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RSA US
(116902900)

Created by: RSA-Trading RSA-Trading
Started: 03/2018
Futures
Last trade: 8 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 $85.00 per month.

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.
40.1%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(48.1%)
Max Drawdown
59
Num Trades
62.7%
Win Trades
1.3 : 1
Profit Factor
53.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018              +39.5%+4.6%+2.4%(1.3%)+20.6%(8.3%)+11.0%+26.0%+12.2%(14.9%)+117.5%
2019(9.9%)(18.6%)(10.9%)                                                      (34.6%)

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 96 hours.

Trading Record

This strategy has placed 79 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/13/19 10:00 @YMM9 MINI DOW LONG 1 25727 3/13 13:09 25767 1%
Trade id #122892384
Max drawdown($160)
Time3/13/19 10:30
Quant open1
Worst price25695
Drawdown as % of equity-1.00%
$192
Includes Typical Broker Commissions trade costs of $8.00
3/6/19 9:16 @YMH9 MINI DOW LONG 1 25828 3/7 0:27 25600 7.05%
Trade id #122801871
Max drawdown($1,140)
Time3/7/19 0:27
Quant open0
Worst price25600
Drawdown as % of equity-7.05%
($1,148)
Includes Typical Broker Commissions trade costs of $8.00
2/27/19 10:35 @ESH9 E-MINI S&P 500 SHORT 1 2778.00 3/1 4:33 2802.25 7.04%
Trade id #122714490
Max drawdown($1,225)
Time3/1/19 4:32
Quant open-1
Worst price2802.50
Drawdown as % of equity-7.04%
($1,221)
Includes Typical Broker Commissions trade costs of $8.00
2/27/19 9:45 @ESH9 E-MINI S&P 500 LONG 1 2792.00 2/27 10:28 2775.06 4.45%
Trade id #122712828
Max drawdown($847)
Time2/27/19 10:28
Quant open0
Worst price2775.06
Drawdown as % of equity-4.45%
($855)
Includes Typical Broker Commissions trade costs of $8.00
2/26/19 9:56 @YMH9 MINI DOW LONG 1 26004 2/26 12:36 26049 1%
Trade id #122685188
Max drawdown($193)
Time2/26/19 11:01
Quant open1
Worst price25965
Drawdown as % of equity-1.00%
$219
Includes Typical Broker Commissions trade costs of $8.00
2/21/19 10:01 @ESH9 E-MINI S&P 500 SHORT 1 2770.83 2/22 11:13 2789.75 4.91%
Trade id #122619572
Max drawdown($946)
Time2/22/19 11:13
Quant open0
Worst price2789.75
Drawdown as % of equity-4.91%
($954)
Includes Typical Broker Commissions trade costs of $8.00
2/14/19 9:45 @ESH9 E-MINI S&P 500 SHORT 1 2734.36 2/14 12:24 2753.75 4.69%
Trade id #122523278
Max drawdown($970)
Time2/14/19 12:24
Quant open0
Worst price2753.75
Drawdown as % of equity-4.69%
($978)
Includes Typical Broker Commissions trade costs of $8.00
2/7/19 9:47 @ESH9 E-MINI S&P 500 SHORT 1 2708.25 2/8 16:00 2708.25 2.45%
Trade id #122413562
Max drawdown($512)
Time2/7/19 10:31
Quant open-1
Worst price2718.50
Drawdown as % of equity-2.45%
($8)
Includes Typical Broker Commissions trade costs of $8.00
1/23/19 10:00 @ESH9 E-MINI S&P 500 LONG 1 2651.75 1/23 11:43 2627.07 6%
Trade id #122130188
Max drawdown($1,287)
Time1/23/19 11:27
Quant open1
Worst price2626.00
Drawdown as % of equity-6.00%
($1,242)
Includes Typical Broker Commissions trade costs of $8.00
1/22/19 3:22 @ESH9 E-MINI S&P 500 LONG 1 2653.25 1/22 13:03 2630.00 5.18%
Trade id #122098428
Max drawdown($1,163)
Time1/22/19 13:03
Quant open0
Worst price2630.00
Drawdown as % of equity-5.18%
($1,171)
Includes Typical Broker Commissions trade costs of $8.00
1/14/19 9:40 @ESH9 E-MINI S&P 500 LONG 1 2579.25 1/14 12:26 2586.25 0.55%
Trade id #121950526
Max drawdown($125)
Time1/14/19 10:01
Quant open1
Worst price2576.75
Drawdown as % of equity-0.55%
$342
Includes Typical Broker Commissions trade costs of $8.00
12/27/18 10:30 @ESH9 E-MINI S&P 500 SHORT 1 2414.04 12/27 15:26 2452.88 8.12%
Trade id #121678184
Max drawdown($1,942)
Time12/27/18 15:26
Quant open0
Worst price2452.88
Drawdown as % of equity-8.12%
($1,950)
Includes Typical Broker Commissions trade costs of $8.00
12/13/18 11:43 @ESZ8 E-MINI S&P 500 LONG 1 2654.25 12/14 3:38 2619.68 6.89%
Trade id #121483349
Max drawdown($1,728)
Time12/14/18 3:38
Quant open0
Worst price2619.68
Drawdown as % of equity-6.89%
($1,736)
Includes Typical Broker Commissions trade costs of $8.00
12/11/18 9:35 @ESZ8 E-MINI S&P 500 LONG 1 2673.26 12/11 11:34 2647.16 4.85%
Trade id #121440797
Max drawdown($1,305)
Time12/11/18 11:34
Quant open0
Worst price2647.16
Drawdown as % of equity-4.85%
($1,313)
Includes Typical Broker Commissions trade costs of $8.00
12/7/18 10:10 @ESZ8 E-MINI S&P 500 SHORT 1 2693.75 12/7 14:07 2638.84 0.15%
Trade id #121397295
Max drawdown($37)
Time12/7/18 10:13
Quant open-1
Worst price2694.50
Drawdown as % of equity-0.15%
$2,738
Includes Typical Broker Commissions trade costs of $8.00
12/4/18 5:33 @ESZ8 E-MINI S&P 500 LONG 1 2781.83 12/4 12:06 2752.52 5.74%
Trade id #121327664
Max drawdown($1,491)
Time12/4/18 12:06
Quant open1
Worst price2752.00
Drawdown as % of equity-5.74%
($1,473)
Includes Typical Broker Commissions trade costs of $8.00
11/28/18 10:40 @ESZ8 E-MINI S&P 500 LONG 1 2686.49 11/28 12:00 2699.69 0.24%
Trade id #121216568
Max drawdown($62)
Time11/28/18 10:46
Quant open1
Worst price2685.25
Drawdown as % of equity-0.24%
$652
Includes Typical Broker Commissions trade costs of $8.00
11/26/18 9:59 @ESZ8 E-MINI S&P 500 LONG 1 2670.23 11/27 11:24 2671.56 3.49%
Trade id #121165095
Max drawdown($886)
Time11/26/18 12:36
Quant open1
Worst price2652.50
Drawdown as % of equity-3.49%
$59
Includes Typical Broker Commissions trade costs of $8.00
11/21/18 11:20 @YMZ8 MINI DOW LONG 1 24643 11/21 15:15 24584 1.44%
Trade id #121102144
Max drawdown($378)
Time11/21/18 12:14
Quant open1
Worst price24567
Drawdown as % of equity-1.44%
($303)
Includes Typical Broker Commissions trade costs of $8.00
11/19/18 4:41 @ESZ8 E-MINI S&P 500 LONG 1 2740.75 11/19 10:22 2714.25 4.98%
Trade id #121038289
Max drawdown($1,325)
Time11/19/18 10:22
Quant open0
Worst price2714.25
Drawdown as % of equity-4.98%
($1,333)
Includes Typical Broker Commissions trade costs of $8.00
11/15/18 13:31 @YMZ8 MINI DOW LONG 1 25223 11/16 10:50 25359 2.4%
Trade id #120980338
Max drawdown($635)
Time11/16/18 8:36
Quant open1
Worst price25096
Drawdown as % of equity-2.40%
$671
Includes Typical Broker Commissions trade costs of $8.00
11/14/18 5:10 @ESZ8 E-MINI S&P 500 SHORT 1 2720.65 11/14 13:16 2704.93 5.56%
Trade id #120923863
Max drawdown($1,379)
Time11/14/18 9:46
Quant open-1
Worst price2748.25
Drawdown as % of equity-5.56%
$778
Includes Typical Broker Commissions trade costs of $8.00
11/13/18 11:15 @ESZ8 E-MINI S&P 500 LONG 1 2747.75 11/13 12:06 2740.85 1.31%
Trade id #120907843
Max drawdown($345)
Time11/13/18 12:06
Quant open0
Worst price2740.85
Drawdown as % of equity-1.31%
($353)
Includes Typical Broker Commissions trade costs of $8.00
11/12/18 9:48 @YMZ8 MINI DOW SHORT 1 25810 11/12 11:58 25579 0.12%
Trade id #120881250
Max drawdown($31)
Time11/12/18 9:50
Quant open-1
Worst price25816
Drawdown as % of equity-0.12%
$1,146
Includes Typical Broker Commissions trade costs of $8.00
11/9/18 9:42 @ESZ8 E-MINI S&P 500 SHORT 1 2786.14 11/9 14:33 2768.75 0.79%
Trade id #120849368
Max drawdown($193)
Time11/9/18 9:49
Quant open-1
Worst price2790.00
Drawdown as % of equity-0.79%
$861
Includes Typical Broker Commissions trade costs of $8.00
11/7/18 4:53 @ESZ8 E-MINI S&P 500 LONG 1 2783.50 11/7 12:18 2796.03 2.13%
Trade id #120785569
Max drawdown($500)
Time11/7/18 9:22
Quant open1
Worst price2773.50
Drawdown as % of equity-2.13%
$619
Includes Typical Broker Commissions trade costs of $8.00
11/6/18 9:40 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 1 7010.78 11/6 16:04 7014.45 6.76%
Trade id #120757792
Max drawdown($1,570)
Time11/6/18 14:31
Quant open1
Worst price6932.25
Drawdown as % of equity-6.76%
$65
Includes Typical Broker Commissions trade costs of $8.00
10/29/18 9:33 @YMZ8 MINI DOW LONG 1 24889 10/29 11:11 24897 1.71%
Trade id #120593953
Max drawdown($401)
Time10/29/18 9:52
Quant open1
Worst price24809
Drawdown as % of equity-1.71%
$30
Includes Typical Broker Commissions trade costs of $8.00
10/26/18 12:26 @ESZ8 E-MINI S&P 500 LONG 1 2670.20 10/26 13:16 2687.40 0.65%
Trade id #120567385
Max drawdown($147)
Time10/26/18 12:30
Quant open1
Worst price2667.25
Drawdown as % of equity-0.65%
$852
Includes Typical Broker Commissions trade costs of $8.00
10/25/18 10:34 @ESZ8 E-MINI S&P 500 LONG 1 2695.22 10/25 13:51 2704.75 2.41%
Trade id #120539181
Max drawdown($536)
Time10/25/18 11:14
Quant open1
Worst price2684.50
Drawdown as % of equity-2.41%
$468
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    3/7/2018
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    378.56
  • Age
    13 months ago
  • What it trades
    Futures
  • # Trades
    59
  • # Profitable
    37
  • % Profitable
    62.70%
  • Avg trade duration
    1.3 days
  • Max peak-to-valley drawdown
    48.12%
  • drawdown period
    Dec 07, 2018 - March 20, 2019
  • Annual Return (Compounded)
    40.1%
  • Avg win
    $761.38
  • Avg loss
    $1,017
  • Model Account Values (Raw)
  • Cash
    $16,255
  • Margin Used
    $6,178
  • Buying Power
    $9,564
  • Ratios
  • W:L ratio
    1.26:1
  • Sharpe Ratio
    1.128
  • Sortino Ratio
    1.833
  • Calmar Ratio
    1.15
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.12000
  • Return Statistics
  • Ann Return (w trading costs)
    40.1%
  • Ann Return (Compnd, No Fees)
    55.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    66.00%
  • Chance of 20% account loss
    33.00%
  • Chance of 30% account loss
    12.00%
  • Chance of 40% account loss
    3.00%
  • Chance of 50% account loss
    2.00%
  • Popularity
  • Popularity (Today)
    394
  • Popularity (Last 6 weeks)
    935
  • C2 Score
    21.5
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,017
  • Avg Win
    $761
  • # Winners
    37
  • # Losers
    22
  • % Winners
    62.7%
  • Frequency
  • Avg Position Time (mins)
    1914.38
  • Avg Position Time (hrs)
    31.91
  • Avg Trade Length
    1.3 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52451
  • SD
    0.52213
  • Sharpe ratio (Glass type estimate)
    1.00457
  • Sharpe ratio (Hedges UMVUE)
    0.93421
  • df
    11.00000
  • t
    1.00457
  • p
    0.16834
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.02031
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.98643
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.06425
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.93267
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.71154
  • Upside Potential Ratio
    3.38574
  • Upside part of mean
    1.03759
  • Downside part of mean
    -0.51307
  • Upside SD
    0.42297
  • Downside SD
    0.30646
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.00907
  • Mean of criterion
    0.52451
  • SD of predictor
    0.11938
  • SD of criterion
    0.52213
  • Covariance
    -0.03052
  • r
    -0.48969
  • b (slope, estimate of beta)
    -2.14166
  • a (intercept, estimate of alpha)
    0.54393
  • Mean Square Error
    0.22797
  • DF error
    10.00000
  • t(b)
    -1.77604
  • p(b)
    0.94695
  • t(a)
    1.13892
  • p(a)
    0.14064
  • Lowerbound of 95% confidence interval for beta
    -4.82850
  • Upperbound of 95% confidence interval for beta
    0.54518
  • Lowerbound of 95% confidence interval for alpha
    -0.52020
  • Upperbound of 95% confidence interval for alpha
    1.60806
  • Treynor index (mean / b)
    -0.24491
  • Jensen alpha (a)
    0.54393
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39044
  • SD
    0.52430
  • Sharpe ratio (Glass type estimate)
    0.74468
  • Sharpe ratio (Hedges UMVUE)
    0.69253
  • df
    11.00000
  • t
    0.74468
  • p
    0.23604
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.25553
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71236
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.28868
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67374
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.14347
  • Upside Potential Ratio
    2.80117
  • Upside part of mean
    0.95646
  • Downside part of mean
    -0.56602
  • Upside SD
    0.38484
  • Downside SD
    0.34145
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.00248
  • Mean of criterion
    0.39044
  • SD of predictor
    0.12004
  • SD of criterion
    0.52430
  • Covariance
    -0.02939
  • r
    -0.46702
  • b (slope, estimate of beta)
    -2.03982
  • a (intercept, estimate of alpha)
    0.39549
  • Mean Square Error
    0.23643
  • DF error
    10.00000
  • t(b)
    -1.67019
  • p(b)
    0.93708
  • t(a)
    0.81335
  • p(a)
    0.21748
  • Lowerbound of 95% confidence interval for beta
    -4.76107
  • Upperbound of 95% confidence interval for beta
    0.68144
  • Lowerbound of 95% confidence interval for alpha
    -0.68794
  • Upperbound of 95% confidence interval for alpha
    1.47892
  • Treynor index (mean / b)
    -0.19141
  • Jensen alpha (a)
    0.39549
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19460
  • Expected Shortfall on VaR
    0.24280
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07493
  • Expected Shortfall on VaR
    0.15761
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.77222
  • Quartile 1
    0.97098
  • Median
    1.07114
  • Quartile 3
    1.14343
  • Maximum
    1.26766
  • Mean of quarter 1
    0.83509
  • Mean of quarter 2
    1.02807
  • Mean of quarter 3
    1.11109
  • Mean of quarter 4
    1.20990
  • Inter Quartile Range
    0.17245
  • 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)
    -20.47910
  • VaR(95%) (moments method)
    0.16523
  • Expected Shortfall (moments method)
    0.16523
  • Extreme Value Index (regression method)
    -1.83350
  • VaR(95%) (regression method)
    0.28057
  • Expected Shortfall (regression method)
    0.28856
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00902
  • Quartile 1
    0.11219
  • Median
    0.21536
  • Quartile 3
    0.31853
  • Maximum
    0.42170
  • Mean of quarter 1
    0.00902
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.42170
  • Inter Quartile Range
    0.20634
  • 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)
    0.51945
  • Compounded annual return (geometric extrapolation)
    0.51945
  • Calmar ratio (compounded annual return / max draw down)
    1.23179
  • Compounded annual return / average of 25% largest draw downs
    1.23179
  • Compounded annual return / Expected Shortfall lognormal
    2.13944
  • 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
    0.45113
  • SD
    0.39863
  • Sharpe ratio (Glass type estimate)
    1.13169
  • Sharpe ratio (Hedges UMVUE)
    1.12849
  • df
    266.00000
  • t
    1.14243
  • p
    0.12715
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81323
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.07458
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81540
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07238
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.83333
  • Upside Potential Ratio
    8.58225
  • Upside part of mean
    2.11182
  • Downside part of mean
    -1.66070
  • Upside SD
    0.31391
  • Downside SD
    0.24607
  • N nonnegative terms
    71.00000
  • N negative terms
    196.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    267.00000
  • Mean of predictor
    0.01951
  • Mean of criterion
    0.45113
  • SD of predictor
    0.16131
  • SD of criterion
    0.39863
  • Covariance
    0.00772
  • r
    0.12010
  • b (slope, estimate of beta)
    0.29679
  • a (intercept, estimate of alpha)
    0.44500
  • Mean Square Error
    0.15721
  • DF error
    265.00000
  • t(b)
    1.96930
  • p(b)
    0.02498
  • t(a)
    1.13382
  • p(a)
    0.12895
  • Lowerbound of 95% confidence interval for beta
    0.00005
  • Upperbound of 95% confidence interval for beta
    0.59352
  • Lowerbound of 95% confidence interval for alpha
    -0.32802
  • Upperbound of 95% confidence interval for alpha
    1.21869
  • Treynor index (mean / b)
    1.52003
  • Jensen alpha (a)
    0.44534
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37224
  • SD
    0.39640
  • Sharpe ratio (Glass type estimate)
    0.93906
  • Sharpe ratio (Hedges UMVUE)
    0.93641
  • df
    266.00000
  • t
    0.94798
  • p
    0.17200
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.00494
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.88139
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.00675
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.87956
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.47404
  • Upside Potential Ratio
    8.17366
  • Upside part of mean
    2.06410
  • Downside part of mean
    -1.69185
  • Upside SD
    0.30545
  • Downside SD
    0.25253
  • N nonnegative terms
    71.00000
  • N negative terms
    196.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    267.00000
  • Mean of predictor
    0.00654
  • Mean of criterion
    0.37224
  • SD of predictor
    0.16136
  • SD of criterion
    0.39640
  • Covariance
    0.00782
  • r
    0.12228
  • b (slope, estimate of beta)
    0.30039
  • a (intercept, estimate of alpha)
    0.37028
  • Mean Square Error
    0.15537
  • DF error
    265.00000
  • t(b)
    2.00565
  • p(b)
    0.02295
  • t(a)
    0.94831
  • p(a)
    0.17192
  • Lowerbound of 95% confidence interval for beta
    0.00550
  • Upperbound of 95% confidence interval for beta
    0.59529
  • Lowerbound of 95% confidence interval for alpha
    -0.39852
  • Upperbound of 95% confidence interval for alpha
    1.13907
  • Treynor index (mean / b)
    1.23918
  • Jensen alpha (a)
    0.37028
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03812
  • Expected Shortfall on VaR
    0.04787
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01835
  • Expected Shortfall on VaR
    0.03665
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    267.00000
  • Minimum
    0.91284
  • Quartile 1
    0.99438
  • Median
    1.00000
  • Quartile 3
    1.00322
  • Maximum
    1.08444
  • Mean of quarter 1
    0.97526
  • Mean of quarter 2
    0.99980
  • Mean of quarter 3
    1.00007
  • Mean of quarter 4
    1.03216
  • Inter Quartile Range
    0.00884
  • Number outliers low
    35.00000
  • Percentage of outliers low
    0.13109
  • Mean of outliers low
    0.96369
  • Number of outliers high
    47.00000
  • Percentage of outliers high
    0.17603
  • Mean of outliers high
    1.04192
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.23559
  • VaR(95%) (moments method)
    0.01757
  • Expected Shortfall (moments method)
    0.02254
  • Extreme Value Index (regression method)
    -0.01353
  • VaR(95%) (regression method)
    0.02315
  • Expected Shortfall (regression method)
    0.03376
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00186
  • Quartile 1
    0.01825
  • Median
    0.03540
  • Quartile 3
    0.07803
  • Maximum
    0.42778
  • Mean of quarter 1
    0.00775
  • Mean of quarter 2
    0.02238
  • Mean of quarter 3
    0.06469
  • Mean of quarter 4
    0.15827
  • Inter Quartile Range
    0.05978
  • 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
    0.05556
  • Mean of outliers high
    0.42778
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.69402
  • VaR(95%) (moments method)
    0.19454
  • Expected Shortfall (moments method)
    0.60259
  • Extreme Value Index (regression method)
    1.60865
  • VaR(95%) (regression method)
    0.17038
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.49405
  • Compounded annual return (geometric extrapolation)
    0.49205
  • Calmar ratio (compounded annual return / max draw down)
    1.15024
  • Compounded annual return / average of 25% largest draw downs
    3.10896
  • Compounded annual return / Expected Shortfall lognormal
    10.27890
  • 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
    -0.37181
  • SD
    0.36768
  • Sharpe ratio (Glass type estimate)
    -1.01122
  • Sharpe ratio (Hedges UMVUE)
    -1.00537
  • df
    130.00000
  • t
    -0.71504
  • p
    0.53129
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.78382
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.76525
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.77987
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76913
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.44080
  • Upside Potential Ratio
    6.29119
  • Upside part of mean
    1.62348
  • Downside part of mean
    -1.99529
  • Upside SD
    0.26095
  • Downside SD
    0.25806
  • N nonnegative terms
    31.00000
  • N negative terms
    100.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.06589
  • Mean of criterion
    -0.37181
  • SD of predictor
    0.19257
  • SD of criterion
    0.36768
  • Covariance
    0.00460
  • r
    0.06494
  • b (slope, estimate of beta)
    0.12399
  • a (intercept, estimate of alpha)
    -0.36364
  • Mean Square Error
    0.13567
  • DF error
    129.00000
  • t(b)
    0.73913
  • p(b)
    0.45869
  • t(a)
    -0.69795
  • p(a)
    0.53902
  • Lowerbound of 95% confidence interval for beta
    -0.20791
  • Upperbound of 95% confidence interval for beta
    0.45589
  • Lowerbound of 95% confidence interval for alpha
    -1.39447
  • Upperbound of 95% confidence interval for alpha
    0.66719
  • Treynor index (mean / b)
    -2.99871
  • Jensen alpha (a)
    -0.36364
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.43890
  • SD
    0.36662
  • Sharpe ratio (Glass type estimate)
    -1.19713
  • Sharpe ratio (Hedges UMVUE)
    -1.19021
  • df
    130.00000
  • t
    -0.84650
  • p
    0.53702
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.97046
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58067
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.96579
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58537
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.66386
  • Upside Potential Ratio
    6.02944
  • Upside part of mean
    1.59046
  • Downside part of mean
    -2.02936
  • Upside SD
    0.25405
  • Downside SD
    0.26378
  • N nonnegative terms
    31.00000
  • N negative terms
    100.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.08429
  • Mean of criterion
    -0.43890
  • SD of predictor
    0.19255
  • SD of criterion
    0.36662
  • Covariance
    0.00465
  • r
    0.06593
  • b (slope, estimate of beta)
    0.12554
  • a (intercept, estimate of alpha)
    -0.42832
  • Mean Square Error
    0.13487
  • DF error
    129.00000
  • t(b)
    0.75050
  • p(b)
    0.45805
  • t(a)
    -0.82440
  • p(a)
    0.54605
  • Lowerbound of 95% confidence interval for beta
    -0.20542
  • Upperbound of 95% confidence interval for beta
    0.45651
  • Lowerbound of 95% confidence interval for alpha
    -1.45626
  • Upperbound of 95% confidence interval for alpha
    0.59962
  • Treynor index (mean / b)
    -3.49599
  • Jensen alpha (a)
    -0.42832
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03818
  • Expected Shortfall on VaR
    0.04721
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02258
  • Expected Shortfall on VaR
    0.04246
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92965
  • Quartile 1
    0.99004
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.08103
  • Mean of quarter 1
    0.97211
  • Mean of quarter 2
    0.99798
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.02470
  • Inter Quartile Range
    0.00996
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.13740
  • Mean of outliers low
    0.96214
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.16031
  • Mean of outliers high
    1.03497
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.02476
  • VaR(95%) (moments method)
    0.02591
  • Expected Shortfall (moments method)
    0.03458
  • Extreme Value Index (regression method)
    -0.02369
  • VaR(95%) (regression method)
    0.02816
  • Expected Shortfall (regression method)
    0.03808
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00186
  • Quartile 1
    0.00675
  • Median
    0.01747
  • Quartile 3
    0.07386
  • Maximum
    0.42778
  • Mean of quarter 1
    0.00427
  • Mean of quarter 2
    0.01296
  • Mean of quarter 3
    0.06814
  • Mean of quarter 4
    0.25667
  • Inter Quartile Range
    0.06711
  • 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
    0.11111
  • Mean of outliers high
    0.42778
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.75226
  • VaR(95%) (moments method)
    0.26742
  • Expected Shortfall (moments method)
    1.13892
  • Extreme Value Index (regression method)
    3.86996
  • VaR(95%) (regression method)
    1.36549
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.37151
  • Compounded annual return (geometric extrapolation)
    -0.33701
  • Calmar ratio (compounded annual return / max draw down)
    -0.78781
  • Compounded annual return / average of 25% largest draw downs
    -1.31300
  • Compounded annual return / Expected Shortfall lognormal
    -7.13849

Strategy Description

This strategy is a momentum based trading system using technical & fundamental data that combines multiple time frames and various indices.

The aim is to trade the core part of the move once it has been established.

Trades can closed after several hours or days.
Stop-loss will be placed when trades are open and moved to lock-in profits as and when trend progresses.
The initial target will be set when trades are entered but these may be changed depending on market conditions.

All entries are on US futures (S&P, NAS 100 & DJ) and most will be opened during US day trading times.

Performance statistics on this website speak for themselves.

The overall long term aim is to increase the account size consistently. Then increase the trade size or trade multiple indices when the account has achieved a significant percentage increase.

"Of course these are goals only. No performance can be guaranteed, and the actual real-world results may be vastly different from these goals."

Summary Statistics

Strategy began
2018-03-07
Suggested Minimum Capital
$25,000
# Trades
59
# Profitable
37
% Profitable
62.7%
Correlation S&P500
0.120
Sharpe Ratio
1.128

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.