Collective2 Collective2
Featured Strategy Quant AI pro +14.8% Cumul. Return since Dec 2, 2024 Hypothetical

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Found It
(142393685)

Created by: Aziz Aziz
Started: 11/2022
Futures
Last trade: 159 days ago
Trading style: Futures Momentum

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $150.00 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).
-
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.

(100.0%)
Max Drawdown
965
Num Trades
49.9%
Win Trades
0.9 : 1
Profit Factor
65.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                      +3.8%+15.2%+19.5%
2023+0.8%+4.2%+2.2%+1.9%+4.4%+3.3%+7.7%+1.8%+3.6%+4.2%+2.8%+1.3%+45.2%
2024+5.5%+5.0%(18.2%)+23.8%(20.9%)(5.8%)(135.8%)  -    -    -    -    -  (130%)

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 2,078 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 164 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/17/24 11:26 @NQU4 E-MINI NASDAQ 100 STK IDX SHORT 20 20096.72 7/17 11:30 20134.25 358.99%
Trade id #148671183
Max drawdown($15,110)
Time7/17/24 11:30
Quant open20
Worst price20134.50
Drawdown as % of equity358.99%
 ($15,170)
Includes Typical Broker Commissions trade costs of $160.00
7/17/24 11:23 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 100 20144.28 7/17 11:26 20102.25 237.7%
Trade id #148671105
Max drawdown($10,005)
Time7/17/24 11:26
Quant open100
Worst price20094.20
Drawdown as % of equity237.70%
 ($8,499)
Includes Typical Broker Commissions trade costs of $94.00
7/17/24 10:58 @MNQU4 MICRO E-MINI NASDAQ 100 SHORT 100 20123.42 7/17 11:08 20119.75 25.3%
Trade id #148670859
Max drawdown($1,065)
Time7/17/24 11:03
Quant open100
Worst price20128.80
Drawdown as % of equity25.30%
 $641
Includes Typical Broker Commissions trade costs of $94.00
7/17/24 10:22 @MNQU4 MICRO E-MINI NASDAQ 100 SHORT 100 20136.91 7/17 10:44 20141.45 61%
Trade id #148670223
Max drawdown($2,567)
Time7/17/24 10:28
Quant open100
Worst price20149.80
Drawdown as % of equity61.00%
 ($1,002)
Includes Typical Broker Commissions trade costs of $94.00
7/17/24 9:32 @MNQU4 MICRO E-MINI NASDAQ 100 SHORT 40 20247.14 7/17 10:11 20114.00 65.31%
Trade id #148669075
Max drawdown($2,749)
Time7/17/24 9:36
Quant open40
Worst price20281.50
Drawdown as % of equity65.31%
 $10,613
Includes Typical Broker Commissions trade costs of $37.60
7/16/24 16:07 @MBTN4 MICRO BITCOIN LONG 4 65418 7/17 9:18 64870 9.88%
Trade id #148664623
Max drawdown($417)
Time7/16/24 18:08
Quant open4
Worst price64375
Drawdown as % of equity9.88%
 ($251)
Includes Typical Broker Commissions trade costs of $32.00
7/15/24 15:53 @MNQU4 MICRO E-MINI NASDAQ 100 SHORT 10 20512.65 7/16 16:06 20607.08 51.08%
Trade id #148654004
Max drawdown($2,102)
Time7/15/24 16:27
Quant open10
Worst price20617.80
Drawdown as % of equity51.08%
 ($1,898)
Includes Typical Broker Commissions trade costs of $9.40
7/15/24 13:23 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 100 20635.74 7/15 15:52 20564.06 131.88%
Trade id #148652468
Max drawdown($16,717)
Time7/15/24 14:01
Quant open95
Worst price20553.80
Drawdown as % of equity-131.88%
 ($14,431)
Includes Typical Broker Commissions trade costs of $94.00
7/15/24 12:12 @MNQU4 MICRO E-MINI NASDAQ 100 SHORT 10 20636.75 7/15 13:23 20640.75 7.93%
Trade id #148651787
Max drawdown($1,005)
Time7/15/24 12:42
Quant open10
Worst price20687.00
Drawdown as % of equity-7.93%
 ($89)
Includes Typical Broker Commissions trade costs of $9.40
7/15/24 10:09 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 100 20672.69 7/15 11:32 20674.73 37.81%
Trade id #148649254
Max drawdown($4,639)
Time7/15/24 10:19
Quant open100
Worst price20649.50
Drawdown as % of equity-37.81%
 $313
Includes Typical Broker Commissions trade costs of $94.00
7/15/24 9:45 @NQU4 E-MINI NASDAQ 100 STK IDX SHORT 10 20590.85 7/15 9:49 20636.50 32.39%
Trade id #148648775
Max drawdown($9,880)
Time7/15/24 9:49
Quant open10
Worst price20640.20
Drawdown as % of equity-32.39%
 ($9,210)
Includes Typical Broker Commissions trade costs of $80.00
7/15/24 9:39 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 10 20643.40 7/15 9:44 20603.25 31.57%
Trade id #148648605
Max drawdown($9,630)
Time7/15/24 9:44
Quant open10
Worst price20595.20
Drawdown as % of equity-31.57%
 ($8,110)
Includes Typical Broker Commissions trade costs of $80.00
7/15/24 1:55 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 3 20612.42 7/15 2:29 20612.25 3.15%
Trade id #148646453
Max drawdown($925)
Time7/15/24 2:03
Quant open3
Worst price20597.00
Drawdown as % of equity-3.15%
 ($34)
Includes Typical Broker Commissions trade costs of $24.00
7/14/24 23:12 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 2 20576.50 7/15 1:20 20583.97 4.7%
Trade id #148646091
Max drawdown($1,370)
Time7/15/24 0:00
Quant open1
Worst price20508.00
Drawdown as % of equity-4.70%
 $283
Includes Typical Broker Commissions trade costs of $16.00
7/12/24 12:36 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 3 20607.87 7/12 13:57 20664.07 5.29%
Trade id #148636569
Max drawdown($1,372)
Time7/12/24 12:48
Quant open3
Worst price20585.00
Drawdown as % of equity-5.29%
 $3,348
Includes Typical Broker Commissions trade costs of $24.00
7/12/24 12:18 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 3 20586.00 7/12 12:28 20585.00 1.85%
Trade id #148636470
Max drawdown($480)
Time7/12/24 12:22
Quant open3
Worst price20578.00
Drawdown as % of equity-1.85%
 ($84)
Includes Typical Broker Commissions trade costs of $24.00
7/12/24 10:41 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 20637.20 7/12 11:00 20634.20 1.03%
Trade id #148634505
Max drawdown($259)
Time7/12/24 10:45
Quant open1
Worst price20624.20
Drawdown as % of equity-1.03%
 ($68)
Includes Typical Broker Commissions trade costs of $8.00
7/11/24 19:09 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 8 20432.63 7/12 10:00 20456.55 19.13%
Trade id #148628421
Max drawdown($3,927)
Time7/12/24 8:30
Quant open2
Worst price20335.00
Drawdown as % of equity-19.13%
 $3,763
Includes Typical Broker Commissions trade costs of $64.00
7/11/24 11:29 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 3 20517.93 7/11 16:01 20433.93 32.28%
Trade id #148623485
Max drawdown($6,770)
Time7/11/24 14:03
Quant open2
Worst price20377.20
Drawdown as % of equity-32.28%
 ($5,064)
Includes Typical Broker Commissions trade costs of $24.00
7/11/24 9:46 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 3 20889.67 7/11 11:22 20582.70 64.38%
Trade id #148621338
Max drawdown($18,550)
Time7/11/24 11:22
Quant open3
Worst price20580.50
Drawdown as % of equity-64.38%
 ($18,442)
Includes Typical Broker Commissions trade costs of $24.00
7/10/24 11:26 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 3 20744.00 7/10 11:40 20750.80 n/a $384
Includes Typical Broker Commissions trade costs of $24.00
7/10/24 10:21 @NQU4 E-MINI NASDAQ 100 STK IDX SHORT 3 20758.50 7/10 11:05 20720.50 2.14%
Trade id #148610822
Max drawdown($990)
Time7/10/24 10:26
Quant open3
Worst price20775.00
Drawdown as % of equity-2.14%
 $2,256
Includes Typical Broker Commissions trade costs of $24.00
7/10/24 10:10 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 3 20787.87 7/10 10:21 20759.00 4.25%
Trade id #148610431
Max drawdown($1,972)
Time7/10/24 10:21
Quant open3
Worst price20755.00
Drawdown as % of equity-4.25%
 ($1,756)
Includes Typical Broker Commissions trade costs of $24.00
7/10/24 9:46 @NQU4 E-MINI NASDAQ 100 STK IDX SHORT 3 20756.93 7/10 10:10 20791.80 4.86%
Trade id #148609756
Max drawdown($2,254)
Time7/10/24 10:10
Quant open3
Worst price20794.50
Drawdown as % of equity-4.86%
 ($2,116)
Includes Typical Broker Commissions trade costs of $24.00
7/9/24 15:38 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 4 20667.47 7/9 16:01 20677.00 0.73%
Trade id #148604718
Max drawdown($338)
Time7/9/24 15:45
Quant open4
Worst price20663.20
Drawdown as % of equity-0.73%
 $730
Includes Typical Broker Commissions trade costs of $32.00
7/9/24 15:08 @NQU4 E-MINI NASDAQ 100 STK IDX SHORT 4 20667.67 7/9 15:25 20664.25 1.97%
Trade id #148604469
Max drawdown($906)
Time7/9/24 15:14
Quant open4
Worst price20679.00
Drawdown as % of equity-1.97%
 $242
Includes Typical Broker Commissions trade costs of $32.00
7/9/24 14:38 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 4 20662.97 7/9 14:52 20660.00 1.01%
Trade id #148604224
Max drawdown($478)
Time7/9/24 14:42
Quant open4
Worst price20657.00
Drawdown as % of equity-1.01%
 ($270)
Includes Typical Broker Commissions trade costs of $32.00
7/9/24 14:29 @NQU4 E-MINI NASDAQ 100 STK IDX SHORT 4 20652.78 7/9 14:34 20659.80 1.47%
Trade id #148604169
Max drawdown($698)
Time7/9/24 14:34
Quant open4
Worst price20661.50
Drawdown as % of equity-1.47%
 ($594)
Includes Typical Broker Commissions trade costs of $32.00
7/9/24 14:20 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 2 20667.10 7/9 14:24 20658.80 0.79%
Trade id #148604131
Max drawdown($374)
Time7/9/24 14:24
Quant open2
Worst price20657.80
Drawdown as % of equity-0.79%
 ($348)
Includes Typical Broker Commissions trade costs of $16.00
7/9/24 13:51 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 4 20653.20 7/9 14:17 20657.90 0.61%
Trade id #148603998
Max drawdown($288)
Time7/9/24 14:03
Quant open2
Worst price20646.00
Drawdown as % of equity-0.61%
 $344
Includes Typical Broker Commissions trade costs of $32.00
Next

Statistics

  • Strategy began
    11/1/2022
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    776.92
  • Age
    26 months ago
  • What it trades
    Futures
  • # Trades
    965
  • # Profitable
    482
  • % Profitable
    49.90%
  • Avg trade duration
    5.9 hours
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    July 15, 2024 - July 17, 2024
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $606.58
  • Avg loss
    $679.76
  • Model Account Values (Raw)
  • Cash
    ($1,910)
  • Margin Used
    $0
  • Buying Power
    ($1,910)
  • Ratios
  • W:L ratio
    0.89:1
  • Sharpe Ratio
    -0.63
  • Sortino Ratio
    -0.65
  • Calmar Ratio
    -0.997
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -209.49%
  • Correlation to SP500
    0.05750
  • Return Percent SP500 (cumu) during strategy life
    54.35%
  • Verified
  • C2Star
    2
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.26%
  • 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)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    99.49%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    455
  • Popularity (Last 6 weeks)
    802
  • 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
    $680
  • Avg Win
    $607
  • Sum Trade PL (losers)
    $328,323.000
  • Age
  • Num Months filled monthly returns table
    21
  • Win / Loss
  • Sum Trade PL (winners)
    $292,370.000
  • # Winners
    482
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    483
  • % Winners
    50.0%
  • Frequency
  • Avg Position Time (mins)
    356.73
  • Avg Position Time (hrs)
    5.95
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    153
  • Leverage
  • Daily leverage (average)
    8.05
  • Daily leverage (max)
    348.10
  • Regression
  • Alpha
    0.00
  • Beta
    0.22
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.47
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -4.147
  • 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
    0.627
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.287
  • Hold-and-Hope Ratio
    -0.241
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.19870
  • SD
    0.83326
  • Sharpe ratio (Glass type estimate)
    -0.23846
  • Sharpe ratio (Hedges UMVUE)
    -0.22939
  • df
    20.00000
  • t
    -0.31545
  • p
    0.53518
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.71895
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.24788
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.71268
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.25391
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.25507
  • Upside Potential Ratio
    0.70303
  • Upside part of mean
    0.54766
  • Downside part of mean
    -0.74636
  • Upside SD
    0.24022
  • Downside SD
    0.77900
  • N nonnegative terms
    17.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.22090
  • Mean of criterion
    -0.19870
  • SD of predictor
    0.12857
  • SD of criterion
    0.83326
  • Covariance
    -0.02885
  • r
    -0.26933
  • b (slope, estimate of beta)
    -1.74552
  • a (intercept, estimate of alpha)
    0.18688
  • Mean Square Error
    0.67784
  • DF error
    19.00000
  • t(b)
    -1.21904
  • p(b)
    0.66937
  • t(a)
    0.26769
  • p(a)
    0.46100
  • Lowerbound of 95% confidence interval for beta
    -4.74247
  • Upperbound of 95% confidence interval for beta
    1.25144
  • Lowerbound of 95% confidence interval for alpha
    -1.27432
  • Upperbound of 95% confidence interval for alpha
    1.64808
  • Treynor index (mean / b)
    0.11383
  • Jensen alpha (a)
    0.18688
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -5.99098
  • SD
    8.38574
  • Sharpe ratio (Glass type estimate)
    -0.71442
  • Sharpe ratio (Hedges UMVUE)
    -0.68724
  • df
    20.00000
  • t
    -0.94510
  • p
    0.60338
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.20359
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.79209
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.18406
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80958
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.71650
  • Upside Potential Ratio
    0.06221
  • Upside part of mean
    0.52019
  • Downside part of mean
    -6.51118
  • Upside SD
    0.22373
  • Downside SD
    8.36140
  • N nonnegative terms
    17.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.21064
  • Mean of criterion
    -5.99098
  • SD of predictor
    0.12827
  • SD of criterion
    8.38574
  • Covariance
    -0.20517
  • r
    -0.19075
  • b (slope, estimate of beta)
    -12.47050
  • a (intercept, estimate of alpha)
    -3.36413
  • Mean Square Error
    71.32850
  • DF error
    19.00000
  • t(b)
    -0.84700
  • p(b)
    0.62069
  • t(a)
    -0.47397
  • p(a)
    0.56868
  • Lowerbound of 95% confidence interval for beta
    -43.28650
  • Upperbound of 95% confidence interval for beta
    18.34540
  • Lowerbound of 95% confidence interval for alpha
    -18.21980
  • Upperbound of 95% confidence interval for alpha
    11.49160
  • Treynor index (mean / b)
    0.48041
  • Jensen alpha (a)
    -3.36413
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.98868
  • Expected Shortfall on VaR
    0.99455
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06217
  • Expected Shortfall on VaR
    0.17702
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.00002
  • Quartile 1
    1.01602
  • Median
    1.02801
  • Quartile 3
    1.05748
  • Maximum
    1.21094
  • Mean of quarter 1
    0.78811
  • Mean of quarter 2
    1.02497
  • Mean of quarter 3
    1.04368
  • Mean of quarter 4
    1.12586
  • Inter Quartile Range
    0.04146
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.57309
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.09524
  • Mean of outliers high
    1.18257
  • 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)
    1.59771
  • VaR(95%) (regression method)
    0.39488
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.06545
  • Quartile 1
    0.29909
  • Median
    0.53272
  • Quartile 3
    0.76635
  • Maximum
    0.99999
  • Mean of quarter 1
    0.06545
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.46727
  • 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)
    -0.57141
  • Compounded annual return (geometric extrapolation)
    -0.99743
  • Calmar ratio (compounded annual return / max draw down)
    -0.99744
  • Compounded annual return / average of 25% largest draw downs
    -0.99744
  • Compounded annual return / Expected Shortfall lognormal
    -1.00289
  • 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
    -0.92540
  • SD
    1.00474
  • Sharpe ratio (Glass type estimate)
    -0.92104
  • Sharpe ratio (Hedges UMVUE)
    -0.91955
  • df
    465.00000
  • t
    -1.22835
  • p
    0.89003
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.39138
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.55025
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.39036
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.55126
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.94415
  • Upside Potential Ratio
    1.36814
  • Upside part of mean
    1.34097
  • Downside part of mean
    -2.26637
  • Upside SD
    0.22345
  • Downside SD
    0.98014
  • N nonnegative terms
    204.00000
  • N negative terms
    262.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    466.00000
  • Mean of predictor
    0.23045
  • Mean of criterion
    -0.92540
  • SD of predictor
    0.14036
  • SD of criterion
    1.00474
  • Covariance
    0.00779
  • r
    0.05525
  • b (slope, estimate of beta)
    0.39552
  • a (intercept, estimate of alpha)
    -1.01700
  • Mean Square Error
    1.00859
  • DF error
    464.00000
  • t(b)
    1.19197
  • p(b)
    0.11694
  • t(a)
    -1.34303
  • p(a)
    0.91004
  • Lowerbound of 95% confidence interval for beta
    -0.25654
  • Upperbound of 95% confidence interval for beta
    1.04757
  • Lowerbound of 95% confidence interval for alpha
    -2.50394
  • Upperbound of 95% confidence interval for alpha
    0.47084
  • Treynor index (mean / b)
    -2.33972
  • Jensen alpha (a)
    -1.01655
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -5.89501
  • SD
    6.95461
  • Sharpe ratio (Glass type estimate)
    -0.84764
  • Sharpe ratio (Hedges UMVUE)
    -0.84627
  • df
    465.00000
  • t
    -1.13046
  • p
    0.87057
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.31787
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.62340
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.31690
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.62435
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.84780
  • Upside Potential Ratio
    0.18938
  • Upside part of mean
    1.31684
  • Downside part of mean
    -7.21185
  • Upside SD
    0.21685
  • Downside SD
    6.95330
  • N nonnegative terms
    204.00000
  • N negative terms
    262.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    466.00000
  • Mean of predictor
    0.22054
  • Mean of criterion
    -5.89501
  • SD of predictor
    0.13996
  • SD of criterion
    6.95461
  • Covariance
    0.04741
  • r
    0.04871
  • b (slope, estimate of beta)
    2.42011
  • a (intercept, estimate of alpha)
    -6.42874
  • Mean Square Error
    48.35580
  • DF error
    464.00000
  • t(b)
    1.05040
  • p(b)
    0.14704
  • t(a)
    -1.22713
  • p(a)
    0.88980
  • Lowerbound of 95% confidence interval for beta
    -2.10745
  • Upperbound of 95% confidence interval for beta
    6.94766
  • Lowerbound of 95% confidence interval for alpha
    -16.72350
  • Upperbound of 95% confidence interval for alpha
    3.86604
  • Treynor index (mean / b)
    -2.43585
  • Jensen alpha (a)
    -6.42874
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.51772
  • Expected Shortfall on VaR
    0.59218
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02047
  • Expected Shortfall on VaR
    0.04876
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    466.00000
  • Minimum
    0.00010
  • Quartile 1
    0.99969
  • Median
    1.00000
  • Quartile 3
    1.00399
  • Maximum
    1.11105
  • Mean of quarter 1
    0.96581
  • Mean of quarter 2
    0.99998
  • Mean of quarter 3
    1.00119
  • Mean of quarter 4
    1.01939
  • Inter Quartile Range
    0.00431
  • Number outliers low
    52.00000
  • Percentage of outliers low
    0.11159
  • Mean of outliers low
    0.92595
  • Number of outliers high
    67.00000
  • Percentage of outliers high
    0.14378
  • Mean of outliers high
    1.02928
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.62736
  • VaR(95%) (moments method)
    0.01338
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.06585
  • VaR(95%) (regression method)
    0.01558
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    39.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00062
  • Median
    0.00196
  • Quartile 3
    0.01965
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00024
  • Mean of quarter 2
    0.00123
  • Mean of quarter 3
    0.00840
  • Mean of quarter 4
    0.16289
  • Inter Quartile Range
    0.01903
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    0.25217
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.10960
  • VaR(95%) (moments method)
    0.13884
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.46871
  • VaR(95%) (regression method)
    0.11332
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.56222
  • Compounded annual return (geometric extrapolation)
    -0.99717
  • Calmar ratio (compounded annual return / max draw down)
    -0.99718
  • Compounded annual return / average of 25% largest draw downs
    -6.12186
  • Compounded annual return / Expected Shortfall lognormal
    -1.68388
  • 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
    -4.75644
  • SD
    1.86343
  • Sharpe ratio (Glass type estimate)
    -2.55252
  • Sharpe ratio (Hedges UMVUE)
    -2.53776
  • df
    130.00000
  • t
    -1.80490
  • p
    0.57818
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.33678
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.24134
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.32668
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25115
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.57945
  • Upside Potential Ratio
    1.29535
  • Upside part of mean
    2.38860
  • Downside part of mean
    -7.14505
  • Upside SD
    0.36327
  • Downside SD
    1.84398
  • N nonnegative terms
    45.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33198
  • Mean of criterion
    -4.75644
  • SD of predictor
    0.12128
  • SD of criterion
    1.86343
  • Covariance
    0.02651
  • r
    0.11732
  • b (slope, estimate of beta)
    1.80249
  • a (intercept, estimate of alpha)
    -5.35483
  • Mean Square Error
    3.45113
  • DF error
    129.00000
  • t(b)
    1.34174
  • p(b)
    0.42549
  • t(a)
    -2.00947
  • p(a)
    0.61035
  • Lowerbound of 95% confidence interval for beta
    -0.85546
  • Upperbound of 95% confidence interval for beta
    4.46044
  • Lowerbound of 95% confidence interval for alpha
    -10.62720
  • Upperbound of 95% confidence interval for alpha
    -0.08246
  • Treynor index (mean / b)
    -2.63882
  • Jensen alpha (a)
    -5.35483
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -22.40330
  • SD
    13.09530
  • Sharpe ratio (Glass type estimate)
    -1.71079
  • Sharpe ratio (Hedges UMVUE)
    -1.70090
  • df
    130.00000
  • t
    -1.20971
  • p
    0.55275
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.48712
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.07195
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.48041
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.07860
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.70839
  • Upside Potential Ratio
    0.17733
  • Upside part of mean
    2.32546
  • Downside part of mean
    -24.72880
  • Upside SD
    0.35048
  • Downside SD
    13.11370
  • N nonnegative terms
    45.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32446
  • Mean of criterion
    -22.40330
  • SD of predictor
    0.12107
  • SD of criterion
    13.09530
  • Covariance
    0.17535
  • r
    0.11060
  • b (slope, estimate of beta)
    11.96320
  • a (intercept, estimate of alpha)
    -26.28490
  • Mean Square Error
    170.70100
  • DF error
    129.00000
  • t(b)
    1.26395
  • p(b)
    0.42973
  • t(a)
    -1.40331
  • p(a)
    0.57787
  • VAR (95 Confidence Intrvl)
    0.51800
  • Lowerbound of 95% confidence interval for beta
    -6.76336
  • Upperbound of 95% confidence interval for beta
    30.68970
  • Lowerbound of 95% confidence interval for alpha
    -63.34370
  • Upperbound of 95% confidence interval for alpha
    10.77400
  • Treynor index (mean / b)
    -1.87269
  • Jensen alpha (a)
    -26.28490
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.75738
  • Expected Shortfall on VaR
    0.82003
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07241
  • Expected Shortfall on VaR
    0.16378
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00010
  • Quartile 1
    0.98931
  • Median
    1.00000
  • Quartile 3
    1.00603
  • Maximum
    1.11105
  • Mean of quarter 1
    0.89344
  • Mean of quarter 2
    0.99858
  • Mean of quarter 3
    1.00121
  • Mean of quarter 4
    1.03517
  • Inter Quartile Range
    0.01671
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.12214
  • Mean of outliers low
    0.80487
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.06271
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.97870
  • VaR(95%) (moments method)
    0.07450
  • Expected Shortfall (moments method)
    3.79268
  • Extreme Value Index (regression method)
    0.81780
  • VaR(95%) (regression method)
    0.08153
  • Expected Shortfall (regression method)
    0.51590
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00057
  • Quartile 1
    0.01112
  • Median
    0.03118
  • Quartile 3
    0.20984
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00561
  • Mean of quarter 2
    0.01248
  • Mean of quarter 3
    0.04988
  • Mean of quarter 4
    0.63157
  • Inter Quartile Range
    0.19872
  • 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
    0.16667
  • Mean of outliers high
    0.99999
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -366414000
  • Max Equity Drawdown (num days)
    2
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99997
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00001
  • Compounded annual return / average of 25% largest draw downs
    -1.58335
  • Compounded annual return / Expected Shortfall lognormal
    -1.21947

Strategy Description

It still trade by strict rules. stop loss, risk management, max drawdown, It just trade as usual. mainly trade MNQ, NQ, It will trade NQ instead of MNQ on fast moving market.

Summary Statistics

Strategy began
2022-11-01
Suggested Minimum Capital
$25,000
# Trades
965
# Profitable
482
% Profitable
49.9%
Correlation S&P500
0.058
Sharpe Ratio
-0.63
Sortino Ratio
-0.65
Beta
0.22
Alpha
0.00
Leverage
8.05 Average
348.10 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.