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Interesting mix
(130961584)

Created by: OlegMikhailov OlegMikhailov
Started: 09/2020
Futures
Last trade: 19 days ago
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 $300.00 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.
14.8%
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.

(4.4%)
Max Drawdown
30
Num Trades
60.0%
Win Trades
2.6 : 1
Profit Factor
72.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                        +2.0%+1.7%+1.7%+2.3%+8.0%
2021(0.1%)+1.3%+1.5%+3.6%  -  +0.2%(0.2%)                              +6.4%

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 4 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
6/8/21 6:56 QBZQ1 Brent Crude Nymex Last Day LONG 1 70.97 6/30 15:50 75.09 0.09%
Trade id #135956289
Max drawdown($250)
Time6/8/21 7:04
Quant open1
Worst price70.72
Drawdown as % of equity-0.09%
$4,112
Includes Typical Broker Commissions trade costs of $8.00
5/21/21 9:55 @HEM1 LEAN HOGS LONG 1 112.100 6/18 12:45 122.950 0.03%
Trade id #135718419
Max drawdown($80)
Time5/21/21 10:02
Quant open1
Worst price111.900
Drawdown as % of equity-0.03%
$4,332
Includes Typical Broker Commissions trade costs of $8.00
5/11/21 10:23 @SN1 SOYBEANS LONG 1 1622 2/4 6/17 20:00 1334 5.23%
Trade id #135557917
Max drawdown($14,950)
Time6/17/21 14:16
Quant open1
Worst price1323 2/4
Drawdown as % of equity-5.23%
($14,433)
Includes Typical Broker Commissions trade costs of $8.00
5/21/21 9:45 QBZN1 Brent Crude Nymex Last Day LONG 1 66.48 5/21 9:45 69.69 n/a $3,202
Includes Typical Broker Commissions trade costs of $8.00
5/21/21 9:44 BNO UNITED STATES BRENT OIL LONG 1 16.96 5/21 9:44 16.95 n/a $0
Includes Typical Broker Commissions trade costs of $0.02
5/21/21 6:25 QBZN1 Brent Crude Nymex Last Day LONG 1 66.03 5/21 9:42 66.54 0%
Trade id #135713691
Max drawdown$0
Time5/21/21 7:54
Quant open
Worst price65.91
Drawdown as % of equity0.00%
$502
Includes Typical Broker Commissions trade costs of $8.00
5/6/21 9:29 QBZV1 Brent Crude Nymex Last Day LONG 1 67.57 5/20 16:02 64.15 0%
Trade id #135481922
Max drawdown$4
Time5/12/21 12:36
Quant open
Worst price64.33
Drawdown as % of equity0.00%
($3,428)
Includes Typical Broker Commissions trade costs of $8.00
4/14/21 9:30 @HEK1 LEAN HOGS LONG 1 105.650 5/14 9:00 111.475 0%
Trade id #135141856
Max drawdown$5
Time4/14/21 14:02
Quant open
Worst price101.575
Drawdown as % of equity0.00%
$2,322
Includes Typical Broker Commissions trade costs of $8.00
4/14/21 12:48 QBZM1 Brent Crude Nymex Last Day LONG 1 66.66 5/11 12:56 67.16 0%
Trade id #135149822
Max drawdown$3
Time4/20/21 4:39
Quant open
Worst price64.57
Drawdown as % of equity0.00%
$492
Includes Typical Broker Commissions trade costs of $8.00
3/23/21 5:11 @SK1 SOYBEANS LONG 1 1426 3/4 5/11 10:23 1648 3/4 0.03%
Trade id #134791910
Max drawdown$84
Time4/27/21 6:39
Quant open
Worst price1524 1/4
Drawdown as % of equity0.03%
$11,092
Includes Typical Broker Commissions trade costs of $8.00
5/6/21 9:28 QBZQ1 Brent Crude Nymex Last Day LONG 1 68.53 5/6 9:29 68.46 n/a ($78)
Includes Typical Broker Commissions trade costs of $8.00
3/1/21 14:00 @HEJ1 LEAN HOGS LONG 1 87.550 4/14 9:30 103.675 0%
Trade id #134345671
Max drawdown$2
Time3/1/21 14:04
Quant open
Worst price85.125
Drawdown as % of equity0.00%
$6,442
Includes Typical Broker Commissions trade costs of $8.00
1/14/21 14:18 @SH1 SOYBEANS LONG 1 1430 1/4 3/29 9:48 1396 1/4 0.05%
Trade id #133383666
Max drawdown$136
Time1/14/21 20:00
Quant open
Worst price1298
Drawdown as % of equity0.05%
($1,708)
Includes Typical Broker Commissions trade costs of $8.00
3/19/21 5:08 QBZK1 Brent Crude Nymex Last Day LONG 1 64.30 3/19 6:03 63.97 0%
Trade id #134724593
Max drawdown$0
Time3/19/21 5:25
Quant open
Worst price64.03
Drawdown as % of equity0.00%
($338)
Includes Typical Broker Commissions trade costs of $8.00
3/19/21 5:04 QBZK1 Brent Crude Nymex Last Day LONG 1 64.37 3/19 5:08 64.29 0%
Trade id #134724563
Max drawdown$0
Time3/19/21 5:04
Quant open
Worst price64.27
Drawdown as % of equity0.00%
($88)
Includes Typical Broker Commissions trade costs of $8.00
1/22/21 14:01 @HEG1 LEAN HOGS LONG 1 70.000 2/12 11:23 73.975 0%
Trade id #133544327
Max drawdown$2
Time2/4/21 9:34
Quant open
Worst price70.800
Drawdown as % of equity0.00%
$1,582
Includes Typical Broker Commissions trade costs of $8.00
1/12/21 6:25 @SF1 SOYBEANS LONG 1 1384 1/14 14:17 1413 0.01%
Trade id #133321618
Max drawdown$27
Time1/12/21 20:31
Quant open
Worst price1410 3/4
Drawdown as % of equity0.01%
$1,442
Includes Typical Broker Commissions trade costs of $8.00
1/4/21 9:30 @HEG1 LEAN HOGS LONG 1 71.425 1/13 10:07 67.000 0%
Trade id #133153260
Max drawdown$4
Time1/4/21 10:02
Quant open
Worst price67.050
Drawdown as % of equity0.00%
($1,778)
Includes Typical Broker Commissions trade costs of $8.00
11/16/20 4:04 @SF1 SOYBEANS LONG 1 1150 2/4 1/12/21 6:25 1382 2/4 0.02%
Trade id #132269045
Max drawdown$57
Time11/22/20 20:00
Quant open
Worst price1142 2/4
Drawdown as % of equity0.02%
$11,592
Includes Typical Broker Commissions trade costs of $8.00
12/3/20 9:30 @HEZ0 LEAN HOGS LONG 1 66.400 12/14 9:00 64.650 0%
Trade id #132616062
Max drawdown$2
Time12/3/20 9:30
Quant open
Worst price64.275
Drawdown as % of equity0.00%
($708)
Includes Typical Broker Commissions trade costs of $8.00
9/16/20 12:42 @SX0 SOYBEANS LONG 1 1007 3/4 11/13 14:16 1143 3/4 0.02%
Trade id #131204154
Max drawdown$61
Time9/18/20 13:40
Quant open
Worst price985 3/4
Drawdown as % of equity0.02%
$6,792
Includes Typical Broker Commissions trade costs of $8.00
10/22/20 9:57 @HEZ0 LEAN HOGS LONG 1 67.950 11/11 9:30 64.000 0%
Trade id #131840573
Max drawdown$5
Time10/27/20 9:41
Quant open
Worst price64.100
Drawdown as % of equity0.00%
($1,588)
Includes Typical Broker Commissions trade costs of $8.00
10/22/20 9:55 @HEZ0 LEAN HOGS LONG 2 67.825 10/22 9:56 67.875 0%
Trade id #131840504
Max drawdown$0
Time10/22/20 9:55
Quant open
Worst price67.700
Drawdown as % of equity0.00%
$24
Includes Typical Broker Commissions trade costs of $16.00
9/28/20 12:17 @HEV0 LEAN HOGS LONG 2 72.700 10/14 12:59 78.425 0%
Trade id #131871077
Max drawdown$2
Time10/2/20 10:39
Quant open
Worst price74.000
Drawdown as % of equity0.00%
$4,564
Includes Typical Broker Commissions trade costs of $16.00
9/24/20 13:03 @HEV0 LEAN HOGS LONG 1 69.450 9/28 12:16 72.650 0%
Trade id #131346281
Max drawdown$1
Time9/25/20 10:06
Quant open
Worst price70.650
Drawdown as % of equity0.00%
$1,272
Includes Typical Broker Commissions trade costs of $8.00
9/3/20 7:35 @SU0 SOYBEANS LONG 1 969 3/4 9/14 11:50 1019 1/4 0%
Trade id #130962112
Max drawdown$5
Time9/8/20 9:37
Quant open
Worst price965
Drawdown as % of equity0.00%
$2,467
Includes Typical Broker Commissions trade costs of $8.00
9/3/20 7:32 USD/TRY USD/TRY LONG 1 7.43749 9/3 13:56 7.43857 0%
Trade id #130961911
Max drawdown$0
Time9/3/20 9:20
Quant open
Worst price7.41935
Drawdown as % of equity0.00%
$1

Statistics

  • Strategy began
    9/3/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    325
  • Age
    11 months ago
  • What it trades
    Futures
  • # Trades
    30
  • # Profitable
    18
  • % Profitable
    60.00%
  • Avg trade duration
    21.0 days
  • Max peak-to-valley drawdown
    4.36%
  • drawdown period
    June 08, 2021 - June 24, 2021
  • Cumul. Return
    14.8%
  • Avg win
    $3,645
  • Avg loss
    $2,069
  • Model Account Values (Raw)
  • Cash
    $288,301
  • Margin Used
    $5,603
  • Buying Power
    $285,173
  • Ratios
  • W:L ratio
    2.64:1
  • Sharpe Ratio
    1.58
  • Sortino Ratio
    2.43
  • Calmar Ratio
    5.267
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -12.93%
  • Correlation to SP500
    0.09520
  • Return Percent SP500 (cumu) during strategy life
    27.69%
  • Return Statistics
  • Ann Return (w trading costs)
    16.6%
  • Slump
  • Current Slump as Pcnt Equity
    1.80%
  • Instruments
  • Percent Trades Futures
    0.93%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.14%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.148%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.04%
  • Percent Trades Forex
    0.04%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    18.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    1.32%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    446
  • Popularity (Last 6 weeks)
    930
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    849
  • Popularity (7 days, Percentile 1000 scale)
    674
  • 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
    $2,070
  • Avg Win
    $3,645
  • Sum Trade PL (losers)
    $24,837.000
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $65,614.000
  • # Winners
    18
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    12
  • % Winners
    60.0%
  • Frequency
  • Avg Position Time (mins)
    30175.30
  • Avg Position Time (hrs)
    502.92
  • Avg Trade Length
    21.0 days
  • Last Trade Ago
    12
  • Leverage
  • Daily leverage (average)
    0.40
  • Daily leverage (max)
    0.90
  • Regression
  • Alpha
    0.04
  • Beta
    0.05
  • Treynor Index
    0.83
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -2.23
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -5.947
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.184
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.633
  • Hold-and-Hope Ratio
    -0.121
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14384
  • SD
    0.05990
  • Sharpe ratio (Glass type estimate)
    2.40114
  • Sharpe ratio (Hedges UMVUE)
    2.19434
  • df
    9.00000
  • t
    2.19193
  • p
    0.02804
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05987
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.75839
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.17997
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.56866
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.27203
  • Upside Potential Ratio
    7.37082
  • Upside part of mean
    0.16903
  • Downside part of mean
    -0.02520
  • Upside SD
    0.06654
  • Downside SD
    0.02293
  • N nonnegative terms
    8.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.25388
  • Mean of criterion
    0.14384
  • SD of predictor
    0.09625
  • SD of criterion
    0.05990
  • Covariance
    -0.00158
  • r
    -0.27435
  • b (slope, estimate of beta)
    -0.17075
  • a (intercept, estimate of alpha)
    0.18719
  • Mean Square Error
    0.00373
  • DF error
    8.00000
  • t(b)
    -0.80695
  • p(b)
    0.77849
  • t(a)
    2.18106
  • p(a)
    0.03038
  • Lowerbound of 95% confidence interval for beta
    -0.65870
  • Upperbound of 95% confidence interval for beta
    0.31720
  • Lowerbound of 95% confidence interval for alpha
    -0.01072
  • Upperbound of 95% confidence interval for alpha
    0.38510
  • Treynor index (mean / b)
    -0.84238
  • Jensen alpha (a)
    0.18719
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14108
  • SD
    0.05915
  • Sharpe ratio (Glass type estimate)
    2.38504
  • Sharpe ratio (Hedges UMVUE)
    2.17962
  • df
    9.00000
  • t
    2.17723
  • p
    0.02872
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07250
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.73915
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19179
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.55104
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.10146
  • Upside Potential Ratio
    7.20021
  • Upside part of mean
    0.16648
  • Downside part of mean
    -0.02541
  • Upside SD
    0.06537
  • Downside SD
    0.02312
  • N nonnegative terms
    8.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.24671
  • Mean of criterion
    0.14108
  • SD of predictor
    0.09341
  • SD of criterion
    0.05915
  • Covariance
    -0.00153
  • r
    -0.27653
  • b (slope, estimate of beta)
    -0.17512
  • a (intercept, estimate of alpha)
    0.18428
  • Mean Square Error
    0.00364
  • DF error
    8.00000
  • t(b)
    -0.81390
  • p(b)
    0.78037
  • t(a)
    2.17479
  • p(a)
    0.03068
  • Lowerbound of 95% confidence interval for beta
    -0.67130
  • Upperbound of 95% confidence interval for beta
    0.32105
  • Lowerbound of 95% confidence interval for alpha
    -0.01112
  • Upperbound of 95% confidence interval for alpha
    0.37969
  • Treynor index (mean / b)
    -0.80560
  • Jensen alpha (a)
    0.18428
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01620
  • Expected Shortfall on VaR
    0.02317
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00224
  • Expected Shortfall on VaR
    0.00612
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.98139
  • Quartile 1
    1.00510
  • Median
    1.01300
  • Quartile 3
    1.02555
  • Maximum
    1.04400
  • Mean of quarter 1
    0.99596
  • Mean of quarter 2
    1.00983
  • Mean of quarter 3
    1.01775
  • Mean of quarter 4
    1.03336
  • Inter Quartile Range
    0.02045
  • 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
    1.00000
  • Minimum
    0.01861
  • Quartile 1
    0.01861
  • Median
    0.01861
  • Quartile 3
    0.01861
  • Maximum
    0.01861
  • 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)
    0.18146
  • Compounded annual return (geometric extrapolation)
    0.18410
  • Calmar ratio (compounded annual return / max draw down)
    9.89454
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    7.94482
  • 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
    0.14703
  • SD
    0.07164
  • Sharpe ratio (Glass type estimate)
    2.05240
  • Sharpe ratio (Hedges UMVUE)
    2.04570
  • df
    230.00000
  • t
    1.92715
  • p
    0.02760
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04555
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.14595
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04999
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.14139
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.19591
  • Upside Potential Ratio
    10.95720
  • Upside part of mean
    0.50410
  • Downside part of mean
    -0.35707
  • Upside SD
    0.05546
  • Downside SD
    0.04601
  • N nonnegative terms
    126.00000
  • N negative terms
    105.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    231.00000
  • Mean of predictor
    0.26096
  • Mean of criterion
    0.14703
  • SD of predictor
    0.15167
  • SD of criterion
    0.07164
  • Covariance
    0.00110
  • r
    0.10124
  • b (slope, estimate of beta)
    0.04782
  • a (intercept, estimate of alpha)
    0.13500
  • Mean Square Error
    0.00510
  • DF error
    229.00000
  • t(b)
    1.53987
  • p(b)
    0.06249
  • t(a)
    1.75890
  • p(a)
    0.03996
  • Lowerbound of 95% confidence interval for beta
    -0.01337
  • Upperbound of 95% confidence interval for beta
    0.10900
  • Lowerbound of 95% confidence interval for alpha
    -0.01618
  • Upperbound of 95% confidence interval for alpha
    0.28529
  • Treynor index (mean / b)
    3.07497
  • Jensen alpha (a)
    0.13456
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14442
  • SD
    0.07161
  • Sharpe ratio (Glass type estimate)
    2.01674
  • Sharpe ratio (Hedges UMVUE)
    2.01016
  • df
    230.00000
  • t
    1.89368
  • p
    0.02976
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08085
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.11007
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08525
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.10556
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.12596
  • Upside Potential Ratio
    10.87670
  • Upside part of mean
    0.50252
  • Downside part of mean
    -0.35810
  • Upside SD
    0.05524
  • Downside SD
    0.04620
  • N nonnegative terms
    126.00000
  • N negative terms
    105.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    231.00000
  • Mean of predictor
    0.24934
  • Mean of criterion
    0.14442
  • SD of predictor
    0.15188
  • SD of criterion
    0.07161
  • Covariance
    0.00111
  • r
    0.10218
  • b (slope, estimate of beta)
    0.04818
  • a (intercept, estimate of alpha)
    0.13241
  • Mean Square Error
    0.00510
  • DF error
    229.00000
  • t(b)
    1.55436
  • p(b)
    0.06074
  • t(a)
    1.73257
  • p(a)
    0.04226
  • Lowerbound of 95% confidence interval for beta
    -0.01289
  • Upperbound of 95% confidence interval for beta
    0.10925
  • Lowerbound of 95% confidence interval for alpha
    -0.01817
  • Upperbound of 95% confidence interval for alpha
    0.28299
  • Treynor index (mean / b)
    2.99766
  • Jensen alpha (a)
    0.13241
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00670
  • Expected Shortfall on VaR
    0.00854
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00295
  • Expected Shortfall on VaR
    0.00590
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    231.00000
  • Minimum
    0.98499
  • Quartile 1
    0.99833
  • Median
    1.00052
  • Quartile 3
    1.00330
  • Maximum
    1.01326
  • Mean of quarter 1
    0.99534
  • Mean of quarter 2
    0.99948
  • Mean of quarter 3
    1.00165
  • Mean of quarter 4
    1.00621
  • Inter Quartile Range
    0.00497
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.02165
  • Mean of outliers low
    0.98796
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.01732
  • Mean of outliers high
    1.01220
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.05342
  • VaR(95%) (moments method)
    0.00414
  • Expected Shortfall (moments method)
    0.00583
  • Extreme Value Index (regression method)
    0.11709
  • VaR(95%) (regression method)
    0.00445
  • Expected Shortfall (regression method)
    0.00658
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00182
  • Median
    0.00401
  • Quartile 3
    0.00712
  • Maximum
    0.03571
  • Mean of quarter 1
    0.00103
  • Mean of quarter 2
    0.00296
  • Mean of quarter 3
    0.00569
  • Mean of quarter 4
    0.02057
  • Inter Quartile Range
    0.00530
  • 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
    0.12500
  • Mean of outliers high
    0.03141
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.20314
  • VaR(95%) (moments method)
    0.02062
  • Expected Shortfall (moments method)
    0.03278
  • Extreme Value Index (regression method)
    -0.06025
  • VaR(95%) (regression method)
    0.02073
  • Expected Shortfall (regression method)
    0.02768
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.18611
  • Compounded annual return (geometric extrapolation)
    0.18807
  • Calmar ratio (compounded annual return / max draw down)
    5.26691
  • Compounded annual return / average of 25% largest draw downs
    9.14204
  • Compounded annual return / Expected Shortfall lognormal
    22.03090
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12218
  • SD
    0.08220
  • Sharpe ratio (Glass type estimate)
    1.48644
  • Sharpe ratio (Hedges UMVUE)
    1.47784
  • df
    130.00000
  • t
    1.05107
  • p
    0.45410
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.29404
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.26134
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.29978
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.25546
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.20454
  • Upside Potential Ratio
    10.25190
  • Upside part of mean
    0.56820
  • Downside part of mean
    -0.44601
  • Upside SD
    0.06075
  • Downside SD
    0.05542
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25225
  • Mean of criterion
    0.12218
  • SD of predictor
    0.13609
  • SD of criterion
    0.08220
  • Covariance
    0.00089
  • r
    0.07987
  • b (slope, estimate of beta)
    0.04825
  • a (intercept, estimate of alpha)
    0.11001
  • Mean Square Error
    0.00677
  • DF error
    129.00000
  • t(b)
    0.91009
  • p(b)
    0.44921
  • t(a)
    0.93956
  • p(a)
    0.44758
  • Lowerbound of 95% confidence interval for beta
    -0.05664
  • Upperbound of 95% confidence interval for beta
    0.15313
  • Lowerbound of 95% confidence interval for alpha
    -0.12165
  • Upperbound of 95% confidence interval for alpha
    0.34168
  • Treynor index (mean / b)
    2.53255
  • Jensen alpha (a)
    0.11001
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11879
  • SD
    0.08220
  • Sharpe ratio (Glass type estimate)
    1.44508
  • Sharpe ratio (Hedges UMVUE)
    1.43673
  • df
    130.00000
  • t
    1.02183
  • p
    0.45537
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.33495
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.21979
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.34057
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.21403
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.13337
  • Upside Potential Ratio
    10.17020
  • Upside part of mean
    0.56630
  • Downside part of mean
    -0.44751
  • Upside SD
    0.06049
  • Downside SD
    0.05568
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24291
  • Mean of criterion
    0.11879
  • SD of predictor
    0.13618
  • SD of criterion
    0.08220
  • Covariance
    0.00091
  • r
    0.08123
  • b (slope, estimate of beta)
    0.04903
  • a (intercept, estimate of alpha)
    0.10688
  • Mean Square Error
    0.00676
  • DF error
    129.00000
  • t(b)
    0.92564
  • p(b)
    0.44834
  • t(a)
    0.91329
  • p(a)
    0.44903
  • VAR (95 Confidence Intrvl)
    0.00700
  • Lowerbound of 95% confidence interval for beta
    -0.05577
  • Upperbound of 95% confidence interval for beta
    0.15384
  • Lowerbound of 95% confidence interval for alpha
    -0.12466
  • Upperbound of 95% confidence interval for alpha
    0.33842
  • Treynor index (mean / b)
    2.42265
  • Jensen alpha (a)
    0.10688
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00787
  • Expected Shortfall on VaR
    0.00997
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00372
  • Expected Shortfall on VaR
    0.00730
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98499
  • Quartile 1
    0.99763
  • Median
    1.00046
  • Quartile 3
    1.00358
  • Maximum
    1.01326
  • Mean of quarter 1
    0.99429
  • Mean of quarter 2
    0.99920
  • Mean of quarter 3
    1.00209
  • Mean of quarter 4
    1.00675
  • Inter Quartile Range
    0.00595
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.98620
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.01298
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.25497
  • VaR(95%) (moments method)
    0.00585
  • Expected Shortfall (moments method)
    0.00942
  • Extreme Value Index (regression method)
    0.19366
  • VaR(95%) (regression method)
    0.00536
  • Expected Shortfall (regression method)
    0.00803
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00170
  • Quartile 1
    0.00292
  • Median
    0.00576
  • Quartile 3
    0.00711
  • Maximum
    0.03571
  • Mean of quarter 1
    0.00241
  • Mean of quarter 2
    0.00443
  • Mean of quarter 3
    0.00650
  • Mean of quarter 4
    0.02034
  • Inter Quartile Range
    0.00420
  • 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
    0.03303
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.33885
  • VaR(95%) (moments method)
    0.01989
  • Expected Shortfall (moments method)
    0.03777
  • Extreme Value Index (regression method)
    0.41104
  • VaR(95%) (regression method)
    0.01985
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.03845
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -411715000
  • Max Equity Drawdown (num days)
    16
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15221
  • Compounded annual return (geometric extrapolation)
    0.15800
  • Calmar ratio (compounded annual return / max draw down)
    4.42489
  • Compounded annual return / average of 25% largest draw downs
    7.76825
  • Compounded annual return / Expected Shortfall lognormal
    15.84730

Strategy Description

Summary Statistics

Strategy began
2020-09-03
Suggested Minimum Capital
$100,000
Rank at C2 
#113
# Trades
30
# Profitable
18
% Profitable
60.0%
Correlation S&P500
0.095
Sharpe Ratio
1.58
Sortino Ratio
2.43
Beta
0.05
Alpha
0.04
Leverage
0.40 Average
0.90 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.