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

NQ Positional
(128871252)

Created by: E_v_a E_v_a
Started: 05/2020
Futures
Last trade: 2 days ago

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $149.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

104.3%
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.

(11.0%)
Max Drawdown
36
Num Trades
52.8%
Win Trades
4.5 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                            +2.5%+9.2%+30.9%+19.1%+2.3%+5.8%+6.9%+1.2%+104.3%

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 51 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
11/13/20 12:30 @NQZ0 E-MINI NASDAQ 100 STK IDX LONG 2 11920.46 11/23 11:30 11938.75 1.21%
Trade id #132251122
Max drawdown($2,319)
Time11/19/20 0:00
Quant open1
Worst price11804.50
Drawdown as % of equity-1.21%
$716
Includes Typical Broker Commissions trade costs of $16.00
11/11/20 12:00 @NQZ0 E-MINI NASDAQ 100 STK IDX LONG 1 11861.52 11/12 13:00 11834.75 0.84%
Trade id #132203260
Max drawdown($1,605)
Time11/11/20 22:39
Quant open1
Worst price11781.20
Drawdown as % of equity-0.84%
($543)
Includes Typical Broker Commissions trade costs of $8.00
11/9/20 7:34 @NQZ0 E-MINI NASDAQ 100 STK IDX LONG 2 12169.94 11/9 14:30 12052.73 1.99%
Trade id #132145958
Max drawdown($3,838)
Time11/9/20 14:30
Quant open1
Worst price11978.00
Drawdown as % of equity-1.99%
($4,705)
Includes Typical Broker Commissions trade costs of $16.00
11/5/20 14:30 @NQZ0 E-MINI NASDAQ 100 STK IDX LONG 1 12083.36 11/6 15:53 12100.00 2.23%
Trade id #132100637
Max drawdown($4,302)
Time11/6/20 5:03
Quant open1
Worst price11868.20
Drawdown as % of equity-2.23%
$325
Includes Typical Broker Commissions trade costs of $8.00
11/4/20 10:00 @NQZ0 E-MINI NASDAQ 100 STK IDX LONG 2 11735.06 11/5 10:00 11906.94 0.13%
Trade id #132069739
Max drawdown($245)
Time11/4/20 10:03
Quant open1
Worst price11634.00
Drawdown as % of equity-0.13%
$6,859
Includes Typical Broker Commissions trade costs of $16.00
11/3/20 10:00 @NQZ0 E-MINI NASDAQ 100 STK IDX LONG 1 11204.02 11/3 14:00 11228.57 n/a $483
Includes Typical Broker Commissions trade costs of $8.00
10/29/20 13:30 @NQZ0 E-MINI NASDAQ 100 STK IDX LONG 1 11366.65 10/29 16:00 11338.33 0.52%
Trade id #131974055
Max drawdown($993)
Time10/29/20 16:00
Quant open1
Worst price11317.00
Drawdown as % of equity-0.52%
($574)
Includes Typical Broker Commissions trade costs of $8.00
10/9/20 10:00 @NQZ0 E-MINI NASDAQ 100 STK IDX LONG 2 11645.74 10/14 12:30 11908.35 0.18%
Trade id #131613338
Max drawdown($328)
Time10/9/20 10:20
Quant open1
Worst price11612.80
Drawdown as % of equity-0.18%
$10,489
Includes Typical Broker Commissions trade costs of $16.00
9/30/20 10:30 @NQZ0 E-MINI NASDAQ 100 STK IDX LONG 2 11460.52 10/1 10:30 11430.98 2.77%
Trade id #131436938
Max drawdown($4,990)
Time9/30/20 15:20
Quant open2
Worst price11335.80
Drawdown as % of equity-2.77%
($1,198)
Includes Typical Broker Commissions trade costs of $16.00
9/28/20 10:30 @NQZ0 E-MINI NASDAQ 100 STK IDX LONG 1 11290.77 9/30 10:00 11423.90 1.4%
Trade id #131394233
Max drawdown($2,475)
Time9/30/20 2:11
Quant open1
Worst price11167.00
Drawdown as % of equity-1.40%
$2,655
Includes Typical Broker Commissions trade costs of $8.00
9/25/20 11:30 @NQZ0 E-MINI NASDAQ 100 STK IDX LONG 1 11012.10 9/28 10:00 11266.68 0.56%
Trade id #131365567
Max drawdown($967)
Time9/25/20 11:59
Quant open1
Worst price10963.80
Drawdown as % of equity-0.56%
$5,084
Includes Typical Broker Commissions trade costs of $8.00
9/22/20 10:00 @NQZ0 E-MINI NASDAQ 100 STK IDX LONG 1 11014.47 9/22 11:00 10953.89 0.82%
Trade id #131291299
Max drawdown($1,424)
Time9/22/20 10:59
Quant open1
Worst price10943.20
Drawdown as % of equity-0.82%
($1,220)
Includes Typical Broker Commissions trade costs of $8.00
9/15/20 10:00 @NQZ0 E-MINI NASDAQ 100 STK IDX LONG 1 11468.93 9/16 11:00 11374.41 1.53%
Trade id #131180200
Max drawdown($2,653)
Time9/16/20 10:47
Quant open1
Worst price11336.20
Drawdown as % of equity-1.53%
($1,898)
Includes Typical Broker Commissions trade costs of $8.00
9/14/20 10:00 @NQZ0 E-MINI NASDAQ 100 STK IDX LONG 1 11289.45 9/14 13:30 11227.28 1.04%
Trade id #131159411
Max drawdown($1,839)
Time9/14/20 13:23
Quant open1
Worst price11197.50
Drawdown as % of equity-1.04%
($1,251)
Includes Typical Broker Commissions trade costs of $8.00
9/2/20 13:30 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 1 12387.27 9/2 15:30 12414.30 0.49%
Trade id #130947503
Max drawdown($855)
Time9/2/20 14:03
Quant open1
Worst price12344.50
Drawdown as % of equity-0.49%
$533
Includes Typical Broker Commissions trade costs of $8.00
8/28/20 15:30 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 2 12008.52 9/1 14:30 12165.10 0.03%
Trade id #130874394
Max drawdown($45)
Time8/28/20 15:54
Quant open1
Worst price11980.00
Drawdown as % of equity-0.03%
$6,247
Includes Typical Broker Commissions trade costs of $16.00
8/20/20 11:30 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 4 11570.25 8/27 10:30 11791.50 0.08%
Trade id #130710562
Max drawdown($125)
Time8/20/20 13:06
Quant open1
Worst price11389.20
Drawdown as % of equity-0.08%
$17,668
Includes Typical Broker Commissions trade costs of $32.00
8/17/20 10:00 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 1 11265.50 8/19 16:00 11314.75 0.37%
Trade id #130648656
Max drawdown($555)
Time8/17/20 10:20
Quant open1
Worst price11237.80
Drawdown as % of equity-0.37%
$977
Includes Typical Broker Commissions trade costs of $8.00
8/12/20 11:30 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 1 11118.00 8/14 10:30 11097.50 0.31%
Trade id #130583876
Max drawdown($475)
Time8/12/20 21:01
Quant open1
Worst price11094.20
Drawdown as % of equity-0.31%
($418)
Includes Typical Broker Commissions trade costs of $8.00
7/30/20 12:30 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 4 10837.06 8/7 14:30 10996.19 0.61%
Trade id #130368883
Max drawdown($845)
Time7/30/20 12:37
Quant open2
Worst price10672.50
Drawdown as % of equity-0.61%
$12,698
Includes Typical Broker Commissions trade costs of $32.00
7/27/20 13:30 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 1 10612.25 7/30 10:30 10554.25 1.57%
Trade id #130298180
Max drawdown($2,190)
Time7/30/20 6:56
Quant open1
Worst price10502.80
Drawdown as % of equity-1.57%
($1,168)
Includes Typical Broker Commissions trade costs of $8.00
7/27/20 10:00 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 1 10623.25 7/27 11:30 10540.00 1.32%
Trade id #130290985
Max drawdown($1,870)
Time7/27/20 11:29
Quant open1
Worst price10529.80
Drawdown as % of equity-1.32%
($1,673)
Includes Typical Broker Commissions trade costs of $8.00
7/16/20 14:30 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 3 10698.25 7/22 11:30 10826.08 1.72%
Trade id #130120800
Max drawdown($2,320)
Time7/16/20 16:14
Quant open1
Worst price10506.00
Drawdown as % of equity-1.72%
$7,646
Includes Typical Broker Commissions trade costs of $24.00
6/30/20 10:00 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 8 10528.84 7/13 14:30 10691.72 0.19%
Trade id #129820299
Max drawdown($205)
Time6/30/20 10:29
Quant open1
Worst price10019.00
Drawdown as % of equity-0.19%
$25,996
Includes Typical Broker Commissions trade costs of $64.00
6/25/20 15:30 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 1 10059.50 6/26 10:30 9926.50 2.98%
Trade id #129762431
Max drawdown($3,280)
Time6/26/20 10:23
Quant open1
Worst price9895.50
Drawdown as % of equity-2.98%
($2,668)
Includes Typical Broker Commissions trade costs of $8.00
6/23/20 10:00 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 2 10221.25 6/23 16:30 10204.38 0.81%
Trade id #129704036
Max drawdown($910)
Time6/23/20 15:51
Quant open1
Worst price10175.80
Drawdown as % of equity-0.81%
($691)
Includes Typical Broker Commissions trade costs of $16.00
6/19/20 10:00 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 1 10090.00 6/19 12:30 9973.25 2.68%
Trade id #129659582
Max drawdown($3,070)
Time6/19/20 12:24
Quant open1
Worst price9936.50
Drawdown as % of equity-2.68%
($2,343)
Includes Typical Broker Commissions trade costs of $8.00
6/17/20 13:30 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 1 10040.50 6/17 16:00 9975.00 1.68%
Trade id #129622509
Max drawdown($1,930)
Time6/17/20 15:50
Quant open1
Worst price9944.00
Drawdown as % of equity-1.68%
($1,318)
Includes Typical Broker Commissions trade costs of $8.00
6/15/20 14:30 @NQM0 E-MINI NASDAQ 100 STK IDX LONG 1 9809.75 6/16 10:30 10002.25 1.52%
Trade id #129562874
Max drawdown($1,705)
Time6/15/20 15:37
Quant open1
Worst price9724.50
Drawdown as % of equity-1.52%
$3,842
Includes Typical Broker Commissions trade costs of $8.00
5/28/20 10:30 @NQM0 E-MINI NASDAQ 100 STK IDX LONG 4 9723.00 6/11 10:30 9867.81 1.96%
Trade id #129238313
Max drawdown($1,965)
Time5/29/20 0:00
Quant open1
Worst price9372.00
Drawdown as % of equity-1.96%
$11,553
Includes Typical Broker Commissions trade costs of $32.00

Statistics

  • Strategy began
    5/5/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    213.62
  • Age
    7 months ago
  • What it trades
    Futures
  • # Trades
    36
  • # Profitable
    19
  • % Profitable
    52.80%
  • Avg trade duration
    3.2 days
  • Max peak-to-valley drawdown
    10.96%
  • drawdown period
    May 21, 2020 - May 29, 2020
  • Cumul. Return
    104.3%
  • Avg win
    $6,696
  • Avg loss
    $1,681
  • Model Account Values (Raw)
  • Cash
    $193,568
  • Margin Used
    $11,850
  • Buying Power
    $186,812
  • Ratios
  • W:L ratio
    4.45:1
  • Sharpe Ratio
    4.22
  • Sortino Ratio
    8.36
  • Calmar Ratio
    31.626
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    75.33%
  • Correlation to SP500
    0.30710
  • Return Percent SP500 (cumu) during strategy life
    28.96%
  • Return Statistics
  • Ann Return (w trading costs)
    233.2%
  • Slump
  • Current Slump as Pcnt Equity
    0.90%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.043%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    242.7%
  • Automation
  • Percentage Signals Automated
    9784.00%
  • Popularity
  • Popularity (Today)
    992
  • Popularity (Last 6 weeks)
    998
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    998
  • Popularity (7 days, Percentile 1000 scale)
    994
  • 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
    $1,681
  • Avg Win
    $7,099
  • Sum Trade PL (losers)
    $28,577.000
  • AUM
  • AUM (AutoTrader num accounts)
    27
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $134,881.000
  • # Winners
    19
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    5464770
  • Win / Loss
  • # Losers
    17
  • % Winners
    52.8%
  • Frequency
  • Avg Position Time (mins)
    4588.08
  • Avg Position Time (hrs)
    76.47
  • Avg Trade Length
    3.2 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    2.22
  • Daily leverage (max)
    3.64
  • Regression
  • Alpha
    0.30
  • Beta
    0.38
  • Treynor Index
    0.91
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.19
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    0.646
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.180
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.495
  • Hold-and-Hope Ratio
    1.595
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.33982
  • SD
    0.29305
  • Sharpe ratio (Glass type estimate)
    4.57195
  • Sharpe ratio (Hedges UMVUE)
    3.97131
  • df
    6.00000
  • t
    3.49188
  • p
    0.00648
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.88327
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.08290
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.56044
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.38219
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.33982
  • Downside part of mean
    0.00000
  • Upside SD
    0.47244
  • Downside SD
    0.00000
  • N nonnegative terms
    7.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.42209
  • Mean of criterion
    1.33982
  • SD of predictor
    0.12070
  • SD of criterion
    0.29305
  • Covariance
    0.00106
  • r
    0.03001
  • b (slope, estimate of beta)
    0.07288
  • a (intercept, estimate of alpha)
    1.30906
  • Mean Square Error
    0.10296
  • DF error
    5.00000
  • t(b)
    0.06714
  • p(b)
    0.47453
  • t(a)
    2.10598
  • p(a)
    0.04454
  • Lowerbound of 95% confidence interval for beta
    -2.71724
  • Upperbound of 95% confidence interval for beta
    2.86299
  • Lowerbound of 95% confidence interval for alpha
    -0.28886
  • Upperbound of 95% confidence interval for alpha
    2.90698
  • Treynor index (mean / b)
    18.38500
  • Jensen alpha (a)
    1.30906
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.23811
  • SD
    0.26038
  • Sharpe ratio (Glass type estimate)
    4.75509
  • Sharpe ratio (Hedges UMVUE)
    4.13039
  • df
    6.00000
  • t
    3.63176
  • p
    0.00547
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.99559
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.33796
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65956
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.60123
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.23811
  • Downside part of mean
    0.00000
  • Upside SD
    0.43111
  • Downside SD
    0.00000
  • N nonnegative terms
    7.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.40808
  • Mean of criterion
    1.23811
  • SD of predictor
    0.11641
  • SD of criterion
    0.26038
  • Covariance
    0.00173
  • r
    0.05697
  • b (slope, estimate of beta)
    0.12743
  • a (intercept, estimate of alpha)
    1.18610
  • Mean Square Error
    0.08109
  • DF error
    5.00000
  • t(b)
    0.12760
  • p(b)
    0.45172
  • t(a)
    2.14733
  • p(a)
    0.04227
  • Lowerbound of 95% confidence interval for beta
    -2.43988
  • Upperbound of 95% confidence interval for beta
    2.69474
  • Lowerbound of 95% confidence interval for alpha
    -0.23385
  • Upperbound of 95% confidence interval for alpha
    2.60606
  • Treynor index (mean / b)
    9.71581
  • Jensen alpha (a)
    1.18610
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02025
  • Expected Shortfall on VaR
    0.05018
  • 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
    7.00000
  • Minimum
    1.01250
  • Quartile 1
    1.06085
  • Median
    1.06909
  • Quartile 3
    1.17577
  • Maximum
    1.24304
  • Mean of quarter 1
    1.03271
  • Mean of quarter 2
    1.06894
  • Mean of quarter 3
    1.15899
  • Mean of quarter 4
    1.21779
  • Inter Quartile Range
    0.11492
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.87339
  • Compounded annual return (geometric extrapolation)
    2.54668
  • 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
    50.75260
  • 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
    1.27499
  • SD
    0.26830
  • Sharpe ratio (Glass type estimate)
    4.75220
  • Sharpe ratio (Hedges UMVUE)
    4.72871
  • df
    152.00000
  • t
    3.63153
  • p
    0.35872
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.12497
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.36455
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10941
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.34801
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.33690
  • Upside Potential Ratio
    16.78000
  • Upside part of mean
    2.06971
  • Downside part of mean
    -0.79472
  • Upside SD
    0.25001
  • Downside SD
    0.12334
  • N nonnegative terms
    81.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    153.00000
  • Mean of predictor
    0.42830
  • Mean of criterion
    1.27499
  • SD of predictor
    0.20147
  • SD of criterion
    0.26830
  • Covariance
    0.01628
  • r
    0.30122
  • b (slope, estimate of beta)
    0.40114
  • a (intercept, estimate of alpha)
    1.10300
  • Mean Square Error
    0.06588
  • DF error
    151.00000
  • t(b)
    3.88179
  • p(b)
    0.31118
  • t(a)
    3.25622
  • p(a)
    0.33873
  • Lowerbound of 95% confidence interval for beta
    0.19697
  • Upperbound of 95% confidence interval for beta
    0.60532
  • Lowerbound of 95% confidence interval for alpha
    0.43380
  • Upperbound of 95% confidence interval for alpha
    1.77257
  • Treynor index (mean / b)
    3.17840
  • Jensen alpha (a)
    1.10319
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.23673
  • SD
    0.26493
  • Sharpe ratio (Glass type estimate)
    4.66803
  • Sharpe ratio (Hedges UMVUE)
    4.64496
  • df
    152.00000
  • t
    3.56721
  • p
    0.36103
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.04283
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.27858
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02756
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.26237
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.88911
  • Upside Potential Ratio
    16.30510
  • Upside part of mean
    2.03911
  • Downside part of mean
    -0.80238
  • Upside SD
    0.24481
  • Downside SD
    0.12506
  • N nonnegative terms
    81.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    153.00000
  • Mean of predictor
    0.40761
  • Mean of criterion
    1.23673
  • SD of predictor
    0.20266
  • SD of criterion
    0.26493
  • Covariance
    0.01624
  • r
    0.30253
  • b (slope, estimate of beta)
    0.39549
  • a (intercept, estimate of alpha)
    1.07552
  • Mean Square Error
    0.06419
  • DF error
    151.00000
  • t(b)
    3.90036
  • p(b)
    0.31038
  • t(a)
    3.21912
  • p(a)
    0.34041
  • Lowerbound of 95% confidence interval for beta
    0.19515
  • Upperbound of 95% confidence interval for beta
    0.59583
  • Lowerbound of 95% confidence interval for alpha
    0.41540
  • Upperbound of 95% confidence interval for alpha
    1.73565
  • Treynor index (mean / b)
    3.12708
  • Jensen alpha (a)
    1.07552
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02196
  • Expected Shortfall on VaR
    0.02861
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00659
  • Expected Shortfall on VaR
    0.01413
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    153.00000
  • Minimum
    0.95295
  • Quartile 1
    0.99831
  • Median
    1.00220
  • Quartile 3
    1.00908
  • Maximum
    1.07173
  • Mean of quarter 1
    0.98841
  • Mean of quarter 2
    1.00002
  • Mean of quarter 3
    1.00568
  • Mean of quarter 4
    1.02621
  • Inter Quartile Range
    0.01077
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.05882
  • Mean of outliers low
    0.97392
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.10458
  • Mean of outliers high
    1.04172
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.12521
  • VaR(95%) (moments method)
    0.00626
  • Expected Shortfall (moments method)
    0.00855
  • Extreme Value Index (regression method)
    0.06642
  • VaR(95%) (regression method)
    0.01272
  • Expected Shortfall (regression method)
    0.02041
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00030
  • Quartile 1
    0.00386
  • Median
    0.02118
  • Quartile 3
    0.02795
  • Maximum
    0.08037
  • Mean of quarter 1
    0.00126
  • Mean of quarter 2
    0.00918
  • Mean of quarter 3
    0.02305
  • Mean of quarter 4
    0.05666
  • Inter Quartile Range
    0.02410
  • 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
    0.06250
  • Mean of outliers high
    0.08037
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.77832
  • VaR(95%) (moments method)
    0.06207
  • Expected Shortfall (moments method)
    0.06257
  • Extreme Value Index (regression method)
    -0.66798
  • VaR(95%) (regression method)
    0.07926
  • Expected Shortfall (regression method)
    0.08890
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.87135
  • Compounded annual return (geometric extrapolation)
    2.54180
  • Calmar ratio (compounded annual return / max draw down)
    31.62630
  • Compounded annual return / average of 25% largest draw downs
    44.86380
  • Compounded annual return / Expected Shortfall lognormal
    88.85500
  • 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
    1.38101
  • SD
    0.25433
  • Sharpe ratio (Glass type estimate)
    5.43003
  • Sharpe ratio (Hedges UMVUE)
    5.39865
  • df
    130.00000
  • t
    3.83961
  • p
    0.34043
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.57105
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.26930
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.55022
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.24707
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.61730
  • Upside Potential Ratio
    21.11310
  • Upside part of mean
    1.99472
  • Downside part of mean
    -0.61370
  • Upside SD
    0.25009
  • Downside SD
    0.09448
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.33825
  • Mean of criterion
    1.38101
  • SD of predictor
    0.20223
  • SD of criterion
    0.25433
  • Covariance
    0.01340
  • r
    0.26053
  • b (slope, estimate of beta)
    0.32764
  • a (intercept, estimate of alpha)
    1.27019
  • Mean Square Error
    0.06076
  • DF error
    129.00000
  • t(b)
    3.06491
  • p(b)
    0.33604
  • t(a)
    3.62426
  • p(a)
    0.30949
  • Lowerbound of 95% confidence interval for beta
    0.11614
  • Upperbound of 95% confidence interval for beta
    0.53915
  • Lowerbound of 95% confidence interval for alpha
    0.57678
  • Upperbound of 95% confidence interval for alpha
    1.96360
  • Treynor index (mean / b)
    4.21502
  • Jensen alpha (a)
    1.27019
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.34598
  • SD
    0.25002
  • Sharpe ratio (Glass type estimate)
    5.38352
  • Sharpe ratio (Hedges UMVUE)
    5.35241
  • df
    130.00000
  • t
    3.80673
  • p
    0.34166
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.52585
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.22161
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.50527
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.19954
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.11360
  • Upside Potential Ratio
    20.59530
  • Upside part of mean
    1.96414
  • Downside part of mean
    -0.61816
  • Upside SD
    0.24465
  • Downside SD
    0.09537
  • N nonnegative terms
    68.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31753
  • Mean of criterion
    1.34598
  • SD of predictor
    0.20374
  • SD of criterion
    0.25002
  • Covariance
    0.01341
  • r
    0.26324
  • b (slope, estimate of beta)
    0.32304
  • a (intercept, estimate of alpha)
    1.24341
  • Mean Square Error
    0.05863
  • DF error
    129.00000
  • t(b)
    3.09919
  • p(b)
    0.33437
  • t(a)
    3.61430
  • p(a)
    0.30995
  • VAR (95 Confidence Intrvl)
    0.02200
  • Lowerbound of 95% confidence interval for beta
    0.11681
  • Upperbound of 95% confidence interval for beta
    0.52927
  • Lowerbound of 95% confidence interval for alpha
    0.56275
  • Upperbound of 95% confidence interval for alpha
    1.92407
  • Treynor index (mean / b)
    4.16658
  • Jensen alpha (a)
    1.24341
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02007
  • Expected Shortfall on VaR
    0.02635
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00517
  • Expected Shortfall on VaR
    0.01101
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97358
  • Quartile 1
    0.99917
  • Median
    1.00113
  • Quartile 3
    1.00819
  • Maximum
    1.07173
  • Mean of quarter 1
    0.99094
  • Mean of quarter 2
    1.00006
  • Mean of quarter 3
    1.00506
  • Mean of quarter 4
    1.02544
  • Inter Quartile Range
    0.00902
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.97874
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.04317
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.37135
  • VaR(95%) (moments method)
    0.00428
  • Expected Shortfall (moments method)
    0.00537
  • Extreme Value Index (regression method)
    -0.18626
  • VaR(95%) (regression method)
    0.01024
  • Expected Shortfall (regression method)
    0.01437
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00030
  • Quartile 1
    0.00438
  • Median
    0.02101
  • Quartile 3
    0.02395
  • Maximum
    0.06168
  • Mean of quarter 1
    0.00216
  • Mean of quarter 2
    0.01078
  • Mean of quarter 3
    0.02227
  • Mean of quarter 4
    0.04090
  • Inter Quartile Range
    0.01957
  • 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
    0.07692
  • Mean of outliers high
    0.06168
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.15076
  • VaR(95%) (moments method)
    0.04319
  • Expected Shortfall (moments method)
    0.05978
  • Extreme Value Index (regression method)
    1.49058
  • VaR(95%) (regression method)
    0.05802
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -299802000
  • Max Equity Drawdown (num days)
    8
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.97527
  • Compounded annual return (geometric extrapolation)
    2.95069
  • Calmar ratio (compounded annual return / max draw down)
    47.83830
  • Compounded annual return / average of 25% largest draw downs
    72.15220
  • Compounded annual return / Expected Shortfall lognormal
    111.96400

Strategy Description

A momentum based strategy that takes position on Nasdaq futures. If you follow the simple rule of not overleveraging and sticking to the system, you will see significant appreciation of capital. Recommended capital allocation - about USD 50000 per contract. Maximum contract that model account trades at a given point in time will not exceed 2 until further notice. In any case, leverage will not exceed 4 on model account at any point in time. Thanks for your attention

Summary Statistics

Strategy began
2020-05-05
Suggested Minimum Capital
$100,000
Rank at C2 %
Top 0.2%
Rank # 
#1
# Trades
36
# Profitable
19
% Profitable
52.8%
Correlation S&P500
0.307
Sharpe Ratio
4.22
Sortino Ratio
8.36
Beta
0.38
Alpha
0.30
Leverage
2.22 Average
3.64 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.