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Featured Strategy S2Prox0 Rank on Leaderboard #13 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Top Futures Only
(129393804)

Created by: irfan_shaikh irfan_shaikh
Started: 06/2020
Futures
Last trade: 1,389 days ago
Trading style: Futures Trend-following Currencies
Subscriptions not currently available.

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 $399.00 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
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Currencies
Category: Equity

Currencies

Focuses on currency futures.
-1.3%
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.

(11.4%)
Max Drawdown
31
Num Trades
48.4%
Win Trades
0.9 : 1
Profit Factor
0.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                   (5.1%)  -    -    -    -    -    -  (5.1%)
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/30/20 5:44 DXMU0 MINI-DAX INDEX SHORT 3 12236.7 6/30 9:26 12217.0 0.67%
Trade id #129816790
Max drawdown($1,252)
Time6/30/20 7:41
Quant open3
Worst price12311.0
Drawdown as % of equity-0.67%
 $307
Includes Typical Broker Commissions trade costs of $24.00
6/29/20 20:17 @YMU0 MINI DOW SHORT 2 25526 6/30 9:26 25371 0.43%
Trade id #129811802
Max drawdown($810)
Time6/30/20 0:00
Quant open2
Worst price25607
Drawdown as % of equity-0.43%
 $1,534
Includes Typical Broker Commissions trade costs of $16.00
6/29/20 12:51 @YMU0 MINI DOW LONG 1 25354 6/29 20:15 25521 0.18%
Trade id #129805520
Max drawdown($345)
Time6/29/20 15:11
Quant open1
Worst price25285
Drawdown as % of equity-0.18%
 $827
Includes Typical Broker Commissions trade costs of $8.00
6/29/20 12:02 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 10 9912.50 6/29 12:46 9920.50 1.73%
Trade id #129804835
Max drawdown($3,250)
Time6/29/20 12:16
Quant open10
Worst price9896.25
Drawdown as % of equity-1.73%
 $1,520
Includes Typical Broker Commissions trade costs of $80.00
6/29/20 11:57: Rescaled upward by +-300% of previous Model Account size
6/29/20 11:45 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 12 9897.25 6/29 11:52 9888.75 2.19%
Trade id #129804485
Max drawdown($4,140)
Time6/29/20 11:48
Quant open12
Worst price9880.00
Drawdown as % of equity-2.19%
 ($2,136)
Includes Typical Broker Commissions trade costs of $96.00
6/29/20 10:57 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 8 9859.50 6/29 11:45 9896.25 3.36%
Trade id #129803009
Max drawdown($6,520)
Time6/29/20 11:45
Quant open8
Worst price9900.25
Drawdown as % of equity-3.36%
 ($5,944)
Includes Typical Broker Commissions trade costs of $64.00
6/29/20 9:56 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 4 9769.75 6/29 10:51 9879.75 4.75%
Trade id #129801328
Max drawdown($9,580)
Time6/29/20 10:50
Quant open4
Worst price9889.50
Drawdown as % of equity-4.75%
 ($8,832)
Includes Typical Broker Commissions trade costs of $32.00
6/25/20 11:10 DXMU0 MINI-DAX INDEX SHORT 4 12170.0 6/26 14:50 12034.0 7.66%
Trade id #129757117
Max drawdown($15,164)
Time6/26/20 0:00
Quant open16
Worst price12339.0
Drawdown as % of equity-7.66%
 $3,022
Includes Typical Broker Commissions trade costs of $32.00
6/23/20 9:25 @ESU0 E-MINI S&P 500 SHORT 4 3133.75 6/24 5:31 3085.75 5.01%
Trade id #129702924
Max drawdown($9,000)
Time6/23/20 13:51
Quant open16
Worst price3145.00
Drawdown as % of equity-5.01%
 $9,568
Includes Typical Broker Commissions trade costs of $32.00
6/23/20 9:24 @YMZ0 MINI DOW SHORT 4 26026 6/24 5:31 25594 1.06%
Trade id #129702911
Max drawdown($1,920)
Time6/23/20 13:21
Quant open16
Worst price26050
Drawdown as % of equity-1.06%
 $8,608
Includes Typical Broker Commissions trade costs of $32.00
6/22/20 18:00 @MYMU0 MICRO E-MINI DOW LONG 4 25942 6/23 9:24 26153 1.91%
Trade id #129694325
Max drawdown($3,424)
Time6/22/20 21:29
Quant open16
Worst price25514
Drawdown as % of equity-1.91%
 $418
Includes Typical Broker Commissions trade costs of $3.76
6/22/20 18:00 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 4 10119.00 6/22 23:01 10111.25 6.95%
Trade id #129694332
Max drawdown($12,560)
Time6/22/20 19:42
Quant open16
Worst price10158.20
Drawdown as % of equity-6.95%
 $588
Includes Typical Broker Commissions trade costs of $32.00
6/19/20 16:12 @ESU0 E-MINI S&P 500 SHORT 4 3066.75 6/22 16:58 3112.25 20.86%
Trade id #129668046
Max drawdown($38,000)
Time6/22/20 16:30
Quant open16
Worst price3114.25
Drawdown as % of equity-20.86%
 ($9,132)
Includes Typical Broker Commissions trade costs of $32.00
6/22/20 3:52 @MYMU0 MICRO E-MINI DOW SHORT 40 25735 6/22 16:58 25967 11.29%
Trade id #129681584
Max drawdown($20,560)
Time6/22/20 16:42
Quant open160
Worst price25992
Drawdown as % of equity-11.29%
 ($4,678)
Includes Typical Broker Commissions trade costs of $37.60
6/19/20 9:51 @ESU0 E-MINI S&P 500 SHORT 8 3137.75 6/19 13:12 3099.25 n/a $15,336
Includes Typical Broker Commissions trade costs of $64.00
6/17/20 13:16 @ESM0 E-MINI S&P 500 SHORT 4 3134.75 6/19 9:29 3160.00 26.84%
Trade id #129607299
Max drawdown($49,000)
Time6/19/20 9:29
Quant open16
Worst price3196.00
Drawdown as % of equity-26.84%
 ($5,082)
Includes Typical Broker Commissions trade costs of $32.00
6/17/20 10:34 @ESM0 E-MINI S&P 500 SHORT 4 3119.50 6/17 13:04 3135.50 7.13%
Trade id #129603694
Max drawdown($13,200)
Time6/17/20 13:02
Quant open16
Worst price3136.00
Drawdown as % of equity-7.13%
 ($3,232)
Includes Typical Broker Commissions trade costs of $32.00
6/16/20 11:16 @ESM0 E-MINI S&P 500 LONG 4 3119.75 6/17 4:55 3149.75 7.32%
Trade id #129581270
Max drawdown($13,400)
Time6/16/20 15:19
Quant open16
Worst price3103.00
Drawdown as % of equity-7.32%
 $5,968
Includes Typical Broker Commissions trade costs of $32.00
6/16/20 3:15 @M2KM0 MICRO E-MINI RUSSELL 2000 LONG 12 1442.00 6/16 10:56 1442.70 0.93%
Trade id #129572786
Max drawdown($1,752)
Time6/16/20 4:08
Quant open48
Worst price1434.70
Drawdown as % of equity-0.93%
 $31
Includes Typical Broker Commissions trade costs of $11.28
6/16/20 8:15 @ESM0 E-MINI S&P 500 LONG 8 3124.50 6/16 10:56 3109.50 16.31%
Trade id #129576233
Max drawdown($30,800)
Time6/16/20 10:54
Quant open32
Worst price3105.25
Drawdown as % of equity-16.31%
 ($6,064)
Includes Typical Broker Commissions trade costs of $64.00
6/15/20 14:10 @MYMM0 MICRO E-MINI DOW LONG 12 25803 6/15 22:07 26100 3.64%
Trade id #129562333
Max drawdown($6,768)
Time6/15/20 15:36
Quant open48
Worst price25521
Drawdown as % of equity-3.64%
 $1,771
Includes Typical Broker Commissions trade costs of $11.28
6/12/20 11:11 @M2KM0 MICRO E-MINI RUSSELL 2000 SHORT 12 1372.20 6/15 14:07 1424.60 6.9%
Trade id #129531522
Max drawdown($13,056)
Time6/15/20 14:07
Quant open48
Worst price1426.60
Drawdown as % of equity-6.90%
 ($3,155)
Includes Typical Broker Commissions trade costs of $11.28
6/15/20 4:25 @QOQ0 miNY Gold SHORT 4 1727.25 6/15 14:07 1734.50 4.02%
Trade id #129551438
Max drawdown($7,600)
Time6/15/20 14:04
Quant open16
Worst price1736.75
Drawdown as % of equity-4.02%
 ($1,482)
Includes Typical Broker Commissions trade costs of $32.00
6/12/20 5:03 @M2KM0 MICRO E-MINI RUSSELL 2000 LONG 8 1409.40 6/12 11:11 1371.50 4.34%
Trade id #129524717
Max drawdown($8,352)
Time6/12/20 11:06
Quant open32
Worst price1357.20
Drawdown as % of equity-4.34%
 ($1,524)
Includes Typical Broker Commissions trade costs of $7.52
6/11/20 14:19 @M2KM0 MICRO E-MINI RUSSELL 2000 SHORT 4 1375.40 6/12 5:03 1410.10 1.65%
Trade id #129511771
Max drawdown($3,192)
Time6/12/20 4:52
Quant open16
Worst price1415.30
Drawdown as % of equity-1.65%
 ($698)
Includes Typical Broker Commissions trade costs of $3.76
6/11/20 10:36 @ESM0 E-MINI S&P 500 SHORT 4 3103.25 6/11 11:54 3074.50 2.24%
Trade id #129494153
Max drawdown($4,200)
Time6/11/20 10:40
Quant open16
Worst price3108.50
Drawdown as % of equity-2.24%
 $5,718
Includes Typical Broker Commissions trade costs of $32.00
6/10/20 20:30 @NKDM0 NIKKEI 225 INDEX LONG 4 22925 6/10 23:42 22715 7.82%
Trade id #129481098
Max drawdown($14,800)
Time6/10/20 23:39
Quant open16
Worst price22740
Drawdown as % of equity-7.82%
 ($4,232)
Includes Typical Broker Commissions trade costs of $32.00
6/10/20 19:33 @MNQM0 MICRO E-MINI NASDAQ 100 SHORT 24 10035.62 6/10 20:29 10072.00 3.48%
Trade id #129480423
Max drawdown($6,744)
Time6/10/20 20:29
Quant open96
Worst price10070.80
Drawdown as % of equity-3.48%
 ($1,769)
Includes Typical Broker Commissions trade costs of $22.56
6/8/20 14:11 @QOQ0 miNY Gold SHORT 4 1703.75 6/9 23:53 1724.00 10.11%
Trade id #129416330
Max drawdown($20,200)
Time6/9/20 0:00
Quant open16
Worst price1729.00
Drawdown as % of equity-10.11%
 ($4,082)
Includes Typical Broker Commissions trade costs of $32.00
6/9/20 7:39 @M2KM0 MICRO E-MINI RUSSELL 2000 SHORT 20 1506.40 6/9 21:12 1523.00 3.26%
Trade id #129431711
Max drawdown($6,360)
Time6/9/20 15:32
Quant open80
Worst price1522.30
Drawdown as % of equity-3.26%
 ($1,679)
Includes Typical Broker Commissions trade costs of $18.80
Next

Statistics

  • Strategy began
    6/8/2020
  • Suggested Minimum Cap
    $200,000
  • Strategy Age (days)
    1406.31
  • Age
    47 months ago
  • What it trades
    Futures
  • # Trades
    31
  • # Profitable
    15
  • % Profitable
    48.40%
  • Avg trade duration
    14.5 hours
  • Max peak-to-valley drawdown
    11.36%
  • drawdown period
    June 19, 2020 - June 22, 2020
  • Annual Return (Compounded)
    -1.3%
  • Avg win
    $3,712
  • Avg loss
    $3,948
  • Model Account Values (Raw)
  • Cash
    $192,516
  • Margin Used
    $0
  • Buying Power
    $192,516
  • Ratios
  • W:L ratio
    0.88:1
  • Sharpe Ratio
    -0.4
  • Sortino Ratio
    -0.52
  • Calmar Ratio
    -0.695
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -63.59%
  • Correlation to SP500
    -0.06220
  • Return Percent SP500 (cumu) during strategy life
    55.03%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    -1.3%
  • Slump
  • Current Slump as Pcnt Equity
    6.70%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.99%
  • 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)
    -0.013%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -1.0%
  • Automation
  • Percentage Signals Automated
    n/a
  • 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
    $3,948
  • Avg Win
    $3,712
  • Sum Trade PL (losers)
    $63,170.000
  • Age
  • Num Months filled monthly returns table
    47
  • Win / Loss
  • Sum Trade PL (winners)
    $55,686.000
  • # Winners
    15
  • Num Months Winners
    0
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    16
  • % Winners
    48.4%
  • Frequency
  • Avg Position Time (mins)
    867.25
  • Avg Position Time (hrs)
    14.45
  • Avg Trade Length
    0.6 days
  • Last Trade Ago
    1384
  • Leverage
  • Daily leverage (average)
    3.62
  • Daily leverage (max)
    12.57
  • Regression
  • Alpha
    -0.01
  • Beta
    -0.02
  • Treynor Index
    0.37
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.06
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.06
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    -14.268
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    1.847
  • Avg(MAE) / Avg(PL) - Losing trades
    -3.991
  • Hold-and-Hope Ratio
    -0.070
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08307
  • SD
    0.04501
  • Sharpe ratio (Glass type estimate)
    -1.84547
  • Sharpe ratio (Hedges UMVUE)
    -1.63915
  • df
    7.00000
  • t
    -1.50682
  • p
    0.91221
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.37092
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.79088
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.18854
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91025
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.71435
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.08307
  • Upside SD
    0.00000
  • Downside SD
    0.04845
  • N nonnegative terms
    0.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.54922
  • Mean of criterion
    -0.08307
  • SD of predictor
    0.34209
  • SD of criterion
    0.04501
  • Covariance
    0.00425
  • r
    0.27585
  • b (slope, estimate of beta)
    0.03630
  • a (intercept, estimate of alpha)
    -0.10300
  • Mean Square Error
    0.00218
  • DF error
    6.00000
  • t(b)
    0.70296
  • p(b)
    0.25421
  • t(a)
    -1.61257
  • p(a)
    0.92102
  • Lowerbound of 95% confidence interval for beta
    -0.09005
  • Upperbound of 95% confidence interval for beta
    0.16264
  • Lowerbound of 95% confidence interval for alpha
    -0.25930
  • Upperbound of 95% confidence interval for alpha
    0.05330
  • Treynor index (mean / b)
    -2.28863
  • Jensen alpha (a)
    -0.10300
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08407
  • SD
    0.04586
  • Sharpe ratio (Glass type estimate)
    -1.83328
  • Sharpe ratio (Hedges UMVUE)
    -1.62833
  • df
    7.00000
  • t
    -1.49687
  • p
    0.91095
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.35670
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.80053
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.17582
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91917
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.70578
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.08407
  • Upside SD
    0.00000
  • Downside SD
    0.04929
  • N nonnegative terms
    0.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.48713
  • Mean of criterion
    -0.08407
  • SD of predictor
    0.33736
  • SD of criterion
    0.04586
  • Covariance
    0.00401
  • r
    0.25902
  • b (slope, estimate of beta)
    0.03521
  • a (intercept, estimate of alpha)
    -0.10122
  • Mean Square Error
    0.00229
  • DF error
    6.00000
  • t(b)
    0.65688
  • p(b)
    0.26781
  • t(a)
    -1.57794
  • p(a)
    0.91717
  • Lowerbound of 95% confidence interval for beta
    -0.09595
  • Upperbound of 95% confidence interval for beta
    0.16637
  • Lowerbound of 95% confidence interval for alpha
    -0.25820
  • Upperbound of 95% confidence interval for alpha
    0.05575
  • Treynor index (mean / b)
    -2.38776
  • Jensen alpha (a)
    -0.10122
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02837
  • Expected Shortfall on VaR
    0.03372
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02376
  • Expected Shortfall on VaR
    0.04280
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.96325
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    0.98162
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.12500
  • Mean of outliers low
    0.96325
  • 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
    0.03675
  • Quartile 1
    0.03675
  • Median
    0.03675
  • Quartile 3
    0.03675
  • Maximum
    0.03675
  • 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)
    -0.05513
  • Compounded annual return (geometric extrapolation)
    -0.05462
  • Calmar ratio (compounded annual return / max draw down)
    -1.48613
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.61977
  • 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
    -0.07448
  • SD
    0.10342
  • Sharpe ratio (Glass type estimate)
    -0.72022
  • Sharpe ratio (Hedges UMVUE)
    -0.71734
  • df
    188.00000
  • t
    -0.61171
  • p
    0.52228
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.02809
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58949
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.02612
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59143
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.97192
  • Upside Potential Ratio
    2.13623
  • Upside part of mean
    0.16371
  • Downside part of mean
    -0.23819
  • Upside SD
    0.06919
  • Downside SD
    0.07663
  • N nonnegative terms
    7.00000
  • N negative terms
    182.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    189.00000
  • Mean of predictor
    0.71913
  • Mean of criterion
    -0.07448
  • SD of predictor
    0.38167
  • SD of criterion
    0.10342
  • Covariance
    -0.00272
  • r
    -0.06890
  • b (slope, estimate of beta)
    -0.01867
  • a (intercept, estimate of alpha)
    -0.06100
  • Mean Square Error
    0.01070
  • DF error
    187.00000
  • t(b)
    -0.94445
  • p(b)
    0.54383
  • t(a)
    -0.49793
  • p(a)
    0.52316
  • Lowerbound of 95% confidence interval for beta
    -0.05766
  • Upperbound of 95% confidence interval for beta
    0.02033
  • Lowerbound of 95% confidence interval for alpha
    -0.30296
  • Upperbound of 95% confidence interval for alpha
    0.18084
  • Treynor index (mean / b)
    3.98964
  • Jensen alpha (a)
    -0.06106
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07981
  • SD
    0.10356
  • Sharpe ratio (Glass type estimate)
    -0.77073
  • Sharpe ratio (Hedges UMVUE)
    -0.76765
  • df
    188.00000
  • t
    -0.65461
  • p
    0.52384
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.07868
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.53923
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.07659
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.54129
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.02374
  • Upside Potential Ratio
    2.06967
  • Upside part of mean
    0.16136
  • Downside part of mean
    -0.24117
  • Upside SD
    0.06792
  • Downside SD
    0.07796
  • N nonnegative terms
    7.00000
  • N negative terms
    182.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    189.00000
  • Mean of predictor
    0.64558
  • Mean of criterion
    -0.07981
  • SD of predictor
    0.38243
  • SD of criterion
    0.10356
  • Covariance
    -0.00277
  • r
    -0.06987
  • b (slope, estimate of beta)
    -0.01892
  • a (intercept, estimate of alpha)
    -0.06760
  • Mean Square Error
    0.01073
  • DF error
    187.00000
  • t(b)
    -0.95775
  • p(b)
    0.54444
  • t(a)
    -0.55131
  • p(a)
    0.52564
  • Lowerbound of 95% confidence interval for beta
    -0.05789
  • Upperbound of 95% confidence interval for beta
    0.02005
  • Lowerbound of 95% confidence interval for alpha
    -0.30949
  • Upperbound of 95% confidence interval for alpha
    0.17429
  • Treynor index (mean / b)
    4.21877
  • Jensen alpha (a)
    -0.06760
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01077
  • Expected Shortfall on VaR
    0.01341
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00309
  • Expected Shortfall on VaR
    0.00686
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    189.00000
  • Minimum
    0.95510
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.04561
  • Mean of quarter 1
    0.99682
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00253
  • Inter Quartile Range
    0.00000
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.05291
  • Mean of outliers low
    0.98476
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.03704
  • Mean of outliers high
    1.01698
  • 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)
    0.31610
  • VaR(95%) (regression method)
    0.00120
  • Expected Shortfall (regression method)
    0.01343
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04715
  • Quartile 1
    0.05355
  • Median
    0.05996
  • Quartile 3
    0.06637
  • Maximum
    0.07278
  • Mean of quarter 1
    0.04715
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.07278
  • Inter Quartile Range
    0.01282
  • 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)
    -0.05095
  • Compounded annual return (geometric extrapolation)
    -0.05058
  • Calmar ratio (compounded annual return / max draw down)
    -0.69501
  • Compounded annual return / average of 25% largest draw downs
    -0.69501
  • Compounded annual return / Expected Shortfall lognormal
    -3.77261
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.64605
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40797
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.56250
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.40893
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6841760000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01100
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -94702299999999997984043886968832.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
  • 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?
    -510150000
  • Max Equity Drawdown (num days)
    3
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Summary Statistics

Strategy began
2020-06-08
Suggested Minimum Capital
$100,000
# Trades
31
# Profitable
15
% Profitable
48.4%
Correlation S&P500
-0.062
Sharpe Ratio
-0.40
Sortino Ratio
-0.52
Beta
-0.02
Alpha
-0.01
Leverage
3.62 Average
12.57 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.