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

Cross Assets Swings
(142628478)

Created by: TheBigQuant TheBigQuant
Started: 11/2022
Futures
Last trade: 4 days ago
Trading style: Futures Momentum Short Term
Subscriptions not currently available.

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 $240.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Futures
Momentum
Category: Equity

Momentum

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

Short Term

Makes short-term trades or bases analysis on short-term market movements.
835.2%
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.

(90.7%)
Max Drawdown
201
Num Trades
91.5%
Win Trades
4.1 : 1
Profit Factor
61.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                      +7.7%+22.0%+31.4%
2023(8.3%)+14.5%+1.9%+7.9%+111.5%+15.9%(14.8%)+45.9%(9.9%)(32.1%)+70.9%(38.7%)+125.6%
2024(32.5%)(55.9%)+32.9%+2052.3%                                                +752.3%

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 96 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 220 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/3/24 10:00 @NQH4 E-MINI NASDAQ 100 STK IDX LONG 1 16612.75 1/8 9:59 16616.00 12%
Trade id #146885385
Max drawdown($5,570)
Time1/5/24 0:00
Quant open1
Worst price16334.20
Drawdown as % of equity-12.00%
$57
Includes Typical Broker Commissions trade costs of $8.00
12/14/23 4:44 @YMH4 MINI DOW SHORT 2 37549 1/8/24 9:53 37510 12.69%
Trade id #146692767
Max drawdown($5,640)
Time1/2/24 0:00
Quant open2
Worst price38113
Drawdown as % of equity-12.69%
$374
Includes Typical Broker Commissions trade costs of $16.00
12/20/23 4:42 DXMH4 MINI-DAX INDEX SHORT 2 16917.0 1/3/24 7:54 16752.0 1.64%
Trade id #146755612
Max drawdown($731)
Time12/28/23 0:00
Quant open2
Worst price16984.0
Drawdown as % of equity-1.64%
$1,786
Includes Typical Broker Commissions trade costs of $16.00
12/14/23 4:44 DXMH4 MINI-DAX INDEX SHORT 2 17081.0 12/18 9:55 16840.0 0.83%
Trade id #146692755
Max drawdown($393)
Time12/14/23 5:49
Quant open2
Worst price17117.0
Drawdown as % of equity-0.83%
$2,617
Includes Typical Broker Commissions trade costs of $16.00
11/15/23 6:45 DXMZ3 MINI-DAX INDEX SHORT 6 15901.5 12/14 4:43 16890.0 80.62%
Trade id #146445166
Max drawdown($36,551)
Time12/14/23 3:13
Quant open6
Worst price17010.0
Drawdown as % of equity-80.62%
($32,386)
Includes Typical Broker Commissions trade costs of $48.00
12/1/23 10:15 @YMZ3 MINI DOW SHORT 1 36081 12/13 21:30 37225 11.94%
Trade id #146588595
Max drawdown($5,715)
Time12/13/23 21:29
Quant open1
Worst price37224
Drawdown as % of equity-11.94%
($5,728)
Includes Typical Broker Commissions trade costs of $8.00
11/15/23 6:46 @YMZ3 MINI DOW SHORT 2 35046 11/17 12:06 35008 1.48%
Trade id #146445169
Max drawdown($1,220)
Time11/17/23 8:36
Quant open2
Worst price35168
Drawdown as % of equity-1.48%
$364
Includes Typical Broker Commissions trade costs of $16.00
9/21/23 6:05 DXMZ3 MINI-DAX INDEX LONG 2 15771.0 11/15 6:37 15772.0 30.18%
Trade id #145887608
Max drawdown($11,992)
Time10/27/23 0:00
Quant open2
Worst price14666.0
Drawdown as % of equity-30.18%
($5)
Includes Typical Broker Commissions trade costs of $16.00
11/14/23 11:26 @YMZ3 MINI DOW SHORT 2 34947 11/14 12:31 34848 0.34%
Trade id #146433500
Max drawdown($280)
Time11/14/23 11:46
Quant open2
Worst price34975
Drawdown as % of equity-0.34%
$974
Includes Typical Broker Commissions trade costs of $16.00
9/15/23 11:01 @YMZ3 MINI DOW LONG 8 34694 11/14 8:45 34759 115.03%
Trade id #145837088
Max drawdown($45,700)
Time10/27/23 0:00
Quant open4
Worst price32409
Drawdown as % of equity-115.03%
$2,541
Includes Typical Broker Commissions trade costs of $64.00
9/18/23 9:42 DXMZ3 MINI-DAX INDEX LONG 2 15884.5 9/20 9:05 15935.0 1.33%
Trade id #145854613
Max drawdown($1,077)
Time9/19/23 0:00
Quant open2
Worst price15784.0
Drawdown as % of equity-1.33%
$525
Includes Typical Broker Commissions trade costs of $16.00
9/14/23 10:27 DXMZ3 MINI-DAX INDEX SHORT 3 15935.7 9/18 7:40 15940.0 4.48%
Trade id #145821704
Max drawdown($3,475)
Time9/15/23 0:00
Quant open3
Worst price16153.0
Drawdown as % of equity-4.48%
($93)
Includes Typical Broker Commissions trade costs of $24.00
9/14/23 10:11 @YMZ3 MINI DOW SHORT 2 35076 9/15 10:59 35034 3.68%
Trade id #145821370
Max drawdown($2,805)
Time9/15/23 6:58
Quant open2
Worst price35357
Drawdown as % of equity-3.68%
$405
Includes Typical Broker Commissions trade costs of $16.00
9/14/23 8:58 DXMU3 MINI-DAX INDEX SHORT 3 15756.7 9/14 9:55 15737.0 0.54%
Trade id #145819754
Max drawdown($437)
Time9/14/23 9:38
Quant open3
Worst price15784.0
Drawdown as % of equity-0.54%
$291
Includes Typical Broker Commissions trade costs of $24.00
9/13/23 11:55 @YMU3 MINI DOW SHORT 2 34682 9/13 14:51 34610 0.31%
Trade id #145811382
Max drawdown($251)
Time9/13/23 12:22
Quant open1
Worst price34738
Drawdown as % of equity-0.31%
$709
Includes Typical Broker Commissions trade costs of $16.00
9/13/23 9:31 @YMU3 MINI DOW SHORT 1 34756 9/13 9:57 34712 0.09%
Trade id #145807541
Max drawdown($75)
Time9/13/23 9:34
Quant open1
Worst price34771
Drawdown as % of equity-0.09%
$215
Includes Typical Broker Commissions trade costs of $8.00
9/7/23 12:16 @YMU3 MINI DOW SHORT 5 34676 9/13 7:28 34650 2.85%
Trade id #145762196
Max drawdown($2,270)
Time9/11/23 0:00
Quant open2
Worst price34809
Drawdown as % of equity-2.85%
$620
Includes Typical Broker Commissions trade costs of $40.00
9/7/23 9:33 @ESU3 E-MINI S&P 500 LONG 1 4438.00 9/7 12:07 4454.25 0.24%
Trade id #145758041
Max drawdown($187)
Time9/7/23 10:33
Quant open1
Worst price4434.25
Drawdown as % of equity-0.24%
$805
Includes Typical Broker Commissions trade costs of $8.00
8/29/23 11:10 @NQU3 E-MINI NASDAQ 100 STK IDX SHORT 2 15349.25 9/7 8:20 15309.12 18%
Trade id #145677855
Max drawdown($12,480)
Time9/1/23 0:00
Quant open2
Worst price15661.20
Drawdown as % of equity-18.00%
$1,589
Includes Typical Broker Commissions trade costs of $16.00
9/1/23 8:29 @YMU3 MINI DOW LONG 1 34913 9/1 8:31 34954 n/a $197
Includes Typical Broker Commissions trade costs of $8.00
8/31/23 4:26 DXMU3 MINI-DAX INDEX SHORT 1 16013.0 8/31 5:59 16008.0 0.13%
Trade id #145694901
Max drawdown($97)
Time8/31/23 5:18
Quant open1
Worst price16031.0
Drawdown as % of equity-0.13%
$19
Includes Typical Broker Commissions trade costs of $8.00
8/11/23 2:42 DXMU3 MINI-DAX INDEX LONG 7 15826.3 8/29 10:34 15869.6 14.39%
Trade id #145501762
Max drawdown($9,672)
Time8/18/23 0:00
Quant open5
Worst price15511.0
Drawdown as % of equity-14.39%
$1,587
Includes Typical Broker Commissions trade costs of $56.00
8/28/23 6:48 @NQU3 E-MINI NASDAQ 100 STK IDX LONG 1 15017.50 8/29 2:05 15134.50 0.92%
Trade id #145658433
Max drawdown($680)
Time8/28/23 11:52
Quant open1
Worst price14983.50
Drawdown as % of equity-0.92%
$2,332
Includes Typical Broker Commissions trade costs of $8.00
8/24/23 15:14 @ESU3 E-MINI S&P 500 LONG 1 4405.25 8/25 10:19 4411.75 1.88%
Trade id #145632380
Max drawdown($1,337)
Time8/24/23 16:33
Quant open1
Worst price4378.50
Drawdown as % of equity-1.88%
$317
Includes Typical Broker Commissions trade costs of $8.00
8/18/23 10:12 @NQU3 E-MINI NASDAQ 100 STK IDX LONG 1 14644.00 8/18 10:36 14685.00 1.05%
Trade id #145572090
Max drawdown($695)
Time8/18/23 10:17
Quant open1
Worst price14609.20
Drawdown as % of equity-1.05%
$812
Includes Typical Broker Commissions trade costs of $8.00
8/18/23 8:42 @YMU3 MINI DOW LONG 1 34335 8/18 9:27 34380 0.02%
Trade id #145570113
Max drawdown($10)
Time8/18/23 8:46
Quant open1
Worst price34333
Drawdown as % of equity-0.02%
$217
Includes Typical Broker Commissions trade costs of $8.00
8/9/23 9:20 @NQU3 E-MINI NASDAQ 100 STK IDX LONG 2 15299.38 8/10 10:00 15360.12 9.37%
Trade id #145479711
Max drawdown($6,115)
Time8/9/23 11:56
Quant open2
Worst price15146.50
Drawdown as % of equity-9.37%
$2,414
Includes Typical Broker Commissions trade costs of $16.00
8/9/23 3:00 DXMU3 MINI-DAX INDEX SHORT 2 15980.0 8/9 3:17 15945.0 0.27%
Trade id #145478261
Max drawdown($186)
Time8/9/23 3:05
Quant open2
Worst price15997.0
Drawdown as % of equity-0.27%
$368
Includes Typical Broker Commissions trade costs of $16.00
8/8/23 9:59 @YMU3 MINI DOW LONG 2 35135 8/8 12:13 35216 0.87%
Trade id #145470460
Max drawdown($590)
Time8/8/23 10:22
Quant open2
Worst price35076
Drawdown as % of equity-0.87%
$794
Includes Typical Broker Commissions trade costs of $16.00
8/7/23 8:53 @YMU3 MINI DOW SHORT 4 35350 8/8 9:51 35282 7.47%
Trade id #145456965
Max drawdown($4,780)
Time8/7/23 14:01
Quant open4
Worst price35589
Drawdown as % of equity-7.47%
$1,323
Includes Typical Broker Commissions trade costs of $32.00

Statistics

  • Strategy began
    11/21/2022
  • Suggested Minimum Cap
    $380,000
  • Strategy Age (days)
    524.66
  • Age
    18 months ago
  • What it trades
    Futures
  • # Trades
    201
  • # Profitable
    184
  • % Profitable
    91.50%
  • Avg trade duration
    3.0 days
  • Max peak-to-valley drawdown
    90.69%
  • drawdown period
    Nov 16, 2023 - March 08, 2024
  • Annual Return (Compounded)
    835.2%
  • Avg win
    $1,502
  • Avg loss
    $3,976
  • Model Account Values (Raw)
  • Cash
    $57,013
  • Margin Used
    $50,451
  • Buying Power
    $173,492
  • Ratios
  • W:L ratio
    4.09:1
  • Sharpe Ratio
    0.83
  • Sortino Ratio
    8.5
  • Calmar Ratio
    12.048
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    2403.46%
  • Correlation to SP500
    -0.03680
  • Return Percent SP500 (cumu) during strategy life
    29.11%
  • Return Statistics
  • Ann Return (w trading costs)
    835.2%
  • 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
    n/a
  • 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)
    8.352%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    853.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    85.50%
  • Chance of 20% account loss
    75.50%
  • Chance of 30% account loss
    65.00%
  • Chance of 40% account loss
    55.00%
  • Chance of 60% account loss (Monte Carlo)
    33.50%
  • Chance of 70% account loss (Monte Carlo)
    21.00%
  • Chance of 80% account loss (Monte Carlo)
    7.50%
  • Chance of 90% account loss (Monte Carlo)
    1.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    51.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    689
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    362
  • Popularity (7 days, Percentile 1000 scale)
    597
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $3,977
  • Avg Win
    $2,383
  • Sum Trade PL (losers)
    $67,607.000
  • Age
  • Num Months filled monthly returns table
    18
  • Win / Loss
  • Sum Trade PL (winners)
    $438,542.000
  • # Winners
    184
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    17
  • % Winners
    91.5%
  • Frequency
  • Avg Position Time (mins)
    4379.40
  • Avg Position Time (hrs)
    72.99
  • Avg Trade Length
    3.0 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    11.20
  • Daily leverage (max)
    38.87
  • Regression
  • Alpha
    2.48
  • Beta
    -2.37
  • Treynor Index
    -1.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.06
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    7.62
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.31
  • Avg(MAE) / Avg(PL) - All trades
    32.841
  • 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
    0.13
  • Avg(MAE) / Avg(PL) - Winning trades
    2.194
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.131
  • Hold-and-Hope Ratio
    1.083
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.99815
  • SD
    1.22418
  • Sharpe ratio (Glass type estimate)
    0.81537
  • Sharpe ratio (Hedges UMVUE)
    0.77379
  • df
    15.00000
  • t
    0.94150
  • p
    0.35103
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91956
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.52412
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94603
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49360
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.47013
  • Upside Potential Ratio
    3.25230
  • Upside part of mean
    2.20817
  • Downside part of mean
    -1.21001
  • Upside SD
    1.01341
  • Downside SD
    0.67896
  • N nonnegative terms
    11.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.18667
  • Mean of criterion
    0.99815
  • SD of predictor
    0.11496
  • SD of criterion
    1.22418
  • Covariance
    0.02258
  • r
    0.16042
  • b (slope, estimate of beta)
    1.70835
  • a (intercept, estimate of alpha)
    0.67926
  • Mean Square Error
    1.56434
  • DF error
    14.00000
  • t(b)
    0.60812
  • p(b)
    0.41979
  • t(a)
    0.56444
  • p(a)
    0.42542
  • Lowerbound of 95% confidence interval for beta
    -4.31689
  • Upperbound of 95% confidence interval for beta
    7.73360
  • Lowerbound of 95% confidence interval for alpha
    -1.90184
  • Upperbound of 95% confidence interval for alpha
    3.26036
  • Treynor index (mean / b)
    0.58428
  • Jensen alpha (a)
    0.67926
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30352
  • SD
    1.21729
  • Sharpe ratio (Glass type estimate)
    0.24934
  • Sharpe ratio (Hedges UMVUE)
    0.23663
  • df
    15.00000
  • t
    0.28791
  • p
    0.45285
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.45440
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.94493
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.46286
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.93611
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.34776
  • Upside Potential Ratio
    2.09902
  • Upside part of mean
    1.83200
  • Downside part of mean
    -1.52848
  • Upside SD
    0.79692
  • Downside SD
    0.87279
  • N nonnegative terms
    11.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.17883
  • Mean of criterion
    0.30352
  • SD of predictor
    0.11288
  • SD of criterion
    1.21729
  • Covariance
    0.01391
  • r
    0.10127
  • b (slope, estimate of beta)
    1.09212
  • a (intercept, estimate of alpha)
    0.10822
  • Mean Square Error
    1.57134
  • DF error
    14.00000
  • t(b)
    0.38087
  • p(b)
    0.44937
  • t(a)
    0.09014
  • p(a)
    0.48796
  • Lowerbound of 95% confidence interval for beta
    -5.05792
  • Upperbound of 95% confidence interval for beta
    7.24215
  • Lowerbound of 95% confidence interval for alpha
    -2.46682
  • Upperbound of 95% confidence interval for alpha
    2.68326
  • Treynor index (mean / b)
    0.27792
  • Jensen alpha (a)
    0.10822
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.42461
  • Expected Shortfall on VaR
    0.49919
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.17089
  • Expected Shortfall on VaR
    0.35216
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.53950
  • Quartile 1
    0.87337
  • Median
    1.08764
  • Quartile 3
    1.28314
  • Maximum
    1.82121
  • Mean of quarter 1
    0.62092
  • Mean of quarter 2
    1.03606
  • Mean of quarter 3
    1.18231
  • Mean of quarter 4
    1.50274
  • Inter Quartile Range
    0.40977
  • 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)
    -23.09240
  • VaR(95%) (moments method)
    0.38600
  • Expected Shortfall (moments method)
    0.38600
  • Extreme Value Index (regression method)
    -2.00743
  • VaR(95%) (regression method)
    0.49583
  • Expected Shortfall (regression method)
    0.50349
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.08538
  • Quartile 1
    0.25369
  • Median
    0.42199
  • Quartile 3
    0.58632
  • Maximum
    0.75066
  • Mean of quarter 1
    0.08538
  • Mean of quarter 2
    0.42199
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.75066
  • Inter Quartile Range
    0.33264
  • 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)
    0.41675
  • Compounded annual return (geometric extrapolation)
    0.39295
  • Calmar ratio (compounded annual return / max draw down)
    0.52348
  • Compounded annual return / average of 25% largest draw downs
    0.52348
  • Compounded annual return / Expected Shortfall lognormal
    0.78718
  • 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
    12.21670
  • SD
    13.20910
  • Sharpe ratio (Glass type estimate)
    0.92487
  • Sharpe ratio (Hedges UMVUE)
    0.92291
  • df
    354.00000
  • t
    1.07657
  • p
    0.14120
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.76091
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.60940
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.76224
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.60805
  • Statistics related to Sortino ratio
  • Sortino ratio
    16.61010
  • Upside Potential Ratio
    24.34510
  • Upside part of mean
    17.90570
  • Downside part of mean
    -5.68904
  • Upside SD
    13.19160
  • Downside SD
    0.73550
  • N nonnegative terms
    182.00000
  • N negative terms
    173.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    355.00000
  • Mean of predictor
    0.17053
  • Mean of criterion
    12.21670
  • SD of predictor
    0.13997
  • SD of criterion
    13.20910
  • Covariance
    -0.54241
  • r
    -0.29337
  • b (slope, estimate of beta)
    -27.68500
  • a (intercept, estimate of alpha)
    16.93800
  • Mean Square Error
    159.91600
  • DF error
    353.00000
  • t(b)
    -5.76556
  • p(b)
    1.00000
  • t(a)
    1.55470
  • p(a)
    0.06046
  • Lowerbound of 95% confidence interval for beta
    -37.12870
  • Upperbound of 95% confidence interval for beta
    -18.24130
  • Lowerbound of 95% confidence interval for alpha
    -4.48870
  • Upperbound of 95% confidence interval for alpha
    38.36440
  • Treynor index (mean / b)
    -0.44127
  • Jensen alpha (a)
    16.93790
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.36624
  • SD
    2.63821
  • Sharpe ratio (Glass type estimate)
    0.89691
  • Sharpe ratio (Hedges UMVUE)
    0.89501
  • df
    354.00000
  • t
    1.04403
  • p
    0.14859
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.78879
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.58136
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.79006
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.58007
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.96816
  • Upside Potential Ratio
    10.48100
  • Upside part of mean
    8.35553
  • Downside part of mean
    -5.98929
  • Upside SD
    2.51523
  • Downside SD
    0.79721
  • N nonnegative terms
    182.00000
  • N negative terms
    173.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    355.00000
  • Mean of predictor
    0.16068
  • Mean of criterion
    2.36624
  • SD of predictor
    0.14010
  • SD of criterion
    2.63821
  • Covariance
    -0.11886
  • r
    -0.32156
  • b (slope, estimate of beta)
    -6.05526
  • a (intercept, estimate of alpha)
    3.33922
  • Mean Square Error
    6.25816
  • DF error
    353.00000
  • t(b)
    -6.38049
  • p(b)
    1.00000
  • t(a)
    1.54987
  • p(a)
    0.06103
  • Lowerbound of 95% confidence interval for beta
    -7.92172
  • Upperbound of 95% confidence interval for beta
    -4.18880
  • Lowerbound of 95% confidence interval for alpha
    -0.89809
  • Upperbound of 95% confidence interval for alpha
    7.57652
  • Treynor index (mean / b)
    -0.39077
  • Jensen alpha (a)
    3.33922
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.22823
  • Expected Shortfall on VaR
    0.27775
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04912
  • Expected Shortfall on VaR
    0.09752
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    355.00000
  • Minimum
    0.71543
  • Quartile 1
    0.97171
  • Median
    1.00106
  • Quartile 3
    1.03638
  • Maximum
    16.32630
  • Mean of quarter 1
    0.92480
  • Mean of quarter 2
    0.98884
  • Mean of quarter 3
    1.01904
  • Mean of quarter 4
    1.25395
  • Inter Quartile Range
    0.06467
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.03662
  • Mean of outliers low
    0.82873
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.03944
  • Mean of outliers high
    2.27071
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.11928
  • VaR(95%) (moments method)
    0.06995
  • Expected Shortfall (moments method)
    0.10214
  • Extreme Value Index (regression method)
    0.05315
  • VaR(95%) (regression method)
    0.07397
  • Expected Shortfall (regression method)
    0.10502
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00015
  • Quartile 1
    0.02437
  • Median
    0.07323
  • Quartile 3
    0.20142
  • Maximum
    0.82658
  • Mean of quarter 1
    0.00752
  • Mean of quarter 2
    0.04938
  • Mean of quarter 3
    0.11876
  • Mean of quarter 4
    0.42739
  • Inter Quartile Range
    0.17705
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.63544
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.27747
  • VaR(95%) (moments method)
    0.45793
  • Expected Shortfall (moments method)
    0.75628
  • Extreme Value Index (regression method)
    0.22276
  • VaR(95%) (regression method)
    0.33861
  • Expected Shortfall (regression method)
    0.46953
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    18.18170
  • Compounded annual return (geometric extrapolation)
    9.95884
  • Calmar ratio (compounded annual return / max draw down)
    12.04820
  • Compounded annual return / average of 25% largest draw downs
    23.30160
  • Compounded annual return / Expected Shortfall lognormal
    35.85500
  • 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
    29.37020
  • SD
    21.72400
  • Sharpe ratio (Glass type estimate)
    1.35197
  • Sharpe ratio (Hedges UMVUE)
    1.34415
  • df
    130.00000
  • t
    0.95599
  • p
    0.45822
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42724
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.12611
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.43246
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.12077
  • Statistics related to Sortino ratio
  • Sortino ratio
    31.47820
  • Upside Potential Ratio
    40.15560
  • Upside part of mean
    37.46650
  • Downside part of mean
    -8.09637
  • Upside SD
    21.69680
  • Downside SD
    0.93303
  • N nonnegative terms
    49.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.32815
  • Mean of criterion
    29.37020
  • SD of predictor
    0.13448
  • SD of criterion
    21.72400
  • Covariance
    -1.46288
  • r
    -0.50075
  • b (slope, estimate of beta)
    -80.89210
  • a (intercept, estimate of alpha)
    55.91500
  • Mean Square Error
    356.33700
  • DF error
    129.00000
  • t(b)
    -6.57051
  • p(b)
    0.80491
  • t(a)
    2.07093
  • p(a)
    0.38642
  • Lowerbound of 95% confidence interval for beta
    -105.25000
  • Upperbound of 95% confidence interval for beta
    -56.53370
  • Lowerbound of 95% confidence interval for alpha
    2.49494
  • Upperbound of 95% confidence interval for alpha
    109.33500
  • Treynor index (mean / b)
    -0.36308
  • Jensen alpha (a)
    55.91500
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.39353
  • SD
    4.18439
  • Sharpe ratio (Glass type estimate)
    0.81100
  • Sharpe ratio (Hedges UMVUE)
    0.80631
  • df
    130.00000
  • t
    0.57346
  • p
    0.47488
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.96401
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.58311
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.96723
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.57985
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.36050
  • Upside Potential Ratio
    11.85590
  • Upside part of mean
    11.97240
  • Downside part of mean
    -8.57889
  • Upside SD
    4.04965
  • Downside SD
    1.00983
  • N nonnegative terms
    49.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.31889
  • Mean of criterion
    3.39353
  • SD of predictor
    0.13506
  • SD of criterion
    4.18439
  • Covariance
    -0.29288
  • r
    -0.51824
  • b (slope, estimate of beta)
    -16.05630
  • a (intercept, estimate of alpha)
    8.51379
  • Mean Square Error
    12.90590
  • DF error
    129.00000
  • t(b)
    -6.88247
  • p(b)
    0.81449
  • t(a)
    1.65809
  • p(a)
    0.40836
  • VAR (95 Confidence Intrvl)
    0.22800
  • Lowerbound of 95% confidence interval for beta
    -20.67210
  • Upperbound of 95% confidence interval for beta
    -11.44050
  • Lowerbound of 95% confidence interval for alpha
    -1.64535
  • Upperbound of 95% confidence interval for alpha
    18.67290
  • Treynor index (mean / b)
    -0.21135
  • Jensen alpha (a)
    8.51379
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.33785
  • Expected Shortfall on VaR
    0.40302
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.08180
  • Expected Shortfall on VaR
    0.14748
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.75939
  • Quartile 1
    0.95566
  • Median
    0.99438
  • Quartile 3
    1.03148
  • Maximum
    16.32630
  • Mean of quarter 1
    0.89874
  • Mean of quarter 2
    0.97934
  • Mean of quarter 3
    1.00745
  • Mean of quarter 4
    1.56012
  • Inter Quartile Range
    0.07582
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.79515
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    3.10341
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.19090
  • VaR(95%) (moments method)
    0.09863
  • Expected Shortfall (moments method)
    0.12292
  • Extreme Value Index (regression method)
    -0.09429
  • VaR(95%) (regression method)
    0.10002
  • Expected Shortfall (regression method)
    0.12893
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00430
  • Quartile 1
    0.07583
  • Median
    0.23952
  • Quartile 3
    0.45531
  • Maximum
    0.82658
  • Mean of quarter 1
    0.04006
  • Mean of quarter 2
    0.23952
  • Mean of quarter 3
    0.45531
  • Mean of quarter 4
    0.82658
  • Inter Quartile Range
    0.37949
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -345069000
  • Max Equity Drawdown (num days)
    113
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    9.06586
  • Compounded annual return (geometric extrapolation)
    29.61330
  • Calmar ratio (compounded annual return / max draw down)
    35.82630
  • Compounded annual return / average of 25% largest draw downs
    35.82630
  • Compounded annual return / Expected Shortfall lognormal
    73.47770

Strategy Description

Signals are produced on main index futures (ES, NQ, RTY, YM, DAX, EU50) as well as on Gold and EUR/USD futures.
Depending on market conditions, anywhere between 5 and 50 signals can be produced per day.
Targets and stops are a function of the price and time.
Trading hours will typically be from 8 AM to 10PM Central European Time (2AM to 4PM ET)
Once signals are produced, a filtering is applied to avoid triggering simultaneous buy or sell orders on all assets at the same time and keep the risk under control.
Signals can be short time frame scalps or longer time frame swings and all come with a high/low conviction rating deciding how long to keep the position, how large it should be and when and where to place stops.

Summary Statistics

Strategy began
2022-11-21
Suggested Minimum Capital
$380,000
# Trades
201
# Profitable
184
% Profitable
91.5%
Correlation S&P500
-0.037
Sharpe Ratio
0.83
Sortino Ratio
8.50
Beta
-2.37
Alpha
2.48
Leverage
11.20 Average
38.87 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.