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Featured Strategy Easiest Rank on Leaderboard #7 Hypothetical

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NORTH WEST FUTURES
(142948745)

Created by: IrfanShaikh IrfanShaikh
Started: 12/2022
Stocks, Futures
Last trade: 378 days ago
Trading style: Equity Trend-following Momentum

Subscriptions not available

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

Subscription terms. You can subscribe to this system for free.

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: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
7.4%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(11.9%)
Max Drawdown
40
Num Trades
52.5%
Win Trades
1.6 : 1
Profit Factor
68.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                             +1.6%+1.6%
2023+6.9%+0.6%+2.6%(8.9%)+3.1%+0.9%+1.9%(4.3%)+2.9%(2%)  -  
2024+4.3%+1.4%(1%)(6.2%)                                                +8.2%

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

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/12/23 13:04 PATH2319E17.5 PATH May19'23 17.5 call SHORT 16 0.76 4/14 9:40 0.77 0.06%
Trade id #144273139
Max drawdown($64)
Time4/12/23 13:12
Quant open16
Worst price0.80
Drawdown as % of equity-0.06%
 ($38)
Includes Typical Broker Commissions trade costs of $22.40
3/30/23 9:37 BABA ALIBABA GROUP HOLDING LIMITED LONG 583 102.68 4/12 10:34 95.11 4.14%
Trade id #144114010
Max drawdown($4,462)
Time4/12/23 10:34
Quant open583
Worst price95.03
Drawdown as % of equity-4.14%
 ($4,422)
Includes Typical Broker Commissions trade costs of $8.33
3/21/23 15:55 TSLA TESLA INC. LONG 100 197.75 3/28 11:45 188.84 0.99%
Trade id #143986168
Max drawdown($1,059)
Time3/24/23 0:00
Quant open100
Worst price187.15
Drawdown as % of equity-0.99%
 ($893)
Includes Typical Broker Commissions trade costs of $2.00
3/24/23 9:46 BABA ALIBABA GROUP HOLDING LIMITED LONG 435 87.03 3/28 9:34 94.56 0.54%
Trade id #144024621
Max drawdown($568)
Time3/24/23 12:41
Quant open400
Worst price85.63
Drawdown as % of equity-0.54%
 $3,263
Includes Typical Broker Commissions trade costs of $8.70
3/20/23 11:05 ADBE ADOBE INC LONG 100 361.60 3/22 11:21 371.03 0.1%
Trade id #143966810
Max drawdown($110)
Time3/20/23 12:12
Quant open100
Worst price360.50
Drawdown as % of equity-0.10%
 $941
Includes Typical Broker Commissions trade costs of $2.00
3/16/23 9:31 @MNQM3 MICRO E-MINI NASDAQ 100 SHORT 4 12334.16 3/16 10:53 12504.66 1.3%
Trade id #143925645
Max drawdown($1,428)
Time3/16/23 10:53
Quant open4
Worst price12512.80
Drawdown as % of equity-1.30%
 ($1,368)
Includes Typical Broker Commissions trade costs of $3.76
3/14/23 10:02 TSLA TESLA INC. LONG 280 180.63 3/16 9:30 181.15 1.17%
Trade id #143894320
Max drawdown($1,287)
Time3/15/23 0:00
Quant open280
Worst price176.03
Drawdown as % of equity-1.17%
 $139
Includes Typical Broker Commissions trade costs of $5.60
3/14/23 11:08 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 4 12316.39 3/16 8:05 12408.65 1.62%
Trade id #143895906
Max drawdown($1,785)
Time3/15/23 0:00
Quant open4
Worst price12093.20
Drawdown as % of equity-1.62%
 $734
Includes Typical Broker Commissions trade costs of $3.76
3/14/23 9:45 @MNQM3 MICRO E-MINI NASDAQ 100 LONG 4 12266.91 3/14 9:58 12262.76 0.25%
Trade id #143893841
Max drawdown($271)
Time3/14/23 9:56
Quant open4
Worst price12233.00
Drawdown as % of equity-0.25%
 ($37)
Includes Typical Broker Commissions trade costs of $3.76
3/14/23 5:30 @MNQM3 MICRO E-MINI NASDAQ 100 SHORT 4 12100.67 3/14 9:40 12266.61 1.24%
Trade id #143888505
Max drawdown($1,364)
Time3/14/23 9:40
Quant open4
Worst price12271.20
Drawdown as % of equity-1.24%
 ($1,332)
Includes Typical Broker Commissions trade costs of $3.76
3/13/23 12:04 @MNQM3 MICRO E-MINI NASDAQ 100 SHORT 4 12147.71 3/13 16:12 12068.71 0.49%
Trade id #143880266
Max drawdown($538)
Time3/13/23 14:34
Quant open4
Worst price12215.00
Drawdown as % of equity-0.49%
 $628
Includes Typical Broker Commissions trade costs of $3.76
3/10/23 5:42 @MNQH3 MICRO E-MINI NASDAQ 100 SHORT 4 11999.75 3/10 10:25 11928.17 0.82%
Trade id #143839344
Max drawdown($898)
Time3/10/23 8:31
Quant open4
Worst price12112.00
Drawdown as % of equity-0.82%
 $569
Includes Typical Broker Commissions trade costs of $3.76
3/7/23 10:08 @MNQH3 MICRO E-MINI NASDAQ 100 SHORT 4 12204.12 3/9 5:58 12158.00 0.84%
Trade id #143799554
Max drawdown($919)
Time3/7/23 10:37
Quant open4
Worst price12319.00
Drawdown as % of equity-0.84%
 $365
Includes Typical Broker Commissions trade costs of $3.76
3/6/23 11:08 AMZN AMAZON.COM LONG 350 96.22 3/7 10:54 93.57 1.11%
Trade id #143787477
Max drawdown($1,202)
Time3/7/23 10:11
Quant open350
Worst price92.78
Drawdown as % of equity-1.11%
 ($934)
Includes Typical Broker Commissions trade costs of $7.00
3/3/23 9:33 INTC INTEL LONG 1,910 26.09 3/6 10:54 26.30 0.08%
Trade id #143765457
Max drawdown($90)
Time3/3/23 9:38
Quant open1,910
Worst price26.04
Drawdown as % of equity-0.08%
 $401
Includes Typical Broker Commissions trade costs of $5.00
2/21/23 11:11 @MNQH3 MICRO E-MINI NASDAQ 100 SHORT 4 12170.50 2/22 6:48 12075.81 0.13%
Trade id #143649362
Max drawdown($136)
Time2/21/23 11:15
Quant open4
Worst price12187.50
Drawdown as % of equity-0.13%
 $754
Includes Typical Broker Commissions trade costs of $3.76
2/14/23 6:14 @MNQH3 MICRO E-MINI NASDAQ 100 LONG 4 12589.00 2/14 8:40 12493.75 0.94%
Trade id #143571357
Max drawdown($1,032)
Time2/14/23 8:30
Quant open4
Worst price12460.00
Drawdown as % of equity-0.94%
 ($766)
Includes Typical Broker Commissions trade costs of $3.76
2/14/23 4:16 @MNQH3 MICRO E-MINI NASDAQ 100 SHORT 4 12535.00 2/14 6:14 12588.75 0.46%
Trade id #143570700
Max drawdown($508)
Time2/14/23 6:05
Quant open4
Worst price12598.50
Drawdown as % of equity-0.46%
 ($434)
Includes Typical Broker Commissions trade costs of $3.76
2/13/23 10:00 @MNQH3 MICRO E-MINI NASDAQ 100 LONG 4 12470.00 2/13 14:08 12547.19 0.4%
Trade id #143560182
Max drawdown($432)
Time2/13/23 10:13
Quant open4
Worst price12416.00
Drawdown as % of equity-0.40%
 $614
Includes Typical Broker Commissions trade costs of $3.76
2/13/23 8:18 @MNQH3 MICRO E-MINI NASDAQ 100 SHORT 4 12404.00 2/13 10:00 12467.25 0.5%
Trade id #143557941
Max drawdown($552)
Time2/13/23 10:00
Quant open4
Worst price12473.00
Drawdown as % of equity-0.50%
 ($510)
Includes Typical Broker Commissions trade costs of $3.76
2/9/23 14:13 @MNQH3 MICRO E-MINI NASDAQ 100 SHORT 4 12486.00 2/10 13:24 12361.25 0.08%
Trade id #143529384
Max drawdown($82)
Time2/9/23 14:16
Quant open4
Worst price12496.20
Drawdown as % of equity-0.08%
 $994
Includes Typical Broker Commissions trade costs of $3.76
1/26/23 9:30 TSLA TESLA INC. LONG 300 160.71 1/27 10:30 165.64 1.66%
Trade id #143348820
Max drawdown($1,784)
Time1/26/23 10:01
Quant open300
Worst price154.76
Drawdown as % of equity-1.66%
 $1,473
Includes Typical Broker Commissions trade costs of $6.00
1/26/23 6:05 @MNQH3 MICRO E-MINI NASDAQ 100 SHORT 4 11950.06 1/26 9:31 12045.50 0.82%
Trade id #143346834
Max drawdown($877)
Time1/26/23 9:31
Quant open4
Worst price12059.80
Drawdown as % of equity-0.82%
 ($768)
Includes Typical Broker Commissions trade costs of $3.76
1/25/23 6:36 QCLH3 CRUDE OIL SHORT 1 80.29 1/25 10:23 79.92 0.26%
Trade id #143329690
Max drawdown($280)
Time1/25/23 9:22
Quant open1
Worst price80.57
Drawdown as % of equity-0.26%
 $362
Includes Typical Broker Commissions trade costs of $8.00
1/24/23 15:33 @YMH3 MINI DOW SHORT 2 33809 1/25 6:17 33667 0.92%
Trade id #143324694
Max drawdown($970)
Time1/24/23 16:01
Quant open2
Worst price33906
Drawdown as % of equity-0.92%
 $1,404
Includes Typical Broker Commissions trade costs of $16.00
1/23/23 10:29 @YMH3 MINI DOW LONG 2 33673 1/23 11:26 33804 0.04%
Trade id #143303520
Max drawdown($45)
Time1/23/23 10:33
Quant open1
Worst price33658
Drawdown as % of equity-0.04%
 $1,294
Includes Typical Broker Commissions trade costs of $16.00
1/23/23 9:40 @YMH3 MINI DOW SHORT 1 33439 1/23 10:27 33654 1.11%
Trade id #143300710
Max drawdown($1,160)
Time1/23/23 10:25
Quant open1
Worst price33671
Drawdown as % of equity-1.11%
 ($1,083)
Includes Typical Broker Commissions trade costs of $8.00
1/23/23 9:30 @YMH3 MINI DOW LONG 1 33550 1/23 9:40 33439 0.7%
Trade id #143299786
Max drawdown($740)
Time1/23/23 9:39
Quant open1
Worst price33402
Drawdown as % of equity-0.70%
 ($563)
Includes Typical Broker Commissions trade costs of $8.00
1/17/23 11:07 TSLA TESLA INC. LONG 600 128.08 1/18 9:36 135.75 0.38%
Trade id #143239487
Max drawdown($391)
Time1/17/23 11:14
Quant open600
Worst price127.43
Drawdown as % of equity-0.38%
 $4,596
Includes Typical Broker Commissions trade costs of $5.00
1/17/23 10:15 QNGG3 Natural Gas LONG 1 3.742 1/17 10:27 3.710 0.35%
Trade id #143238635
Max drawdown($360)
Time1/17/23 10:26
Quant open1
Worst price3.706
Drawdown as % of equity-0.35%
 ($328)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    12/21/2022
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    486.72
  • Age
    16 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    40
  • # Profitable
    21
  • % Profitable
    52.50%
  • Avg trade duration
    11.3 days
  • Max peak-to-valley drawdown
    11.88%
  • drawdown period
    March 31, 2023 - May 04, 2023
  • Annual Return (Compounded)
    7.4%
  • Avg win
    $1,284
  • Avg loss
    $872.74
  • Model Account Values (Raw)
  • Cash
    $93,374
  • Margin Used
    $0
  • Buying Power
    $96,098
  • Ratios
  • W:L ratio
    1.63:1
  • Sharpe Ratio
    0.31
  • Sortino Ratio
    0.47
  • Calmar Ratio
    2.315
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -18.08%
  • Correlation to SP500
    0.33780
  • Return Percent SP500 (cumu) during strategy life
    31.50%
  • Return Statistics
  • Ann Return (w trading costs)
    7.4%
  • Slump
  • Current Slump as Pcnt Equity
    12.30%
  • Instruments
  • Percent Trades Futures
    0.63%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.12%
  • 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)
    0.074%
  • Instruments
  • Percent Trades Options
    0.05%
  • Percent Trades Stocks
    0.33%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    7.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    8.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $873
  • Avg Win
    $1,284
  • Sum Trade PL (losers)
    $16,582.000
  • Age
  • Num Months filled monthly returns table
    17
  • Win / Loss
  • Sum Trade PL (winners)
    $26,974.000
  • # Winners
    21
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    19
  • % Winners
    52.5%
  • Frequency
  • Avg Position Time (mins)
    16320.40
  • Avg Position Time (hrs)
    272.01
  • Avg Trade Length
    11.3 days
  • Last Trade Ago
    372
  • Leverage
  • Daily leverage (average)
    0.92
  • Daily leverage (max)
    3.21
  • Regression
  • Alpha
    -0.00
  • Beta
    0.36
  • Treynor Index
    0.04
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.13
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    5.750
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.822
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.133
  • Hold-and-Hope Ratio
    0.182
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28263
  • SD
    0.13607
  • Sharpe ratio (Glass type estimate)
    2.07709
  • Sharpe ratio (Hedges UMVUE)
    1.74631
  • df
    5.00000
  • t
    1.46873
  • p
    0.10092
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04670
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.03614
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.22932
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.72195
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.51398
  • Upside Potential Ratio
    7.26763
  • Upside part of mean
    0.37251
  • Downside part of mean
    -0.08989
  • Upside SD
    0.13949
  • Downside SD
    0.05126
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.61272
  • Mean of criterion
    0.28263
  • SD of predictor
    0.29614
  • SD of criterion
    0.13607
  • Covariance
    0.01415
  • r
    0.35119
  • b (slope, estimate of beta)
    0.16136
  • a (intercept, estimate of alpha)
    0.18376
  • Mean Square Error
    0.02029
  • DF error
    4.00000
  • t(b)
    0.75017
  • p(b)
    0.24743
  • t(a)
    0.76335
  • p(a)
    0.24390
  • Lowerbound of 95% confidence interval for beta
    -0.43598
  • Upperbound of 95% confidence interval for beta
    0.75871
  • Lowerbound of 95% confidence interval for alpha
    -0.48474
  • Upperbound of 95% confidence interval for alpha
    0.85225
  • Treynor index (mean / b)
    1.75150
  • Jensen alpha (a)
    0.18376
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27129
  • SD
    0.13382
  • Sharpe ratio (Glass type estimate)
    2.02722
  • Sharpe ratio (Hedges UMVUE)
    1.70438
  • df
    5.00000
  • t
    1.43346
  • p
    0.10559
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.08308
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.97533
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.26190
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.67067
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.21758
  • Upside Potential Ratio
    6.96800
  • Upside part of mean
    0.36231
  • Downside part of mean
    -0.09101
  • Upside SD
    0.13548
  • Downside SD
    0.05200
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.56553
  • Mean of criterion
    0.27129
  • SD of predictor
    0.26675
  • SD of criterion
    0.13382
  • Covariance
    0.01247
  • r
    0.34928
  • b (slope, estimate of beta)
    0.17523
  • a (intercept, estimate of alpha)
    0.17220
  • Mean Square Error
    0.01966
  • DF error
    4.00000
  • t(b)
    0.74552
  • p(b)
    0.24869
  • t(a)
    0.72138
  • p(a)
    0.25529
  • Lowerbound of 95% confidence interval for beta
    -0.47748
  • Upperbound of 95% confidence interval for beta
    0.82794
  • Lowerbound of 95% confidence interval for alpha
    -0.49068
  • Upperbound of 95% confidence interval for alpha
    0.83507
  • Treynor index (mean / b)
    1.54822
  • Jensen alpha (a)
    0.17220
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04011
  • Expected Shortfall on VaR
    0.05538
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01325
  • Expected Shortfall on VaR
    0.02720
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.96753
  • Quartile 1
    0.99965
  • Median
    1.03787
  • Quartile 3
    1.05395
  • Maximum
    1.06580
  • Mean of quarter 1
    0.97986
  • Mean of quarter 2
    1.02204
  • Mean of quarter 3
    1.05369
  • Mean of quarter 4
    1.05992
  • Inter Quartile Range
    0.05430
  • 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
    0.04003
  • Quartile 1
    0.04003
  • Median
    0.04003
  • Quartile 3
    0.04003
  • Maximum
    0.04003
  • 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)
    0.32274
  • Compounded annual return (geometric extrapolation)
    0.34878
  • Calmar ratio (compounded annual return / max draw down)
    8.71237
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    6.29750
  • 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
    0.23100
  • SD
    0.25163
  • Sharpe ratio (Glass type estimate)
    0.91800
  • Sharpe ratio (Hedges UMVUE)
    0.91278
  • df
    132.00000
  • t
    0.65406
  • p
    0.47158
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.83678
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.66946
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.84031
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.66587
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.56019
  • Upside Potential Ratio
    8.45357
  • Upside part of mean
    1.25164
  • Downside part of mean
    -1.02064
  • Upside SD
    0.20280
  • Downside SD
    0.14806
  • N nonnegative terms
    52.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    133.00000
  • Mean of predictor
    0.54406
  • Mean of criterion
    0.23100
  • SD of predictor
    0.21629
  • SD of criterion
    0.25163
  • Covariance
    0.02508
  • r
    0.46085
  • b (slope, estimate of beta)
    0.53617
  • a (intercept, estimate of alpha)
    -0.06100
  • Mean Square Error
    0.05025
  • DF error
    131.00000
  • t(b)
    5.94348
  • p(b)
    0.21736
  • t(a)
    -0.19065
  • p(a)
    0.51060
  • Lowerbound of 95% confidence interval for beta
    0.35771
  • Upperbound of 95% confidence interval for beta
    0.71464
  • Lowerbound of 95% confidence interval for alpha
    -0.69066
  • Upperbound of 95% confidence interval for alpha
    0.56924
  • Treynor index (mean / b)
    0.43083
  • Jensen alpha (a)
    -0.06071
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19993
  • SD
    0.24895
  • Sharpe ratio (Glass type estimate)
    0.80308
  • Sharpe ratio (Hedges UMVUE)
    0.79851
  • df
    132.00000
  • t
    0.57218
  • p
    0.47513
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.95094
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.55425
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.95406
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.55108
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.32683
  • Upside Potential Ratio
    8.17406
  • Upside part of mean
    1.23167
  • Downside part of mean
    -1.03175
  • Upside SD
    0.19738
  • Downside SD
    0.15068
  • N nonnegative terms
    52.00000
  • N negative terms
    81.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    133.00000
  • Mean of predictor
    0.52050
  • Mean of criterion
    0.19993
  • SD of predictor
    0.21463
  • SD of criterion
    0.24895
  • Covariance
    0.02430
  • r
    0.45486
  • b (slope, estimate of beta)
    0.52759
  • a (intercept, estimate of alpha)
    -0.07468
  • Mean Square Error
    0.04953
  • DF error
    131.00000
  • t(b)
    5.84582
  • p(b)
    0.22075
  • t(a)
    -0.23643
  • p(a)
    0.51315
  • Lowerbound of 95% confidence interval for beta
    0.34905
  • Upperbound of 95% confidence interval for beta
    0.70613
  • Lowerbound of 95% confidence interval for alpha
    -0.69955
  • Upperbound of 95% confidence interval for alpha
    0.55019
  • Treynor index (mean / b)
    0.37894
  • Jensen alpha (a)
    -0.07468
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02424
  • Expected Shortfall on VaR
    0.03047
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01006
  • Expected Shortfall on VaR
    0.02037
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    133.00000
  • Minimum
    0.94599
  • Quartile 1
    0.99525
  • Median
    1.00000
  • Quartile 3
    1.00503
  • Maximum
    1.07626
  • Mean of quarter 1
    0.98642
  • Mean of quarter 2
    0.99855
  • Mean of quarter 3
    1.00166
  • Mean of quarter 4
    1.01777
  • Inter Quartile Range
    0.00978
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04511
  • Mean of outliers low
    0.96469
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06015
  • Mean of outliers high
    1.04232
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52606
  • VaR(95%) (moments method)
    0.01456
  • Expected Shortfall (moments method)
    0.03369
  • Extreme Value Index (regression method)
    0.50578
  • VaR(95%) (regression method)
    0.01449
  • Expected Shortfall (regression method)
    0.03229
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00579
  • Quartile 1
    0.01046
  • Median
    0.01288
  • Quartile 3
    0.03055
  • Maximum
    0.11053
  • Mean of quarter 1
    0.00747
  • Mean of quarter 2
    0.01211
  • Mean of quarter 3
    0.02656
  • Mean of quarter 4
    0.09676
  • Inter Quartile Range
    0.02009
  • 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
    0.22222
  • Mean of outliers high
    0.09676
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -30.12920
  • VaR(95%) (moments method)
    0.06661
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.92839
  • VaR(95%) (regression method)
    0.14565
  • Expected Shortfall (regression method)
    0.14812
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24153
  • Compounded annual return (geometric extrapolation)
    0.25588
  • Calmar ratio (compounded annual return / max draw down)
    2.31498
  • Compounded annual return / average of 25% largest draw downs
    2.64457
  • Compounded annual return / Expected Shortfall lognormal
    8.39721
  • 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
    0.24081
  • SD
    0.25343
  • Sharpe ratio (Glass type estimate)
    0.95019
  • Sharpe ratio (Hedges UMVUE)
    0.94470
  • df
    130.00000
  • t
    0.67189
  • p
    0.47059
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.82583
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.72259
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.82948
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.71888
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.61582
  • Upside Potential Ratio
    8.50447
  • Upside part of mean
    1.26744
  • Downside part of mean
    -1.02663
  • Upside SD
    0.20432
  • Downside SD
    0.14903
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.56996
  • Mean of criterion
    0.24081
  • SD of predictor
    0.21659
  • SD of criterion
    0.25343
  • Covariance
    0.02553
  • r
    0.46519
  • b (slope, estimate of beta)
    0.54432
  • a (intercept, estimate of alpha)
    -0.06943
  • Mean Square Error
    0.05072
  • DF error
    129.00000
  • t(b)
    5.96871
  • p(b)
    0.21491
  • t(a)
    -0.21515
  • p(a)
    0.51206
  • Lowerbound of 95% confidence interval for beta
    0.36389
  • Upperbound of 95% confidence interval for beta
    0.72475
  • Lowerbound of 95% confidence interval for alpha
    -0.70791
  • Upperbound of 95% confidence interval for alpha
    0.56905
  • Treynor index (mean / b)
    0.44240
  • Jensen alpha (a)
    -0.06943
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20928
  • SD
    0.25073
  • Sharpe ratio (Glass type estimate)
    0.83470
  • Sharpe ratio (Hedges UMVUE)
    0.82988
  • df
    130.00000
  • t
    0.59022
  • p
    0.47415
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.94053
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.60680
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.94376
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.60352
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.37983
  • Upside Potential Ratio
    8.22270
  • Upside part of mean
    1.24717
  • Downside part of mean
    -1.03789
  • Upside SD
    0.19887
  • Downside SD
    0.15168
  • N nonnegative terms
    51.00000
  • N negative terms
    80.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.54628
  • Mean of criterion
    0.20928
  • SD of predictor
    0.21491
  • SD of criterion
    0.25073
  • Covariance
    0.02475
  • r
    0.45931
  • b (slope, estimate of beta)
    0.53587
  • a (intercept, estimate of alpha)
    -0.08345
  • Mean Square Error
    0.04999
  • DF error
    129.00000
  • t(b)
    5.87282
  • p(b)
    0.21823
  • t(a)
    -0.26070
  • p(a)
    0.51461
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    0.35534
  • Upperbound of 95% confidence interval for beta
    0.71640
  • Lowerbound of 95% confidence interval for alpha
    -0.71676
  • Upperbound of 95% confidence interval for alpha
    0.54987
  • Treynor index (mean / b)
    0.39055
  • Jensen alpha (a)
    -0.08345
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02438
  • Expected Shortfall on VaR
    0.03066
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01014
  • Expected Shortfall on VaR
    0.02052
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.94599
  • Quartile 1
    0.99516
  • Median
    1.00000
  • Quartile 3
    1.00533
  • Maximum
    1.07626
  • Mean of quarter 1
    0.98615
  • Mean of quarter 2
    0.99855
  • Mean of quarter 3
    1.00166
  • Mean of quarter 4
    1.01777
  • Inter Quartile Range
    0.01016
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.96469
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.04980
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52539
  • VaR(95%) (moments method)
    0.01480
  • Expected Shortfall (moments method)
    0.03415
  • Extreme Value Index (regression method)
    0.52286
  • VaR(95%) (regression method)
    0.01456
  • Expected Shortfall (regression method)
    0.03311
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00579
  • Quartile 1
    0.00668
  • Median
    0.01288
  • Quartile 3
    0.03055
  • Maximum
    0.11053
  • Mean of quarter 1
    0.00620
  • Mean of quarter 2
    0.01167
  • Mean of quarter 3
    0.02656
  • Mean of quarter 4
    0.09676
  • Inter Quartile Range
    0.02387
  • 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
    0.22222
  • Mean of outliers high
    0.09676
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -30.12920
  • VaR(95%) (moments method)
    0.06661
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.92839
  • VaR(95%) (regression method)
    0.14565
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.14812
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -539909000
  • Max Equity Drawdown (num days)
    34
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25183
  • Compounded annual return (geometric extrapolation)
    0.26768
  • Calmar ratio (compounded annual return / max draw down)
    2.42181
  • Compounded annual return / average of 25% largest draw downs
    2.76660
  • Compounded annual return / Expected Shortfall lognormal
    8.73169

Strategy Description

We use extensive analysis (both financial and technical analysis) before taking a trade. All trades are executed according to the trading plan (all TP, SL, and exit strategies are pre-determined). The positions are monitored for any market shifts and changes in momentum, and then trades are closed or opened depending on the market substances.
The minimum account balance recommendation is $30000 to start with this strategy.
However, no short selling of stocks, but this strategy makes trade in futures (for example, micro and e Mini index & other top traded futures, NG and CL Futures).

PLEASE READ: To let any new subscribers try my strategy, I am lowering the strategy Fees to ZERO until the End of March 2023. After that period the Fees will go back to $149, as by then, you will have tried and tested our strategy.

FOR INVESTORS, PLEASE READ: To Help with Scaling purposes. Please see below the trade sizes for the most traded products in this strategy. Please see the details below and scale accordingly.
FUTURES:
MNQ: 4 Lots
MYM: 4 Lots
CL: 2 Lots
NG: 2 Lots

STOCKS (BUYING ONLY, NO SHORT SELLING IN THIS STRATEGY) EXAMPLES:
TESLA: Equivalent of $50000 investment in each trade (Please scale accordingly)
NVDA: Equivalent of $50000 Investment in each trade (Please scale accordingly)

Summary Statistics

Strategy began
2022-12-21
Suggested Minimum Capital
$100,000
# Trades
40
# Profitable
21
% Profitable
52.5%
Correlation S&P500
0.338
Sharpe Ratio
0.31
Sortino Ratio
0.47
Beta
0.36
Alpha
-0.00
Leverage
0.92 Average
3.21 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.