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OPN Energy 8868
(122087689)

Created by: OPNTrader OPNTrader
Started: 01/2019
Futures
Last trade: 2 days ago
Trading style: Futures Momentum

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 $176.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
91.4%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(14.2%)
Max Drawdown
699
Num Trades
34.6%
Win Trades
1.3 : 1
Profit Factor
62.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019+10.7%+42.1%+17.2%+2.6%(0.7%)(3.4%)+13.3%(6.9%)                        +91.4%

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.

Trading Record

This strategy has placed 1,406 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/16/19 11:09 QGCZ9 Gold 100 oz SHORT 1 1516.8 8/16 11:30 1520.2 0.66%
Trade id #124965685
Max drawdown($320)
Time8/16/19 11:09
Quant open1
Worst price1520.0
Drawdown as % of equity-0.66%
($348)
Includes Typical Broker Commissions trade costs of $8.00
8/16/19 8:13 QHGU9 Copper SHORT 1 258.60 8/16 10:21 259.70 0.48%
Trade id #124962461
Max drawdown($237)
Time8/16/19 8:13
Quant open1
Worst price259.55
Drawdown as % of equity-0.48%
($283)
Includes Typical Broker Commissions trade costs of $8.00
8/16/19 8:15 QSIU9 Silver 5000 oz SHORT 1 17.145 8/16 10:00 17.215 0.51%
Trade id #124962474
Max drawdown($250)
Time8/16/19 8:15
Quant open1
Worst price17.195
Drawdown as % of equity-0.51%
($358)
Includes Typical Broker Commissions trade costs of $8.00
8/16/19 8:50 QCLV9 CRUDE OIL SHORT 1 54.78 8/16 9:34 54.97 0.12%
Trade id #124962697
Max drawdown($60)
Time8/16/19 8:50
Quant open1
Worst price54.84
Drawdown as % of equity-0.12%
($198)
Includes Typical Broker Commissions trade costs of $8.00
8/16/19 8:00 QCLV9 CRUDE OIL SHORT 1 54.66 8/16 8:10 54.76 0.26%
Trade id #124962365
Max drawdown($130)
Time8/16/19 8:00
Quant open1
Worst price54.79
Drawdown as % of equity-0.26%
($108)
Includes Typical Broker Commissions trade costs of $8.00
8/16/19 3:23 QCLV9 CRUDE OIL LONG 2 55.07 8/16 7:22 54.87 0.4%
Trade id #124960356
Max drawdown($200)
Time8/16/19 3:23
Quant open2
Worst price54.97
Drawdown as % of equity-0.40%
($412)
Includes Typical Broker Commissions trade costs of $12.00
8/16/19 1:49 QHGU9 Copper LONG 1 260.10 8/16 3:53 259.00 0.28%
Trade id #124959629
Max drawdown($137)
Time8/16/19 1:49
Quant open1
Worst price259.55
Drawdown as % of equity-0.28%
($283)
Includes Typical Broker Commissions trade costs of $8.00
8/15/19 13:55 QSIU9 Silver 5000 oz LONG 1 17.250 8/15 14:01 17.230 0.25%
Trade id #124954175
Max drawdown($125)
Time8/15/19 13:55
Quant open1
Worst price17.225
Drawdown as % of equity-0.25%
($108)
Includes Typical Broker Commissions trade costs of $8.00
8/15/19 13:31 QCLU9 CRUDE OIL SHORT 1 54.20 8/15 13:59 54.40 0.1%
Trade id #124953668
Max drawdown($50)
Time8/15/19 13:31
Quant open1
Worst price54.25
Drawdown as % of equity-0.10%
($208)
Includes Typical Broker Commissions trade costs of $8.00
8/15/19 12:52 QGCZ9 Gold 100 oz LONG 1 1532.3 8/15 13:02 1529.9 0.5%
Trade id #124953112
Max drawdown($250)
Time8/15/19 12:52
Quant open1
Worst price1529.8
Drawdown as % of equity-0.50%
($248)
Includes Typical Broker Commissions trade costs of $8.00
8/15/19 8:57 QSIU9 Silver 5000 oz SHORT 2 17.145 8/15 9:34 17.200 1.37%
Trade id #124947608
Max drawdown($700)
Time8/15/19 8:57
Quant open2
Worst price17.215
Drawdown as % of equity-1.37%
($566)
Includes Typical Broker Commissions trade costs of $16.00
8/15/19 8:52 QCLU9 CRUDE OIL LONG 1 54.88 8/15 9:15 54.58 0.51%
Trade id #124947583
Max drawdown($260)
Time8/15/19 8:52
Quant open1
Worst price54.62
Drawdown as % of equity-0.51%
($308)
Includes Typical Broker Commissions trade costs of $8.00
8/14/19 10:13 QPLV9 PLATINUM SHORT 3 851.3 8/14 12:50 848.1 0.91%
Trade id #124929441
Max drawdown($470)
Time8/14/19 12:50
Quant open-3
Worst price848.2
Drawdown as % of equity-0.91%
$461
Includes Typical Broker Commissions trade costs of $24.00
8/14/19 3:12 QNGU9 Natural Gas LONG 2 2.161 8/14 9:06 2.150 0.04%
Trade id #124923930
Max drawdown($20)
Time8/14/19 3:12
Quant open2
Worst price2.160
Drawdown as % of equity-0.04%
($236)
Includes Typical Broker Commissions trade costs of $16.00
8/14/19 8:34 QGCZ9 Gold 100 oz SHORT 1 1523.5 8/14 9:05 1526.8 0.6%
Trade id #124926781
Max drawdown($310)
Time8/14/19 8:34
Quant open1
Worst price1526.6
Drawdown as % of equity-0.60%
($338)
Includes Typical Broker Commissions trade costs of $8.00
8/14/19 8:00 QCLU9 CRUDE OIL LONG 1 55.39 8/14 8:01 55.23 0.1%
Trade id #124926343
Max drawdown($50)
Time8/14/19 8:00
Quant open1
Worst price55.34
Drawdown as % of equity-0.10%
($168)
Includes Typical Broker Commissions trade costs of $8.00
8/13/19 9:56 QHGU9 Copper LONG 1 261.10 8/13 22:45 261.60 0.12%
Trade id #124906062
Max drawdown($62)
Time8/13/19 9:56
Quant open1
Worst price260.85
Drawdown as % of equity-0.12%
$117
Includes Typical Broker Commissions trade costs of $8.00
8/13/19 9:13 QPLV9 PLATINUM SHORT 2 860.1 8/13 10:03 846.4 2.31%
Trade id #124904168
Max drawdown($1,170)
Time8/13/19 10:03
Quant open-2
Worst price848.4
Drawdown as % of equity-2.31%
$1,354
Includes Typical Broker Commissions trade costs of $16.00
8/13/19 9:55 QNGU9 Natural Gas LONG 2 2.136 8/13 10:02 2.121 0.59%
Trade id #124906007
Max drawdown($300)
Time8/13/19 9:55
Quant open2
Worst price2.121
Drawdown as % of equity-0.59%
($316)
Includes Typical Broker Commissions trade costs of $16.00
8/13/19 9:32 QCLU9 CRUDE OIL SHORT 1 54.54 8/13 9:35 54.67 0.28%
Trade id #124904678
Max drawdown($140)
Time8/13/19 9:32
Quant open1
Worst price54.68
Drawdown as % of equity-0.28%
($138)
Includes Typical Broker Commissions trade costs of $8.00
8/13/19 7:40 QCLU9 CRUDE OIL SHORT 1 54.33 8/13 8:59 54.58 0.45%
Trade id #124903176
Max drawdown($230)
Time8/13/19 7:40
Quant open1
Worst price54.56
Drawdown as % of equity-0.45%
($258)
Includes Typical Broker Commissions trade costs of $8.00
8/13/19 1:51 QPLV9 PLATINUM LONG 2 865.3 8/13 8:40 860.6 1.12%
Trade id #124897675
Max drawdown($580)
Time8/13/19 1:51
Quant open2
Worst price859.5
Drawdown as % of equity-1.12%
($486)
Includes Typical Broker Commissions trade costs of $16.00
8/13/19 4:17 QCLU9 CRUDE OIL LONG 1 54.91 8/13 5:36 54.85 0.27%
Trade id #124899930
Max drawdown($140)
Time8/13/19 4:17
Quant open1
Worst price54.77
Drawdown as % of equity-0.27%
($68)
Includes Typical Broker Commissions trade costs of $8.00
8/13/19 4:13 QHGU9 Copper LONG 1 260.60 8/13 5:11 259.30 0.53%
Trade id #124899873
Max drawdown($275)
Time8/13/19 4:13
Quant open1
Worst price259.50
Drawdown as % of equity-0.53%
($333)
Includes Typical Broker Commissions trade costs of $8.00
8/12/19 11:39 QPLV9 PLATINUM LONG 2 862.8 8/12 15:01 861.4 0.3%
Trade id #124884330
Max drawdown($155)
Time8/12/19 11:39
Quant open2
Worst price861.2
Drawdown as % of equity-0.30%
($156)
Includes Typical Broker Commissions trade costs of $16.00
8/12/19 12:29 QGCZ9 Gold 100 oz LONG 1 1517.6 8/12 15:01 1520.4 0.21%
Trade id #124885744
Max drawdown($110)
Time8/12/19 12:29
Quant open1
Worst price1516.5
Drawdown as % of equity-0.21%
$272
Includes Typical Broker Commissions trade costs of $8.00
8/12/19 8:03 QSIU9 Silver 5000 oz LONG 1 16.955 8/12 13:55 17.045 0.49%
Trade id #124878902
Max drawdown($250)
Time8/12/19 8:03
Quant open1
Worst price16.905
Drawdown as % of equity-0.49%
$442
Includes Typical Broker Commissions trade costs of $8.00
8/12/19 9:06 QNGU9 Natural Gas LONG 2 2.135 8/12 10:13 2.118 0.43%
Trade id #124879634
Max drawdown($220)
Time8/12/19 9:06
Quant open2
Worst price2.124
Drawdown as % of equity-0.43%
($366)
Includes Typical Broker Commissions trade costs of $16.00
8/12/19 2:43 QNGU9 Natural Gas LONG 2 2.128 8/12 8:00 2.110 0.6%
Trade id #124875727
Max drawdown($310)
Time8/12/19 2:43
Quant open2
Worst price2.113
Drawdown as % of equity-0.60%
($386)
Includes Typical Broker Commissions trade costs of $16.00
8/9/19 6:15 QSIU9 Silver 5000 oz SHORT 1 17.035 8/9 9:16 16.945 0.72%
Trade id #124852164
Max drawdown($375)
Time8/9/19 9:16
Quant open-1
Worst price16.960
Drawdown as % of equity-0.72%
$442
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    1/21/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    208.4
  • Age
    7 months ago
  • What it trades
    Futures
  • # Trades
    699
  • # Profitable
    242
  • % Profitable
    34.60%
  • Avg trade duration
    5.3 hours
  • Max peak-to-valley drawdown
    14.2%
  • drawdown period
    July 18, 2019 - Aug 16, 2019
  • Cumul. Return
    91.4%
  • Avg win
    $526.07
  • Avg loss
    $210.67
  • Model Account Values (Raw)
  • Cash
    $56,034
  • Margin Used
    $0
  • Buying Power
    $56,034
  • Ratios
  • W:L ratio
    1.32:1
  • Sharpe Ratio
    2.39
  • Sortino Ratio
    5.99
  • Calmar Ratio
    39.119
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.03120
  • Return Statistics
  • Ann Return (w trading costs)
    206.3%
  • Ann Return (Compnd, No Fees)
    308.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    14.50%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    565
  • Popularity (Last 6 weeks)
    956
  • C2 Score
    358
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $211
  • Avg Win
    $526
  • # Winners
    242
  • # Losers
    457
  • % Winners
    34.6%
  • Frequency
  • Avg Position Time (mins)
    318.22
  • Avg Position Time (hrs)
    5.30
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    6.34
  • Daily leverage (max)
    22.92
  • Regression
  • Alpha
    0.33
  • Beta
    0.10
  • Treynor Index
    3.20
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    4.963
  • Avg(MAE) / Avg(PL) - Winning trades
    0.227
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.091
  • Hold-and-Hope Ratio
    0.200
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.00541
  • SD
    0.60705
  • Sharpe ratio (Glass type estimate)
    3.30356
  • Sharpe ratio (Hedges UMVUE)
    2.77746
  • df
    5.00000
  • t
    2.33597
  • p
    0.03336
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21005
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.61433
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48541
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.04033
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    2.00541
  • Downside part of mean
    0.00000
  • Upside SD
    0.80139
  • Downside SD
    0.00000
  • N nonnegative terms
    6.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.24229
  • Mean of criterion
    2.00541
  • SD of predictor
    0.09543
  • SD of criterion
    0.60705
  • Covariance
    0.02598
  • r
    0.44846
  • b (slope, estimate of beta)
    2.85283
  • a (intercept, estimate of alpha)
    1.31421
  • Mean Square Error
    0.36799
  • DF error
    4.00000
  • t(b)
    1.00349
  • p(b)
    0.18620
  • t(a)
    1.19453
  • p(a)
    0.14913
  • Lowerbound of 95% confidence interval for beta
    -5.04191
  • Upperbound of 95% confidence interval for beta
    10.74760
  • Lowerbound of 95% confidence interval for alpha
    -1.74100
  • Upperbound of 95% confidence interval for alpha
    4.36943
  • Treynor index (mean / b)
    0.70295
  • Jensen alpha (a)
    1.31421
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.75472
  • SD
    0.47435
  • Sharpe ratio (Glass type estimate)
    3.69919
  • Sharpe ratio (Hedges UMVUE)
    3.11009
  • df
    5.00000
  • t
    2.61572
  • p
    0.02367
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03983
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.15184
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26609
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.48627
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.75472
  • Downside part of mean
    0.00000
  • Upside SD
    0.66641
  • Downside SD
    0.00000
  • N nonnegative terms
    6.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.23618
  • Mean of criterion
    1.75472
  • SD of predictor
    0.09444
  • SD of criterion
    0.47435
  • Covariance
    0.02053
  • r
    0.45834
  • b (slope, estimate of beta)
    2.30222
  • a (intercept, estimate of alpha)
    1.21099
  • Mean Square Error
    0.22218
  • DF error
    4.00000
  • t(b)
    1.03141
  • p(b)
    0.18031
  • t(a)
    1.42492
  • p(a)
    0.11365
  • Lowerbound of 95% confidence interval for beta
    -3.89633
  • Upperbound of 95% confidence interval for beta
    8.50076
  • Lowerbound of 95% confidence interval for alpha
    -1.14908
  • Upperbound of 95% confidence interval for alpha
    3.57105
  • Treynor index (mean / b)
    0.76219
  • Jensen alpha (a)
    1.21099
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07597
  • Expected Shortfall on VaR
    0.12625
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    1.03928
  • Quartile 1
    1.08777
  • Median
    1.09830
  • Quartile 3
    1.15016
  • Maximum
    1.51514
  • Mean of quarter 1
    1.06279
  • Mean of quarter 2
    1.09213
  • Mean of quarter 3
    1.10446
  • Mean of quarter 4
    1.34026
  • Inter Quartile Range
    0.06239
  • 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
    0.16667
  • Mean of outliers high
    1.51514
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.80909
  • Compounded annual return (geometric extrapolation)
    4.78184
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    37.87480
  • 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
    1.54000
  • SD
    0.41849
  • Sharpe ratio (Glass type estimate)
    3.67988
  • Sharpe ratio (Hedges UMVUE)
    3.66120
  • df
    148.00000
  • t
    2.77508
  • p
    0.38880
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.04138
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.30645
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.02895
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.29345
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.36000
  • Upside Potential Ratio
    18.87900
  • Upside part of mean
    2.80634
  • Downside part of mean
    -1.26634
  • Upside SD
    0.40114
  • Downside SD
    0.14865
  • N nonnegative terms
    76.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    149.00000
  • Mean of predictor
    0.14607
  • Mean of criterion
    1.54000
  • SD of predictor
    0.12731
  • SD of criterion
    0.41849
  • Covariance
    0.00111
  • r
    0.02077
  • b (slope, estimate of beta)
    0.06827
  • a (intercept, estimate of alpha)
    1.53000
  • Mean Square Error
    0.17625
  • DF error
    147.00000
  • t(b)
    0.25187
  • p(b)
    0.48678
  • t(a)
    2.74145
  • p(a)
    0.36074
  • Lowerbound of 95% confidence interval for beta
    -0.46741
  • Upperbound of 95% confidence interval for beta
    0.60396
  • Lowerbound of 95% confidence interval for alpha
    0.42707
  • Upperbound of 95% confidence interval for alpha
    2.63299
  • Treynor index (mean / b)
    22.55690
  • Jensen alpha (a)
    1.53003
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.45275
  • SD
    0.40438
  • Sharpe ratio (Glass type estimate)
    3.59249
  • Sharpe ratio (Hedges UMVUE)
    3.57425
  • df
    148.00000
  • t
    2.70918
  • p
    0.39132
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.95567
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.21761
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.94356
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.20495
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.63617
  • Upside Potential Ratio
    18.11050
  • Upside part of mean
    2.73035
  • Downside part of mean
    -1.27760
  • Upside SD
    0.38439
  • Downside SD
    0.15076
  • N nonnegative terms
    76.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    149.00000
  • Mean of predictor
    0.13795
  • Mean of criterion
    1.45275
  • SD of predictor
    0.12766
  • SD of criterion
    0.40438
  • Covariance
    0.00113
  • r
    0.02181
  • b (slope, estimate of beta)
    0.06910
  • a (intercept, estimate of alpha)
    1.44322
  • Mean Square Error
    0.16456
  • DF error
    147.00000
  • t(b)
    0.26454
  • p(b)
    0.48611
  • t(a)
    2.67694
  • p(a)
    0.36382
  • Lowerbound of 95% confidence interval for beta
    -0.44710
  • Upperbound of 95% confidence interval for beta
    0.58530
  • Lowerbound of 95% confidence interval for alpha
    0.37777
  • Upperbound of 95% confidence interval for alpha
    2.50866
  • Treynor index (mean / b)
    21.02400
  • Jensen alpha (a)
    1.44322
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03492
  • Expected Shortfall on VaR
    0.04491
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01107
  • Expected Shortfall on VaR
    0.02084
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    149.00000
  • Minimum
    0.94323
  • Quartile 1
    0.99170
  • Median
    1.00000
  • Quartile 3
    1.01351
  • Maximum
    1.14731
  • Mean of quarter 1
    0.98459
  • Mean of quarter 2
    0.99636
  • Mean of quarter 3
    1.00492
  • Mean of quarter 4
    1.03822
  • Inter Quartile Range
    0.02180
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00671
  • Mean of outliers low
    0.94323
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06040
  • Mean of outliers high
    1.08515
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.16512
  • VaR(95%) (moments method)
    0.01643
  • Expected Shortfall (moments method)
    0.02335
  • Extreme Value Index (regression method)
    0.05750
  • VaR(95%) (regression method)
    0.01497
  • Expected Shortfall (regression method)
    0.01954
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00050
  • Quartile 1
    0.01009
  • Median
    0.02740
  • Quartile 3
    0.04862
  • Maximum
    0.08372
  • Mean of quarter 1
    0.00634
  • Mean of quarter 2
    0.01807
  • Mean of quarter 3
    0.04420
  • Mean of quarter 4
    0.07433
  • Inter Quartile Range
    0.03853
  • 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)
    -13.96230
  • VaR(95%) (moments method)
    0.07058
  • Expected Shortfall (moments method)
    0.07058
  • Extreme Value Index (regression method)
    -1.05635
  • VaR(95%) (regression method)
    0.07418
  • Expected Shortfall (regression method)
    0.07674
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.25879
  • Compounded annual return (geometric extrapolation)
    3.27485
  • Calmar ratio (compounded annual return / max draw down)
    39.11870
  • Compounded annual return / average of 25% largest draw downs
    44.05720
  • Compounded annual return / Expected Shortfall lognormal
    72.92760
  • 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
    1.47356
  • SD
    0.36571
  • Sharpe ratio (Glass type estimate)
    4.02929
  • Sharpe ratio (Hedges UMVUE)
    4.00600
  • df
    130.00000
  • t
    2.84914
  • p
    0.37878
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.20719
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.83644
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.19174
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.82025
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.02480
  • Upside Potential Ratio
    21.15110
  • Upside part of mean
    2.59193
  • Downside part of mean
    -1.11837
  • Upside SD
    0.35496
  • Downside SD
    0.12254
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10974
  • Mean of criterion
    1.47356
  • SD of predictor
    0.12836
  • SD of criterion
    0.36571
  • Covariance
    0.00300
  • r
    0.06399
  • b (slope, estimate of beta)
    0.18231
  • a (intercept, estimate of alpha)
    1.45355
  • Mean Square Error
    0.13423
  • DF error
    129.00000
  • t(b)
    0.72828
  • p(b)
    0.45929
  • t(a)
    2.80144
  • p(a)
    0.34902
  • Lowerbound of 95% confidence interval for beta
    -0.31297
  • Upperbound of 95% confidence interval for beta
    0.67759
  • Lowerbound of 95% confidence interval for alpha
    0.42698
  • Upperbound of 95% confidence interval for alpha
    2.48012
  • Treynor index (mean / b)
    8.08269
  • Jensen alpha (a)
    1.45355
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.40587
  • SD
    0.35508
  • Sharpe ratio (Glass type estimate)
    3.95931
  • Sharpe ratio (Hedges UMVUE)
    3.93643
  • df
    130.00000
  • t
    2.79966
  • p
    0.38077
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.13881
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.76512
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.12363
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.74923
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.37670
  • Upside Potential Ratio
    20.48820
  • Upside part of mean
    2.53184
  • Downside part of mean
    -1.12596
  • Upside SD
    0.34263
  • Downside SD
    0.12358
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10150
  • Mean of criterion
    1.40587
  • SD of predictor
    0.12877
  • SD of criterion
    0.35508
  • Covariance
    0.00290
  • r
    0.06348
  • b (slope, estimate of beta)
    0.17505
  • a (intercept, estimate of alpha)
    1.38810
  • Mean Square Error
    0.12655
  • DF error
    129.00000
  • t(b)
    0.72248
  • p(b)
    0.45961
  • t(a)
    2.75590
  • p(a)
    0.35129
  • Lowerbound of 95% confidence interval for beta
    -0.30433
  • Upperbound of 95% confidence interval for beta
    0.65443
  • Lowerbound of 95% confidence interval for alpha
    0.39155
  • Upperbound of 95% confidence interval for alpha
    2.38466
  • Treynor index (mean / b)
    8.03124
  • Jensen alpha (a)
    1.38810
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03025
  • Expected Shortfall on VaR
    0.03907
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00982
  • Expected Shortfall on VaR
    0.01766
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97074
  • Quartile 1
    0.99222
  • Median
    1.00000
  • Quartile 3
    1.01288
  • Maximum
    1.11668
  • Mean of quarter 1
    0.98635
  • Mean of quarter 2
    0.99670
  • Mean of quarter 3
    1.00488
  • Mean of quarter 4
    1.03454
  • Inter Quartile Range
    0.02065
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.07452
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.21571
  • VaR(95%) (moments method)
    0.01440
  • Expected Shortfall (moments method)
    0.01725
  • Extreme Value Index (regression method)
    -0.39637
  • VaR(95%) (regression method)
    0.01324
  • Expected Shortfall (regression method)
    0.01495
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00050
  • Quartile 1
    0.01125
  • Median
    0.03250
  • Quartile 3
    0.05359
  • Maximum
    0.07478
  • Mean of quarter 1
    0.00668
  • Mean of quarter 2
    0.01845
  • Mean of quarter 3
    0.04351
  • Mean of quarter 4
    0.07120
  • Inter Quartile Range
    0.04234
  • 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)
    -1.16942
  • VaR(95%) (moments method)
    0.07397
  • Expected Shortfall (moments method)
    0.07493
  • Extreme Value Index (regression method)
    0.28407
  • VaR(95%) (regression method)
    0.07474
  • Expected Shortfall (regression method)
    0.08176
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.03935
  • Compounded annual return (geometric extrapolation)
    3.07909
  • Calmar ratio (compounded annual return / max draw down)
    41.17590
  • Compounded annual return / average of 25% largest draw downs
    43.24330
  • Compounded annual return / Expected Shortfall lognormal
    78.81570

Strategy Description

On this system we trade a positions from % levels from closing month by selected futures. I'm using stops and limits orders. This system a using algo rules and rules of money management. Trading manually. From start of European Session till to the closing of American session.
Best Regards.

Summary Statistics

Strategy began
2019-01-21
Suggested Minimum Capital
$50,000
# Trades
699
# Profitable
242
% Profitable
34.6%
Correlation S&P500
0.031
Sharpe Ratio
2.39
Sortino Ratio
5.99
Beta
0.10
Alpha
0.33
Leverage
6.34 Average
22.92 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.