)
Time7/23/20 10:22
Quant open10
Worst price3254.50
Drawdown as % of equity-3.31%
$219
Includes Typical Broker Commissions trade costs of $18.80
7/23/20 8:28 @MESU0 MICRO E-MINI S&P 500 LONG 5 3273.50 7/23 8:49 3266.50 0.92%
Trade id #130235664
Max drawdown($181)
Time7/23/20 8:49
Quant open5
Worst price3266.25
Drawdown as % of equity-0.92%
($180)
Includes Typical Broker Commissions trade costs of $4.70
7/23/20 4:10 @MESU0 MICRO E-MINI S&P 500 LONG 5 3283.50 7/23 7:19 3276.50 1.07%
Trade id #130232969
Max drawdown($212)
Time7/23/20 5:00
Quant open5
Worst price3275.00
Drawdown as % of equity-1.07%
($180)
Includes Typical Broker Commissions trade costs of $4.70
7/20/20 21:24 @MESU0 MICRO E-MINI S&P 500 LONG 5 3250.25 7/21 2:15 3264.00 1.19%
Trade id #130178195
Max drawdown($231)
Time7/21/20 0:00
Quant open5
Worst price3241.00
Drawdown as % of equity-1.19%
$339
Includes Typical Broker Commissions trade costs of $4.70
7/20/20 11:29 @MESU0 MICRO E-MINI S&P 500 LONG 5 3226.75 7/20 21:16 3249.50 0.39%
Trade id #130168542
Max drawdown($75)
Time7/20/20 12:02
Quant open5
Worst price3223.75
Drawdown as % of equity-0.39%
$564
Includes Typical Broker Commissions trade costs of $4.70
7/20/20 9:46 @MESU0 MICRO E-MINI S&P 500 LONG 5 3210.50 7/20 11:01 3223.25 0.59%
Trade id #130165387
Max drawdown($112)
Time7/20/20 9:50
Quant open5
Worst price3206.00
Drawdown as % of equity-0.59%
$314
Includes Typical Broker Commissions trade costs of $4.70
7/20/20 5:19 @MESU0 MICRO E-MINI S&P 500 LONG 10 3209.00 7/20 9:36 3212.25 1.49%
Trade id #130161193
Max drawdown($275)
Time7/20/20 6:33
Quant open10
Worst price3203.50
Drawdown as % of equity-1.49%
$154
Includes Typical Broker Commissions trade costs of $9.40
7/17/20 11:12 @MESU0 MICRO E-MINI S&P 500 LONG 20 3214.88 7/17 15:16 3216.25 1.69%
Trade id #130136554
Max drawdown($312)
Time7/17/20 11:48
Quant open10
Worst price3206.25
Drawdown as % of equity-1.69%
$119
Includes Typical Broker Commissions trade costs of $18.80
7/17/20 9:32 @MESU0 MICRO E-MINI S&P 500 LONG 20 3212.00 7/17 10:24 3202.42 5.82%
Trade id #130133846
Max drawdown($1,125)
Time7/17/20 10:24
Quant open20
Worst price3200.75
Drawdown as % of equity-5.82%
($977)
Includes Typical Broker Commissions trade costs of $18.80
7/17/20 7:00 @MESU0 MICRO E-MINI S&P 500 LONG 20 3210.75 7/17 9:31 3213.75 1.05%
Trade id #130131738
Max drawdown($200)
Time7/17/20 7:45
Quant open10
Worst price3205.00
Drawdown as % of equity-1.05%
$281
Includes Typical Broker Commissions trade costs of $18.80
7/17/20 2:26 @MESU0 MICRO E-MINI S&P 500 LONG 10 3205.25 7/17 3:36 3201.00 1.43%
Trade id #130128659
Max drawdown($275)
Time7/17/20 3:07
Quant open10
Worst price3199.75
Drawdown as % of equity-1.43%
($222)
Includes Typical Broker Commissions trade costs of $9.40
7/16/20 11:11 @MESU0 MICRO E-MINI S&P 500 LONG 20 3198.53 7/16 11:43 3195.49 1.52%
Trade id #130116861
Max drawdown($303)
Time7/16/20 11:32
Quant open20
Worst price3195.50
Drawdown as % of equity-1.52%
($323)
Includes Typical Broker Commissions trade costs of $18.80
7/16/20 10:40 @MESU0 MICRO E-MINI S&P 500 LONG 10 3203.10 7/16 11:09 3193.66 2.55%
Trade id #130115945
Max drawdown($517)
Time7/16/20 11:09
Quant open10
Worst price3192.75
Drawdown as % of equity-2.55%
($481)
Includes Typical Broker Commissions trade costs of $9.40
7/16/20 10:18 @MESU0 MICRO E-MINI S&P 500 LONG 20 3201.19 7/16 10:40 3202.62 1.53%
Trade id #130115504
Max drawdown($306)
Time7/16/20 10:26
Quant open10
Worst price3194.00
Drawdown as % of equity-1.53%
$125
Includes Typical Broker Commissions trade costs of $18.80
7/16/20 9:41 @MESU0 MICRO E-MINI S&P 500 LONG 10 3198.62 7/16 10:05 3191.85 1.83%
Trade id #130114424
Max drawdown($368)
Time7/16/20 10:05
Quant open10
Worst price3191.25
Drawdown as % of equity-1.83%
($348)
Includes Typical Broker Commissions trade costs of $9.40
7/16/20 9:06 @MESU0 MICRO E-MINI S&P 500 LONG 5 3201.47 7/16 9:32 3193.08 1.06%
Trade id #130113497
Max drawdown($217)
Time7/16/20 9:32
Quant open5
Worst price3192.75
Drawdown as % of equity-1.06%
($215)
Includes Typical Broker Commissions trade costs of $4.70
7/16/20 6:46 @MESU0 MICRO E-MINI S&P 500 LONG 5 3198.75 7/16 7:25 3199.50 0.3%
Trade id #130111640
Max drawdown($62)
Time7/16/20 7:15
Quant open5
Worst price3196.25
Drawdown as % of equity-0.30%
$14
Includes Typical Broker Commissions trade costs of $4.70
7/16/20 5:29 @MESU0 MICRO E-MINI S&P 500 LONG 5 3194.50 7/16 6:31 3193.50 0.24%
Trade id #130110733
Max drawdown($50)
Time7/16/20 5:46
Quant open5
Worst price3192.50
Drawdown as % of equity-0.24%
($30)
Includes Typical Broker Commissions trade costs of $4.70
7/16/20 4:03 @MESU0 MICRO E-MINI S&P 500 LONG 4 3201.75 7/16 4:27 3197.94 0.34%
Trade id #130109508
Max drawdown($70)
Time7/16/20 4:10
Quant open4
Worst price3198.25
Drawdown as % of equity-0.34%
($80)
Includes Typical Broker Commissions trade costs of $3.76
7/16/20 0:52 @MESU0 MICRO E-MINI S&P 500 LONG 2 3207.50 7/16 3:30 3196.75 0.57%
Trade id #130107152
Max drawdown($117)
Time7/16/20 3:30
Quant open2
Worst price3195.75
Drawdown as % of equity-0.57%
($110)
Includes Typical Broker Commissions trade costs of $1.88
7/15/20 9:44 @MESU0 MICRO E-MINI S&P 500 LONG 6 3220.61 7/15 10:26 3221.75 1.32%
Trade id #130091963
Max drawdown($273)
Time7/15/20 10:11
Quant open6
Worst price3211.50
Drawdown as % of equity-1.32%
$28
Includes Typical Broker Commissions trade costs of $5.64
7/15/20 6:35 @MESU0 MICRO E-MINI S&P 500 LONG 4 3214.00 7/15 7:15 3224.25 n/a $201
Includes Typical Broker Commissions trade costs of $3.76
7/15/20 2:29 @MESU0 MICRO E-MINI S&P 500 LONG 4 3206.38 7/15 6:35 3213.00 0.61%
Trade id #130085897
Max drawdown($125)
Time7/15/20 3:10
Quant open2
Worst price3198.25
Drawdown as % of equity-0.61%
$129
Includes Typical Broker Commissions trade costs of $3.76
7/15/20 3:46 QPLV0 PLATINUM LONG 1 844.6 7/15 5:24 844.6 0.02%
Trade id #130086756
Max drawdown($3)
Time7/15/20 5:24
Quant open1
Worst price844.5
Drawdown as % of equity-0.02%
($7)
Includes Typical Broker Commissions trade costs of $8.00
7/15/20 3:35 QMGCQ0 E-Micro Gold LONG 1 1812.5 7/15 5:05 1816.0 0.01%
Trade id #130086621
Max drawdown($3)
Time7/15/20 3:38
Quant open1
Worst price1812.2
Drawdown as % of equity-0.01%
$34
Includes Typical Broker Commissions trade costs of $0.70
7/14/20 7:54 QPLV0 PLATINUM LONG 2 843.9 7/14 8:02 844.4 n/a $36
Includes Typical Broker Commissions trade costs of $16.00
7/14/20 4:56 @QMQ0 MINY CRUDE OIL LONG 1 39.650 7/14 5:33 39.750 0.49%
Trade id #130065025
Max drawdown($100)
Time7/14/20 5:10
Quant open1
Worst price39.450
Drawdown as % of equity-0.49%
$42
Includes Typical Broker Commissions trade costs of $8.00
7/14/20 4:11 QPLV0 PLATINUM LONG 1 848.5 7/14 4:18 846.5 0.49%
Trade id #130064350
Max drawdown($100)
Time7/14/20 4:18
Quant open1
Worst price846.5
Drawdown as % of equity-0.49%
($108)
Includes Typical Broker Commissions trade costs of $8.00
7/14/20 3:42 QPLV0 PLATINUM SHORT 1 841.9 7/14 4:08 847.6 1.59%
Trade id #130063887
Max drawdown($330)
Time7/14/20 4:08
Quant open1
Worst price848.5
Drawdown as % of equity-1.59%
($293)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    6/25/2020
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    43.66
  • Age
    44 days ago
  • What it trades
    Futures
  • # Trades
    55
  • # Profitable
    35
  • % Profitable
    63.60%
  • Avg trade duration
    1.8 hours
  • Max peak-to-valley drawdown
    13.66%
  • drawdown period
    July 09, 2020 - July 17, 2020
  • Cumul. Return
    10.4%
  • Avg win
    $193.17
  • Avg loss
    $207.10
  • Model Account Values (Raw)
  • Cash
    $20,479
  • Margin Used
    $0
  • Buying Power
    $20,479
  • Ratios
  • W:L ratio
    1.63:1
  • Sharpe Ratio
    2.16
  • Sortino Ratio
    3.51
  • Calmar Ratio
    22.847
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.07130
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1.71%
  • Return Percent SP500 (cumu) during strategy life
    8.68%
  • Return Statistics
  • Ann Return (w trading costs)
    116.6%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.68%
  • Instruments
  • Percent Trades Stocks
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    7.70%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.104%
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    205.6%
  • Automation
  • Percentage Signals Automated
    9535.00%
  • Popularity
  • Popularity (Today)
    392
  • Popularity (Last 6 weeks)
    942
  • Popularity (7 days, Percentile 1000 scale)
    704
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    719
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $193
  • Avg Loss
    $207
  • Sum Trade PL (losers)
    $4,142.000
  • Sum Trade PL (winners)
    $6,761.000
  • # Winners
    35
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • Num Months Winners
    3
  • Age
  • Num Months filled monthly returns table
    3
  • Win / Loss
  • # Losers
    20
  • % Winners
    63.6%
  • Frequency
  • Avg Position Time (mins)
    108.77
  • Avg Position Time (hrs)
    1.81
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    6.92
  • Daily leverage (max)
    17.46
  • Regression
  • Alpha
    0.28
  • Beta
    -0.17
  • Treynor Index
    -1.50
  • Maximum Adverse Excursion (MAE)
  • MAE:PL (avg, all trades)
    0.29
  • MAE:Equity, average, all trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -6.489
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL - worst single value for strategy
    -
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • MAE:PL (avg, losing trades)
    -
  • Avg(MAE) / Avg(PL) - Winning trades
    1.217
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.190
  • Hold-and-Hope Ratio
    -0.154
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to linear regression on benchmark
  • a (intercept, estimate of alpha)
    1.31800
  • Analysis based on DAILY values, last 6 months only
  • Ratio statistics of excess log return rates
  • VAR (95 Confidence Intrvl)
    0.02900
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    8
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -271072000

Strategy Description

This strategy will only trade Futures

Summary Statistics

Strategy began
2020-06-25
Suggested Minimum Capital
$25,000
# Trades
55
# Profitable
35
% Profitable
63.6%
Correlation S&P500
-0.071
Sharpe Ratio
2.16
Sortino Ratio
3.51
Beta
-0.17
Alpha
0.28
Leverage
6.92 Average
17.46 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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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.