MNQ Star
(135638383)
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.
Financials / Indexes
Focuses on market indexes or interest rates futures.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 markedtomarket equity calculations.
All results are hypothetical.
Jan  Feb  Mar  Apr  May  Jun  Jul  Aug  Sep  Oct  Nov  Dec  YTD  

2021  +7.8%  +5.4%  +21.1%  +2.4%  (4.3%)  +34.8% 
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.
Started  $35,200  
Buy Power  $48,934  
Cash  $1  
Equity  $1  
Cumulative $  $14,288  
Total System Equity  $49,488  
Margined  $1  
Open P/L  $69  
Data has been delayed by one hour for nonsubscribers 
System developer has asked us to delay this information by one hour.
Trading Record
Statistics

Strategy began5/17/2021

Suggested Minimum Cap$50,000

Strategy Age (days)126.11

Age126 days ago

What it tradesFutures

# Trades264

# Profitable162

% Profitable61.40%

Avg trade duration11.8 hours

Max peaktovalley drawdown5.04%

drawdown periodAug 03, 2021  Sept 17, 2021

Cumul. Return34.8%

Avg win$168.76

Avg loss$127.94
 Model Account Values (Raw)

Cash$49,415

Margin Used$554

Buying Power$48,934
 Ratios

W:L ratio2.09:1

Sharpe Ratio4.8

Sortino Ratio14.11

Calmar Ratio43.128
 CORRELATION STATISTICS

Return of Strat Pcnt  Return of SP500 Pcnt (cumu)28.30%

Correlation to SP5000.14850

Return Percent SP500 (cumu) during strategy life6.48%
 Verified

C2Star2
 Return Statistics

Ann Return (w trading costs)131.7%
 Slump

Current Slump as Pcnt Equity5.30%
 Instruments

Percent Trades Futures1.00%
 Slump

Current Slump, time of slump as pcnt of strategy life0.37%
 Instruments

Short Options  Percent Covered100.00%
 Return Statistics

Return Pcnt (Compound or Annual, agebased, NFA compliant)0.348%
 Instruments

Percent Trades Optionsn/a

Percent Trades Stocksn/a

Percent Trades Forexn/a
 Return Statistics

Ann Return (Compnd, No Fees)165.9%
 Risk of Ruin (MonteCarlo)

Chance of 10% account lossn/a

Chance of 20% account lossn/a

Chance of 30% account lossn/a

Chance of 40% account lossn/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 Automated98.17%
 Risk of Ruin (MonteCarlo)

Chance of 50% account lossn/a
 Popularity

Popularity (Today)916

Popularity (Last 6 weeks)987
 Trading Style

Any stock shorts? 0/10
 Popularity

C2 Score961

Popularity (7 days, Percentile 1000 scale)971
 Management

No Subs Allowed Flag (1: no subs)0

Strat abandoned?0
 TradesOwnSystem Certification

Trades Own System?

TOS percentn/a
 Win / Loss

Avg Loss$128

Avg Win$169

Sum Trade PL (losers)$13,050.000
 AUM

AUM (AutoTrader num accounts)4
 Age

Num Months filled monthly returns table5
 Win / Loss

Sum Trade PL (winners)$27,338.000

# Winners162

Num Months Winners4
 Dividends

Dividends Received in Model Acct0
 AUM

AUM (AutoTrader live capital)192957
 Win / Loss

# Losers102

% Winners61.4%
 Frequency

Avg Position Time (mins)710.82

Avg Position Time (hrs)11.85

Avg Trade Length0.5 days

Last Trade Ago3
 Leverage

Daily leverage (average)2.91

Daily leverage (max)15.16
 Regression

Alpha0.22

Beta0.24

Treynor Index0.98
 Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.00

MAE:PL  worst single value for strategy

MAE:PL (avg, winning trades)

MAE:PL (avg, losing trades)

MAE:PL (avg, all trades)0.11

MAE:Equity, average, winning trades0.00

MAE:Equity, average, losing trades0.00

Avg(MAE) / Avg(PL)  All trades8.529

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 strat0.00

Avg(MAE) / Avg(PL)  Winning trades0.470

Avg(MAE) / Avg(PL)  Losing trades1.091

HoldandHope Ratio0.115
 Analysis based on MONTHLY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean1.10111

SD0.33776

Sharpe ratio (Glass type estimate)3.26002

Sharpe ratio (Hedges UMVUE)2.35895

df3.00000

t1.88217

p0.07818

Lowerbound of 95% confidence interval for Sharpe Ratio1.09878

Upperbound of 95% confidence interval for Sharpe Ratio7.31244

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.52526

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.24316
 Statistics related to Sortino ratio

Sortino ratio51.09660

Upside Potential Ratio52.82860

Upside part of mean1.13843

Downside part of mean0.03732

Upside SD0.43143

Downside SD0.02155

N nonnegative terms3.00000

N negative terms1.00000
 Statistics related to linear regression on benchmark

N of observations4.00000

Mean of predictor0.19491

Mean of criterion1.10111

SD of predictor0.03260

SD of criterion0.33776

Covariance0.00756

r0.68633

b (slope, estimate of beta)7.11041

a (intercept, estimate of alpha)0.28478

Mean Square Error0.09052

DF error2.00000

t(b)1.33457

p(b)0.15683

t(a)0.24511

p(a)0.58539

Lowerbound of 95% confidence interval for beta15.81350

Upperbound of 95% confidence interval for beta30.03430

Lowerbound of 95% confidence interval for alpha5.28389

Upperbound of 95% confidence interval for alpha4.71432

Treynor index (mean / b)0.15486

Jensen alpha (a)0.28478
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean1.01563

SD0.30722

Sharpe ratio (Glass type estimate)3.30591

Sharpe ratio (Hedges UMVUE)2.39216

df3.00000

t1.90867

p0.07616

Lowerbound of 95% confidence interval for Sharpe Ratio1.07376

Upperbound of 95% confidence interval for Sharpe Ratio7.37880

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation1.50503

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation6.28935
 Statistics related to Sortino ratio

Sortino ratio46.94600

Upside Potential Ratio48.67810

Upside part of mean1.05310

Downside part of mean0.03747

Upside SD0.39532

Downside SD0.02163

N nonnegative terms3.00000

N negative terms1.00000
 Statistics related to linear regression on benchmark

N of observations4.00000

Mean of predictor0.19251

Mean of criterion1.01563

SD of predictor0.03204

SD of criterion0.30722

Covariance0.00678

r0.68892

b (slope, estimate of beta)6.60656

a (intercept, estimate of alpha)0.25622

Mean Square Error0.07438

DF error2.00000

t(b)1.34412

p(b)0.15554

t(a)0.24227

p(a)0.58443

Lowerbound of 95% confidence interval for beta14.54160

Upperbound of 95% confidence interval for beta27.75470

Lowerbound of 95% confidence interval for alpha4.80668

Upperbound of 95% confidence interval for alpha4.29423

Treynor index (mean / b)0.15373

Jensen alpha (a)0.25622
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.05940

Expected Shortfall on VaR0.09314
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00442

Expected Shortfall on VaR0.00974
 ORDER STATISTICS
 Quartiles of return rates

Number of observations4.00000

Minimum0.98989

Quartile 11.03254

Median1.08611

Quartile 31.14766

Maximum1.21425

Mean of quarter 10.98989

Mean of quarter 21.04675

Mean of quarter 31.12546

Mean of quarter 41.21425

Inter Quartile Range0.11512

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 Risk estimates for a oneperiod 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 observations1.00000

Minimum0.01011

Quartile 10.01011

Median0.01011

Quartile 30.01011

Maximum0.01011

Mean of quarter 10.00000

Mean of quarter 20.00000

Mean of quarter 30.00000

Mean of quarter 40.00000

Inter Quartile Range0.00000

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high0.00000

Percentage of outliers high0.00000

Mean of outliers high0.00000
 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)1.24804

Compounded annual return (geometric extrapolation)1.83924

Calmar ratio (compounded annual return / max draw down)181.86300

Compounded annual return / average of 25% largest draw downs0.00000

Compounded annual return / Expected Shortfall lognormal19.74790

0.00000

0.00000
 Analysis based on DAILY values, full history
 RATIO STATISTICS
 Ratio statistics of excess return rates
 Statistics related to Sharpe ratio

Mean0.94893

SD0.14823

Sharpe ratio (Glass type estimate)6.40168

Sharpe ratio (Hedges UMVUE)6.34758

df89.00000

t3.75201

p0.00016

Lowerbound of 95% confidence interval for Sharpe Ratio2.91163

Upperbound of 95% confidence interval for Sharpe Ratio9.85852

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.87592

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation9.81924
 Statistics related to Sortino ratio

Sortino ratio22.53950

Upside Potential Ratio28.58110

Upside part of mean1.20329

Downside part of mean0.25436

Upside SD0.15295

Downside SD0.04210

N nonnegative terms57.00000

N negative terms33.00000
 Statistics related to linear regression on benchmark

N of observations90.00000

Mean of predictor0.15908

Mean of criterion0.94893

SD of predictor0.09219

SD of criterion0.14823

Covariance0.00125

r0.09118

b (slope, estimate of beta)0.14661

a (intercept, estimate of alpha)0.92600

Mean Square Error0.02204

DF error88.00000

t(b)0.85888

p(b)0.19637

t(a)3.63358

p(a)0.00023

Lowerbound of 95% confidence interval for beta0.19261

Upperbound of 95% confidence interval for beta0.48582

Lowerbound of 95% confidence interval for alpha0.41937

Upperbound of 95% confidence interval for alpha1.43185

Treynor index (mean / b)6.47274

Jensen alpha (a)0.92561
 Ratio statistics of excess log return rates
 Statistics related to Sharpe ratio

Mean0.93645

SD0.14650

Sharpe ratio (Glass type estimate)6.39225

Sharpe ratio (Hedges UMVUE)6.33823

df89.00000

t3.74649

p0.00016

Lowerbound of 95% confidence interval for Sharpe Ratio2.90258

Upperbound of 95% confidence interval for Sharpe Ratio9.84872

Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation2.86694

Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation9.80953
 Statistics related to Sortino ratio

Sortino ratio22.14150

Upside Potential Ratio28.17610

Upside part of mean1.19168

Downside part of mean0.25522

Upside SD0.15094

Downside SD0.04229

N nonnegative terms57.00000

N negative terms33.00000
 Statistics related to linear regression on benchmark

N of observations90.00000

Mean of predictor0.15482

Mean of criterion0.93645

SD of predictor0.09215

SD of criterion0.14650

Covariance0.00122

r0.09010

b (slope, estimate of beta)0.14324

a (intercept, estimate of alpha)0.91427

Mean Square Error0.02153

DF error88.00000

t(b)0.84867

p(b)0.19918

t(a)3.63228

p(a)0.00024

Lowerbound of 95% confidence interval for beta0.19218

Upperbound of 95% confidence interval for beta0.47866

Lowerbound of 95% confidence interval for alpha0.41406

Upperbound of 95% confidence interval for alpha1.41449

Treynor index (mean / b)6.53757

Jensen alpha (a)0.91427
 Risk estimates for a oneperiod unit investment (parametric)
 assuming log normal returns and losses (using central moments from Sharpe statistics)

VaR(95%)0.01125

Expected Shortfall on VaR0.01498
 assuming Pareto losses only (using partial moments from Sortino statistics)

VaR(95%)0.00176

Expected Shortfall on VaR0.00399
 ORDER STATISTICS
 Quartiles of return rates

Number of observations90.00000

Minimum0.98683

Quartile 10.99964

Median1.00067

Quartile 31.00594

Maximum1.03971

Mean of quarter 10.99643

Mean of quarter 21.00015

Mean of quarter 31.00212

Mean of quarter 41.01599

Inter Quartile Range0.00630

Number outliers low3.00000

Percentage of outliers low0.03333

Mean of outliers low0.98879

Number of outliers high9.00000

Percentage of outliers high0.10000

Mean of outliers high1.02604
 Risk estimates for a oneperiod unit investment (based on Ex

Extreme Value Index (moments method)2.57460

VaR(95%) (moments method)0.00305

Expected Shortfall (moments method)0.00315

Extreme Value Index (regression method)0.21706

VaR(95%) (regression method)0.00375

Expected Shortfall (regression method)0.00555
 DRAW DOWN STATISTICS
 Quartiles of draw downs

Number of observations9.00000

Minimum0.00035

Quartile 10.00081

Median0.00134

Quartile 30.00952

Maximum0.03763

Mean of quarter 10.00059

Mean of quarter 20.00126

Mean of quarter 30.00805

Mean of quarter 40.02972

Inter Quartile Range0.00871

Number outliers low0.00000

Percentage of outliers low0.00000

Mean of outliers low0.00000

Number of outliers high1.00000

Percentage of outliers high0.11111

Mean of outliers high0.03763
 Risk estimates based on draw downs (based on Extreme Value T

Extreme Value Index (moments method)6.54032

VaR(95%) (moments method)0.02161

Expected Shortfall (moments method)0.02161

Extreme Value Index (regression method)0.63369

VaR(95%) (regression method)0.04354

Expected Shortfall (regression method)0.04978
 COMBINED STATISTICS

Annualized return (arithmetic extrapolation)1.14329

Compounded annual return (geometric extrapolation)1.62310

Calmar ratio (compounded annual return / max draw down)43.12790

Compounded annual return / average of 25% largest draw downs54.61450

Compounded annual return / Expected Shortfall lognormal108.38200
 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)0.01100
 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 Negative0.25%

Strat Max DD how much worse than SP500 max DD during strat life?314551000

Max Equity Drawdown (num days)45
Strategy Description
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 underor overcompensated 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 rescaled downward to make current goforward 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 pertrade 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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Strategy is now visible
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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.