Collective2 Collective2
Featured Strategy Lazy Trading ES +44.1% Cumul. Return since Sep 25, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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SP 500 Index Futures
(146914847)

Created by: TAG_Capital TAG_Capital
Started: 01/2024
Futures
Last trade: Today
Trading style: Futures Short Term

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 $125.00 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.
-8.8%
Cumul. Return

Rate of Return Calculations

Overview

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

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(56.3%)
Max Drawdown
483
Num Trades
83.9%
Win Trades
1.0 : 1
Profit Factor
45.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024+22.6%+10.9%+12.0%(1.2%)(19.5%)(1.1%)+9.3%(8.5%)(28.1%)+16.5%(9.2%)      (8.8%)

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 1,075 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 57 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/20/24 23:15 @MESZ4 MICRO E-MINI S&P 500 LONG 12 5924.75 11/21 2:26 5930.19 n/a $315
Includes Typical Broker Commissions trade costs of $11.28
11/20/24 18:25 @MESZ4 MICRO E-MINI S&P 500 LONG 12 5933.25 11/20 19:05 5939.81 n/a $383
Includes Typical Broker Commissions trade costs of $11.28
11/20/24 12:22 @MESZ4 MICRO E-MINI S&P 500 SHORT 12 5896.00 11/20 18:25 5933.75 12.4%
Trade id #150134687
Max drawdown($2,940)
Time11/20/24 16:01
Quant open12
Worst price5945.00
Drawdown as % of equity-12.40%
 ($2,276)
Includes Typical Broker Commissions trade costs of $11.28
11/20/24 10:03 @MESZ4 MICRO E-MINI S&P 500 LONG 12 5908.00 11/20 11:49 5914.00 6.96%
Trade id #150131860
Max drawdown($1,680)
Time11/20/24 10:20
Quant open12
Worst price5880.00
Drawdown as % of equity-6.96%
 $349
Includes Typical Broker Commissions trade costs of $11.28
11/19/24 10:29 @MESZ4 MICRO E-MINI S&P 500 LONG 12 5897.75 11/20 9:36 5902.58 n/a $279
Includes Typical Broker Commissions trade costs of $11.28
11/19/24 9:35 @MESZ4 MICRO E-MINI S&P 500 SHORT 12 5883.00 11/19 10:25 5881.83 2.91%
Trade id #150121668
Max drawdown($690)
Time11/19/24 9:43
Quant open12
Worst price5894.50
Drawdown as % of equity-2.91%
 $59
Includes Typical Broker Commissions trade costs of $11.28
11/19/24 8:44 @MESZ4 MICRO E-MINI S&P 500 SHORT 12 5882.50 11/19 9:29 5872.12 0.25%
Trade id #150120787
Max drawdown($60)
Time11/19/24 8:47
Quant open12
Worst price5883.50
Drawdown as % of equity-0.25%
 $612
Includes Typical Broker Commissions trade costs of $11.28
11/19/24 8:14 @MESZ4 MICRO E-MINI S&P 500 LONG 12 5904.75 11/19 8:43 5884.00 5.8%
Trade id #150120653
Max drawdown($1,410)
Time11/19/24 8:43
Quant open12
Worst price5881.25
Drawdown as % of equity-5.80%
 ($1,256)
Includes Typical Broker Commissions trade costs of $11.28
11/18/24 9:37 @MESZ4 MICRO E-MINI S&P 500 LONG 19 5907.58 11/19 3:39 5915.42 1.8%
Trade id #150110833
Max drawdown($425)
Time11/18/24 9:54
Quant open10
Worst price5891.50
Drawdown as % of equity-1.80%
 $727
Includes Typical Broker Commissions trade costs of $17.86
11/15/24 10:22 @MESZ4 MICRO E-MINI S&P 500 LONG 10 5907.50 11/17 19:54 5912.50 6.61%
Trade id #150096142
Max drawdown($1,525)
Time11/15/24 13:58
Quant open10
Worst price5877.00
Drawdown as % of equity-6.61%
 $241
Includes Typical Broker Commissions trade costs of $9.40
11/15/24 9:37 @MESZ4 MICRO E-MINI S&P 500 LONG 19 5932.58 11/15 9:58 5937.67 0.18%
Trade id #150095209
Max drawdown($40)
Time11/15/24 9:58
Quant open1
Worst price5924.50
Drawdown as % of equity-0.18%
 $466
Includes Typical Broker Commissions trade costs of $17.86
11/15/24 9:07 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 5943.00 11/15 9:18 5939.00 n/a $191
Includes Typical Broker Commissions trade costs of $9.40
11/7/24 9:21 @MESZ4 MICRO E-MINI S&P 500 SHORT 9 5976.50 11/15 1:24 5963.78 17.66%
Trade id #150026680
Max drawdown($3,453)
Time11/11/24 0:00
Quant open9
Worst price6053.25
Drawdown as % of equity-17.66%
 $565
Includes Typical Broker Commissions trade costs of $8.46
11/7/24 8:48 @MESZ4 MICRO E-MINI S&P 500 LONG 9 5974.50 11/7 9:20 5978.50 0.72%
Trade id #150023619
Max drawdown($157)
Time11/7/24 9:01
Quant open9
Worst price5971.00
Drawdown as % of equity-0.72%
 $172
Includes Typical Broker Commissions trade costs of $8.46
11/6/24 18:07 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 5961.00 11/6 20:36 5955.50 0.29%
Trade id #150017787
Max drawdown($62)
Time11/6/24 18:11
Quant open10
Worst price5962.25
Drawdown as % of equity-0.29%
 $266
Includes Typical Broker Commissions trade costs of $9.40
11/6/24 11:14 @MESZ4 MICRO E-MINI S&P 500 LONG 10 5924.75 11/6 18:07 5939.45 1.56%
Trade id #150010044
Max drawdown($325)
Time11/6/24 11:22
Quant open10
Worst price5918.25
Drawdown as % of equity-1.56%
 $726
Includes Typical Broker Commissions trade costs of $9.40
11/6/24 9:51 @MESZ4 MICRO E-MINI S&P 500 LONG 12 5910.38 11/6 11:02 5928.88 3.22%
Trade id #150008311
Max drawdown($562)
Time11/6/24 9:58
Quant open12
Worst price5901.00
Drawdown as % of equity-3.22%
 $1,099
Includes Typical Broker Commissions trade costs of $11.28
11/5/24 9:40 @MESZ4 MICRO E-MINI S&P 500 SHORT 12 5771.25 11/6 9:50 5905.75 57.24%
Trade id #149985500
Max drawdown($10,995)
Time11/6/24 3:52
Quant open12
Worst price5954.50
Drawdown as % of equity-57.24%
 ($8,081)
Includes Typical Broker Commissions trade costs of $11.28
11/4/24 15:31 @MESZ4 MICRO E-MINI S&P 500 SHORT 12 5745.75 11/4 15:42 5741.44 0.01%
Trade id #149965862
Max drawdown($3)
Time11/4/24 15:42
Quant open3
Worst price5746.00
Drawdown as % of equity-0.01%
 $248
Includes Typical Broker Commissions trade costs of $11.28
11/4/24 11:59 @MESZ4 MICRO E-MINI S&P 500 LONG 12 5732.50 11/4 12:20 5736.50 1.8%
Trade id #149960766
Max drawdown($495)
Time11/4/24 12:09
Quant open12
Worst price5724.25
Drawdown as % of equity-1.80%
 $229
Includes Typical Broker Commissions trade costs of $11.28
11/4/24 10:06 @MESZ4 MICRO E-MINI S&P 500 LONG 12 5763.50 11/4 10:24 5768.50 1.26%
Trade id #149958139
Max drawdown($345)
Time11/4/24 10:14
Quant open12
Worst price5757.75
Drawdown as % of equity-1.26%
 $289
Includes Typical Broker Commissions trade costs of $11.28
11/3/24 18:10 @MESZ4 MICRO E-MINI S&P 500 LONG 12 5751.25 11/4 9:25 5756.50 1.68%
Trade id #149944922
Max drawdown($450)
Time11/3/24 19:02
Quant open12
Worst price5743.75
Drawdown as % of equity-1.68%
 $304
Includes Typical Broker Commissions trade costs of $11.28
11/1/24 14:21 @MESZ4 MICRO E-MINI S&P 500 LONG 12 5762.00 11/1 15:30 5769.17 0.01%
Trade id #149934725
Max drawdown($3)
Time11/1/24 15:30
Quant open1
Worst price5761.25
Drawdown as % of equity-0.01%
 $419
Includes Typical Broker Commissions trade costs of $11.28
11/1/24 14:13 @MESZ4 MICRO E-MINI S&P 500 LONG 12 5759.75 11/1 14:20 5763.69 0.17%
Trade id #149934632
Max drawdown($45)
Time11/1/24 14:16
Quant open12
Worst price5759.00
Drawdown as % of equity-0.17%
 $225
Includes Typical Broker Commissions trade costs of $11.28
11/1/24 10:33 @MESZ4 MICRO E-MINI S&P 500 SHORT 12 5798.00 11/1 11:15 5792.60 0.23%
Trade id #149930532
Max drawdown($60)
Time11/1/24 10:36
Quant open12
Worst price5799.00
Drawdown as % of equity-0.23%
 $313
Includes Typical Broker Commissions trade costs of $11.28
11/1/24 9:30 @MESZ4 MICRO E-MINI S&P 500 LONG 12 5761.25 11/1 10:31 5774.44 n/a $780
Includes Typical Broker Commissions trade costs of $11.28
10/31/24 16:01 @MESZ4 MICRO E-MINI S&P 500 LONG 10 5751.75 11/1 4:38 5757.00 4.45%
Trade id #149924306
Max drawdown($1,087)
Time10/31/24 16:30
Quant open10
Worst price5730.00
Drawdown as % of equity-4.45%
 $254
Includes Typical Broker Commissions trade costs of $9.40
10/31/24 15:23 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 5766.50 10/31 15:54 5752.00 0.81%
Trade id #149923604
Max drawdown($200)
Time10/31/24 15:50
Quant open10
Worst price5770.50
Drawdown as % of equity-0.81%
 $716
Includes Typical Broker Commissions trade costs of $9.40
10/31/24 11:02 @MESZ4 MICRO E-MINI S&P 500 LONG 12 5757.50 10/31 15:20 5764.50 2.94%
Trade id #149920029
Max drawdown($690)
Time10/31/24 14:34
Quant open12
Worst price5746.00
Drawdown as % of equity-2.94%
 $409
Includes Typical Broker Commissions trade costs of $11.28
10/31/24 10:11 @MESZ4 MICRO E-MINI S&P 500 SHORT 12 5775.25 10/31 10:50 5762.00 2.53%
Trade id #149916298
Max drawdown($630)
Time10/31/24 10:19
Quant open12
Worst price5785.75
Drawdown as % of equity-2.53%
 $784
Includes Typical Broker Commissions trade costs of $11.28
Next

Statistics

  • Strategy began
    1/5/2024
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    320.75
  • Age
    11 months ago
  • What it trades
    Futures
  • # Trades
    483
  • # Profitable
    405
  • % Profitable
    83.90%
  • Avg trade duration
    10.2 hours
  • Max peak-to-valley drawdown
    56.33%
  • drawdown period
    Aug 11, 2024 - Nov 06, 2024
  • Cumul. Return
    -8.8%
  • Avg win
    $311.35
  • Avg loss
    $1,561
  • Model Account Values (Raw)
  • Cash
    $29,316
  • Margin Used
    $0
  • Buying Power
    $29,316
  • Ratios
  • W:L ratio
    1.04:1
  • Sharpe Ratio
    0.07
  • Sortino Ratio
    0.09
  • Calmar Ratio
    0.377
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -34.78%
  • Correlation to SP500
    -0.13800
  • Return Percent SP500 (cumu) during strategy life
    25.97%
  • Return Statistics
  • Ann Return (w trading costs)
    -9.9%
  • Slump
  • Current Slump as Pcnt Equity
    75.30%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.32%
  • 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)
    -0.088%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    19.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    84.50%
  • Chance of 20% account loss
    64.50%
  • Chance of 30% account loss
    37.00%
  • Chance of 40% account loss
    20.50%
  • Chance of 60% account loss (Monte Carlo)
    1.00%
  • 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
    5.00%
  • Popularity
  • Popularity (Today)
    585
  • Popularity (Last 6 weeks)
    923
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    942
  • Popularity (7 days, Percentile 1000 scale)
    760
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,561
  • Avg Win
    $311
  • Sum Trade PL (losers)
    $121,758.000
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $126,097.000
  • # Winners
    405
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    78
  • % Winners
    83.8%
  • Frequency
  • Avg Position Time (mins)
    609.42
  • Avg Position Time (hrs)
    10.16
  • Avg Trade Length
    0.4 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    9.68
  • Daily leverage (max)
    17.70
  • Regression
  • Alpha
    0.06
  • Beta
    -0.67
  • Treynor Index
    -0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.19
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.07
  • Avg(MAE) / Avg(PL) - All trades
    -53.832
  • 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
    1.328
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.168
  • Hold-and-Hope Ratio
    -0.019
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27108
  • SD
    0.67787
  • Sharpe ratio (Glass type estimate)
    0.39990
  • Sharpe ratio (Hedges UMVUE)
    0.36546
  • df
    9.00000
  • t
    0.36505
  • p
    0.36175
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.76568
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54383
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.78820
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.51912
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.59913
  • Upside Potential Ratio
    2.55596
  • Upside part of mean
    1.15645
  • Downside part of mean
    -0.88537
  • Upside SD
    0.46364
  • Downside SD
    0.45245
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.26251
  • Mean of criterion
    0.27108
  • SD of predictor
    0.13001
  • SD of criterion
    0.67787
  • Covariance
    -0.01390
  • r
    -0.15769
  • b (slope, estimate of beta)
    -0.82220
  • a (intercept, estimate of alpha)
    0.48691
  • Mean Square Error
    0.50409
  • DF error
    8.00000
  • t(b)
    -0.45168
  • p(b)
    0.66825
  • t(a)
    0.53341
  • p(a)
    0.30412
  • Lowerbound of 95% confidence interval for beta
    -5.01987
  • Upperbound of 95% confidence interval for beta
    3.37548
  • Lowerbound of 95% confidence interval for alpha
    -1.61807
  • Upperbound of 95% confidence interval for alpha
    2.59189
  • Treynor index (mean / b)
    -0.32970
  • Jensen alpha (a)
    0.48691
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.05429
  • SD
    0.70183
  • Sharpe ratio (Glass type estimate)
    0.07736
  • Sharpe ratio (Hedges UMVUE)
    0.07070
  • df
    9.00000
  • t
    0.07062
  • p
    0.47262
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.07200
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22258
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.07658
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21798
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.10531
  • Upside Potential Ratio
    2.05459
  • Upside part of mean
    1.05923
  • Downside part of mean
    -1.00494
  • Upside SD
    0.42163
  • Downside SD
    0.51554
  • N nonnegative terms
    6.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.25156
  • Mean of criterion
    0.05429
  • SD of predictor
    0.13054
  • SD of criterion
    0.70183
  • Covariance
    -0.01551
  • r
    -0.16930
  • b (slope, estimate of beta)
    -0.91023
  • a (intercept, estimate of alpha)
    0.28327
  • Mean Square Error
    0.53826
  • DF error
    8.00000
  • t(b)
    -0.48585
  • p(b)
    0.67995
  • t(a)
    0.30404
  • p(a)
    0.38443
  • Lowerbound of 95% confidence interval for beta
    -5.23050
  • Upperbound of 95% confidence interval for beta
    3.41004
  • Lowerbound of 95% confidence interval for alpha
    -1.86519
  • Upperbound of 95% confidence interval for alpha
    2.43173
  • Treynor index (mean / b)
    -0.05965
  • Jensen alpha (a)
    0.28327
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.28016
  • Expected Shortfall on VaR
    0.33678
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.15040
  • Expected Shortfall on VaR
    0.27860
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.74713
  • Quartile 1
    0.82557
  • Median
    1.08413
  • Quartile 3
    1.17090
  • Maximum
    1.24037
  • Mean of quarter 1
    0.76462
  • Mean of quarter 2
    1.02115
  • Mean of quarter 3
    1.13225
  • Mean of quarter 4
    1.21618
  • Inter Quartile Range
    0.34533
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.22989
  • VaR(95%) (moments method)
    0.24643
  • Expected Shortfall (moments method)
    0.25703
  • Extreme Value Index (regression method)
    2.02397
  • VaR(95%) (regression method)
    0.26474
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.24541
  • Quartile 1
    0.26410
  • Median
    0.28280
  • Quartile 3
    0.30149
  • Maximum
    0.32019
  • Mean of quarter 1
    0.24541
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.32019
  • Inter Quartile Range
    0.03739
  • 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)
    0.08508
  • Compounded annual return (geometric extrapolation)
    0.08567
  • Calmar ratio (compounded annual return / max draw down)
    0.26758
  • Compounded annual return / average of 25% largest draw downs
    0.26758
  • Compounded annual return / Expected Shortfall lognormal
    0.25439
  • 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
    0.27659
  • SD
    0.53609
  • Sharpe ratio (Glass type estimate)
    0.51593
  • Sharpe ratio (Hedges UMVUE)
    0.51423
  • df
    228.00000
  • t
    0.48235
  • p
    0.31501
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.58159
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.61235
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.58273
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.61120
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.66358
  • Upside Potential Ratio
    7.90670
  • Upside part of mean
    3.29558
  • Downside part of mean
    -3.01899
  • Upside SD
    0.33571
  • Downside SD
    0.41681
  • N nonnegative terms
    139.00000
  • N negative terms
    90.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    229.00000
  • Mean of predictor
    0.24438
  • Mean of criterion
    0.27659
  • SD of predictor
    0.12682
  • SD of criterion
    0.53609
  • Covariance
    -0.00925
  • r
    -0.13601
  • b (slope, estimate of beta)
    -0.57497
  • a (intercept, estimate of alpha)
    0.41700
  • Mean Square Error
    0.28332
  • DF error
    227.00000
  • t(b)
    -2.06850
  • p(b)
    0.98014
  • t(a)
    0.72745
  • p(a)
    0.23385
  • Lowerbound of 95% confidence interval for beta
    -1.12269
  • Upperbound of 95% confidence interval for beta
    -0.02725
  • Lowerbound of 95% confidence interval for alpha
    -0.71272
  • Upperbound of 95% confidence interval for alpha
    1.54692
  • Treynor index (mean / b)
    -0.48104
  • Jensen alpha (a)
    0.41710
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12998
  • SD
    0.54598
  • Sharpe ratio (Glass type estimate)
    0.23806
  • Sharpe ratio (Hedges UMVUE)
    0.23728
  • df
    228.00000
  • t
    0.22256
  • p
    0.41204
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.85869
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33440
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.85927
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33382
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.29897
  • Upside Potential Ratio
    7.45372
  • Upside part of mean
    3.24051
  • Downside part of mean
    -3.11053
  • Upside SD
    0.32840
  • Downside SD
    0.43475
  • N nonnegative terms
    139.00000
  • N negative terms
    90.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    229.00000
  • Mean of predictor
    0.23624
  • Mean of criterion
    0.12998
  • SD of predictor
    0.12689
  • SD of criterion
    0.54598
  • Covariance
    -0.00933
  • r
    -0.13467
  • b (slope, estimate of beta)
    -0.57943
  • a (intercept, estimate of alpha)
    0.26686
  • Mean Square Error
    0.29398
  • DF error
    227.00000
  • t(b)
    -2.04761
  • p(b)
    0.97913
  • t(a)
    0.45711
  • p(a)
    0.32401
  • Lowerbound of 95% confidence interval for beta
    -1.13703
  • Upperbound of 95% confidence interval for beta
    -0.02183
  • Lowerbound of 95% confidence interval for alpha
    -0.88348
  • Upperbound of 95% confidence interval for alpha
    1.41720
  • Treynor index (mean / b)
    -0.22432
  • Jensen alpha (a)
    0.26686
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05350
  • Expected Shortfall on VaR
    0.06668
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02241
  • Expected Shortfall on VaR
    0.04736
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    229.00000
  • Minimum
    0.86870
  • Quartile 1
    0.98604
  • Median
    1.00590
  • Quartile 3
    1.01929
  • Maximum
    1.08047
  • Mean of quarter 1
    0.95820
  • Mean of quarter 2
    0.99784
  • Mean of quarter 3
    1.01275
  • Mean of quarter 4
    1.03661
  • Inter Quartile Range
    0.03325
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.04367
  • Mean of outliers low
    0.90443
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.00873
  • Mean of outliers high
    1.07599
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31672
  • VaR(95%) (moments method)
    0.04053
  • Expected Shortfall (moments method)
    0.07142
  • Extreme Value Index (regression method)
    0.07897
  • VaR(95%) (regression method)
    0.04378
  • Expected Shortfall (regression method)
    0.06509
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00065
  • Quartile 1
    0.00337
  • Median
    0.01364
  • Quartile 3
    0.02935
  • Maximum
    0.45403
  • Mean of quarter 1
    0.00157
  • Mean of quarter 2
    0.00721
  • Mean of quarter 3
    0.02705
  • Mean of quarter 4
    0.25787
  • 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
    2.00000
  • Percentage of outliers high
    0.18182
  • Mean of outliers high
    0.37203
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -59.60840
  • VaR(95%) (moments method)
    0.10492
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.66742
  • VaR(95%) (regression method)
    0.60187
  • Expected Shortfall (regression method)
    0.62810
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.16930
  • Compounded annual return (geometric extrapolation)
    0.17103
  • Calmar ratio (compounded annual return / max draw down)
    0.37669
  • Compounded annual return / average of 25% largest draw downs
    0.66323
  • Compounded annual return / Expected Shortfall lognormal
    2.56509
  • 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
    0.09415
  • SD
    0.64785
  • Sharpe ratio (Glass type estimate)
    0.14532
  • Sharpe ratio (Hedges UMVUE)
    0.14448
  • df
    130.00000
  • t
    0.10276
  • p
    0.49549
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.62679
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.91694
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.62738
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.91634
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.18404
  • Upside Potential Ratio
    7.98221
  • Upside part of mean
    4.08339
  • Downside part of mean
    -3.98925
  • Upside SD
    0.39350
  • Downside SD
    0.51156
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19895
  • Mean of criterion
    0.09415
  • SD of predictor
    0.13551
  • SD of criterion
    0.64785
  • Covariance
    -0.01740
  • r
    -0.19817
  • b (slope, estimate of beta)
    -0.94740
  • a (intercept, estimate of alpha)
    0.28263
  • Mean Square Error
    0.40636
  • DF error
    129.00000
  • t(b)
    -2.29628
  • p(b)
    0.62533
  • t(a)
    0.31222
  • p(a)
    0.48251
  • Lowerbound of 95% confidence interval for beta
    -1.76370
  • Upperbound of 95% confidence interval for beta
    -0.13110
  • Lowerbound of 95% confidence interval for alpha
    -1.50840
  • Upperbound of 95% confidence interval for alpha
    2.07366
  • Treynor index (mean / b)
    -0.09937
  • Jensen alpha (a)
    0.28263
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.11978
  • SD
    0.66127
  • Sharpe ratio (Glass type estimate)
    -0.18113
  • Sharpe ratio (Hedges UMVUE)
    -0.18008
  • df
    130.00000
  • t
    -0.12808
  • p
    0.50562
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.95278
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.59101
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.95197
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59181
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.22390
  • Upside Potential Ratio
    7.49211
  • Upside part of mean
    4.00790
  • Downside part of mean
    -4.12768
  • Upside SD
    0.38448
  • Downside SD
    0.53495
  • N nonnegative terms
    81.00000
  • N negative terms
    50.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18973
  • Mean of criterion
    -0.11978
  • SD of predictor
    0.13569
  • SD of criterion
    0.66127
  • Covariance
    -0.01750
  • r
    -0.19504
  • b (slope, estimate of beta)
    -0.95050
  • a (intercept, estimate of alpha)
    0.06057
  • Mean Square Error
    0.42390
  • DF error
    129.00000
  • t(b)
    -2.25857
  • p(b)
    0.62337
  • t(a)
    0.06553
  • p(a)
    0.49633
  • VAR (95 Confidence Intrvl)
    0.05400
  • Lowerbound of 95% confidence interval for beta
    -1.78315
  • Upperbound of 95% confidence interval for beta
    -0.11785
  • Lowerbound of 95% confidence interval for alpha
    -1.76803
  • Upperbound of 95% confidence interval for alpha
    1.88916
  • Treynor index (mean / b)
    0.12601
  • Jensen alpha (a)
    0.06057
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06542
  • Expected Shortfall on VaR
    0.08113
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02933
  • Expected Shortfall on VaR
    0.06027
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.86870
  • Quartile 1
    0.98064
  • Median
    1.01019
  • Quartile 3
    1.02493
  • Maximum
    1.08047
  • Mean of quarter 1
    0.94561
  • Mean of quarter 2
    0.99675
  • Mean of quarter 3
    1.01676
  • Mean of quarter 4
    1.04323
  • Inter Quartile Range
    0.04428
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.89341
  • 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)
    -0.01634
  • VaR(95%) (moments method)
    0.04792
  • Expected Shortfall (moments method)
    0.06509
  • Extreme Value Index (regression method)
    0.00456
  • VaR(95%) (regression method)
    0.05454
  • Expected Shortfall (regression method)
    0.07625
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00263
  • Quartile 1
    0.02082
  • Median
    0.10282
  • Quartile 3
    0.24758
  • Maximum
    0.45403
  • Mean of quarter 1
    0.00263
  • Mean of quarter 2
    0.02688
  • Mean of quarter 3
    0.17877
  • Mean of quarter 4
    0.45403
  • Inter Quartile Range
    0.22677
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -353744000
  • Max Equity Drawdown (num days)
    87
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.08979
  • Compounded annual return (geometric extrapolation)
    -0.08777
  • Calmar ratio (compounded annual return / max draw down)
    -0.19332
  • Compounded annual return / average of 25% largest draw downs
    -0.19332
  • Compounded annual return / Expected Shortfall lognormal
    -1.08188

Strategy Description

SP 500 Index Futures Strategy Description:

There is only one guarantee about the stock market...prices will fluctuate.

Every day global markets move up and down as stocks react to economic news, earnings reports, analyst ratings, monetary policy, geopolitics and world events.​​

While typical investment strategies only generate profits when stocks go up, our mission is to help traders build wealth regardless of market direction.

Our tactical long/short strategy identifies near-term market trends to capitalize on both rising and falling prices, enabling us to profit in bull and bear markets.

By design, our strategy is focused solely on Micro E-mini S&P 500 Index Futures (MES).

S&P 500 Index Futures offer an efficient and cost-effective way to gain market exposure to the S&P 500 Index, a broad-based, capitalization-weighted index that tracks 500 of the largest companies of the US economy.

We leverage the power of S&P 500 Index Futures to maximize the profit potential of each trade and the total return on investment (ROI). We believe futures trading offers unique advantages such as greater leverage, efficient markets, low commissions and tax benefits.

Unlike some Trade Leaders who trade multiple strategies or multiple asset classes, we keep things simple by trading one strategy and one asset class. Our singular focus allows us to remain disciplined in our approach and consistent in our performance.


Trading methodology:

Our strategy is discretionary, not automated. We enter trades and manage positions as we observe price action in real-time. Trades are executed as price reacts to specific support/resistance levels we have mapped out as part of our daily trade plan. We use several technical indicators to guide our exit/entry points as each trade develops.

The maximum number of MES contracts we will hold at any given time is 12. When we have strong conviction in a trade we will enter the position full-sized with 12 contracts, but we may also scale into a position (adding 4 or 6 contracts at a time) as we monitor price action in real-time.

Once we are fully sized (12 contracts) we will always have a stop loss in place. The stop loss will typically be 15-20 points away from our entry and will often be placed just above/below a key support/resistance level. The stop loss is wide enough to give our trade room to work while also exercising proper risk management. We may not have a stop loss in place initially if we are scaling into a position, but we will always have a stop loss in place on any positions held overnight, regardless of position size.

Regardless of position size, profit takes are managed where we typically take 75% profit at our first target. Our first profit target will usually be 5-10 points although this can vary based on volatility and price action. After our first profit target is achieved we will adjust our stop loss to ensure that we never go red once we’re in a winning trade. Once profitable we typically leave a 25% risk-free runner where we will lock-in more profits if price reaches our next target. If we are fully sized, we may leave a 10% risk-free runner which we let run indefinitely and we typically move our stop loss above/below the closest major swing high/low on the 15-minute chart.

If we have a large realized profit we will allow a little more latitude with our runners, especially if we are in a powerful trending market. We may add to our winning position (smaller size) while ensuring that we do not put any large realized profit at risk, or we may exit our runner manually before our stop loss triggers if our remaining runner has a large realized gain of 25 or 50+ points.

Since markets chop between support/resistance levels far more frequently than they trend in one direction, the vast majority of our trades will be completed at the first or second profit target before our stop loss is triggered and we exit the trade. Our goal is to aim for modest gains (think singles & doubles instead of home runs) and generate positive returns to consistently outperform the market.

On most days we will average 1-3 trades per day, but this is not a hard rule and we do not force trades if the set-ups we’re looking for are not present. We may execute more trades if market conditions present actionable opportunities, but on other days we may simply hold a runner or pass on the day entirely if market conditions are not ideal. While most of our trades are completed intra-day, we will occasionally hold positions overnight with a firm stop-loss in place. This is common if we have locked in a profitable trade and are holding a risk-free runner.

We rarely hold a full position heading into a major news event or economic data release such as FOMC, CPI, NFP, etc. Although we may hold a profitable runner heading into one of these events, we believe it is a best practice to trade the price action after these events, not before.

Like any trading strategy, drawdowns are a part of doing business. While our historical performance demonstrates the majority of our trades are profitable, we don’t always get it right. When a trade is moving against us and hits our stop loss, we will exit the trade for a loss, analyze what we learned and move on to the next opportunity. When the market doesn't present a clear advantage, we simply wait on the sidelines and remain in cash until the next opportunity presents itself.


About us:

As a former licensed broker with a major firm, we have more than 20 years of industry experience in the financial markets (both retail and institutional) trading a variety of asset classes including stocks, options and futures. Several years ago we branched out on our own to found TAG Capital, LLC - a small-family owned firm located outside of Raleigh, NC.

Our firm’s primary focus is equity research and analysis where we maintain a diversified equity portfolio as part of our core investment strategy. With our equity investments, we have a firm belief that the secret to building wealth is ‘time in the market’ as opposed to ‘timing the market’. Market timing is difficult and takes years of practice with a disciplined approach. Our market timing efforts are reserved solely for S&P 500 Index Futures where we trade the larger ES contract in our own account and also the smaller MES contract (through the C2 platform). The majority of our profits from trading S&P 500 Index Futures are funneled into our larger equity portfolio where we invest regularly through dollar-cost-averaging.

In addition to our passion for investing, we are equally passionate about delivering a positive customer experience. If you have any questions, please don’t hesitate to reach out through the Collective2 Message Center. We do our best to reply to messages in a timely manner, but as a general rule we typically don’t review messages between 8AM - 4PM EST during market hours to ensure we remain focused on price action and managing any open positions.

Tom G.
Founder/Chief Investment Officer
TAG Capital, LLC

Summary Statistics

Strategy began
2024-01-05
Suggested Minimum Capital
$25,000
Rank at C2 %
Top 5.8%
Rank # 
#335
# Trades
483
# Profitable
405
% Profitable
83.9%
Correlation S&P500
-0.138
Sharpe Ratio
0.07
Sortino Ratio
0.09
Beta
-0.67
Alpha
0.06
Leverage
9.68 Average
17.70 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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If you have simulations, they will be stopped.

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Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.