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3 FOLD MYM
(121644864)

Created by: MARKET-TREND-SIGNALS MARKET-TREND-SIGNALS
Started: 12/2018
Stocks, Futures
Last trade: 3 days ago
Trading style: Futures Trend-following

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 $198.00 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.
100.7%
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.

(65.2%)
Max Drawdown
35
Num Trades
88.6%
Win Trades
3.2 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                                             +15.3%+15.3%
2019+16.4%+10.8%(2.3%)+2.6%(14.6%)+15.0%(1.1%)(1.4%)(1.4%)(1.4%)+1.1%(3%)+18.0%
2020(1.5%)  -  (52.4%)+128.7%+31.6%+32.9%+13.8%                              +113.4%

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.

System developer has asked us to delay this information by 9 hours.

Trading Record

This strategy has placed 102 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/18/20 16:06 @MYMU0 MICRO E-MINI DOW LONG 10 25833 6/23 15:52 25926 10.66%
Trade id #129647103
Max drawdown($2,170)
Time6/22/20 0:00
Quant open6
Worst price25229
Drawdown as % of equity-10.66%
$460
Includes Typical Broker Commissions trade costs of $9.40
6/9/20 8:06 @MYMM0 MICRO E-MINI DOW LONG 24 26326 6/18 15:56 26182 50.3%
Trade id #129432071
Max drawdown($9,071)
Time6/15/20 0:00
Quant open9
Worst price24554
Drawdown as % of equity-50.30%
($1,756)
Includes Typical Broker Commissions trade costs of $22.56
6/9/20 3:47 @MYMM0 MICRO E-MINI DOW SHORT 3 27362 6/9 8:04 27265 0.21%
Trade id #129428081
Max drawdown($48)
Time6/9/20 4:03
Quant open3
Worst price27394
Drawdown as % of equity-0.21%
$143
Includes Typical Broker Commissions trade costs of $2.82
6/3/20 9:28 @MYMM0 MICRO E-MINI DOW LONG 9 26107 6/9 3:40 26834 0.53%
Trade id #129330549
Max drawdown($106)
Time6/3/20 9:38
Quant open3
Worst price25894
Drawdown as % of equity-0.53%
$3,264
Includes Typical Broker Commissions trade costs of $8.46
5/27/20 15:44 @MYMM0 MICRO E-MINI DOW LONG 14 25505 6/2 14:39 25546 16.66%
Trade id #129222090
Max drawdown($3,028)
Time5/29/20 0:00
Quant open9
Worst price24992
Drawdown as % of equity-16.66%
$279
Includes Typical Broker Commissions trade costs of $13.16
5/25/20 5:41 @MYMM0 MICRO E-MINI DOW LONG 6 24844 5/26 14:54 25061 2.4%
Trade id #129172075
Max drawdown($462)
Time5/26/20 0:00
Quant open3
Worst price24370
Drawdown as % of equity-2.40%
$644
Includes Typical Broker Commissions trade costs of $5.64
5/22/20 2:14 @MYMM0 MICRO E-MINI DOW LONG 6 24239 5/22 15:28 24332 2.22%
Trade id #129142852
Max drawdown($417)
Time5/22/20 3:16
Quant open6
Worst price24100
Drawdown as % of equity-2.22%
$273
Includes Typical Broker Commissions trade costs of $5.64
5/21/20 4:03 @MYMM0 MICRO E-MINI DOW LONG 4 24389 5/21 15:47 24441 0.86%
Trade id #129123384
Max drawdown($161)
Time5/21/20 4:28
Quant open4
Worst price24309
Drawdown as % of equity-0.86%
$99
Includes Typical Broker Commissions trade costs of $3.76
5/20/20 1:13 @MYMM0 MICRO E-MINI DOW LONG 3 24356 5/20 14:18 24421 1.08%
Trade id #129101386
Max drawdown($201)
Time5/20/20 2:15
Quant open3
Worst price24222
Drawdown as % of equity-1.08%
$95
Includes Typical Broker Commissions trade costs of $2.82
5/19/20 4:26 @MYMM0 MICRO E-MINI DOW SHORT 6 24357 5/20 0:44 24383 2.78%
Trade id #129082853
Max drawdown($515)
Time5/19/20 11:43
Quant open6
Worst price24529
Drawdown as % of equity-2.78%
($85)
Includes Typical Broker Commissions trade costs of $5.64
5/13/20 2:46 @MYMM0 MICRO E-MINI DOW LONG 10 23482 5/19 4:26 24214 23.08%
Trade id #128994826
Max drawdown($3,108)
Time5/14/20 0:00
Quant open8
Worst price22705
Drawdown as % of equity-23.08%
$3,653
Includes Typical Broker Commissions trade costs of $9.40
4/24/20 12:06 @MYMM0 MICRO E-MINI DOW LONG 12 23723 5/12 14:23 23898 18.64%
Trade id #128729455
Max drawdown($2,322)
Time5/4/20 0:00
Quant open9
Worst price23207
Drawdown as % of equity-18.64%
$1,039
Includes Typical Broker Commissions trade costs of $11.28
4/24/20 3:48 @MYMM0 MICRO E-MINI DOW LONG 3 23324 4/24 11:35 23340 0.85%
Trade id #128721430
Max drawdown($120)
Time4/24/20 4:25
Quant open3
Worst price23244
Drawdown as % of equity-0.85%
$21
Includes Typical Broker Commissions trade costs of $2.82
4/21/20 0:52 @MYMM0 MICRO E-MINI DOW LONG 9 23236 4/23 13:27 23332 6.83%
Trade id #128665065
Max drawdown($912)
Time4/21/20 20:29
Quant open5
Worst price22814
Drawdown as % of equity-6.83%
$424
Includes Typical Broker Commissions trade costs of $8.46
4/20/20 14:25 @MYMM0 MICRO E-MINI DOW SHORT 2 23703 4/21 0:50 23330 0.13%
Trade id #128657021
Max drawdown($17)
Time4/20/20 14:37
Quant open2
Worst price23720
Drawdown as % of equity-0.13%
$371
Includes Typical Broker Commissions trade costs of $1.88
4/13/20 7:08 @MYMM0 MICRO E-MINI DOW LONG 13 23384 4/20 14:22 23555 12.16%
Trade id #128530809
Max drawdown($1,509)
Time4/13/20 11:10
Quant open7
Worst price22969
Drawdown as % of equity-12.16%
$1,105
Includes Typical Broker Commissions trade costs of $12.22
4/13/20 4:32 @MYMM0 MICRO E-MINI DOW SHORT 4 23274 4/13 7:07 23399 2.21%
Trade id #128528724
Max drawdown($280)
Time4/13/20 6:47
Quant open4
Worst price23414
Drawdown as % of equity-2.21%
($254)
Includes Typical Broker Commissions trade costs of $3.76
4/1/20 3:20 @MYMM0 MICRO E-MINI DOW LONG 6 21213 4/13 4:16 23295 35.54%
Trade id #128352416
Max drawdown($2,140)
Time4/2/20 0:00
Quant open6
Worst price20500
Drawdown as % of equity-35.54%
$6,240
Includes Typical Broker Commissions trade costs of $5.64
4/1/20 3:07 @MYMM0 MICRO E-MINI DOW LONG 4 21172 4/1 3:13 21212 0.02%
Trade id #128352301
Max drawdown($1)
Time4/1/20 3:13
Quant open4
Worst price21172
Drawdown as % of equity-0.02%
$75
Includes Typical Broker Commissions trade costs of $3.76
3/30/20 1:32 @MYMM0 MICRO E-MINI DOW LONG 3 21616 3/31 15:24 21771 11.39%
Trade id #128307767
Max drawdown($695)
Time3/30/20 3:57
Quant open3
Worst price21153
Drawdown as % of equity-11.39%
$229
Includes Typical Broker Commissions trade costs of $2.82
3/26/20 9:39 @MYMM0 MICRO E-MINI DOW LONG 6 21785 3/26 15:42 21940 4.22%
Trade id #128262947
Max drawdown($240)
Time3/26/20 9:52
Quant open2
Worst price21342
Drawdown as % of equity-4.22%
$458
Includes Typical Broker Commissions trade costs of $5.64
3/6/20 10:43 UDOW PROSHARES ULTRAPRO DOW30 LONG 213 68.42 3/20 13:42 33.44 110.23%
Trade id #127890440
Max drawdown($7,272)
Time3/17/20 0:00
Quant open163
Worst price34.00
Drawdown as % of equity-110.23%
($7,456)
Includes Typical Broker Commissions trade costs of $4.26
2/28/20 12:47 UDOW PROSHARES ULTRAPRO DOW30 LONG 302 93.03 3/5 12:14 93.46 1.57%
Trade id #127771109
Max drawdown($204)
Time2/28/20 15:45
Quant open50
Worst price79.60
Drawdown as % of equity-1.57%
$124
Includes Typical Broker Commissions trade costs of $6.04
12/17/19 10:15 UDOW PROSHARES ULTRAPRO DOW30 LONG 100 121.43 12/19 13:32 122.25 0.22%
Trade id #126653864
Max drawdown($30)
Time12/18/19 0:00
Quant open100
Worst price121.13
Drawdown as % of equity-0.22%
$81
Includes Typical Broker Commissions trade costs of $2.00
12/16/19 14:19 UDOW PROSHARES ULTRAPRO DOW30 SHORT 100 121.63 12/17 10:12 121.37 0.45%
Trade id #126643412
Max drawdown($60)
Time12/17/19 0:00
Quant open100
Worst price122.23
Drawdown as % of equity-0.45%
$24
Includes Typical Broker Commissions trade costs of $2.00
11/21/19 13:05 UDOW PROSHARES ULTRAPRO DOW30 LONG 100 115.42 12/2 12:55 115.74 0.66%
Trade id #126308835
Max drawdown($88)
Time11/21/19 15:54
Quant open100
Worst price114.54
Drawdown as % of equity-0.66%
$30
Includes Typical Broker Commissions trade costs of $2.00
4/17/19 13:47 UDOW PROSHARES ULTRAPRO DOW30 LONG 120 100.32 6/25 14:54 102.40 14.14%
Trade id #123347269
Max drawdown($2,117)
Time4/17/19 13:47
Quant open120
Worst price82.67
Drawdown as % of equity-14.14%
$248
Includes Typical Broker Commissions trade costs of $2.40
2/22/19 9:34 UDOW PROSHARES ULTRAPRO DOW30 LONG 210 97.25 4/2 12:22 98.26 10.58%
Trade id #122640389
Max drawdown($1,526)
Time3/8/19 9:12
Quant open192
Worst price89.30
Drawdown as % of equity-10.58%
$208
Includes Typical Broker Commissions trade costs of $4.20
1/23/19 9:30 UDOW PROSHARES ULTRAPRO DOW30 LONG 200 83.20 2/21 14:59 95.35 5.05%
Trade id #122128735
Max drawdown($638)
Time1/23/19 12:09
Quant open200
Worst price80.01
Drawdown as % of equity-5.05%
$2,426
Includes Typical Broker Commissions trade costs of $4.00
1/11/19 11:47 UDOW PROSHARES ULTRAPRO DOW30 LONG 200 76.56 1/22 13:20 80.00 3.96%
Trade id #121923533
Max drawdown($492)
Time1/14/19 16:01
Quant open200
Worst price74.10
Drawdown as % of equity-3.96%
$684
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    12/24/2018
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    555.86
  • Age
    19 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    35
  • # Profitable
    31
  • % Profitable
    88.60%
  • Avg trade duration
    8.0 days
  • Max peak-to-valley drawdown
    65.18%
  • drawdown period
    Feb 21, 2019 - April 03, 2020
  • Annual Return (Compounded)
    100.7%
  • Avg win
    $989.87
  • Avg loss
    $2,378
  • Model Account Values (Raw)
  • Cash
    $25,820
  • Margin Used
    $9,720
  • Buying Power
    $21,531
  • Ratios
  • W:L ratio
    3.24:1
  • Sharpe Ratio
    0.98
  • Sortino Ratio
    1.75
  • Calmar Ratio
    2.377
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    157.90%
  • Correlation to SP500
    0.47470
  • Return Percent SP500 (cumu) during strategy life
    32.53%
  • Return Statistics
  • Ann Return (w trading costs)
    100.7%
  • Slump
  • Current Slump as Pcnt Equity
    0.01%
  • Instruments
  • Percent Trades Futures
    0.70%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    28.590%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.007%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.30%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    118.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    18.50%
  • Chance of 20% account loss
    2.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • 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)
    608
  • Popularity (Last 6 weeks)
    910
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    809
  • 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
    $2,378
  • Avg Win
    $1,047
  • Sum Trade PL (losers)
    $9,514.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    19
  • Win / Loss
  • Sum Trade PL (winners)
    $32,452.000
  • # Winners
    31
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    79
  • AUM
  • AUM (AutoTrader live capital)
    31342
  • Win / Loss
  • # Losers
    4
  • % Winners
    88.6%
  • Frequency
  • Avg Position Time (mins)
    11478.80
  • Avg Position Time (hrs)
    191.31
  • Avg Trade Length
    8.0 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    3.18
  • Daily leverage (max)
    4.11
  • Regression
  • Alpha
    0.16
  • Beta
    1.13
  • Treynor Index
    0.20
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.11
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    72.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.92
  • MAE:Equity, average, winning trades
    0.07
  • MAE:Equity, average, losing trades
    0.41
  • Avg(MAE) / Avg(PL) - All trades
    2.581
  • 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
    0.50
  • Avg(MAE) / Avg(PL) - Winning trades
    1.028
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.801
  • Hold-and-Hope Ratio
    0.369
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.96975
  • SD
    0.93407
  • Sharpe ratio (Glass type estimate)
    1.03821
  • Sharpe ratio (Hedges UMVUE)
    0.98864
  • df
    16.00000
  • t
    1.23571
  • p
    0.35242
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66204
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.70775
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69331
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67058
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.37244
  • Upside Potential Ratio
    3.51512
  • Upside part of mean
    1.43683
  • Downside part of mean
    -0.46708
  • Upside SD
    0.85583
  • Downside SD
    0.40876
  • N nonnegative terms
    8.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.21086
  • Mean of criterion
    0.96975
  • SD of predictor
    0.27298
  • SD of criterion
    0.93407
  • Covariance
    0.22175
  • r
    0.86969
  • b (slope, estimate of beta)
    2.97589
  • a (intercept, estimate of alpha)
    0.34225
  • Mean Square Error
    0.22674
  • DF error
    15.00000
  • t(b)
    6.82393
  • p(b)
    0.02768
  • t(a)
    0.83373
  • p(a)
    0.36702
  • Lowerbound of 95% confidence interval for beta
    2.04637
  • Upperbound of 95% confidence interval for beta
    3.90541
  • Lowerbound of 95% confidence interval for alpha
    -0.53271
  • Upperbound of 95% confidence interval for alpha
    1.21720
  • Treynor index (mean / b)
    0.32587
  • Jensen alpha (a)
    0.34225
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.58657
  • SD
    0.86606
  • Sharpe ratio (Glass type estimate)
    0.67728
  • Sharpe ratio (Hedges UMVUE)
    0.64494
  • df
    16.00000
  • t
    0.80612
  • p
    0.40122
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99606
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33006
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.01685
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30673
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.07768
  • Upside Potential Ratio
    2.15798
  • Upside part of mean
    1.17456
  • Downside part of mean
    -0.58799
  • Upside SD
    0.66209
  • Downside SD
    0.54429
  • N nonnegative terms
    8.00000
  • N negative terms
    9.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.17247
  • Mean of criterion
    0.58657
  • SD of predictor
    0.28202
  • SD of criterion
    0.86606
  • Covariance
    0.22654
  • r
    0.92749
  • b (slope, estimate of beta)
    2.84828
  • a (intercept, estimate of alpha)
    0.09532
  • Mean Square Error
    0.11181
  • DF error
    15.00000
  • t(b)
    9.60893
  • p(b)
    0.01159
  • t(a)
    0.33381
  • p(a)
    0.44540
  • Lowerbound of 95% confidence interval for beta
    2.21648
  • Upperbound of 95% confidence interval for beta
    3.48008
  • Lowerbound of 95% confidence interval for alpha
    -0.51332
  • Upperbound of 95% confidence interval for alpha
    0.70396
  • Treynor index (mean / b)
    0.20594
  • Jensen alpha (a)
    0.09532
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.30396
  • Expected Shortfall on VaR
    0.37041
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09041
  • Expected Shortfall on VaR
    0.20008
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.53087
  • Quartile 1
    1.00000
  • Median
    1.00193
  • Quartile 3
    1.12281
  • Maximum
    1.82930
  • Mean of quarter 1
    0.87147
  • Mean of quarter 2
    1.00048
  • Mean of quarter 3
    1.06715
  • Mean of quarter 4
    1.44638
  • Inter Quartile Range
    0.12281
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05882
  • Mean of outliers low
    0.53087
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.17647
  • Mean of outliers high
    1.53158
  • 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)
    1.14732
  • VaR(95%) (regression method)
    0.25507
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01401
  • Quartile 1
    0.04973
  • Median
    0.07977
  • Quartile 3
    0.19071
  • Maximum
    0.46913
  • Mean of quarter 1
    0.01401
  • Mean of quarter 2
    0.06164
  • Mean of quarter 3
    0.09790
  • Mean of quarter 4
    0.46913
  • Inter Quartile Range
    0.14098
  • 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
    0.25000
  • Mean of outliers high
    0.46913
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.97985
  • Compounded annual return (geometric extrapolation)
    0.84869
  • Calmar ratio (compounded annual return / max draw down)
    1.80906
  • Compounded annual return / average of 25% largest draw downs
    1.80906
  • Compounded annual return / Expected Shortfall lognormal
    2.29118
  • 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
    0.87845
  • SD
    0.55275
  • Sharpe ratio (Glass type estimate)
    1.58925
  • Sharpe ratio (Hedges UMVUE)
    1.58620
  • df
    391.00000
  • t
    1.94394
  • p
    0.02631
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01793
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.19449
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.19239
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.15188
  • Upside Potential Ratio
    8.56409
  • Upside part of mean
    2.38687
  • Downside part of mean
    -1.50842
  • Upside SD
    0.47960
  • Downside SD
    0.27871
  • N nonnegative terms
    131.00000
  • N negative terms
    261.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    392.00000
  • Mean of predictor
    0.20179
  • Mean of criterion
    0.87845
  • SD of predictor
    0.28691
  • SD of criterion
    0.55275
  • Covariance
    0.06460
  • r
    0.40736
  • b (slope, estimate of beta)
    0.78480
  • a (intercept, estimate of alpha)
    0.72000
  • Mean Square Error
    0.25548
  • DF error
    390.00000
  • t(b)
    8.80859
  • p(b)
    0.00000
  • t(a)
    1.74094
  • p(a)
    0.04124
  • Lowerbound of 95% confidence interval for beta
    0.60963
  • Upperbound of 95% confidence interval for beta
    0.95996
  • Lowerbound of 95% confidence interval for alpha
    -0.09311
  • Upperbound of 95% confidence interval for alpha
    1.53328
  • Treynor index (mean / b)
    1.11933
  • Jensen alpha (a)
    0.72008
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.73579
  • SD
    0.52364
  • Sharpe ratio (Glass type estimate)
    1.40515
  • Sharpe ratio (Hedges UMVUE)
    1.40245
  • df
    391.00000
  • t
    1.71876
  • p
    0.04322
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.20111
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.00963
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20290
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.00781
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.54151
  • Upside Potential Ratio
    7.89234
  • Upside part of mean
    2.28490
  • Downside part of mean
    -1.54911
  • Upside SD
    0.43789
  • Downside SD
    0.28951
  • N nonnegative terms
    131.00000
  • N negative terms
    261.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    392.00000
  • Mean of predictor
    0.16032
  • Mean of criterion
    0.73579
  • SD of predictor
    0.28881
  • SD of criterion
    0.52364
  • Covariance
    0.06259
  • r
    0.41385
  • b (slope, estimate of beta)
    0.75035
  • a (intercept, estimate of alpha)
    0.61549
  • Mean Square Error
    0.22782
  • DF error
    390.00000
  • t(b)
    8.97778
  • p(b)
    0.00000
  • t(a)
    1.57640
  • p(a)
    0.05787
  • Lowerbound of 95% confidence interval for beta
    0.58603
  • Upperbound of 95% confidence interval for beta
    0.91466
  • Lowerbound of 95% confidence interval for alpha
    -0.15214
  • Upperbound of 95% confidence interval for alpha
    1.38313
  • Treynor index (mean / b)
    0.98060
  • Jensen alpha (a)
    0.61549
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04915
  • Expected Shortfall on VaR
    0.06185
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01558
  • Expected Shortfall on VaR
    0.03343
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    392.00000
  • Minimum
    0.88628
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00447
  • Maximum
    1.36882
  • Mean of quarter 1
    0.97725
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00078
  • Mean of quarter 4
    1.03581
  • Inter Quartile Range
    0.00447
  • Number outliers low
    70.00000
  • Percentage of outliers low
    0.17857
  • Mean of outliers low
    0.96902
  • Number of outliers high
    72.00000
  • Percentage of outliers high
    0.18367
  • Mean of outliers high
    1.04583
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.35278
  • VaR(95%) (moments method)
    0.00351
  • Expected Shortfall (moments method)
    0.00378
  • Extreme Value Index (regression method)
    0.06460
  • VaR(95%) (regression method)
    0.02426
  • Expected Shortfall (regression method)
    0.04224
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00052
  • Quartile 1
    0.00914
  • Median
    0.04584
  • Quartile 3
    0.09913
  • Maximum
    0.48211
  • Mean of quarter 1
    0.00370
  • Mean of quarter 2
    0.02286
  • Mean of quarter 3
    0.07785
  • Mean of quarter 4
    0.20239
  • Inter Quartile Range
    0.08999
  • 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
    0.05263
  • Mean of outliers high
    0.48211
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.44703
  • VaR(95%) (moments method)
    0.23310
  • Expected Shortfall (moments method)
    0.45325
  • Extreme Value Index (regression method)
    1.78012
  • VaR(95%) (regression method)
    0.19009
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.42696
  • Compounded annual return (geometric extrapolation)
    1.14619
  • Calmar ratio (compounded annual return / max draw down)
    2.37745
  • Compounded annual return / average of 25% largest draw downs
    5.66331
  • Compounded annual return / Expected Shortfall lognormal
    18.53070
  • 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
    1.67188
  • SD
    0.90803
  • Sharpe ratio (Glass type estimate)
    1.84121
  • Sharpe ratio (Hedges UMVUE)
    1.83057
  • df
    130.00000
  • t
    1.30193
  • p
    0.44327
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94300
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.61853
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95015
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.61129
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.70326
  • Upside Potential Ratio
    10.72870
  • Upside part of mean
    4.84361
  • Downside part of mean
    -3.17173
  • Upside SD
    0.79062
  • Downside SD
    0.45146
  • N nonnegative terms
    49.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.00533
  • Mean of criterion
    1.67188
  • SD of predictor
    0.45927
  • SD of criterion
    0.90803
  • Covariance
    0.16409
  • r
    0.39348
  • b (slope, estimate of beta)
    0.77796
  • a (intercept, estimate of alpha)
    1.66774
  • Mean Square Error
    0.70227
  • DF error
    129.00000
  • t(b)
    4.86120
  • p(b)
    0.25613
  • t(a)
    1.40722
  • p(a)
    0.42192
  • Lowerbound of 95% confidence interval for beta
    0.46133
  • Upperbound of 95% confidence interval for beta
    1.09459
  • Lowerbound of 95% confidence interval for alpha
    -0.67708
  • Upperbound of 95% confidence interval for alpha
    4.01255
  • Treynor index (mean / b)
    2.14906
  • Jensen alpha (a)
    1.66774
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.29052
  • SD
    0.85640
  • Sharpe ratio (Glass type estimate)
    1.50692
  • Sharpe ratio (Hedges UMVUE)
    1.49821
  • df
    130.00000
  • t
    1.06555
  • p
    0.45348
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.27372
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.28199
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.27958
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.27599
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.74282
  • Upside Potential Ratio
    9.71197
  • Upside part of mean
    4.56958
  • Downside part of mean
    -3.27906
  • Upside SD
    0.71610
  • Downside SD
    0.47051
  • N nonnegative terms
    49.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.10034
  • Mean of criterion
    1.29052
  • SD of predictor
    0.46280
  • SD of criterion
    0.85640
  • Covariance
    0.15836
  • r
    0.39954
  • b (slope, estimate of beta)
    0.73934
  • a (intercept, estimate of alpha)
    1.36471
  • Mean Square Error
    0.62112
  • DF error
    129.00000
  • t(b)
    4.95020
  • p(b)
    0.25258
  • t(a)
    1.22433
  • p(a)
    0.43190
  • VAR (95 Confidence Intrvl)
    0.04900
  • Lowerbound of 95% confidence interval for beta
    0.44384
  • Upperbound of 95% confidence interval for beta
    1.03484
  • Lowerbound of 95% confidence interval for alpha
    -0.84067
  • Upperbound of 95% confidence interval for alpha
    3.57010
  • Treynor index (mean / b)
    1.74551
  • Jensen alpha (a)
    1.36471
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07882
  • Expected Shortfall on VaR
    0.09879
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03183
  • Expected Shortfall on VaR
    0.06378
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.88628
  • Quartile 1
    0.98886
  • Median
    1.00000
  • Quartile 3
    1.01684
  • Maximum
    1.36882
  • Mean of quarter 1
    0.95346
  • Mean of quarter 2
    0.99875
  • Mean of quarter 3
    1.00378
  • Mean of quarter 4
    1.06988
  • Inter Quartile Range
    0.02798
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.92000
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.12030
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.24431
  • VaR(95%) (moments method)
    0.03858
  • Expected Shortfall (moments method)
    0.06557
  • Extreme Value Index (regression method)
    -0.01747
  • VaR(95%) (regression method)
    0.04314
  • Expected Shortfall (regression method)
    0.06202
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00052
  • Quartile 1
    0.07101
  • Median
    0.09427
  • Quartile 3
    0.14498
  • Maximum
    0.48211
  • Mean of quarter 1
    0.03547
  • Mean of quarter 2
    0.08292
  • Mean of quarter 3
    0.13646
  • Mean of quarter 4
    0.31781
  • Inter Quartile Range
    0.07397
  • 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
    0.14286
  • Mean of outliers high
    0.48211
  • 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
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -243726000
  • Max Equity Drawdown (num days)
    407
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.86655
  • Compounded annual return (geometric extrapolation)
    2.73756
  • Calmar ratio (compounded annual return / max draw down)
    5.67827
  • Compounded annual return / average of 25% largest draw downs
    8.61391
  • Compounded annual return / Expected Shortfall lognormal
    27.71050

Strategy Description

With over a decade of trading experience, we developed an algorithm many years ago which can accurately prompt buy and sell signals for trading stock and futures markets. We use signals generated from this system for predicting major stock and futures markets such as Dow Jones e-mini futures market (YM), and ETFs such as UDOW which have a higher leverage in general. Concepts of Nobel Prize winners have been incorporated in our algorithm.

The trades can be reversed when an opposite signal is given, so the trade is almost always on.

Summary Statistics

Strategy began
2018-12-24
Suggested Minimum Capital
$25,000
# Trades
35
# Profitable
31
% Profitable
88.6%
Net Dividends
Correlation S&P500
0.475
Sharpe Ratio
0.98
Sortino Ratio
1.75
Beta
1.13
Alpha
0.16
Leverage
3.18 Average
4.11 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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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.