Collective2 Collective2
Featured Strategy MT3 Algotrading Followed by live capital $3.31 million Hypothetical

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

TPS2
(148563155)

Created by: TPS TPS
Started: 07/2024
Futures
Last trade: Today
Trading style: Futures Commodities Financials / Indexes

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $210.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Futures
Commodities
Category: Equity

Commodities

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

Financials / Indexes

Focuses on market indexes or interest rates futures.
56.2%
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.

(38.7%)
Max Drawdown
104
Num Trades
79.8%
Win Trades
2.0 : 1
Profit Factor
66.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                                          +26.2%(25%)+44.0%+14.1%+4.0%(3.4%)+56.1%

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.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/20/24 7:07 @QMH5 MINY CRUDE OIL LONG 1 68.275 12/20 7:37 68.525 n/a $117
Includes Typical Broker Commissions trade costs of $8.00
12/18/24 9:37 @SH5 SOYBEANS LONG 2 960 2/4 12/19 12:41 962 2/4 2.64%
Trade id #150352304
Max drawdown($1,100)
Time12/19/24 0:00
Quant open1
Worst price947
Drawdown as % of equity-2.64%
 $172
Includes Typical Broker Commissions trade costs of $16.00
12/19/24 8:33 @MNQH5 MICRO E-MINI NASDAQ 100 SHORT 1 21639.50 12/19 10:29 21500.50 0.28%
Trade id #150362676
Max drawdown($117)
Time12/19/24 9:32
Quant open1
Worst price21698.00
Drawdown as % of equity-0.28%
 $277
Includes Typical Broker Commissions trade costs of $0.94
12/11/24 16:00 @MNQH5 MICRO E-MINI NASDAQ 100 SHORT 9 22143.56 12/18 15:33 21843.19 10.76%
Trade id #150304310
Max drawdown($3,130)
Time12/17/24 0:00
Quant open5
Worst price22426.50
Drawdown as % of equity-10.76%
 $5,399
Includes Typical Broker Commissions trade costs of $8.46
12/1/24 18:05 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 7 21303.50 12/18 15:03 21557.36 19.68%
Trade id #150217773
Max drawdown($6,792)
Time12/16/24 0:00
Quant open4
Worst price22152.50
Drawdown as % of equity-19.68%
 ($3,561)
Includes Typical Broker Commissions trade costs of $6.58
12/11/24 8:00 QMCLH5 MICRO CRUDE OIL SHORT 3 69.66 12/17 10:23 68.72 0.55%
Trade id #150297988
Max drawdown($189)
Time12/16/24 0:00
Quant open2
Worst price70.43
Drawdown as % of equity-0.55%
 $278
Includes Typical Broker Commissions trade costs of $4.50
12/4/24 8:16 @SH5 SOYBEANS LONG 1 992 2/4 12/6 8:09 1000 3/4 0.73%
Trade id #150240128
Max drawdown($275)
Time12/4/24 10:29
Quant open1
Worst price987
Drawdown as % of equity-0.73%
 $405
Includes Typical Broker Commissions trade costs of $8.00
12/2/24 10:26 @SH5 SOYBEANS LONG 1 992 1/4 12/3 7:11 998 2/4 0.99%
Trade id #150222045
Max drawdown($387)
Time12/2/24 11:03
Quant open1
Worst price984 2/4
Drawdown as % of equity-0.99%
 $305
Includes Typical Broker Commissions trade costs of $8.00
11/29/24 5:53 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 1 20898.25 11/29 8:46 20817.50 n/a $161
Includes Typical Broker Commissions trade costs of $0.94
11/21/24 14:10 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 7 20894.82 11/27 10:15 20851.93 4.02%
Trade id #150146177
Max drawdown($1,564)
Time11/25/24 0:00
Quant open3
Worst price21081.20
Drawdown as % of equity-4.02%
 $594
Includes Typical Broker Commissions trade costs of $6.58
11/21/24 13:38 @SF5 SOYBEANS LONG 1 981 2/4 11/22 8:40 983 3/4 0.79%
Trade id #150145840
Max drawdown($312)
Time11/22/24 4:17
Quant open1
Worst price975 1/4
Drawdown as % of equity-0.79%
 $105
Includes Typical Broker Commissions trade costs of $8.00
11/21/24 9:33 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 1 20835.00 11/21 9:38 20673.00 n/a $323
Includes Typical Broker Commissions trade costs of $0.94
11/20/24 21:09 @SH5 SOYBEANS LONG 1 1002 1/4 11/21 9:34 993 2/4 1.16%
Trade id #150138292
Max drawdown($462)
Time11/21/24 9:34
Quant open1
Worst price993
Drawdown as % of equity-1.16%
 ($446)
Includes Typical Broker Commissions trade costs of $8.00
11/20/24 12:14 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 1 20633.25 11/20 13:42 20570.00 0.13%
Trade id #150134553
Max drawdown($51)
Time11/20/24 12:51
Quant open1
Worst price20659.00
Drawdown as % of equity-0.13%
 $126
Includes Typical Broker Commissions trade costs of $0.94
11/20/24 11:20 @SH5 SOYBEANS LONG 1 999 2/4 11/20 12:49 1003 3/4 0.28%
Trade id #150133125
Max drawdown($112)
Time11/20/24 12:01
Quant open1
Worst price997 1/4
Drawdown as % of equity-0.28%
 $205
Includes Typical Broker Commissions trade costs of $8.00
11/20/24 9:58 @SH5 SOYBEANS LONG 1 1002 1/4 11/20 11:04 995 1/4 0.92%
Trade id #150131690
Max drawdown($362)
Time11/20/24 11:04
Quant open1
Worst price995
Drawdown as % of equity-0.92%
 ($358)
Includes Typical Broker Commissions trade costs of $8.00
11/19/24 12:22 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 2 20716.75 11/20 10:06 20636.25 1.29%
Trade id #150124512
Max drawdown($507)
Time11/20/24 3:22
Quant open2
Worst price20843.50
Drawdown as % of equity-1.29%
 $320
Includes Typical Broker Commissions trade costs of $1.88
11/18/24 9:29 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 2 20616.38 11/19 6:30 20573.12 0.81%
Trade id #150109883
Max drawdown($321)
Time11/18/24 11:40
Quant open1
Worst price20724.50
Drawdown as % of equity-0.81%
 $171
Includes Typical Broker Commissions trade costs of $1.88
11/17/24 19:57 QMCLF5 MICRO CRUDE OIL LONG 1 66.97 11/18 5:00 67.55 0.18%
Trade id #150107349
Max drawdown($70)
Time11/18/24 0:00
Quant open1
Worst price66.27
Drawdown as % of equity-0.18%
 $57
Includes Typical Broker Commissions trade costs of $1.50
11/17/24 18:04 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 1 20522.25 11/17 19:13 20585.00 n/a $125
Includes Typical Broker Commissions trade costs of $0.94
11/5/24 10:29 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 9 20933.42 11/15 9:37 20881.17 16.74%
Trade id #149986453
Max drawdown($5,519)
Time11/11/24 0:00
Quant open5
Worst price21340.50
Drawdown as % of equity-16.74%
 $933
Includes Typical Broker Commissions trade costs of $8.46
11/13/24 10:26 QMCLF5 MICRO CRUDE OIL LONG 1 67.50 11/14 8:01 68.81 0.05%
Trade id #150075507
Max drawdown($18)
Time11/13/24 10:38
Quant open1
Worst price67.32
Drawdown as % of equity-0.05%
 $130
Includes Typical Broker Commissions trade costs of $1.50
10/30/24 21:19 QMCLF5 MICRO CRUDE OIL SHORT 4 69.65 11/6 8:12 69.56 1.3%
Trade id #149911873
Max drawdown($507)
Time11/5/24 0:00
Quant open2
Worst price72.18
Drawdown as % of equity-1.30%
 $27
Includes Typical Broker Commissions trade costs of $6.00
11/4/24 11:31 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 1 20159.25 11/4 11:46 20091.50 n/a $135
Includes Typical Broker Commissions trade costs of $0.94
11/1/24 9:04 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 2 20154.12 11/4 9:36 20092.12 1.05%
Trade id #149928487
Max drawdown($399)
Time11/1/24 12:13
Quant open2
Worst price20254.00
Drawdown as % of equity-1.05%
 $246
Includes Typical Broker Commissions trade costs of $1.88
10/28/24 8:07 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 7 20635.61 10/30 16:11 20552.86 2.57%
Trade id #149861889
Max drawdown($976)
Time10/29/24 0:00
Quant open3
Worst price20760.20
Drawdown as % of equity-2.57%
 $1,152
Includes Typical Broker Commissions trade costs of $6.58
10/24/24 14:00 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 5 20481.40 10/28 8:06 20577.60 3.85%
Trade id #149821190
Max drawdown($1,421)
Time10/28/24 6:02
Quant open3
Worst price20676.80
Drawdown as % of equity-3.85%
 ($967)
Includes Typical Broker Commissions trade costs of $4.70
10/24/24 8:52 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 1 20392.75 10/24 11:48 20281.25 0.07%
Trade id #149816372
Max drawdown($27)
Time10/24/24 8:55
Quant open1
Worst price20406.20
Drawdown as % of equity-0.07%
 $222
Includes Typical Broker Commissions trade costs of $0.94
10/24/24 6:22 QMCLF5 MICRO CRUDE OIL SHORT 2 71.72 10/24 7:10 70.96 n/a $149
Includes Typical Broker Commissions trade costs of $3.00
10/16/24 15:31 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 5 20459.25 10/23 11:33 20359.85 2.31%
Trade id #149676964
Max drawdown($856)
Time10/22/24 0:00
Quant open3
Worst price20602.00
Drawdown as % of equity-2.31%
 $989
Includes Typical Broker Commissions trade costs of $4.70
Next

Statistics

  • Strategy began
    7/3/2024
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    176.23
  • Age
    176 days ago
  • What it trades
    Futures
  • # Trades
    104
  • # Profitable
    83
  • % Profitable
    79.80%
  • Avg trade duration
    4.2 days
  • Max peak-to-valley drawdown
    38.71%
  • drawdown period
    Aug 07, 2024 - Aug 20, 2024
  • Cumul. Return
    56.1%
  • Avg win
    $405.94
  • Avg loss
    $794.43
  • Model Account Values (Raw)
  • Cash
    $37,833
  • Margin Used
    $14,705
  • Buying Power
    $15,523
  • Ratios
  • W:L ratio
    2.04:1
  • Sharpe Ratio
    1.35
  • Sortino Ratio
    2.58
  • Calmar Ratio
    5.859
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    47.01%
  • Correlation to SP500
    -0.41540
  • Return Percent SP500 (cumu) during strategy life
    8.98%
  • Return Statistics
  • Ann Return (w trading costs)
    147.3%
  • Slump
  • Current Slump as Pcnt Equity
    11.20%
  • Instruments
  • Percent Trades Futures
    0.90%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.561%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.10%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    176.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    72.00%
  • Chance of 20% account loss
    43.00%
  • Chance of 30% account loss
    22.00%
  • Chance of 40% account loss
    9.00%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • 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
    1.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    571
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    931
  • Popularity (7 days, Percentile 1000 scale)
    396
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $851
  • Avg Win
    $406
  • Sum Trade PL (losers)
    $17,868.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $33,693.000
  • # Winners
    83
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    150
  • Win / Loss
  • # Losers
    21
  • % Winners
    79.8%
  • Frequency
  • Avg Position Time (mins)
    6074.68
  • Avg Position Time (hrs)
    101.25
  • Avg Trade Length
    4.2 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    6.46
  • Daily leverage (max)
    20.02
  • Regression
  • Alpha
    0.48
  • Beta
    -2.40
  • Treynor Index
    -0.15
  • 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)
    1.19
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    5.572
  • 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
    0.09
  • Avg(MAE) / Avg(PL) - Winning trades
    1.599
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.667
  • Hold-and-Hope Ratio
    0.179
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.52418
  • SD
    0.71555
  • Sharpe ratio (Glass type estimate)
    2.13008
  • Sharpe ratio (Hedges UMVUE)
    1.69956
  • df
    4.00000
  • t
    1.37496
  • p
    0.12057
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.32626
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.38151
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.55720
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.95632
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.83785
  • Upside Potential Ratio
    9.38704
  • Upside part of mean
    1.82544
  • Downside part of mean
    -0.30126
  • Upside SD
    0.75192
  • Downside SD
    0.19446
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.19227
  • Mean of criterion
    1.52418
  • SD of predictor
    0.11983
  • SD of criterion
    0.71555
  • Covariance
    -0.05573
  • r
    -0.64996
  • b (slope, estimate of beta)
    -3.88110
  • a (intercept, estimate of alpha)
    2.27038
  • Mean Square Error
    0.39429
  • DF error
    3.00000
  • t(b)
    -1.48132
  • p(b)
    0.88244
  • t(a)
    2.07253
  • p(a)
    0.06496
  • Lowerbound of 95% confidence interval for beta
    -12.21920
  • Upperbound of 95% confidence interval for beta
    4.45700
  • Lowerbound of 95% confidence interval for alpha
    -1.21588
  • Upperbound of 95% confidence interval for alpha
    5.75664
  • Treynor index (mean / b)
    -0.39272
  • Jensen alpha (a)
    2.27038
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.26992
  • SD
    0.63744
  • Sharpe ratio (Glass type estimate)
    1.99223
  • Sharpe ratio (Hedges UMVUE)
    1.58957
  • df
    4.00000
  • t
    1.28598
  • p
    0.13392
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42193
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.20970
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.64041
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.81955
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.12658
  • Upside Potential Ratio
    7.67577
  • Upside part of mean
    1.59104
  • Downside part of mean
    -0.32112
  • Upside SD
    0.64536
  • Downside SD
    0.20728
  • N nonnegative terms
    4.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.18469
  • Mean of criterion
    1.26992
  • SD of predictor
    0.11885
  • SD of criterion
    0.63744
  • Covariance
    -0.04768
  • r
    -0.62943
  • b (slope, estimate of beta)
    -3.37604
  • a (intercept, estimate of alpha)
    1.89344
  • Mean Square Error
    0.32713
  • DF error
    3.00000
  • t(b)
    -1.40300
  • p(b)
    0.87240
  • t(a)
    1.91011
  • p(a)
    0.07605
  • Lowerbound of 95% confidence interval for beta
    -11.03400
  • Upperbound of 95% confidence interval for beta
    4.28189
  • Lowerbound of 95% confidence interval for alpha
    -1.26123
  • Upperbound of 95% confidence interval for alpha
    5.04812
  • Treynor index (mean / b)
    -0.37616
  • Jensen alpha (a)
    1.89344
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17868
  • Expected Shortfall on VaR
    0.23775
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02853
  • Expected Shortfall on VaR
    0.07075
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.87680
  • Quartile 1
    1.02932
  • Median
    1.06364
  • Quartile 3
    1.28797
  • Maximum
    1.38898
  • Mean of quarter 1
    0.95306
  • Mean of quarter 2
    1.06364
  • Mean of quarter 3
    1.28797
  • Mean of quarter 4
    1.38898
  • Inter Quartile Range
    0.25865
  • 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)
    0.00000
  • 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
    0.12320
  • Quartile 1
    0.12320
  • Median
    0.12320
  • Quartile 3
    0.12320
  • Maximum
    0.12320
  • 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)
    1.72156
  • Compounded annual return (geometric extrapolation)
    2.66134
  • Calmar ratio (compounded annual return / max draw down)
    21.60220
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    11.19400
  • 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
    1.42052
  • SD
    0.81526
  • Sharpe ratio (Glass type estimate)
    1.74241
  • Sharpe ratio (Hedges UMVUE)
    1.73185
  • df
    124.00000
  • t
    1.20352
  • p
    0.44627
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.10684
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.58481
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11387
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.57757
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.27042
  • Upside Potential Ratio
    11.14730
  • Upside part of mean
    4.84185
  • Downside part of mean
    -3.42133
  • Upside SD
    0.69165
  • Downside SD
    0.43435
  • N nonnegative terms
    65.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    125.00000
  • Mean of predictor
    0.16590
  • Mean of criterion
    1.42052
  • SD of predictor
    0.14516
  • SD of criterion
    0.81526
  • Covariance
    -0.04713
  • r
    -0.39823
  • b (slope, estimate of beta)
    -2.23658
  • a (intercept, estimate of alpha)
    1.79200
  • Mean Square Error
    0.56379
  • DF error
    123.00000
  • t(b)
    -4.81486
  • p(b)
    0.74665
  • t(a)
    1.64397
  • p(a)
    0.40699
  • Lowerbound of 95% confidence interval for beta
    -3.15607
  • Upperbound of 95% confidence interval for beta
    -1.31710
  • Lowerbound of 95% confidence interval for alpha
    -0.36560
  • Upperbound of 95% confidence interval for alpha
    3.94876
  • Treynor index (mean / b)
    -0.63513
  • Jensen alpha (a)
    1.79158
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.10346
  • SD
    0.78709
  • Sharpe ratio (Glass type estimate)
    1.40193
  • Sharpe ratio (Hedges UMVUE)
    1.39344
  • df
    124.00000
  • t
    0.96835
  • p
    0.45668
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.44376
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.24206
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.44941
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.23628
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.44340
  • Upside Potential Ratio
    10.23850
  • Upside part of mean
    4.62377
  • Downside part of mean
    -3.52031
  • Upside SD
    0.64441
  • Downside SD
    0.45161
  • N nonnegative terms
    65.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    125.00000
  • Mean of predictor
    0.15535
  • Mean of criterion
    1.10346
  • SD of predictor
    0.14552
  • SD of criterion
    0.78709
  • Covariance
    -0.04568
  • r
    -0.39887
  • b (slope, estimate of beta)
    -2.15748
  • a (intercept, estimate of alpha)
    1.43863
  • Mean Square Error
    0.52519
  • DF error
    123.00000
  • t(b)
    -4.82397
  • p(b)
    0.74702
  • t(a)
    1.36818
  • p(a)
    0.42225
  • Lowerbound of 95% confidence interval for beta
    -3.04276
  • Upperbound of 95% confidence interval for beta
    -1.27219
  • Lowerbound of 95% confidence interval for alpha
    -0.64273
  • Upperbound of 95% confidence interval for alpha
    3.51999
  • Treynor index (mean / b)
    -0.51146
  • Jensen alpha (a)
    1.43863
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07297
  • Expected Shortfall on VaR
    0.09147
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02931
  • Expected Shortfall on VaR
    0.05780
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    125.00000
  • Minimum
    0.88549
  • Quartile 1
    0.98361
  • Median
    1.00082
  • Quartile 3
    1.02060
  • Maximum
    1.21296
  • Mean of quarter 1
    0.95515
  • Mean of quarter 2
    0.99391
  • Mean of quarter 3
    1.01083
  • Mean of quarter 4
    1.06386
  • Inter Quartile Range
    0.03699
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03200
  • Mean of outliers low
    0.90081
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06400
  • Mean of outliers high
    1.14955
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21569
  • VaR(95%) (moments method)
    0.04343
  • Expected Shortfall (moments method)
    0.06889
  • Extreme Value Index (regression method)
    -0.07598
  • VaR(95%) (regression method)
    0.04566
  • Expected Shortfall (regression method)
    0.06138
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00517
  • Median
    0.04889
  • Quartile 3
    0.10260
  • Maximum
    0.35838
  • Mean of quarter 1
    0.00310
  • Mean of quarter 2
    0.02499
  • Mean of quarter 3
    0.07467
  • Mean of quarter 4
    0.24122
  • Inter Quartile Range
    0.09743
  • 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
    0.13333
  • Mean of outliers high
    0.30627
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -5.94720
  • VaR(95%) (moments method)
    0.24168
  • Expected Shortfall (moments method)
    0.24171
  • Extreme Value Index (regression method)
    -0.73599
  • VaR(95%) (regression method)
    0.33378
  • Expected Shortfall (regression method)
    0.37214
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.49993
  • Compounded annual return (geometric extrapolation)
    2.09988
  • Calmar ratio (compounded annual return / max draw down)
    5.85935
  • Compounded annual return / average of 25% largest draw downs
    8.70515
  • Compounded annual return / Expected Shortfall lognormal
    22.95640
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.07300
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -399888000
  • Max Equity Drawdown (num days)
    13

Strategy Description

TP$2 is a technical trading strategy and trades small Futures positions (mini contracts mostly). The Futures trades can be both day trades and overnight position trades for a few days. The nature of Futures trading requires that we state this strategy should be considered as a higher risk strategy, but with goal potential to generate 100% + yearly ROI. $25k is the maximum required capital to trade the TP$2 strategy. $25K capital investment in TP$2 should be a small % of your overall investment portfolio.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2024-07-03
Suggested Minimum Capital
$40,000
Rank at C2 %
Top 6.9%
Rank # 
#156
# Trades
104
# Profitable
83
% Profitable
79.8%
Net Dividends
$149
Correlation S&P500
-0.415
Sharpe Ratio
1.35
Sortino Ratio
2.58
Beta
-2.40
Alpha
0.48
Leverage
6.46 Average
20.02 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.