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

3 FOLD MYM
(121644864)

Created by: MARKET-TREND-SIGNALS MARKET-TREND-SIGNALS
Started: 12/2018
Futures
Last trade: 1,245 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.
-
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.

(100.0%)
Max Drawdown
65
Num Trades
80.0%
Win Trades
0.5 : 1
Profit Factor
22.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                                             +15.0%+15.0%
2019+16.1%+10.6%(2.5%)+2.4%(15%)+15.0%(1.4%)(1.6%)(1.7%)(1.7%)+0.9%(3.3%)+14.6%
2020(1.8%)(0.3%)(54.7%)+139.8%+32.6%+33.8%+63.4%+121.2%+19.3%(104.2%)(405.5%)(1181.6%)(1240.8%)
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -  
2023  -    -    -    -    -    -    -  0.0
2024  -                                                              

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 229 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
10/12/20 1:23 @MYMZ0 MICRO E-MINI DOW LONG 2 28581 10/14 1:22 28611 0.1%
Trade id #131635056
Max drawdown($106)
Time10/12/20 5:00
Quant open2
Worst price28475
Drawdown as % of equity-0.10%
$28
Includes Typical Broker Commissions trade costs of $1.88
10/9/20 3:38 @MYMZ0 MICRO E-MINI DOW LONG 20 28419 10/9 14:37 28450 0.9%
Trade id #131607601
Max drawdown($950)
Time10/9/20 10:28
Quant open20
Worst price28324
Drawdown as % of equity-0.90%
$291
Includes Typical Broker Commissions trade costs of $18.80
10/8/20 7:28 @MYMZ0 MICRO E-MINI DOW LONG 20 28367 10/9 2:02 28402 2.09%
Trade id #131585964
Max drawdown($2,168)
Time10/8/20 11:34
Quant open20
Worst price28151
Drawdown as % of equity-2.09%
$324
Includes Typical Broker Commissions trade costs of $18.80
10/2/20 0:39 @MYMZ0 MICRO E-MINI DOW LONG 20 27631 10/2 1:02 27344 4.48%
Trade id #131475298
Max drawdown($3,855)
Time10/2/20 1:01
Quant open20
Worst price27246
Drawdown as % of equity-4.48%
($2,894)
Includes Typical Broker Commissions trade costs of $18.80
9/30/20 3:30 @YMZ0 MINI DOW LONG 5 27239 10/1 4:25 27892 4.03%
Trade id #131430266
Max drawdown($3,700)
Time9/30/20 5:29
Quant open5
Worst price27091
Drawdown as % of equity-4.03%
$16,285
Includes Typical Broker Commissions trade costs of $40.00
9/29/20 13:05 @YMZ0 MINI DOW LONG 2 27286 9/29 15:48 27398 0.65%
Trade id #131419116
Max drawdown($590)
Time9/29/20 13:16
Quant open2
Worst price27227
Drawdown as % of equity-0.65%
$1,104
Includes Typical Broker Commissions trade costs of $16.00
9/22/20 8:38 @YMZ0 MINI DOW LONG 22 27014 9/29 11:11 27017 11.26%
Trade id #131288858
Max drawdown($9,300)
Time9/24/20 0:00
Quant open3
Worst price26407
Drawdown as % of equity-11.26%
$174
Includes Typical Broker Commissions trade costs of $176.00
9/22/20 12:00 @MYMZ0 MICRO E-MINI DOW LONG 16 26814 9/24 16:00 26837 1.99%
Trade id #131295999
Max drawdown($1,900)
Time9/23/20 0:00
Quant open10
Worst price26587
Drawdown as % of equity-1.99%
$167
Includes Typical Broker Commissions trade costs of $15.04
9/22/20 11:05 @MYMZ0 MICRO E-MINI DOW SHORT 20 26885 9/22 11:57 26956 1%
Trade id #131293956
Max drawdown($883)
Time9/22/20 11:42
Quant open20
Worst price26974
Drawdown as % of equity-1.00%
($724)
Includes Typical Broker Commissions trade costs of $18.80
9/18/20 12:36 @YMU0 MINI DOW SHORT 4 27921 9/18 12:43 28019 2.14%
Trade id #131246047
Max drawdown($1,960)
Time9/18/20 12:43
Quant open4
Worst price28019
Drawdown as % of equity-2.14%
($1,992)
Includes Typical Broker Commissions trade costs of $32.00
9/17/20 5:26 @YMZ0 MINI DOW LONG 2 27675 9/18 11:40 27722 1.61%
Trade id #131216747
Max drawdown($1,430)
Time9/17/20 9:32
Quant open2
Worst price27532
Drawdown as % of equity-1.61%
$454
Includes Typical Broker Commissions trade costs of $16.00
9/3/20 14:35 @YMU0 MINI DOW LONG 14 28066 9/18 11:28 27837 48.03%
Trade id #130985594
Max drawdown($38,790)
Time9/9/20 0:00
Quant open8
Worst price27185
Drawdown as % of equity-48.03%
($16,162)
Includes Typical Broker Commissions trade costs of $112.00
9/10/20 12:41 @MYMU0 MICRO E-MINI DOW SHORT 20 27747 9/10 15:52 27570 1.51%
Trade id #131112781
Max drawdown($1,383)
Time9/10/20 13:19
Quant open20
Worst price27886
Drawdown as % of equity-1.51%
$1,758
Includes Typical Broker Commissions trade costs of $18.80
9/8/20 7:39 @MYMU0 MICRO E-MINI DOW SHORT 38 27945 9/8 12:23 27724 0.34%
Trade id #131054227
Max drawdown($313)
Time9/8/20 7:59
Quant open38
Worst price27962
Drawdown as % of equity-0.34%
$4,173
Includes Typical Broker Commissions trade costs of $35.72
9/3/20 14:40 @MYMU0 MICRO E-MINI DOW LONG 2 28331 9/8 7:39 27961 0.66%
Trade id #130985696
Max drawdown($689)
Time9/4/20 0:00
Quant open2
Worst price27642
Drawdown as % of equity-0.66%
($372)
Includes Typical Broker Commissions trade costs of $1.88
8/25/20 4:23 @MYMU0 MICRO E-MINI DOW SHORT 51 28544 9/3 14:36 28350 2.74%
Trade id #130771071
Max drawdown($2,693)
Time9/3/20 10:37
Quant open20
Worst price28900
Drawdown as % of equity-2.74%
$4,908
Includes Typical Broker Commissions trade costs of $47.94
8/31/20 14:04 @YMU0 MINI DOW LONG 4 28426 9/3 10:29 28863 1.75%
Trade id #130899856
Max drawdown($1,570)
Time9/1/20 0:00
Quant open2
Worst price28257
Drawdown as % of equity-1.75%
$8,718
Includes Typical Broker Commissions trade costs of $32.00
8/31/20 9:54 @YMU0 MINI DOW SHORT 2 28462 8/31 14:04 28414 0.25%
Trade id #130893275
Max drawdown($230)
Time8/31/20 9:56
Quant open2
Worst price28485
Drawdown as % of equity-0.25%
$464
Includes Typical Broker Commissions trade costs of $16.00
8/27/20 13:58 @YMU0 MINI DOW LONG 2 28486 8/31 9:52 28481 0.65%
Trade id #130825271
Max drawdown($580)
Time8/27/20 16:00
Quant open2
Worst price28428
Drawdown as % of equity-0.65%
($66)
Includes Typical Broker Commissions trade costs of $16.00
8/25/20 3:34 @YMU0 MINI DOW LONG 10 28295 8/27 12:47 28306 9.56%
Trade id #130770652
Max drawdown($8,010)
Time8/25/20 11:45
Quant open4
Worst price28042
Drawdown as % of equity-9.56%
$440
Includes Typical Broker Commissions trade costs of $80.00
8/17/20 10:50 @YMU0 MINI DOW LONG 10 27756 8/24 14:57 28045 17.64%
Trade id #130649953
Max drawdown($11,647)
Time8/20/20 0:00
Quant open6
Worst price27392
Drawdown as % of equity-17.64%
$14,370
Includes Typical Broker Commissions trade costs of $80.00
7/22/20 14:38 @YMU0 MINI DOW LONG 17 26687 8/14 15:00 26916 57.82%
Trade id #130223099
Max drawdown($27,415)
Time7/30/20 0:00
Quant open7
Worst price25881
Drawdown as % of equity-57.82%
$19,314
Includes Typical Broker Commissions trade costs of $136.00
7/24/20 3:55 @MYMU0 MICRO E-MINI DOW LONG 4 26342 7/27 14:56 26399 0.21%
Trade id #130255309
Max drawdown($100)
Time7/24/20 15:32
Quant open4
Worst price26292
Drawdown as % of equity-0.21%
$110
Includes Typical Broker Commissions trade costs of $3.76
7/9/20 13:15 @MYMU0 MICRO E-MINI DOW LONG 11 25653 7/22 14:00 26543 9.6%
Trade id #129997035
Max drawdown($1,978)
Time7/10/20 0:00
Quant open11
Worst price25294
Drawdown as % of equity-9.60%
$4,883
Includes Typical Broker Commissions trade costs of $10.34
7/22/20 5:55 @YMU0 MINI DOW LONG 3 26626 7/22 13:35 26771 1.35%
Trade id #130206898
Max drawdown($730)
Time7/22/20 6:18
Quant open3
Worst price26577
Drawdown as % of equity-1.35%
$2,151
Includes Typical Broker Commissions trade costs of $24.00
7/14/20 1:10 @YMU0 MINI DOW LONG 9 26286 7/21 14:33 26540 7.18%
Trade id #130061504
Max drawdown($3,110)
Time7/14/20 9:31
Quant open5
Worst price25874
Drawdown as % of equity-7.18%
$11,363
Includes Typical Broker Commissions trade costs of $72.00
7/3/20 12:25 @YMU0 MINI DOW LONG 9 25810 7/13 14:30 26058 40.61%
Trade id #129898119
Max drawdown($11,728)
Time7/9/20 0:00
Quant open5
Worst price25397
Drawdown as % of equity-40.61%
$11,068
Includes Typical Broker Commissions trade costs of $72.00
7/3/20 10:44 @MYMU0 MICRO E-MINI DOW SHORT 18 25631 7/9 13:15 25636 2.1%
Trade id #129896436
Max drawdown($561)
Time7/8/20 0:00
Quant open4
Worst price25998
Drawdown as % of equity-2.10%
($67)
Includes Typical Broker Commissions trade costs of $16.92
6/24/20 8:49 @MYMU0 MICRO E-MINI DOW LONG 24 25264 7/2 15:39 25712 20.17%
Trade id #129722328
Max drawdown($3,937)
Time6/29/20 0:00
Quant open13
Worst price24742
Drawdown as % of equity-20.17%
$5,346
Includes Typical Broker Commissions trade costs of $22.56
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

Statistics

  • Strategy began
    12/24/2018
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    1920.86
  • Age
    64 months ago
  • What it trades
    Futures
  • # Trades
    65
  • # Profitable
    52
  • % Profitable
    80.00%
  • Avg trade duration
    45.2 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Dec 28, 2018 - Dec 31, 2020
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $2,578
  • Avg loss
    $22,102
  • Model Account Values (Raw)
  • Cash
    $112,605
  • Margin Used
    $10,912
  • Buying Power
    $96,876
  • Ratios
  • W:L ratio
    0.47:1
  • Sharpe Ratio
    -0.22
  • Sortino Ratio
    -0.26
  • Calmar Ratio
    -0.974
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -1672.00%
  • Correlation to SP500
    0.31770
  • Return Percent SP500 (cumu) during strategy life
    123.24%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.87%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.65%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.13%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • 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 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    463
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    272
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $22,103
  • Avg Win
    $2,579
  • Sum Trade PL (losers)
    $287,337.000
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $134,104.000
  • # Winners
    52
  • Num Months Winners
    12
  • Dividends
  • Dividends Received in Model Acct
    79
  • Win / Loss
  • # Losers
    13
  • % Winners
    80.0%
  • Frequency
  • Avg Position Time (mins)
    65108.30
  • Avg Position Time (hrs)
    1085.14
  • Avg Trade Length
    45.2 days
  • Last Trade Ago
    1245
  • Leverage
  • Daily leverage (average)
    3.18
  • Daily leverage (max)
    4.11
  • Regression
  • Alpha
    0.00
  • Beta
    1.49
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.15
  • 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)
    1.99
  • MAE:Equity, average, winning trades
    0.14
  • MAE:Equity, average, losing trades
    0.21
  • Avg(MAE) / Avg(PL) - All trades
    2.440
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.471
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.042
  • Hold-and-Hope Ratio
    0.556
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.35093
  • SD
    1.86211
  • Sharpe ratio (Glass type estimate)
    0.72549
  • Sharpe ratio (Hedges UMVUE)
    0.70585
  • df
    28.00000
  • t
    1.12781
  • p
    0.13448
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.55567
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.99408
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56841
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98011
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.44529
  • Upside Potential Ratio
    2.65016
  • Upside part of mean
    2.47715
  • Downside part of mean
    -1.12621
  • Upside SD
    1.62057
  • Downside SD
    0.93472
  • N nonnegative terms
    12.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.25819
  • Mean of criterion
    1.35093
  • SD of predictor
    0.22534
  • SD of criterion
    1.86211
  • Covariance
    0.20154
  • r
    0.48032
  • b (slope, estimate of beta)
    3.96913
  • a (intercept, estimate of alpha)
    0.32613
  • Mean Square Error
    2.76628
  • DF error
    27.00000
  • t(b)
    2.84553
  • p(b)
    0.00418
  • t(a)
    0.28890
  • p(a)
    0.38743
  • Lowerbound of 95% confidence interval for beta
    1.10710
  • Upperbound of 95% confidence interval for beta
    6.83115
  • Lowerbound of 95% confidence interval for alpha
    -1.99014
  • Upperbound of 95% confidence interval for alpha
    2.64241
  • Treynor index (mean / b)
    0.34036
  • Jensen alpha (a)
    0.32613
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.83908
  • SD
    6.74619
  • Sharpe ratio (Glass type estimate)
    -0.56907
  • Sharpe ratio (Hedges UMVUE)
    -0.55367
  • df
    28.00000
  • t
    -0.88466
  • p
    0.80806
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.83358
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.70536
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.82276
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71542
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.57819
  • Upside Potential Ratio
    0.26386
  • Upside part of mean
    1.75200
  • Downside part of mean
    -5.59108
  • Upside SD
    1.04038
  • Downside SD
    6.63985
  • N nonnegative terms
    12.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.22998
  • Mean of criterion
    -3.83908
  • SD of predictor
    0.23094
  • SD of criterion
    6.74619
  • Covariance
    0.16360
  • r
    0.10501
  • b (slope, estimate of beta)
    3.06734
  • a (intercept, estimate of alpha)
    -4.54451
  • Mean Square Error
    46.67630
  • DF error
    27.00000
  • t(b)
    0.54865
  • p(b)
    0.29388
  • t(a)
    -0.99246
  • p(a)
    0.83511
  • Lowerbound of 95% confidence interval for beta
    -8.40375
  • Upperbound of 95% confidence interval for beta
    14.53840
  • Lowerbound of 95% confidence interval for alpha
    -13.93990
  • Upperbound of 95% confidence interval for alpha
    4.85088
  • Treynor index (mean / b)
    -1.25160
  • Jensen alpha (a)
    -4.54451
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.97049
  • Expected Shortfall on VaR
    0.98415
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.23406
  • Expected Shortfall on VaR
    0.50533
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    29.00000
  • Minimum
    0.00005
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.19081
  • Maximum
    2.90604
  • Mean of quarter 1
    0.66450
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.06591
  • Mean of quarter 4
    1.79357
  • Inter Quartile Range
    0.19081
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.10345
  • Mean of outliers low
    0.20278
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.13793
  • Mean of outliers high
    2.12185
  • 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)
    0.11865
  • VaR(95%) (regression method)
    0.38004
  • Expected Shortfall (regression method)
    0.66406
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.01401
  • Quartile 1
    0.06164
  • Median
    0.09790
  • Quartile 3
    0.46913
  • Maximum
    0.99999
  • Mean of quarter 1
    0.03782
  • Mean of quarter 2
    0.09790
  • Mean of quarter 3
    0.46913
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.40750
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.41375
  • Compounded annual return (geometric extrapolation)
    -0.97788
  • Calmar ratio (compounded annual return / max draw down)
    -0.97789
  • Compounded annual return / average of 25% largest draw downs
    -0.97789
  • Compounded annual return / Expected Shortfall lognormal
    -0.99363
  • 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
    0.75911
  • SD
    1.35767
  • Sharpe ratio (Glass type estimate)
    0.55913
  • Sharpe ratio (Hedges UMVUE)
    0.55848
  • df
    648.00000
  • t
    0.88000
  • p
    0.18959
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.68675
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80461
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68720
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80416
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.74771
  • Upside Potential Ratio
    3.74331
  • Upside part of mean
    3.80038
  • Downside part of mean
    -3.04127
  • Upside SD
    0.90107
  • Downside SD
    1.01524
  • N nonnegative terms
    200.00000
  • N negative terms
    449.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    649.00000
  • Mean of predictor
    0.23248
  • Mean of criterion
    0.75911
  • SD of predictor
    0.25811
  • SD of criterion
    1.35767
  • Covariance
    0.07636
  • r
    0.21790
  • b (slope, estimate of beta)
    1.14616
  • a (intercept, estimate of alpha)
    0.46800
  • Mean Square Error
    1.75848
  • DF error
    647.00000
  • t(b)
    5.67890
  • p(b)
    0.00000
  • t(a)
    0.58380
  • p(a)
    0.27978
  • Lowerbound of 95% confidence interval for beta
    0.74984
  • Upperbound of 95% confidence interval for beta
    1.54248
  • Lowerbound of 95% confidence interval for alpha
    -1.16438
  • Upperbound of 95% confidence interval for alpha
    2.14968
  • Treynor index (mean / b)
    0.66231
  • Jensen alpha (a)
    0.49265
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -3.74610
  • SD
    6.55750
  • Sharpe ratio (Glass type estimate)
    -0.57127
  • Sharpe ratio (Hedges UMVUE)
    -0.57061
  • df
    648.00000
  • t
    -0.89911
  • p
    0.81554
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.81677
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.67462
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.81630
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.67509
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.57514
  • Upside Potential Ratio
    0.53474
  • Upside part of mean
    3.48298
  • Downside part of mean
    -7.22908
  • Upside SD
    0.75121
  • Downside SD
    6.51336
  • N nonnegative terms
    200.00000
  • N negative terms
    449.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    649.00000
  • Mean of predictor
    0.19888
  • Mean of criterion
    -3.74610
  • SD of predictor
    0.25956
  • SD of criterion
    6.55750
  • Covariance
    0.06256
  • r
    0.03676
  • b (slope, estimate of beta)
    0.92859
  • a (intercept, estimate of alpha)
    -3.93078
  • Mean Square Error
    43.00910
  • DF error
    647.00000
  • t(b)
    0.93555
  • p(b)
    0.17493
  • t(a)
    -0.94229
  • p(a)
    0.82680
  • Lowerbound of 95% confidence interval for beta
    -1.02044
  • Upperbound of 95% confidence interval for beta
    2.87761
  • Lowerbound of 95% confidence interval for alpha
    -12.12220
  • Upperbound of 95% confidence interval for alpha
    4.26059
  • Treynor index (mean / b)
    -4.03419
  • Jensen alpha (a)
    -3.93078
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.49372
  • Expected Shortfall on VaR
    0.56803
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03178
  • Expected Shortfall on VaR
    0.07300
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    649.00000
  • Minimum
    0.00004
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00425
  • Maximum
    1.83418
  • Mean of quarter 1
    0.95408
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00051
  • Mean of quarter 4
    1.05773
  • Inter Quartile Range
    0.00425
  • Number outliers low
    122.00000
  • Percentage of outliers low
    0.18798
  • Mean of outliers low
    0.93921
  • Number of outliers high
    134.00000
  • Percentage of outliers high
    0.20647
  • Mean of outliers high
    1.06825
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.44135
  • VaR(95%) (moments method)
    0.00388
  • Expected Shortfall (moments method)
    0.00500
  • Extreme Value Index (regression method)
    0.52320
  • VaR(95%) (regression method)
    0.03160
  • Expected Shortfall (regression method)
    0.09531
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    29.00000
  • Minimum
    0.00052
  • Quartile 1
    0.01246
  • Median
    0.07158
  • Quartile 3
    0.13646
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00568
  • Mean of quarter 2
    0.03886
  • Mean of quarter 3
    0.10151
  • Mean of quarter 4
    0.34489
  • Inter Quartile Range
    0.12400
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.06897
  • Mean of outliers high
    0.74105
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.69011
  • VaR(95%) (moments method)
    0.39257
  • Expected Shortfall (moments method)
    1.25336
  • Extreme Value Index (regression method)
    1.65266
  • VaR(95%) (regression method)
    0.36948
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.40366
  • Compounded annual return (geometric extrapolation)
    -0.97572
  • Calmar ratio (compounded annual return / max draw down)
    -0.97573
  • Compounded annual return / average of 25% largest draw downs
    -2.82909
  • Compounded annual return / Expected Shortfall lognormal
    -1.71773
  • 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
    -2.02782
  • SD
    1.41415
  • Sharpe ratio (Glass type estimate)
    -1.43395
  • Sharpe ratio (Hedges UMVUE)
    -1.42566
  • df
    130.00000
  • t
    -1.01395
  • p
    0.54429
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.20857
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.34599
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.20288
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35156
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.43379
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -2.02782
  • Upside SD
    0.00000
  • Downside SD
    1.41431
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19805
  • Mean of criterion
    -2.02782
  • SD of predictor
    0.23818
  • SD of criterion
    1.41415
  • Covariance
    -0.01124
  • r
    -0.03336
  • b (slope, estimate of beta)
    -0.19809
  • a (intercept, estimate of alpha)
    -1.98859
  • Mean Square Error
    2.01309
  • DF error
    129.00000
  • t(b)
    -0.37916
  • p(b)
    0.52124
  • t(a)
    -0.98974
  • p(a)
    0.55520
  • Lowerbound of 95% confidence interval for beta
    -1.23179
  • Upperbound of 95% confidence interval for beta
    0.83560
  • Lowerbound of 95% confidence interval for alpha
    -5.96385
  • Upperbound of 95% confidence interval for alpha
    1.98666
  • Treynor index (mean / b)
    10.23660
  • Jensen alpha (a)
    -1.98859
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -20.19660
  • SD
    14.26140
  • Sharpe ratio (Glass type estimate)
    -1.41617
  • Sharpe ratio (Hedges UMVUE)
    -1.40798
  • df
    130.00000
  • t
    -1.00138
  • p
    0.54375
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.19066
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.36364
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.18507
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.36910
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.41616
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -20.19660
  • Upside SD
    0.00000
  • Downside SD
    14.26160
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16973
  • Mean of criterion
    -20.19660
  • SD of predictor
    0.23874
  • SD of criterion
    14.26140
  • Covariance
    -0.11511
  • r
    -0.03381
  • b (slope, estimate of beta)
    -2.01963
  • a (intercept, estimate of alpha)
    -19.85380
  • Mean Square Error
    204.73100
  • DF error
    129.00000
  • t(b)
    -0.38421
  • p(b)
    0.52152
  • t(a)
    -0.98020
  • p(a)
    0.55467
  • VAR (95 Confidence Intrvl)
    0.49100
  • Lowerbound of 95% confidence interval for beta
    -12.41970
  • Upperbound of 95% confidence interval for beta
    8.38048
  • Lowerbound of 95% confidence interval for alpha
    -59.92840
  • Upperbound of 95% confidence interval for alpha
    20.22080
  • Treynor index (mean / b)
    10.00020
  • Jensen alpha (a)
    -19.85380
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.78267
  • Expected Shortfall on VaR
    0.84250
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02689
  • Expected Shortfall on VaR
    0.06109
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00004
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    0.96970
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.00004
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99996
  • Quartile 1
    0.99996
  • Median
    0.99996
  • Quartile 3
    0.99996
  • Maximum
    0.99996
  • 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
  • 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?
    -308262000
  • Max Equity Drawdown (num days)
    734
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99992
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00004
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.18694

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
65
# Profitable
52
% Profitable
80.0%
Net Dividends
Correlation S&P500
0.318
Sharpe Ratio
-0.22
Sortino Ratio
-0.26
Beta
1.49
Alpha
0.00
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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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.