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Featured Strategy MT3 Algotrading Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Temperance
(143984937)

Created by: NSKa NSKa
Started: 03/2023
Futures
Last trade: 386 days ago
Trading style: Futures Short Term
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 $25.00 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.
103.5%
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.

(29.9%)
Max Drawdown
28
Num Trades
82.1%
Win Trades
2.5 : 1
Profit Factor
44.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023              +1.6%+0.4%(0.1%)+0.7%+0.2%+5.1%(2%)+0.4%+4.0%(23.1%)(14.9%)
2024  -  (0.4%)(28.8%)  -  (0.1%)(0.1%)(0.1%)  -              

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 48 hours.

Trading Record

This strategy has placed 1 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 464 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/17/23 12:12 LABU DIREXION DAILY S&P BIOTECH BULL LONG 1,460 3.42 12/1 9:37 3.72 0.27%
Trade id #146473608
Max drawdown($116)
Time11/27/23 0:00
Quant open1,460
Worst price3.34
Drawdown as % of equity-0.27%
 $433
Includes Typical Broker Commissions trade costs of $5.00
11/14/23 11:16 QMGCZ3 E-Micro Gold LONG 2 1969.0 12/1 1:22 2042.5 0.48%
Trade id #146433363
Max drawdown($207)
Time11/15/23 0:00
Quant open2
Worst price1958.7
Drawdown as % of equity-0.48%
 $1,468
Includes Typical Broker Commissions trade costs of $1.40
11/13/23 14:52 TMF DIREXION DAILY 20-YR TREASURY BULL 3X SHRS LONG 1,086 4.61 11/14 12:13 4.86 0.07%
Trade id #146423461
Max drawdown($32)
Time11/13/23 15:06
Quant open1,086
Worst price4.58
Drawdown as % of equity-0.07%
 $267
Includes Typical Broker Commissions trade costs of $5.00
10/16/23 13:07 SSO PROSHARES ULTRA S&P 500 LONG 180 55.61 11/7 13:46 53.11 2.87%
Trade id #146142961
Max drawdown($1,161)
Time10/26/23 0:00
Quant open180
Worst price49.15
Drawdown as % of equity-2.87%
 ($453)
Includes Typical Broker Commissions trade costs of $3.60
10/17/23 9:06 @MESZ3 MICRO E-MINI S&P 500 LONG 8 4276.84 11/2 8:30 4280.94 15.23%
Trade id #146148954
Max drawdown($6,183)
Time10/27/23 0:00
Quant open8
Worst price4122.25
Drawdown as % of equity-15.23%
 $156
Includes Typical Broker Commissions trade costs of $7.52
10/30/23 19:16 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 1 14409.75 11/1 9:52 14574.00 0.48%
Trade id #146283231
Max drawdown($197)
Time10/31/23 0:00
Quant open1
Worst price14311.20
Drawdown as % of equity-0.48%
 $328
Includes Typical Broker Commissions trade costs of $0.94
10/27/23 10:14 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 2 14323.75 10/30 9:58 14463.25 1.19%
Trade id #146257270
Max drawdown($457)
Time10/27/23 15:40
Quant open2
Worst price14209.50
Drawdown as % of equity-1.19%
 $556
Includes Typical Broker Commissions trade costs of $1.88
10/26/23 16:06 @MESH4 MICRO E-MINI S&P 500 LONG 4 4208.50 10/26 20:08 4220.25 0.36%
Trade id #146251853
Max drawdown($145)
Time10/26/23 16:42
Quant open4
Worst price4201.25
Drawdown as % of equity-0.36%
 $231
Includes Typical Broker Commissions trade costs of $3.76
10/26/23 13:45 @MESH4 MICRO E-MINI S&P 500 LONG 4 4209.50 10/26 15:09 4229.75 0.07%
Trade id #146249439
Max drawdown($30)
Time10/26/23 13:52
Quant open4
Worst price4208.00
Drawdown as % of equity-0.07%
 $401
Includes Typical Broker Commissions trade costs of $3.76
10/26/23 13:03 @MESH4 MICRO E-MINI S&P 500 LONG 4 4208.00 10/26 13:24 4197.25 0.53%
Trade id #146248663
Max drawdown($215)
Time10/26/23 13:24
Quant open4
Worst price4197.25
Drawdown as % of equity-0.53%
 ($219)
Includes Typical Broker Commissions trade costs of $3.76
10/8/23 19:49 @MESZ3 MICRO E-MINI S&P 500 LONG 2 4311.25 10/10 12:59 4405.00 0.27%
Trade id #146070201
Max drawdown($120)
Time10/9/23 0:00
Quant open2
Worst price4299.25
Drawdown as % of equity-0.27%
 $936
Includes Typical Broker Commissions trade costs of $1.88
9/18/23 10:05 @MESZ3 MICRO E-MINI S&P 500 LONG 12 4335.56 10/6 14:44 4353.00 15.57%
Trade id #145855513
Max drawdown($5,988)
Time10/4/23 0:00
Quant open12
Worst price4235.75
Drawdown as % of equity-15.57%
 $1,035
Includes Typical Broker Commissions trade costs of $11.28
10/6/23 13:54 @USZ3 US T-BOND SHORT 2 110 18/32 10/6 13:54 110 19/32 0.15%
Trade id #146060259
Max drawdown($63)
Time10/6/23 13:54
Quant open2
Worst price110 19/32
Drawdown as % of equity-0.15%
 ($79)
Includes Typical Broker Commissions trade costs of $16.00
9/13/23 18:02 @USZ3 US T-BOND LONG 1 119 19/32 9/13 21:23 119 28/32 0.07%
Trade id #145817175
Max drawdown($31)
Time9/13/23 18:07
Quant open1
Worst price119 18/32
Drawdown as % of equity-0.07%
 $273
Includes Typical Broker Commissions trade costs of $8.00
8/22/23 19:46 @MESU3 MICRO E-MINI S&P 500 LONG 1 4401.25 8/23 11:30 4440.75 0.03%
Trade id #145609018
Max drawdown($11)
Time8/22/23 19:55
Quant open1
Worst price4399.00
Drawdown as % of equity-0.03%
 $197
Includes Typical Broker Commissions trade costs of $0.94
8/15/23 18:00 @MESU3 MICRO E-MINI S&P 500 LONG 6 4405.29 8/22 9:32 4426.50 3.96%
Trade id #145538405
Max drawdown($1,658)
Time8/18/23 0:00
Quant open6
Worst price4350.00
Drawdown as % of equity-3.96%
 $630
Includes Typical Broker Commissions trade costs of $5.64
8/10/23 21:35 @MESU3 MICRO E-MINI S&P 500 LONG 2 4491.75 8/14 21:09 4510.00 0.56%
Trade id #145501111
Max drawdown($237)
Time8/14/23 9:48
Quant open2
Worst price4468.00
Drawdown as % of equity-0.56%
 $181
Includes Typical Broker Commissions trade costs of $1.88
8/8/23 10:53 @MESU3 MICRO E-MINI S&P 500 LONG 2 4491.00 8/10 10:36 4538.62 0.11%
Trade id #145471371
Max drawdown($45)
Time8/9/23 0:00
Quant open1
Worst price4478.25
Drawdown as % of equity-0.11%
 $474
Includes Typical Broker Commissions trade costs of $1.88
8/2/23 18:42 @MESU3 MICRO E-MINI S&P 500 LONG 5 4513.75 8/7 16:43 4541.10 1%
Trade id #145412055
Max drawdown($412)
Time8/4/23 0:00
Quant open2
Worst price4493.25
Drawdown as % of equity-1.00%
 $679
Includes Typical Broker Commissions trade costs of $4.70
7/27/23 10:06 @MYMU3 MICRO E-MINI DOW SHORT 1 35724 7/27 18:00 35451 0.08%
Trade id #145341455
Max drawdown($33)
Time7/27/23 13:01
Quant open1
Worst price35790
Drawdown as % of equity-0.08%
 $136
Includes Typical Broker Commissions trade costs of $0.94
6/26/23 18:00 @MESU3 MICRO E-MINI S&P 500 LONG 1 4376.50 6/27 16:40 4414.00 0.06%
Trade id #145037113
Max drawdown($26)
Time6/27/23 0:00
Quant open1
Worst price4371.25
Drawdown as % of equity-0.06%
 $187
Includes Typical Broker Commissions trade costs of $0.94
6/19/23 0:16 @MNQU3 MICRO E-MINI NASDAQ 100 SHORT 1 15270.50 6/20 6:24 15197.75 0.25%
Trade id #144959222
Max drawdown($102)
Time6/20/23 0:00
Quant open1
Worst price15321.80
Drawdown as % of equity-0.25%
 $145
Includes Typical Broker Commissions trade costs of $0.94
4/19/23 10:51 @MESM3 MICRO E-MINI S&P 500 SHORT 1 4169.25 4/21 1:50 4153.00 0.22%
Trade id #144361467
Max drawdown($91)
Time4/19/23 14:00
Quant open1
Worst price4187.50
Drawdown as % of equity-0.22%
 $80
Includes Typical Broker Commissions trade costs of $0.94
4/2/23 18:12 @MESM3 MICRO E-MINI S&P 500 LONG 1 4127.00 4/13 13:21 4158.75 0.38%
Trade id #144148567
Max drawdown($153)
Time4/6/23 0:00
Quant open1
Worst price4096.25
Drawdown as % of equity-0.38%
 $158
Includes Typical Broker Commissions trade costs of $0.94
3/21/23 14:31 @ESM3 E-MINI S&P 500 SHORT 1 4019.00 3/22 15:47 4004.75 7.13%
Trade id #143984960
Max drawdown($2,737)
Time3/22/23 14:48
Quant open1
Worst price4073.75
Drawdown as % of equity-7.13%
 $705
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    3/21/2023
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    636.51
  • Age
    22 months ago
  • What it trades
    Futures
  • # Trades
    28
  • # Profitable
    23
  • % Profitable
    82.10%
  • Avg trade duration
    47.6 days
  • Max peak-to-valley drawdown
    29.92%
  • drawdown period
    Jan 05, 2024 - Sept 26, 2024
  • Annual Return (Compounded)
    103.5%
  • Avg win
    $7,228
  • Avg loss
    $13,374
  • Model Account Values (Raw)
  • Cash
    $47,380
  • Margin Used
    $15,620
  • Buying Power
    $77,418
  • Ratios
  • W:L ratio
    2.49:1
  • Sharpe Ratio
    0.6
  • Sortino Ratio
    8.94
  • Calmar Ratio
    20.56
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    195.53%
  • Correlation to SP500
    -0.10810
  • Return Percent SP500 (cumu) during strategy life
    50.89%
  • Return Statistics
  • Ann Return (w trading costs)
    103.5%
  • Slump
  • Current Slump as Pcnt Equity
    42.70%
  • Instruments
  • Percent Trades Futures
    0.89%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.48%
  • 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)
    1.035%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.11%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    102.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    59.50%
  • Chance of 20% account loss
    24.50%
  • Chance of 30% account loss
    8.00%
  • 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
    $13,374
  • Avg Win
    $7,229
  • Sum Trade PL (losers)
    $66,872.000
  • Age
  • Num Months filled monthly returns table
    20
  • Win / Loss
  • Sum Trade PL (winners)
    $166,259.000
  • # Winners
    23
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    158
  • Win / Loss
  • # Losers
    5
  • % Winners
    82.1%
  • Frequency
  • Avg Position Time (mins)
    68490.90
  • Avg Position Time (hrs)
    1141.52
  • Avg Trade Length
    47.6 days
  • Last Trade Ago
    376
  • Leverage
  • Daily leverage (average)
    2.99
  • Daily leverage (max)
    11.48
  • Regression
  • Alpha
    0.99
  • Beta
    -3.54
  • Treynor Index
    -0.22
  • 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)
    1.79
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    -4.056
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    1.953
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.129
  • Hold-and-Hope Ratio
    2.531
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.16041
  • SD
    0.29475
  • Sharpe ratio (Glass type estimate)
    -0.54423
  • Sharpe ratio (Hedges UMVUE)
    -0.47274
  • df
    6.00000
  • t
    -0.41567
  • p
    0.65394
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.10626
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06130
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.05283
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.10736
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.63951
  • Upside Potential Ratio
    1.07912
  • Upside part of mean
    0.27068
  • Downside part of mean
    -0.43109
  • Upside SD
    0.11701
  • Downside SD
    0.25083
  • N nonnegative terms
    4.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.29562
  • Mean of criterion
    -0.16041
  • SD of predictor
    0.18500
  • SD of criterion
    0.29475
  • Covariance
    0.00585
  • r
    0.10726
  • b (slope, estimate of beta)
    0.17089
  • a (intercept, estimate of alpha)
    -0.21093
  • Mean Square Error
    0.10305
  • DF error
    5.00000
  • t(b)
    0.24123
  • p(b)
    0.40948
  • t(a)
    -0.44917
  • p(a)
    0.66395
  • Lowerbound of 95% confidence interval for beta
    -1.65019
  • Upperbound of 95% confidence interval for beta
    1.99196
  • Lowerbound of 95% confidence interval for alpha
    -1.41810
  • Upperbound of 95% confidence interval for alpha
    0.99625
  • Treynor index (mean / b)
    -0.93871
  • Jensen alpha (a)
    -0.21093
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.20219
  • SD
    0.31558
  • Sharpe ratio (Glass type estimate)
    -0.64068
  • Sharpe ratio (Hedges UMVUE)
    -0.55651
  • df
    6.00000
  • t
    -0.48933
  • p
    0.67901
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.20575
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97533
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.14195
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.02892
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.73419
  • Upside Potential Ratio
    0.95672
  • Upside part of mean
    0.26347
  • Downside part of mean
    -0.46566
  • Upside SD
    0.11372
  • Downside SD
    0.27539
  • N nonnegative terms
    4.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.27746
  • Mean of criterion
    -0.20219
  • SD of predictor
    0.18013
  • SD of criterion
    0.31558
  • Covariance
    0.00444
  • r
    0.07804
  • b (slope, estimate of beta)
    0.13673
  • a (intercept, estimate of alpha)
    -0.24013
  • Mean Square Error
    0.11878
  • DF error
    5.00000
  • t(b)
    0.17505
  • p(b)
    0.43395
  • t(a)
    -0.47968
  • p(a)
    0.67415
  • Lowerbound of 95% confidence interval for beta
    -1.87125
  • Upperbound of 95% confidence interval for beta
    2.14471
  • Lowerbound of 95% confidence interval for alpha
    -1.52701
  • Upperbound of 95% confidence interval for alpha
    1.04675
  • Treynor index (mean / b)
    -1.47873
  • Jensen alpha (a)
    -0.24013
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15354
  • Expected Shortfall on VaR
    0.18470
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07511
  • Expected Shortfall on VaR
    0.14918
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.81693
  • Quartile 1
    0.96930
  • Median
    1.00850
  • Quartile 3
    1.04722
  • Maximum
    1.06427
  • Mean of quarter 1
    0.88885
  • Mean of quarter 2
    0.99316
  • Mean of quarter 3
    1.04082
  • Mean of quarter 4
    1.05894
  • Inter Quartile Range
    0.07793
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.81693
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.18321
  • Quartile 1
    0.18321
  • Median
    0.18321
  • Quartile 3
    0.18321
  • Maximum
    0.18321
  • 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)
    -0.16572
  • Compounded annual return (geometric extrapolation)
    -0.15994
  • Calmar ratio (compounded annual return / max draw down)
    -0.87300
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.86594
  • 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
    6.68436
  • SD
    5.91686
  • Sharpe ratio (Glass type estimate)
    1.12971
  • Sharpe ratio (Hedges UMVUE)
    1.12466
  • df
    168.00000
  • t
    0.90732
  • p
    0.46509
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.31523
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.57148
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.31866
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.56799
  • Statistics related to Sortino ratio
  • Sortino ratio
    16.46700
  • Upside Potential Ratio
    20.51010
  • Upside part of mean
    8.32556
  • Downside part of mean
    -1.64120
  • Upside SD
    5.89982
  • Downside SD
    0.40592
  • N nonnegative terms
    61.00000
  • N negative terms
    108.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    169.00000
  • Mean of predictor
    0.56914
  • Mean of criterion
    6.68436
  • SD of predictor
    0.18956
  • SD of criterion
    5.91686
  • Covariance
    -0.15668
  • r
    -0.13969
  • b (slope, estimate of beta)
    -4.36019
  • a (intercept, estimate of alpha)
    9.16600
  • Mean Square Error
    34.53160
  • DF error
    167.00000
  • t(b)
    -1.82306
  • p(b)
    0.58864
  • t(a)
    1.23161
  • p(a)
    0.43969
  • Lowerbound of 95% confidence interval for beta
    -9.08201
  • Upperbound of 95% confidence interval for beta
    0.36164
  • Lowerbound of 95% confidence interval for alpha
    -5.52709
  • Upperbound of 95% confidence interval for alpha
    23.85900
  • Treynor index (mean / b)
    -1.53304
  • Jensen alpha (a)
    9.16593
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.93677
  • SD
    2.23385
  • Sharpe ratio (Glass type estimate)
    0.86701
  • Sharpe ratio (Hedges UMVUE)
    0.86313
  • df
    168.00000
  • t
    0.69633
  • p
    0.47318
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.57634
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.30792
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.57898
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.30524
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.14997
  • Upside Potential Ratio
    7.87855
  • Upside part of mean
    3.67688
  • Downside part of mean
    -1.74011
  • Upside SD
    2.18107
  • Downside SD
    0.46670
  • N nonnegative terms
    61.00000
  • N negative terms
    108.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    169.00000
  • Mean of predictor
    0.55103
  • Mean of criterion
    1.93677
  • SD of predictor
    0.18642
  • SD of criterion
    2.23385
  • Covariance
    -0.07981
  • r
    -0.19165
  • b (slope, estimate of beta)
    -2.29643
  • a (intercept, estimate of alpha)
    3.20216
  • Mean Square Error
    4.83560
  • DF error
    167.00000
  • t(b)
    -2.52339
  • p(b)
    0.62126
  • t(a)
    1.15039
  • p(a)
    0.44362
  • Lowerbound of 95% confidence interval for beta
    -4.09313
  • Upperbound of 95% confidence interval for beta
    -0.49973
  • Lowerbound of 95% confidence interval for alpha
    -2.29329
  • Upperbound of 95% confidence interval for alpha
    8.69762
  • Treynor index (mean / b)
    -0.84338
  • Jensen alpha (a)
    3.20216
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.19717
  • Expected Shortfall on VaR
    0.24118
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01635
  • Expected Shortfall on VaR
    0.03692
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    169.00000
  • Minimum
    0.70993
  • Quartile 1
    0.99673
  • Median
    1.00000
  • Quartile 3
    1.00222
  • Maximum
    5.73659
  • Mean of quarter 1
    0.97609
  • Mean of quarter 2
    0.99954
  • Mean of quarter 3
    1.00052
  • Mean of quarter 4
    1.12750
  • Inter Quartile Range
    0.00549
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.15385
  • Mean of outliers low
    0.96435
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.12426
  • Mean of outliers high
    1.24984
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59926
  • VaR(95%) (moments method)
    0.01634
  • Expected Shortfall (moments method)
    0.04800
  • Extreme Value Index (regression method)
    0.35824
  • VaR(95%) (regression method)
    0.01653
  • Expected Shortfall (regression method)
    0.03332
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00040
  • Median
    0.00282
  • Quartile 3
    0.09505
  • Maximum
    0.29828
  • Mean of quarter 1
    0.00012
  • Mean of quarter 2
    0.00129
  • Mean of quarter 3
    0.03584
  • Mean of quarter 4
    0.23025
  • Inter Quartile Range
    0.09465
  • 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
    0.16667
  • Mean of outliers high
    0.28083
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -76.36580
  • VaR(95%) (moments method)
    0.23049
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.94407
  • VaR(95%) (regression method)
    0.42674
  • Expected Shortfall (regression method)
    0.42923
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.95514
  • Compounded annual return (geometric extrapolation)
    6.13260
  • Calmar ratio (compounded annual return / max draw down)
    20.56010
  • Compounded annual return / average of 25% largest draw downs
    26.63460
  • Compounded annual return / Expected Shortfall lognormal
    25.42710
  • 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
    8.54210
  • SD
    6.72167
  • Sharpe ratio (Glass type estimate)
    1.27083
  • Sharpe ratio (Hedges UMVUE)
    1.26348
  • df
    130.00000
  • t
    0.89861
  • p
    0.46071
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.50770
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.04452
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51257
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.03954
  • Statistics related to Sortino ratio
  • Sortino ratio
    18.52900
  • Upside Potential Ratio
    23.07590
  • Upside part of mean
    10.63830
  • Downside part of mean
    -2.09618
  • Upside SD
    6.70089
  • Downside SD
    0.46101
  • N nonnegative terms
    49.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.58207
  • Mean of criterion
    8.54210
  • SD of predictor
    0.19811
  • SD of criterion
    6.72167
  • Covariance
    -0.20292
  • r
    -0.15239
  • b (slope, estimate of beta)
    -5.17034
  • a (intercept, estimate of alpha)
    11.55160
  • Mean Square Error
    44.47380
  • DF error
    129.00000
  • t(b)
    -1.75123
  • p(b)
    0.59664
  • t(a)
    1.20499
  • p(a)
    0.43296
  • Lowerbound of 95% confidence interval for beta
    -11.01170
  • Upperbound of 95% confidence interval for beta
    0.67107
  • Lowerbound of 95% confidence interval for alpha
    -7.41552
  • Upperbound of 95% confidence interval for alpha
    30.51870
  • Treynor index (mean / b)
    -1.65214
  • Jensen alpha (a)
    11.55160
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.41876
  • SD
    2.53812
  • Sharpe ratio (Glass type estimate)
    0.95297
  • Sharpe ratio (Hedges UMVUE)
    0.94746
  • df
    130.00000
  • t
    0.67385
  • p
    0.47050
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.82307
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.72539
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.82673
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.72166
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.56333
  • Upside Potential Ratio
    8.75878
  • Upside part of mean
    4.64252
  • Downside part of mean
    -2.22376
  • Upside SD
    2.47674
  • Downside SD
    0.53004
  • N nonnegative terms
    49.00000
  • N negative terms
    82.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.56239
  • Mean of criterion
    2.41876
  • SD of predictor
    0.19446
  • SD of criterion
    2.53812
  • Covariance
    -0.10327
  • r
    -0.20924
  • b (slope, estimate of beta)
    -2.73108
  • a (intercept, estimate of alpha)
    3.95470
  • Mean Square Error
    6.20775
  • DF error
    129.00000
  • t(b)
    -2.43031
  • p(b)
    0.63223
  • t(a)
    1.10473
  • p(a)
    0.43847
  • VAR (95 Confidence Intrvl)
    0.19700
  • Lowerbound of 95% confidence interval for beta
    -4.95446
  • Upperbound of 95% confidence interval for beta
    -0.50770
  • Lowerbound of 95% confidence interval for alpha
    -3.12801
  • Upperbound of 95% confidence interval for alpha
    11.03740
  • Treynor index (mean / b)
    -0.88564
  • Jensen alpha (a)
    3.95470
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.22018
  • Expected Shortfall on VaR
    0.26843
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02066
  • Expected Shortfall on VaR
    0.04607
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.70993
  • Quartile 1
    0.99358
  • Median
    1.00000
  • Quartile 3
    1.00403
  • Maximum
    5.73659
  • Mean of quarter 1
    0.97029
  • Mean of quarter 2
    0.99821
  • Mean of quarter 3
    1.00095
  • Mean of quarter 4
    1.16042
  • Inter Quartile Range
    0.01045
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.94229
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.50649
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52564
  • VaR(95%) (moments method)
    0.02484
  • Expected Shortfall (moments method)
    0.06051
  • Extreme Value Index (regression method)
    0.36708
  • VaR(95%) (regression method)
    0.02109
  • Expected Shortfall (regression method)
    0.03987
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00002
  • Quartile 1
    0.00026
  • Median
    0.02042
  • Quartile 3
    0.12909
  • Maximum
    0.29828
  • Mean of quarter 1
    0.00012
  • Mean of quarter 2
    0.01080
  • Mean of quarter 3
    0.10640
  • Mean of quarter 4
    0.28083
  • Inter Quartile Range
    0.12883
  • 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)
    -76.36580
  • VaR(95%) (moments method)
    0.23049
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.94407
  • VaR(95%) (regression method)
    0.42853
  • Last 4 Months - Pcnt Negative
    1.00%
  • Expected Shortfall (regression method)
    0.42968
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -487573000
  • Max Equity Drawdown (num days)
    265
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    4.79698
  • Compounded annual return (geometric extrapolation)
    10.54970
  • Calmar ratio (compounded annual return / max draw down)
    35.36900
  • Compounded annual return / average of 25% largest draw downs
    37.56660
  • Compounded annual return / Expected Shortfall lognormal
    39.30170

Strategy Description

A patient, opportunistic system. May go through periods of time with little activity when the market is less volatile, and vice versa when the market is more volatile. Combination of trend following and reversion to mean trades. 100% rules-based system. Analysis done primarily on Daily time frame. Before putting this system on C2, was using this trading style for years with success. When trading MES (Micro E-Mini), it is a max of 12 contracts being open at once but that should be relatively rare (when market is at relatively extreme oversold readings). At 12 MES contracts, it is still only the equivalent of 1.2 times a "normal size" E-Mini S&P 500 contract. Similar with Gold, using the MGC. ETFs such as SSO, SPY, IAU, GLD, etc. may also be used to capture trend-following signals (longer-term holds). Once you subscribe to the system, the subscription cost will not increase for the duration of your subscription.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-03-21
Suggested Minimum Capital
$25,000
# Trades
28
# Profitable
23
% Profitable
82.1%
Net Dividends
$157
Correlation S&P500
-0.108
Sharpe Ratio
0.60
Sortino Ratio
8.94
Beta
-3.54
Alpha
0.99
Leverage
2.99 Average
11.48 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.

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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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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.