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

Momentum Trends
(140261429)

Created by: Walter Walter
Started: 04/2022
Futures
Last trade: 5 days ago
Trading style: Futures Currencies

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 $148.00 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
Currencies
Category: Equity

Currencies

Focuses on currency futures.
72.0%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(10.2%)
Max Drawdown
176
Num Trades
62.5%
Win Trades
2.7 : 1
Profit Factor
83.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                     +0.7%+3.6%+5.4%(1.1%)+42.3%+11.2%                  +72.0%

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 12 hours.

Trading Record

This strategy has placed 165 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
9/22/22 9:58 @YMZ2 MINI DOW SHORT 2 30148 9/22 11:02 30134 1.89%
Trade id #141892270
Max drawdown($975)
Time9/22/22 10:32
Quant open2
Worst price30244
Drawdown as % of equity-1.89%
$124
Includes Typical Broker Commissions trade costs of $16.00
9/22/22 9:33 @RTYZ2 Russell 2000 CME SHORT 2 1761.80 9/22 9:46 1747.20 n/a $1,444
Includes Typical Broker Commissions trade costs of $16.00
9/21/22 14:38 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 2 12020.60 9/21 15:09 12014.95 6.73%
Trade id #141881197
Max drawdown($3,180)
Time9/21/22 14:45
Quant open1
Worst price12140.50
Drawdown as % of equity-6.73%
$210
Includes Typical Broker Commissions trade costs of $16.00
9/21/22 2:00 @RTYZ2 Russell 2000 CME SHORT 4 1800.75 9/21 14:01 1796.89 3.82%
Trade id #141872335
Max drawdown($1,803)
Time9/21/22 13:59
Quant open3
Worst price1812.80
Drawdown as % of equity-3.82%
$740
Includes Typical Broker Commissions trade costs of $32.00
9/20/22 21:42 @RTYZ2 Russell 2000 CME SHORT 2 1796.40 9/21 1:55 1801.88 1.13%
Trade id #141871338
Max drawdown($560)
Time9/21/22 1:53
Quant open2
Worst price1802.00
Drawdown as % of equity-1.13%
($564)
Includes Typical Broker Commissions trade costs of $16.00
9/20/22 9:20 @RTYZ2 Russell 2000 CME SHORT 1 1804.15 9/20 10:03 1792.00 n/a $600
Includes Typical Broker Commissions trade costs of $8.00
9/19/22 11:20 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 3.920000000 11938.08 9/19 11:32 11892.38 n/a $3,552
Includes Typical Broker Commissions trade costs of $31.36
9/19/22 10:53 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 2.940000000 11941.37 9/19 11:18 11974.50 4.59%
Trade id #141850392
Max drawdown($2,183)
Time9/19/22 11:18
Quant open3
Worst price11978.50
Drawdown as % of equity-4.59%
($1,972)
Includes Typical Broker Commissions trade costs of $23.52
9/16/22 15:28 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 1.921000000 11890.00 9/16 15:36 11890.10 1.12%
Trade id #141836336
Max drawdown($536)
Time9/16/22 15:33
Quant open2
Worst price11907.00
Drawdown as % of equity-1.12%
($19)
Includes Typical Broker Commissions trade costs of $15.36
9/16/22 15:02 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 5.590000000 11910.85 9/16 15:10 11911.40 6.58%
Trade id #141835366
Max drawdown($3,139)
Time9/16/22 15:06
Quant open4
Worst price11943.00
Drawdown as % of equity-6.58%
($106)
Includes Typical Broker Commissions trade costs of $44.73
9/16/22 14:45 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 3.726000000 11879.70 9/16 14:50 11880.05 2.58%
Trade id #141835143
Max drawdown($1,232)
Time9/16/22 14:48
Quant open2
Worst price11897.20
Drawdown as % of equity-2.58%
($56)
Includes Typical Broker Commissions trade costs of $29.80
9/16/22 14:37 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 1.863000000 11865.90 9/16 14:41 11851.50 n/a $522
Includes Typical Broker Commissions trade costs of $14.90
9/16/22 14:03 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 0.932000000 11812.50 9/16 14:26 11860.00 1.86%
Trade id #141834481
Max drawdown($895)
Time9/16/22 14:26
Quant open1
Worst price11861.50
Drawdown as % of equity-1.86%
($892)
Includes Typical Broker Commissions trade costs of $7.46
9/16/22 12:17 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 9.316000000 11824.49 9/16 13:22 11820.53 1.08%
Trade id #141833059
Max drawdown($520)
Time9/16/22 13:02
Quant open10
Worst price11853.00
Drawdown as % of equity-1.08%
$65
Includes Typical Broker Commissions trade costs of $8.77
9/16/22 11:31 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 4.658000000 11816.78 9/16 11:47 11814.08 0.22%
Trade id #141831567
Max drawdown($105)
Time9/16/22 11:35
Quant open4
Worst price11832.50
Drawdown as % of equity-0.22%
$21
Includes Typical Broker Commissions trade costs of $4.39
9/16/22 10:43 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 1.863000000 11872.20 9/16 10:51 11846.70 n/a $93
Includes Typical Broker Commissions trade costs of $1.76
9/15/22 12:15 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 0.932000000 12006.00 9/15 13:00 12072.50 3.39%
Trade id #141818708
Max drawdown($1,635)
Time9/15/22 13:00
Quant open1
Worst price12100.20
Drawdown as % of equity-3.39%
($1,247)
Includes Typical Broker Commissions trade costs of $7.46
9/13/22 11:05 @M6EZ2 E-MICRO EUR/USD SHORT 1.863000000 1.0079 9/15 12:44 1.0070 0.07%
Trade id #141765143
Max drawdown($34)
Time9/14/22 0:00
Quant open2
Worst price1.0095
Drawdown as % of equity-0.07%
$20
Includes Typical Broker Commissions trade costs of $1.46
9/12/22 11:19 @MNQU2 MICRO E-MINI NASDAQ 100 LONG 9.316000000 12705.53 9/12 11:31 12729.40 0.02%
Trade id #141748537
Max drawdown($8)
Time9/12/22 11:22
Quant open5
Worst price12702.80
Drawdown as % of equity-0.02%
$436
Includes Typical Broker Commissions trade costs of $8.76
9/12/22 10:58 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 4.658000000 12712.41 9/12 11:00 12703.60 n/a $78
Includes Typical Broker Commissions trade costs of $4.38
9/12/22 10:17 @MNQU2 MICRO E-MINI NASDAQ 100 LONG 4.658000000 12738.66 9/12 10:54 12712.54 0.54%
Trade id #141747157
Max drawdown($263)
Time9/12/22 10:43
Quant open5
Worst price12708.20
Drawdown as % of equity-0.54%
($247)
Includes Typical Broker Commissions trade costs of $4.38
9/12/22 9:43 @MNQU2 MICRO E-MINI NASDAQ 100 LONG 4.658000000 12693.39 9/12 10:01 12728.09 0.27%
Trade id #141746200
Max drawdown($131)
Time9/12/22 9:46
Quant open5
Worst price12678.20
Drawdown as % of equity-0.27%
$319
Includes Typical Broker Commissions trade costs of $4.38
9/9/22 8:08 @M6EU2 E-MICRO EUR/USD SHORT 0.932000000 1.0045 9/9 10:05 1.0060 0.05%
Trade id #141720805
Max drawdown($23)
Time9/9/22 9:21
Quant open1
Worst price1.0067
Drawdown as % of equity-0.05%
($18)
Includes Typical Broker Commissions trade costs of $0.72
9/9/22 10:00 @MNQU2 MICRO E-MINI NASDAQ 100 LONG 4.658000000 12501.77 9/9 10:00 12510.41 n/a $77
Includes Typical Broker Commissions trade costs of $4.38
9/9/22 9:47 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 1.863000000 12478.00 9/9 9:53 12466.65 0.89%
Trade id #141722563
Max drawdown($442)
Time9/9/22 9:53
Quant open2
Worst price12490.80
Drawdown as % of equity-0.89%
$408
Includes Typical Broker Commissions trade costs of $14.91
9/9/22 9:45 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 18.632000000 12459.74 9/9 9:53 12475.34 2.17%
Trade id #141722483
Max drawdown($1,076)
Time9/9/22 9:53
Quant open18
Worst price12490.80
Drawdown as % of equity-2.17%
($599)
Includes Typical Broker Commissions trade costs of $17.52
9/9/22 9:11 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 9.316000000 12442.94 9/9 9:35 12474.85 1.33%
Trade id #141721412
Max drawdown($660)
Time9/9/22 9:35
Quant open10
Worst price12481.00
Drawdown as % of equity-1.33%
($604)
Includes Typical Broker Commissions trade costs of $8.76
9/9/22 8:59 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 9.316000000 12441.09 9/9 9:08 12441.35 0.05%
Trade id #141721231
Max drawdown($24)
Time9/9/22 9:08
Quant open-10
Worst price12442.50
Drawdown as % of equity-0.05%
($14)
Includes Typical Broker Commissions trade costs of $8.76
9/9/22 8:07 @MNQU2 MICRO E-MINI NASDAQ 100 SHORT 2.795000000 12436.08 9/9 8:29 12449.08 0.16%
Trade id #141720800
Max drawdown($81)
Time9/9/22 8:28
Quant open3
Worst price12451.80
Drawdown as % of equity-0.16%
($76)
Includes Typical Broker Commissions trade costs of $2.62
9/8/22 14:39 @MNQU2 MICRO E-MINI NASDAQ 100 LONG 1.863000000 12295.87 9/8 14:42 12257.23 0.34%
Trade id #141711383
Max drawdown($167)
Time9/8/22 14:42
Quant open2
Worst price12247.50
Drawdown as % of equity-0.34%
($146)
Includes Typical Broker Commissions trade costs of $1.76

Statistics

  • Strategy began
    4/26/2022
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    154.06
  • Age
    154 days ago
  • What it trades
    Futures
  • # Trades
    176
  • # Profitable
    110
  • % Profitable
    62.50%
  • Avg trade duration
    15.3 hours
  • Max peak-to-valley drawdown
    10.22%
  • drawdown period
    June 14, 2022 - Aug 11, 2022
  • Cumul. Return
    72.0%
  • Avg win
    $355.00
  • Avg loss
    $219.64
  • Model Account Values (Raw)
  • Cash
    $54,518
  • Margin Used
    $0
  • Buying Power
    $54,518
  • Ratios
  • W:L ratio
    2.69:1
  • Sharpe Ratio
    4.11
  • Sortino Ratio
    11.25
  • Calmar Ratio
    37.457
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    84.49%
  • Correlation to SP500
    0.03190
  • Return Percent SP500 (cumu) during strategy life
    -12.46%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    251.1%
  • Slump
  • Current Slump as Pcnt Equity
    0.20%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.03%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.720%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    309.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • 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
    100.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    830
  • Popularity (Last 6 weeks)
    959
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    970
  • Popularity (7 days, Percentile 1000 scale)
    925
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $220
  • Avg Win
    $355
  • Sum Trade PL (losers)
    $14,496.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $39,050.000
  • # Winners
    110
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    52632
  • Win / Loss
  • # Losers
    66
  • % Winners
    62.5%
  • Frequency
  • Avg Position Time (mins)
    918.27
  • Avg Position Time (hrs)
    15.30
  • Avg Trade Length
    0.6 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    4.33
  • Daily leverage (max)
    28.03
  • Regression
  • Alpha
    0.36
  • Beta
    0.03
  • Treynor Index
    10.81
  • 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)
    -2.19
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -5.026
  • 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
    0.07
  • Avg(MAE) / Avg(PL) - Winning trades
    1.213
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.354
  • Hold-and-Hope Ratio
    -0.199
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.56845
  • SD
    0.51724
  • Sharpe ratio (Glass type estimate)
    3.03233
  • Sharpe ratio (Hedges UMVUE)
    2.41945
  • df
    4.00000
  • t
    1.95736
  • p
    0.06096
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73837
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.56318
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.04903
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.88793
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.39850
  • Upside Potential Ratio
    15.94770
  • Upside part of mean
    1.73721
  • Downside part of mean
    -0.16876
  • Upside SD
    0.63810
  • Downside SD
    0.10893
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.31897
  • Mean of criterion
    1.56845
  • SD of predictor
    0.23908
  • SD of criterion
    0.51724
  • Covariance
    -0.02746
  • r
    -0.22204
  • b (slope, estimate of beta)
    -0.48038
  • a (intercept, estimate of alpha)
    1.41522
  • Mean Square Error
    0.33913
  • DF error
    3.00000
  • t(b)
    -0.39444
  • p(b)
    0.64019
  • t(a)
    1.44079
  • p(a)
    0.12264
  • Lowerbound of 95% confidence interval for beta
    -4.35620
  • Upperbound of 95% confidence interval for beta
    3.39544
  • Lowerbound of 95% confidence interval for alpha
    -1.71075
  • Upperbound of 95% confidence interval for alpha
    4.54120
  • Treynor index (mean / b)
    -3.26503
  • Jensen alpha (a)
    1.41522
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.38524
  • SD
    0.46592
  • Sharpe ratio (Glass type estimate)
    2.97313
  • Sharpe ratio (Hedges UMVUE)
    2.37222
  • df
    4.00000
  • t
    1.91915
  • p
    0.06370
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.77511
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.48284
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.08056
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.82499
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.29370
  • Upside Potential Ratio
    13.84290
  • Upside part of mean
    1.55980
  • Downside part of mean
    -0.17456
  • Upside SD
    0.56646
  • Downside SD
    0.11268
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    -0.34724
  • Mean of criterion
    1.38524
  • SD of predictor
    0.25037
  • SD of criterion
    0.46592
  • Covariance
    -0.03096
  • r
    -0.26538
  • b (slope, estimate of beta)
    -0.49385
  • a (intercept, estimate of alpha)
    1.21375
  • Mean Square Error
    0.26905
  • DF error
    3.00000
  • t(b)
    -0.47675
  • p(b)
    0.66694
  • t(a)
    1.37863
  • p(a)
    0.13091
  • Lowerbound of 95% confidence interval for beta
    -3.79046
  • Upperbound of 95% confidence interval for beta
    2.80275
  • Lowerbound of 95% confidence interval for alpha
    -1.58809
  • Upperbound of 95% confidence interval for alpha
    4.01559
  • Treynor index (mean / b)
    -2.80495
  • Jensen alpha (a)
    1.21375
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10039
  • Expected Shortfall on VaR
    0.14852
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01598
  • Expected Shortfall on VaR
    0.03963
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.93201
  • Quartile 1
    1.04689
  • Median
    1.14500
  • Quartile 3
    1.22973
  • Maximum
    1.31152
  • Mean of quarter 1
    0.98945
  • Mean of quarter 2
    1.14500
  • Mean of quarter 3
    1.22973
  • Mean of quarter 4
    1.31152
  • Inter Quartile Range
    0.18283
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.06799
  • Quartile 1
    0.06799
  • Median
    0.06799
  • Quartile 3
    0.06799
  • Maximum
    0.06799
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.92442
  • Compounded annual return (geometric extrapolation)
    3.10885
  • Calmar ratio (compounded annual return / max draw down)
    45.72720
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    20.93240
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.41326
  • SD
    0.26894
  • Sharpe ratio (Glass type estimate)
    5.25488
  • Sharpe ratio (Hedges UMVUE)
    5.21864
  • df
    109.00000
  • t
    3.40493
  • p
    0.30582
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.13944
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.34754
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11549
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.32179
  • Statistics related to Sortino ratio
  • Sortino ratio
    16.09650
  • Upside Potential Ratio
    21.57060
  • Upside part of mean
    1.89389
  • Downside part of mean
    -0.48063
  • Upside SD
    0.26756
  • Downside SD
    0.08780
  • N nonnegative terms
    48.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    110.00000
  • Mean of predictor
    -0.31209
  • Mean of criterion
    1.41326
  • SD of predictor
    0.25557
  • SD of criterion
    0.26894
  • Covariance
    0.00241
  • r
    0.03503
  • b (slope, estimate of beta)
    0.03686
  • a (intercept, estimate of alpha)
    1.42500
  • Mean Square Error
    0.07291
  • DF error
    108.00000
  • t(b)
    0.36423
  • p(b)
    0.48249
  • t(a)
    3.40919
  • p(a)
    0.34415
  • Lowerbound of 95% confidence interval for beta
    -0.16373
  • Upperbound of 95% confidence interval for beta
    0.23745
  • Lowerbound of 95% confidence interval for alpha
    0.59638
  • Upperbound of 95% confidence interval for alpha
    2.25315
  • Treynor index (mean / b)
    38.34190
  • Jensen alpha (a)
    1.42476
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.37453
  • SD
    0.26373
  • Sharpe ratio (Glass type estimate)
    5.21197
  • Sharpe ratio (Hedges UMVUE)
    5.17602
  • df
    109.00000
  • t
    3.37713
  • p
    0.30721
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.09788
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.30343
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.07413
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.27792
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.48200
  • Upside Potential Ratio
    20.93910
  • Upside part of mean
    1.85902
  • Downside part of mean
    -0.48449
  • Upside SD
    0.26124
  • Downside SD
    0.08878
  • N nonnegative terms
    48.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    110.00000
  • Mean of predictor
    -0.34482
  • Mean of criterion
    1.37453
  • SD of predictor
    0.25674
  • SD of criterion
    0.26373
  • Covariance
    0.00251
  • r
    0.03709
  • b (slope, estimate of beta)
    0.03810
  • a (intercept, estimate of alpha)
    1.38767
  • Mean Square Error
    0.07010
  • DF error
    108.00000
  • t(b)
    0.38572
  • p(b)
    0.48146
  • t(a)
    3.38433
  • p(a)
    0.34517
  • Lowerbound of 95% confidence interval for beta
    -0.15769
  • Upperbound of 95% confidence interval for beta
    0.23389
  • Lowerbound of 95% confidence interval for alpha
    0.57492
  • Upperbound of 95% confidence interval for alpha
    2.20041
  • Treynor index (mean / b)
    36.07730
  • Jensen alpha (a)
    1.38767
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02132
  • Expected Shortfall on VaR
    0.02795
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00445
  • Expected Shortfall on VaR
    0.00972
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    110.00000
  • Minimum
    0.96921
  • Quartile 1
    0.99921
  • Median
    1.00000
  • Quartile 3
    1.00483
  • Maximum
    1.07185
  • Mean of quarter 1
    0.99309
  • Mean of quarter 2
    0.99994
  • Mean of quarter 3
    1.00140
  • Mean of quarter 4
    1.02723
  • Inter Quartile Range
    0.00562
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.06364
  • Mean of outliers low
    0.98025
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.19091
  • Mean of outliers high
    1.03394
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.93810
  • VaR(95%) (moments method)
    0.00560
  • Expected Shortfall (moments method)
    0.09906
  • Extreme Value Index (regression method)
    0.48340
  • VaR(95%) (regression method)
    0.00474
  • Expected Shortfall (regression method)
    0.01149
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00004
  • Quartile 1
    0.00116
  • Median
    0.00654
  • Quartile 3
    0.02951
  • Maximum
    0.08183
  • Mean of quarter 1
    0.00031
  • Mean of quarter 2
    0.00414
  • Mean of quarter 3
    0.01406
  • Mean of quarter 4
    0.06340
  • Inter Quartile Range
    0.02835
  • 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
    0.14286
  • Mean of outliers high
    0.08183
  • 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)
    1.90984
  • Compounded annual return (geometric extrapolation)
    3.06510
  • Calmar ratio (compounded annual return / max draw down)
    37.45660
  • Compounded annual return / average of 25% largest draw downs
    48.34630
  • Compounded annual return / Expected Shortfall lognormal
    109.68200
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.02100
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -369833000
  • Max Equity Drawdown (num days)
    58

Strategy Description

This strategy will mainly trade ES, NQ and some other futures by following the long trend.

Summary Statistics

Strategy began
2022-04-26
Suggested Minimum Capital
$50,000
Rank at C2 %
Top 3.0%
Rank # 
#24
# Trades
176
# Profitable
110
% Profitable
62.5%
Correlation S&P500
0.032
Sharpe Ratio
4.11
Sortino Ratio
11.25
Beta
0.03
Alpha
0.36
Leverage
4.33 Average
28.03 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.