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

Eliran Strategy
(142675129)

Created by: EliranUzan EliranUzan
Started: 11/2022
Futures
Last trade: 88 days ago
Trading style: Futures Momentum Commodities
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 $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).
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
275.9%
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.

(40.0%)
Max Drawdown
166
Num Trades
86.1%
Win Trades
5.9 : 1
Profit Factor
42.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                      +0.9%(2%)(1.1%)
2023+9.2%+5.1%+34.0%+7.5%+17.0%(5.2%)(17.9%)(0.2%)(2.2%)+2.3%(2%)+4.4%+53.5%
2024(0.2%)(0.2%)(14%)(0.3%)  -                                            

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.

System developer has asked us to delay this information by 2 hours.

Trading Record

This strategy has placed 192 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 327 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/13/24 9:45 QCLJ4 CRUDE OIL SHORT 2 79.50 3/13 10:29 79.20 0.61%
Trade id #147623643
Max drawdown($460)
Time3/13/24 10:01
Quant open2
Worst price79.73
Drawdown as % of equity-0.61%
$584
Includes Typical Broker Commissions trade costs of $16.00
12/19/23 1:45 QCLG4 CRUDE OIL LONG 2 72.70 12/21 5:07 74.40 1.55%
Trade id #146738922
Max drawdown($1,120)
Time12/19/23 3:29
Quant open2
Worst price72.14
Drawdown as % of equity-1.55%
$3,384
Includes Typical Broker Commissions trade costs of $16.00
10/30/23 9:21 QCLZ3 CRUDE OIL LONG 2 83.90 11/6 22:46 80.44 9.86%
Trade id #146273438
Max drawdown($7,600)
Time11/3/23 0:00
Quant open2
Worst price80.10
Drawdown as % of equity-9.86%
($6,936)
Includes Typical Broker Commissions trade costs of $16.00
10/27/23 10:06 QCLZ3 CRUDE OIL SHORT 3 83.60 10/30 9:09 83.85 9.28%
Trade id #146257017
Max drawdown($6,900)
Time10/27/23 14:07
Quant open3
Worst price85.90
Drawdown as % of equity-9.28%
($774)
Includes Typical Broker Commissions trade costs of $24.00
10/12/23 13:22 QCLX3 CRUDE OIL SHORT 3 83.10 10/12 13:33 82.77 n/a $966
Includes Typical Broker Commissions trade costs of $24.00
10/12/23 13:06 QCLX3 CRUDE OIL LONG 3 83.00 10/12 13:20 83.11 1.56%
Trade id #146113342
Max drawdown($1,230)
Time10/12/23 13:10
Quant open3
Worst price82.59
Drawdown as % of equity-1.56%
$306
Includes Typical Broker Commissions trade costs of $24.00
10/12/23 12:10 QCLX3 CRUDE OIL SHORT 2 83.69 10/12 12:53 83.00 0.08%
Trade id #146112612
Max drawdown($60)
Time10/12/23 12:26
Quant open2
Worst price83.72
Drawdown as % of equity-0.08%
$1,364
Includes Typical Broker Commissions trade costs of $16.00
10/4/23 13:58 QCLX3 CRUDE OIL SHORT 3 84.30 10/6 1:41 82.43 2.23%
Trade id #146032674
Max drawdown($1,620)
Time10/4/23 14:20
Quant open3
Worst price84.84
Drawdown as % of equity-2.23%
$5,586
Includes Typical Broker Commissions trade costs of $24.00
9/28/23 13:19 QCLX3 CRUDE OIL SHORT 2 91.52 9/29 13:49 90.52 4.61%
Trade id #145963709
Max drawdown($3,160)
Time9/29/23 8:04
Quant open2
Worst price93.10
Drawdown as % of equity-4.61%
$1,984
Includes Typical Broker Commissions trade costs of $16.00
9/28/23 9:39 QCLX3 CRUDE OIL SHORT 2 92.65 9/28 12:59 92.35 1.69%
Trade id #145957903
Max drawdown($1,180)
Time9/28/23 11:47
Quant open2
Worst price93.24
Drawdown as % of equity-1.69%
$584
Includes Typical Broker Commissions trade costs of $16.00
9/21/23 10:08 QCLX3 CRUDE OIL LONG 2 90.42 9/21 10:22 90.70 0.64%
Trade id #145890137
Max drawdown($440)
Time9/21/23 10:14
Quant open2
Worst price90.20
Drawdown as % of equity-0.64%
$544
Includes Typical Broker Commissions trade costs of $16.00
9/21/23 9:47 QCLX3 CRUDE OIL SHORT 2 90.90 9/21 10:00 90.60 0.06%
Trade id #145889685
Max drawdown($40)
Time9/21/23 9:50
Quant open2
Worst price90.92
Drawdown as % of equity-0.06%
$584
Includes Typical Broker Commissions trade costs of $16.00
9/21/23 9:32 QCLX3 CRUDE OIL LONG 2 90.85 9/21 9:47 90.90 0.96%
Trade id #145889271
Max drawdown($660)
Time9/21/23 9:44
Quant open2
Worst price90.52
Drawdown as % of equity-0.96%
$84
Includes Typical Broker Commissions trade costs of $16.00
9/21/23 3:03 QCLX3 CRUDE OIL SHORT 2 88.69 9/21 4:38 88.39 0.47%
Trade id #145886521
Max drawdown($320)
Time9/21/23 4:03
Quant open2
Worst price88.85
Drawdown as % of equity-0.47%
$584
Includes Typical Broker Commissions trade costs of $16.00
9/20/23 5:31 QCLX3 CRUDE OIL SHORT 3 89.58 9/21 2:37 88.88 6.78%
Trade id #145875085
Max drawdown($4,470)
Time9/20/23 11:23
Quant open3
Worst price91.07
Drawdown as % of equity-6.78%
$2,076
Includes Typical Broker Commissions trade costs of $24.00
9/20/23 4:52 QCLX3 CRUDE OIL LONG 2 89.23 9/20 5:10 89.30 0.8%
Trade id #145874974
Max drawdown($520)
Time9/20/23 4:55
Quant open2
Worst price88.97
Drawdown as % of equity-0.80%
$124
Includes Typical Broker Commissions trade costs of $16.00
9/20/23 2:39 QCLX3 CRUDE OIL SHORT 2 89.60 9/20 4:52 89.23 0.58%
Trade id #145874564
Max drawdown($380)
Time9/20/23 3:07
Quant open2
Worst price89.79
Drawdown as % of equity-0.58%
$724
Includes Typical Broker Commissions trade costs of $16.00
9/5/23 11:15 QCLV3 CRUDE OIL SHORT 2 87.10 9/15 3:58 90.70 12.46%
Trade id #145737799
Max drawdown($8,100)
Time9/15/23 0:00
Quant open2
Worst price91.15
Drawdown as % of equity-12.46%
($7,216)
Includes Typical Broker Commissions trade costs of $16.00
9/5/23 9:49 QCLV3 CRUDE OIL LONG 2 87.20 9/5 10:43 86.45 2.21%
Trade id #145736107
Max drawdown($1,640)
Time9/5/23 10:42
Quant open2
Worst price86.38
Drawdown as % of equity-2.21%
($1,516)
Includes Typical Broker Commissions trade costs of $16.00
7/19/23 14:02 QCLU3 CRUDE OIL SHORT 2 75.10 7/24 9:04 77.94 7.96%
Trade id #145265249
Max drawdown($5,980)
Time7/24/23 9:01
Quant open2
Worst price78.09
Drawdown as % of equity-7.96%
($5,687)
Includes Typical Broker Commissions trade costs of $16.00
7/6/23 11:31 QCLQ3 CRUDE OIL SHORT 3 71.10 7/11 11:48 74.76 14.13%
Trade id #145132918
Max drawdown($11,350)
Time7/11/23 11:40
Quant open3
Worst price74.88
Drawdown as % of equity-14.13%
($11,012)
Includes Typical Broker Commissions trade costs of $24.00
7/6/23 11:18 QCLQ3 CRUDE OIL SHORT 1 70.91 7/6 11:24 70.60 n/a $300
Includes Typical Broker Commissions trade costs of $8.00
7/4/23 6:38 QCLQ3 CRUDE OIL SHORT 2 71.00 7/6 11:01 70.99 3.03%
Trade id #145107044
Max drawdown($2,680)
Time7/6/23 5:12
Quant open2
Worst price72.34
Drawdown as % of equity-3.03%
$4
Includes Typical Broker Commissions trade costs of $16.00
7/3/23 9:59 QCLQ3 CRUDE OIL SHORT 2 70.47 7/3 12:41 70.29 1.75%
Trade id #145099608
Max drawdown($1,570)
Time7/3/23 11:37
Quant open2
Worst price71.26
Drawdown as % of equity-1.75%
$348
Includes Typical Broker Commissions trade costs of $16.00
6/30/23 9:30 QCLQ3 CRUDE OIL LONG 1 70.30 6/30 10:04 70.41 0.25%
Trade id #145077509
Max drawdown($230)
Time6/30/23 9:34
Quant open1
Worst price70.07
Drawdown as % of equity-0.25%
$102
Includes Typical Broker Commissions trade costs of $8.00
6/27/23 7:26 QCLQ3 CRUDE OIL LONG 2 67.73 6/29 4:40 69.73 1.31%
Trade id #145039268
Max drawdown($1,130)
Time6/28/23 0:00
Quant open1
Worst price67.05
Drawdown as % of equity-1.31%
$3,974
Includes Typical Broker Commissions trade costs of $16.00
6/26/23 9:34 QCLQ3 CRUDE OIL SHORT 3 69.39 6/27 5:10 69.00 2.74%
Trade id #145029937
Max drawdown($2,279)
Time6/27/23 2:10
Quant open3
Worst price70.15
Drawdown as % of equity-2.74%
$1,147
Includes Typical Broker Commissions trade costs of $24.00
6/23/23 11:50 QCLQ3 CRUDE OIL LONG 1 68.90 6/23 13:24 69.00 0.27%
Trade id #145017348
Max drawdown($230)
Time6/23/23 12:06
Quant open1
Worst price68.67
Drawdown as % of equity-0.27%
$92
Includes Typical Broker Commissions trade costs of $8.00
6/23/23 10:29 QCLQ3 CRUDE OIL LONG 1 68.20 6/23 10:34 68.34 0.03%
Trade id #145015584
Max drawdown($21)
Time6/23/23 10:33
Quant open1
Worst price68.18
Drawdown as % of equity-0.03%
$132
Includes Typical Broker Commissions trade costs of $8.00
6/23/23 10:21 QCLQ3 CRUDE OIL LONG 1 68.20 6/23 10:22 68.39 n/a $182
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    11/25/2022
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    564.7
  • Age
    19 months ago
  • What it trades
    Futures
  • # Trades
    166
  • # Profitable
    143
  • % Profitable
    86.10%
  • Avg trade duration
    12.2 days
  • Max peak-to-valley drawdown
    40%
  • drawdown period
    June 06, 2023 - March 19, 2024
  • Annual Return (Compounded)
    275.9%
  • Avg win
    $2,388
  • Avg loss
    $2,515
  • Model Account Values (Raw)
  • Cash
    $80,956
  • Margin Used
    $52,000
  • Buying Power
    $282,076
  • Ratios
  • W:L ratio
    5.92:1
  • Sharpe Ratio
    0.64
  • Sortino Ratio
    0.97
  • Calmar Ratio
    0.884
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    650.70%
  • Correlation to SP500
    0.07460
  • Return Percent SP500 (cumu) during strategy life
    34.91%
  • Return Statistics
  • Ann Return (w trading costs)
    275.9%
  • Slump
  • Current Slump as Pcnt Equity
    49.10%
  • Instruments
  • Percent Trades Futures
    0.90%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.64%
  • 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)
    2.759%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.10%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    24.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    53.00%
  • Chance of 20% account loss
    21.50%
  • Chance of 30% account loss
    5.50%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    640
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    318
  • Popularity (7 days, Percentile 1000 scale)
    335
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,515
  • Avg Win
    $2,831
  • Sum Trade PL (losers)
    $57,848.000
  • Age
  • Num Months filled monthly returns table
    19
  • Win / Loss
  • Sum Trade PL (winners)
    $404,867.000
  • # Winners
    143
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    337
  • Win / Loss
  • # Losers
    23
  • % Winners
    86.1%
  • Frequency
  • Avg Position Time (mins)
    17596.10
  • Avg Position Time (hrs)
    293.27
  • Avg Trade Length
    12.2 days
  • Last Trade Ago
    85
  • Leverage
  • Daily leverage (average)
    1.75
  • Daily leverage (max)
    8.66
  • Regression
  • Alpha
    0.05
  • Beta
    0.14
  • Treynor Index
    0.37
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.99
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    23.621
  • 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
    0.10
  • Avg(MAE) / Avg(PL) - Winning trades
    1.035
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.264
  • Hold-and-Hope Ratio
    1.605
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32945
  • SD
    0.44960
  • Sharpe ratio (Glass type estimate)
    0.73275
  • Sharpe ratio (Hedges UMVUE)
    0.69266
  • df
    14.00000
  • t
    0.81924
  • p
    0.39306
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.05345
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49367
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.07906
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.46437
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.58589
  • Upside Potential Ratio
    3.37873
  • Upside part of mean
    0.70188
  • Downside part of mean
    -0.37244
  • Upside SD
    0.39314
  • Downside SD
    0.20774
  • N nonnegative terms
    8.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.15571
  • Mean of criterion
    0.32945
  • SD of predictor
    0.17737
  • SD of criterion
    0.44960
  • Covariance
    -0.01793
  • r
    -0.22484
  • b (slope, estimate of beta)
    -0.56994
  • a (intercept, estimate of alpha)
    0.41819
  • Mean Square Error
    0.20669
  • DF error
    13.00000
  • t(b)
    -0.83197
  • p(b)
    0.64192
  • t(a)
    0.99477
  • p(a)
    0.33270
  • Lowerbound of 95% confidence interval for beta
    -2.04990
  • Upperbound of 95% confidence interval for beta
    0.91002
  • Lowerbound of 95% confidence interval for alpha
    -0.49001
  • Upperbound of 95% confidence interval for alpha
    1.32640
  • Treynor index (mean / b)
    -0.57804
  • Jensen alpha (a)
    0.41819
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24119
  • SD
    0.41581
  • Sharpe ratio (Glass type estimate)
    0.58006
  • Sharpe ratio (Hedges UMVUE)
    0.54832
  • df
    14.00000
  • t
    0.64853
  • p
    0.41461
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.19593
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33588
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.21645
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.31309
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.07914
  • Upside Potential Ratio
    2.84787
  • Upside part of mean
    0.63651
  • Downside part of mean
    -0.39532
  • Upside SD
    0.34097
  • Downside SD
    0.22351
  • N nonnegative terms
    8.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.14014
  • Mean of criterion
    0.24119
  • SD of predictor
    0.17446
  • SD of criterion
    0.41581
  • Covariance
    -0.01721
  • r
    -0.23726
  • b (slope, estimate of beta)
    -0.56549
  • a (intercept, estimate of alpha)
    0.32044
  • Mean Square Error
    0.17571
  • DF error
    13.00000
  • t(b)
    -0.88060
  • p(b)
    0.64962
  • t(a)
    0.83107
  • p(a)
    0.35822
  • Lowerbound of 95% confidence interval for beta
    -1.95281
  • Upperbound of 95% confidence interval for beta
    0.82182
  • Lowerbound of 95% confidence interval for alpha
    -0.51255
  • Upperbound of 95% confidence interval for alpha
    1.15343
  • Treynor index (mean / b)
    -0.42652
  • Jensen alpha (a)
    0.32044
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16250
  • Expected Shortfall on VaR
    0.20270
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06888
  • Expected Shortfall on VaR
    0.13189
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.84394
  • Quartile 1
    0.96318
  • Median
    1.03215
  • Quartile 3
    1.08904
  • Maximum
    1.39281
  • Mean of quarter 1
    0.90059
  • Mean of quarter 2
    0.99513
  • Mean of quarter 3
    1.05530
  • Mean of quarter 4
    1.17449
  • Inter Quartile Range
    0.12587
  • 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
    0.06667
  • Mean of outliers high
    1.39281
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.04481
  • VaR(95%) (moments method)
    0.09905
  • Expected Shortfall (moments method)
    0.14134
  • Extreme Value Index (regression method)
    -0.89516
  • VaR(95%) (regression method)
    0.09613
  • Expected Shortfall (regression method)
    0.10365
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02272
  • Quartile 1
    0.08602
  • Median
    0.14932
  • Quartile 3
    0.21262
  • Maximum
    0.27592
  • Mean of quarter 1
    0.02272
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.27592
  • Inter Quartile Range
    0.12660
  • 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)
    0.31989
  • Compounded annual return (geometric extrapolation)
    0.30878
  • Calmar ratio (compounded annual return / max draw down)
    1.11909
  • Compounded annual return / average of 25% largest draw downs
    1.11909
  • Compounded annual return / Expected Shortfall lognormal
    1.52338
  • 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
    0.26694
  • SD
    0.26205
  • Sharpe ratio (Glass type estimate)
    1.01867
  • Sharpe ratio (Hedges UMVUE)
    1.01640
  • df
    337.00000
  • t
    1.15702
  • p
    0.12404
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70939
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.74524
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71090
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.74371
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.59801
  • Upside Potential Ratio
    7.42172
  • Upside part of mean
    1.23976
  • Downside part of mean
    -0.97282
  • Upside SD
    0.20207
  • Downside SD
    0.16704
  • N nonnegative terms
    111.00000
  • N negative terms
    227.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    338.00000
  • Mean of predictor
    0.16930
  • Mean of criterion
    0.26694
  • SD of predictor
    0.13926
  • SD of criterion
    0.26205
  • Covariance
    0.00201
  • r
    0.05514
  • b (slope, estimate of beta)
    0.10375
  • a (intercept, estimate of alpha)
    0.24900
  • Mean Square Error
    0.06866
  • DF error
    336.00000
  • t(b)
    1.01226
  • p(b)
    0.15607
  • t(a)
    1.07788
  • p(a)
    0.14093
  • Lowerbound of 95% confidence interval for beta
    -0.09786
  • Upperbound of 95% confidence interval for beta
    0.30537
  • Lowerbound of 95% confidence interval for alpha
    -0.20571
  • Upperbound of 95% confidence interval for alpha
    0.70446
  • Treynor index (mean / b)
    2.57279
  • Jensen alpha (a)
    0.24937
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23283
  • SD
    0.26059
  • Sharpe ratio (Glass type estimate)
    0.89349
  • Sharpe ratio (Hedges UMVUE)
    0.89150
  • df
    337.00000
  • t
    1.01484
  • p
    0.15546
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83408
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.61975
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83541
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.61841
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.36185
  • Upside Potential Ratio
    7.13548
  • Upside part of mean
    1.21993
  • Downside part of mean
    -0.98710
  • Upside SD
    0.19668
  • Downside SD
    0.17097
  • N nonnegative terms
    111.00000
  • N negative terms
    227.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    338.00000
  • Mean of predictor
    0.15958
  • Mean of criterion
    0.23283
  • SD of predictor
    0.13913
  • SD of criterion
    0.26059
  • Covariance
    0.00200
  • r
    0.05528
  • b (slope, estimate of beta)
    0.10355
  • a (intercept, estimate of alpha)
    0.21631
  • Mean Square Error
    0.06790
  • DF error
    336.00000
  • t(b)
    1.01494
  • p(b)
    0.15543
  • t(a)
    0.94049
  • p(a)
    0.17382
  • Lowerbound of 95% confidence interval for beta
    -0.09714
  • Upperbound of 95% confidence interval for beta
    0.30423
  • Lowerbound of 95% confidence interval for alpha
    -0.23610
  • Upperbound of 95% confidence interval for alpha
    0.66872
  • Treynor index (mean / b)
    2.24855
  • Jensen alpha (a)
    0.21631
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02527
  • Expected Shortfall on VaR
    0.03179
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01013
  • Expected Shortfall on VaR
    0.02135
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    338.00000
  • Minimum
    0.91753
  • Quartile 1
    0.99829
  • Median
    1.00000
  • Quartile 3
    1.00337
  • Maximum
    1.09879
  • Mean of quarter 1
    0.98558
  • Mean of quarter 2
    0.99994
  • Mean of quarter 3
    1.00045
  • Mean of quarter 4
    1.01851
  • Inter Quartile Range
    0.00508
  • Number outliers low
    43.00000
  • Percentage of outliers low
    0.12722
  • Mean of outliers low
    0.97636
  • Number of outliers high
    54.00000
  • Percentage of outliers high
    0.15976
  • Mean of outliers high
    1.02501
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35928
  • VaR(95%) (moments method)
    0.00818
  • Expected Shortfall (moments method)
    0.01645
  • Extreme Value Index (regression method)
    0.29763
  • VaR(95%) (regression method)
    0.01310
  • Expected Shortfall (regression method)
    0.02575
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    17.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00901
  • Median
    0.02188
  • Quartile 3
    0.03092
  • Maximum
    0.33687
  • Mean of quarter 1
    0.00561
  • Mean of quarter 2
    0.01574
  • Mean of quarter 3
    0.02853
  • Mean of quarter 4
    0.12787
  • Inter Quartile Range
    0.02191
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.11765
  • Mean of outliers high
    0.21354
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.82751
  • VaR(95%) (moments method)
    0.12935
  • Expected Shortfall (moments method)
    0.78297
  • Extreme Value Index (regression method)
    1.90526
  • VaR(95%) (regression method)
    0.20066
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30995
  • Compounded annual return (geometric extrapolation)
    0.29789
  • Calmar ratio (compounded annual return / max draw down)
    0.88429
  • Compounded annual return / average of 25% largest draw downs
    2.32960
  • Compounded annual return / Expected Shortfall lognormal
    9.37192
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08616
  • SD
    0.23975
  • Sharpe ratio (Glass type estimate)
    -0.35936
  • Sharpe ratio (Hedges UMVUE)
    -0.35729
  • df
    130.00000
  • t
    -0.25411
  • p
    0.51114
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.13091
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.41339
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.12943
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.41486
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.45474
  • Upside Potential Ratio
    3.74970
  • Upside part of mean
    0.71045
  • Downside part of mean
    -0.79661
  • Upside SD
    0.14551
  • Downside SD
    0.18947
  • N nonnegative terms
    20.00000
  • N negative terms
    111.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25904
  • Mean of criterion
    -0.08616
  • SD of predictor
    0.13167
  • SD of criterion
    0.23975
  • Covariance
    -0.00233
  • r
    -0.07371
  • b (slope, estimate of beta)
    -0.13421
  • a (intercept, estimate of alpha)
    -0.05139
  • Mean Square Error
    0.05761
  • DF error
    129.00000
  • t(b)
    -0.83943
  • p(b)
    0.54688
  • t(a)
    -0.15029
  • p(a)
    0.50842
  • Lowerbound of 95% confidence interval for beta
    -0.45054
  • Upperbound of 95% confidence interval for beta
    0.18212
  • Lowerbound of 95% confidence interval for alpha
    -0.72798
  • Upperbound of 95% confidence interval for alpha
    0.62519
  • Treynor index (mean / b)
    0.64198
  • Jensen alpha (a)
    -0.05139
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11520
  • SD
    0.24298
  • Sharpe ratio (Glass type estimate)
    -0.47410
  • Sharpe ratio (Hedges UMVUE)
    -0.47136
  • df
    130.00000
  • t
    -0.33524
  • p
    0.51470
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.24566
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.29915
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.24376
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.30104
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.58929
  • Upside Potential Ratio
    3.58112
  • Upside part of mean
    0.70004
  • Downside part of mean
    -0.81523
  • Upside SD
    0.14292
  • Downside SD
    0.19548
  • N nonnegative terms
    20.00000
  • N negative terms
    111.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25029
  • Mean of criterion
    -0.11520
  • SD of predictor
    0.13157
  • SD of criterion
    0.24298
  • Covariance
    -0.00237
  • r
    -0.07425
  • b (slope, estimate of beta)
    -0.13713
  • a (intercept, estimate of alpha)
    -0.08087
  • Mean Square Error
    0.05917
  • DF error
    129.00000
  • t(b)
    -0.84568
  • p(b)
    0.54723
  • t(a)
    -0.23347
  • p(a)
    0.51308
  • VAR (95 Confidence Intrvl)
    0.02500
  • Lowerbound of 95% confidence interval for beta
    -0.45795
  • Upperbound of 95% confidence interval for beta
    0.18369
  • Lowerbound of 95% confidence interval for alpha
    -0.76620
  • Upperbound of 95% confidence interval for alpha
    0.60446
  • Treynor index (mean / b)
    0.84004
  • Jensen alpha (a)
    -0.08087
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02482
  • Expected Shortfall on VaR
    0.03090
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00955
  • Expected Shortfall on VaR
    0.02084
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91753
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.05296
  • Mean of quarter 1
    0.98829
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01083
  • Inter Quartile Range
    0.00000
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.97239
  • Number of outliers high
    20.00000
  • Percentage of outliers high
    0.15267
  • Mean of outliers high
    1.01787
  • 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)
    0.18238
  • VaR(95%) (regression method)
    0.01252
  • Expected Shortfall (regression method)
    0.03261
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00957
  • Quartile 1
    0.03411
  • Median
    0.05866
  • Quartile 3
    0.14325
  • Maximum
    0.22783
  • Mean of quarter 1
    0.00957
  • Mean of quarter 2
    0.05866
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.22783
  • Inter Quartile Range
    0.10913
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -399955000
  • Max Equity Drawdown (num days)
    287
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.08541
  • Compounded annual return (geometric extrapolation)
    -0.08359
  • Calmar ratio (compounded annual return / max draw down)
    -0.36688
  • Compounded annual return / average of 25% largest draw downs
    -0.36688
  • Compounded annual return / Expected Shortfall lognormal
    -2.70504

Strategy Description

I keep monitoring by magnifying glass my open positions to prevent any potential account crashes. Rather than using stop losses, I always set take profits for each position. My goal is to achieve profit margins ranging from 500 to 2000 USD per day, depending on market conditions. In addition to trading CL contracts,

To close a position in profit, my strategy looks for price changes of around 0.10 to 0.60 pip on CL. The key for this approach is analyzing the volume profile of the market.

In addition to monitoring open positions, setting take profits, and analyzing the volume profile of the market, I also use technical analysis to identify the best entry points for my trades. By studying the graphs and charts, I can pinpoint potential support and resistance levels, identify trends, and make informed decisions about when to enter and exit positions. This helps me to maximize profits and minimize risk.

To effectively follow this strategy, it's recommended to have at least 100K in capital. However, it is possible to manage with 50K capital by using the auto trade settings and setting the maximum futures contract to 1.

I also have five portfolios, each with a varying degree of risk. These portfolios consist of ETFs from different sectors, and they are named ETFs 1 to 5.
If you're interested, I can provide a link to learn more.

Please feel free to contact me with any questions or concerns you may have, 24/7.
Looking forward to hearing from you soon!

Best regards,
Eliran :)

Summary Statistics

Strategy began
2022-11-25
Suggested Minimum Capital
$60,000
# Trades
166
# Profitable
143
% Profitable
86.1%
Net Dividends
Correlation S&P500
0.075
Sharpe Ratio
0.64
Sortino Ratio
0.97
Beta
0.14
Alpha
0.05
Leverage
1.75 Average
8.66 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.