Collective2 Collective2
Featured Strategy Income Trades +14.6% Cumul. Return since Feb 16, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast More...

NextGen Tech
(143778073)

Created by: BillionsMindset BillionsMindset
Started: 03/2023
Futures
Last trade: 544 days ago
Trading style: Futures Short Term 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 $200.00 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
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
42.4%
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.

(11.7%)
Max Drawdown
59
Num Trades
59.3%
Win Trades
3.2 : 1
Profit Factor
15.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023              +54.6%+12.0%+3.9%  -    -    -    -    -    -    -  +80.0%
2024  -    -    -    -    -    -    -    -    -    -              0.0

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.

Trading Record

This strategy has placed 60 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/3/23 15:16 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 10 13142.69 5/5 10:02 13160.56 7.99%
Trade id #144517462
Max drawdown($1,409)
Time5/4/23 0:00
Quant open5
Worst price13001.80
Drawdown as % of equity-7.99%
 $348
Includes Typical Broker Commissions trade costs of $9.40
5/2/23 11:05 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 5 13126.94 5/2 12:49 13168.12 0.91%
Trade id #144502174
Max drawdown($159)
Time5/2/23 11:33
Quant open5
Worst price13111.00
Drawdown as % of equity-0.91%
 $407
Includes Typical Broker Commissions trade costs of $4.70
5/1/23 11:33 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 5 13267.96 5/1 12:28 13318.00 0.17%
Trade id #144487587
Max drawdown($29)
Time5/1/23 11:40
Quant open5
Worst price13265.00
Drawdown as % of equity-0.17%
 $495
Includes Typical Broker Commissions trade costs of $4.70
5/1/23 10:11 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 5 13299.08 5/1 10:24 13281.92 1.15%
Trade id #144486021
Max drawdown($198)
Time5/1/23 10:22
Quant open5
Worst price13279.20
Drawdown as % of equity-1.15%
 ($177)
Includes Typical Broker Commissions trade costs of $4.70
5/1/23 9:31 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 5 13310.74 5/1 10:04 13299.60 1.63%
Trade id #144484860
Max drawdown($282)
Time5/1/23 10:01
Quant open5
Worst price13282.50
Drawdown as % of equity-1.63%
 ($116)
Includes Typical Broker Commissions trade costs of $4.70
5/1/23 8:45 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 5 13306.00 5/1 9:19 13301.80 0.59%
Trade id #144484237
Max drawdown($102)
Time5/1/23 9:10
Quant open5
Worst price13295.80
Drawdown as % of equity-0.59%
 ($47)
Includes Typical Broker Commissions trade costs of $4.70
4/26/23 12:35 @MNQM3 MICRO E-MINI NASDAQ 100 SHORT 5 12959.62 4/26 12:47 12968.10 0.65%
Trade id #144432125
Max drawdown($113)
Time4/26/23 12:39
Quant open5
Worst price12971.00
Drawdown as % of equity-0.65%
 ($90)
Includes Typical Broker Commissions trade costs of $4.70
4/25/23 12:50 QQQ2325D314 QQQ Apr25'23 314 call LONG 10 0.37 4/26 8:05 0.00 1.96%
Trade id #144418749
Max drawdown($350)
Time4/25/23 15:36
Quant open10
Worst price0.02
Drawdown as % of equity-1.96%
 ($377)
Includes Typical Broker Commissions trade costs of $7.00
4/25/23 13:02 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 5 12917.88 4/25 13:14 12907.85 1.32%
Trade id #144418927
Max drawdown($236)
Time4/25/23 13:14
Quant open5
Worst price12894.20
Drawdown as % of equity-1.32%
 ($105)
Includes Typical Broker Commissions trade costs of $4.70
4/25/23 10:46 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 5 12950.62 4/25 11:32 12936.69 0.84%
Trade id #144416506
Max drawdown($156)
Time4/25/23 11:32
Quant open5
Worst price12935.00
Drawdown as % of equity-0.84%
 ($144)
Includes Typical Broker Commissions trade costs of $4.70
4/25/23 9:58 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 5 12979.69 4/25 10:11 12949.67 1.85%
Trade id #144415506
Max drawdown($344)
Time4/25/23 10:11
Quant open5
Worst price12945.20
Drawdown as % of equity-1.85%
 ($305)
Includes Typical Broker Commissions trade costs of $4.70
4/25/23 9:49 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 5 12975.92 4/25 9:56 12974.27 0.33%
Trade id #144415249
Max drawdown($61)
Time4/25/23 9:56
Quant open5
Worst price12969.80
Drawdown as % of equity-0.33%
 ($22)
Includes Typical Broker Commissions trade costs of $4.70
4/25/23 9:00 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 5 12999.00 4/25 9:46 12972.79 1.79%
Trade id #144414228
Max drawdown($332)
Time4/25/23 9:46
Quant open5
Worst price12965.80
Drawdown as % of equity-1.79%
 ($267)
Includes Typical Broker Commissions trade costs of $4.70
4/25/23 8:13 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 5 13004.40 4/25 8:32 13003.98 0.2%
Trade id #144413959
Max drawdown($36)
Time4/25/23 8:32
Quant open5
Worst price13000.80
Drawdown as % of equity-0.20%
 ($9)
Includes Typical Broker Commissions trade costs of $4.70
4/25/23 7:41 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 5 13000.00 4/25 8:08 13001.80 0.27%
Trade id #144413677
Max drawdown($50)
Time4/25/23 7:46
Quant open5
Worst price12995.00
Drawdown as % of equity-0.27%
 $13
Includes Typical Broker Commissions trade costs of $4.70
4/24/23 2:36 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 5 13029.65 4/24 5:56 13073.25 0.75%
Trade id #144400085
Max drawdown($136)
Time4/24/23 3:19
Quant open5
Worst price13016.00
Drawdown as % of equity-0.75%
 $431
Includes Typical Broker Commissions trade costs of $4.70
4/21/23 7:53 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 5 13026.18 4/21 9:11 13064.00 0.8%
Trade id #144383399
Max drawdown($141)
Time4/21/23 8:02
Quant open5
Worst price13012.00
Drawdown as % of equity-0.80%
 $373
Includes Typical Broker Commissions trade costs of $4.70
4/20/23 7:24 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 5 13067.82 4/20 9:45 13114.00 2.03%
Trade id #144370551
Max drawdown($353)
Time4/20/23 8:15
Quant open5
Worst price13032.50
Drawdown as % of equity-2.03%
 $457
Includes Typical Broker Commissions trade costs of $4.70
4/19/23 9:43 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 5 13107.75 4/19 10:45 13148.00 1.13%
Trade id #144360070
Max drawdown($192)
Time4/19/23 9:54
Quant open5
Worst price13088.50
Drawdown as % of equity-1.13%
 $398
Includes Typical Broker Commissions trade costs of $4.70
4/18/23 11:06 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 10 13173.38 4/18 15:24 13179.50 2.84%
Trade id #144350499
Max drawdown($475)
Time4/18/23 14:51
Quant open5
Worst price13138.20
Drawdown as % of equity-2.84%
 $114
Includes Typical Broker Commissions trade costs of $9.40
4/17/23 10:23 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 10 13140.62 4/17 15:18 13165.00 6.8%
Trade id #144323761
Max drawdown($1,055)
Time4/17/23 12:20
Quant open5
Worst price13077.00
Drawdown as % of equity-6.80%
 $479
Includes Typical Broker Commissions trade costs of $9.40
4/14/23 12:05 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 5 13119.00 4/14 14:25 13145.75 3.94%
Trade id #144302435
Max drawdown($630)
Time4/14/23 12:46
Quant open5
Worst price13056.00
Drawdown as % of equity-3.94%
 $263
Includes Typical Broker Commissions trade costs of $4.70
4/13/23 8:40 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 5 12997.75 4/13 9:31 13046.00 0.14%
Trade id #144281231
Max drawdown($22)
Time4/13/23 8:43
Quant open5
Worst price12995.50
Drawdown as % of equity-0.14%
 $478
Includes Typical Broker Commissions trade costs of $4.70
4/12/23 10:57 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 10 13007.38 4/12 11:48 13053.25 2.66%
Trade id #144270601
Max drawdown($415)
Time4/12/23 11:13
Quant open5
Worst price12975.80
Drawdown as % of equity-2.66%
 $909
Includes Typical Broker Commissions trade costs of $9.40
4/12/23 10:20 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 5 13092.25 4/12 10:56 13006.50 5.53%
Trade id #144269463
Max drawdown($862)
Time4/12/23 10:56
Quant open5
Worst price13006.00
Drawdown as % of equity-5.53%
 ($863)
Includes Typical Broker Commissions trade costs of $4.70
4/5/23 11:42 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 3 13054.50 4/5 11:43 13039.00 0.59%
Trade id #144196944
Max drawdown($93)
Time4/5/23 11:43
Quant open3
Worst price13039.00
Drawdown as % of equity-0.59%
 ($96)
Includes Typical Broker Commissions trade costs of $2.82
4/4/23 14:35 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 3 13196.07 4/4 16:00 13222.77 1.06%
Trade id #144185925
Max drawdown($163)
Time4/4/23 15:48
Quant open3
Worst price13168.80
Drawdown as % of equity-1.06%
 $157
Includes Typical Broker Commissions trade costs of $2.82
4/3/23 14:51 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 3 13224.50 4/3 15:55 13275.00 0.25%
Trade id #144159398
Max drawdown($39)
Time4/3/23 14:54
Quant open3
Worst price13218.00
Drawdown as % of equity-0.25%
 $300
Includes Typical Broker Commissions trade costs of $2.82
3/28/23 9:38 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 3 12708.75 3/28 15:51 12717.25 2.95%
Trade id #144090859
Max drawdown($444)
Time3/28/23 13:58
Quant open3
Worst price12634.80
Drawdown as % of equity-2.95%
 $48
Includes Typical Broker Commissions trade costs of $2.82
3/24/23 7:51 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 3 12786.50 3/24 12:01 12826.00 2.4%
Trade id #144023109
Max drawdown($363)
Time3/24/23 11:20
Quant open3
Worst price12726.00
Drawdown as % of equity-2.40%
 $234
Includes Typical Broker Commissions trade costs of $2.82
Next

Statistics

  • Strategy began
    3/5/2023
  • Suggested Minimum Cap
    $10,000
  • Strategy Age (days)
    603.92
  • Age
    20 months ago
  • What it trades
    Futures
  • # Trades
    59
  • # Profitable
    35
  • % Profitable
    59.30%
  • Avg trade duration
    2.9 hours
  • Max peak-to-valley drawdown
    11.66%
  • drawdown period
    March 18, 2023 - March 20, 2023
  • Annual Return (Compounded)
    42.4%
  • Avg win
    $374.80
  • Avg loss
    $172.92
  • Model Account Values (Raw)
  • Cash
    $18,963
  • Margin Used
    $0
  • Buying Power
    $18,963
  • Ratios
  • W:L ratio
    3.16:1
  • Sharpe Ratio
    1.79
  • Sortino Ratio
    5.32
  • Calmar Ratio
    25.928
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    36.02%
  • Correlation to SP500
    -0.02150
  • Return Percent SP500 (cumu) during strategy life
    44.35%
  • Return Statistics
  • Ann Return (w trading costs)
    42.4%
  • Slump
  • Current Slump as Pcnt Equity
    3.50%
  • Instruments
  • Percent Trades Futures
    0.98%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.92%
  • 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)
    0.424%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    47.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    12.00%
  • Chance of 20% account loss
    0.50%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $173
  • Avg Win
    $375
  • Sum Trade PL (losers)
    $4,150.000
  • Age
  • Num Months filled monthly returns table
    20
  • Win / Loss
  • Sum Trade PL (winners)
    $13,118.000
  • # Winners
    35
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    24
  • % Winners
    59.3%
  • Frequency
  • Avg Position Time (mins)
    171.68
  • Avg Position Time (hrs)
    2.86
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    543
  • Leverage
  • Daily leverage (average)
    9.73
  • Daily leverage (max)
    22.24
  • Regression
  • Alpha
    0.10
  • Beta
    -0.03
  • Treynor Index
    -3.56
  • 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)
    0.02
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    2.252
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    1.040
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.276
  • Hold-and-Hope Ratio
    0.444
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.29107
  • SD
    0.77436
  • Sharpe ratio (Glass type estimate)
    1.66728
  • Sharpe ratio (Hedges UMVUE)
    1.44824
  • df
    6.00000
  • t
    1.27340
  • p
    0.12499
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11907
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.33456
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24560
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.14208
  • Statistics related to Sortino ratio
  • Sortino ratio
    211.75800
  • Upside Potential Ratio
    214.37700
  • Upside part of mean
    1.30703
  • Downside part of mean
    -0.01597
  • Upside SD
    0.80798
  • Downside SD
    0.00610
  • N nonnegative terms
    3.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.47586
  • Mean of criterion
    1.29107
  • SD of predictor
    0.14016
  • SD of criterion
    0.77436
  • Covariance
    -0.04471
  • r
    -0.41194
  • b (slope, estimate of beta)
    -2.27596
  • a (intercept, estimate of alpha)
    2.37411
  • Mean Square Error
    0.59745
  • DF error
    5.00000
  • t(b)
    -1.01089
  • p(b)
    0.82077
  • t(a)
    1.61089
  • p(a)
    0.08406
  • Lowerbound of 95% confidence interval for beta
    -8.06372
  • Upperbound of 95% confidence interval for beta
    3.51180
  • Lowerbound of 95% confidence interval for alpha
    -1.41454
  • Upperbound of 95% confidence interval for alpha
    6.16276
  • Treynor index (mean / b)
    -0.56726
  • Jensen alpha (a)
    2.37411
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.05051
  • SD
    0.60594
  • Sharpe ratio (Glass type estimate)
    1.73370
  • Sharpe ratio (Hedges UMVUE)
    1.50594
  • df
    6.00000
  • t
    1.32414
  • p
    0.11683
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.06713
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.41178
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19801
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.20989
  • Statistics related to Sortino ratio
  • Sortino ratio
    172.50300
  • Upside Potential Ratio
    175.12200
  • Upside part of mean
    1.06646
  • Downside part of mean
    -0.01595
  • Upside SD
    0.63768
  • Downside SD
    0.00609
  • N nonnegative terms
    3.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.45808
  • Mean of criterion
    1.05051
  • SD of predictor
    0.13158
  • SD of criterion
    0.60594
  • Covariance
    -0.03424
  • r
    -0.42950
  • b (slope, estimate of beta)
    -1.97792
  • a (intercept, estimate of alpha)
    1.95655
  • Mean Square Error
    0.35931
  • DF error
    5.00000
  • t(b)
    -1.06348
  • p(b)
    0.83190
  • t(a)
    1.68907
  • p(a)
    0.07600
  • Lowerbound of 95% confidence interval for beta
    -6.75901
  • Upperbound of 95% confidence interval for beta
    2.80317
  • Lowerbound of 95% confidence interval for alpha
    -1.02123
  • Upperbound of 95% confidence interval for alpha
    4.93433
  • Treynor index (mean / b)
    -0.53112
  • Jensen alpha (a)
    1.95655
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18141
  • Expected Shortfall on VaR
    0.23755
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00311
  • Expected Shortfall on VaR
    0.00399
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.08216
  • Maximum
    1.60509
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.03343
  • Mean of quarter 4
    1.36799
  • Inter Quartile Range
    0.08216
  • 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
    1.60509
  • 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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)
    1.50151
  • Compounded annual return (geometric extrapolation)
    1.94002
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    8.16684
  • 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
    0.96849
  • SD
    0.25303
  • Sharpe ratio (Glass type estimate)
    3.82760
  • Sharpe ratio (Hedges UMVUE)
    3.81069
  • df
    170.00000
  • t
    3.09225
  • p
    0.38462
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.36233
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.28201
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35106
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.27033
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.18740
  • Upside Potential Ratio
    14.34530
  • Upside part of mean
    1.24187
  • Downside part of mean
    -0.27337
  • Upside SD
    0.24441
  • Downside SD
    0.08657
  • N nonnegative terms
    27.00000
  • N negative terms
    144.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    171.00000
  • Mean of predictor
    0.55716
  • Mean of criterion
    0.96849
  • SD of predictor
    0.21571
  • SD of criterion
    0.25303
  • Covariance
    -0.00332
  • r
    -0.06083
  • b (slope, estimate of beta)
    -0.07135
  • a (intercept, estimate of alpha)
    1.00800
  • Mean Square Error
    0.06416
  • DF error
    169.00000
  • t(b)
    -0.79228
  • p(b)
    0.53870
  • t(a)
    3.17525
  • p(a)
    0.35038
  • Lowerbound of 95% confidence interval for beta
    -0.24915
  • Upperbound of 95% confidence interval for beta
    0.10644
  • Lowerbound of 95% confidence interval for alpha
    0.38140
  • Upperbound of 95% confidence interval for alpha
    1.63509
  • Treynor index (mean / b)
    -13.57300
  • Jensen alpha (a)
    1.00825
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.93594
  • SD
    0.24658
  • Sharpe ratio (Glass type estimate)
    3.79566
  • Sharpe ratio (Hedges UMVUE)
    3.77889
  • df
    170.00000
  • t
    3.06644
  • p
    0.38553
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.33094
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.24960
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.31981
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.23797
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.58990
  • Upside Potential Ratio
    13.72630
  • Upside part of mean
    1.21314
  • Downside part of mean
    -0.27720
  • Upside SD
    0.23660
  • Downside SD
    0.08838
  • N nonnegative terms
    27.00000
  • N negative terms
    144.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    171.00000
  • Mean of predictor
    0.53387
  • Mean of criterion
    0.93594
  • SD of predictor
    0.21256
  • SD of criterion
    0.24658
  • Covariance
    -0.00325
  • r
    -0.06205
  • b (slope, estimate of beta)
    -0.07198
  • a (intercept, estimate of alpha)
    0.97437
  • Mean Square Error
    0.06093
  • DF error
    169.00000
  • t(b)
    -0.80824
  • p(b)
    0.53948
  • t(a)
    3.15116
  • p(a)
    0.35143
  • Lowerbound of 95% confidence interval for beta
    -0.24780
  • Upperbound of 95% confidence interval for beta
    0.10383
  • Lowerbound of 95% confidence interval for alpha
    0.36396
  • Upperbound of 95% confidence interval for alpha
    1.58478
  • Treynor index (mean / b)
    -13.00230
  • Jensen alpha (a)
    0.97437
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02126
  • Expected Shortfall on VaR
    0.02745
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00325
  • Expected Shortfall on VaR
    0.00730
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    171.00000
  • Minimum
    0.94852
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.11112
  • Mean of quarter 1
    0.99621
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01892
  • Inter Quartile Range
    0.00000
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.07018
  • Mean of outliers low
    0.98641
  • Number of outliers high
    27.00000
  • Percentage of outliers high
    0.15790
  • Mean of outliers high
    1.03013
  • 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)
    0.54459
  • VaR(95%) (regression method)
    0.00288
  • Expected Shortfall (regression method)
    0.01998
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00115
  • Quartile 1
    0.00419
  • Median
    0.00597
  • Quartile 3
    0.03017
  • Maximum
    0.06255
  • Mean of quarter 1
    0.00201
  • Mean of quarter 2
    0.00574
  • Mean of quarter 3
    0.00886
  • Mean of quarter 4
    0.05701
  • Inter Quartile Range
    0.02598
  • 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)
    1.34199
  • Compounded annual return (geometric extrapolation)
    1.62177
  • Calmar ratio (compounded annual return / max draw down)
    25.92830
  • Compounded annual return / average of 25% largest draw downs
    28.44600
  • Compounded annual return / Expected Shortfall lognormal
    59.07850
  • 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
    0.08235
  • SD
    0.07127
  • Sharpe ratio (Glass type estimate)
    1.15545
  • Sharpe ratio (Hedges UMVUE)
    1.14877
  • df
    130.00000
  • t
    0.81703
  • p
    0.46426
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.62209
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.92864
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.62655
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.92409
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.20129
  • Upside Potential Ratio
    6.22326
  • Upside part of mean
    0.16008
  • Downside part of mean
    -0.07774
  • Upside SD
    0.06637
  • Downside SD
    0.02572
  • N nonnegative terms
    3.00000
  • N negative terms
    128.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.67407
  • Mean of criterion
    0.08235
  • SD of predictor
    0.23115
  • SD of criterion
    0.07127
  • Covariance
    0.00039
  • r
    0.02350
  • b (slope, estimate of beta)
    0.00725
  • a (intercept, estimate of alpha)
    0.07746
  • Mean Square Error
    0.00512
  • DF error
    129.00000
  • t(b)
    0.26700
  • p(b)
    0.48504
  • t(a)
    0.75359
  • p(a)
    0.45788
  • Lowerbound of 95% confidence interval for beta
    -0.04645
  • Upperbound of 95% confidence interval for beta
    0.06094
  • Lowerbound of 95% confidence interval for alpha
    -0.12591
  • Upperbound of 95% confidence interval for alpha
    0.28084
  • Treynor index (mean / b)
    11.36460
  • Jensen alpha (a)
    0.07746
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.07984
  • SD
    0.07047
  • Sharpe ratio (Glass type estimate)
    1.13304
  • Sharpe ratio (Hedges UMVUE)
    1.12649
  • df
    130.00000
  • t
    0.80118
  • p
    0.46495
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.64424
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.90610
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64869
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.90168
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.08391
  • Upside Potential Ratio
    6.09892
  • Upside part of mean
    0.15790
  • Downside part of mean
    -0.07806
  • Upside SD
    0.06544
  • Downside SD
    0.02589
  • N nonnegative terms
    3.00000
  • N negative terms
    128.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.64725
  • Mean of criterion
    0.07984
  • SD of predictor
    0.22735
  • SD of criterion
    0.07047
  • Covariance
    0.00039
  • r
    0.02461
  • b (slope, estimate of beta)
    0.00763
  • a (intercept, estimate of alpha)
    0.07491
  • Mean Square Error
    0.00500
  • DF error
    129.00000
  • t(b)
    0.27955
  • p(b)
    0.48434
  • t(a)
    0.73757
  • p(a)
    0.45877
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    -0.04635
  • Upperbound of 95% confidence interval for beta
    0.06161
  • Lowerbound of 95% confidence interval for alpha
    -0.12603
  • Upperbound of 95% confidence interval for alpha
    0.27585
  • Treynor index (mean / b)
    10.46900
  • Jensen alpha (a)
    0.07491
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00683
  • Expected Shortfall on VaR
    0.00864
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00102
  • Expected Shortfall on VaR
    0.00226
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98570
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.03343
  • Mean of quarter 1
    0.99923
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00244
  • Inter Quartile Range
    0.00000
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.98738
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.02679
  • 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)
    -2.69927
  • VaR(95%) (regression method)
    -0.17910
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.02508
  • Quartile 1
    0.02508
  • Median
    0.02508
  • Quartile 3
    0.02508
  • Maximum
    0.02508
  • 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
  • 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?
    -441382000
  • Max Equity Drawdown (num days)
    2
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.11071
  • Compounded annual return (geometric extrapolation)
    0.11377
  • Calmar ratio (compounded annual return / max draw down)
    4.53693
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    13.17300

Strategy Description

Summary Statistics

Strategy began
2023-03-05
Suggested Minimum Capital
$25,000
# Trades
59
# Profitable
35
% Profitable
59.3%
Correlation S&P500
-0.021
Sharpe Ratio
1.79
Sortino Ratio
5.32
Beta
-0.03
Alpha
0.10
Leverage
9.73 Average
22.24 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.