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Yugas-Futures
(117547867)

Created by: yugas-Investments yugas-Investments
Started: 04/2018
Futures
Last trade: 2 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 $70.00 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.
74.4%
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.

(34.3%)
Max Drawdown
390
Num Trades
50.5%
Win Trades
1.3 : 1
Profit Factor
54.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                     +10.0%+29.0%+2.2%(1.6%)(3.7%)(18%)+35.7%+29.7%+38.9%+175.4%
2019+4.7%+3.0%(0.5%)(5%)+5.8%+1.7%(1.8%)(4.7%)(3%)  -  (8%)+3.2%(5.4%)
2020+2.6%                                                                  +2.6%

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 252 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/15/20 11:58 @MYMH0 MICRO E-MINI DOW LONG 10 29036 1/17 10:43 29318 2.09%
Trade id #127020891
Max drawdown($530)
Time1/15/20 15:34
Quant open10
Worst price28930
Drawdown as % of equity-2.09%
$1,401
Includes Typical Broker Commissions trade costs of $9.40
1/13/20 6:03 @MYMH0 MICRO E-MINI DOW LONG 10 28904 1/14 3:31 28756 3.2%
Trade id #126965466
Max drawdown($830)
Time1/14/20 3:30
Quant open10
Worst price28738
Drawdown as % of equity-3.20%
($749)
Includes Typical Broker Commissions trade costs of $9.40
1/7/20 3:33 @MYMH0 MICRO E-MINI DOW LONG 22 28621 1/8 16:39 28760 14%
Trade id #126893183
Max drawdown($3,115)
Time1/8/20 0:00
Quant open10
Worst price28085
Drawdown as % of equity-14.00%
$1,505
Includes Typical Broker Commissions trade costs of $20.68
1/8/20 13:36 @MYMM0 MICRO E-MINI DOW SHORT 10 28702 1/8 13:36 28742 0.82%
Trade id #126918216
Max drawdown($200)
Time1/8/20 13:36
Quant open10
Worst price28742
Drawdown as % of equity-0.82%
($209)
Includes Typical Broker Commissions trade costs of $9.40
1/3/20 6:03 @MYMH0 MICRO E-MINI DOW SHORT 15 28512 1/3 12:05 28670 4.6%
Trade id #126847717
Max drawdown($1,165)
Time1/3/20 9:45
Quant open15
Worst price28668
Drawdown as % of equity-4.60%
($1,194)
Includes Typical Broker Commissions trade costs of $14.10
12/27/19 2:47 @MYMH0 MICRO E-MINI DOW LONG 15 28627 1/2/20 10:24 28596 8.53%
Trade id #126763334
Max drawdown($2,142)
Time12/31/19 0:00
Quant open15
Worst price28342
Drawdown as % of equity-8.53%
($252)
Includes Typical Broker Commissions trade costs of $14.10
12/20/19 10:29 @MYMH0 MICRO E-MINI DOW LONG 8 28477 12/20 15:51 28481 0.14%
Trade id #126703717
Max drawdown($36)
Time12/20/19 15:49
Quant open8
Worst price28468
Drawdown as % of equity-0.14%
$8
Includes Typical Broker Commissions trade costs of $7.52
12/13/19 3:33 @MYMZ9 MICRO E-MINI DOW LONG 14 28250 12/20 10:25 28430 4.55%
Trade id #126609572
Max drawdown($1,120)
Time12/13/19 11:29
Quant open10
Worst price28037
Drawdown as % of equity-4.55%
$1,244
Includes Typical Broker Commissions trade costs of $13.16
12/20/19 5:53 @MYMH0 MICRO E-MINI DOW LONG 6 28425 12/20 10:25 28465 0.05%
Trade id #126699064
Max drawdown($12)
Time12/20/19 7:24
Quant open4
Worst price28409
Drawdown as % of equity-0.05%
$112
Includes Typical Broker Commissions trade costs of $5.64
12/5/19 6:10 @MYMZ9 MICRO E-MINI DOW LONG 8 27766 12/5 10:07 27616 2.61%
Trade id #126493634
Max drawdown($668)
Time12/5/19 10:01
Quant open8
Worst price27599
Drawdown as % of equity-2.61%
($608)
Includes Typical Broker Commissions trade costs of $7.52
12/4/19 4:25 @MYMZ9 MICRO E-MINI DOW LONG 10 27657 12/5 4:10 27682 0.85%
Trade id #126473378
Max drawdown($216)
Time12/4/19 20:45
Quant open10
Worst price27614
Drawdown as % of equity-0.85%
$115
Includes Typical Broker Commissions trade costs of $9.40
12/3/19 9:49 @MYMZ9 MICRO E-MINI DOW SHORT 8 27372 12/3 15:21 27470 1.48%
Trade id #126457514
Max drawdown($384)
Time12/3/19 13:41
Quant open8
Worst price27468
Drawdown as % of equity-1.48%
($400)
Includes Typical Broker Commissions trade costs of $7.52
12/3/19 7:50 @MYMZ9 MICRO E-MINI DOW SHORT 10 27622 12/3 9:27 27485 0.06%
Trade id #126454610
Max drawdown($15)
Time12/3/19 7:51
Quant open10
Worst price27625
Drawdown as % of equity-0.06%
$676
Includes Typical Broker Commissions trade costs of $9.40
12/2/19 10:04 @MYMZ9 MICRO E-MINI DOW SHORT 10 27925 12/3 3:30 27820 0.42%
Trade id #126440443
Max drawdown($105)
Time12/2/19 10:12
Quant open10
Worst price27946
Drawdown as % of equity-0.42%
$516
Includes Typical Broker Commissions trade costs of $9.40
12/2/19 5:15 @MYMZ9 MICRO E-MINI DOW LONG 10 28184 12/2 8:42 28083 2.19%
Trade id #126436522
Max drawdown($545)
Time12/2/19 8:34
Quant open10
Worst price28075
Drawdown as % of equity-2.19%
($514)
Includes Typical Broker Commissions trade costs of $9.40
11/28/19 3:30 @MYMZ9 MICRO E-MINI DOW SHORT 10 28047 11/28 11:07 28097 1.03%
Trade id #126402584
Max drawdown($260)
Time11/28/19 10:59
Quant open10
Worst price28099
Drawdown as % of equity-1.03%
($259)
Includes Typical Broker Commissions trade costs of $9.40
11/27/19 10:06 @MYMZ9 MICRO E-MINI DOW SHORT 8 28069 11/27 13:12 28125 0.81%
Trade id #126385832
Max drawdown($208)
Time11/27/19 13:06
Quant open8
Worst price28121
Drawdown as % of equity-0.81%
($232)
Includes Typical Broker Commissions trade costs of $7.52
11/27/19 5:27 @MYMZ9 MICRO E-MINI DOW SHORT 8 28155 11/27 7:56 28138 0.14%
Trade id #126381182
Max drawdown($36)
Time11/27/19 5:39
Quant open8
Worst price28164
Drawdown as % of equity-0.14%
$60
Includes Typical Broker Commissions trade costs of $7.52
11/25/19 10:01 @MYMZ9 MICRO E-MINI DOW LONG 8 27972 11/26 3:28 28036 0.27%
Trade id #126352893
Max drawdown($68)
Time11/25/19 11:12
Quant open8
Worst price27955
Drawdown as % of equity-0.27%
$248
Includes Typical Broker Commissions trade costs of $7.52
11/20/19 10:00 @MYMZ9 MICRO E-MINI DOW SHORT 10 27842 11/21 4:02 27753 0.24%
Trade id #126284022
Max drawdown($60)
Time11/20/19 10:03
Quant open10
Worst price27854
Drawdown as % of equity-0.24%
$436
Includes Typical Broker Commissions trade costs of $9.40
11/20/19 4:00 @MYMZ9 MICRO E-MINI DOW SHORT 10 27772 11/20 9:38 27858 1.9%
Trade id #126279992
Max drawdown($480)
Time11/20/19 9:35
Quant open10
Worst price27868
Drawdown as % of equity-1.90%
($439)
Includes Typical Broker Commissions trade costs of $9.40
11/19/19 6:59 @MYMZ9 MICRO E-MINI DOW LONG 18 27957 11/20 3:55 27774 6.48%
Trade id #126265218
Max drawdown($1,663)
Time11/20/19 3:54
Quant open18
Worst price27773
Drawdown as % of equity-6.48%
($1,672)
Includes Typical Broker Commissions trade costs of $16.92
11/15/19 5:48 @MYMZ9 MICRO E-MINI DOW LONG 11 27847 11/17 19:07 27938 0.33%
Trade id #126223125
Max drawdown($88)
Time11/15/19 6:08
Quant open8
Worst price27799
Drawdown as % of equity-0.33%
$490
Includes Typical Broker Commissions trade costs of $10.34
11/13/19 5:58 @MYMZ9 MICRO E-MINI DOW SHORT 6 27556 11/13 10:16 27645 0.98%
Trade id #126185653
Max drawdown($264)
Time11/13/19 10:16
Quant open6
Worst price27644
Drawdown as % of equity-0.98%
($273)
Includes Typical Broker Commissions trade costs of $5.64
11/7/19 3:57 @MYMZ9 MICRO E-MINI DOW LONG 8 27569 11/8 4:14 27638 0.25%
Trade id #126105336
Max drawdown($67)
Time11/7/19 7:26
Quant open8
Worst price27553
Drawdown as % of equity-0.25%
$265
Includes Typical Broker Commissions trade costs of $7.52
11/4/19 5:02 @MYMZ9 MICRO E-MINI DOW LONG 10 27378 11/4 15:14 27345 0.43%
Trade id #126056992
Max drawdown($115)
Time11/4/19 15:14
Quant open10
Worst price27355
Drawdown as % of equity-0.43%
($174)
Includes Typical Broker Commissions trade costs of $9.40
10/31/19 11:51 @MYMZ9 MICRO E-MINI DOW SHORT 6 26952 11/1 13:37 27239 3.59%
Trade id #126024081
Max drawdown($984)
Time11/1/19 0:00
Quant open6
Worst price27280
Drawdown as % of equity-3.59%
($867)
Includes Typical Broker Commissions trade costs of $5.64
10/28/19 8:58 @MYMZ9 MICRO E-MINI DOW LONG 6 27039 10/28 12:55 26990 0.51%
Trade id #125972286
Max drawdown($141)
Time10/28/19 12:36
Quant open6
Worst price26992
Drawdown as % of equity-0.51%
($153)
Includes Typical Broker Commissions trade costs of $5.64
10/23/19 3:40 @MYMZ9 MICRO E-MINI DOW SHORT 6 26697 10/23 9:39 26806 1.19%
Trade id #125910298
Max drawdown($336)
Time10/23/19 9:39
Quant open6
Worst price26809
Drawdown as % of equity-1.19%
($333)
Includes Typical Broker Commissions trade costs of $5.64
10/22/19 10:16 @MYMZ9 MICRO E-MINI DOW SHORT 6 26767 10/22 12:19 26867 0.89%
Trade id #125893936
Max drawdown($255)
Time10/22/19 12:12
Quant open6
Worst price26852
Drawdown as % of equity-0.89%
($306)
Includes Typical Broker Commissions trade costs of $5.64

Statistics

  • Strategy began
    4/17/2018
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    642.03
  • Age
    21 months ago
  • What it trades
    Futures
  • # Trades
    390
  • # Profitable
    197
  • % Profitable
    50.50%
  • Avg trade duration
    5.4 hours
  • Max peak-to-valley drawdown
    34.35%
  • drawdown period
    Oct 26, 2018 - Oct 30, 2018
  • Annual Return (Compounded)
    74.4%
  • Avg win
    $428.54
  • Avg loss
    $324.24
  • Model Account Values (Raw)
  • Cash
    $31,845
  • Margin Used
    $0
  • Buying Power
    $31,845
  • Ratios
  • W:L ratio
    1.35:1
  • Sharpe Ratio
    1.31
  • Sortino Ratio
    2.57
  • Calmar Ratio
    3.902
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    144.40%
  • Correlation to SP500
    0.00080
  • Return Percent SP500 (cumu) during strategy life
    23.03%
  • Return Statistics
  • Ann Return (w trading costs)
    74.4%
  • Slump
  • Current Slump as Pcnt Equity
    0.14%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.48%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.744%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    93.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    48.00%
  • Chance of 20% account loss
    17.50%
  • Chance of 30% account loss
    3.50%
  • Chance of 40% account loss
    1.50%
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    481
  • Popularity (Last 6 weeks)
    858
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    645
  • 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
    $324
  • Avg Win
    $429
  • Sum Trade PL (losers)
    $62,578.000
  • Age
  • Num Months filled monthly returns table
    22
  • Win / Loss
  • Sum Trade PL (winners)
    $84,423.000
  • # Winners
    197
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    193
  • % Winners
    50.5%
  • Frequency
  • Avg Position Time (mins)
    322.57
  • Avg Position Time (hrs)
    5.38
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    7.92
  • Daily leverage (max)
    35.13
  • Regression
  • Alpha
    0.17
  • Beta
    0.00
  • Treynor Index
    73.93
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    44.31
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    17.09
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.09
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    6.575
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.513
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.108
  • Hold-and-Hope Ratio
    0.152
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.83837
  • SD
    0.66718
  • Sharpe ratio (Glass type estimate)
    1.25658
  • Sharpe ratio (Hedges UMVUE)
    1.20621
  • df
    19.00000
  • t
    1.62224
  • p
    0.28254
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32798
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81041
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35967
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77208
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.38719
  • Upside Potential Ratio
    10.48140
  • Upside part of mean
    1.04770
  • Downside part of mean
    -0.20933
  • Upside SD
    0.68662
  • Downside SD
    0.09996
  • N nonnegative terms
    11.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.09206
  • Mean of criterion
    0.83837
  • SD of predictor
    0.13089
  • SD of criterion
    0.66718
  • Covariance
    -0.02333
  • r
    -0.26714
  • b (slope, estimate of beta)
    -1.36170
  • a (intercept, estimate of alpha)
    0.96373
  • Mean Square Error
    0.43633
  • DF error
    18.00000
  • t(b)
    -1.17610
  • p(b)
    0.63357
  • t(a)
    1.84394
  • p(a)
    0.30070
  • Lowerbound of 95% confidence interval for beta
    -3.79416
  • Upperbound of 95% confidence interval for beta
    1.07077
  • Lowerbound of 95% confidence interval for alpha
    -0.13431
  • Upperbound of 95% confidence interval for alpha
    2.06176
  • Treynor index (mean / b)
    -0.61568
  • Jensen alpha (a)
    0.96373
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.65734
  • SD
    0.53759
  • Sharpe ratio (Glass type estimate)
    1.22276
  • Sharpe ratio (Hedges UMVUE)
    1.17374
  • df
    19.00000
  • t
    1.57857
  • p
    0.28749
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35877
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77426
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38964
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.73711
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.41224
  • Upside Potential Ratio
    8.49983
  • Upside part of mean
    0.87134
  • Downside part of mean
    -0.21401
  • Upside SD
    0.54777
  • Downside SD
    0.10251
  • N nonnegative terms
    11.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.08336
  • Mean of criterion
    0.65734
  • SD of predictor
    0.13152
  • SD of criterion
    0.53759
  • Covariance
    -0.01892
  • r
    -0.26758
  • b (slope, estimate of beta)
    -1.09372
  • a (intercept, estimate of alpha)
    0.74852
  • Mean Square Error
    0.28321
  • DF error
    18.00000
  • t(b)
    -1.17822
  • p(b)
    0.63379
  • t(a)
    1.78463
  • p(a)
    0.30613
  • Lowerbound of 95% confidence interval for beta
    -3.04397
  • Upperbound of 95% confidence interval for beta
    0.85653
  • Lowerbound of 95% confidence interval for alpha
    -0.13266
  • Upperbound of 95% confidence interval for alpha
    1.62969
  • Treynor index (mean / b)
    -0.60101
  • Jensen alpha (a)
    0.74852
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18166
  • Expected Shortfall on VaR
    0.23181
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03847
  • Expected Shortfall on VaR
    0.06627
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.92860
  • Quartile 1
    0.96744
  • Median
    1.00937
  • Quartile 3
    1.05285
  • Maximum
    1.67017
  • Mean of quarter 1
    0.95010
  • Mean of quarter 2
    0.98533
  • Mean of quarter 3
    1.02980
  • Mean of quarter 4
    1.32354
  • Inter Quartile Range
    0.08541
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.15000
  • Mean of outliers high
    1.48588
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.14921
  • VaR(95%) (moments method)
    0.05462
  • Expected Shortfall (moments method)
    0.06353
  • Extreme Value Index (regression method)
    0.50557
  • VaR(95%) (regression method)
    0.05613
  • Expected Shortfall (regression method)
    0.08851
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.03886
  • Quartile 1
    0.04587
  • Median
    0.07198
  • Quartile 3
    0.10284
  • Maximum
    0.12408
  • Mean of quarter 1
    0.03886
  • Mean of quarter 2
    0.04821
  • Mean of quarter 3
    0.09576
  • Mean of quarter 4
    0.12408
  • Inter Quartile Range
    0.05697
  • 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)
    1.27996
  • Compounded annual return (geometric extrapolation)
    0.98426
  • Calmar ratio (compounded annual return / max draw down)
    7.93267
  • Compounded annual return / average of 25% largest draw downs
    7.93267
  • Compounded annual return / Expected Shortfall lognormal
    4.24605
  • 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
    0.71341
  • SD
    0.36499
  • Sharpe ratio (Glass type estimate)
    1.95458
  • Sharpe ratio (Hedges UMVUE)
    1.95130
  • df
    447.00000
  • t
    2.55589
  • p
    0.00546
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.44920
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.45784
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.44700
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.45560
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.04692
  • Upside Potential Ratio
    10.28710
  • Upside part of mean
    1.81345
  • Downside part of mean
    -1.10004
  • Upside SD
    0.32216
  • Downside SD
    0.17628
  • N nonnegative terms
    185.00000
  • N negative terms
    263.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    448.00000
  • Mean of predictor
    0.10289
  • Mean of criterion
    0.71341
  • SD of predictor
    0.13839
  • SD of criterion
    0.36499
  • Covariance
    -0.00373
  • r
    -0.07394
  • b (slope, estimate of beta)
    -0.19502
  • a (intercept, estimate of alpha)
    0.73300
  • Mean Square Error
    0.13279
  • DF error
    446.00000
  • t(b)
    -1.56588
  • p(b)
    0.94096
  • t(a)
    2.62927
  • p(a)
    0.00443
  • Lowerbound of 95% confidence interval for beta
    -0.43979
  • Upperbound of 95% confidence interval for beta
    0.04975
  • Lowerbound of 95% confidence interval for alpha
    0.18523
  • Upperbound of 95% confidence interval for alpha
    1.28173
  • Treynor index (mean / b)
    -3.65807
  • Jensen alpha (a)
    0.73348
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.64870
  • SD
    0.35409
  • Sharpe ratio (Glass type estimate)
    1.83202
  • Sharpe ratio (Hedges UMVUE)
    1.82894
  • df
    447.00000
  • t
    2.39562
  • p
    0.00850
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.32737
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.33469
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.32530
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.33259
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.59510
  • Upside Potential Ratio
    9.77972
  • Upside part of mean
    1.76465
  • Downside part of mean
    -1.11595
  • Upside SD
    0.30683
  • Downside SD
    0.18044
  • N nonnegative terms
    185.00000
  • N negative terms
    263.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    448.00000
  • Mean of predictor
    0.09329
  • Mean of criterion
    0.64870
  • SD of predictor
    0.13859
  • SD of criterion
    0.35409
  • Covariance
    -0.00350
  • r
    -0.07133
  • b (slope, estimate of beta)
    -0.18225
  • a (intercept, estimate of alpha)
    0.66570
  • Mean Square Error
    0.12502
  • DF error
    446.00000
  • t(b)
    -1.51034
  • p(b)
    0.93417
  • t(a)
    2.45980
  • p(a)
    0.00714
  • Lowerbound of 95% confidence interval for beta
    -0.41940
  • Upperbound of 95% confidence interval for beta
    0.05490
  • Lowerbound of 95% confidence interval for alpha
    0.13383
  • Upperbound of 95% confidence interval for alpha
    1.19757
  • Treynor index (mean / b)
    -3.55938
  • Jensen alpha (a)
    0.66570
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03295
  • Expected Shortfall on VaR
    0.04172
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01054
  • Expected Shortfall on VaR
    0.02214
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    448.00000
  • Minimum
    0.91346
  • Quartile 1
    0.99637
  • Median
    1.00000
  • Quartile 3
    1.00532
  • Maximum
    1.18149
  • Mean of quarter 1
    0.98423
  • Mean of quarter 2
    0.99923
  • Mean of quarter 3
    1.00167
  • Mean of quarter 4
    1.02619
  • Inter Quartile Range
    0.00894
  • Number outliers low
    34.00000
  • Percentage of outliers low
    0.07589
  • Mean of outliers low
    0.96662
  • Number of outliers high
    45.00000
  • Percentage of outliers high
    0.10045
  • Mean of outliers high
    1.05023
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54600
  • VaR(95%) (moments method)
    0.01445
  • Expected Shortfall (moments method)
    0.03660
  • Extreme Value Index (regression method)
    0.23162
  • VaR(95%) (regression method)
    0.01399
  • Expected Shortfall (regression method)
    0.02395
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00024
  • Quartile 1
    0.00619
  • Median
    0.01400
  • Quartile 3
    0.06457
  • Maximum
    0.24787
  • Mean of quarter 1
    0.00286
  • Mean of quarter 2
    0.00897
  • Mean of quarter 3
    0.02951
  • Mean of quarter 4
    0.14095
  • Inter Quartile Range
    0.05838
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.18474
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.09532
  • VaR(95%) (moments method)
    0.15133
  • Expected Shortfall (moments method)
    0.16178
  • Extreme Value Index (regression method)
    -0.53549
  • VaR(95%) (regression method)
    0.15377
  • Expected Shortfall (regression method)
    0.17439
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.27503
  • Compounded annual return (geometric extrapolation)
    0.96719
  • Calmar ratio (compounded annual return / max draw down)
    3.90196
  • Compounded annual return / average of 25% largest draw downs
    6.86191
  • Compounded annual return / Expected Shortfall lognormal
    23.18330
  • 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
    -0.15646
  • SD
    0.17216
  • Sharpe ratio (Glass type estimate)
    -0.90878
  • Sharpe ratio (Hedges UMVUE)
    -0.90352
  • df
    130.00000
  • t
    -0.64260
  • p
    0.52814
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.68109
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.86692
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.67750
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87046
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.33712
  • Upside Potential Ratio
    6.57827
  • Upside part of mean
    0.76973
  • Downside part of mean
    -0.92619
  • Upside SD
    0.12576
  • Downside SD
    0.11701
  • N nonnegative terms
    45.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18591
  • Mean of criterion
    -0.15646
  • SD of predictor
    0.12618
  • SD of criterion
    0.17216
  • Covariance
    0.00377
  • r
    0.17375
  • b (slope, estimate of beta)
    0.23708
  • a (intercept, estimate of alpha)
    -0.20054
  • Mean Square Error
    0.02897
  • DF error
    129.00000
  • t(b)
    2.00394
  • p(b)
    0.38994
  • t(a)
    -0.82968
  • p(a)
    0.54634
  • Lowerbound of 95% confidence interval for beta
    0.00301
  • Upperbound of 95% confidence interval for beta
    0.47116
  • Lowerbound of 95% confidence interval for alpha
    -0.67875
  • Upperbound of 95% confidence interval for alpha
    0.27768
  • Treynor index (mean / b)
    -0.65993
  • Jensen alpha (a)
    -0.20054
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.17114
  • SD
    0.17160
  • Sharpe ratio (Glass type estimate)
    -0.99731
  • Sharpe ratio (Hedges UMVUE)
    -0.99155
  • df
    130.00000
  • t
    -0.70521
  • p
    0.53087
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.76996
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.77896
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.76597
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78288
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.44698
  • Upside Potential Ratio
    6.44200
  • Upside part of mean
    0.76190
  • Downside part of mean
    -0.93303
  • Upside SD
    0.12387
  • Downside SD
    0.11827
  • N nonnegative terms
    45.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17789
  • Mean of criterion
    -0.17114
  • SD of predictor
    0.12664
  • SD of criterion
    0.17160
  • Covariance
    0.00376
  • r
    0.17306
  • b (slope, estimate of beta)
    0.23450
  • a (intercept, estimate of alpha)
    -0.21285
  • Mean Square Error
    0.02878
  • DF error
    129.00000
  • t(b)
    1.99567
  • p(b)
    0.39038
  • t(a)
    -0.88376
  • p(a)
    0.54934
  • VAR (95 Confidence Intrvl)
    0.03300
  • Lowerbound of 95% confidence interval for beta
    0.00201
  • Upperbound of 95% confidence interval for beta
    0.46698
  • Lowerbound of 95% confidence interval for alpha
    -0.68937
  • Upperbound of 95% confidence interval for alpha
    0.26367
  • Treynor index (mean / b)
    -0.72980
  • Jensen alpha (a)
    -0.21285
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01793
  • Expected Shortfall on VaR
    0.02226
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00961
  • Expected Shortfall on VaR
    0.01815
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96601
  • Quartile 1
    0.99519
  • Median
    1.00000
  • Quartile 3
    1.00173
  • Maximum
    1.04712
  • Mean of quarter 1
    0.98818
  • Mean of quarter 2
    0.99806
  • Mean of quarter 3
    1.00026
  • Mean of quarter 4
    1.01155
  • Inter Quartile Range
    0.00654
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.97799
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.02527
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32435
  • VaR(95%) (moments method)
    0.01232
  • Expected Shortfall (moments method)
    0.02125
  • Extreme Value Index (regression method)
    0.37164
  • VaR(95%) (regression method)
    0.01112
  • Expected Shortfall (regression method)
    0.01938
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00060
  • Quartile 1
    0.03786
  • Median
    0.07513
  • Quartile 3
    0.11239
  • Maximum
    0.14965
  • Mean of quarter 1
    0.00060
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.14965
  • Inter Quartile Range
    0.07453
  • 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
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -261559000
  • Max Equity Drawdown (num days)
    4
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.13822
  • Compounded annual return (geometric extrapolation)
    -0.13344
  • Calmar ratio (compounded annual return / max draw down)
    -0.89169
  • Compounded annual return / average of 25% largest draw downs
    -0.89169
  • Compounded annual return / Expected Shortfall lognormal
    -5.99443

Strategy Description

*since micro future has rolled out hence we will be trading micro futures max quantity per trade will be 10 micro which will be equal to 1 mini future, this will help me to have more control over the risk and max SL will not exceed over $400 for any trade. i am going to divide micro in 2 units, 1 unit =5 micro to avoid too much moving parts and calculations, so depending on risk either 1 or 2 units will be traded, not at any given point in trade i will exceed 2 units and max risk of $400 per trade* rest trading system remains same as explained below*
SYSTEM SETUP.
. Trading with strict SL, the moment trade is taken SL is set.
. Focus is on trading YM. lot size 1 contract, client can scale up depending on there account size(tip:assign min 15k for 1 lot and scale up 1 lot per 15k)
. Trade can last from few mins to 1 day. sometimes trade can be taken overnight if risk to reward is high.
. given the current volatility suggested amount is min 15k.
. expected DD are 35%. and appx. 7 losers in a row.

SYSTEM GOAL.
My Goal is to make 200-300 points, with 1 contract per month, within the DD range, my focus is on trading just 1 contract and not scaling or compounding, its all up-to the client,depending on their account size and risk tolerance to scale.
MONEY MANAGEMENT RULES.
assign $15k per lot, if we reach our goal of 200-300 points MOM it will be appx 7% and above profits, and appx 70% and above profits YOY on $15k .contract can be doubled if we reach YOY target. This is hypothetical assumption of-course there will be DD months that`s where risk management comes in place.

*TRADING IS MARATHON NOT A SPRINT* *THIS SYSTEM IS NOT HOLY GRAIL*
*TRADING IS RISKY AND NOTHING IS GUARANTEED THERE IS VERY HIGH PROBABILITY OF LOSING CAPITAL*

Summary Statistics

Strategy began
2018-04-17
Suggested Minimum Capital
$25,000
# Trades
390
# Profitable
197
% Profitable
50.5%
Correlation S&P500
0.001
Sharpe Ratio
1.31
Sortino Ratio
2.57
Beta
0.00
Alpha
0.17
Leverage
7.92 Average
35.13 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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