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

tqqqnqq
(134255352)

Created by: PeterAlexander2 PeterAlexander2
Started: 02/2021
Futures
Last trade: 2 days ago

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.

19.2%
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.

(4.9%)
Max Drawdown
264
Num Trades
53.8%
Win Trades
1.7 : 1
Profit Factor
83.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021       +0.1%+4.1%+6.6%+6.2%(0.8%)+1.8%                              +19.2%

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 43 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
7/23/21 10:53 @ESU1 E-MINI S&P 500 LONG 1 4387.50 7/23 11:34 4396.25 0.03%
Trade id #136651614
Max drawdown($12)
Time7/23/21 10:59
Quant open1
Worst price4387.25
Drawdown as % of equity-0.03%
$430
Includes Typical Broker Commissions trade costs of $8.00
7/23/21 9:57 @MESU1 MICRO E-MINI S&P 500 SHORT 4 4375.88 7/23 10:52 4387.50 0.49%
Trade id #136649726
Max drawdown($232)
Time7/23/21 10:52
Quant open4
Worst price4387.50
Drawdown as % of equity-0.49%
($237)
Includes Typical Broker Commissions trade costs of $3.76
7/23/21 9:35 @MESU1 MICRO E-MINI S&P 500 SHORT 3 4379.50 7/23 9:48 4379.75 0.04%
Trade id #136648626
Max drawdown($18)
Time7/23/21 9:48
Quant open3
Worst price4380.75
Drawdown as % of equity-0.04%
($7)
Includes Typical Broker Commissions trade costs of $2.82
7/19/21 22:39 @MESU1 MICRO E-MINI S&P 500 SHORT 2 4273.00 7/19 23:45 4261.25 0.04%
Trade id #136568569
Max drawdown($17)
Time7/19/21 22:46
Quant open2
Worst price4274.75
Drawdown as % of equity-0.04%
$116
Includes Typical Broker Commissions trade costs of $1.88
7/19/21 12:39 @MESU1 MICRO E-MINI S&P 500 SHORT 2 4233.25 7/19 12:59 4233.50 0.02%
Trade id #136561265
Max drawdown($7)
Time7/19/21 12:54
Quant open2
Worst price4234.00
Drawdown as % of equity-0.02%
($5)
Includes Typical Broker Commissions trade costs of $1.88
7/19/21 10:47 @MESU1 MICRO E-MINI S&P 500 SHORT 2 4250.38 7/19 12:03 4245.25 0.17%
Trade id #136557710
Max drawdown($81)
Time7/19/21 11:45
Quant open2
Worst price4258.50
Drawdown as % of equity-0.17%
$49
Includes Typical Broker Commissions trade costs of $1.88
7/19/21 9:46 @MESU1 MICRO E-MINI S&P 500 SHORT 1 4269.50 7/19 9:56 4245.25 n/a $120
Includes Typical Broker Commissions trade costs of $0.94
7/19/21 9:34 @MESU1 MICRO E-MINI S&P 500 LONG 1 4263.75 7/19 9:43 4266.25 0.07%
Trade id #136554328
Max drawdown($32)
Time7/19/21 9:41
Quant open1
Worst price4257.25
Drawdown as % of equity-0.07%
$12
Includes Typical Broker Commissions trade costs of $0.94
7/19/21 5:47 @MESU1 MICRO E-MINI S&P 500 SHORT 2 4290.75 7/19 7:29 4277.00 0.06%
Trade id #136549395
Max drawdown($30)
Time7/19/21 6:00
Quant open2
Worst price4293.75
Drawdown as % of equity-0.06%
$136
Includes Typical Broker Commissions trade costs of $1.88
7/18/21 22:30 @ESU1 E-MINI S&P 500 SHORT 2 4301.00 7/18 23:02 4304.00 0.69%
Trade id #136546718
Max drawdown($325)
Time7/18/21 23:02
Quant open2
Worst price4304.25
Drawdown as % of equity-0.69%
($316)
Includes Typical Broker Commissions trade costs of $16.00
7/8/21 11:55 @MNQU1 MICRO E-MINI NASDAQ 100 SHORT 2 14680.20 7/8 12:06 14687.80 0.08%
Trade id #136383801
Max drawdown($39)
Time7/8/21 12:03
Quant open2
Worst price14690.00
Drawdown as % of equity-0.08%
($32)
Includes Typical Broker Commissions trade costs of $1.88
7/8/21 3:34 @BPU1 BRITISH POUND SHORT 1 1.3773 7/8 9:27 1.3770 0.32%
Trade id #136372475
Max drawdown($150)
Time7/8/21 5:49
Quant open1
Worst price1.3797
Drawdown as % of equity-0.32%
$11
Includes Typical Broker Commissions trade costs of $8.00
7/7/21 10:32 @MNQU1 MICRO E-MINI NASDAQ 100 SHORT 2 14795.20 7/7 11:11 14746.20 0%
Trade id #136361115
Max drawdown($2)
Time7/7/21 10:35
Quant open2
Worst price14795.80
Drawdown as % of equity-0.00%
$194
Includes Typical Broker Commissions trade costs of $1.88
7/7/21 9:59 @MNQU1 MICRO E-MINI NASDAQ 100 LONG 2 14841.20 7/7 10:20 14833.80 0.41%
Trade id #136359861
Max drawdown($193)
Time7/7/21 10:07
Quant open2
Worst price14792.80
Drawdown as % of equity-0.41%
($32)
Includes Typical Broker Commissions trade costs of $1.88
7/7/21 8:49 @BPU1 BRITISH POUND SHORT 1 1.3825 7/7 9:35 1.3821 0.04%
Trade id #136357553
Max drawdown($18)
Time7/7/21 8:52
Quant open1
Worst price1.3828
Drawdown as % of equity-0.04%
$17
Includes Typical Broker Commissions trade costs of $8.00
7/7/21 2:46 @BPU1 BRITISH POUND SHORT 1 1.3809 7/7 6:20 1.3819 0.15%
Trade id #136354114
Max drawdown($68)
Time7/7/21 6:20
Quant open1
Worst price1.3820
Drawdown as % of equity-0.15%
($71)
Includes Typical Broker Commissions trade costs of $8.00
7/1/21 8:19 @MNQU1 MICRO E-MINI NASDAQ 100 SHORT 5 14547.00 7/1 12:52 14499.50 0.49%
Trade id #136282411
Max drawdown($230)
Time7/1/21 9:46
Quant open5
Worst price14570.00
Drawdown as % of equity-0.49%
$470
Includes Typical Broker Commissions trade costs of $4.70
6/30/21 12:07 @MNQU1 MICRO E-MINI NASDAQ 100 SHORT 4 14547.95 6/30 21:58 14571.80 0.48%
Trade id #136270514
Max drawdown($224)
Time6/30/21 21:20
Quant open4
Worst price14576.00
Drawdown as % of equity-0.48%
($195)
Includes Typical Broker Commissions trade costs of $3.76
6/29/21 20:53 @MNQU1 MICRO E-MINI NASDAQ 100 LONG 1 14587.00 6/30 4:15 14558.50 0.12%
Trade id #136259039
Max drawdown($57)
Time6/30/21 4:15
Quant open1
Worst price14558.50
Drawdown as % of equity-0.12%
($58)
Includes Typical Broker Commissions trade costs of $0.94
6/25/21 9:37 @MNQU1 MICRO E-MINI NASDAQ 100 LONG 3 14367.75 6/25 9:59 14343.25 0.49%
Trade id #136208516
Max drawdown($229)
Time6/25/21 9:57
Quant open3
Worst price14329.50
Drawdown as % of equity-0.49%
($150)
Includes Typical Broker Commissions trade costs of $2.82
6/23/21 10:02 @MNQU1 MICRO E-MINI NASDAQ 100 SHORT 3 14303.00 6/23 10:06 14303.25 0.02%
Trade id #136175306
Max drawdown($10)
Time6/23/21 10:06
Quant open3
Worst price14304.80
Drawdown as % of equity-0.02%
($5)
Includes Typical Broker Commissions trade costs of $2.82
6/21/21 11:05 @MNQU1 MICRO E-MINI NASDAQ 100 SHORT 3 14119.50 6/21 12:19 14117.00 0.12%
Trade id #136143599
Max drawdown($58)
Time6/21/21 11:08
Quant open3
Worst price14129.20
Drawdown as % of equity-0.12%
$12
Includes Typical Broker Commissions trade costs of $2.82
6/21/21 4:06 @MNQU1 MICRO E-MINI NASDAQ 100 SHORT 5 14091.45 6/21 7:18 14081.25 0.75%
Trade id #136134974
Max drawdown($353)
Time6/21/21 5:28
Quant open5
Worst price14126.80
Drawdown as % of equity-0.75%
$97
Includes Typical Broker Commissions trade costs of $4.70
6/14/21 11:43 @MNQU1 MICRO E-MINI NASDAQ 100 LONG 3 14024.00 6/14 12:16 14050.75 0.06%
Trade id #136048829
Max drawdown($27)
Time6/14/21 11:47
Quant open3
Worst price14019.50
Drawdown as % of equity-0.06%
$158
Includes Typical Broker Commissions trade costs of $2.82
6/9/21 9:37 @MNQM1 MICRO E-MINI NASDAQ 100 LONG 2 13886.50 6/9 11:07 13859.50 0.52%
Trade id #135979491
Max drawdown($247)
Time6/9/21 10:15
Quant open2
Worst price13824.80
Drawdown as % of equity-0.52%
($110)
Includes Typical Broker Commissions trade costs of $1.88
6/4/21 6:54 @MNQM1 MICRO E-MINI NASDAQ 100 LONG 2 13536.25 6/4 7:09 13547.25 0.03%
Trade id #135904994
Max drawdown($16)
Time6/4/21 6:58
Quant open2
Worst price13532.20
Drawdown as % of equity-0.03%
$42
Includes Typical Broker Commissions trade costs of $1.88
5/25/21 10:45 @BPM1 BRITISH POUND LONG 1 1.4139 5/25 11:10 1.4129 0.15%
Trade id #135765620
Max drawdown($68)
Time5/25/21 11:10
Quant open1
Worst price1.4128
Drawdown as % of equity-0.15%
($71)
Includes Typical Broker Commissions trade costs of $8.00
5/21/21 12:09 @MNQM1 MICRO E-MINI NASDAQ 100 SHORT 5 13421.35 5/21 13:22 13427.75 0.37%
Trade id #135723047
Max drawdown($176)
Time5/21/21 12:44
Quant open5
Worst price13439.00
Drawdown as % of equity-0.37%
($69)
Includes Typical Broker Commissions trade costs of $4.70
5/19/21 10:07 @MNQM1 MICRO E-MINI NASDAQ 100 LONG 2 13018.25 5/19 10:31 13095.25 n/a $306
Includes Typical Broker Commissions trade costs of $1.88
5/17/21 9:04 @MNQM1 MICRO E-MINI NASDAQ 100 LONG 5 13261.20 5/17 20:35 13292.30 1.68%
Trade id #135643679
Max drawdown($787)
Time5/17/21 13:41
Quant open5
Worst price13182.50
Drawdown as % of equity-1.68%
$306
Includes Typical Broker Commissions trade costs of $4.70

Statistics

  • Strategy began
    2/24/2021
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    150.66
  • Age
    151 days ago
  • What it trades
    Futures
  • # Trades
    264
  • # Profitable
    142
  • % Profitable
    53.80%
  • Avg trade duration
    1.9 hours
  • Max peak-to-valley drawdown
    4.93%
  • drawdown period
    March 16, 2021 - March 19, 2021
  • Cumul. Return
    19.2%
  • Avg win
    $174.29
  • Avg loss
    $121.16
  • Model Account Values (Raw)
  • Cash
    $49,967
  • Margin Used
    $0
  • Buying Power
    $49,967
  • Ratios
  • W:L ratio
    1.67:1
  • Sharpe Ratio
    3.29
  • Sortino Ratio
    6.99
  • Calmar Ratio
    24.328
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    6.77%
  • Correlation to SP500
    0.04100
  • Return Percent SP500 (cumu) during strategy life
    12.39%
  • Verified
  • C2Star
    1
  • Return Statistics
  • Ann Return (w trading costs)
    51.6%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.192%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    70.8%
  • 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
    96.14%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    640
  • Popularity (Last 6 weeks)
    950
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    968
  • Popularity (7 days, Percentile 1000 scale)
    854
  • 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
    $121
  • Avg Win
    $174
  • Sum Trade PL (losers)
    $14,782.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $24,749.000
  • # Winners
    142
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    48465
  • Win / Loss
  • # Losers
    122
  • % Winners
    53.8%
  • Frequency
  • Avg Position Time (mins)
    112.45
  • Avg Position Time (hrs)
    1.87
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    3.15
  • Daily leverage (max)
    11.71
  • Regression
  • Alpha
    0.11
  • Beta
    0.03
  • Treynor Index
    3.51
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.39
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    -11.163
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.735
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.115
  • Hold-and-Hope Ratio
    -0.089
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.62435
  • SD
    0.13159
  • Sharpe ratio (Glass type estimate)
    4.74465
  • Sharpe ratio (Hedges UMVUE)
    3.43324
  • df
    3.00000
  • t
    2.73933
  • p
    0.03569
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.34854
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.55380
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93380
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.80027
  • Statistics related to Sortino ratio
  • Sortino ratio
    29544.10000
  • Upside Potential Ratio
    29545.80000
  • Upside part of mean
    0.62439
  • Downside part of mean
    -0.00004
  • Upside SD
    0.21324
  • Downside SD
    0.00002
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.23690
  • Mean of criterion
    0.62435
  • SD of predictor
    0.07565
  • SD of criterion
    0.13159
  • Covariance
    0.00449
  • r
    0.45133
  • b (slope, estimate of beta)
    0.78510
  • a (intercept, estimate of alpha)
    0.43837
  • Mean Square Error
    0.02068
  • DF error
    2.00000
  • t(b)
    0.71527
  • p(b)
    0.27433
  • t(a)
    1.21740
  • p(a)
    0.17380
  • Lowerbound of 95% confidence interval for beta
    -3.93757
  • Upperbound of 95% confidence interval for beta
    5.50777
  • Lowerbound of 95% confidence interval for alpha
    -1.11095
  • Upperbound of 95% confidence interval for alpha
    1.98768
  • Treynor index (mean / b)
    0.79525
  • Jensen alpha (a)
    0.43837
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.60136
  • SD
    0.12603
  • Sharpe ratio (Glass type estimate)
    4.77151
  • Sharpe ratio (Hedges UMVUE)
    3.45267
  • df
    3.00000
  • t
    2.75483
  • p
    0.03523
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.33613
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.59596
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92416
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.82950
  • Statistics related to Sortino ratio
  • Sortino ratio
    28522.00000
  • Upside Potential Ratio
    28523.70000
  • Upside part of mean
    0.60139
  • Downside part of mean
    -0.00004
  • Upside SD
    0.20506
  • Downside SD
    0.00002
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.23201
  • Mean of criterion
    0.60136
  • SD of predictor
    0.07344
  • SD of criterion
    0.12603
  • Covariance
    0.00404
  • r
    0.43597
  • b (slope, estimate of beta)
    0.74813
  • a (intercept, estimate of alpha)
    0.42778
  • Mean Square Error
    0.01930
  • DF error
    2.00000
  • t(b)
    0.68509
  • p(b)
    0.28201
  • t(a)
    1.22431
  • p(a)
    0.17274
  • Lowerbound of 95% confidence interval for beta
    -3.95041
  • Upperbound of 95% confidence interval for beta
    5.44667
  • Lowerbound of 95% confidence interval for alpha
    -1.07559
  • Upperbound of 95% confidence interval for alpha
    1.93115
  • Treynor index (mean / b)
    0.80381
  • Jensen alpha (a)
    0.42778
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00968
  • Expected Shortfall on VaR
    0.02454
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00001
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    1.00232
  • Quartile 1
    1.04262
  • Median
    1.06117
  • Quartile 3
    1.07291
  • Maximum
    1.09277
  • Mean of quarter 1
    1.00232
  • Mean of quarter 2
    1.05605
  • Mean of quarter 3
    1.06630
  • Mean of quarter 4
    1.09277
  • Inter Quartile Range
    0.03030
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.70012
  • Compounded annual return (geometric extrapolation)
    0.87623
  • 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
    35.71260
  • 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
    0.52147
  • SD
    0.10179
  • Sharpe ratio (Glass type estimate)
    5.12318
  • Sharpe ratio (Hedges UMVUE)
    5.08649
  • df
    105.00000
  • t
    3.25868
  • p
    0.31006
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.95346
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.26974
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92925
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.24374
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.28720
  • Upside Potential Ratio
    17.96590
  • Upside part of mean
    0.70509
  • Downside part of mean
    -0.18362
  • Upside SD
    0.09880
  • Downside SD
    0.03925
  • N nonnegative terms
    57.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    106.00000
  • Mean of predictor
    0.27011
  • Mean of criterion
    0.52147
  • SD of predictor
    0.13592
  • SD of criterion
    0.10179
  • Covariance
    0.00079
  • r
    0.05739
  • b (slope, estimate of beta)
    0.04298
  • a (intercept, estimate of alpha)
    0.51000
  • Mean Square Error
    0.01043
  • DF error
    104.00000
  • t(b)
    0.58625
  • p(b)
    0.47130
  • t(a)
    3.15227
  • p(a)
    0.35234
  • Lowerbound of 95% confidence interval for beta
    -0.10240
  • Upperbound of 95% confidence interval for beta
    0.18836
  • Lowerbound of 95% confidence interval for alpha
    0.18912
  • Upperbound of 95% confidence interval for alpha
    0.83061
  • Treynor index (mean / b)
    12.13320
  • Jensen alpha (a)
    0.50986
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.51583
  • SD
    0.10095
  • Sharpe ratio (Glass type estimate)
    5.10961
  • Sharpe ratio (Hedges UMVUE)
    5.07303
  • df
    105.00000
  • t
    3.25005
  • p
    0.31050
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.94037
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.25577
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91618
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.22987
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.05780
  • Upside Potential Ratio
    17.72520
  • Upside part of mean
    0.70021
  • Downside part of mean
    -0.18438
  • Upside SD
    0.09773
  • Downside SD
    0.03950
  • N nonnegative terms
    57.00000
  • N negative terms
    49.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    106.00000
  • Mean of predictor
    0.26080
  • Mean of criterion
    0.51583
  • SD of predictor
    0.13597
  • SD of criterion
    0.10095
  • Covariance
    0.00080
  • r
    0.05794
  • b (slope, estimate of beta)
    0.04302
  • a (intercept, estimate of alpha)
    0.50461
  • Mean Square Error
    0.01026
  • DF error
    104.00000
  • t(b)
    0.59186
  • p(b)
    0.47103
  • t(a)
    3.14728
  • p(a)
    0.35255
  • Lowerbound of 95% confidence interval for beta
    -0.10111
  • Upperbound of 95% confidence interval for beta
    0.18715
  • Lowerbound of 95% confidence interval for alpha
    0.18667
  • Upperbound of 95% confidence interval for alpha
    0.82256
  • Treynor index (mean / b)
    11.99100
  • Jensen alpha (a)
    0.50461
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00826
  • Expected Shortfall on VaR
    0.01083
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00147
  • Expected Shortfall on VaR
    0.00340
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    106.00000
  • Minimum
    0.98271
  • Quartile 1
    0.99999
  • Median
    1.00041
  • Quartile 3
    1.00352
  • Maximum
    1.03313
  • Mean of quarter 1
    0.99744
  • Mean of quarter 2
    1.00005
  • Mean of quarter 3
    1.00163
  • Mean of quarter 4
    1.00917
  • Inter Quartile Range
    0.00353
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03774
  • Mean of outliers low
    0.98914
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.06604
  • Mean of outliers high
    1.02091
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.62853
  • VaR(95%) (moments method)
    0.00244
  • Expected Shortfall (moments method)
    0.00810
  • Extreme Value Index (regression method)
    1.15839
  • VaR(95%) (regression method)
    0.00179
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00073
  • Quartile 1
    0.00226
  • Median
    0.00360
  • Quartile 3
    0.00560
  • Maximum
    0.02970
  • Mean of quarter 1
    0.00163
  • Mean of quarter 2
    0.00282
  • Mean of quarter 3
    0.00444
  • Mean of quarter 4
    0.01605
  • Inter Quartile Range
    0.00334
  • 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
    0.20000
  • Mean of outliers high
    0.02117
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.29795
  • VaR(95%) (moments method)
    0.01543
  • Expected Shortfall (moments method)
    0.01571
  • Extreme Value Index (regression method)
    0.31342
  • VaR(95%) (regression method)
    0.03284
  • Expected Shortfall (regression method)
    0.06278
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.60818
  • Compounded annual return (geometric extrapolation)
    0.72243
  • Calmar ratio (compounded annual return / max draw down)
    24.32790
  • Compounded annual return / average of 25% largest draw downs
    45.01420
  • Compounded annual return / Expected Shortfall lognormal
    66.68000
  • 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)
    0.00800
  • 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
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -313290000
  • Max Equity Drawdown (num days)
    3

Strategy Description

Summary Statistics

Strategy began
2021-02-24
Suggested Minimum Capital
$50,000
Rank at C2 %
Top 3.2%
Rank # 
#24
# Trades
264
# Profitable
142
% Profitable
53.8%
Correlation S&P500
0.041
Sharpe Ratio
3.29
Sortino Ratio
6.99
Beta
0.03
Alpha
0.11
Leverage
3.15 Average
11.71 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.