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myFXdesk
(128843892)

Created by: JohnKnobel JohnKnobel
Started: 05/2020
Futures
Last trade: Yesterday
Trading style: Futures Trend-following Commodities

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 $125.00 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.
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
89.2%
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.

(54.9%)
Max Drawdown
57
Num Trades
64.9%
Win Trades
4.7 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                            +35.7%+17.9%+8.3%+0.6%+5.8%+2.6%            +89.2%

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 5 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/23/20 3:27 EXZ0 DJ EURO STOXX 50 SHORT 1 3177.00 10/23 3:30 3185.00 n/a ($103)
Includes Typical Broker Commissions trade costs of $8.00
10/9/20 2:33 BDZ0 EUREX BUND LONG 1 174.65 10/12 11:50 174.83 0.22%
Trade id #131606991
Max drawdown($189)
Time10/9/20 11:54
Quant open1
Worst price174.49
Drawdown as % of equity-0.22%
$204
Includes Typical Broker Commissions trade costs of $8.00
10/5/20 3:20 EUR/GBP EUR/GBP SHORT 1 0.90806 10/9 13:17 0.90725 0.11%
Trade id #131508613
Max drawdown($105)
Time10/7/20 0:00
Quant open1
Worst price0.91616
Drawdown as % of equity-0.11%
$11
9/24/20 3:42 @SBH1 Sugar #11 LONG 2 13.27 9/29 11:22 13.39 0.82%
Trade id #131334177
Max drawdown($750)
Time9/29/20 8:04
Quant open2
Worst price12.93
Drawdown as % of equity-0.82%
$264
Includes Typical Broker Commissions trade costs of $16.00
9/22/20 8:07 BDZ0 EUREX BUND LONG 1 174.45 9/29 10:44 174.73 0.37%
Trade id #131288346
Max drawdown($340)
Time9/25/20 0:00
Quant open1
Worst price174.16
Drawdown as % of equity-0.37%
$320
Includes Typical Broker Commissions trade costs of $8.00
9/15/20 11:06 @MNQZ0 MICRO E-MINI NASDAQ 100 SHORT 2 11440.75 9/18 14:08 10894.50 0.42%
Trade id #131182320
Max drawdown($384)
Time9/16/20 0:00
Quant open2
Worst price11536.80
Drawdown as % of equity-0.42%
$2,183
Includes Typical Broker Commissions trade costs of $1.88
9/7/20 4:48 BDZ0 EUREX BUND LONG 1 173.75 9/17 9:21 174.33 0.92%
Trade id #131032022
Max drawdown($817)
Time9/10/20 0:00
Quant open1
Worst price173.06
Drawdown as % of equity-0.92%
$676
Includes Typical Broker Commissions trade costs of $8.00
9/15/20 3:41 @QCZ0 Emini Copper LONG 1 308 9/17 2:16 302 0.77%
Trade id #131174575
Max drawdown($700)
Time9/17/20 0:55
Quant open1
Worst price302
Drawdown as % of equity-0.77%
($683)
Includes Typical Broker Commissions trade costs of $8.00
9/14/20 3:27 @M6AZ0 E-MICRO AUD/USD LONG 4 0.7285 9/16 23:42 0.7265 0.1%
Trade id #131153601
Max drawdown($89)
Time9/16/20 23:30
Quant open4
Worst price0.7263
Drawdown as % of equity-0.10%
($84)
Includes Typical Broker Commissions trade costs of $2.80
9/15/20 3:13 @QCV0 Emini Copper LONG 1 309 9/16 23:39 299 1.33%
Trade id #131174244
Max drawdown($1,200)
Time9/16/20 22:11
Quant open1
Worst price299
Drawdown as % of equity-1.33%
($1,308)
Includes Typical Broker Commissions trade costs of $8.00
9/10/20 3:01 @MNQZ0 MICRO E-MINI NASDAQ 100 SHORT 4 11400.12 9/14 10:29 11166.75 1.4%
Trade id #131099758
Max drawdown($1,239)
Time9/10/20 10:17
Quant open4
Worst price11555.00
Drawdown as % of equity-1.40%
$1,863
Includes Typical Broker Commissions trade costs of $3.76
9/7/20 4:07 EUR/GBP EUR/GBP SHORT 2 0.89483 9/10 10:57 0.92251 0.81%
Trade id #131031494
Max drawdown($718)
Time9/10/20 10:57
Quant open2
Worst price0.92287
Drawdown as % of equity-0.81%
($712)
8/3/20 9:13 @M6BU0 E-MICRO GBP/USD SHORT 3 1.3016 9/10 9:39 1.3049 1.01%
Trade id #130417468
Max drawdown($875)
Time9/1/20 0:00
Quant open3
Worst price1.3483
Drawdown as % of equity-1.01%
($63)
Includes Typical Broker Commissions trade costs of $2.10
8/24/20 2:41 BDU0 EUREX BUND LONG 1 177.11 9/8 5:17 176.65 2.78%
Trade id #130749933
Max drawdown($2,416)
Time8/28/20 0:00
Quant open1
Worst price175.06
Drawdown as % of equity-2.78%
($551)
Includes Typical Broker Commissions trade costs of $8.00
6/26/20 8:45 EUR/GBP EUR/GBP LONG 1 0.90638 9/7 4:02 0.89508 0.29%
Trade id #129772202
Max drawdown($260)
Time9/3/20 0:00
Quant open1
Worst price0.88658
Drawdown as % of equity-0.29%
($149)
9/1/20 5:10 EXZ0 DJ EURO STOXX 50 LONG 3 3265.00 9/3 11:05 3306.00 1.08%
Trade id #130913415
Max drawdown($924)
Time9/1/20 9:45
Quant open3
Worst price3239.00
Drawdown as % of equity-1.08%
$1,431
Includes Typical Broker Commissions trade costs of $24.00
8/31/20 3:04 @MCDZ0 E-MICRO CAD/USD LONG 1 0.76460 8/31 3:04 0.76450 0%
Trade id #130887817
Max drawdown($1)
Time8/31/20 3:04
Quant open1
Worst price0.76450
Drawdown as % of equity-0.00%
($2)
Includes Typical Broker Commissions trade costs of $0.70
8/10/20 5:23 @MJYU0 E-MICRO JPY/USD SHORT 1 0.009444 8/27 7:12 0.009425 0.11%
Trade id #130533890
Max drawdown($91)
Time8/19/20 0:00
Quant open1
Worst price0.009517
Drawdown as % of equity-0.11%
$23
Includes Typical Broker Commissions trade costs of $0.70
8/18/20 4:19 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 3 11294.75 8/26 4:21 11579.67 0.51%
Trade id #130662954
Max drawdown($439)
Time8/20/20 0:00
Quant open3
Worst price11221.50
Drawdown as % of equity-0.51%
$1,707
Includes Typical Broker Commissions trade costs of $2.82
8/10/20 5:23 USD/JPY USD/JPY LONG 5 105.918 8/21 10:05 106.025 0.44%
Trade id #130533898
Max drawdown($385)
Time8/19/20 0:00
Quant open5
Worst price105.103
Drawdown as % of equity-0.44%
$51
8/6/20 4:06 @WU0 WHEAT LONG 2 500 3/4 8/21 7:34 523 1/4 1.5%
Trade id #130483046
Max drawdown($1,275)
Time8/12/20 0:00
Quant open2
Worst price488
Drawdown as % of equity-1.50%
$2,234
Includes Typical Broker Commissions trade costs of $16.00
8/18/20 4:18 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 3 11294.50 8/18 4:18 11294.50 n/a ($3)
Includes Typical Broker Commissions trade costs of $2.82
8/13/20 3:23 @CU0 CORN LONG 1 319 2/4 8/13 11:24 324 2/4 0.07%
Trade id #130595727
Max drawdown($62)
Time8/13/20 6:49
Quant open1
Worst price318 1/4
Drawdown as % of equity-0.07%
$242
Includes Typical Broker Commissions trade costs of $8.00
8/7/20 9:00 @QIU0 MiNY Silver LONG 1 28.7875 8/11 8:49 27.4000 4.4%
Trade id #130509151
Max drawdown($3,781)
Time8/11/20 8:49
Quant open1
Worst price27.2750
Drawdown as % of equity-4.40%
($3,477)
Includes Typical Broker Commissions trade costs of $8.00
7/9/20 4:34 @SBV0 Sugar #11 LONG 1 12.12 8/5 11:09 12.68 1.22%
Trade id #129985852
Max drawdown($952)
Time7/14/20 0:00
Quant open1
Worst price11.27
Drawdown as % of equity-1.22%
$619
Includes Typical Broker Commissions trade costs of $8.00
7/27/20 10:06 @DXU0 US Dollar Index SHORT 1 93.575 8/5 11:09 92.625 0.47%
Trade id #130291231
Max drawdown($405)
Time8/3/20 0:00
Quant open1
Worst price93.980
Drawdown as % of equity-0.47%
$942
Includes Typical Broker Commissions trade costs of $8.00
8/4/20 4:25 @ESU0 E-MINI S&P 500 LONG 1 3278.75 8/5 11:09 3322.75 0.45%
Trade id #130439078
Max drawdown($387)
Time8/4/20 8:03
Quant open1
Worst price3271.00
Drawdown as % of equity-0.45%
$2,192
Includes Typical Broker Commissions trade costs of $8.00
8/4/20 4:23 @SPU0 S&P 500 - GLOBEX LONG 1 3279.60 8/4 4:24 3277.70 0.55%
Trade id #130439045
Max drawdown($475)
Time8/4/20 4:24
Quant open1
Worst price3277.70
Drawdown as % of equity-0.55%
($483)
Includes Typical Broker Commissions trade costs of $8.00
7/21/20 3:59 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 1 11043.50 7/30 10:25 10538.75 1.73%
Trade id #130181907
Max drawdown($1,484)
Time7/24/20 0:00
Quant open1
Worst price10301.20
Drawdown as % of equity-1.73%
($1,011)
Includes Typical Broker Commissions trade costs of $0.94
7/30/20 2:53 MTQ0 CAC40 SHORT 1 4961.00 7/30 2:54 4961.50 0.01%
Trade id #130355678
Max drawdown($6)
Time7/30/20 2:54
Quant open1
Worst price4961.50
Drawdown as % of equity-0.01%
($14)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    5/3/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    173.56
  • Age
    174 days ago
  • What it trades
    Futures
  • # Trades
    57
  • # Profitable
    37
  • % Profitable
    64.90%
  • Avg trade duration
    9.5 days
  • Max peak-to-valley drawdown
    54.94%
  • drawdown period
    May 12, 2020 - May 14, 2020
  • Cumul. Return
    89.2%
  • Avg win
    $1,503
  • Avg loss
    $588.65
  • Model Account Values (Raw)
  • Cash
    $94,179
  • Margin Used
    $11,804
  • Buying Power
    $82,055
  • Ratios
  • W:L ratio
    4.73:1
  • Sharpe Ratio
    1.82
  • Sortino Ratio
    3.13
  • Calmar Ratio
    7.576
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    66.76%
  • Correlation to SP500
    0.19880
  • Return Percent SP500 (cumu) during strategy life
    22.42%
  • Return Statistics
  • Ann Return (w trading costs)
    273.3%
  • Slump
  • Current Slump as Pcnt Equity
    1.60%
  • Instruments
  • Percent Trades Futures
    0.95%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.02%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.892%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.05%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    291.2%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    839
  • Popularity (Last 6 weeks)
    944
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    976
  • Popularity (7 days, Percentile 1000 scale)
    868
  • 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
    $624
  • Avg Win
    $1,580
  • Sum Trade PL (losers)
    $12,470.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $58,471.000
  • # Winners
    37
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    95525
  • Win / Loss
  • # Losers
    20
  • % Winners
    64.9%
  • Frequency
  • Avg Position Time (mins)
    13725.50
  • Avg Position Time (hrs)
    228.76
  • Avg Trade Length
    9.5 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    3.26
  • Daily leverage (max)
    22.60
  • Regression
  • Alpha
    0.36
  • Beta
    0.73
  • Treynor Index
    0.61
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.47
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    1.915
  • 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
    1.147
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.414
  • Hold-and-Hope Ratio
    0.558
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.63537
  • SD
    0.49996
  • Sharpe ratio (Glass type estimate)
    3.27097
  • Sharpe ratio (Hedges UMVUE)
    2.60986
  • df
    4.00000
  • t
    2.11140
  • p
    0.05116
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59251
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.89024
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92429
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.14400
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.63537
  • Downside part of mean
    0.00000
  • Upside SD
    0.65026
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.39273
  • Mean of criterion
    1.63537
  • SD of predictor
    0.23139
  • SD of criterion
    0.49996
  • Covariance
    0.06300
  • r
    0.54453
  • b (slope, estimate of beta)
    1.17657
  • a (intercept, estimate of alpha)
    1.17330
  • Mean Square Error
    0.23446
  • DF error
    3.00000
  • t(b)
    1.12450
  • p(b)
    0.17133
  • t(a)
    1.37178
  • p(a)
    0.13186
  • Lowerbound of 95% confidence interval for beta
    -2.15323
  • Upperbound of 95% confidence interval for beta
    4.50636
  • Lowerbound of 95% confidence interval for alpha
    -1.54868
  • Upperbound of 95% confidence interval for alpha
    3.89527
  • Treynor index (mean / b)
    1.38995
  • Jensen alpha (a)
    1.17330
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.45791
  • SD
    0.41646
  • Sharpe ratio (Glass type estimate)
    3.50077
  • Sharpe ratio (Hedges UMVUE)
    2.79321
  • df
    4.00000
  • t
    2.25974
  • p
    0.04335
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45537
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.21031
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.80761
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.39402
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.45791
  • Downside part of mean
    0.00000
  • Upside SD
    0.56203
  • Downside SD
    0.00000
  • N nonnegative terms
    5.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.36502
  • Mean of criterion
    1.45791
  • SD of predictor
    0.22810
  • SD of criterion
    0.41646
  • Covariance
    0.05145
  • r
    0.54164
  • b (slope, estimate of beta)
    0.98891
  • a (intercept, estimate of alpha)
    1.09694
  • Mean Square Error
    0.16340
  • DF error
    3.00000
  • t(b)
    1.11604
  • p(b)
    0.17287
  • t(a)
    1.55632
  • p(a)
    0.10875
  • Lowerbound of 95% confidence interval for beta
    -1.83103
  • Upperbound of 95% confidence interval for beta
    3.80886
  • Lowerbound of 95% confidence interval for alpha
    -1.14615
  • Upperbound of 95% confidence interval for alpha
    3.34003
  • Treynor index (mean / b)
    1.47426
  • Jensen alpha (a)
    1.09694
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07342
  • Expected Shortfall on VaR
    0.11795
  • 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
    5.00000
  • Minimum
    1.02410
  • Quartile 1
    1.04185
  • Median
    1.09671
  • Quartile 3
    1.14890
  • Maximum
    1.38148
  • Mean of quarter 1
    1.03298
  • Mean of quarter 2
    1.09671
  • Mean of quarter 3
    1.14890
  • Mean of quarter 4
    1.38148
  • Inter Quartile Range
    0.10705
  • 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
    0.20000
  • Mean of outliers high
    1.38148
  • 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)
    2.05738
  • Compounded annual return (geometric extrapolation)
    3.41859
  • 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
    28.98240
  • 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
    1.69465
  • SD
    0.86062
  • Sharpe ratio (Glass type estimate)
    1.96911
  • Sharpe ratio (Hedges UMVUE)
    1.95708
  • df
    123.00000
  • t
    1.35466
  • p
    0.42300
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89430
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.82472
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90236
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.81653
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.94161
  • Upside Potential Ratio
    8.07105
  • Upside part of mean
    3.47006
  • Downside part of mean
    -1.77541
  • Upside SD
    0.74887
  • Downside SD
    0.42994
  • N nonnegative terms
    76.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    124.00000
  • Mean of predictor
    0.41132
  • Mean of criterion
    1.69465
  • SD of predictor
    0.20199
  • SD of criterion
    0.86062
  • Covariance
    0.03954
  • r
    0.22746
  • b (slope, estimate of beta)
    0.96913
  • a (intercept, estimate of alpha)
    1.29600
  • Mean Square Error
    0.70810
  • DF error
    122.00000
  • t(b)
    2.58000
  • p(b)
    0.38627
  • t(a)
    1.05121
  • p(a)
    0.45263
  • Lowerbound of 95% confidence interval for beta
    0.22553
  • Upperbound of 95% confidence interval for beta
    1.71273
  • Lowerbound of 95% confidence interval for alpha
    -1.14460
  • Upperbound of 95% confidence interval for alpha
    3.73665
  • Treynor index (mean / b)
    1.74863
  • Jensen alpha (a)
    1.29602
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.35267
  • SD
    0.81135
  • Sharpe ratio (Glass type estimate)
    1.66718
  • Sharpe ratio (Hedges UMVUE)
    1.65699
  • df
    123.00000
  • t
    1.14694
  • p
    0.43463
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.19272
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.52043
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19949
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.51347
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.86403
  • Upside Potential Ratio
    6.84440
  • Upside part of mean
    3.23259
  • Downside part of mean
    -1.87992
  • Upside SD
    0.66099
  • Downside SD
    0.47230
  • N nonnegative terms
    76.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    124.00000
  • Mean of predictor
    0.39057
  • Mean of criterion
    1.35267
  • SD of predictor
    0.20332
  • SD of criterion
    0.81135
  • Covariance
    0.03662
  • r
    0.22201
  • b (slope, estimate of beta)
    0.88591
  • a (intercept, estimate of alpha)
    1.00666
  • Mean Square Error
    0.63098
  • DF error
    122.00000
  • t(b)
    2.51490
  • p(b)
    0.38900
  • t(a)
    0.86572
  • p(a)
    0.46093
  • Lowerbound of 95% confidence interval for beta
    0.18857
  • Upperbound of 95% confidence interval for beta
    1.58325
  • Lowerbound of 95% confidence interval for alpha
    -1.29524
  • Upperbound of 95% confidence interval for alpha
    3.30856
  • Treynor index (mean / b)
    1.52688
  • Jensen alpha (a)
    1.00666
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07438
  • Expected Shortfall on VaR
    0.09341
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01240
  • Expected Shortfall on VaR
    0.02995
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    124.00000
  • Minimum
    0.78270
  • Quartile 1
    0.99750
  • Median
    1.00218
  • Quartile 3
    1.00619
  • Maximum
    1.39123
  • Mean of quarter 1
    0.97360
  • Mean of quarter 2
    0.99995
  • Mean of quarter 3
    1.00402
  • Mean of quarter 4
    1.04872
  • Inter Quartile Range
    0.00869
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06452
  • Mean of outliers low
    0.92054
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.10484
  • Mean of outliers high
    1.10077
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.93975
  • VaR(95%) (moments method)
    0.01811
  • Expected Shortfall (moments method)
    0.32881
  • Extreme Value Index (regression method)
    0.95467
  • VaR(95%) (regression method)
    0.01587
  • Expected Shortfall (regression method)
    0.36941
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00164
  • Quartile 1
    0.00844
  • Median
    0.01333
  • Quartile 3
    0.02786
  • Maximum
    0.39297
  • Mean of quarter 1
    0.00408
  • Mean of quarter 2
    0.01026
  • Mean of quarter 3
    0.02016
  • Mean of quarter 4
    0.15309
  • Inter Quartile Range
    0.01942
  • 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
    0.12500
  • Mean of outliers high
    0.26414
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.76846
  • VaR(95%) (moments method)
    0.14941
  • Expected Shortfall (moments method)
    0.72276
  • Extreme Value Index (regression method)
    2.26434
  • VaR(95%) (regression method)
    0.26054
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.94825
  • Compounded annual return (geometric extrapolation)
    2.97720
  • Calmar ratio (compounded annual return / max draw down)
    7.57617
  • Compounded annual return / average of 25% largest draw downs
    19.44710
  • Compounded annual return / Expected Shortfall lognormal
    31.87390
  • 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)
    0.07400
  • 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?
    -275275000
  • Max Equity Drawdown (num days)
    2

Strategy Description

Summary Statistics

Strategy began
2020-05-03
Suggested Minimum Capital
$100,000
Rank at C2 %
Top 2.4%
Rank # 
#16
# Trades
57
# Profitable
37
% Profitable
64.9%
Correlation S&P500
0.199
Sharpe Ratio
1.82
Sortino Ratio
3.13
Beta
0.73
Alpha
0.36
Leverage
3.26 Average
22.60 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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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.