Collective2 Collective2
Featured Strategy MT3 Algotrading +78.8% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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This is an archived track record. This track record was archived on 2/27/24 8:53 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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TPS2
(140513851)

Created by: TPS TPS
Started: 05/2022
Futures
Last trade: 303 days ago
Trading style: Futures Commodities Financials / Indexes

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 $229.00 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
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
-38.6%
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.

(95.1%)
Max Drawdown
646
Num Trades
77.6%
Win Trades
1.0 : 1
Profit Factor
46.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                            +14.5%+13.1%(3.5%)+75.4%+25.1%+28.2%+13.3%+6.0%+321.2%
2023+2.3%+10.9%+0.1%+10.1%(21.3%)(32.5%)(53.7%)+85.4%+12.4%+35.9%(16.9%)(61.4%)(72.1%)
2024+23.8%(72.8%)  -    -    -    -    -    -    -    -    -    -  (66.3%)

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 992 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 377 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/19/24 7:44 @MNQM4 MICRO E-MINI NASDAQ 100 SHORT 34 17779.90 2/27 8:52 18032.74 133.74%
Trade id #147063842
Max drawdown($17,844)
Time2/9/24 0:00
Quant open13
Worst price18305.00
Drawdown as % of equity-133.74%
 ($17,225)
Includes Typical Broker Commissions trade costs of $31.96
2/16/24 10:12 @MESM4 MICRO E-MINI S&P 500 SHORT 3 5085.08 2/22 4:27 5101.08 1.42%
Trade id #147354943
Max drawdown($252)
Time2/16/24 11:57
Quant open2
Worst price5109.50
Drawdown as % of equity-1.42%
 ($243)
Includes Typical Broker Commissions trade costs of $2.82
2/15/24 10:53 @MESM4 MICRO E-MINI S&P 500 SHORT 1 5082.50 2/15 14:14 5098.25 0.92%
Trade id #147344646
Max drawdown($102)
Time2/15/24 14:08
Quant open1
Worst price5103.00
Drawdown as % of equity-0.92%
 ($80)
Includes Typical Broker Commissions trade costs of $0.94
2/14/24 11:17 @MESM4 MICRO E-MINI S&P 500 SHORT 1 5042.75 2/14 14:10 5042.00 0.51%
Trade id #147335126
Max drawdown($76)
Time2/14/24 13:38
Quant open1
Worst price5058.00
Drawdown as % of equity-0.51%
 $3
Includes Typical Broker Commissions trade costs of $0.94
2/12/24 7:55 @MESM4 MICRO E-MINI S&P 500 SHORT 10 5060.62 2/14 3:43 5046.02 2.81%
Trade id #147286358
Max drawdown($242)
Time2/12/24 11:33
Quant open2
Worst price5125.25
Drawdown as % of equity-2.81%
 $721
Includes Typical Broker Commissions trade costs of $9.40
2/4/24 19:54 @MESM4 MICRO E-MINI S&P 500 SHORT 6 5020.25 2/9 15:42 5057.92 4.36%
Trade id #147223716
Max drawdown($855)
Time2/7/24 0:00
Quant open3
Worst price5077.25
Drawdown as % of equity-4.36%
 ($1,136)
Includes Typical Broker Commissions trade costs of $5.64
1/18/24 8:42 @MESH4 MICRO E-MINI S&P 500 SHORT 13 4853.44 2/4 19:16 4956.87 39.03%
Trade id #147048147
Max drawdown($8,658)
Time2/2/24 0:00
Quant open12
Worst price4997.75
Drawdown as % of equity-39.03%
 ($6,735)
Includes Typical Broker Commissions trade costs of $12.22
2/2/24 16:11 @MESM4 MICRO E-MINI S&P 500 SHORT 4 5034.50 2/4 19:16 5034.50 0.43%
Trade id #147210428
Max drawdown($85)
Time2/4/24 18:00
Quant open4
Worst price5038.75
Drawdown as % of equity-0.43%
 ($4)
Includes Typical Broker Commissions trade costs of $3.76
1/9/24 15:42 @MNQH4 MICRO E-MINI NASDAQ 100 SHORT 8 17127.09 2/2 9:54 17650.80 37.74%
Trade id #146956129
Max drawdown($9,957)
Time1/24/24 0:00
Quant open5
Worst price17794.00
Drawdown as % of equity-37.74%
 ($8,387)
Includes Typical Broker Commissions trade costs of $7.52
2/2/24 8:30 @MESM4 MICRO E-MINI S&P 500 SHORT 2 4999.25 2/2 9:54 4994.00 0.29%
Trade id #147201533
Max drawdown($62)
Time2/2/24 8:43
Quant open2
Worst price5005.50
Drawdown as % of equity-0.29%
 $51
Includes Typical Broker Commissions trade costs of $1.88
1/30/24 5:59 @MESM4 MICRO E-MINI S&P 500 SHORT 4 4993.06 2/1 15:07 4987.69 0.3%
Trade id #147155926
Max drawdown($72)
Time1/30/24 15:28
Quant open2
Worst price5013.00
Drawdown as % of equity-0.30%
 $104
Includes Typical Broker Commissions trade costs of $3.76
1/28/24 20:25 @SK4 SOYBEANS LONG 1 1219 1/4 1/28 22:25 1216 1/4 0.68%
Trade id #147144971
Max drawdown($187)
Time1/28/24 22:21
Quant open1
Worst price1215 2/4
Drawdown as % of equity-0.68%
 ($158)
Includes Typical Broker Commissions trade costs of $8.00
1/4/24 10:01 @SH4 SOYBEANS LONG 2 1268 1/24 5:34 1233 3/4 17.32%
Trade id #146905931
Max drawdown($6,700)
Time1/18/24 0:00
Quant open2
Worst price1201
Drawdown as % of equity-17.32%
 ($3,441)
Includes Typical Broker Commissions trade costs of $16.00
1/23/24 9:31 QMCLJ4 MICRO CRUDE OIL LONG 3 74.19 1/24 5:23 74.63 0.31%
Trade id #147097170
Max drawdown($96)
Time1/23/24 13:21
Quant open3
Worst price73.87
Drawdown as % of equity-0.31%
 $128
Includes Typical Broker Commissions trade costs of $4.50
1/5/24 14:15 @CH4 CORN LONG 2 461 2/4 1/22 12:17 446 2/4 6.4%
Trade id #146920142
Max drawdown($2,475)
Time1/18/24 0:00
Quant open2
Worst price436 3/4
Drawdown as % of equity-6.40%
 ($1,516)
Includes Typical Broker Commissions trade costs of $16.00
1/22/24 9:30 @CK4 CORN LONG 1 457 1/4 1/22 12:17 457 1/4 0.51%
Trade id #147083248
Max drawdown($137)
Time1/22/24 10:39
Quant open1
Worst price454 2/4
Drawdown as % of equity-0.51%
 ($8)
Includes Typical Broker Commissions trade costs of $8.00
1/18/24 11:07 @SK4 SOYBEANS LONG 1 1218 2/4 1/18 13:51 1225 2/4 0.41%
Trade id #147050785
Max drawdown($150)
Time1/18/24 12:14
Quant open1
Worst price1215 2/4
Drawdown as % of equity-0.41%
 $342
Includes Typical Broker Commissions trade costs of $8.00
1/18/24 9:07 QCLJ4 CRUDE OIL LONG 1 72.72 1/18 11:00 73.35 0.59%
Trade id #147048309
Max drawdown($220)
Time1/18/24 9:48
Quant open1
Worst price72.50
Drawdown as % of equity-0.59%
 $622
Includes Typical Broker Commissions trade costs of $8.00
1/17/24 9:46 @CK4 CORN LONG 2 454 1/4 1/18 9:32 451 2/4 0.81%
Trade id #147026401
Max drawdown($300)
Time1/18/24 9:31
Quant open2
Worst price451 1/4
Drawdown as % of equity-0.81%
 ($291)
Includes Typical Broker Commissions trade costs of $16.00
1/11/24 20:01 @NQH4 E-MINI NASDAQ 100 STK IDX SHORT 1 16925.75 1/17 9:31 16800.00 5.94%
Trade id #146981877
Max drawdown($2,335)
Time1/12/24 0:00
Quant open1
Worst price17042.50
Drawdown as % of equity-5.94%
 $2,507
Includes Typical Broker Commissions trade costs of $8.00
1/16/24 11:00 @MESH4 MICRO E-MINI S&P 500 SHORT 4 4802.25 1/16 14:15 4782.50 0.74%
Trade id #147013683
Max drawdown($265)
Time1/16/24 11:22
Quant open4
Worst price4815.50
Drawdown as % of equity-0.74%
 $391
Includes Typical Broker Commissions trade costs of $3.76
1/10/24 15:21 @NQH4 E-MINI NASDAQ 100 STK IDX SHORT 1 16943.50 1/11 10:10 16825.00 6.25%
Trade id #146967203
Max drawdown($2,270)
Time1/11/24 8:30
Quant open1
Worst price17057.00
Drawdown as % of equity-6.25%
 $2,362
Includes Typical Broker Commissions trade costs of $8.00
1/8/24 10:33 @SK4 SOYBEANS LONG 1 1251 3/4 1/9 11:19 1258 0.99%
Trade id #146932016
Max drawdown($375)
Time1/9/24 9:50
Quant open1
Worst price1244 1/4
Drawdown as % of equity-0.99%
 $305
Includes Typical Broker Commissions trade costs of $8.00
1/9/24 0:50 @MNQH4 MICRO E-MINI NASDAQ 100 SHORT 5 16774.25 1/9 5:35 16736.75 0.35%
Trade id #146946028
Max drawdown($137)
Time1/9/24 1:50
Quant open5
Worst price16788.00
Drawdown as % of equity-0.35%
 $370
Includes Typical Broker Commissions trade costs of $4.70
1/8/24 10:30 QCLJ4 CRUDE OIL LONG 1 70.94 1/8 10:54 71.17 0.49%
Trade id #146931932
Max drawdown($190)
Time1/8/24 10:36
Quant open1
Worst price70.75
Drawdown as % of equity-0.49%
 $222
Includes Typical Broker Commissions trade costs of $8.00
1/8/24 6:41 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 5 16462.25 1/8 9:31 16534.75 0.26%
Trade id #146929238
Max drawdown($100)
Time1/8/24 7:42
Quant open5
Worst price16452.20
Drawdown as % of equity-0.26%
 $720
Includes Typical Broker Commissions trade costs of $4.70
1/5/24 11:07 @MNQH4 MICRO E-MINI NASDAQ 100 SHORT 3 16550.00 1/5 12:08 16480.00 0.41%
Trade id #146917168
Max drawdown($162)
Time1/5/24 11:12
Quant open3
Worst price16577.00
Drawdown as % of equity-0.41%
 $417
Includes Typical Broker Commissions trade costs of $2.82
1/5/24 9:06 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 5 16427.00 1/5 9:38 16486.00 0.3%
Trade id #146914820
Max drawdown($117)
Time1/5/24 9:12
Quant open5
Worst price16415.20
Drawdown as % of equity-0.30%
 $585
Includes Typical Broker Commissions trade costs of $4.70
1/4/24 10:26 @MNQH4 MICRO E-MINI NASDAQ 100 SHORT 5 16498.00 1/4 16:05 16453.75 2.25%
Trade id #146906395
Max drawdown($860)
Time1/4/24 11:26
Quant open5
Worst price16584.00
Drawdown as % of equity-2.25%
 $438
Includes Typical Broker Commissions trade costs of $4.70
1/4/24 11:46 @NQH4 E-MINI NASDAQ 100 STK IDX SHORT 1 16545.25 1/4 12:35 16505.25 0.19%
Trade id #146908194
Max drawdown($70)
Time1/4/24 11:49
Quant open1
Worst price16548.80
Drawdown as % of equity-0.19%
 $792
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    5/18/2022
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    952.87
  • Age
    32 months ago
  • What it trades
    Futures
  • # Trades
    646
  • # Profitable
    501
  • % Profitable
    77.60%
  • Avg trade duration
    3.1 days
  • Max peak-to-valley drawdown
    95.05%
  • drawdown period
    May 12, 2023 - Feb 12, 2024
  • Annual Return (Compounded)
    -38.6%
  • Avg win
    $559.91
  • Avg loss
    $1,967
  • Model Account Values (Raw)
  • Cash
    $20,249
  • Margin Used
    $0
  • Buying Power
    $20,249
  • Ratios
  • W:L ratio
    0.98:1
  • Sharpe Ratio
    0.15
  • Sortino Ratio
    0.24
  • Calmar Ratio
    -0.132
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -87.40%
  • Correlation to SP500
    -0.22990
  • Return Percent SP500 (cumu) during strategy life
    53.79%
  • Return Statistics
  • Ann Return (w trading costs)
    -38.6%
  • Slump
  • Current Slump as Pcnt Equity
    1266.20%
  • Instruments
  • Percent Trades Futures
    0.98%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.62%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.386%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.02%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -7.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    97.50%
  • Chance of 30% account loss
    91.50%
  • Chance of 40% account loss
    89.50%
  • Chance of 60% account loss (Monte Carlo)
    45.00%
  • Chance of 70% account loss (Monte Carlo)
    26.00%
  • Chance of 80% account loss (Monte Carlo)
    18.50%
  • Chance of 90% account loss (Monte Carlo)
    2.50%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    66.50%
  • Popularity
  • Popularity (Today)
    551
  • Popularity (Last 6 weeks)
    901
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    736
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,967
  • Avg Win
    $560
  • Sum Trade PL (losers)
    $285,239.000
  • Age
  • Num Months filled monthly returns table
    32
  • Win / Loss
  • Sum Trade PL (winners)
    $280,513.000
  • # Winners
    501
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    145
  • % Winners
    77.5%
  • Frequency
  • Avg Position Time (mins)
    4532.80
  • Avg Position Time (hrs)
    75.55
  • Avg Trade Length
    3.1 days
  • Last Trade Ago
    303
  • Leverage
  • Daily leverage (average)
    7.97
  • Daily leverage (max)
    83.80
  • Regression
  • Alpha
    0.12
  • Beta
    -1.58
  • Treynor Index
    -0.03
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    5.72
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    -26.996
  • 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
    0.38
  • Avg(MAE) / Avg(PL) - Winning trades
    1.285
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.658
  • Hold-and-Hope Ratio
    -0.037
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.72159
  • SD
    1.16040
  • Sharpe ratio (Glass type estimate)
    0.62185
  • Sharpe ratio (Hedges UMVUE)
    0.59818
  • df
    20.00000
  • t
    0.82263
  • p
    0.40954
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.87962
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10821
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89496
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09133
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.17729
  • Upside Potential Ratio
    2.91127
  • Upside part of mean
    1.78439
  • Downside part of mean
    -1.06280
  • Upside SD
    0.97474
  • Downside SD
    0.61293
  • N nonnegative terms
    13.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.12223
  • Mean of criterion
    0.72159
  • SD of predictor
    0.16897
  • SD of criterion
    1.16040
  • Covariance
    -0.12409
  • r
    -0.63287
  • b (slope, estimate of beta)
    -4.34612
  • a (intercept, estimate of alpha)
    1.25279
  • Mean Square Error
    0.84969
  • DF error
    19.00000
  • t(b)
    -3.56291
  • p(b)
    0.87410
  • t(a)
    1.75811
  • p(a)
    0.26754
  • Lowerbound of 95% confidence interval for beta
    -6.89923
  • Upperbound of 95% confidence interval for beta
    -1.79300
  • Lowerbound of 95% confidence interval for alpha
    -0.23865
  • Upperbound of 95% confidence interval for alpha
    2.74424
  • Treynor index (mean / b)
    -0.16603
  • Jensen alpha (a)
    1.25279
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12101
  • SD
    1.12196
  • Sharpe ratio (Glass type estimate)
    0.10785
  • Sharpe ratio (Hedges UMVUE)
    0.10375
  • df
    20.00000
  • t
    0.14268
  • p
    0.48406
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.37541
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58850
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.37819
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58569
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.15112
  • Upside Potential Ratio
    1.80859
  • Upside part of mean
    1.44820
  • Downside part of mean
    -1.32719
  • Upside SD
    0.74759
  • Downside SD
    0.80074
  • N nonnegative terms
    13.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.10781
  • Mean of criterion
    0.12101
  • SD of predictor
    0.16932
  • SD of criterion
    1.12196
  • Covariance
    -0.10781
  • r
    -0.56751
  • b (slope, estimate of beta)
    -3.76042
  • a (intercept, estimate of alpha)
    0.52640
  • Mean Square Error
    0.89828
  • DF error
    19.00000
  • t(b)
    -3.00443
  • p(b)
    0.84083
  • t(a)
    0.72204
  • p(a)
    0.39643
  • Lowerbound of 95% confidence interval for beta
    -6.38009
  • Upperbound of 95% confidence interval for beta
    -1.14074
  • Lowerbound of 95% confidence interval for alpha
    -0.99951
  • Upperbound of 95% confidence interval for alpha
    2.05232
  • Treynor index (mean / b)
    -0.03218
  • Jensen alpha (a)
    0.52640
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.40706
  • Expected Shortfall on VaR
    0.47856
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.17145
  • Expected Shortfall on VaR
    0.34555
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.47481
  • Quartile 1
    0.87451
  • Median
    1.02658
  • Quartile 3
    1.20458
  • Maximum
    1.89317
  • Mean of quarter 1
    0.70164
  • Mean of quarter 2
    0.99756
  • Mean of quarter 3
    1.11897
  • Mean of quarter 4
    1.50384
  • Inter Quartile Range
    0.33007
  • 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
    0.04762
  • Mean of outliers high
    1.89317
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.43937
  • VaR(95%) (moments method)
    0.29750
  • Expected Shortfall (moments method)
    0.30950
  • Extreme Value Index (regression method)
    -0.32710
  • VaR(95%) (regression method)
    0.42201
  • Expected Shortfall (regression method)
    0.52053
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02142
  • Quartile 1
    0.20227
  • Median
    0.38311
  • Quartile 3
    0.56396
  • Maximum
    0.74481
  • Mean of quarter 1
    0.02142
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.74481
  • Inter Quartile Range
    0.36169
  • 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)
    0.17012
  • Compounded annual return (geometric extrapolation)
    0.16057
  • Calmar ratio (compounded annual return / max draw down)
    0.21559
  • Compounded annual return / average of 25% largest draw downs
    0.21559
  • Compounded annual return / Expected Shortfall lognormal
    0.33554
  • 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
    0.34242
  • SD
    0.97473
  • Sharpe ratio (Glass type estimate)
    0.35129
  • Sharpe ratio (Hedges UMVUE)
    0.35072
  • df
    462.00000
  • t
    0.46699
  • p
    0.32036
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.12339
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.82571
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.12383
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82527
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.52699
  • Upside Potential Ratio
    7.51345
  • Upside part of mean
    4.88194
  • Downside part of mean
    -4.53953
  • Upside SD
    0.72547
  • Downside SD
    0.64976
  • N nonnegative terms
    260.00000
  • N negative terms
    203.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    463.00000
  • Mean of predictor
    0.13266
  • Mean of criterion
    0.34242
  • SD of predictor
    0.17660
  • SD of criterion
    0.97473
  • Covariance
    -0.04857
  • r
    -0.28218
  • b (slope, estimate of beta)
    -1.55747
  • a (intercept, estimate of alpha)
    0.60800
  • Mean Square Error
    0.87634
  • DF error
    461.00000
  • t(b)
    -6.31520
  • p(b)
    1.00000
  • t(a)
    0.77881
  • p(a)
    0.21824
  • Lowerbound of 95% confidence interval for beta
    -2.04212
  • Upperbound of 95% confidence interval for beta
    -1.07283
  • Lowerbound of 95% confidence interval for alpha
    -0.83630
  • Upperbound of 95% confidence interval for alpha
    1.93437
  • Treynor index (mean / b)
    -0.21985
  • Jensen alpha (a)
    0.54903
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.12644
  • SD
    0.96988
  • Sharpe ratio (Glass type estimate)
    -0.13036
  • Sharpe ratio (Hedges UMVUE)
    -0.13015
  • df
    462.00000
  • t
    -0.17330
  • p
    0.56875
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.60470
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.34410
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.60455
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.34425
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.17907
  • Upside Potential Ratio
    6.58305
  • Upside part of mean
    4.64809
  • Downside part of mean
    -4.77453
  • Upside SD
    0.66344
  • Downside SD
    0.70607
  • N nonnegative terms
    260.00000
  • N negative terms
    203.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    463.00000
  • Mean of predictor
    0.11708
  • Mean of criterion
    -0.12644
  • SD of predictor
    0.17644
  • SD of criterion
    0.96988
  • Covariance
    -0.04847
  • r
    -0.28325
  • b (slope, estimate of beta)
    -1.55703
  • a (intercept, estimate of alpha)
    0.05586
  • Mean Square Error
    0.86707
  • DF error
    461.00000
  • t(b)
    -6.34145
  • p(b)
    1.00000
  • t(a)
    0.07968
  • p(a)
    0.46826
  • Lowerbound of 95% confidence interval for beta
    -2.03953
  • Upperbound of 95% confidence interval for beta
    -1.07453
  • Lowerbound of 95% confidence interval for alpha
    -1.32180
  • Upperbound of 95% confidence interval for alpha
    1.43352
  • Treynor index (mean / b)
    0.08120
  • Jensen alpha (a)
    0.05586
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09429
  • Expected Shortfall on VaR
    0.11647
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03616
  • Expected Shortfall on VaR
    0.07618
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    463.00000
  • Minimum
    0.66767
  • Quartile 1
    0.98034
  • Median
    1.00355
  • Quartile 3
    1.01903
  • Maximum
    1.37359
  • Mean of quarter 1
    0.93594
  • Mean of quarter 2
    0.99561
  • Mean of quarter 3
    1.00979
  • Mean of quarter 4
    1.06438
  • Inter Quartile Range
    0.03869
  • Number outliers low
    32.00000
  • Percentage of outliers low
    0.06911
  • Mean of outliers low
    0.87396
  • Number of outliers high
    23.00000
  • Percentage of outliers high
    0.04968
  • Mean of outliers high
    1.16017
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32719
  • VaR(95%) (moments method)
    0.06015
  • Expected Shortfall (moments method)
    0.10813
  • Extreme Value Index (regression method)
    0.14466
  • VaR(95%) (regression method)
    0.05583
  • Expected Shortfall (regression method)
    0.08511
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    39.00000
  • Minimum
    0.00048
  • Quartile 1
    0.00497
  • Median
    0.02005
  • Quartile 3
    0.05683
  • Maximum
    0.86251
  • Mean of quarter 1
    0.00178
  • Mean of quarter 2
    0.01237
  • Mean of quarter 3
    0.03436
  • Mean of quarter 4
    0.18733
  • Inter Quartile Range
    0.05186
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.07692
  • Mean of outliers high
    0.43420
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.78487
  • VaR(95%) (moments method)
    0.20148
  • Expected Shortfall (moments method)
    0.94260
  • Extreme Value Index (regression method)
    1.31059
  • VaR(95%) (regression method)
    0.20563
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.09043
  • Compounded annual return (geometric extrapolation)
    -0.09383
  • Calmar ratio (compounded annual return / max draw down)
    -0.10879
  • Compounded annual return / average of 25% largest draw downs
    -0.50089
  • Compounded annual return / Expected Shortfall lognormal
    -0.80561
  • 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
    -1.83698
  • SD
    1.32411
  • Sharpe ratio (Glass type estimate)
    -1.38733
  • Sharpe ratio (Hedges UMVUE)
    -1.37931
  • df
    130.00000
  • t
    -0.98099
  • p
    0.54286
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.16160
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.39215
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.15618
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.39756
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.92256
  • Upside Potential Ratio
    6.39456
  • Upside part of mean
    6.10989
  • Downside part of mean
    -7.94686
  • Upside SD
    0.91642
  • Downside SD
    0.95548
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26009
  • Mean of criterion
    -1.83698
  • SD of predictor
    0.12009
  • SD of criterion
    1.32411
  • Covariance
    -0.08533
  • r
    -0.53663
  • b (slope, estimate of beta)
    -5.91707
  • a (intercept, estimate of alpha)
    -0.29803
  • Mean Square Error
    1.25807
  • DF error
    129.00000
  • t(b)
    -7.22299
  • p(b)
    0.82444
  • t(a)
    -0.18622
  • p(a)
    0.51044
  • Lowerbound of 95% confidence interval for beta
    -7.53787
  • Upperbound of 95% confidence interval for beta
    -4.29626
  • Lowerbound of 95% confidence interval for alpha
    -3.46462
  • Upperbound of 95% confidence interval for alpha
    2.86855
  • Treynor index (mean / b)
    0.31045
  • Jensen alpha (a)
    -0.29803
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -2.72227
  • SD
    1.33497
  • Sharpe ratio (Glass type estimate)
    -2.03921
  • Sharpe ratio (Hedges UMVUE)
    -2.02742
  • df
    130.00000
  • t
    -1.44194
  • p
    0.56273
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.81820
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.74742
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.81016
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.75532
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.57581
  • Upside Potential Ratio
    5.43588
  • Upside part of mean
    5.74497
  • Downside part of mean
    -8.46724
  • Upside SD
    0.82454
  • Downside SD
    1.05686
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25279
  • Mean of criterion
    -2.72227
  • SD of predictor
    0.11999
  • SD of criterion
    1.33497
  • Covariance
    -0.08603
  • r
    -0.53707
  • b (slope, estimate of beta)
    -5.97536
  • a (intercept, estimate of alpha)
    -1.21178
  • Mean Square Error
    1.27791
  • DF error
    129.00000
  • t(b)
    -7.23144
  • p(b)
    0.82468
  • t(a)
    -0.75159
  • p(a)
    0.54200
  • VAR (95 Confidence Intrvl)
    0.09300
  • Lowerbound of 95% confidence interval for beta
    -7.61023
  • Upperbound of 95% confidence interval for beta
    -4.34050
  • Lowerbound of 95% confidence interval for alpha
    -4.40172
  • Upperbound of 95% confidence interval for alpha
    1.97816
  • Treynor index (mean / b)
    0.45558
  • Jensen alpha (a)
    -1.21178
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13588
  • Expected Shortfall on VaR
    0.16477
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07183
  • Expected Shortfall on VaR
    0.13606
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.66767
  • Quartile 1
    0.95163
  • Median
    0.99865
  • Quartile 3
    1.02512
  • Maximum
    1.37359
  • Mean of quarter 1
    0.90053
  • Mean of quarter 2
    0.97935
  • Mean of quarter 3
    1.01103
  • Mean of quarter 4
    1.08201
  • Inter Quartile Range
    0.07349
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.72504
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.21602
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.28947
  • VaR(95%) (moments method)
    0.10813
  • Expected Shortfall (moments method)
    0.17402
  • Extreme Value Index (regression method)
    0.29273
  • VaR(95%) (regression method)
    0.08112
  • Expected Shortfall (regression method)
    0.11697
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00116
  • Quartile 1
    0.00713
  • Median
    0.05087
  • Quartile 3
    0.31491
  • Maximum
    0.80793
  • Mean of quarter 1
    0.00414
  • Mean of quarter 2
    0.05087
  • Mean of quarter 3
    0.31491
  • Mean of quarter 4
    0.80793
  • Inter Quartile Range
    0.30778
  • 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
    0.20000
  • Mean of outliers high
    0.80793
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -339661000
  • Max Equity Drawdown (num days)
    276
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.48006
  • Compounded annual return (geometric extrapolation)
    -0.93241
  • Calmar ratio (compounded annual return / max draw down)
    -1.15407
  • Compounded annual return / average of 25% largest draw downs
    -1.15407
  • Compounded annual return / Expected Shortfall lognormal
    -5.65886

Strategy Description

The TradeDetector aggressive strategy is really not as risky as one would expect for a Futures trading strategy, if traded with the correct perspective and investment goals in mind. We advise our TradeDetector subscribers to invest a "maximum" of "10%" of their entire investment portfolio. So, based on a 10% allocation of one's overall investment portfolio, the DD% (not yet booked loss) generated by the Collective 2 formula, is not representitive of the actual DD% vs the entirety of one's overall investment portfolio. However, the large returns produced by this strategy relative to the 10% capital investment allocated, has a sizeable positive impact on the overall ROI of one's total investment portfolio.

Summary Statistics

Strategy began
2022-05-18
Suggested Minimum Capital
$25,000
# Trades
646
# Profitable
501
% Profitable
77.6%
Correlation S&P500
-0.230
Sharpe Ratio
0.15
Sortino Ratio
0.24
Beta
-1.58
Alpha
0.12
Leverage
7.97 Average
83.80 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

#PERSONNAME#
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.