Collective2 Collective2
Featured Strategy Income Trades Followed by live capital $91,800 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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1 MNQ Trade Per Week
(145098140)

Created by: RobertSucher RobertSucher
Started: 07/2023
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 $90.00 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.
-6.9%
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.

(38.8%)
Max Drawdown
65
Num Trades
70.8%
Win Trades
0.9 : 1
Profit Factor
64.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                          +0.5%(2.8%)+1.1%+4.9%+5.4%+3.0%+12.4%
2024(1.8%)+11.6%+1.8%(34%)+11.5%+5.9%+9.8%(2.4%)(11.9%)+15.2%(14.9%)      (19.6%)

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 7 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 314 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/20/24 10:20 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 3 20489.25 11/21 9:34 20805.50 n/a $1,895
Includes Typical Broker Commissions trade costs of $2.82
11/11/24 9:44 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 12 20924.42 11/15 15:59 20505.00 25.5%
Trade id #150054345
Max drawdown($12,460)
Time11/15/24 13:58
Quant open12
Worst price20405.20
Drawdown as % of equity-25.50%
 ($10,077)
Includes Typical Broker Commissions trade costs of $11.28
11/5/24 9:30 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 4 20180.00 11/5 9:31 20203.00 0.34%
Trade id #149984935
Max drawdown($184)
Time11/5/24 9:31
Quant open4
Worst price20203.00
Drawdown as % of equity-0.34%
 ($188)
Includes Typical Broker Commissions trade costs of $3.76
11/4/24 12:06 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 4 20053.50 11/5 9:30 20152.75 0.37%
Trade id #149960875
Max drawdown($198)
Time11/4/24 12:09
Quant open4
Worst price20028.80
Drawdown as % of equity-0.37%
 $790
Includes Typical Broker Commissions trade costs of $3.76
10/28/24 9:48 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 4 20556.25 10/29 11:00 20605.75 1.9%
Trade id #149863238
Max drawdown($994)
Time10/29/24 9:35
Quant open4
Worst price20432.00
Drawdown as % of equity-1.90%
 $392
Includes Typical Broker Commissions trade costs of $3.76
10/21/24 11:08 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 4 20366.25 10/22 12:42 20428.00 0.32%
Trade id #149734023
Max drawdown($170)
Time10/21/24 11:27
Quant open4
Worst price20345.00
Drawdown as % of equity-0.32%
 $490
Includes Typical Broker Commissions trade costs of $3.76
10/15/24 10:30 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 12 20333.58 10/18 9:14 20534.58 6.46%
Trade id #149663075
Max drawdown($3,044)
Time10/16/24 0:00
Quant open8
Worst price20205.20
Drawdown as % of equity-6.46%
 $4,813
Includes Typical Broker Commissions trade costs of $11.28
10/7/24 14:30 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 8 20016.38 10/8 11:16 20117.12 2.39%
Trade id #149597336
Max drawdown($1,094)
Time10/7/24 15:42
Quant open8
Worst price19948.00
Drawdown as % of equity-2.39%
 $1,604
Includes Typical Broker Commissions trade costs of $7.52
9/30/24 14:19 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 3 20111.50 10/1 9:30 20256.25 0.72%
Trade id #149543399
Max drawdown($324)
Time9/30/24 14:24
Quant open3
Worst price20057.50
Drawdown as % of equity-0.72%
 $866
Includes Typical Broker Commissions trade costs of $2.82
9/16/24 9:33 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 4 19370.00 9/17 10:59 19529.25 1.28%
Trade id #149400669
Max drawdown($568)
Time9/16/24 10:35
Quant open4
Worst price19299.00
Drawdown as % of equity-1.28%
 $1,270
Includes Typical Broker Commissions trade costs of $3.76
9/9/24 10:33 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 4 18569.00 9/10 9:34 18768.50 1.36%
Trade id #149322784
Max drawdown($574)
Time9/9/24 11:13
Quant open4
Worst price18497.20
Drawdown as % of equity-1.36%
 $1,592
Includes Typical Broker Commissions trade costs of $3.76
9/3/24 9:34 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 15 19285.08 9/4 9:46 18952.00 32.66%
Trade id #149204902
Max drawdown($13,825)
Time9/3/24 21:19
Quant open15
Worst price18824.20
Drawdown as % of equity-32.66%
 ($10,007)
Includes Typical Broker Commissions trade costs of $14.10
8/26/24 10:01 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 8 19645.12 8/27 10:24 19592.50 6.29%
Trade id #149050587
Max drawdown($3,254)
Time8/27/24 9:45
Quant open8
Worst price19441.80
Drawdown as % of equity-6.29%
 ($850)
Includes Typical Broker Commissions trade costs of $7.52
8/12/24 9:49 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 4 18548.00 8/13 10:07 18911.00 0.38%
Trade id #148890765
Max drawdown($192)
Time8/12/24 9:58
Quant open4
Worst price18524.00
Drawdown as % of equity-0.38%
 $2,900
Includes Typical Broker Commissions trade costs of $3.76
7/29/24 11:00 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 7 18501.36 8/6 9:30 18422.86 9.29%
Trade id #148763824
Max drawdown($4,836)
Time8/6/24 5:40
Quant open5
Worst price18017.80
Drawdown as % of equity-9.29%
 ($1,106)
Includes Typical Broker Commissions trade costs of $6.58
7/22/24 11:16 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 4 19881.25 7/23 9:30 19958.50 1.13%
Trade id #148709887
Max drawdown($578)
Time7/22/24 11:33
Quant open4
Worst price19809.00
Drawdown as % of equity-1.13%
 $614
Includes Typical Broker Commissions trade costs of $3.76
7/15/24 15:50 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 4 20541.25 7/16 9:30 20652.00 0.55%
Trade id #148653921
Max drawdown($278)
Time7/15/24 15:53
Quant open4
Worst price20506.50
Drawdown as % of equity-0.55%
 $882
Includes Typical Broker Commissions trade costs of $3.76
7/11/24 11:23 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 8 20497.88 7/12 10:00 20565.75 3.89%
Trade id #148623396
Max drawdown($1,868)
Time7/12/24 8:30
Quant open4
Worst price20332.20
Drawdown as % of equity-3.89%
 $1,078
Includes Typical Broker Commissions trade costs of $7.52
7/1/24 9:46 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 4 19900.25 7/2 9:30 19953.25 0.97%
Trade id #148543797
Max drawdown($472)
Time7/1/24 9:50
Quant open4
Worst price19841.20
Drawdown as % of equity-0.97%
 $420
Includes Typical Broker Commissions trade costs of $3.76
6/24/24 10:48 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 4 19852.50 6/25 12:30 19910.00 2.13%
Trade id #148483583
Max drawdown($1,018)
Time6/25/24 4:02
Quant open4
Worst price19725.20
Drawdown as % of equity-2.13%
 $456
Includes Typical Broker Commissions trade costs of $3.76
6/3/24 10:10 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 8 18573.12 6/4 14:21 18709.50 4.87%
Trade id #148314846
Max drawdown($2,194)
Time6/3/24 13:11
Quant open8
Worst price18436.00
Drawdown as % of equity-4.87%
 $2,174
Includes Typical Broker Commissions trade costs of $7.52
5/28/24 9:45 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 16 18639.31 5/31 15:59 18592.75 31.35%
Trade id #148269430
Max drawdown($12,738)
Time5/31/24 12:23
Quant open16
Worst price18241.20
Drawdown as % of equity-31.35%
 ($1,505)
Includes Typical Broker Commissions trade costs of $15.04
4/29/24 9:42 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 12 17680.25 5/1 15:00 17758.75 16.55%
Trade id #148037132
Max drawdown($6,750)
Time5/1/24 12:01
Quant open12
Worst price17399.00
Drawdown as % of equity-16.55%
 $1,873
Includes Typical Broker Commissions trade costs of $11.28
4/22/24 10:21 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 4 17234.50 4/23 9:30 17433.50 1.55%
Trade id #147974812
Max drawdown($686)
Time4/22/24 11:15
Quant open4
Worst price17148.80
Drawdown as % of equity-1.55%
 $1,588
Includes Typical Broker Commissions trade costs of $3.76
4/15/24 9:34 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 15 18052.00 4/19 16:00 17435.00 40.85%
Trade id #147904071
Max drawdown($18,765)
Time4/19/24 15:46
Quant open10
Worst price17113.80
Drawdown as % of equity-40.85%
 ($18,524)
Includes Typical Broker Commissions trade costs of $14.10
4/8/24 9:35 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 4 18276.00 4/9 9:34 18365.00 0.49%
Trade id #147835428
Max drawdown($306)
Time4/8/24 9:40
Quant open4
Worst price18237.80
Drawdown as % of equity-0.49%
 $708
Includes Typical Broker Commissions trade costs of $3.76
4/1/24 11:16 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 22 18332.31 4/3 10:00 18322.55 3.83%
Trade id #147772852
Max drawdown($2,419)
Time4/2/24 0:00
Quant open5
Worst price18201.00
Drawdown as % of equity-3.83%
 ($451)
Includes Typical Broker Commissions trade costs of $20.68
3/27/24 10:02 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 4 18402.00 3/28 9:30 18492.75 0.3%
Trade id #147745231
Max drawdown($188)
Time3/27/24 10:12
Quant open4
Worst price18378.50
Drawdown as % of equity-0.30%
 $722
Includes Typical Broker Commissions trade costs of $3.76
3/19/24 9:30 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 4 18137.50 3/20 9:30 18296.00 1.11%
Trade id #147681891
Max drawdown($674)
Time3/19/24 9:44
Quant open4
Worst price18053.20
Drawdown as % of equity-1.11%
 $1,264
Includes Typical Broker Commissions trade costs of $3.76
3/5/24 9:37 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 5 18065.00 3/6 10:05 17988.75 3.88%
Trade id #147537407
Max drawdown($2,325)
Time3/5/24 15:32
Quant open5
Worst price17832.50
Drawdown as % of equity-3.88%
 ($768)
Includes Typical Broker Commissions trade costs of $4.70
Next

Statistics

  • Strategy began
    7/3/2023
  • Suggested Minimum Cap
    $45,000
  • Strategy Age (days)
    511.13
  • Age
    17 months ago
  • What it trades
    Futures
  • # Trades
    65
  • # Profitable
    46
  • % Profitable
    70.80%
  • Avg trade duration
    1.9 days
  • Max peak-to-valley drawdown
    38.81%
  • drawdown period
    April 01, 2024 - May 31, 2024
  • Annual Return (Compounded)
    -7.0%
  • Avg win
    $1,061
  • Avg loss
    $2,710
  • Model Account Values (Raw)
  • Cash
    $47,939
  • Margin Used
    $8,280
  • Buying Power
    $39,062
  • Ratios
  • W:L ratio
    0.95:1
  • Sharpe Ratio
    -0.07
  • Sortino Ratio
    -0.1
  • Calmar Ratio
    -0.109
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -43.63%
  • Correlation to SP500
    0.32950
  • Return Percent SP500 (cumu) during strategy life
    33.97%
  • Return Statistics
  • Ann Return (w trading costs)
    -7.0%
  • Slump
  • Current Slump as Pcnt Equity
    40.10%
  • Instruments
  • Percent Trades Futures
    0.99%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.47%
  • 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)
    -0.070%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -3.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    92.50%
  • Chance of 20% account loss
    64.50%
  • Chance of 30% account loss
    31.00%
  • Chance of 40% account loss
    15.00%
  • 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
    12.50%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    2.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    319
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    176
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,840
  • Avg Win
    $1,062
  • Sum Trade PL (losers)
    $51,126.000
  • Age
  • Num Months filled monthly returns table
    17
  • Win / Loss
  • Sum Trade PL (winners)
    $48,838.000
  • # Winners
    46
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    18
  • % Winners
    71.9%
  • Frequency
  • Avg Position Time (mins)
    2712.77
  • Avg Position Time (hrs)
    45.21
  • Avg Trade Length
    1.9 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    3.38
  • Daily leverage (max)
    14.85
  • Regression
  • Alpha
    -0.06
  • Beta
    0.94
  • Treynor Index
    -0.01
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.73
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.11
  • Avg(MAE) / Avg(PL) - All trades
    -19.232
  • 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
    0.26
  • Avg(MAE) / Avg(PL) - Winning trades
    0.748
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.668
  • Hold-and-Hope Ratio
    -0.048
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05584
  • SD
    0.25126
  • Sharpe ratio (Glass type estimate)
    -0.22223
  • Sharpe ratio (Hedges UMVUE)
    -0.20911
  • df
    13.00000
  • t
    -0.24003
  • p
    0.54226
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.03458
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.59853
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.02546
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.60724
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.28385
  • Upside Potential Ratio
    1.59782
  • Upside part of mean
    0.31432
  • Downside part of mean
    -0.37016
  • Upside SD
    0.14208
  • Downside SD
    0.19672
  • N nonnegative terms
    7.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.22356
  • Mean of criterion
    -0.05584
  • SD of predictor
    0.11171
  • SD of criterion
    0.25126
  • Covariance
    0.00326
  • r
    0.11612
  • b (slope, estimate of beta)
    0.26118
  • a (intercept, estimate of alpha)
    -0.11422
  • Mean Square Error
    0.06747
  • DF error
    12.00000
  • t(b)
    0.40498
  • p(b)
    0.44194
  • t(a)
    -0.40738
  • p(a)
    0.55840
  • Lowerbound of 95% confidence interval for beta
    -1.14395
  • Upperbound of 95% confidence interval for beta
    1.66630
  • Lowerbound of 95% confidence interval for alpha
    -0.72514
  • Upperbound of 95% confidence interval for alpha
    0.49669
  • Treynor index (mean / b)
    -0.21379
  • Jensen alpha (a)
    -0.11422
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.08632
  • SD
    0.25851
  • Sharpe ratio (Glass type estimate)
    -0.33392
  • Sharpe ratio (Hedges UMVUE)
    -0.31421
  • df
    13.00000
  • t
    -0.36067
  • p
    0.56326
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.14667
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.49137
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.13280
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.50438
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.41205
  • Upside Potential Ratio
    1.45108
  • Upside part of mean
    0.30398
  • Downside part of mean
    -0.39030
  • Upside SD
    0.13707
  • Downside SD
    0.20949
  • N nonnegative terms
    7.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.21526
  • Mean of criterion
    -0.08632
  • SD of predictor
    0.11200
  • SD of criterion
    0.25851
  • Covariance
    0.00280
  • r
    0.09660
  • b (slope, estimate of beta)
    0.22298
  • a (intercept, estimate of alpha)
    -0.13432
  • Mean Square Error
    0.07172
  • DF error
    12.00000
  • t(b)
    0.33621
  • p(b)
    0.45170
  • t(a)
    -0.46947
  • p(a)
    0.56715
  • Lowerbound of 95% confidence interval for beta
    -1.22201
  • Upperbound of 95% confidence interval for beta
    1.66796
  • Lowerbound of 95% confidence interval for alpha
    -0.75767
  • Upperbound of 95% confidence interval for alpha
    0.48904
  • Treynor index (mean / b)
    -0.38712
  • Jensen alpha (a)
    -0.13432
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12185
  • Expected Shortfall on VaR
    0.14849
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07173
  • Expected Shortfall on VaR
    0.13197
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.85095
  • Quartile 1
    0.95794
  • Median
    1.00443
  • Quartile 3
    1.05719
  • Maximum
    1.08503
  • Mean of quarter 1
    0.90366
  • Mean of quarter 2
    0.98993
  • Mean of quarter 3
    1.03060
  • Mean of quarter 4
    1.07280
  • Inter Quartile Range
    0.09925
  • 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)
    -2.61864
  • VaR(95%) (moments method)
    0.10178
  • Expected Shortfall (moments method)
    0.10263
  • Extreme Value Index (regression method)
    -0.66445
  • VaR(95%) (regression method)
    0.15102
  • Expected Shortfall (regression method)
    0.17080
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.01228
  • Quartile 1
    0.01543
  • Median
    0.01858
  • Quartile 3
    0.13295
  • Maximum
    0.24732
  • Mean of quarter 1
    0.01228
  • Mean of quarter 2
    0.01858
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.24732
  • Inter Quartile Range
    0.11752
  • 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)
    -0.05647
  • Compounded annual return (geometric extrapolation)
    -0.05674
  • Calmar ratio (compounded annual return / max draw down)
    -0.22942
  • Compounded annual return / average of 25% largest draw downs
    -0.22942
  • Compounded annual return / Expected Shortfall lognormal
    -0.38211
  • 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
    -0.00039
  • SD
    0.36183
  • Sharpe ratio (Glass type estimate)
    -0.00109
  • Sharpe ratio (Hedges UMVUE)
    -0.00108
  • df
    308.00000
  • t
    -0.00118
  • p
    0.50047
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.80585
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80368
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.80584
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80368
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.00151
  • Upside Potential Ratio
    4.91294
  • Upside part of mean
    1.27459
  • Downside part of mean
    -1.27499
  • Upside SD
    0.25138
  • Downside SD
    0.25944
  • N nonnegative terms
    117.00000
  • N negative terms
    192.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    309.00000
  • Mean of predictor
    0.22880
  • Mean of criterion
    -0.00039
  • SD of predictor
    0.13137
  • SD of criterion
    0.36183
  • Covariance
    0.01587
  • r
    0.33390
  • b (slope, estimate of beta)
    0.91966
  • a (intercept, estimate of alpha)
    -0.21100
  • Mean Square Error
    0.11671
  • DF error
    307.00000
  • t(b)
    6.20661
  • p(b)
    0.00000
  • t(a)
    -0.66631
  • p(a)
    0.74714
  • Lowerbound of 95% confidence interval for beta
    0.62809
  • Upperbound of 95% confidence interval for beta
    1.21122
  • Lowerbound of 95% confidence interval for alpha
    -0.83338
  • Upperbound of 95% confidence interval for alpha
    0.41175
  • Treynor index (mean / b)
    -0.00043
  • Jensen alpha (a)
    -0.21081
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.06562
  • SD
    0.36200
  • Sharpe ratio (Glass type estimate)
    -0.18126
  • Sharpe ratio (Hedges UMVUE)
    -0.18082
  • df
    308.00000
  • t
    -0.19685
  • p
    0.57796
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.98597
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.62366
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.98563
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.62400
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.24276
  • Upside Potential Ratio
    4.60530
  • Upside part of mean
    1.24477
  • Downside part of mean
    -1.31039
  • Upside SD
    0.23996
  • Downside SD
    0.27029
  • N nonnegative terms
    117.00000
  • N negative terms
    192.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    309.00000
  • Mean of predictor
    0.22008
  • Mean of criterion
    -0.06562
  • SD of predictor
    0.13139
  • SD of criterion
    0.36200
  • Covariance
    0.01603
  • r
    0.33711
  • b (slope, estimate of beta)
    0.92879
  • a (intercept, estimate of alpha)
    -0.27003
  • Mean Square Error
    0.11653
  • DF error
    307.00000
  • t(b)
    6.27385
  • p(b)
    0.00000
  • t(a)
    -0.85447
  • p(a)
    0.80324
  • Lowerbound of 95% confidence interval for beta
    0.63749
  • Upperbound of 95% confidence interval for beta
    1.22010
  • Lowerbound of 95% confidence interval for alpha
    -0.89187
  • Upperbound of 95% confidence interval for alpha
    0.35181
  • Treynor index (mean / b)
    -0.07065
  • Jensen alpha (a)
    -0.27003
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03636
  • Expected Shortfall on VaR
    0.04529
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01254
  • Expected Shortfall on VaR
    0.02764
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    309.00000
  • Minimum
    0.88315
  • Quartile 1
    0.99969
  • Median
    1.00000
  • Quartile 3
    1.00413
  • Maximum
    1.15939
  • Mean of quarter 1
    0.98099
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00116
  • Mean of quarter 4
    1.01852
  • Inter Quartile Range
    0.00444
  • Number outliers low
    43.00000
  • Percentage of outliers low
    0.13916
  • Mean of outliers low
    0.96769
  • Number of outliers high
    33.00000
  • Percentage of outliers high
    0.10680
  • Mean of outliers high
    1.03373
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.11460
  • VaR(95%) (moments method)
    0.00947
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.34480
  • VaR(95%) (regression method)
    0.01931
  • Expected Shortfall (regression method)
    0.04276
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00008
  • Quartile 1
    0.00130
  • Median
    0.00828
  • Quartile 3
    0.02220
  • Maximum
    0.34005
  • Mean of quarter 1
    0.00066
  • Mean of quarter 2
    0.00379
  • Mean of quarter 3
    0.01284
  • Mean of quarter 4
    0.11490
  • Inter Quartile Range
    0.02089
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    0.34005
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.92262
  • VaR(95%) (moments method)
    0.11836
  • Expected Shortfall (moments method)
    1.61748
  • Extreme Value Index (regression method)
    2.08940
  • VaR(95%) (regression method)
    0.19388
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.03688
  • Compounded annual return (geometric extrapolation)
    -0.03701
  • Calmar ratio (compounded annual return / max draw down)
    -0.10883
  • Compounded annual return / average of 25% largest draw downs
    -0.32208
  • Compounded annual return / Expected Shortfall lognormal
    -0.81712
  • 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
    -0.45098
  • SD
    0.52660
  • Sharpe ratio (Glass type estimate)
    -0.85641
  • Sharpe ratio (Hedges UMVUE)
    -0.85146
  • df
    130.00000
  • t
    -0.60557
  • p
    0.52652
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.62860
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91892
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.62520
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.92228
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.16004
  • Upside Potential Ratio
    5.04264
  • Upside part of mean
    1.96041
  • Downside part of mean
    -2.41139
  • Upside SD
    0.35330
  • Downside SD
    0.38877
  • N nonnegative terms
    48.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24336
  • Mean of criterion
    -0.45098
  • SD of predictor
    0.14944
  • SD of criterion
    0.52660
  • Covariance
    0.02826
  • r
    0.35911
  • b (slope, estimate of beta)
    1.26545
  • a (intercept, estimate of alpha)
    -0.75894
  • Mean Square Error
    0.24342
  • DF error
    129.00000
  • t(b)
    4.37019
  • p(b)
    0.27640
  • t(a)
    -1.08222
  • p(a)
    0.56030
  • Lowerbound of 95% confidence interval for beta
    0.69254
  • Upperbound of 95% confidence interval for beta
    1.83837
  • Lowerbound of 95% confidence interval for alpha
    -2.14645
  • Upperbound of 95% confidence interval for alpha
    0.62856
  • Treynor index (mean / b)
    -0.35638
  • Jensen alpha (a)
    -0.75894
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.58924
  • SD
    0.52748
  • Sharpe ratio (Glass type estimate)
    -1.11709
  • Sharpe ratio (Hedges UMVUE)
    -1.11063
  • df
    130.00000
  • t
    -0.78990
  • p
    0.53456
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.89017
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66010
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.88572
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66446
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.45249
  • Upside Potential Ratio
    4.68808
  • Upside part of mean
    1.90186
  • Downside part of mean
    -2.49110
  • Upside SD
    0.33595
  • Downside SD
    0.40568
  • N nonnegative terms
    48.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23214
  • Mean of criterion
    -0.58924
  • SD of predictor
    0.14954
  • SD of criterion
    0.52748
  • Covariance
    0.02879
  • r
    0.36493
  • b (slope, estimate of beta)
    1.28724
  • a (intercept, estimate of alpha)
    -0.88806
  • Mean Square Error
    0.24305
  • DF error
    129.00000
  • t(b)
    4.45180
  • p(b)
    0.27294
  • t(a)
    -1.26787
  • p(a)
    0.57048
  • VAR (95 Confidence Intrvl)
    0.03600
  • Lowerbound of 95% confidence interval for beta
    0.71515
  • Upperbound of 95% confidence interval for beta
    1.85933
  • Lowerbound of 95% confidence interval for alpha
    -2.27389
  • Upperbound of 95% confidence interval for alpha
    0.49777
  • Treynor index (mean / b)
    -0.45776
  • Jensen alpha (a)
    -0.88806
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05432
  • Expected Shortfall on VaR
    0.06704
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02425
  • Expected Shortfall on VaR
    0.05058
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.88315
  • Quartile 1
    0.99750
  • Median
    1.00000
  • Quartile 3
    1.00570
  • Maximum
    1.15939
  • Mean of quarter 1
    0.96399
  • Mean of quarter 2
    0.99974
  • Mean of quarter 3
    1.00153
  • Mean of quarter 4
    1.02838
  • Inter Quartile Range
    0.00821
  • Number outliers low
    23.00000
  • Percentage of outliers low
    0.17557
  • Mean of outliers low
    0.95085
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.11450
  • Mean of outliers high
    1.04946
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52739
  • VaR(95%) (moments method)
    0.01705
  • Expected Shortfall (moments method)
    0.04540
  • Extreme Value Index (regression method)
    0.01077
  • VaR(95%) (regression method)
    0.03263
  • Expected Shortfall (regression method)
    0.05163
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00008
  • Quartile 1
    0.08507
  • Median
    0.17006
  • Quartile 3
    0.25506
  • Maximum
    0.34005
  • Mean of quarter 1
    0.00008
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.34005
  • Inter Quartile Range
    0.16998
  • 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?
    -370656000
  • Max Equity Drawdown (num days)
    60
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.48944
  • Compounded annual return (geometric extrapolation)
    -0.42955
  • Calmar ratio (compounded annual return / max draw down)
    -1.26321
  • Compounded annual return / average of 25% largest draw downs
    -1.26321
  • Compounded annual return / Expected Shortfall lognormal
    -6.40719

Strategy Description

This system is an adaptation to WealthLab's sample strategy "One Percent a Week" that targets TQQQ. I adapted the strategy to use the MNQ (or NQ) futures contract, which provides similar results but with even more leverage and allows the strategy to be traded by European residents, who are barred from trading U.S. ETFs.

The strategy trades one long position each week using a limit order after the U.S. stock market's open. Open orders are cancelled at the end of the stock market session so that they do not execute in the overnight session. Because of this, the system often benefits from overnight gap openings - but as you know, gaps can work against you too!

If the day's closing profit is sufficiently negative, the strategy will attempt only to break even for the week. Update 2023-12-05: While the break even condition is still true, I modified and tested the strategy to use more of the allocated capital by pyramiding additional positions in a falling market. The exit point may be modified as positions are added. The backtested result exhibits a significantly better outcome over time with a minimal increase in the max drawdown.

Any position still open at the end of the week will be exited on Friday's U.S. stock market session close (1600 ET).

The system does not use stops, so manage your risk and exposure using an appropriate number of MNQ contracts.

Summary Statistics

Strategy began
2023-07-03
Suggested Minimum Capital
$45,000
# Trades
65
# Profitable
46
% Profitable
70.8%
Correlation S&P500
0.330
Sharpe Ratio
-0.07
Sortino Ratio
-0.10
Beta
0.94
Alpha
-0.06
Leverage
3.38 Average
14.85 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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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.