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risingstar
(139581862)

Created by: risingstar risingstar
Started: 02/2022
Futures
Last trade: 3 days ago
Trading style: Futures Trend-following Commodities

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 $199.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
-22.1%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(71.7%)
Max Drawdown
56
Num Trades
35.7%
Win Trades
1.1 : 1
Profit Factor
33.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022       (4.1%)+16.2%+5.3%+42.6%(4.7%)+15.2%(18.6%)(26.7%)(9.5%)(1.2%)  -  (1.9%)
2023(5%)(13.8%)(2.9%)(14.6%)+29.7%(23.8%)(3.5%)(3.5%)+15.1%+4.5%(3.9%)(8%)(33.7%)
2024+2.2%(11.9%)(1.3%)+1.2%                                                (10%)

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/11/24 21:11 @QMK4 MINY CRUDE OIL LONG 1 85.525 4/17 9:16 84.000 5.12%
Trade id #147881058
Max drawdown($762)
Time4/17/24 9:16
Quant open1
Worst price84.000
Drawdown as % of equity-5.12%
 ($771)
Includes Typical Broker Commissions trade costs of $8.00
3/31/24 22:42 @QCK4 Emini Copper LONG 1 405 4/3 8:58 413 1.73%
Trade id #147769187
Max drawdown($250)
Time4/1/24 0:00
Quant open1
Worst price403
Drawdown as % of equity-1.73%
 $992
Includes Typical Broker Commissions trade costs of $8.00
2/11/24 21:37 @WH4 WHEAT LONG 1 595 3/4 2/14 1:19 583 4.38%
Trade id #147284968
Max drawdown($675)
Time2/14/24 1:19
Quant open1
Worst price582 1/4
Drawdown as % of equity-4.38%
 ($646)
Includes Typical Broker Commissions trade costs of $8.00
1/25/24 0:11 @QMH4 MINY CRUDE OIL LONG 1 75.400 2/2 9:17 73.000 7.52%
Trade id #147121554
Max drawdown($1,200)
Time2/2/24 9:17
Quant open1
Worst price73.000
Drawdown as % of equity-7.52%
 ($1,208)
Includes Typical Broker Commissions trade costs of $8.00
1/18/24 22:57 @MESH4 MICRO E-MINI S&P 500 LONG 1 4815.50 2/1 16:48 4957.00 0.21%
Trade id #147061821
Max drawdown($33)
Time1/19/24 0:00
Quant open1
Worst price4808.75
Drawdown as % of equity-0.21%
 $707
Includes Typical Broker Commissions trade costs of $0.94
11/28/23 22:11 @QMF4 MINY CRUDE OIL LONG 1 76.500 12/4 0:08 73.500 9.14%
Trade id #146560958
Max drawdown($1,512)
Time12/4/23 0:08
Quant open1
Worst price73.475
Drawdown as % of equity-9.14%
 ($1,508)
Includes Typical Broker Commissions trade costs of $8.00
10/15/23 20:35 @YWZ3 Mini Wheat Globex LONG 1 583 11/20 13:23 540 2.35%
Trade id #146135540
Max drawdown($430)
Time11/20/23 13:23
Quant open1
Worst price540
Drawdown as % of equity-2.35%
 ($438)
Includes Typical Broker Commissions trade costs of $8.00
9/26/23 18:07 @QGX3 MINY NATURAL GAS LONG 1 2.855 10/9 0:21 3.460 0.5%
Trade id #145939954
Max drawdown($87)
Time10/3/23 0:00
Quant open1
Worst price2.820
Drawdown as % of equity-0.50%
 $1,505
Includes Typical Broker Commissions trade costs of $8.00
9/15/23 1:05 @QGV3 MINY NATURAL GAS LONG 1 2.705 9/26 12:42 2.650 2.16%
Trade id #145833105
Max drawdown($375)
Time9/26/23 0:00
Quant open1
Worst price2.555
Drawdown as % of equity-2.16%
 ($146)
Includes Typical Broker Commissions trade costs of $8.00
8/28/23 19:44 @QMV3 MINY CRUDE OIL LONG 1 80.025 9/18 15:04 91.550 2.45%
Trade id #145669628
Max drawdown($325)
Time8/29/23 0:00
Quant open1
Worst price79.375
Drawdown as % of equity-2.45%
 $5,755
Includes Typical Broker Commissions trade costs of $8.00
9/6/23 18:00 @QCZ3 Emini Copper SHORT 1 378 9/12 19:32 379 1.93%
Trade id #145754677
Max drawdown($300)
Time9/12/23 0:27
Quant open1
Worst price381
Drawdown as % of equity-1.93%
 ($133)
Includes Typical Broker Commissions trade costs of $8.00
9/5/23 20:00 @WZ3 WHEAT LONG 1 600 3/4 9/11 10:50 583 2/4 5.5%
Trade id #145743254
Max drawdown($862)
Time9/11/23 10:50
Quant open1
Worst price583 2/4
Drawdown as % of equity-5.50%
 ($871)
Includes Typical Broker Commissions trade costs of $8.00
9/10/23 18:04 @QGZ3 MINY NATURAL GAS LONG 1 3.440 9/10 18:04 3.440 n/a ($8)
Includes Typical Broker Commissions trade costs of $8.00
8/31/23 20:40 @WZ3 WHEAT LONG 1 600 1/4 9/3 20:00 596 1.63%
Trade id #145707020
Max drawdown($250)
Time9/1/23 0:00
Quant open1
Worst price595 1/4
Drawdown as % of equity-1.63%
 ($221)
Includes Typical Broker Commissions trade costs of $8.00
8/24/23 21:22 @QMV3 MINY CRUDE OIL SHORT 1 79.125 8/28 9:40 80.600 5.64%
Trade id #145637814
Max drawdown($775)
Time8/28/23 9:40
Quant open1
Worst price80.675
Drawdown as % of equity-5.64%
 ($746)
Includes Typical Broker Commissions trade costs of $8.00
8/14/23 19:35 QNGU3 Natural Gas LONG 1 2.815 8/15 18:55 2.653 10.48%
Trade id #145527646
Max drawdown($1,680)
Time8/15/23 0:00
Quant open1
Worst price2.647
Drawdown as % of equity-10.48%
 ($1,628)
Includes Typical Broker Commissions trade costs of $8.00
8/2/23 13:40: Rescaled upward by +-150% of previous Model Account size
6/26/23 21:30 @USU3 US T-BOND LONG 2.500000000 128 5/32 6/29 21:25 126 11/32 69.47%
Trade id #145037495
Max drawdown($13,867)
Time6/29/23 10:08
Quant open5
Worst price125 30/32
Drawdown as % of equity-69.47%
 ($4,551)
Includes Typical Broker Commissions trade costs of $20.00
4/30/23 18:07 QMGCM3 E-Micro Gold LONG 7.500000000 1999.0 5/3 18:00 2065.0 15.33%
Trade id #144481369
Max drawdown($2,550)
Time5/1/23 0:00
Quant open20
Worst price1985.4
Drawdown as % of equity-15.33%
 $4,945
Includes Typical Broker Commissions trade costs of $5.25
4/23/23 19:19 @TYM3 US T-NOTE 10 YR SHORT 2.500000000 114 30/64 4/24 20:42 115 9/64 26.23%
Trade id #144398484
Max drawdown($4,687)
Time4/24/23 19:30
Quant open5
Worst price115 14/64
Drawdown as % of equity-26.23%
 ($1,700)
Includes Typical Broker Commissions trade costs of $20.00
2/20/23 19:52 @QMJ3 MINY CRUDE OIL LONG 2.500000000 77.375 2/22 19:31 74.000 52.28%
Trade id #143641789
Max drawdown($11,171)
Time2/22/23 14:50
Quant open5
Worst price73.800
Drawdown as % of equity-52.28%
 ($4,239)
Includes Typical Broker Commissions trade costs of $20.00
2/20/23 19:17 @QMJ3 MINY CRUDE OIL LONG 2.500000000 77.250 2/20 19:51 77.350 0.32%
Trade id #143641665
Max drawdown($78)
Time2/20/23 19:21
Quant open5
Worst price77.225
Drawdown as % of equity-0.32%
 $105
Includes Typical Broker Commissions trade costs of $20.00
2/8/23 1:25 @YWH3 Mini Wheat Globex LONG 5 750 1/4 2/13 10:51 792 1.03%
Trade id #143500566
Max drawdown($234)
Time2/8/23 3:37
Quant open12
Worst price748 2/4
Drawdown as % of equity-1.03%
 $2,048
Includes Typical Broker Commissions trade costs of $40.00
2/8/23 1:22 @YWH3 Mini Wheat Globex LONG 5 750 1/4 2/8 1:25 749 4/4 0.22%
Trade id #143500554
Max drawdown($50)
Time2/8/23 1:25
Quant open12
Worst price749 4/4
Drawdown as % of equity-0.22%
 ($59)
Includes Typical Broker Commissions trade costs of $40.00
2/1/23 21:14 @YWH3 Mini Wheat Globex LONG 5 759 1/4 2/6 20:13 748 2/4 7.18%
Trade id #143423815
Max drawdown($1,671)
Time2/6/23 11:00
Quant open12
Worst price745 3/4
Drawdown as % of equity-7.18%
 ($571)
Includes Typical Broker Commissions trade costs of $40.00
11/28/22 22:20 @QCH3 Emini Copper LONG 2.500000000 365 11/30 14:00 377 17.35%
Trade id #142701837
Max drawdown($3,593)
Time11/29/22 0:00
Quant open5
Worst price361
Drawdown as % of equity-17.35%
 $3,668
Includes Typical Broker Commissions trade costs of $20.00
10/26/22 20:02 @YWZ2 Mini Wheat Globex LONG 15 843 1/4 11/9 20:00 837 42.36%
Trade id #142335203
Max drawdown($9,484)
Time11/9/22 14:16
Quant open25
Worst price805 2/4
Drawdown as % of equity-42.36%
 ($1,054)
Includes Typical Broker Commissions trade costs of $120.00
10/23/22 18:22 QMGCZ2 E-Micro Gold LONG 7.500000000 1664.7 11/2 14:05 1665.0 23.58%
Trade id #142276896
Max drawdown($5,850)
Time11/1/22 0:00
Quant open20
Worst price1633.5
Drawdown as % of equity-23.58%
 $18
Includes Typical Broker Commissions trade costs of $5.24
10/12/22 21:49 @M2KZ2 MICRO E-MINI RUSSELL 2000 LONG 7.500000000 1698.70 10/17 18:28 1754.40 22.17%
Trade id #142148122
Max drawdown($5,137)
Time10/13/22 0:00
Quant open20
Worst price1643.90
Drawdown as % of equity-22.17%
 $2,082
Includes Typical Broker Commissions trade costs of $7.04
10/12/22 21:51 QMGCZ2 E-Micro Gold LONG 7.500000000 1679.6 10/17 18:28 1656.0 24.82%
Trade id #142148157
Max drawdown($6,375)
Time10/14/22 0:00
Quant open20
Worst price1645.6
Drawdown as % of equity-24.82%
 ($1,775)
Includes Typical Broker Commissions trade costs of $5.24
10/10/22 22:47 @YKX2 Mini Soybeans Globex LONG 7.500000000 1377.875 10/16 20:02 1383.000 10.78%
Trade id #142115693
Max drawdown($2,414)
Time10/11/22 0:00
Quant open20
Worst price1365.000
Drawdown as % of equity-10.78%
 $324
Includes Typical Broker Commissions trade costs of $60.00
Next

Statistics

  • Strategy began
    2/28/2022
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    780.01
  • Age
    26 months ago
  • What it trades
    Futures
  • # Trades
    56
  • # Profitable
    20
  • % Profitable
    35.70%
  • Avg trade duration
    5.8 days
  • Max peak-to-valley drawdown
    71.74%
  • drawdown period
    July 28, 2022 - Aug 29, 2023
  • Annual Return (Compounded)
    -22.1%
  • Avg win
    $3,483
  • Avg loss
    $1,840
  • Model Account Values (Raw)
  • Cash
    $28,400
  • Margin Used
    $0
  • Buying Power
    $28,400
  • Ratios
  • W:L ratio
    1.05:1
  • Sharpe Ratio
    -0.21
  • Sortino Ratio
    -0.31
  • Calmar Ratio
    0.217
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -56.01%
  • Correlation to SP500
    0.01420
  • Return Percent SP500 (cumu) during strategy life
    13.56%
  • Return Statistics
  • Ann Return (w trading costs)
    -22.1%
  • Slump
  • Current Slump as Pcnt Equity
    222.90%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.81%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.221%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    6.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    91.00%
  • Chance of 20% account loss
    75.50%
  • Chance of 30% account loss
    59.00%
  • Chance of 40% account loss
    36.50%
  • Chance of 60% account loss (Monte Carlo)
    5.50%
  • Chance of 70% account loss (Monte Carlo)
    1.00%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    18.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    33
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,841
  • Avg Win
    $3,483
  • Sum Trade PL (losers)
    $66,266.000
  • Age
  • Num Months filled monthly returns table
    27
  • Win / Loss
  • Sum Trade PL (winners)
    $69,665.000
  • # Winners
    20
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    36
  • % Winners
    35.7%
  • Frequency
  • Avg Position Time (mins)
    8358.27
  • Avg Position Time (hrs)
    139.30
  • Avg Trade Length
    5.8 days
  • Last Trade Ago
    7
  • Leverage
  • Daily leverage (average)
    4.20
  • Daily leverage (max)
    16.50
  • Regression
  • Alpha
    -0.04
  • Beta
    0.04
  • Treynor Index
    -0.86
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.19
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -3.39
  • MAE:Equity, average, winning trades
    0.09
  • MAE:Equity, average, losing trades
    0.24
  • Avg(MAE) / Avg(PL) - All trades
    78.811
  • 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
    0.713
  • Avg(MAE) / Avg(PL) - Losing trades
    -3.293
  • Hold-and-Hope Ratio
    0.013
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21625
  • SD
    0.55940
  • Sharpe ratio (Glass type estimate)
    0.38658
  • Sharpe ratio (Hedges UMVUE)
    0.36812
  • df
    16.00000
  • t
    0.46013
  • p
    0.44286
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.27140
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.03268
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.28351
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01975
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.63850
  • Upside Potential Ratio
    2.60218
  • Upside part of mean
    0.88133
  • Downside part of mean
    -0.66508
  • Upside SD
    0.42861
  • Downside SD
    0.33869
  • N nonnegative terms
    9.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.11070
  • Mean of criterion
    0.21625
  • SD of predictor
    0.24153
  • SD of criterion
    0.55940
  • Covariance
    0.04856
  • r
    0.35941
  • b (slope, estimate of beta)
    0.83242
  • a (intercept, estimate of alpha)
    0.12411
  • Mean Square Error
    0.29067
  • DF error
    15.00000
  • t(b)
    1.49167
  • p(b)
    0.27622
  • t(a)
    0.27148
  • p(a)
    0.45552
  • Lowerbound of 95% confidence interval for beta
    -0.35703
  • Upperbound of 95% confidence interval for beta
    2.02188
  • Lowerbound of 95% confidence interval for alpha
    -0.85031
  • Upperbound of 95% confidence interval for alpha
    1.09852
  • Treynor index (mean / b)
    0.25979
  • Jensen alpha (a)
    0.12411
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07105
  • SD
    0.55300
  • Sharpe ratio (Glass type estimate)
    0.12848
  • Sharpe ratio (Hedges UMVUE)
    0.12234
  • df
    16.00000
  • t
    0.15292
  • p
    0.48090
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.52076
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.77379
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.52490
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.76959
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.18834
  • Upside Potential Ratio
    2.12244
  • Upside part of mean
    0.80067
  • Downside part of mean
    -0.72962
  • Upside SD
    0.38202
  • Downside SD
    0.37724
  • N nonnegative terms
    9.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    0.08286
  • Mean of criterion
    0.07105
  • SD of predictor
    0.24044
  • SD of criterion
    0.55300
  • Covariance
    0.05121
  • r
    0.38516
  • b (slope, estimate of beta)
    0.88587
  • a (intercept, estimate of alpha)
    -0.00236
  • Mean Square Error
    0.27781
  • DF error
    15.00000
  • t(b)
    1.61644
  • p(b)
    0.26100
  • t(a)
    -0.00529
  • p(a)
    0.50087
  • Lowerbound of 95% confidence interval for beta
    -0.28225
  • Upperbound of 95% confidence interval for beta
    2.05400
  • Lowerbound of 95% confidence interval for alpha
    -0.95118
  • Upperbound of 95% confidence interval for alpha
    0.94647
  • Treynor index (mean / b)
    0.08020
  • Jensen alpha (a)
    -0.00236
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.22637
  • Expected Shortfall on VaR
    0.27505
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.12476
  • Expected Shortfall on VaR
    0.22477
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.75245
  • Quartile 1
    0.91692
  • Median
    1.02116
  • Quartile 3
    1.11954
  • Maximum
    1.34648
  • Mean of quarter 1
    0.83444
  • Mean of quarter 2
    0.98135
  • Mean of quarter 3
    1.08328
  • Mean of quarter 4
    1.22881
  • Inter Quartile Range
    0.20262
  • 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)
    -4.12745
  • VaR(95%) (moments method)
    0.16332
  • Expected Shortfall (moments method)
    0.16343
  • Extreme Value Index (regression method)
    -0.67292
  • VaR(95%) (regression method)
    0.20222
  • Expected Shortfall (regression method)
    0.22430
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.14723
  • Quartile 1
    0.21210
  • Median
    0.27697
  • Quartile 3
    0.34184
  • Maximum
    0.40671
  • Mean of quarter 1
    0.14723
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.40671
  • Inter Quartile Range
    0.12974
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10623
  • Compounded annual return (geometric extrapolation)
    0.10402
  • Calmar ratio (compounded annual return / max draw down)
    0.25575
  • Compounded annual return / average of 25% largest draw downs
    0.25575
  • Compounded annual return / Expected Shortfall lognormal
    0.37817
  • 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
    0.20980
  • SD
    0.52438
  • Sharpe ratio (Glass type estimate)
    0.40010
  • Sharpe ratio (Hedges UMVUE)
    0.39932
  • df
    384.00000
  • t
    0.48501
  • p
    0.31397
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.21724
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01695
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.21777
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01641
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.62400
  • Upside Potential Ratio
    6.62061
  • Upside part of mean
    2.22601
  • Downside part of mean
    -2.01620
  • Upside SD
    0.40172
  • Downside SD
    0.33622
  • N nonnegative terms
    111.00000
  • N negative terms
    274.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    385.00000
  • Mean of predictor
    0.08842
  • Mean of criterion
    0.20980
  • SD of predictor
    0.21779
  • SD of criterion
    0.52438
  • Covariance
    -0.00106
  • r
    -0.00928
  • b (slope, estimate of beta)
    -0.02234
  • a (intercept, estimate of alpha)
    0.21200
  • Mean Square Error
    0.27567
  • DF error
    383.00000
  • t(b)
    -0.18163
  • p(b)
    0.57201
  • t(a)
    0.48880
  • p(a)
    0.31263
  • Lowerbound of 95% confidence interval for beta
    -0.26422
  • Upperbound of 95% confidence interval for beta
    0.21954
  • Lowerbound of 95% confidence interval for alpha
    -0.64009
  • Upperbound of 95% confidence interval for alpha
    1.06365
  • Treynor index (mean / b)
    -9.38983
  • Jensen alpha (a)
    0.21178
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07322
  • SD
    0.52323
  • Sharpe ratio (Glass type estimate)
    0.13994
  • Sharpe ratio (Hedges UMVUE)
    0.13967
  • df
    384.00000
  • t
    0.16964
  • p
    0.43269
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.47702
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.75673
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47721
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.75654
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.20646
  • Upside Potential Ratio
    6.06197
  • Upside part of mean
    2.14986
  • Downside part of mean
    -2.07664
  • Upside SD
    0.38380
  • Downside SD
    0.35465
  • N nonnegative terms
    111.00000
  • N negative terms
    274.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    385.00000
  • Mean of predictor
    0.06464
  • Mean of criterion
    0.07322
  • SD of predictor
    0.21853
  • SD of criterion
    0.52323
  • Covariance
    -0.00153
  • r
    -0.01341
  • b (slope, estimate of beta)
    -0.03212
  • a (intercept, estimate of alpha)
    0.07530
  • Mean Square Error
    0.27443
  • DF error
    383.00000
  • t(b)
    -0.26253
  • p(b)
    0.60347
  • t(a)
    0.17420
  • p(a)
    0.43090
  • Lowerbound of 95% confidence interval for beta
    -0.27264
  • Upperbound of 95% confidence interval for beta
    0.20841
  • Lowerbound of 95% confidence interval for alpha
    -0.77454
  • Upperbound of 95% confidence interval for alpha
    0.92513
  • Treynor index (mean / b)
    -2.27991
  • Jensen alpha (a)
    0.07530
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05152
  • Expected Shortfall on VaR
    0.06417
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02179
  • Expected Shortfall on VaR
    0.04530
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    385.00000
  • Minimum
    0.79715
  • Quartile 1
    0.99639
  • Median
    1.00000
  • Quartile 3
    1.00232
  • Maximum
    1.14482
  • Mean of quarter 1
    0.97037
  • Mean of quarter 2
    0.99938
  • Mean of quarter 3
    1.00019
  • Mean of quarter 4
    1.03400
  • Inter Quartile Range
    0.00593
  • Number outliers low
    72.00000
  • Percentage of outliers low
    0.18701
  • Mean of outliers low
    0.96261
  • Number of outliers high
    62.00000
  • Percentage of outliers high
    0.16104
  • Mean of outliers high
    1.04954
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.10119
  • VaR(95%) (moments method)
    0.01470
  • Expected Shortfall (moments method)
    0.02301
  • Extreme Value Index (regression method)
    -0.11911
  • VaR(95%) (regression method)
    0.02640
  • Expected Shortfall (regression method)
    0.03784
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.11143
  • Quartile 1
    0.20220
  • Median
    0.26499
  • Quartile 3
    0.34552
  • Maximum
    0.48948
  • Mean of quarter 1
    0.11143
  • Mean of quarter 2
    0.23245
  • Mean of quarter 3
    0.29753
  • Mean of quarter 4
    0.48948
  • Inter Quartile Range
    0.14332
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.10903
  • Compounded annual return (geometric extrapolation)
    0.10642
  • Calmar ratio (compounded annual return / max draw down)
    0.21741
  • Compounded annual return / average of 25% largest draw downs
    0.21741
  • Compounded annual return / Expected Shortfall lognormal
    1.65824
  • 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
    0.04028
  • SD
    0.16783
  • Sharpe ratio (Glass type estimate)
    0.24004
  • Sharpe ratio (Hedges UMVUE)
    0.23865
  • df
    130.00000
  • t
    0.16973
  • p
    0.49256
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.53229
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.01164
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.53331
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.01061
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.32863
  • Upside Potential Ratio
    6.34193
  • Upside part of mean
    0.77741
  • Downside part of mean
    -0.73713
  • Upside SD
    0.11371
  • Downside SD
    0.12258
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.20931
  • Mean of criterion
    0.04028
  • SD of predictor
    0.13885
  • SD of criterion
    0.16783
  • Covariance
    0.00099
  • r
    0.04236
  • b (slope, estimate of beta)
    0.05120
  • a (intercept, estimate of alpha)
    0.02957
  • Mean Square Error
    0.02833
  • DF error
    129.00000
  • t(b)
    0.48153
  • p(b)
    0.47304
  • t(a)
    0.12367
  • p(a)
    0.49307
  • Lowerbound of 95% confidence interval for beta
    -0.15917
  • Upperbound of 95% confidence interval for beta
    0.26157
  • Lowerbound of 95% confidence interval for alpha
    -0.44347
  • Upperbound of 95% confidence interval for alpha
    0.50260
  • Treynor index (mean / b)
    0.78681
  • Jensen alpha (a)
    0.02957
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.02627
  • SD
    0.16815
  • Sharpe ratio (Glass type estimate)
    0.15622
  • Sharpe ratio (Hedges UMVUE)
    0.15532
  • df
    130.00000
  • t
    0.11047
  • p
    0.49516
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.61589
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.92785
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.61655
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.92719
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.21132
  • Upside Potential Ratio
    6.20193
  • Upside part of mean
    0.77097
  • Downside part of mean
    -0.74470
  • Upside SD
    0.11229
  • Downside SD
    0.12431
  • N nonnegative terms
    50.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19967
  • Mean of criterion
    0.02627
  • SD of predictor
    0.13856
  • SD of criterion
    0.16815
  • Covariance
    0.00103
  • r
    0.04420
  • b (slope, estimate of beta)
    0.05364
  • a (intercept, estimate of alpha)
    0.01556
  • Mean Square Error
    0.02844
  • DF error
    129.00000
  • t(b)
    0.50252
  • p(b)
    0.47187
  • t(a)
    0.06498
  • p(a)
    0.49636
  • VAR (95 Confidence Intrvl)
    0.05200
  • Lowerbound of 95% confidence interval for beta
    -0.15755
  • Upperbound of 95% confidence interval for beta
    0.26483
  • Lowerbound of 95% confidence interval for alpha
    -0.45818
  • Upperbound of 95% confidence interval for alpha
    0.48929
  • Treynor index (mean / b)
    0.48973
  • Jensen alpha (a)
    0.01556
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01684
  • Expected Shortfall on VaR
    0.02109
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00729
  • Expected Shortfall on VaR
    0.01538
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95905
  • Quartile 1
    0.99853
  • Median
    1.00000
  • Quartile 3
    1.00295
  • Maximum
    1.04444
  • Mean of quarter 1
    0.98933
  • Mean of quarter 2
    0.99976
  • Mean of quarter 3
    1.00081
  • Mean of quarter 4
    1.01115
  • Inter Quartile Range
    0.00442
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.97931
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.12977
  • Mean of outliers high
    1.01688
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.79067
  • VaR(95%) (moments method)
    0.00884
  • Expected Shortfall (moments method)
    0.04746
  • Extreme Value Index (regression method)
    0.40708
  • VaR(95%) (regression method)
    0.00866
  • Expected Shortfall (regression method)
    0.01884
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00316
  • Quartile 1
    0.00628
  • Median
    0.02316
  • Quartile 3
    0.06789
  • Maximum
    0.10134
  • Mean of quarter 1
    0.00338
  • Mean of quarter 2
    0.01431
  • Mean of quarter 3
    0.03202
  • Mean of quarter 4
    0.09059
  • Inter Quartile Range
    0.06160
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -344472000
  • Max Equity Drawdown (num days)
    397
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.05492
  • Compounded annual return (geometric extrapolation)
    0.05567
  • Calmar ratio (compounded annual return / max draw down)
    0.54936
  • Compounded annual return / average of 25% largest draw downs
    0.61453
  • Compounded annual return / Expected Shortfall lognormal
    2.63903

Strategy Description

Summary Statistics

Strategy began
2022-02-28
Suggested Minimum Capital
$25,000
# Trades
56
# Profitable
20
% Profitable
35.7%
Correlation S&P500
0.014
Sharpe Ratio
-0.21
Sortino Ratio
-0.31
Beta
0.04
Alpha
-0.04
Leverage
4.20 Average
16.50 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.