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

ares
(131145247)

Created by: ReneStellmann ReneStellmann
Started: 09/2020
Futures
Last trade: 4 days ago
Trading style: Futures Trend-following Short Term

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 $100.00 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.
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
52.1%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

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

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

All results are hypothetical.

(14.1%)
Max Drawdown
260
Num Trades
37.7%
Win Trades
1.8 : 1
Profit Factor
69.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                        (1.2%)+16.3%(1.7%)+0.3%+13.3%
2021(4.8%)(2.9%)+4.0%+1.4%+1.3%+8.4%+0.3%+10.6%+0.8%(2.6%)(3.9%)+5.0%+17.8%
2022+6.7%+5.4%+8.3%+14.0%+13.2%+2.2%  -                                +60.6%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 91 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
6/30/22 9:40 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 12 11465.10 6/30 10:53 11465.32 0.21%
Trade id #140916268
Max drawdown($225)
Time6/30/22 10:53
Quant open12
Worst price11474.50
Drawdown as % of equity-0.21%
($16)
Includes Typical Broker Commissions trade costs of $11.28
6/28/22 10:38 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 10 11985.01 6/28 11:41 11824.00 0.08%
Trade id #140887449
Max drawdown($79)
Time6/28/22 10:44
Quant open10
Worst price11989.00
Drawdown as % of equity-0.08%
$3,211
Includes Typical Broker Commissions trade costs of $9.40
6/27/22 9:38 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 7 12095.80 6/27 16:14 12069.43 0.76%
Trade id #140870359
Max drawdown($783)
Time6/27/22 11:46
Quant open7
Worst price12151.80
Drawdown as % of equity-0.76%
$362
Includes Typical Broker Commissions trade costs of $6.58
6/24/22 9:32 @MNQU2 MICRO E-MINI NASDAQ 100 LONG 10 11905.36 6/24 16:14 12112.85 0.25%
Trade id #140852220
Max drawdown($247)
Time6/24/22 9:38
Quant open10
Worst price11893.00
Drawdown as % of equity-0.25%
$4,141
Includes Typical Broker Commissions trade costs of $9.40
6/23/22 9:40 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 7 11579.20 6/23 9:58 11638.52 1%
Trade id #140840350
Max drawdown($1,005)
Time6/23/22 9:58
Quant open7
Worst price11651.00
Drawdown as % of equity-1.00%
($838)
Includes Typical Broker Commissions trade costs of $6.58
6/21/22 9:35 @MNQU2 MICRO E-MINI NASDAQ 100 LONG 8 11550.20 6/21 16:14 11580.77 n/a $481
Includes Typical Broker Commissions trade costs of $7.52
6/15/22 12:02 @MNQU2 MICRO E-MINI NASDAQ 100 LONG 10 11543.36 6/15 12:56 11498.32 0.92%
Trade id #140774433
Max drawdown($927)
Time6/15/22 12:56
Quant open10
Worst price11497.00
Drawdown as % of equity-0.92%
($910)
Includes Typical Broker Commissions trade costs of $9.40
6/15/22 10:02 @MNQU2 MICRO E-MINI NASDAQ 100 LONG 10 11543.98 6/15 10:31 11495.12 1.09%
Trade id #140771984
Max drawdown($1,109)
Time6/15/22 10:31
Quant open10
Worst price11488.50
Drawdown as % of equity-1.09%
($986)
Includes Typical Broker Commissions trade costs of $9.40
6/15/22 9:42 @MNQU2 MICRO E-MINI NASDAQ 100 LONG 10 11545.00 6/15 9:54 11498.16 0.95%
Trade id #140771640
Max drawdown($975)
Time6/15/22 9:54
Quant open10
Worst price11496.20
Drawdown as % of equity-0.95%
($946)
Includes Typical Broker Commissions trade costs of $9.40
6/10/22 10:06 @MNQM2 MICRO E-MINI NASDAQ 100 SHORT 5 11916.50 6/10 16:15 11867.96 0.56%
Trade id #140732344
Max drawdown($575)
Time6/10/22 15:28
Quant open5
Worst price11974.00
Drawdown as % of equity-0.56%
$480
Includes Typical Broker Commissions trade costs of $4.70
6/6/22 10:32 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 10 12801.68 6/6 11:08 12749.29 1.03%
Trade id #140687170
Max drawdown($1,058)
Time6/6/22 11:08
Quant open10
Worst price12748.80
Drawdown as % of equity-1.03%
($1,057)
Includes Typical Broker Commissions trade costs of $9.40
6/6/22 10:06 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 10 12801.35 6/6 10:16 12756.01 0.97%
Trade id #140686482
Max drawdown($1,007)
Time6/6/22 10:16
Quant open10
Worst price12751.00
Drawdown as % of equity-0.97%
($916)
Includes Typical Broker Commissions trade costs of $9.40
6/1/22 9:36 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 8 12808.33 6/1 10:00 12773.54 1.11%
Trade id #140646692
Max drawdown($1,161)
Time6/1/22 10:00
Quant open8
Worst price12735.80
Drawdown as % of equity-1.11%
($565)
Includes Typical Broker Commissions trade costs of $7.52
5/27/22 9:55 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 5 12518.14 5/27 16:14 12693.70 0.15%
Trade id #140615297
Max drawdown($151)
Time5/27/22 10:00
Quant open5
Worst price12503.00
Drawdown as % of equity-0.15%
$1,751
Includes Typical Broker Commissions trade costs of $4.70
5/24/22 9:49 @MNQM2 MICRO E-MINI NASDAQ 100 SHORT 8 11727.00 5/24 11:48 11726.30 0.43%
Trade id #140577702
Max drawdown($440)
Time5/24/22 9:52
Quant open8
Worst price11754.50
Drawdown as % of equity-0.43%
$3
Includes Typical Broker Commissions trade costs of $7.52
5/20/22 10:15 @MNQM2 MICRO E-MINI NASDAQ 100 SHORT 8 11915.20 5/20 12:42 11564.80 0.63%
Trade id #140544229
Max drawdown($612)
Time5/20/22 10:29
Quant open8
Worst price11953.50
Drawdown as % of equity-0.63%
$5,598
Includes Typical Broker Commissions trade costs of $7.52
5/18/22 10:40 @MNQM2 MICRO E-MINI NASDAQ 100 SHORT 9 12271.07 5/18 13:26 12015.50 0.9%
Trade id #140517790
Max drawdown($831)
Time5/18/22 10:48
Quant open9
Worst price12317.20
Drawdown as % of equity-0.90%
$4,592
Includes Typical Broker Commissions trade costs of $8.46
5/17/22 10:13 @MNQM2 MICRO E-MINI NASDAQ 100 SHORT 10 12429.20 5/17 11:28 12429.71 0.82%
Trade id #140501351
Max drawdown($761)
Time5/17/22 10:25
Quant open10
Worst price12467.20
Drawdown as % of equity-0.82%
($19)
Includes Typical Broker Commissions trade costs of $9.40
5/13/22 9:52 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 5 12245.30 5/13 14:04 12236.29 0.16%
Trade id #140465783
Max drawdown($148)
Time5/13/22 14:04
Quant open5
Worst price12230.50
Drawdown as % of equity-0.16%
($95)
Includes Typical Broker Commissions trade costs of $4.70
5/10/22 10:44 @MNQM2 MICRO E-MINI NASDAQ 100 SHORT 5 12353.20 5/10 13:30 12361.34 0.18%
Trade id #140426773
Max drawdown($168)
Time5/10/22 13:30
Quant open5
Worst price12370.00
Drawdown as % of equity-0.18%
($86)
Includes Typical Broker Commissions trade costs of $4.70
5/10/22 9:47 @MNQM2 MICRO E-MINI NASDAQ 100 SHORT 5 12383.80 5/10 10:01 12465.08 0.91%
Trade id #140425434
Max drawdown($849)
Time5/10/22 10:01
Quant open5
Worst price12468.80
Drawdown as % of equity-0.91%
($818)
Includes Typical Broker Commissions trade costs of $4.70
5/5/22 10:09 @MNQM2 MICRO E-MINI NASDAQ 100 SHORT 2 13102.56 5/5 15:06 12757.50 0.02%
Trade id #140378833
Max drawdown($14)
Time5/5/22 10:14
Quant open2
Worst price13106.20
Drawdown as % of equity-0.02%
$1,378
Includes Typical Broker Commissions trade costs of $1.88
5/4/22 9:56 @MNQM2 MICRO E-MINI NASDAQ 100 SHORT 9 13050.17 5/4 12:27 13048.92 0.09%
Trade id #140361690
Max drawdown($82)
Time5/4/22 12:27
Quant open9
Worst price13054.80
Drawdown as % of equity-0.09%
$14
Includes Typical Broker Commissions trade costs of $8.46
4/28/22 9:52 @MNQM2 MICRO E-MINI NASDAQ 100 SHORT 6 13123.50 4/28 11:11 13187.86 0.88%
Trade id #140297401
Max drawdown($828)
Time4/28/22 11:11
Quant open6
Worst price13192.50
Drawdown as % of equity-0.88%
($778)
Includes Typical Broker Commissions trade costs of $5.64
4/27/22 12:22 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 3 13183.16 4/27 14:56 13058.12 0.84%
Trade id #140286348
Max drawdown($791)
Time4/27/22 14:56
Quant open3
Worst price13051.20
Drawdown as % of equity-0.84%
($753)
Includes Typical Broker Commissions trade costs of $2.82
4/27/22 9:43 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 3 13186.15 4/27 10:11 13048.19 0.94%
Trade id #140280714
Max drawdown($888)
Time4/27/22 10:11
Quant open3
Worst price13038.00
Drawdown as % of equity-0.94%
($831)
Includes Typical Broker Commissions trade costs of $2.82
4/26/22 9:40 @MNQM2 MICRO E-MINI NASDAQ 100 SHORT 6 13355.20 4/26 16:09 12837.59 n/a $6,205
Includes Typical Broker Commissions trade costs of $5.64
4/21/22 10:59 @MNQM2 MICRO E-MINI NASDAQ 100 SHORT 6 14099.80 4/21 14:00 13847.20 0.35%
Trade id #140213205
Max drawdown($302)
Time4/21/22 11:27
Quant open6
Worst price14125.00
Drawdown as % of equity-0.35%
$3,025
Includes Typical Broker Commissions trade costs of $5.64
4/21/22 9:33 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 6 14252.25 4/21 10:05 14190.45 0.88%
Trade id #140210737
Max drawdown($759)
Time4/21/22 10:05
Quant open6
Worst price14189.00
Drawdown as % of equity-0.88%
($748)
Includes Typical Broker Commissions trade costs of $5.64
4/20/22 9:50 @MNQM2 MICRO E-MINI NASDAQ 100 SHORT 4 14126.80 4/20 16:14 14063.38 0.2%
Trade id #140195757
Max drawdown($175)
Time4/20/22 10:52
Quant open4
Worst price14148.80
Drawdown as % of equity-0.20%
$503
Includes Typical Broker Commissions trade costs of $3.76

Statistics

  • Strategy began
    9/12/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    659.47
  • Age
    22 months ago
  • What it trades
    Futures
  • # Trades
    260
  • # Profitable
    98
  • % Profitable
    37.70%
  • Avg trade duration
    2.4 hours
  • Max peak-to-valley drawdown
    14.1%
  • drawdown period
    Oct 05, 2021 - Nov 26, 2021
  • Annual Return (Compounded)
    52.1%
  • Avg win
    $1,424
  • Avg loss
    $479.91
  • Model Account Values (Raw)
  • Cash
    $111,870
  • Margin Used
    $0
  • Buying Power
    $111,870
  • Ratios
  • W:L ratio
    1.80:1
  • Sharpe Ratio
    2
  • Sortino Ratio
    3.93
  • Calmar Ratio
    6.883
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    99.70%
  • Correlation to SP500
    -0.03320
  • Return Percent SP500 (cumu) during strategy life
    14.50%
  • Return Statistics
  • Ann Return (w trading costs)
    52.1%
  • Slump
  • Current Slump as Pcnt Equity
    2.40%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.521%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    56.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    2.50%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    936
  • Popularity (Last 6 weeks)
    995
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    997
  • Popularity (7 days, Percentile 1000 scale)
    995
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $480
  • Avg Win
    $1,424
  • Sum Trade PL (losers)
    $77,745.000
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $139,600.000
  • # Winners
    98
  • Num Months Winners
    16
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    4133140
  • Win / Loss
  • # Losers
    162
  • % Winners
    37.7%
  • Frequency
  • Avg Position Time (mins)
    145.73
  • Avg Position Time (hrs)
    2.43
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    3.16
  • Daily leverage (max)
    10.17
  • Regression
  • Alpha
    0.12
  • Beta
    -0.03
  • Treynor Index
    -3.47
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.39
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    8.404
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.198
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.183
  • Hold-and-Hope Ratio
    0.119
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53480
  • SD
    0.18120
  • Sharpe ratio (Glass type estimate)
    2.95147
  • Sharpe ratio (Hedges UMVUE)
    2.81055
  • df
    16.00000
  • t
    3.51296
  • p
    0.17006
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.98421
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.85215
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.89747
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.72363
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.58970
  • Upside Potential Ratio
    10.77770
  • Upside part of mean
    0.60106
  • Downside part of mean
    -0.06625
  • Upside SD
    0.22721
  • Downside SD
    0.05577
  • N nonnegative terms
    15.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.10494
  • Mean of criterion
    0.53480
  • SD of predictor
    0.15111
  • SD of criterion
    0.18120
  • Covariance
    -0.01128
  • r
    -0.41214
  • b (slope, estimate of beta)
    -0.49422
  • a (intercept, estimate of alpha)
    0.58667
  • Mean Square Error
    0.02907
  • DF error
    15.00000
  • t(b)
    -1.75193
  • p(b)
    0.75475
  • t(a)
    4.01052
  • p(a)
    0.08539
  • Lowerbound of 95% confidence interval for beta
    -1.09550
  • Upperbound of 95% confidence interval for beta
    0.10706
  • Lowerbound of 95% confidence interval for alpha
    0.27487
  • Upperbound of 95% confidence interval for alpha
    0.89846
  • Treynor index (mean / b)
    -1.08212
  • Jensen alpha (a)
    0.58667
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.50786
  • SD
    0.17389
  • Sharpe ratio (Glass type estimate)
    2.92057
  • Sharpe ratio (Hedges UMVUE)
    2.78113
  • df
    16.00000
  • t
    3.47618
  • p
    0.17202
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.95902
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.81585
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.87322
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.68904
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.91222
  • Upside Potential Ratio
    10.10020
  • Upside part of mean
    0.57556
  • Downside part of mean
    -0.06770
  • Upside SD
    0.21611
  • Downside SD
    0.05698
  • N nonnegative terms
    15.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.09338
  • Mean of criterion
    0.50786
  • SD of predictor
    0.15329
  • SD of criterion
    0.17389
  • Covariance
    -0.01083
  • r
    -0.40648
  • b (slope, estimate of beta)
    -0.46110
  • a (intercept, estimate of alpha)
    0.55091
  • Mean Square Error
    0.02692
  • DF error
    15.00000
  • t(b)
    -1.72304
  • p(b)
    0.75146
  • t(a)
    3.93210
  • p(a)
    0.08845
  • Lowerbound of 95% confidence interval for beta
    -1.03150
  • Upperbound of 95% confidence interval for beta
    0.10929
  • Lowerbound of 95% confidence interval for alpha
    0.25228
  • Upperbound of 95% confidence interval for alpha
    0.84954
  • Treynor index (mean / b)
    -1.10140
  • Jensen alpha (a)
    0.55091
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03945
  • Expected Shortfall on VaR
    0.05922
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00324
  • Expected Shortfall on VaR
    0.01124
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.95463
  • Quartile 1
    1.01007
  • Median
    1.04813
  • Quartile 3
    1.08457
  • Maximum
    1.13802
  • Mean of quarter 1
    0.98730
  • Mean of quarter 2
    1.03641
  • Mean of quarter 3
    1.06448
  • Mean of quarter 4
    1.11429
  • Inter Quartile Range
    0.07450
  • 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)
    -6.02276
  • VaR(95%) (regression method)
    0.18368
  • Expected Shortfall (regression method)
    0.18379
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.04384
  • Quartile 1
    0.04422
  • Median
    0.04460
  • Quartile 3
    0.04498
  • Maximum
    0.04537
  • Mean of quarter 1
    0.04384
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04537
  • Inter Quartile Range
    0.00076
  • 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)
    0.80198
  • Compounded annual return (geometric extrapolation)
    0.70876
  • Calmar ratio (compounded annual return / max draw down)
    15.62310
  • Compounded annual return / average of 25% largest draw downs
    15.62310
  • Compounded annual return / Expected Shortfall lognormal
    11.96750
  • 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
    0.53332
  • SD
    0.18482
  • Sharpe ratio (Glass type estimate)
    2.88566
  • Sharpe ratio (Hedges UMVUE)
    2.88006
  • df
    387.00000
  • t
    3.51164
  • p
    0.00025
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.26049
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.50721
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.25675
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.50337
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.77233
  • Upside Potential Ratio
    13.47720
  • Upside part of mean
    1.24518
  • Downside part of mean
    -0.71187
  • Upside SD
    0.16315
  • Downside SD
    0.09239
  • N nonnegative terms
    144.00000
  • N negative terms
    244.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    388.00000
  • Mean of predictor
    0.07407
  • Mean of criterion
    0.53332
  • SD of predictor
    0.19520
  • SD of criterion
    0.18482
  • Covariance
    -0.00120
  • r
    -0.03317
  • b (slope, estimate of beta)
    -0.03141
  • a (intercept, estimate of alpha)
    0.53600
  • Mean Square Error
    0.03421
  • DF error
    386.00000
  • t(b)
    -0.65210
  • p(b)
    0.74264
  • t(a)
    3.52337
  • p(a)
    0.00024
  • Lowerbound of 95% confidence interval for beta
    -0.12610
  • Upperbound of 95% confidence interval for beta
    0.06329
  • Lowerbound of 95% confidence interval for alpha
    0.23674
  • Upperbound of 95% confidence interval for alpha
    0.83454
  • Treynor index (mean / b)
    -16.98030
  • Jensen alpha (a)
    0.53564
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51589
  • SD
    0.18335
  • Sharpe ratio (Glass type estimate)
    2.81375
  • Sharpe ratio (Hedges UMVUE)
    2.80829
  • df
    387.00000
  • t
    3.42413
  • p
    0.00034
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.18925
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.43472
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.18561
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.43098
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.53818
  • Upside Potential Ratio
    13.22570
  • Upside part of mean
    1.23199
  • Downside part of mean
    -0.71610
  • Upside SD
    0.16083
  • Downside SD
    0.09315
  • N nonnegative terms
    144.00000
  • N negative terms
    244.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    388.00000
  • Mean of predictor
    0.05496
  • Mean of criterion
    0.51589
  • SD of predictor
    0.19588
  • SD of criterion
    0.18335
  • Covariance
    -0.00123
  • r
    -0.03434
  • b (slope, estimate of beta)
    -0.03214
  • a (intercept, estimate of alpha)
    0.51765
  • Mean Square Error
    0.03366
  • DF error
    386.00000
  • t(b)
    -0.67501
  • p(b)
    0.74996
  • t(a)
    3.43292
  • p(a)
    0.00033
  • Lowerbound of 95% confidence interval for beta
    -0.12575
  • Upperbound of 95% confidence interval for beta
    0.06148
  • Lowerbound of 95% confidence interval for alpha
    0.22118
  • Upperbound of 95% confidence interval for alpha
    0.81413
  • Treynor index (mean / b)
    -16.05140
  • Jensen alpha (a)
    0.51765
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01652
  • Expected Shortfall on VaR
    0.02116
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00719
  • Expected Shortfall on VaR
    0.01384
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    388.00000
  • Minimum
    0.97036
  • Quartile 1
    0.99634
  • Median
    1.00000
  • Quartile 3
    1.00619
  • Maximum
    1.05674
  • Mean of quarter 1
    0.99034
  • Mean of quarter 2
    0.99906
  • Mean of quarter 3
    1.00170
  • Mean of quarter 4
    1.01747
  • Inter Quartile Range
    0.00985
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.02062
  • Mean of outliers low
    0.97585
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.06959
  • Mean of outliers high
    1.03051
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14927
  • VaR(95%) (moments method)
    0.00921
  • Expected Shortfall (moments method)
    0.01372
  • Extreme Value Index (regression method)
    0.01789
  • VaR(95%) (regression method)
    0.00956
  • Expected Shortfall (regression method)
    0.01329
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00260
  • Quartile 1
    0.00873
  • Median
    0.01328
  • Quartile 3
    0.03477
  • Maximum
    0.10497
  • Mean of quarter 1
    0.00562
  • Mean of quarter 2
    0.01096
  • Mean of quarter 3
    0.02589
  • Mean of quarter 4
    0.06656
  • Inter Quartile Range
    0.02604
  • 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
    0.08696
  • Mean of outliers high
    0.10385
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.28781
  • VaR(95%) (moments method)
    0.07184
  • Expected Shortfall (moments method)
    0.08640
  • Extreme Value Index (regression method)
    -1.32485
  • VaR(95%) (regression method)
    0.07269
  • Expected Shortfall (regression method)
    0.07539
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.83556
  • Compounded annual return (geometric extrapolation)
    0.72253
  • Calmar ratio (compounded annual return / max draw down)
    6.88302
  • Compounded annual return / average of 25% largest draw downs
    10.85590
  • Compounded annual return / Expected Shortfall lognormal
    34.14670
  • 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
    0.95286
  • SD
    0.17801
  • Sharpe ratio (Glass type estimate)
    5.35289
  • Sharpe ratio (Hedges UMVUE)
    5.32195
  • df
    130.00000
  • t
    3.78507
  • p
    0.34247
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.49620
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.19013
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.47566
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.16824
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.06770
  • Upside Potential Ratio
    21.93790
  • Upside part of mean
    1.48593
  • Downside part of mean
    -0.53308
  • Upside SD
    0.17413
  • Downside SD
    0.06773
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.44753
  • Mean of criterion
    0.95286
  • SD of predictor
    0.24645
  • SD of criterion
    0.17801
  • Covariance
    -0.00157
  • r
    -0.03572
  • b (slope, estimate of beta)
    -0.02580
  • a (intercept, estimate of alpha)
    0.94131
  • Mean Square Error
    0.03189
  • DF error
    129.00000
  • t(b)
    -0.40602
  • p(b)
    0.52274
  • t(a)
    3.70375
  • p(a)
    0.30584
  • Lowerbound of 95% confidence interval for beta
    -0.15154
  • Upperbound of 95% confidence interval for beta
    0.09994
  • Lowerbound of 95% confidence interval for alpha
    0.43847
  • Upperbound of 95% confidence interval for alpha
    1.44415
  • Treynor index (mean / b)
    -36.92760
  • Jensen alpha (a)
    0.94131
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.93554
  • SD
    0.17637
  • Sharpe ratio (Glass type estimate)
    5.30449
  • Sharpe ratio (Hedges UMVUE)
    5.27383
  • df
    130.00000
  • t
    3.75084
  • p
    0.34375
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.44914
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.14051
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42886
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.11879
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.74180
  • Upside Potential Ratio
    21.60520
  • Upside part of mean
    1.47086
  • Downside part of mean
    -0.53533
  • Upside SD
    0.17197
  • Downside SD
    0.06808
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.47818
  • Mean of criterion
    0.93554
  • SD of predictor
    0.24734
  • SD of criterion
    0.17637
  • Covariance
    -0.00156
  • r
    -0.03566
  • b (slope, estimate of beta)
    -0.02543
  • a (intercept, estimate of alpha)
    0.92337
  • Mean Square Error
    0.03131
  • DF error
    129.00000
  • t(b)
    -0.40530
  • p(b)
    0.52270
  • t(a)
    3.66393
  • p(a)
    0.30767
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    -0.14956
  • Upperbound of 95% confidence interval for beta
    0.09871
  • Lowerbound of 95% confidence interval for alpha
    0.42475
  • Upperbound of 95% confidence interval for alpha
    1.42200
  • Treynor index (mean / b)
    -36.78990
  • Jensen alpha (a)
    0.92337
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01425
  • Expected Shortfall on VaR
    0.01872
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00526
  • Expected Shortfall on VaR
    0.01006
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98416
  • Quartile 1
    0.99713
  • Median
    1.00000
  • Quartile 3
    1.00976
  • Maximum
    1.03892
  • Mean of quarter 1
    0.99256
  • Mean of quarter 2
    0.99961
  • Mean of quarter 3
    1.00330
  • Mean of quarter 4
    1.01948
  • Inter Quartile Range
    0.01264
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.03580
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.16022
  • VaR(95%) (moments method)
    0.00715
  • Expected Shortfall (moments method)
    0.00904
  • Extreme Value Index (regression method)
    -0.05649
  • VaR(95%) (regression method)
    0.00747
  • Expected Shortfall (regression method)
    0.00987
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00511
  • Quartile 1
    0.00772
  • Median
    0.01133
  • Quartile 3
    0.02265
  • Maximum
    0.05390
  • Mean of quarter 1
    0.00658
  • Mean of quarter 2
    0.00999
  • Mean of quarter 3
    0.01280
  • Mean of quarter 4
    0.04340
  • Inter Quartile Range
    0.01493
  • 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
    0.09091
  • Mean of outliers high
    0.05390
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -8.33921
  • VaR(95%) (moments method)
    0.04717
  • Expected Shortfall (moments method)
    0.04717
  • Extreme Value Index (regression method)
    -1.35229
  • VaR(95%) (regression method)
    0.05986
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.06191
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -301437000
  • Max Equity Drawdown (num days)
    52
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.23772
  • Compounded annual return (geometric extrapolation)
    1.62070
  • Calmar ratio (compounded annual return / max draw down)
    30.06910
  • Compounded annual return / average of 25% largest draw downs
    37.34620
  • Compounded annual return / Expected Shortfall lognormal
    86.58090

Strategy Description

System ares trades MNQ Future long and short. Risk per trade is 1% of equity. No overnight. Always with stop.

The system is backtested and is 100% automated.

For deeper information of the backtest results you can pm me.

Summary Statistics

Strategy began
2020-09-12
Suggested Minimum Capital
$100,000
Rank at C2 %
Top 0.3%
Rank # 
#2
# Trades
260
# Profitable
98
% Profitable
37.7%
Correlation S&P500
-0.033
Sharpe Ratio
2.00
Sortino Ratio
3.93
Beta
-0.03
Alpha
0.12
Leverage
3.16 Average
10.17 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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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.