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This is an archived track record. This track record was archived on 4/4/22 7:57 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

ForeX Trend trade
(135662488)

Created by: Karl_Colin Karl_Colin
Started: 05/2021
Futures
Last trade: 97 days ago
Trading style: Futures Momentum Financials / Indexes

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

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).
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
-
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.

(100.0%)
Max Drawdown
590
Num Trades
58.0%
Win Trades
0.9 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                            +10.6%+8.7%+5.9%(4%)+11.8%+7.3%(3.6%)+22.9%+73.6%
2022+10.0%(12.7%)(103.1%)  -    -    -                                      

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 108 hours.

Trading Record

This strategy has placed 756 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 115 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/28/22 3:27 @M2KM2 MICRO E-MINI RUSSELL 2000 LONG 5 2069.72 3/29 22:15 2126.60 20.53%
Trade id #139935762
Max drawdown($665)
Time3/28/22 12:19
Quant open5
Worst price2043.10
Drawdown as % of equity20.53%
$1,417
Includes Typical Broker Commissions trade costs of $4.70
3/25/22 11:22 @M2KM2 MICRO E-MINI RUSSELL 2000 SHORT 5 2063.62 3/25 12:19 2068.20 4.93%
Trade id #139921301
Max drawdown($127)
Time3/25/22 12:19
Quant open5
Worst price2068.70
Drawdown as % of equity4.93%
($120)
Includes Typical Broker Commissions trade costs of $4.70
3/25/22 6:57 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 4 14795.50 3/25 11:19 14641.75 97.41%
Trade id #139916538
Max drawdown($1,316)
Time3/25/22 11:19
Quant open4
Worst price14631.00
Drawdown as % of equity97.41%
($1,234)
Includes Typical Broker Commissions trade costs of $3.76
3/25/22 10:46 @M2KM2 MICRO E-MINI RUSSELL 2000 LONG 2 2078.80 3/25 11:14 2065.10 11.7%
Trade id #139920302
Max drawdown($158)
Time3/25/22 11:13
Quant open2
Worst price2063.00
Drawdown as % of equity11.70%
($139)
Includes Typical Broker Commissions trade costs of $1.88
3/25/22 3:21 @MNQM2 MICRO E-MINI NASDAQ 100 SHORT 4 14771.00 3/25 3:28 14768.25 0.93%
Trade id #139915417
Max drawdown($10)
Time3/25/22 3:27
Quant open4
Worst price14772.20
Drawdown as % of equity0.93%
$18
Includes Typical Broker Commissions trade costs of $3.76
3/24/22 22:09 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 5 14765.70 3/24 23:50 14747.00 20.84%
Trade id #139913865
Max drawdown($224)
Time3/24/22 23:48
Quant open5
Worst price14743.20
Drawdown as % of equity20.84%
($192)
Includes Typical Broker Commissions trade costs of $4.70
3/23/22 12:08 @MNQM2 MICRO E-MINI NASDAQ 100 SHORT 4 14619.75 3/23 12:12 14590.25 n/a $232
Includes Typical Broker Commissions trade costs of $3.76
3/21/22 11:29 @MNQM2 MICRO E-MINI NASDAQ 100 LONG 2 14435.00 3/23 3:42 14644.75 35.08%
Trade id #139857686
Max drawdown($1,005)
Time3/21/22 13:21
Quant open2
Worst price14183.80
Drawdown as % of equity35.08%
$837
Includes Typical Broker Commissions trade costs of $1.88
3/14/22 10:08 @NQH2 E-MINI NASDAQ 100 STK IDX LONG 2 13333.88 3/14 12:54 13207.50 693.87%
Trade id #139770258
Max drawdown($5,037)
Time3/14/22 12:54
Quant open1
Worst price13082.00
Drawdown as % of equity693.87%
($5,071)
Includes Typical Broker Commissions trade costs of $16.00
3/14/22 9:38 @NQH2 E-MINI NASDAQ 100 STK IDX SHORT 2 13218.00 3/14 10:08 13340.00 62.6%
Trade id #139769498
Max drawdown($5,010)
Time3/14/22 10:08
Quant open2
Worst price13343.20
Drawdown as % of equity-62.60%
($4,896)
Includes Typical Broker Commissions trade costs of $16.00
3/10/22 10:15 @NQH2 E-MINI NASDAQ 100 STK IDX LONG 2 13554.20 3/10 10:35 13471.50 34.9%
Trade id #139733294
Max drawdown($3,528)
Time3/10/22 10:34
Quant open2
Worst price13466.00
Drawdown as % of equity-34.90%
($3,324)
Includes Typical Broker Commissions trade costs of $16.00
3/9/22 10:02 @NQH2 E-MINI NASDAQ 100 STK IDX LONG 6 13617.20 3/9 10:17 13569.20 39.38%
Trade id #139714522
Max drawdown($6,114)
Time3/9/22 10:16
Quant open6
Worst price13566.20
Drawdown as % of equity-39.38%
($5,808)
Includes Typical Broker Commissions trade costs of $48.00
3/9/22 10:03 @RTYH2 Russell 2000 CME LONG 4 2009.25 3/9 10:17 2000.30 11.92%
Trade id #139714555
Max drawdown($1,850)
Time3/9/22 10:17
Quant open4
Worst price2000.00
Drawdown as % of equity-11.92%
($1,822)
Includes Typical Broker Commissions trade costs of $32.00
3/9/22 9:52 @NQH2 E-MINI NASDAQ 100 STK IDX SHORT 4 13541.88 3/9 10:02 13595.20 28.49%
Trade id #139714152
Max drawdown($7,250)
Time3/9/22 10:02
Quant open4
Worst price13632.50
Drawdown as % of equity-28.49%
($4,298)
Includes Typical Broker Commissions trade costs of $32.00
3/9/22 9:56 @RTYH2 Russell 2000 CME SHORT 2 1997.40 3/9 10:02 2006.00 4.44%
Trade id #139714241
Max drawdown($1,130)
Time3/9/22 10:02
Quant open2
Worst price2008.70
Drawdown as % of equity-4.44%
($876)
Includes Typical Broker Commissions trade costs of $16.00
3/9/22 9:21 @RTYH2 Russell 2000 CME SHORT 4 1990.92 3/9 9:38 2003.45 10.43%
Trade id #139712805
Max drawdown($2,655)
Time3/9/22 9:38
Quant open4
Worst price2004.20
Drawdown as % of equity-10.43%
($2,537)
Includes Typical Broker Commissions trade costs of $32.00
3/8/22 11:33 @ESH2 E-MINI S&P 500 SHORT 4 4159.75 3/8 11:52 4181.67 11.67%
Trade id #139697759
Max drawdown($4,650)
Time3/8/22 11:49
Quant open4
Worst price4183.00
Drawdown as % of equity-11.67%
($4,415)
Includes Typical Broker Commissions trade costs of $32.00
3/8/22 11:34 @RTYH2 Russell 2000 CME SHORT 4 1953.33 3/8 11:52 1969.20 8.27%
Trade id #139697788
Max drawdown($3,295)
Time3/8/22 11:52
Quant open4
Worst price1969.80
Drawdown as % of equity-8.27%
($3,207)
Includes Typical Broker Commissions trade costs of $32.00
3/8/22 10:54 @RTYH2 Russell 2000 CME LONG 10 1969.35 3/8 11:31 1956.92 18.25%
Trade id #139696602
Max drawdown($7,272)
Time3/8/22 11:31
Quant open10
Worst price1954.80
Drawdown as % of equity-18.25%
($6,293)
Includes Typical Broker Commissions trade costs of $80.00
3/8/22 10:28 @RTYH2 Russell 2000 CME SHORT 4 1952.74 3/8 10:54 1967.65 7.94%
Trade id #139695721
Max drawdown($3,372)
Time3/8/22 10:54
Quant open4
Worst price1969.60
Drawdown as % of equity-7.94%
($3,015)
Includes Typical Broker Commissions trade costs of $32.00
3/8/22 10:06 @RTYH2 Russell 2000 CME SHORT 4 1951.14 3/8 10:11 1951.14 1.21%
Trade id #139694861
Max drawdown($511)
Time3/8/22 10:11
Quant open4
Worst price1953.70
Drawdown as % of equity-1.21%
($32)
Includes Typical Broker Commissions trade costs of $32.00
3/8/22 8:23 @RTYH2 Russell 2000 CME SHORT 4 1954.93 3/8 9:01 1956.03 2.33%
Trade id #139691994
Max drawdown($994)
Time3/8/22 8:57
Quant open4
Worst price1959.90
Drawdown as % of equity-2.33%
($252)
Includes Typical Broker Commissions trade costs of $32.00
3/8/22 7:46 @RTYH2 Russell 2000 CME SHORT 2 1961.58 3/8 8:02 1958.67 0.15%
Trade id #139691538
Max drawdown($62)
Time3/8/22 7:49
Quant open2
Worst price1962.20
Drawdown as % of equity-0.15%
$274
Includes Typical Broker Commissions trade costs of $16.00
3/7/22 9:39 @RTYH2 Russell 2000 CME SHORT 4 2002.46 3/7 9:49 1988.99 n/a $2,663
Includes Typical Broker Commissions trade costs of $32.00
3/7/22 3:25 @RTYH2 Russell 2000 CME SHORT 2 1951.05 3/7 4:09 1967.15 4%
Trade id #139672034
Max drawdown($1,655)
Time3/7/22 4:09
Quant open2
Worst price1967.60
Drawdown as % of equity-4.00%
($1,626)
Includes Typical Broker Commissions trade costs of $16.00
3/4/22 8:49 @NQH2 E-MINI NASDAQ 100 STK IDX SHORT 2.720000000 13897.48 3/4 11:20 13759.20 16.8%
Trade id #139645966
Max drawdown($5,332)
Time3/4/22 9:37
Quant open3
Worst price13995.50
Drawdown as % of equity-16.80%
$7,500
Includes Typical Broker Commissions trade costs of $21.76
3/4/22 8:49 @RTYH2 Russell 2000 CME SHORT 2.720000000 2006.28 3/4 11:20 1988.37 6.31%
Trade id #139645969
Max drawdown($2,001)
Time3/4/22 9:37
Quant open3
Worst price2021.00
Drawdown as % of equity-6.31%
$2,415
Includes Typical Broker Commissions trade costs of $21.76
3/4/22 7:07 @RTYH2 Russell 2000 CME SHORT 2.720000000 2005.85 3/4 7:45 2009.64 1.24%
Trade id #139644849
Max drawdown($420)
Time3/4/22 7:45
Quant open2
Worst price2010.40
Drawdown as % of equity-1.24%
($537)
Includes Typical Broker Commissions trade costs of $21.76
3/4/22 7:07 @NQH2 E-MINI NASDAQ 100 STK IDX SHORT 2.720000000 13913.85 3/4 7:45 13928.20 2.28%
Trade id #139644858
Max drawdown($773)
Time3/4/22 7:45
Quant open2
Worst price13934.80
Drawdown as % of equity-2.28%
($803)
Includes Typical Broker Commissions trade costs of $21.76
3/4/22 3:46 @NQH2 E-MINI NASDAQ 100 STK IDX SHORT 3.400000000 13967.93 3/4 4:33 13944.53 0.59%
Trade id #139643527
Max drawdown($188)
Time3/4/22 3:55
Quant open3
Worst price13972.00
Drawdown as % of equity-0.59%
$1,564
Includes Typical Broker Commissions trade costs of $27.20

Statistics

  • Strategy began
    5/18/2021
  • Suggested Minimum Cap
    $22,413
  • Strategy Age (days)
    404.97
  • Age
    14 months ago
  • What it trades
    Futures
  • # Trades
    590
  • # Profitable
    342
  • % Profitable
    58.00%
  • Avg trade duration
    8.0 hours
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    March 14, 2022 - March 28, 2022
  • Cumul. Return
    -105.1%
  • Avg win
    $364.05
  • Avg loss
    $580.32
  • Model Account Values (Raw)
  • Cash
    $3,013
  • Margin Used
    $0
  • Buying Power
    $3,013
  • Ratios
  • W:L ratio
    0.87:1
  • Sharpe Ratio
    -1.24
  • Sortino Ratio
    -1.25
  • Calmar Ratio
    -0.919
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -115.23%
  • Correlation to SP500
    -0.17580
  • Return Percent SP500 (cumu) during strategy life
    -7.33%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.29%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -1.051%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -83.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    52.50%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    95.96%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    568
  • Popularity (Last 6 weeks)
    942
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    747
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $580
  • Avg Win
    $364
  • Sum Trade PL (losers)
    $143,919.000
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $124,506.000
  • # Winners
    342
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    248
  • % Winners
    58.0%
  • Frequency
  • Avg Position Time (mins)
    477.55
  • Avg Position Time (hrs)
    7.96
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    89
  • Leverage
  • Daily leverage (average)
    6.75
  • Daily leverage (max)
    106.30
  • Regression
  • Alpha
    0.00
  • Beta
    -2.38
  • Treynor Index
    0.00
  • 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)
    -0.31
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -2.648
  • 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
    0.08
  • Avg(MAE) / Avg(PL) - Winning trades
    0.455
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.917
  • Hold-and-Hope Ratio
    -0.376
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.78708
  • SD
    1.21172
  • Sharpe ratio (Glass type estimate)
    -0.64956
  • Sharpe ratio (Hedges UMVUE)
    -0.59361
  • df
    9.00000
  • t
    -0.59296
  • p
    0.71610
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.79944
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.53508
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.75809
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.57086
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.70184
  • Upside Potential Ratio
    0.77026
  • Upside part of mean
    0.86381
  • Downside part of mean
    -1.65089
  • Upside SD
    0.33973
  • Downside SD
    1.12145
  • N nonnegative terms
    8.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.06967
  • Mean of criterion
    -0.78708
  • SD of predictor
    0.08844
  • SD of criterion
    1.21172
  • Covariance
    0.01625
  • r
    0.15163
  • b (slope, estimate of beta)
    2.07749
  • a (intercept, estimate of alpha)
    -0.93181
  • Mean Square Error
    1.61382
  • DF error
    8.00000
  • t(b)
    0.43389
  • p(b)
    0.33792
  • t(a)
    -0.65115
  • p(a)
    0.73340
  • Lowerbound of 95% confidence interval for beta
    -8.96386
  • Upperbound of 95% confidence interval for beta
    13.11880
  • Lowerbound of 95% confidence interval for alpha
    -4.23179
  • Upperbound of 95% confidence interval for alpha
    2.36816
  • Treynor index (mean / b)
    -0.37886
  • Jensen alpha (a)
    -0.93181
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.83912
  • SD
    2.77416
  • Sharpe ratio (Glass type estimate)
    -1.02342
  • Sharpe ratio (Hedges UMVUE)
    -0.93527
  • df
    9.00000
  • t
    -0.93425
  • p
    0.81272
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.19374
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.20026
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.12535
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.25480
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.03681
  • Upside Potential Ratio
    0.29564
  • Upside part of mean
    0.80957
  • Downside part of mean
    -3.64869
  • Upside SD
    0.31567
  • Downside SD
    2.73833
  • N nonnegative terms
    8.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.06581
  • Mean of criterion
    -2.83912
  • SD of predictor
    0.08837
  • SD of criterion
    2.77416
  • Covariance
    0.00554
  • r
    0.02261
  • b (slope, estimate of beta)
    0.70974
  • a (intercept, estimate of alpha)
    -2.88583
  • Mean Square Error
    8.65353
  • DF error
    8.00000
  • t(b)
    0.06397
  • p(b)
    0.47528
  • t(a)
    -0.87339
  • p(a)
    0.79605
  • Lowerbound of 95% confidence interval for beta
    -24.87710
  • Upperbound of 95% confidence interval for beta
    26.29650
  • Lowerbound of 95% confidence interval for alpha
    -10.50520
  • Upperbound of 95% confidence interval for alpha
    4.73358
  • Treynor index (mean / b)
    -4.00021
  • Jensen alpha (a)
    -2.88583
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.78857
  • Expected Shortfall on VaR
    0.84274
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.15434
  • Expected Shortfall on VaR
    0.39051
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.08895
  • Quartile 1
    1.01230
  • Median
    1.05811
  • Quartile 3
    1.13007
  • Maximum
    1.19612
  • Mean of quarter 1
    0.54616
  • Mean of quarter 2
    1.03221
  • Mean of quarter 3
    1.08887
  • Mean of quarter 4
    1.16225
  • Inter Quartile Range
    0.11776
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.20000
  • Mean of outliers low
    0.31446
  • 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)
    -1.05824
  • VaR(95%) (regression method)
    1.12711
  • Expected Shortfall (regression method)
    1.24351
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.95197
  • Quartile 1
    0.95197
  • Median
    0.95197
  • Quartile 3
    0.95197
  • Maximum
    0.95197
  • 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)
    -1.08472
  • Compounded annual return (geometric extrapolation)
    -0.93987
  • Calmar ratio (compounded annual return / max draw down)
    -0.98729
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.11525
  • 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
    -0.59314
  • SD
    1.66513
  • Sharpe ratio (Glass type estimate)
    -0.35621
  • Sharpe ratio (Hedges UMVUE)
    -0.35504
  • df
    228.00000
  • t
    -0.33302
  • p
    0.63029
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.45255
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74082
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.45172
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74165
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.45340
  • Upside Potential Ratio
    3.09544
  • Upside part of mean
    4.04942
  • Downside part of mean
    -4.64255
  • Upside SD
    1.02496
  • Downside SD
    1.30819
  • N nonnegative terms
    122.00000
  • N negative terms
    107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    229.00000
  • Mean of predictor
    0.09400
  • Mean of criterion
    -0.59314
  • SD of predictor
    0.15204
  • SD of criterion
    1.66513
  • Covariance
    -0.01687
  • r
    -0.06663
  • b (slope, estimate of beta)
    -0.72969
  • a (intercept, estimate of alpha)
    -0.57600
  • Mean Square Error
    2.77252
  • DF error
    227.00000
  • t(b)
    -1.00608
  • p(b)
    0.84228
  • t(a)
    -0.29430
  • p(a)
    0.61560
  • Lowerbound of 95% confidence interval for beta
    -2.15882
  • Upperbound of 95% confidence interval for beta
    0.69944
  • Lowerbound of 95% confidence interval for alpha
    -4.03658
  • Upperbound of 95% confidence interval for alpha
    2.98748
  • Treynor index (mean / b)
    0.81287
  • Jensen alpha (a)
    -0.52455
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.32859
  • SD
    2.01421
  • Sharpe ratio (Glass type estimate)
    -1.15608
  • Sharpe ratio (Hedges UMVUE)
    -1.15228
  • df
    228.00000
  • t
    -1.08083
  • p
    0.85954
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.25396
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.94428
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.25137
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.94682
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.27383
  • Upside Potential Ratio
    1.99254
  • Upside part of mean
    3.64241
  • Downside part of mean
    -5.97100
  • Upside SD
    0.84755
  • Downside SD
    1.82802
  • N nonnegative terms
    122.00000
  • N negative terms
    107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    229.00000
  • Mean of predictor
    0.08246
  • Mean of criterion
    -2.32859
  • SD of predictor
    0.15212
  • SD of criterion
    2.01421
  • Covariance
    -0.03561
  • r
    -0.11623
  • b (slope, estimate of beta)
    -1.53903
  • a (intercept, estimate of alpha)
    -2.20169
  • Mean Square Error
    4.01985
  • DF error
    227.00000
  • t(b)
    -1.76314
  • p(b)
    0.96039
  • t(a)
    -1.02606
  • p(a)
    0.84702
  • Lowerbound of 95% confidence interval for beta
    -3.25903
  • Upperbound of 95% confidence interval for beta
    0.18098
  • Lowerbound of 95% confidence interval for alpha
    -6.42985
  • Upperbound of 95% confidence interval for alpha
    2.02648
  • Treynor index (mean / b)
    1.51303
  • Jensen alpha (a)
    -2.20169
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19231
  • Expected Shortfall on VaR
    0.23243
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03704
  • Expected Shortfall on VaR
    0.08823
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    229.00000
  • Minimum
    0.37312
  • Quartile 1
    0.99924
  • Median
    1.00062
  • Quartile 3
    1.00579
  • Maximum
    1.65835
  • Mean of quarter 1
    0.93028
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00292
  • Mean of quarter 4
    1.05936
  • Inter Quartile Range
    0.00654
  • Number outliers low
    27.00000
  • Percentage of outliers low
    0.11790
  • Mean of outliers low
    0.85381
  • Number of outliers high
    37.00000
  • Percentage of outliers high
    0.16157
  • Mean of outliers high
    1.08618
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    2.11641
  • VaR(95%) (moments method)
    0.02828
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.30657
  • VaR(95%) (regression method)
    0.02903
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00321
  • Median
    0.01026
  • Quartile 3
    0.02906
  • Maximum
    0.96897
  • Mean of quarter 1
    0.00137
  • Mean of quarter 2
    0.00606
  • Mean of quarter 3
    0.02291
  • Mean of quarter 4
    0.28914
  • Inter Quartile Range
    0.02585
  • 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
    0.11765
  • Mean of outliers high
    0.51996
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.21415
  • VaR(95%) (moments method)
    0.22130
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.74526
  • VaR(95%) (regression method)
    0.23706
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.99095
  • Compounded annual return (geometric extrapolation)
    -0.89981
  • Calmar ratio (compounded annual return / max draw down)
    -0.92862
  • Compounded annual return / average of 25% largest draw downs
    -3.11201
  • Compounded annual return / Expected Shortfall lognormal
    -3.87136
  • 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
    -1.73662
  • SD
    2.19641
  • Sharpe ratio (Glass type estimate)
    -0.79067
  • Sharpe ratio (Hedges UMVUE)
    -0.78610
  • df
    130.00000
  • t
    -0.55909
  • p
    0.52449
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.56269
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.98426
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.55955
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98736
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.00476
  • Upside Potential Ratio
    3.49372
  • Upside part of mean
    6.03852
  • Downside part of mean
    -7.77514
  • Upside SD
    1.34594
  • Downside SD
    1.72839
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07302
  • Mean of criterion
    -1.73662
  • SD of predictor
    0.17991
  • SD of criterion
    2.19641
  • Covariance
    -0.02977
  • r
    -0.07534
  • b (slope, estimate of beta)
    -0.91976
  • a (intercept, estimate of alpha)
    -1.66946
  • Mean Square Error
    4.83400
  • DF error
    129.00000
  • t(b)
    -0.85810
  • p(b)
    0.54792
  • t(a)
    -0.53675
  • p(a)
    0.53004
  • Lowerbound of 95% confidence interval for beta
    -3.04045
  • Upperbound of 95% confidence interval for beta
    1.20093
  • Lowerbound of 95% confidence interval for alpha
    -7.82332
  • Upperbound of 95% confidence interval for alpha
    4.48440
  • Treynor index (mean / b)
    1.88812
  • Jensen alpha (a)
    -1.66946
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -4.75600
  • SD
    2.65262
  • Sharpe ratio (Glass type estimate)
    -1.79295
  • Sharpe ratio (Hedges UMVUE)
    -1.78258
  • df
    130.00000
  • t
    -1.26780
  • p
    0.55526
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.56992
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.99080
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.56285
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.99768
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.96852
  • Upside Potential Ratio
    2.20994
  • Upside part of mean
    5.33928
  • Downside part of mean
    -10.09530
  • Upside SD
    1.10986
  • Downside SD
    2.41603
  • N nonnegative terms
    58.00000
  • N negative terms
    73.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.05694
  • Mean of criterion
    -4.75600
  • SD of predictor
    0.17996
  • SD of criterion
    2.65262
  • Covariance
    -0.06300
  • r
    -0.13196
  • b (slope, estimate of beta)
    -1.94513
  • a (intercept, estimate of alpha)
    -4.64524
  • Mean Square Error
    6.96743
  • DF error
    129.00000
  • t(b)
    -1.51205
  • p(b)
    0.58377
  • t(a)
    -1.24415
  • p(a)
    0.56918
  • VAR (95 Confidence Intrvl)
    0.18900
  • Lowerbound of 95% confidence interval for beta
    -4.49033
  • Upperbound of 95% confidence interval for beta
    0.60008
  • Lowerbound of 95% confidence interval for alpha
    -12.03240
  • Upperbound of 95% confidence interval for alpha
    2.74190
  • Treynor index (mean / b)
    2.44509
  • Jensen alpha (a)
    -4.64524
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.25002
  • Expected Shortfall on VaR
    0.29840
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07083
  • Expected Shortfall on VaR
    0.16039
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.37312
  • Quartile 1
    0.99976
  • Median
    1.00000
  • Quartile 3
    1.00585
  • Maximum
    1.65835
  • Mean of quarter 1
    0.88245
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00227
  • Mean of quarter 4
    1.08948
  • Inter Quartile Range
    0.00609
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.16031
  • Mean of outliers low
    0.81675
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.21374
  • Mean of outliers high
    1.10386
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    2.31857
  • VaR(95%) (moments method)
    0.04460
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.83926
  • VaR(95%) (regression method)
    0.07584
  • Expected Shortfall (regression method)
    0.61967
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00442
  • Median
    0.02170
  • Quartile 3
    0.05232
  • Maximum
    0.96897
  • Mean of quarter 1
    0.00210
  • Mean of quarter 2
    0.01718
  • Mean of quarter 3
    0.04026
  • Mean of quarter 4
    0.51665
  • Inter Quartile Range
    0.04789
  • 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
    0.11111
  • Mean of outliers high
    0.96897
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.39880
  • VaR(95%) (moments method)
    0.46479
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    5.23494
  • VaR(95%) (regression method)
    6.55965
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -343591000
  • Max Equity Drawdown (num days)
    14
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.81192
  • Compounded annual return (geometric extrapolation)
    -0.99116
  • Calmar ratio (compounded annual return / max draw down)
    -1.02290
  • Compounded annual return / average of 25% largest draw downs
    -1.91843
  • Compounded annual return / Expected Shortfall lognormal
    -3.32160

Strategy Description

mainly trade mini NQ and MNQ

Summary Statistics

Strategy began
2021-05-18
Suggested Minimum Capital
$25,000
# Trades
590
# Profitable
342
% Profitable
58.0%
Correlation S&P500
-0.176
Sharpe Ratio
-1.24
Sortino Ratio
-1.25
Beta
-2.38
Alpha
0.00
Leverage
6.75 Average
106.30 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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