Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

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

FUTURES CME-NYMEX
(127331517)

Created by: Alex- Alex-
Started: 02/2020
Futures
Last trade: Today
Trading style: Futures Trend-following

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 $400.00 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.
143.6%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(36.3%)
Max Drawdown
1293
Num Trades
53.3%
Win Trades
1.4 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020       +7.4%+15.3%+10.7%+11.2%+43.7%+10.1%+1.2%                        +143.6%

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.

Trading Record

This strategy has placed 1,312 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/6/20 7:18 QGCZ0 Gold 100 oz LONG 1 2063.8 8/6 7:34 2068.0 0.05%
Trade id #130485319
Max drawdown($60)
Time8/6/20 7:21
Quant open1
Worst price2063.2
Drawdown as % of equity-0.05%
$410
Includes Typical Broker Commissions trade costs of $8.00
8/4/20 8:23 QGCZ0 Gold 100 oz LONG 1 1993.8 8/4 10:08 1997.1 0.42%
Trade id #130442034
Max drawdown($509)
Time8/4/20 9:02
Quant open1
Worst price1988.7
Drawdown as % of equity-0.42%
$321
Includes Typical Broker Commissions trade costs of $8.00
8/4/20 9:02 QCLU0 CRUDE OIL LONG 1 40.34 8/4 10:03 40.90 0.07%
Trade id #130442562
Max drawdown($80)
Time8/4/20 9:10
Quant open1
Worst price40.26
Drawdown as % of equity-0.07%
$551
Includes Typical Broker Commissions trade costs of $8.00
8/3/20 12:23 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 4 11047.56 8/3 14:36 11054.30 0.83%
Trade id #130424621
Max drawdown($995)
Time8/3/20 13:44
Quant open2
Worst price11022.20
Drawdown as % of equity-0.83%
$507
Includes Typical Broker Commissions trade costs of $32.00
7/31/20 10:17 QCLU0 CRUDE OIL LONG 1 39.96 7/31 14:54 40.25 0.25%
Trade id #130388606
Max drawdown($300)
Time7/31/20 10:55
Quant open1
Worst price39.66
Drawdown as % of equity-0.25%
$282
Includes Typical Broker Commissions trade costs of $8.00
7/31/20 14:03 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 3 10749.98 7/31 14:52 10761.18 1.17%
Trade id #130393565
Max drawdown($1,386)
Time7/31/20 14:12
Quant open2
Worst price10713.00
Drawdown as % of equity-1.17%
$648
Includes Typical Broker Commissions trade costs of $24.00
7/31/20 13:48 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 1 10761.17 7/31 13:51 10759.69 0.11%
Trade id #130393308
Max drawdown($128)
Time7/31/20 13:51
Quant open1
Worst price10754.80
Drawdown as % of equity-0.11%
($38)
Includes Typical Broker Commissions trade costs of $8.00
7/31/20 10:57 @ESU0 E-MINI S&P 500 LONG 2 3232.82 7/31 12:03 3227.32 0.59%
Trade id #130389446
Max drawdown($706)
Time7/31/20 12:03
Quant open2
Worst price3225.75
Drawdown as % of equity-0.59%
($566)
Includes Typical Broker Commissions trade costs of $16.00
7/31/20 10:51 @ESU0 E-MINI S&P 500 LONG 1 3229.72 7/31 10:52 3225.50 0.18%
Trade id #130389340
Max drawdown($211)
Time7/31/20 10:52
Quant open1
Worst price3225.50
Drawdown as % of equity-0.18%
($219)
Includes Typical Broker Commissions trade costs of $8.00
7/31/20 10:31 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 2 10758.83 7/31 10:39 10776.57 0.32%
Trade id #130388984
Max drawdown($383)
Time7/31/20 10:35
Quant open2
Worst price10749.20
Drawdown as % of equity-0.32%
$694
Includes Typical Broker Commissions trade costs of $16.00
7/31/20 5:08 QCLU0 CRUDE OIL LONG 1 40.26 7/31 10:13 39.91 0.3%
Trade id #130382816
Max drawdown($358)
Time7/31/20 10:13
Quant open1
Worst price39.90
Drawdown as % of equity-0.30%
($357)
Includes Typical Broker Commissions trade costs of $8.00
7/31/20 7:20 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 2 10915.36 7/31 8:22 10927.54 0.25%
Trade id #130384445
Max drawdown($299)
Time7/31/20 7:38
Quant open1
Worst price10899.80
Drawdown as % of equity-0.25%
$471
Includes Typical Broker Commissions trade costs of $16.00
7/31/20 5:33 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 1 10905.50 7/31 5:56 10881.05 0.44%
Trade id #130383075
Max drawdown($530)
Time7/31/20 5:56
Quant open1
Worst price10879.00
Drawdown as % of equity-0.44%
($497)
Includes Typical Broker Commissions trade costs of $8.00
7/31/20 5:08 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 1 10911.20 7/31 5:30 10895.75 0.31%
Trade id #130382777
Max drawdown($369)
Time7/31/20 5:30
Quant open1
Worst price10892.80
Drawdown as % of equity-0.31%
($317)
Includes Typical Broker Commissions trade costs of $8.00
7/31/20 3:41 QCLU0 CRUDE OIL LONG 1 40.34 7/31 5:02 40.04 0.26%
Trade id #130381736
Max drawdown($310)
Time7/31/20 5:02
Quant open1
Worst price40.03
Drawdown as % of equity-0.26%
($307)
Includes Typical Broker Commissions trade costs of $8.00
7/30/20 8:05 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 1 10576.16 7/30 8:30 10586.46 0.26%
Trade id #130360895
Max drawdown($311)
Time7/30/20 8:30
Quant open1
Worst price10591.80
Drawdown as % of equity-0.26%
($214)
Includes Typical Broker Commissions trade costs of $8.00
7/29/20 11:25 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 4 10629.80 7/29 14:42 10645.50 1.58%
Trade id #130341006
Max drawdown($1,894)
Time7/29/20 12:08
Quant open2
Worst price10589.00
Drawdown as % of equity-1.58%
$1,224
Includes Typical Broker Commissions trade costs of $32.00
7/29/20 11:12 QCLU0 CRUDE OIL LONG 1 41.32 7/29 14:41 41.30 0.2%
Trade id #130340684
Max drawdown($240)
Time7/29/20 13:34
Quant open1
Worst price41.08
Drawdown as % of equity-0.20%
($28)
Includes Typical Broker Commissions trade costs of $8.00
7/28/20 12:01 @ESU0 E-MINI S&P 500 SHORT 1 3227.86 7/28 13:31 3232.75 0.21%
Trade id #130320110
Max drawdown($257)
Time7/28/20 13:31
Quant open1
Worst price3233.00
Drawdown as % of equity-0.21%
($253)
Includes Typical Broker Commissions trade costs of $8.00
7/24/20 11:17 @ESU0 E-MINI S&P 500 LONG 9 3208.85 7/24 16:11 3204.80 2.16%
Trade id #130262543
Max drawdown($2,567)
Time7/24/20 15:31
Quant open4
Worst price3196.00
Drawdown as % of equity-2.16%
($1,894)
Includes Typical Broker Commissions trade costs of $72.00
7/24/20 10:37 @ESU0 E-MINI S&P 500 LONG 2 3205.62 7/24 11:01 3218.25 0.08%
Trade id #130261606
Max drawdown($100)
Time7/24/20 10:40
Quant open1
Worst price3203.75
Drawdown as % of equity-0.08%
$1,247
Includes Typical Broker Commissions trade costs of $16.00
7/24/20 9:57 @ESU0 E-MINI S&P 500 LONG 1 3204.00 7/24 10:13 3207.75 n/a $180
Includes Typical Broker Commissions trade costs of $8.00
7/23/20 11:04 @ESU0 E-MINI S&P 500 LONG 2 3262.34 7/23 11:33 3269.11 0.24%
Trade id #130239657
Max drawdown($284)
Time7/23/20 11:08
Quant open2
Worst price3259.50
Drawdown as % of equity-0.24%
$661
Includes Typical Broker Commissions trade costs of $16.00
7/22/20 11:33 QCLU0 CRUDE OIL LONG 2 41.36 7/22 12:28 41.84 0.09%
Trade id #130219073
Max drawdown($106)
Time7/22/20 11:36
Quant open2
Worst price41.31
Drawdown as % of equity-0.09%
$928
Includes Typical Broker Commissions trade costs of $16.00
7/22/20 11:43 @ESU0 E-MINI S&P 500 LONG 1 3256.25 7/22 12:15 3262.50 0.09%
Trade id #130219334
Max drawdown($112)
Time7/22/20 12:04
Quant open1
Worst price3254.00
Drawdown as % of equity-0.09%
$305
Includes Typical Broker Commissions trade costs of $8.00
7/22/20 10:40 QCLU0 CRUDE OIL LONG 1 41.50 7/22 11:28 41.28 0.2%
Trade id #130217656
Max drawdown($240)
Time7/22/20 11:28
Quant open1
Worst price41.26
Drawdown as % of equity-0.20%
($229)
Includes Typical Broker Commissions trade costs of $8.00
7/22/20 10:14 @ESU0 E-MINI S&P 500 SHORT 1 3255.50 7/22 10:29 3254.25 0.09%
Trade id #130217070
Max drawdown($112)
Time7/22/20 10:18
Quant open1
Worst price3257.75
Drawdown as % of equity-0.09%
$55
Includes Typical Broker Commissions trade costs of $8.00
7/22/20 7:04 QCLU0 CRUDE OIL LONG 1 41.31 7/22 7:17 41.34 n/a $21
Includes Typical Broker Commissions trade costs of $8.00
7/22/20 5:30 @ESU0 E-MINI S&P 500 LONG 1 3231.00 7/22 5:46 3237.87 n/a $335
Includes Typical Broker Commissions trade costs of $8.00
7/22/20 5:30 QCLU0 CRUDE OIL LONG 1 41.35 7/22 5:46 41.49 n/a $136
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    2/3/2020
  • Suggested Minimum Cap
    $120,000
  • Strategy Age (days)
    185.61
  • Age
    6 months ago
  • What it trades
    Futures
  • # Trades
    1293
  • # Profitable
    689
  • % Profitable
    53.30%
  • Avg trade duration
    1.3 hours
  • Max peak-to-valley drawdown
    36.29%
  • drawdown period
    April 29, 2020 - May 14, 2020
  • Cumul. Return
    143.6%
  • Avg win
    $408.23
  • Avg loss
    $321.41
  • Model Account Values (Raw)
  • Cash
    $137,140
  • Margin Used
    $0
  • Buying Power
    $137,140
  • Ratios
  • W:L ratio
    1.45:1
  • Sharpe Ratio
    2.93
  • Sortino Ratio
    5.83
  • Calmar Ratio
    33.424
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    140.55%
  • Correlation to SP500
    0.12540
  • Return Percent SP500 (cumu) during strategy life
    3.09%
  • Return Statistics
  • Ann Return (w trading costs)
    460.1%
  • 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
    0.07%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.436%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    619.4%
  • Automation
  • Percentage Signals Automated
    8898.00%
  • Popularity
  • Popularity (Today)
    986
  • Popularity (Last 6 weeks)
    997
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    966
  • Popularity (7 days, Percentile 1000 scale)
    994
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $321
  • Avg Win
    $408
  • Sum Trade PL (losers)
    $194,133.000
  • AUM
  • AUM (AutoTrader num accounts)
    13
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $281,273.000
  • # Winners
    689
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    2262290
  • Win / Loss
  • # Losers
    604
  • % Winners
    53.3%
  • Frequency
  • Avg Position Time (mins)
    78.83
  • Avg Position Time (hrs)
    1.31
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    5.30
  • Daily leverage (max)
    41.02
  • Regression
  • Alpha
    0.51
  • Beta
    0.15
  • Treynor Index
    3.50
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.24
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    8.231
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.591
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.994
  • Hold-and-Hope Ratio
    0.120
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.17948
  • SD
    0.37373
  • Sharpe ratio (Glass type estimate)
    5.83166
  • Sharpe ratio (Hedges UMVUE)
    4.90296
  • df
    5.00000
  • t
    4.12360
  • p
    0.00457
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.27028
  • Upperbound of 95% confidence interval for Sharpe Ratio
    10.20610
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78988
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    9.01603
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    2.17948
  • Downside part of mean
    0.00000
  • Upside SD
    0.71571
  • Downside SD
    0.00000
  • N nonnegative terms
    6.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.08903
  • Mean of criterion
    2.17948
  • SD of predictor
    0.43018
  • SD of criterion
    0.37373
  • Covariance
    0.03696
  • r
    0.22988
  • b (slope, estimate of beta)
    0.19971
  • a (intercept, estimate of alpha)
    2.16170
  • Mean Square Error
    0.16537
  • DF error
    4.00000
  • t(b)
    0.47241
  • p(b)
    0.33063
  • t(a)
    3.75081
  • p(a)
    0.00997
  • Lowerbound of 95% confidence interval for beta
    -0.97427
  • Upperbound of 95% confidence interval for beta
    1.37370
  • Lowerbound of 95% confidence interval for alpha
    0.56124
  • Upperbound of 95% confidence interval for alpha
    3.76216
  • Treynor index (mean / b)
    10.91310
  • Jensen alpha (a)
    2.16170
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.95888
  • SD
    0.30422
  • Sharpe ratio (Glass type estimate)
    6.43897
  • Sharpe ratio (Hedges UMVUE)
    5.41355
  • df
    5.00000
  • t
    4.55304
  • p
    0.00305
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.59382
  • Upperbound of 95% confidence interval for Sharpe Ratio
    11.10940
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.06144
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    9.76567
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.95888
  • Downside part of mean
    0.00000
  • Upside SD
    0.62999
  • Downside SD
    0.00000
  • N nonnegative terms
    6.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.00723
  • Mean of criterion
    1.95888
  • SD of predictor
    0.44990
  • SD of criterion
    0.30422
  • Covariance
    0.03955
  • r
    0.28894
  • b (slope, estimate of beta)
    0.19538
  • a (intercept, estimate of alpha)
    1.95746
  • Mean Square Error
    0.10603
  • DF error
    4.00000
  • t(b)
    0.60362
  • p(b)
    0.28933
  • t(a)
    4.25067
  • p(a)
    0.00658
  • Lowerbound of 95% confidence interval for beta
    -0.70347
  • Upperbound of 95% confidence interval for beta
    1.09423
  • Lowerbound of 95% confidence interval for alpha
    0.67864
  • Upperbound of 95% confidence interval for alpha
    3.23628
  • Treynor index (mean / b)
    10.02600
  • Jensen alpha (a)
    1.95746
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    -0.01896
  • Expected Shortfall on VaR
    0.01724
  • 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
    6.00000
  • Minimum
    1.07323
  • Quartile 1
    1.12183
  • Median
    1.17115
  • Quartile 3
    1.19308
  • Maximum
    1.38241
  • Mean of quarter 1
    1.08997
  • Mean of quarter 2
    1.16718
  • Mean of quarter 3
    1.17512
  • Mean of quarter 4
    1.29074
  • Inter Quartile Range
    0.07125
  • 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
    1.38241
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.40075
  • Compounded annual return (geometric extrapolation)
    6.29204
  • 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
    365.04800
  • 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
    2.05184
  • SD
    0.47060
  • Sharpe ratio (Glass type estimate)
    4.36007
  • Sharpe ratio (Hedges UMVUE)
    4.33525
  • df
    132.00000
  • t
    3.10648
  • p
    0.36949
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.55149
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.15280
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.53510
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.13540
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.32267
  • Upside Potential Ratio
    15.53230
  • Upside part of mean
    3.41853
  • Downside part of mean
    -1.36668
  • Upside SD
    0.43293
  • Downside SD
    0.22009
  • N nonnegative terms
    89.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    133.00000
  • Mean of predictor
    0.13658
  • Mean of criterion
    2.05184
  • SD of predictor
    0.45688
  • SD of criterion
    0.47060
  • Covariance
    0.03213
  • r
    0.14943
  • b (slope, estimate of beta)
    0.15391
  • a (intercept, estimate of alpha)
    2.03100
  • Mean Square Error
    0.21817
  • DF error
    131.00000
  • t(b)
    1.72970
  • p(b)
    0.40523
  • t(a)
    3.09724
  • p(a)
    0.33562
  • Lowerbound of 95% confidence interval for beta
    -0.02212
  • Upperbound of 95% confidence interval for beta
    0.32995
  • Lowerbound of 95% confidence interval for alpha
    0.73371
  • Upperbound of 95% confidence interval for alpha
    3.32793
  • Treynor index (mean / b)
    13.33100
  • Jensen alpha (a)
    2.03082
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.93850
  • SD
    0.45723
  • Sharpe ratio (Glass type estimate)
    4.23968
  • Sharpe ratio (Hedges UMVUE)
    4.21554
  • df
    132.00000
  • t
    3.02070
  • p
    0.37286
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.43404
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.02984
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.41805
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.01303
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.58231
  • Upside Potential Ratio
    14.74340
  • Upside part of mean
    3.33010
  • Downside part of mean
    -1.39161
  • Upside SD
    0.41329
  • Downside SD
    0.22587
  • N nonnegative terms
    89.00000
  • N negative terms
    44.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    133.00000
  • Mean of predictor
    0.03195
  • Mean of criterion
    1.93850
  • SD of predictor
    0.46046
  • SD of criterion
    0.45723
  • Covariance
    0.03143
  • r
    0.14928
  • b (slope, estimate of beta)
    0.14823
  • a (intercept, estimate of alpha)
    1.93376
  • Mean Square Error
    0.20596
  • DF error
    131.00000
  • t(b)
    1.72792
  • p(b)
    0.40532
  • t(a)
    3.03587
  • p(a)
    0.33859
  • Lowerbound of 95% confidence interval for beta
    -0.02147
  • Upperbound of 95% confidence interval for beta
    0.31793
  • Lowerbound of 95% confidence interval for alpha
    0.67368
  • Upperbound of 95% confidence interval for alpha
    3.19384
  • Treynor index (mean / b)
    13.07760
  • Jensen alpha (a)
    1.93376
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03831
  • Expected Shortfall on VaR
    0.04954
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00876
  • Expected Shortfall on VaR
    0.02016
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    133.00000
  • Minimum
    0.92509
  • Quartile 1
    0.99643
  • Median
    1.00583
  • Quartile 3
    1.01648
  • Maximum
    1.16239
  • Mean of quarter 1
    0.98027
  • Mean of quarter 2
    1.00135
  • Mean of quarter 3
    1.01049
  • Mean of quarter 4
    1.04048
  • Inter Quartile Range
    0.02005
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03759
  • Mean of outliers low
    0.94383
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.05263
  • Mean of outliers high
    1.09626
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52463
  • VaR(95%) (moments method)
    0.01592
  • Expected Shortfall (moments method)
    0.03988
  • Extreme Value Index (regression method)
    0.25428
  • VaR(95%) (regression method)
    0.02086
  • Expected Shortfall (regression method)
    0.03828
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00059
  • Quartile 1
    0.00546
  • Median
    0.00674
  • Quartile 3
    0.03099
  • Maximum
    0.18385
  • Mean of quarter 1
    0.00253
  • Mean of quarter 2
    0.00626
  • Mean of quarter 3
    0.01592
  • Mean of quarter 4
    0.09147
  • Inter Quartile Range
    0.02553
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15000
  • Mean of outliers high
    0.12153
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.16310
  • VaR(95%) (moments method)
    0.09434
  • Expected Shortfall (moments method)
    0.14225
  • Extreme Value Index (regression method)
    0.90630
  • VaR(95%) (regression method)
    0.12472
  • Expected Shortfall (regression method)
    1.14868
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.37532
  • Compounded annual return (geometric extrapolation)
    6.14493
  • Calmar ratio (compounded annual return / max draw down)
    33.42360
  • Compounded annual return / average of 25% largest draw downs
    67.17910
  • Compounded annual return / Expected Shortfall lognormal
    124.03100
  • 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
    2.02726
  • SD
    0.47309
  • Sharpe ratio (Glass type estimate)
    4.28516
  • Sharpe ratio (Hedges UMVUE)
    4.26039
  • df
    130.00000
  • t
    3.03007
  • p
    0.37158
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.45698
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.09751
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.44063
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.08016
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.14165
  • Upside Potential Ratio
    15.38970
  • Upside part of mean
    3.41283
  • Downside part of mean
    -1.38557
  • Upside SD
    0.43430
  • Downside SD
    0.22176
  • N nonnegative terms
    88.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08663
  • Mean of criterion
    2.02726
  • SD of predictor
    0.45967
  • SD of criterion
    0.47309
  • Covariance
    0.03242
  • r
    0.14908
  • b (slope, estimate of beta)
    0.15344
  • a (intercept, estimate of alpha)
    2.01397
  • Mean Square Error
    0.22054
  • DF error
    129.00000
  • t(b)
    1.71241
  • p(b)
    0.40544
  • t(a)
    3.03229
  • p(a)
    0.33763
  • Lowerbound of 95% confidence interval for beta
    -0.02384
  • Upperbound of 95% confidence interval for beta
    0.33072
  • Lowerbound of 95% confidence interval for alpha
    0.69988
  • Upperbound of 95% confidence interval for alpha
    3.32806
  • Treynor index (mean / b)
    13.21240
  • Jensen alpha (a)
    2.01397
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.91301
  • SD
    0.45960
  • Sharpe ratio (Glass type estimate)
    4.16237
  • Sharpe ratio (Hedges UMVUE)
    4.13831
  • df
    130.00000
  • t
    2.94324
  • p
    0.37503
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.33716
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.97225
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.32123
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.95539
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.40572
  • Upside Potential Ratio
    14.60510
  • Upside part of mean
    3.32389
  • Downside part of mean
    -1.41087
  • Upside SD
    0.41448
  • Downside SD
    0.22759
  • N nonnegative terms
    88.00000
  • N negative terms
    43.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.01925
  • Mean of criterion
    1.91301
  • SD of predictor
    0.46325
  • SD of criterion
    0.45960
  • Covariance
    0.03169
  • r
    0.14883
  • b (slope, estimate of beta)
    0.14766
  • a (intercept, estimate of alpha)
    1.91585
  • Mean Square Error
    0.20815
  • DF error
    129.00000
  • t(b)
    1.70944
  • p(b)
    0.40560
  • t(a)
    2.96932
  • p(a)
    0.34071
  • VAR (95 Confidence Intrvl)
    0.03800
  • Lowerbound of 95% confidence interval for beta
    -0.02324
  • Upperbound of 95% confidence interval for beta
    0.31856
  • Lowerbound of 95% confidence interval for alpha
    0.63928
  • Upperbound of 95% confidence interval for alpha
    3.19243
  • Treynor index (mean / b)
    12.95570
  • Jensen alpha (a)
    1.91585
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03864
  • Expected Shortfall on VaR
    0.04992
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00884
  • Expected Shortfall on VaR
    0.02033
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92509
  • Quartile 1
    0.99628
  • Median
    1.00583
  • Quartile 3
    1.01584
  • Maximum
    1.16239
  • Mean of quarter 1
    0.97978
  • Mean of quarter 2
    1.00126
  • Mean of quarter 3
    1.01030
  • Mean of quarter 4
    1.04010
  • Inter Quartile Range
    0.01956
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.94761
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.08993
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50250
  • VaR(95%) (moments method)
    0.01643
  • Expected Shortfall (moments method)
    0.03952
  • Extreme Value Index (regression method)
    0.26063
  • VaR(95%) (regression method)
    0.02101
  • Expected Shortfall (regression method)
    0.03864
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00059
  • Quartile 1
    0.00599
  • Median
    0.00684
  • Quartile 3
    0.03552
  • Maximum
    0.18385
  • Mean of quarter 1
    0.00353
  • Mean of quarter 2
    0.00644
  • Mean of quarter 3
    0.01819
  • Mean of quarter 4
    0.09147
  • Inter Quartile Range
    0.02953
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10526
  • Mean of outliers high
    0.14582
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.16310
  • VaR(95%) (moments method)
    0.09640
  • Expected Shortfall (moments method)
    0.14472
  • Extreme Value Index (regression method)
    0.90630
  • VaR(95%) (regression method)
    0.12950
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    1.19976
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -271613000
  • Max Equity Drawdown (num days)
    15
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.27832
  • Compounded annual return (geometric extrapolation)
    5.96515
  • Calmar ratio (compounded annual return / max draw down)
    32.44580
  • Compounded annual return / average of 25% largest draw downs
    65.21370
  • Compounded annual return / Expected Shortfall lognormal
    119.48800

Strategy Description

My investor information channel:
https://t.me/collective2_invest
Subscribe to the channel and quickly get all the information on my trading and changes in the management strategy.

Subscription cost - 5-10% of the amount earned per month (on average over the past 3 months).
The limit of subscribers is 100 people.
My style is active intraday trading.
Traded instrument: Futures E-MINI S&P 500, MINI DOW, CRUDE OIL, Gold и другие.
I strive to observe the maximum drawdown per transaction: about $ 2000 for one contract (or not more than 5-7% of the deposit).
and the maximum daily drawdown: about $ -5000.
The number number of contracts in a trade: 1-6
Entry into the trade: in one-two contract, then gradual addition.
Number of trades per day: 3-20
Transaction duration: from several minutes to several days.
Transaction opening direction: with a short-term trend.

Summary Statistics

Strategy began
2020-02-03
Suggested Minimum Capital
$120,000
Rank at C2 %
Top 3.4%
Rank # 
#22
# Trades
1293
# Profitable
689
% Profitable
53.3%
Correlation S&P500
0.125
Sharpe Ratio
2.93
Sortino Ratio
5.83
Beta
0.15
Alpha
0.51
Leverage
5.30 Average
41.02 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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.