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

Just E mini SP500
(134255487)

Created by: PeterAlexanderr PeterAlexanderr
Started: 02/2021
Futures, Forex
Last trade: 6 days ago
Trading style: Futures Momentum

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $150.00 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).
99.1%
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.

(20.2%)
Max Drawdown
372
Num Trades
51.9%
Win Trades
2.1 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021       (0.6%)(3%)+10.6%+0.1%(1%)+5.3%+3.4%(1.8%)+1.5%+4.2%(5.9%)+12.4%
2022+5.8%(1.2%)(4.8%)+18.7%(4.4%)+75.3%+17.4%+8.3%+6.3%                  +167.2%

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 18 hours.

Trading Record

This strategy has placed 255 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/20/22 22:34 @MESZ2 MICRO E-MINI S&P 500 SHORT 2 3887.55 9/21 14:00 3860.81 0.34%
Trade id #141871439
Max drawdown($243)
Time9/21/22 13:57
Quant open2
Worst price3911.75
Drawdown as % of equity-0.34%
$265
Includes Typical Broker Commissions trade costs of $1.88
9/20/22 9:19 @MESZ2 MICRO E-MINI S&P 500 SHORT 2 3885.75 9/20 10:03 3871.11 0.01%
Trade id #141861894
Max drawdown($10)
Time9/20/22 9:26
Quant open2
Worst price3886.75
Drawdown as % of equity-0.01%
$144
Includes Typical Broker Commissions trade costs of $1.88
9/16/22 12:34 @MESZ2 MICRO E-MINI S&P 500 SHORT 10 3860.50 9/16 13:23 3862.48 0.61%
Trade id #141833407
Max drawdown($437)
Time9/16/22 13:02
Quant open10
Worst price3869.25
Drawdown as % of equity-0.61%
($108)
Includes Typical Broker Commissions trade costs of $9.40
9/16/22 10:42 @MESZ2 MICRO E-MINI S&P 500 SHORT 5 3883.25 9/16 11:04 3869.77 n/a $332
Includes Typical Broker Commissions trade costs of $4.70
9/15/22 12:11 @MESZ2 MICRO E-MINI S&P 500 SHORT 15 3949.27 9/15 13:47 3947.55 1.32%
Trade id #141818634
Max drawdown($928)
Time9/15/22 13:27
Quant open10
Worst price3963.50
Drawdown as % of equity-1.32%
$115
Includes Typical Broker Commissions trade costs of $14.10
9/7/22 10:25 @ESU2 E-MINI S&P 500 SHORT 5 3936.55 9/7 12:20 3935.00 3.58%
Trade id #141687549
Max drawdown($2,487)
Time9/7/22 11:55
Quant open4
Worst price3947.25
Drawdown as % of equity-3.58%
$348
Includes Typical Broker Commissions trade costs of $40.00
9/7/22 10:05 @ESU2 E-MINI S&P 500 SHORT 1 3925.45 9/7 10:20 3918.00 n/a $365
Includes Typical Broker Commissions trade costs of $8.00
9/7/22 8:27 @ESU2 E-MINI S&P 500 SHORT 4 3916.06 9/7 10:00 3913.50 3.28%
Trade id #141684595
Max drawdown($2,262)
Time9/7/22 9:46
Quant open2
Worst price3930.00
Drawdown as % of equity-3.28%
$481
Includes Typical Broker Commissions trade costs of $32.00
9/7/22 3:20 @MESU2 MICRO E-MINI S&P 500 SHORT 10 3918.10 9/7 10:00 3913.30 0.68%
Trade id #141682978
Max drawdown($466)
Time9/7/22 9:46
Quant open5
Worst price3930.00
Drawdown as % of equity-0.68%
$231
Includes Typical Broker Commissions trade costs of $9.40
9/6/22 9:27 @ESU2 E-MINI S&P 500 SHORT 1 3935.25 9/6 10:22 3895.95 0.69%
Trade id #141667720
Max drawdown($462)
Time9/6/22 9:31
Quant open1
Worst price3944.50
Drawdown as % of equity-0.69%
$1,957
Includes Typical Broker Commissions trade costs of $8.00
8/30/22 9:52 @ESU2 E-MINI S&P 500 SHORT 1 4023.67 8/30 14:06 3982.25 0.41%
Trade id #141589019
Max drawdown($266)
Time8/30/22 10:01
Quant open1
Worst price4029.00
Drawdown as % of equity-0.41%
$2,063
Includes Typical Broker Commissions trade costs of $8.00
8/30/22 7:56 @ESU2 E-MINI S&P 500 SHORT 2 4057.42 8/30 8:36 4049.75 0.44%
Trade id #141587438
Max drawdown($283)
Time8/30/22 8:05
Quant open1
Worst price4062.25
Drawdown as % of equity-0.44%
$751
Includes Typical Broker Commissions trade costs of $16.00
8/29/22 16:02 @ESU2 E-MINI S&P 500 SHORT 1 4032.75 8/29 20:42 4029.00 0.82%
Trade id #141583010
Max drawdown($525)
Time8/29/22 19:46
Quant open1
Worst price4043.25
Drawdown as % of equity-0.82%
$180
Includes Typical Broker Commissions trade costs of $8.00
8/29/22 14:56 @ESU2 E-MINI S&P 500 SHORT 3 4048.00 8/29 15:33 4047.05 2.68%
Trade id #141581730
Max drawdown($1,687)
Time8/29/22 15:16
Quant open3
Worst price4059.25
Drawdown as % of equity-2.68%
$119
Includes Typical Broker Commissions trade costs of $24.00
8/29/22 14:14 @MESU2 MICRO E-MINI S&P 500 SHORT 5 4048.75 8/29 14:24 4045.25 n/a $83
Includes Typical Broker Commissions trade costs of $4.70
8/29/22 13:54 @MESU2 MICRO E-MINI S&P 500 SHORT 10 4055.25 8/29 14:06 4054.03 0.23%
Trade id #141581193
Max drawdown($150)
Time8/29/22 13:59
Quant open10
Worst price4058.25
Drawdown as % of equity-0.23%
$52
Includes Typical Broker Commissions trade costs of $9.40
8/29/22 11:48 @MESU2 MICRO E-MINI S&P 500 SHORT 10 4036.41 8/29 12:50 4054.50 1.43%
Trade id #141579234
Max drawdown($929)
Time8/29/22 12:50
Quant open10
Worst price4055.00
Drawdown as % of equity-1.43%
($914)
Includes Typical Broker Commissions trade costs of $9.40
8/29/22 11:28 @MESU2 MICRO E-MINI S&P 500 SHORT 10 4031.88 8/29 11:42 4031.12 0.44%
Trade id #141578149
Max drawdown($287)
Time8/29/22 11:37
Quant open5
Worst price4040.75
Drawdown as % of equity-0.44%
$29
Includes Typical Broker Commissions trade costs of $9.40
8/29/22 10:11 @MESU2 MICRO E-MINI S&P 500 SHORT 5 4036.87 8/29 11:23 4032.00 0.09%
Trade id #141576382
Max drawdown($58)
Time8/29/22 10:21
Quant open1
Worst price4051.50
Drawdown as % of equity-0.09%
$117
Includes Typical Broker Commissions trade costs of $4.70
8/26/22 9:37 @ESU2 E-MINI S&P 500 LONG 1 4195.75 8/26 9:45 4197.94 0.23%
Trade id #141555827
Max drawdown($150)
Time8/26/22 9:43
Quant open1
Worst price4192.75
Drawdown as % of equity-0.23%
$101
Includes Typical Broker Commissions trade costs of $8.00
8/26/22 8:34 @ESU2 E-MINI S&P 500 LONG 2 4193.88 8/26 8:41 4195.75 0.29%
Trade id #141554614
Max drawdown($187)
Time8/26/22 8:37
Quant open2
Worst price4192.00
Drawdown as % of equity-0.29%
$172
Includes Typical Broker Commissions trade costs of $16.00
8/26/22 8:24 @ESU2 E-MINI S&P 500 LONG 1 4190.25 8/26 8:31 4198.50 0.37%
Trade id #141554503
Max drawdown($237)
Time8/26/22 8:30
Quant open1
Worst price4185.50
Drawdown as % of equity-0.37%
$405
Includes Typical Broker Commissions trade costs of $8.00
8/25/22 13:22 @ESU2 E-MINI S&P 500 LONG 4 4166.38 8/25 13:35 4171.75 0.12%
Trade id #141547431
Max drawdown($75)
Time8/25/22 13:27
Quant open4
Worst price4166.00
Drawdown as % of equity-0.12%
$1,043
Includes Typical Broker Commissions trade costs of $32.00
8/25/22 12:59 @ESU2 E-MINI S&P 500 LONG 4 4160.75 8/25 13:09 4160.00 0.39%
Trade id #141546984
Max drawdown($250)
Time8/25/22 13:09
Quant open4
Worst price4159.50
Drawdown as % of equity-0.39%
($182)
Includes Typical Broker Commissions trade costs of $32.00
8/25/22 12:28 @ESU2 E-MINI S&P 500 LONG 2 4163.75 8/25 12:48 4157.00 1.56%
Trade id #141546536
Max drawdown($1,000)
Time8/25/22 12:48
Quant open2
Worst price4153.75
Drawdown as % of equity-1.56%
($691)
Includes Typical Broker Commissions trade costs of $16.00
8/25/22 10:24 @ESU2 E-MINI S&P 500 LONG 2 4176.50 8/25 10:35 4180.75 n/a $409
Includes Typical Broker Commissions trade costs of $16.00
8/24/22 11:12 @ESU2 E-MINI S&P 500 LONG 2 4142.50 8/24 11:36 4150.50 n/a $784
Includes Typical Broker Commissions trade costs of $16.00
8/24/22 10:42 @ESU2 E-MINI S&P 500 LONG 4 4134.67 8/24 10:49 4136.50 0.3%
Trade id #141521407
Max drawdown($183)
Time8/24/22 10:47
Quant open2
Worst price4132.25
Drawdown as % of equity-0.30%
$335
Includes Typical Broker Commissions trade costs of $32.00
8/24/22 10:12 @ESU2 E-MINI S&P 500 LONG 4 4135.12 8/24 10:25 4140.00 0.45%
Trade id #141520750
Max drawdown($275)
Time8/24/22 10:15
Quant open2
Worst price4131.75
Drawdown as % of equity-0.45%
$943
Includes Typical Broker Commissions trade costs of $32.00
8/24/22 10:03 @ESU2 E-MINI S&P 500 SHORT 4 4129.75 8/24 10:07 4129.50 0.08%
Trade id #141520498
Max drawdown($50)
Time8/24/22 10:07
Quant open-4
Worst price4130.00
Drawdown as % of equity-0.08%
$18
Includes Typical Broker Commissions trade costs of $32.00

Statistics

  • Strategy began
    2/24/2021
  • Suggested Minimum Cap
    $70,000
  • Strategy Age (days)
    579.62
  • Age
    19 months ago
  • What it trades
    Futures, Forex
  • # Trades
    372
  • # Profitable
    193
  • % Profitable
    51.90%
  • Avg trade duration
    21.6 hours
  • Max peak-to-valley drawdown
    20.23%
  • drawdown period
    June 27, 2022 - June 30, 2022
  • Annual Return (Compounded)
    99.1%
  • Avg win
    $530.33
  • Avg loss
    $272.33
  • Model Account Values (Raw)
  • Cash
    $77,454
  • Margin Used
    $0
  • Buying Power
    $77,454
  • Ratios
  • W:L ratio
    2.10:1
  • Sharpe Ratio
    2.07
  • Sortino Ratio
    5.19
  • Calmar Ratio
    10.155
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    207.17%
  • Correlation to SP500
    -0.10990
  • Return Percent SP500 (cumu) during strategy life
    -6.89%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    99.1%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.48%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.991%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.52%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    109.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    6.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    47.51%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    974
  • Popularity (Last 6 weeks)
    991
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    990
  • Popularity (7 days, Percentile 1000 scale)
    982
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $272
  • Avg Win
    $530
  • Sum Trade PL (losers)
    $48,747.000
  • Age
  • Num Months filled monthly returns table
    20
  • Win / Loss
  • Sum Trade PL (winners)
    $102,354.000
  • # Winners
    193
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    903102
  • Win / Loss
  • # Losers
    179
  • % Winners
    51.9%
  • Frequency
  • Avg Position Time (mins)
    1298.05
  • Avg Position Time (hrs)
    21.63
  • Avg Trade Length
    0.9 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    3.47
  • Daily leverage (max)
    30.23
  • Regression
  • Alpha
    0.20
  • Beta
    -0.17
  • Treynor Index
    -1.19
  • 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)
    -0.26
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    9.081
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.457
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.941
  • Hold-and-Hope Ratio
    0.110
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.91267
  • SD
    0.59957
  • Sharpe ratio (Glass type estimate)
    1.52220
  • Sharpe ratio (Hedges UMVUE)
    1.44952
  • df
    16.00000
  • t
    1.81178
  • p
    0.29370
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22701
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.22857
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27206
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.17110
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.70190
  • Upside Potential Ratio
    15.46410
  • Upside part of mean
    1.03006
  • Downside part of mean
    -0.11738
  • Upside SD
    0.63508
  • Downside SD
    0.06661
  • N nonnegative terms
    11.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    -0.01046
  • Mean of criterion
    0.91267
  • SD of predictor
    0.18997
  • SD of criterion
    0.59957
  • Covariance
    -0.01933
  • r
    -0.16973
  • b (slope, estimate of beta)
    -0.53568
  • a (intercept, estimate of alpha)
    0.90707
  • Mean Square Error
    0.37241
  • DF error
    15.00000
  • t(b)
    -0.66703
  • p(b)
    0.60753
  • t(a)
    1.76891
  • p(a)
    0.24333
  • Lowerbound of 95% confidence interval for beta
    -2.24740
  • Upperbound of 95% confidence interval for beta
    1.17604
  • Lowerbound of 95% confidence interval for alpha
    -0.18590
  • Upperbound of 95% confidence interval for alpha
    2.00005
  • Treynor index (mean / b)
    -1.70377
  • Jensen alpha (a)
    0.90707
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.76122
  • SD
    0.47138
  • Sharpe ratio (Glass type estimate)
    1.61486
  • Sharpe ratio (Hedges UMVUE)
    1.53776
  • df
    16.00000
  • t
    1.92207
  • p
    0.28345
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14531
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.33011
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.19299
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.26851
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.20640
  • Upside Potential Ratio
    12.96400
  • Upside part of mean
    0.88060
  • Downside part of mean
    -0.11939
  • Upside SD
    0.50280
  • Downside SD
    0.06793
  • N nonnegative terms
    11.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    17.00000
  • Mean of predictor
    -0.02812
  • Mean of criterion
    0.76122
  • SD of predictor
    0.19597
  • SD of criterion
    0.47138
  • Covariance
    -0.01597
  • r
    -0.17290
  • b (slope, estimate of beta)
    -0.41589
  • a (intercept, estimate of alpha)
    0.74952
  • Mean Square Error
    0.22993
  • DF error
    15.00000
  • t(b)
    -0.67986
  • p(b)
    0.60952
  • t(a)
    1.85877
  • p(a)
    0.23340
  • Lowerbound of 95% confidence interval for beta
    -1.71975
  • Upperbound of 95% confidence interval for beta
    0.88797
  • Lowerbound of 95% confidence interval for alpha
    -0.10995
  • Upperbound of 95% confidence interval for alpha
    1.60900
  • Treynor index (mean / b)
    -1.83034
  • Jensen alpha (a)
    0.74952
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.14819
  • Expected Shortfall on VaR
    0.19427
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01802
  • Expected Shortfall on VaR
    0.03650
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    17.00000
  • Minimum
    0.95114
  • Quartile 1
    0.99339
  • Median
    1.03605
  • Quartile 3
    1.06843
  • Maximum
    1.68850
  • Mean of quarter 1
    0.97066
  • Mean of quarter 2
    1.01625
  • Mean of quarter 3
    1.05241
  • Mean of quarter 4
    1.30115
  • Inter Quartile Range
    0.07504
  • 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
    1.44753
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -6.37501
  • VaR(95%) (moments method)
    0.01883
  • Expected Shortfall (moments method)
    0.01883
  • Extreme Value Index (regression method)
    -1.45660
  • VaR(95%) (regression method)
    0.05321
  • Expected Shortfall (regression method)
    0.05568
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00560
  • Quartile 1
    0.01779
  • Median
    0.03736
  • Quartile 3
    0.04250
  • Maximum
    0.04886
  • Mean of quarter 1
    0.01170
  • Mean of quarter 2
    0.03736
  • Mean of quarter 3
    0.04250
  • Mean of quarter 4
    0.04886
  • Inter Quartile Range
    0.02471
  • 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)
    1.45306
  • Compounded annual return (geometric extrapolation)
    1.20147
  • Calmar ratio (compounded annual return / max draw down)
    24.59040
  • Compounded annual return / average of 25% largest draw downs
    24.59040
  • Compounded annual return / Expected Shortfall lognormal
    6.18459
  • 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
    0.80674
  • SD
    0.28184
  • Sharpe ratio (Glass type estimate)
    2.86236
  • Sharpe ratio (Hedges UMVUE)
    2.85681
  • df
    387.00000
  • t
    3.48329
  • p
    0.00028
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.23740
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.48371
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.23371
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.47992
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.38189
  • Upside Potential Ratio
    13.23470
  • Upside part of mean
    1.44636
  • Downside part of mean
    -0.63963
  • Upside SD
    0.26414
  • Downside SD
    0.10929
  • N nonnegative terms
    178.00000
  • N negative terms
    210.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    388.00000
  • Mean of predictor
    -0.05679
  • Mean of criterion
    0.80674
  • SD of predictor
    0.19610
  • SD of criterion
    0.28184
  • Covariance
    -0.00628
  • r
    -0.11370
  • b (slope, estimate of beta)
    -0.16341
  • a (intercept, estimate of alpha)
    0.79700
  • Mean Square Error
    0.07861
  • DF error
    386.00000
  • t(b)
    -2.24840
  • p(b)
    0.98744
  • t(a)
    3.46066
  • p(a)
    0.00030
  • Lowerbound of 95% confidence interval for beta
    -0.30631
  • Upperbound of 95% confidence interval for beta
    -0.02052
  • Lowerbound of 95% confidence interval for alpha
    0.34439
  • Upperbound of 95% confidence interval for alpha
    1.25052
  • Treynor index (mean / b)
    -4.93686
  • Jensen alpha (a)
    0.79746
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.76765
  • SD
    0.27242
  • Sharpe ratio (Glass type estimate)
    2.81785
  • Sharpe ratio (Hedges UMVUE)
    2.81239
  • df
    387.00000
  • t
    3.42913
  • p
    0.00034
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.19332
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.43886
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.18967
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.43511
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.88680
  • Upside Potential Ratio
    12.67950
  • Upside part of mean
    1.41334
  • Downside part of mean
    -0.64569
  • Upside SD
    0.25268
  • Downside SD
    0.11147
  • N nonnegative terms
    178.00000
  • N negative terms
    210.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    388.00000
  • Mean of predictor
    -0.07610
  • Mean of criterion
    0.76765
  • SD of predictor
    0.19707
  • SD of criterion
    0.27242
  • Covariance
    -0.00617
  • r
    -0.11492
  • b (slope, estimate of beta)
    -0.15886
  • a (intercept, estimate of alpha)
    0.75556
  • Mean Square Error
    0.07342
  • DF error
    386.00000
  • t(b)
    -2.27282
  • p(b)
    0.98821
  • t(a)
    3.39227
  • p(a)
    0.00038
  • Lowerbound of 95% confidence interval for beta
    -0.29628
  • Upperbound of 95% confidence interval for beta
    -0.02144
  • Lowerbound of 95% confidence interval for alpha
    0.31765
  • Upperbound of 95% confidence interval for alpha
    1.19348
  • Treynor index (mean / b)
    -4.83227
  • Jensen alpha (a)
    0.75556
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02445
  • Expected Shortfall on VaR
    0.03127
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00579
  • Expected Shortfall on VaR
    0.01250
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    388.00000
  • Minimum
    0.92571
  • Quartile 1
    0.99810
  • Median
    1.00000
  • Quartile 3
    1.00482
  • Maximum
    1.16154
  • Mean of quarter 1
    0.99090
  • Mean of quarter 2
    0.99956
  • Mean of quarter 3
    1.00156
  • Mean of quarter 4
    1.02072
  • Inter Quartile Range
    0.00672
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.05155
  • Mean of outliers low
    0.97679
  • Number of outliers high
    38.00000
  • Percentage of outliers high
    0.09794
  • Mean of outliers high
    1.03946
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.51096
  • VaR(95%) (moments method)
    0.00773
  • Expected Shortfall (moments method)
    0.01858
  • Extreme Value Index (regression method)
    0.42286
  • VaR(95%) (regression method)
    0.00777
  • Expected Shortfall (regression method)
    0.01646
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    28.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00278
  • Median
    0.00875
  • Quartile 3
    0.03823
  • Maximum
    0.11971
  • Mean of quarter 1
    0.00145
  • Mean of quarter 2
    0.00607
  • Mean of quarter 3
    0.02139
  • Mean of quarter 4
    0.07272
  • Inter Quartile Range
    0.03545
  • 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
    0.03571
  • Mean of outliers high
    0.11971
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.34655
  • VaR(95%) (moments method)
    0.08004
  • Expected Shortfall (moments method)
    0.09230
  • Extreme Value Index (regression method)
    0.05911
  • VaR(95%) (regression method)
    0.08769
  • Expected Shortfall (regression method)
    0.11519
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.51823
  • Compounded annual return (geometric extrapolation)
    1.21567
  • Calmar ratio (compounded annual return / max draw down)
    10.15480
  • Compounded annual return / average of 25% largest draw downs
    16.71730
  • Compounded annual return / Expected Shortfall lognormal
    38.87980
  • 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
    1.93037
  • SD
    0.42992
  • Sharpe ratio (Glass type estimate)
    4.49011
  • Sharpe ratio (Hedges UMVUE)
    4.46416
  • df
    130.00000
  • t
    3.17499
  • p
    0.36587
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.65697
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.30678
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63974
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.28858
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.64970
  • Upside Potential Ratio
    17.46110
  • Upside part of mean
    2.66461
  • Downside part of mean
    -0.73424
  • Upside SD
    0.41755
  • Downside SD
    0.15260
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.33802
  • Mean of criterion
    1.93037
  • SD of predictor
    0.27295
  • SD of criterion
    0.42992
  • Covariance
    -0.01767
  • r
    -0.15058
  • b (slope, estimate of beta)
    -0.23717
  • a (intercept, estimate of alpha)
    1.85020
  • Mean Square Error
    0.18204
  • DF error
    129.00000
  • t(b)
    -1.72995
  • p(b)
    0.59550
  • t(a)
    3.05736
  • p(a)
    0.33640
  • Lowerbound of 95% confidence interval for beta
    -0.50842
  • Upperbound of 95% confidence interval for beta
    0.03408
  • Lowerbound of 95% confidence interval for alpha
    0.65287
  • Upperbound of 95% confidence interval for alpha
    3.04753
  • Treynor index (mean / b)
    -8.13917
  • Jensen alpha (a)
    1.85020
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.83656
  • SD
    0.41325
  • Sharpe ratio (Glass type estimate)
    4.44415
  • Sharpe ratio (Hedges UMVUE)
    4.41847
  • df
    130.00000
  • t
    3.14249
  • p
    0.36715
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.61208
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.25987
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59511
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.24182
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.72640
  • Upside Potential Ratio
    16.49100
  • Upside part of mean
    2.58278
  • Downside part of mean
    -0.74621
  • Upside SD
    0.39726
  • Downside SD
    0.15662
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.37552
  • Mean of criterion
    1.83656
  • SD of predictor
    0.27478
  • SD of criterion
    0.41325
  • Covariance
    -0.01734
  • r
    -0.15269
  • b (slope, estimate of beta)
    -0.22964
  • a (intercept, estimate of alpha)
    1.75032
  • Mean Square Error
    0.16809
  • DF error
    129.00000
  • t(b)
    -1.75484
  • p(b)
    0.59683
  • t(a)
    3.00801
  • p(a)
    0.33881
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    -0.48856
  • Upperbound of 95% confidence interval for beta
    0.02927
  • Lowerbound of 95% confidence interval for alpha
    0.59905
  • Upperbound of 95% confidence interval for alpha
    2.90160
  • Treynor index (mean / b)
    -7.99750
  • Jensen alpha (a)
    1.75032
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03438
  • Expected Shortfall on VaR
    0.04458
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00612
  • Expected Shortfall on VaR
    0.01397
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92571
  • Quartile 1
    1.00000
  • Median
    1.00029
  • Quartile 3
    1.01023
  • Maximum
    1.16154
  • Mean of quarter 1
    0.98908
  • Mean of quarter 2
    1.00002
  • Mean of quarter 3
    1.00378
  • Mean of quarter 4
    1.03690
  • Inter Quartile Range
    0.01023
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.96819
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.06791
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.54268
  • VaR(95%) (moments method)
    0.00500
  • Expected Shortfall (moments method)
    0.01431
  • Extreme Value Index (regression method)
    0.56306
  • VaR(95%) (regression method)
    0.00932
  • Expected Shortfall (regression method)
    0.02939
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00094
  • Quartile 1
    0.00616
  • Median
    0.00982
  • Quartile 3
    0.04114
  • Maximum
    0.11971
  • Mean of quarter 1
    0.00291
  • Mean of quarter 2
    0.00780
  • Mean of quarter 3
    0.02932
  • Mean of quarter 4
    0.08507
  • Inter Quartile Range
    0.03498
  • 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
    0.09091
  • Mean of outliers high
    0.11971
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -11.13400
  • VaR(95%) (moments method)
    0.08742
  • Expected Shortfall (moments method)
    0.08742
  • Extreme Value Index (regression method)
    -1.34414
  • VaR(95%) (regression method)
    0.13922
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.14605
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -321009000
  • Max Equity Drawdown (num days)
    3
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.08035
  • Compounded annual return (geometric extrapolation)
    5.45250
  • Calmar ratio (compounded annual return / max draw down)
    45.54590
  • Compounded annual return / average of 25% largest draw downs
    64.09330
  • Compounded annual return / Expected Shortfall lognormal
    122.29800

Strategy Description

This strategy will not trade forex anymore, it will only trade Futures now: E mini SP 500.. by the way, this was a C2star strategy of Forex before, after it lost verification, it changed to trade Futures by new rules.

Summary Statistics

Strategy began
2021-02-24
Suggested Minimum Capital
$70,000
Rank at C2 %
Top 1.0%
Rank # 
#8
# Trades
372
# Profitable
193
% Profitable
51.9%
Correlation S&P500
-0.110
Sharpe Ratio
2.07
Sortino Ratio
5.19
Beta
-0.17
Alpha
0.20
Leverage
3.47 Average
30.23 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.