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Nifty India Futures
(136310103)

Created by: E_v_a E_v_a
Started: 07/2021
Futures
Last trade: Today

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 $149.00 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.

39.1%
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.

(9.1%)
Max Drawdown
128
Num Trades
35.2%
Win Trades
2.1 : 1
Profit Factor
71.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                          (2.2%)+21.4%+7.0%+4.7%+2.7%+4.5%+42.7%
2022(2.5%)                                                                  (2.5%)

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 328 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
1/27/22 1:05 ING2 SP CNX Nifty Index SHORT 3 16947.64 1/27 2:35 16967.39 n/a ($143)
Includes Typical Broker Commissions trade costs of $24.00
1/25/22 4:25 INF2 SP CNX Nifty Index LONG 3 17279.47 1/25 4:30 17261.41 0.26%
Trade id #139085501
Max drawdown($179)
Time1/25/22 4:29
Quant open3
Worst price17249.50
Drawdown as % of equity-0.26%
($132)
Includes Typical Broker Commissions trade costs of $24.00
1/24/22 22:50 INF2 SP CNX Nifty Index SHORT 3 16859.26 1/24 22:55 16953.50 0.94%
Trade id #139083864
Max drawdown($661)
Time1/24/22 22:54
Quant open3
Worst price16969.50
Drawdown as % of equity-0.94%
($589)
Includes Typical Broker Commissions trade costs of $24.00
1/23/22 23:00 INF2 SP CNX Nifty Index SHORT 3 17472.50 1/24 4:55 17143.53 1.65%
Trade id #139065432
Max drawdown($1,137)
Time1/24/22 0:00
Quant open3
Worst price17662.00
Drawdown as % of equity-1.65%
$1,950
Includes Typical Broker Commissions trade costs of $24.00
1/21/22 4:10 INF2 SP CNX Nifty Index SHORT 3 17552.12 1/21 4:35 17617.71 0.61%
Trade id #139041332
Max drawdown($419)
Time1/21/22 4:35
Quant open3
Worst price17622.00
Drawdown as % of equity-0.61%
($418)
Includes Typical Broker Commissions trade costs of $24.00
1/20/22 22:50 INF2 SP CNX Nifty Index SHORT 3 17563.68 1/20 23:05 17612.15 0.46%
Trade id #139039696
Max drawdown($319)
Time1/20/22 23:05
Quant open3
Worst price17617.00
Drawdown as % of equity-0.46%
($315)
Includes Typical Broker Commissions trade costs of $24.00
1/19/22 22:55 INF2 SP CNX Nifty Index SHORT 3 17898.29 1/19 23:05 17924.26 0.3%
Trade id #139021799
Max drawdown($205)
Time1/19/22 23:05
Quant open3
Worst price17932.50
Drawdown as % of equity-0.30%
($180)
Includes Typical Broker Commissions trade costs of $24.00
1/18/22 22:50 INF2 SP CNX Nifty Index SHORT 3 18050.62 1/18 22:55 18084.38 0.35%
Trade id #139000704
Max drawdown($242)
Time1/18/22 22:53
Quant open3
Worst price18091.00
Drawdown as % of equity-0.35%
($227)
Includes Typical Broker Commissions trade costs of $24.00
1/18/22 4:20 INF2 SP CNX Nifty Index SHORT 3 18192.79 1/18 4:55 18134.74 n/a $324
Includes Typical Broker Commissions trade costs of $24.00
1/17/22 23:30 INF2 SP CNX Nifty Index SHORT 3 18227.06 1/18 1:00 18272.12 1.18%
Trade id #138983302
Max drawdown($821)
Time1/18/22 0:00
Quant open3
Worst price18364.00
Drawdown as % of equity-1.18%
($294)
Includes Typical Broker Commissions trade costs of $24.00
1/13/22 22:50 INF2 SP CNX Nifty Index SHORT 3 18166.97 1/13 22:55 18198.85 0.3%
Trade id #138949633
Max drawdown($207)
Time1/13/22 22:55
Quant open3
Worst price18201.50
Drawdown as % of equity-0.30%
($215)
Includes Typical Broker Commissions trade costs of $24.00
1/12/22 23:10 INF2 SP CNX Nifty Index LONG 3 18295.59 1/12 23:35 18253.09 0.46%
Trade id #138928185
Max drawdown($321)
Time1/12/22 23:34
Quant open3
Worst price18242.00
Drawdown as % of equity-0.46%
($279)
Includes Typical Broker Commissions trade costs of $24.00
1/11/22 22:50 INF2 SP CNX Nifty Index LONG 3 18194.15 1/12 4:49 18239.12 1.34%
Trade id #138912820
Max drawdown($936)
Time1/12/22 0:00
Quant open3
Worst price18038.00
Drawdown as % of equity-1.34%
$246
Includes Typical Broker Commissions trade costs of $24.00
1/11/22 2:45 INF2 SP CNX Nifty Index LONG 6 18108.37 1/11 4:10 18076.10 0.59%
Trade id #138898390
Max drawdown($412)
Time1/11/22 3:25
Quant open6
Worst price18074.00
Drawdown as % of equity-0.59%
($435)
Includes Typical Broker Commissions trade costs of $48.00
1/9/22 23:30 INF2 SP CNX Nifty Index LONG 3 17994.79 1/10 1:20 17946.44 1.65%
Trade id #138880612
Max drawdown($1,174)
Time1/10/22 0:00
Quant open3
Worst price17799.00
Drawdown as % of equity-1.65%
($314)
Includes Typical Broker Commissions trade costs of $24.00
1/9/22 22:50 INF2 SP CNX Nifty Index LONG 6 17975.43 1/9 23:00 17935.71 0.74%
Trade id #138880491
Max drawdown($527)
Time1/9/22 22:54
Quant open6
Worst price17931.50
Drawdown as % of equity-0.74%
($525)
Includes Typical Broker Commissions trade costs of $48.00
1/7/22 0:45 INF2 SP CNX Nifty Index LONG 9 17865.67 1/7 1:45 17822.24 1.23%
Trade id #138859394
Max drawdown($885)
Time1/7/22 1:20
Quant open9
Worst price17816.50
Drawdown as % of equity-1.23%
($854)
Includes Typical Broker Commissions trade costs of $72.00
1/5/22 23:05 INF2 SP CNX Nifty Index SHORT 3 17724.15 1/5 23:10 17760.38 0.35%
Trade id #138837558
Max drawdown($254)
Time1/5/22 23:10
Quant open3
Worst price17766.50
Drawdown as % of equity-0.35%
($241)
Includes Typical Broker Commissions trade costs of $24.00
1/5/22 2:05 INF2 SP CNX Nifty Index LONG 9 17954.06 1/5 22:50 17851.60 2.8%
Trade id #138821991
Max drawdown($2,022)
Time1/5/22 22:44
Quant open6
Worst price17785.50
Drawdown as % of equity-2.80%
($1,916)
Includes Typical Broker Commissions trade costs of $72.00
1/4/22 3:55 INF2 SP CNX Nifty Index LONG 3 17791.00 1/4 23:05 17817.58 0.09%
Trade id #138803022
Max drawdown($66)
Time1/4/22 3:58
Quant open3
Worst price17780.00
Drawdown as % of equity-0.09%
$135
Includes Typical Broker Commissions trade costs of $24.00
1/4/22 2:15 INF2 SP CNX Nifty Index LONG 3 17785.42 1/4 2:45 17751.73 0.29%
Trade id #138802408
Max drawdown($218)
Time1/4/22 2:45
Quant open3
Worst price17749.00
Drawdown as % of equity-0.29%
($226)
Includes Typical Broker Commissions trade costs of $24.00
1/3/22 23:40 INF2 SP CNX Nifty Index LONG 3 17766.54 1/4 0:55 17720.50 1.37%
Trade id #138801692
Max drawdown($1,023)
Time1/4/22 0:00
Quant open3
Worst price17596.00
Drawdown as % of equity-1.37%
($300)
Includes Typical Broker Commissions trade costs of $24.00
12/30/21 22:50 INF2 SP CNX Nifty Index LONG 15 17423.39 1/3/22 23:10 17575.18 2.58%
Trade id #138762086
Max drawdown($1,819)
Time12/31/21 0:00
Quant open9
Worst price17259.50
Drawdown as % of equity-2.58%
$4,434
Includes Typical Broker Commissions trade costs of $120.00
12/27/21 3:05 INZ1 SP CNX Nifty Index LONG 6 17106.56 12/27 3:50 17073.71 0.68%
Trade id #138708549
Max drawdown($486)
Time12/27/21 3:48
Quant open6
Worst price17066.00
Drawdown as % of equity-0.68%
($442)
Includes Typical Broker Commissions trade costs of $48.00
12/26/21 22:50 INZ1 SP CNX Nifty Index SHORT 3 16862.19 12/26 23:00 16963.04 0.94%
Trade id #138707499
Max drawdown($670)
Time12/26/21 23:00
Quant open3
Worst price16974.00
Drawdown as % of equity-0.94%
($629)
Includes Typical Broker Commissions trade costs of $24.00
12/22/21 4:30 INZ1 SP CNX Nifty Index LONG 9 17006.76 12/23 9:00 17074.82 0.26%
Trade id #138662180
Max drawdown($182)
Time12/22/21 4:43
Quant open6
Worst price16960.50
Drawdown as % of equity-0.26%
$1,153
Includes Typical Broker Commissions trade costs of $72.00
12/21/21 0:45 INZ1 SP CNX Nifty Index LONG 9 16917.50 12/21 3:30 16881.22 0.79%
Trade id #138648090
Max drawdown($558)
Time12/21/21 0:49
Quant open9
Worst price16886.50
Drawdown as % of equity-0.79%
($725)
Includes Typical Broker Commissions trade costs of $72.00
12/19/21 22:50 INZ1 SP CNX Nifty Index SHORT 3 16764.50 12/20 4:35 16633.23 2.29%
Trade id #138633737
Max drawdown($1,626)
Time12/20/21 0:00
Quant open3
Worst price17035.50
Drawdown as % of equity-2.29%
$764
Includes Typical Broker Commissions trade costs of $24.00
12/16/21 22:55 INZ1 SP CNX Nifty Index SHORT 3 17191.62 12/17 4:55 17034.96 1.52%
Trade id #138613361
Max drawdown($1,052)
Time12/17/21 0:00
Quant open3
Worst price17367.00
Drawdown as % of equity-1.52%
$916
Includes Typical Broker Commissions trade costs of $24.00
12/16/21 0:35 INZ1 SP CNX Nifty Index LONG 3 17330.00 12/16 0:40 17322.00 0.12%
Trade id #138598177
Max drawdown($81)
Time12/16/21 0:40
Quant open3
Worst price17316.50
Drawdown as % of equity-0.12%
($72)
Includes Typical Broker Commissions trade costs of $24.00

Statistics

  • Strategy began
    7/2/2021
  • Suggested Minimum Cap
    $70,000
  • Strategy Age (days)
    209.02
  • Age
    7 months ago
  • What it trades
    Futures
  • # Trades
    128
  • # Profitable
    45
  • % Profitable
    35.20%
  • Avg trade duration
    8.6 hours
  • Max peak-to-valley drawdown
    9.05%
  • drawdown period
    Jan 03, 2022 - Jan 23, 2022
  • Cumul. Return
    39.1%
  • Avg win
    $1,136
  • Avg loss
    $296.61
  • Model Account Values (Raw)
  • Cash
    $76,545
  • Margin Used
    $0
  • Buying Power
    $76,545
  • Ratios
  • W:L ratio
    2.08:1
  • Sharpe Ratio
    2.3
  • Sortino Ratio
    5.78
  • Calmar Ratio
    17.411
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    37.86%
  • Correlation to SP500
    0.22130
  • Return Percent SP500 (cumu) during strategy life
    -0.06%
  • Return Statistics
  • Ann Return (w trading costs)
    76.2%
  • Slump
  • Current Slump as Pcnt Equity
    8.20%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.11%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.391%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    109.6%
  • 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
    99.58%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    779
  • Popularity (Last 6 weeks)
    964
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    931
  • Popularity (7 days, Percentile 1000 scale)
    912
  • 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
    $297
  • Avg Win
    $1,077
  • Sum Trade PL (losers)
    $24,619.000
  • AUM
  • AUM (AutoTrader num accounts)
    5
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $47,381.000
  • # Winners
    44
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    449790
  • Win / Loss
  • # Losers
    83
  • % Winners
    34.6%
  • Frequency
  • Avg Position Time (mins)
    520.67
  • Avg Position Time (hrs)
    8.68
  • Avg Trade Length
    0.4 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    3.15
  • Daily leverage (max)
    5.87
  • Regression
  • Alpha
    0.16
  • Beta
    0.36
  • Treynor Index
    0.45
  • 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)
    -0.92
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.268
  • 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
    0.665
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.704
  • Hold-and-Hope Ratio
    0.353
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.97378
  • SD
    0.13470
  • Sharpe ratio (Glass type estimate)
    7.22925
  • Sharpe ratio (Hedges UMVUE)
    6.07798
  • df
    5.00000
  • t
    5.11185
  • p
    0.00187
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.00235
  • Upperbound of 95% confidence interval for Sharpe Ratio
    12.29890
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.40102
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    10.75490
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.97378
  • Downside part of mean
    0.00000
  • Upside SD
    0.30682
  • Downside SD
    0.00000
  • N nonnegative terms
    6.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.17813
  • Mean of criterion
    0.97378
  • SD of predictor
    0.15648
  • SD of criterion
    0.13470
  • Covariance
    0.00294
  • r
    0.13938
  • b (slope, estimate of beta)
    0.11998
  • a (intercept, estimate of alpha)
    0.95240
  • Mean Square Error
    0.02224
  • DF error
    4.00000
  • t(b)
    0.28151
  • p(b)
    0.39614
  • t(a)
    4.24897
  • p(a)
    0.00658
  • Lowerbound of 95% confidence interval for beta
    -1.06360
  • Upperbound of 95% confidence interval for beta
    1.30357
  • Lowerbound of 95% confidence interval for alpha
    0.32994
  • Upperbound of 95% confidence interval for alpha
    1.57487
  • Treynor index (mean / b)
    8.11596
  • Jensen alpha (a)
    0.95240
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.92789
  • SD
    0.12226
  • Sharpe ratio (Glass type estimate)
    7.58942
  • Sharpe ratio (Hedges UMVUE)
    6.38080
  • df
    5.00000
  • t
    5.36653
  • p
    0.00151
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.18445
  • Upperbound of 95% confidence interval for Sharpe Ratio
    12.84540
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.55138
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    11.21020
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.92789
  • Downside part of mean
    0.00000
  • Upside SD
    0.29018
  • Downside SD
    0.00000
  • N nonnegative terms
    6.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.16646
  • Mean of criterion
    0.92789
  • SD of predictor
    0.15491
  • SD of criterion
    0.12226
  • Covariance
    0.00277
  • r
    0.14611
  • b (slope, estimate of beta)
    0.11532
  • a (intercept, estimate of alpha)
    0.90870
  • Mean Square Error
    0.01829
  • DF error
    4.00000
  • t(b)
    0.29538
  • p(b)
    0.39120
  • t(a)
    4.49899
  • p(a)
    0.00542
  • Lowerbound of 95% confidence interval for beta
    -0.96881
  • Upperbound of 95% confidence interval for beta
    1.19944
  • Lowerbound of 95% confidence interval for alpha
    0.34781
  • Upperbound of 95% confidence interval for alpha
    1.46959
  • Treynor index (mean / b)
    8.04660
  • Jensen alpha (a)
    0.90870
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    -0.01946
  • Expected Shortfall on VaR
    -0.00462
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    1.03849
  • Quartile 1
    1.07319
  • Median
    1.07667
  • Quartile 3
    1.07968
  • Maximum
    1.15631
  • Mean of quarter 1
    1.05527
  • Mean of quarter 2
    1.07660
  • Mean of quarter 3
    1.07674
  • Mean of quarter 4
    1.11849
  • Inter Quartile Range
    0.00650
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.16667
  • Mean of outliers low
    1.03849
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    1.15631
  • 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)
    1.22537
  • Compounded annual return (geometric extrapolation)
    1.60075
  • 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
    0.00000
  • 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
    0.74372
  • SD
    0.20621
  • Sharpe ratio (Glass type estimate)
    3.60667
  • Sharpe ratio (Hedges UMVUE)
    3.58836
  • df
    148.00000
  • t
    2.71987
  • p
    0.39091
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.96960
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.23203
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.95741
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.21931
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.85241
  • Upside Potential Ratio
    19.09050
  • Upside part of mean
    1.44107
  • Downside part of mean
    -0.69735
  • Upside SD
    0.19659
  • Downside SD
    0.07549
  • N nonnegative terms
    61.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    149.00000
  • Mean of predictor
    0.00301
  • Mean of criterion
    0.74372
  • SD of predictor
    0.13309
  • SD of criterion
    0.20621
  • Covariance
    0.00593
  • r
    0.21621
  • b (slope, estimate of beta)
    0.33498
  • a (intercept, estimate of alpha)
    0.74300
  • Mean Square Error
    0.04081
  • DF error
    147.00000
  • t(b)
    2.68491
  • p(b)
    0.36344
  • t(a)
    2.77257
  • p(a)
    0.35927
  • Lowerbound of 95% confidence interval for beta
    0.08842
  • Upperbound of 95% confidence interval for beta
    0.58155
  • Lowerbound of 95% confidence interval for alpha
    0.21332
  • Upperbound of 95% confidence interval for alpha
    1.27210
  • Treynor index (mean / b)
    2.22018
  • Jensen alpha (a)
    0.74271
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72194
  • SD
    0.20306
  • Sharpe ratio (Glass type estimate)
    3.55526
  • Sharpe ratio (Hedges UMVUE)
    3.53721
  • df
    148.00000
  • t
    2.68111
  • p
    0.39239
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.91910
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.17972
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.90717
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.16726
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.50973
  • Upside Potential Ratio
    18.73230
  • Upside part of mean
    1.42209
  • Downside part of mean
    -0.70015
  • Upside SD
    0.19283
  • Downside SD
    0.07592
  • N nonnegative terms
    61.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    149.00000
  • Mean of predictor
    -0.00580
  • Mean of criterion
    0.72194
  • SD of predictor
    0.13326
  • SD of criterion
    0.20306
  • Covariance
    0.00584
  • r
    0.21599
  • b (slope, estimate of beta)
    0.32912
  • a (intercept, estimate of alpha)
    0.72385
  • Mean Square Error
    0.03958
  • DF error
    147.00000
  • t(b)
    2.68201
  • p(b)
    0.36357
  • t(a)
    2.74385
  • p(a)
    0.36063
  • Lowerbound of 95% confidence interval for beta
    0.08661
  • Upperbound of 95% confidence interval for beta
    0.57163
  • Lowerbound of 95% confidence interval for alpha
    0.20250
  • Upperbound of 95% confidence interval for alpha
    1.24520
  • Treynor index (mean / b)
    2.19355
  • Jensen alpha (a)
    0.72385
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01772
  • Expected Shortfall on VaR
    0.02285
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00682
  • Expected Shortfall on VaR
    0.01186
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    149.00000
  • Minimum
    0.97879
  • Quartile 1
    0.99600
  • Median
    0.99904
  • Quartile 3
    1.00605
  • Maximum
    1.07072
  • Mean of quarter 1
    0.99215
  • Mean of quarter 2
    0.99770
  • Mean of quarter 3
    1.00197
  • Mean of quarter 4
    1.02025
  • Inter Quartile Range
    0.01004
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00671
  • Mean of outliers low
    0.97879
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.09396
  • Mean of outliers high
    1.03320
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16124
  • VaR(95%) (moments method)
    0.00829
  • Expected Shortfall (moments method)
    0.01192
  • Extreme Value Index (regression method)
    0.01359
  • VaR(95%) (regression method)
    0.00725
  • Expected Shortfall (regression method)
    0.00930
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00043
  • Quartile 1
    0.00723
  • Median
    0.01304
  • Quartile 3
    0.02386
  • Maximum
    0.06414
  • Mean of quarter 1
    0.00308
  • Mean of quarter 2
    0.01139
  • Mean of quarter 3
    0.01623
  • Mean of quarter 4
    0.03785
  • Inter Quartile Range
    0.01663
  • 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
    0.05556
  • Mean of outliers high
    0.06414
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.30804
  • VaR(95%) (moments method)
    0.04264
  • Expected Shortfall (moments method)
    0.04985
  • Extreme Value Index (regression method)
    0.89369
  • VaR(95%) (regression method)
    0.04081
  • Expected Shortfall (regression method)
    0.21502
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.93510
  • Compounded annual return (geometric extrapolation)
    1.11668
  • Calmar ratio (compounded annual return / max draw down)
    17.41110
  • Compounded annual return / average of 25% largest draw downs
    29.50410
  • Compounded annual return / Expected Shortfall lognormal
    48.87870
  • 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
    0.83159
  • SD
    0.21702
  • Sharpe ratio (Glass type estimate)
    3.83188
  • Sharpe ratio (Hedges UMVUE)
    3.80973
  • df
    130.00000
  • t
    2.70955
  • p
    0.38440
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.01424
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.63533
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.99951
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.61996
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.63190
  • Upside Potential Ratio
    19.81060
  • Upside part of mean
    1.54952
  • Downside part of mean
    -0.71792
  • Upside SD
    0.20799
  • Downside SD
    0.07822
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.01580
  • Mean of criterion
    0.83159
  • SD of predictor
    0.13479
  • SD of criterion
    0.21702
  • Covariance
    0.00710
  • r
    0.24264
  • b (slope, estimate of beta)
    0.39066
  • a (intercept, estimate of alpha)
    0.83777
  • Mean Square Error
    0.04467
  • DF error
    129.00000
  • t(b)
    2.84071
  • p(b)
    0.34706
  • t(a)
    2.80283
  • p(a)
    0.34895
  • Lowerbound of 95% confidence interval for beta
    0.11857
  • Upperbound of 95% confidence interval for beta
    0.66276
  • Lowerbound of 95% confidence interval for alpha
    0.24638
  • Upperbound of 95% confidence interval for alpha
    1.42915
  • Treynor index (mean / b)
    2.12867
  • Jensen alpha (a)
    0.83777
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.80735
  • SD
    0.21366
  • Sharpe ratio (Glass type estimate)
    3.77871
  • Sharpe ratio (Hedges UMVUE)
    3.75687
  • df
    130.00000
  • t
    2.67195
  • p
    0.38592
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.96213
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.58122
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.94770
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.56604
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.26170
  • Upside Potential Ratio
    19.42490
  • Upside part of mean
    1.52828
  • Downside part of mean
    -0.72093
  • Upside SD
    0.20396
  • Downside SD
    0.07868
  • N nonnegative terms
    54.00000
  • N negative terms
    77.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02483
  • Mean of criterion
    0.80735
  • SD of predictor
    0.13498
  • SD of criterion
    0.21366
  • Covariance
    0.00700
  • r
    0.24257
  • b (slope, estimate of beta)
    0.38396
  • a (intercept, estimate of alpha)
    0.81689
  • Mean Square Error
    0.04330
  • DF error
    129.00000
  • t(b)
    2.83989
  • p(b)
    0.34710
  • t(a)
    2.77582
  • p(a)
    0.35029
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    0.11646
  • Upperbound of 95% confidence interval for beta
    0.65146
  • Lowerbound of 95% confidence interval for alpha
    0.23463
  • Upperbound of 95% confidence interval for alpha
    1.39914
  • Treynor index (mean / b)
    2.10270
  • Jensen alpha (a)
    0.81689
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01846
  • Expected Shortfall on VaR
    0.02385
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00700
  • Expected Shortfall on VaR
    0.01224
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97879
  • Quartile 1
    0.99604
  • Median
    0.99904
  • Quartile 3
    1.00666
  • Maximum
    1.07072
  • Mean of quarter 1
    0.99179
  • Mean of quarter 2
    0.99768
  • Mean of quarter 3
    1.00195
  • Mean of quarter 4
    1.02167
  • Inter Quartile Range
    0.01062
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.97879
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.03765
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.12606
  • VaR(95%) (moments method)
    0.00844
  • Expected Shortfall (moments method)
    0.01197
  • Extreme Value Index (regression method)
    -0.12067
  • VaR(95%) (regression method)
    0.00798
  • Expected Shortfall (regression method)
    0.00996
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00043
  • Quartile 1
    0.00961
  • Median
    0.01266
  • Quartile 3
    0.02479
  • Maximum
    0.06414
  • Mean of quarter 1
    0.00371
  • Mean of quarter 2
    0.01141
  • Mean of quarter 3
    0.01832
  • Mean of quarter 4
    0.04111
  • Inter Quartile Range
    0.01518
  • 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
    0.05882
  • Mean of outliers high
    0.06414
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.30804
  • VaR(95%) (moments method)
    0.04318
  • Expected Shortfall (moments method)
    0.05026
  • Extreme Value Index (regression method)
    0.89369
  • VaR(95%) (regression method)
    0.04184
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.22467
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -420035000
  • Max Equity Drawdown (num days)
    20
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.03672
  • Compounded annual return (geometric extrapolation)
    1.30541
  • Calmar ratio (compounded annual return / max draw down)
    20.35380
  • Compounded annual return / average of 25% largest draw downs
    31.75160
  • Compounded annual return / Expected Shortfall lognormal
    54.74550

Strategy Description

Trades SGX Indian Nifty futures both long and short. Leverage employed to be around 5 times. Runs 5 different sub strategies - both intra-day and swing - in an attempt to smooth out the equity curve. In addition to being an top performing system by itself, this system would be an excellent choice for your strategy diversification into emerging markets in case you already have some strategies subscribed to. Please note that you need to enable trading permission for Singapore exchange. ( It is possible on IB which is where I trade the system - please check your individual brokerage if they provide trading on SIMEX)

Note that C2 has an outage with IB for approx 1 hour from midnight EST, which is an active hour for the Indian Market. System dynamics are affected during this hour. I have addressed this here - https://forums.collective2.com/t/trading-during-0000-0108-est/15205

Summary Statistics

Strategy began
2021-07-02
Suggested Minimum Capital
$70,000
Rank at C2 %
Top 6.9%
Rank # 
#57
# Trades
128
# Profitable
45
% Profitable
35.2%
Correlation S&P500
0.221
Sharpe Ratio
2.30
Sortino Ratio
5.78
Beta
0.36
Alpha
0.16
Leverage
3.15 Average
5.87 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.