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

W4T Discretionary
(128842482)

Created by: W4T-STH W4T-STH
Started: 05/2020
Futures
Last trade: Yesterday

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 $200.00 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.

12.0%
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.

(20.1%)
Max Drawdown
381
Num Trades
35.7%
Win Trades
1.2 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                            +1.8%+0.3%+3.3%+6.2%                        +12.1%

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

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/14/20 6:47 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 1 11164.00 8/14 10:14 11134.50 1.96%
Trade id #130618826
Max drawdown($1,070)
Time8/14/20 8:32
Quant open1
Worst price11217.50
Drawdown as % of equity-1.96%
$582
Includes Typical Broker Commissions trade costs of $8.00
8/12/20 4:36 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 1 10962.25 8/12 6:13 10985.50 n/a $457
Includes Typical Broker Commissions trade costs of $8.00
8/11/20 2:16 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 1 11113.50 8/11 4:36 11137.75 0.94%
Trade id #130551588
Max drawdown($510)
Time8/11/20 3:08
Quant open1
Worst price11088.00
Drawdown as % of equity-0.94%
$477
Includes Typical Broker Commissions trade costs of $8.00
8/10/20 10:54 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 1 10976.00 8/10 10:58 10952.25 n/a $467
Includes Typical Broker Commissions trade costs of $8.00
8/5/20 10:20 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 1 11102.75 8/6 10:24 11142.00 1.96%
Trade id #130469136
Max drawdown($1,030)
Time8/6/20 7:49
Quant open1
Worst price11051.20
Drawdown as % of equity-1.96%
$777
Includes Typical Broker Commissions trade costs of $8.00
8/3/20 12:51 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 1 11031.25 8/3 14:38 11068.00 0.34%
Trade id #130426610
Max drawdown($180)
Time8/3/20 13:44
Quant open1
Worst price11022.20
Drawdown as % of equity-0.34%
$727
Includes Typical Broker Commissions trade costs of $8.00
7/29/20 2:25 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 1 10561.25 7/30 6:58 10522.00 5.7%
Trade id #130331866
Max drawdown($2,815)
Time7/29/20 18:00
Quant open1
Worst price10702.00
Drawdown as % of equity-5.70%
$777
Includes Typical Broker Commissions trade costs of $8.00
7/28/20 4:45 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 1 10677.25 7/28 5:50 10653.75 0.35%
Trade id #130310747
Max drawdown($180)
Time7/28/20 5:02
Quant open1
Worst price10686.20
Drawdown as % of equity-0.35%
$462
Includes Typical Broker Commissions trade costs of $8.00
7/27/20 11:33 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 1 10553.25 7/27 11:35 10529.75 n/a $462
Includes Typical Broker Commissions trade costs of $8.00
7/23/20 23:50 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 1 10474.00 7/24 2:52 10450.25 4.84%
Trade id #130251897
Max drawdown($2,460)
Time7/24/20 0:00
Quant open1
Worst price10597.00
Drawdown as % of equity-4.84%
$467
Includes Typical Broker Commissions trade costs of $8.00
7/23/20 2:01 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 1 10855.00 7/23 12:03 10761.25 3.44%
Trade id #130230475
Max drawdown($1,670)
Time7/23/20 2:47
Quant open1
Worst price10938.50
Drawdown as % of equity-3.44%
$1,867
Includes Typical Broker Commissions trade costs of $8.00
7/22/20 5:40 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 3 10830.50 7/22 11:13 10781.75 9.3%
Trade id #130206742
Max drawdown($4,125)
Time7/22/20 10:06
Quant open3
Worst price10899.20
Drawdown as % of equity-9.30%
$2,901
Includes Typical Broker Commissions trade costs of $24.00
7/21/20 23:52 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 1 10892.25 7/22 3:44 10816.00 3.26%
Trade id #130201147
Max drawdown($1,530)
Time7/22/20 3:44
Quant open1
Worst price10815.80
Drawdown as % of equity-3.26%
($1,533)
Includes Typical Broker Commissions trade costs of $8.00
7/21/20 13:30 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 5 10877.00 7/21 15:12 10828.00 13.68%
Trade id #130192916
Max drawdown($5,775)
Time7/21/20 14:10
Quant open5
Worst price10934.80
Drawdown as % of equity-13.68%
$4,860
Includes Typical Broker Commissions trade costs of $40.00
7/21/20 9:02 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 1 11008.25 7/21 11:12 10859.00 7.08%
Trade id #130185463
Max drawdown($3,105)
Time7/21/20 11:12
Quant open1
Worst price10853.00
Drawdown as % of equity-7.08%
($2,993)
Includes Typical Broker Commissions trade costs of $8.00
7/20/20 9:33 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 1 10659.75 7/20 9:54 10685.00 2.39%
Trade id #130164740
Max drawdown($1,080)
Time7/20/20 9:37
Quant open1
Worst price10605.80
Drawdown as % of equity-2.39%
$497
Includes Typical Broker Commissions trade costs of $8.00
7/16/20 6:18 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 1 10546.50 7/16 6:35 10496.50 n/a $992
Includes Typical Broker Commissions trade costs of $8.00
7/15/20 11:05 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 6 10668.75 7/15 11:06 10643.50 n/a $2,982
Includes Typical Broker Commissions trade costs of $48.00
7/15/20 9:46 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 5 10742.25 7/15 11:03 10666.35 17.37%
Trade id #130092042
Max drawdown($7,900)
Time7/15/20 11:03
Quant open5
Worst price10663.20
Drawdown as % of equity-17.37%
($7,630)
Includes Typical Broker Commissions trade costs of $40.00
7/15/20 9:41 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 1 10702.50 7/15 9:44 10755.25 2.56%
Trade id #130091829
Max drawdown($1,280)
Time7/15/20 9:44
Quant open1
Worst price10766.50
Drawdown as % of equity-2.56%
($1,063)
Includes Typical Broker Commissions trade costs of $8.00
7/14/20 9:53 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 1 10411.75 7/14 10:12 10386.75 2.96%
Trade id #130070107
Max drawdown($1,465)
Time7/14/20 10:00
Quant open1
Worst price10485.00
Drawdown as % of equity-2.96%
$492
Includes Typical Broker Commissions trade costs of $8.00
7/14/20 8:43 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 1 10595.25 7/14 8:51 10570.50 0.23%
Trade id #130068067
Max drawdown($115)
Time7/14/20 8:47
Quant open1
Worst price10601.00
Drawdown as % of equity-0.23%
$487
Includes Typical Broker Commissions trade costs of $8.00
7/14/20 4:01 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 1 10609.25 7/14 8:38 10585.00 2.65%
Trade id #130064210
Max drawdown($1,285)
Time7/14/20 7:55
Quant open1
Worst price10673.50
Drawdown as % of equity-2.65%
$477
Includes Typical Broker Commissions trade costs of $8.00
7/14/20 3:46 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 5 10612.75 7/14 3:51 10587.50 n/a $2,485
Includes Typical Broker Commissions trade costs of $40.00
7/14/20 3:02 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 1 10668.50 7/14 3:41 10594.00 3.41%
Trade id #130063140
Max drawdown($1,620)
Time7/14/20 3:41
Quant open1
Worst price10587.50
Drawdown as % of equity-3.41%
($1,498)
Includes Typical Broker Commissions trade costs of $8.00
7/13/20 14:10 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 5 10882.50 7/13 14:11 10857.50 n/a $2,460
Includes Typical Broker Commissions trade costs of $40.00
7/13/20 10:03 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 6 10955.75 7/13 10:28 10992.83 11.29%
Trade id #130046364
Max drawdown($5,220)
Time7/13/20 10:28
Quant open6
Worst price10999.20
Drawdown as % of equity-11.29%
($4,498)
Includes Typical Broker Commissions trade costs of $48.00
7/13/20 8:03 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 6 10939.50 7/13 9:32 10952.00 2.88%
Trade id #130043657
Max drawdown($1,380)
Time7/13/20 8:19
Quant open6
Worst price10928.00
Drawdown as % of equity-2.88%
$1,452
Includes Typical Broker Commissions trade costs of $48.00
7/13/20 4:38 @NQU0 E-MINI NASDAQ 100 STK IDX SHORT 5 10878.00 7/13 7:02 10915.35 8.09%
Trade id #130040784
Max drawdown($4,075)
Time7/13/20 7:02
Quant open5
Worst price10918.80
Drawdown as % of equity-8.09%
($3,775)
Includes Typical Broker Commissions trade costs of $40.00
7/13/20 2:13 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 1 10904.75 7/13 4:35 10867.75 1.49%
Trade id #130038631
Max drawdown($775)
Time7/13/20 4:35
Quant open1
Worst price10866.00
Drawdown as % of equity-1.49%
($748)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    5/3/2020
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    104.38
  • Age
    105 days ago
  • What it trades
    Futures
  • # Trades
    381
  • # Profitable
    136
  • % Profitable
    35.70%
  • Avg trade duration
    39.8 minutes
  • Max peak-to-valley drawdown
    20.08%
  • drawdown period
    July 12, 2020 - July 21, 2020
  • Cumul. Return
    12.0%
  • Avg win
    $326.24
  • Avg loss
    $146.99
  • Model Account Values (Raw)
  • Cash
    $58,356
  • Margin Used
    $0
  • Buying Power
    $58,356
  • Ratios
  • W:L ratio
    1.23:1
  • Sharpe Ratio
    1.24
  • Sortino Ratio
    1.9
  • Calmar Ratio
    4.928
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -7.10%
  • Correlation to SP500
    -0.07510
  • Return Percent SP500 (cumu) during strategy life
    19.15%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    47.1%
  • 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
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.120%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    71.1%
  • Automation
  • Percentage Signals Automated
    10000.00%
  • Popularity
  • Popularity (Today)
    755
  • Popularity (Last 6 weeks)
    892
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    807
  • Popularity (7 days, Percentile 1000 scale)
    726
  • 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
    $147
  • Avg Win
    $326
  • Sum Trade PL (losers)
    $36,013.000
  • Age
  • Num Months filled monthly returns table
    4
  • Win / Loss
  • Sum Trade PL (winners)
    $44,369.000
  • # Winners
    136
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    245
  • % Winners
    35.7%
  • Frequency
  • Avg Position Time (mins)
    39.82
  • Avg Position Time (hrs)
    0.66
  • Avg Trade Length
    0.0 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    4.78
  • Daily leverage (max)
    28.15
  • Regression
  • Alpha
    0.12
  • Beta
    -0.09
  • Treynor Index
    -1.13
  • 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)
    -0.84
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -6.888
  • 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
    1.179
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.119
  • Hold-and-Hope Ratio
    -0.145
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40398
  • SD
    0.04804
  • Sharpe ratio (Glass type estimate)
    8.40954
  • Sharpe ratio (Hedges UMVUE)
    4.74457
  • df
    2.00000
  • t
    4.20477
  • p
    0.02609
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05453
  • Upperbound of 95% confidence interval for Sharpe Ratio
    16.91660
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.33692
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    10.82610
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.40398
  • Downside part of mean
    0.00000
  • Upside SD
    0.12304
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.60093
  • Mean of criterion
    0.40398
  • SD of predictor
    0.16715
  • SD of criterion
    0.04804
  • Covariance
    -0.00013
  • r
    -0.01562
  • b (slope, estimate of beta)
    -0.00449
  • a (intercept, estimate of alpha)
    0.40668
  • Mean Square Error
    0.00461
  • DF error
    1.00000
  • t(b)
    -0.01562
  • p(b)
    0.50497
  • t(a)
    1.85087
  • p(a)
    0.15768
  • Lowerbound of 95% confidence interval for beta
    -3.65582
  • Upperbound of 95% confidence interval for beta
    3.64684
  • Lowerbound of 95% confidence interval for alpha
    -2.38516
  • Upperbound of 95% confidence interval for alpha
    3.19852
  • Treynor index (mean / b)
    -90.00620
  • Jensen alpha (a)
    0.40668
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39571
  • SD
    0.04620
  • Sharpe ratio (Glass type estimate)
    8.56529
  • Sharpe ratio (Hedges UMVUE)
    4.83244
  • df
    2.00000
  • t
    4.28264
  • p
    0.02522
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01118
  • Upperbound of 95% confidence interval for Sharpe Ratio
    17.20270
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.31513
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    10.98000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.39571
  • Downside part of mean
    0.00000
  • Upside SD
    0.12030
  • Downside SD
    0.00000
  • N nonnegative terms
    3.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.57659
  • Mean of criterion
    0.39571
  • SD of predictor
    0.15940
  • SD of criterion
    0.04620
  • Covariance
    -0.00003
  • r
    -0.00372
  • b (slope, estimate of beta)
    -0.00108
  • a (intercept, estimate of alpha)
    0.39633
  • Mean Square Error
    0.00427
  • DF error
    1.00000
  • t(b)
    -0.00372
  • p(b)
    0.50118
  • t(a)
    1.86827
  • p(a)
    0.15643
  • Lowerbound of 95% confidence interval for beta
    -3.68376
  • Upperbound of 95% confidence interval for beta
    3.68160
  • Lowerbound of 95% confidence interval for alpha
    -2.29913
  • Upperbound of 95% confidence interval for alpha
    3.09179
  • Treynor index (mean / b)
    -366.85700
  • Jensen alpha (a)
    0.39633
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    -0.01110
  • Expected Shortfall on VaR
    -0.00549
  • 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
    3.00000
  • Minimum
    1.02681
  • Quartile 1
    1.02802
  • Median
    1.02922
  • Quartile 3
    1.04059
  • Maximum
    1.05195
  • Mean of quarter 1
    1.02681
  • Mean of quarter 2
    1.02922
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.05195
  • Inter Quartile Range
    0.01257
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.44686
  • Compounded annual return (geometric extrapolation)
    0.52747
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000
  • 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
    0.51026
  • SD
    0.24060
  • Sharpe ratio (Glass type estimate)
    2.12078
  • Sharpe ratio (Hedges UMVUE)
    2.09892
  • df
    73.00000
  • t
    1.12710
  • p
    0.13170
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59024
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.81754
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.60469
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.80253
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.42762
  • Upside Potential Ratio
    9.08316
  • Upside part of mean
    1.35220
  • Downside part of mean
    -0.84193
  • Upside SD
    0.18958
  • Downside SD
    0.14887
  • N nonnegative terms
    43.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    74.00000
  • Mean of predictor
    0.59981
  • Mean of criterion
    0.51026
  • SD of predictor
    0.20818
  • SD of criterion
    0.24060
  • Covariance
    -0.00338
  • r
    -0.06748
  • b (slope, estimate of beta)
    -0.07799
  • a (intercept, estimate of alpha)
    0.55700
  • Mean Square Error
    0.05843
  • DF error
    72.00000
  • t(b)
    -0.57390
  • p(b)
    0.71609
  • t(a)
    1.20555
  • p(a)
    0.11597
  • Lowerbound of 95% confidence interval for beta
    -0.34889
  • Upperbound of 95% confidence interval for beta
    0.19291
  • Lowerbound of 95% confidence interval for alpha
    -0.36407
  • Upperbound of 95% confidence interval for alpha
    1.47816
  • Treynor index (mean / b)
    -6.54274
  • Jensen alpha (a)
    0.55704
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.48145
  • SD
    0.23907
  • Sharpe ratio (Glass type estimate)
    2.01388
  • Sharpe ratio (Hedges UMVUE)
    1.99312
  • df
    73.00000
  • t
    1.07028
  • p
    0.14401
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.69525
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.70939
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.70896
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.69519
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.17558
  • Upside Potential Ratio
    8.80315
  • Upside part of mean
    1.33464
  • Downside part of mean
    -0.85320
  • Upside SD
    0.18515
  • Downside SD
    0.15161
  • N nonnegative terms
    43.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    74.00000
  • Mean of predictor
    0.57749
  • Mean of criterion
    0.48145
  • SD of predictor
    0.20986
  • SD of criterion
    0.23907
  • Covariance
    -0.00327
  • r
    -0.06525
  • b (slope, estimate of beta)
    -0.07433
  • a (intercept, estimate of alpha)
    0.52437
  • Mean Square Error
    0.05770
  • DF error
    72.00000
  • t(b)
    -0.55483
  • p(b)
    0.70963
  • t(a)
    1.14353
  • p(a)
    0.12830
  • Lowerbound of 95% confidence interval for beta
    -0.34138
  • Upperbound of 95% confidence interval for beta
    0.19273
  • Lowerbound of 95% confidence interval for alpha
    -0.38974
  • Upperbound of 95% confidence interval for alpha
    1.43848
  • Treynor index (mean / b)
    -6.47740
  • Jensen alpha (a)
    0.52437
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02221
  • Expected Shortfall on VaR
    0.02821
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00636
  • Expected Shortfall on VaR
    0.01439
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    74.00000
  • Minimum
    0.95352
  • Quartile 1
    0.99862
  • Median
    1.00158
  • Quartile 3
    1.00583
  • Maximum
    1.07191
  • Mean of quarter 1
    0.98800
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00323
  • Mean of quarter 4
    1.01697
  • Inter Quartile Range
    0.00721
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.06757
  • Mean of outliers low
    0.96735
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.06757
  • Mean of outliers high
    1.03706
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.90987
  • VaR(95%) (moments method)
    0.00990
  • Expected Shortfall (moments method)
    0.12104
  • Extreme Value Index (regression method)
    0.49418
  • VaR(95%) (regression method)
    0.01178
  • Expected Shortfall (regression method)
    0.02998
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00059
  • Quartile 1
    0.00118
  • Median
    0.00304
  • Quartile 3
    0.01994
  • Maximum
    0.13477
  • Mean of quarter 1
    0.00080
  • Mean of quarter 2
    0.00227
  • Mean of quarter 3
    0.00963
  • Mean of quarter 4
    0.05997
  • Inter Quartile Range
    0.01875
  • 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
    0.10000
  • Mean of outliers high
    0.13477
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.83656
  • VaR(95%) (moments method)
    0.07587
  • Expected Shortfall (moments method)
    0.48327
  • Extreme Value Index (regression method)
    4.36967
  • VaR(95%) (regression method)
    0.36685
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.54782
  • Compounded annual return (geometric extrapolation)
    0.66422
  • Calmar ratio (compounded annual return / max draw down)
    4.92849
  • Compounded annual return / average of 25% largest draw downs
    11.07590
  • Compounded annual return / Expected Shortfall lognormal
    23.54780
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.02200
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -295473000
  • Max Equity Drawdown (num days)
    9

Strategy Description

This is a discretional strategy based on ML technologies of recognition Similar Days, Game theory, Probability theory and a position management.
You can read about Similar Days project here https://wait4trade.com
Entries and exits are automatic, I only decide in which direction to trade and whether to trade at all.

There were a lot of different strategies, so past results do not display the current trading style.
Last update parameters:
> NQ 1-6 lots per trade
> Stop loss 300-600 ticks
Any changes in trading style will be indicated here and communicated to all subscribers.

Remember that there are no risk-free trading models and you can lose your money. Invest in trading only risk capital.

Summary Statistics

Strategy began
2020-05-03
Suggested Minimum Capital
$60,000
Rank at C2 
#125
# Trades
381
# Profitable
136
% Profitable
35.7%
Correlation S&P500
-0.075
Sharpe Ratio
1.24
Sortino Ratio
1.90
Beta
-0.09
Alpha
0.12
Leverage
4.78 Average
28.15 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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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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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.