Collective2 Collective2
Featured Strategy SK Trader +34.6% Annual Return (Compounded) since Apr 3, 2024 Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

Got it
Watchlist Watchlist
This is an archived track record. This track record was archived on 1/18/24 9:58 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
Watchlist Watchlist More...

wwwKESHAVinfo Futures
(146190221)

Created by: KeshavAgrawal_CA_CPA KeshavAgrawal_CA_CPA
Started: 10/2023
Futures
Last trade: 509 days ago
Trading style: Futures 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. Subscriptions to this system cost $150.00 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
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).
18.6%
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.

(12.0%)
Max Drawdown
366
Num Trades
59.6%
Win Trades
1.7 : 1
Profit Factor
10.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                               +2.6%(3.1%)+30.8%+30.1%
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2025  -    -    -    -    -                                            0.0

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

System developer has asked us to delay this information by 168 hours.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/7/23 13:57 INTC INTEL LONG 100 42.08 12/19 11:13 46.08 0.05%
Trade id #146638057
Max drawdown($27)
Time12/8/23 0:00
Quant open100
Worst price41.81
Drawdown as % of equity-0.05%
 $398
Includes Typical Broker Commissions trade costs of $2.00
12/7/23 13:59 HD HOME DEPOT LONG 30 326.85 12/19 11:13 351.80 0.11%
Trade id #146638073
Max drawdown($53)
Time12/8/23 0:00
Quant open30
Worst price325.06
Drawdown as % of equity-0.11%
 $748
Includes Typical Broker Commissions trade costs of $0.60
12/6/23 12:02 QCLF4 CRUDE OIL LONG 1 69.41 12/19 11:13 73.56 3.3%
Trade id #146627941
Max drawdown($1,700)
Time12/13/23 0:00
Quant open1
Worst price67.71
Drawdown as % of equity-3.30%
 $4,142
Includes Typical Broker Commissions trade costs of $8.00
12/4/23 11:59 @RRF4 Rough Rice SHORT 1 17.040 12/19 11:12 17.375 1.22%
Trade id #146607387
Max drawdown($780)
Time12/19/23 9:50
Quant open1
Worst price17.430
Drawdown as % of equity-1.22%
 ($678)
Includes Typical Broker Commissions trade costs of $8.00
12/3/23 18:00 @QGG4 MINY NATURAL GAS LONG 1 2.685 12/19 11:12 2.320 2.38%
Trade id #146601011
Max drawdown($1,225)
Time12/13/23 0:00
Quant open1
Worst price2.195
Drawdown as % of equity-2.38%
 ($921)
Includes Typical Broker Commissions trade costs of $8.00
12/4/23 14:50 QMGCZ3 E-Micro Gold LONG 8 2029.9 12/18 13:37 2031.2 3.86%
Trade id #146608736
Max drawdown($2,086)
Time12/12/23 0:00
Quant open4
Worst price1977.7
Drawdown as % of equity-3.86%
 $106
Includes Typical Broker Commissions trade costs of $5.60
12/6/23 9:30 QMCLF4 MICRO CRUDE OIL LONG 3 70.64 12/18 13:36 72.36 1.71%
Trade id #146624386
Max drawdown($879)
Time12/13/23 0:00
Quant open3
Worst price67.71
Drawdown as % of equity-1.71%
 $512
Includes Typical Broker Commissions trade costs of $4.50
12/6/23 12:06 @YMZ3 MINI DOW LONG 1 36209 12/15 13:34 37202 2.02%
Trade id #146627979
Max drawdown($1,015)
Time12/8/23 0:00
Quant open1
Worst price36006
Drawdown as % of equity-2.02%
 $4,957
Includes Typical Broker Commissions trade costs of $8.00
12/6/23 10:46 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 5 15924.75 12/15 13:34 16583.25 2.83%
Trade id #146626177
Max drawdown($1,335)
Time12/7/23 0:00
Quant open5
Worst price15791.20
Drawdown as % of equity-2.83%
 $6,580
Includes Typical Broker Commissions trade costs of $4.70
12/6/23 11:47 @ESZ3 E-MINI S&P 500 LONG 1 4571.75 12/6 12:00 4574.75 0.12%
Trade id #146627683
Max drawdown($62)
Time12/6/23 11:50
Quant open1
Worst price4570.50
Drawdown as % of equity-0.12%
 $142
Includes Typical Broker Commissions trade costs of $8.00
12/6/23 11:27 QCLF4 CRUDE OIL LONG 1 69.60 12/6 11:57 69.32 0.57%
Trade id #146626752
Max drawdown($290)
Time12/6/23 11:57
Quant open1
Worst price69.31
Drawdown as % of equity-0.57%
 ($288)
Includes Typical Broker Commissions trade costs of $8.00
12/6/23 10:48 @USZ3 US T-BOND LONG 1 120 18/32 12/6 11:27 120 6/32 0.55%
Trade id #146626222
Max drawdown($281)
Time12/6/23 11:19
Quant open1
Worst price120 9/32
Drawdown as % of equity-0.55%
 ($383)
Includes Typical Broker Commissions trade costs of $8.00
12/6/23 10:49 @UBZ3 ULTRA US TREASURY BOND LONG 1 128.31250 12/6 10:54 128.00000 0.61%
Trade id #146626233
Max drawdown($313)
Time12/6/23 10:54
Quant open1
Worst price128.00000
Drawdown as % of equity-0.61%
 ($321)
Includes Typical Broker Commissions trade costs of $8.00
12/6/23 9:31 QCLF4 CRUDE OIL LONG 1 70.67 12/6 10:47 70.19 0.98%
Trade id #146624427
Max drawdown($500)
Time12/6/23 10:47
Quant open1
Worst price70.17
Drawdown as % of equity-0.98%
 ($488)
Includes Typical Broker Commissions trade costs of $8.00
12/5/23 14:57 QMCLF4 MICRO CRUDE OIL LONG 3 72.56 12/6 0:01 72.27 0.33%
Trade id #146619121
Max drawdown($168)
Time12/5/23 16:35
Quant open3
Worst price72.00
Drawdown as % of equity-0.33%
 ($92)
Includes Typical Broker Commissions trade costs of $4.50
12/5/23 10:02 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 6 15902.12 12/5 15:44 15888.25 0.94%
Trade id #146614545
Max drawdown($478)
Time12/5/23 14:38
Quant open6
Worst price15862.20
Drawdown as % of equity-0.94%
 ($173)
Includes Typical Broker Commissions trade costs of $5.64
12/5/23 10:02 @MESZ3 MICRO E-MINI S&P 500 LONG 5 4577.00 12/5 15:44 4571.75 0.74%
Trade id #146614557
Max drawdown($381)
Time12/5/23 12:46
Quant open5
Worst price4561.75
Drawdown as % of equity-0.74%
 ($136)
Includes Typical Broker Commissions trade costs of $4.70
12/5/23 15:24 @YMZ3 MINI DOW LONG 1 36211 12/5 15:44 36190 0.21%
Trade id #146619467
Max drawdown($105)
Time12/5/23 15:44
Quant open1
Worst price36190
Drawdown as % of equity-0.21%
 ($113)
Includes Typical Broker Commissions trade costs of $8.00
12/5/23 14:59 @ESZ3 E-MINI S&P 500 SHORT 1 4575.75 12/5 15:08 4575.75 0.12%
Trade id #146619148
Max drawdown($62)
Time12/5/23 15:02
Quant open1
Worst price4577.00
Drawdown as % of equity-0.12%
 ($8)
Includes Typical Broker Commissions trade costs of $8.00
12/5/23 14:09 @ESZ3 E-MINI S&P 500 SHORT 1 4571.75 12/5 14:38 4570.00 0.47%
Trade id #146618628
Max drawdown($237)
Time12/5/23 14:19
Quant open1
Worst price4576.50
Drawdown as % of equity-0.47%
 $80
Includes Typical Broker Commissions trade costs of $8.00
12/5/23 13:26 @ESZ3 E-MINI S&P 500 SHORT 1 4574.75 12/5 13:31 4572.50 n/a $105
Includes Typical Broker Commissions trade costs of $8.00
12/5/23 11:02 @DXZ3 US Dollar Index SHORT 2 103.760 12/5 11:20 103.930 0.7%
Trade id #146615793
Max drawdown($360)
Time12/5/23 11:20
Quant open2
Worst price103.940
Drawdown as % of equity-0.70%
 ($356)
Includes Typical Broker Commissions trade costs of $16.00
12/5/23 9:09 QMCLF4 MICRO CRUDE OIL LONG 6 73.52 12/5 10:34 73.62 0%
Trade id #146613229
Max drawdown($1)
Time12/5/23 10:34
Quant open3
Worst price73.52
Drawdown as % of equity-0.00%
 $51
Includes Typical Broker Commissions trade costs of $9.00
12/5/23 9:39 @DXZ3 US Dollar Index LONG 3 103.800 12/5 9:52 103.815 n/a $21
Includes Typical Broker Commissions trade costs of $24.00
12/5/23 8:22 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 4 15798.75 12/5 8:35 15813.00 n/a $110
Includes Typical Broker Commissions trade costs of $3.76
12/5/23 6:41 QMCLF4 MICRO CRUDE OIL SHORT 2 73.02 12/5 8:28 72.44 0.05%
Trade id #146612499
Max drawdown($24)
Time12/5/23 7:32
Quant open2
Worst price73.14
Drawdown as % of equity-0.05%
 $113
Includes Typical Broker Commissions trade costs of $3.00
12/5/23 7:11 @MESZ3 MICRO E-MINI S&P 500 SHORT 2 4559.75 12/5 8:20 4560.00 0.1%
Trade id #146612630
Max drawdown($50)
Time12/5/23 8:11
Quant open2
Worst price4564.75
Drawdown as % of equity-0.10%
 ($5)
Includes Typical Broker Commissions trade costs of $1.88
12/5/23 7:11 @MNQZ3 MICRO E-MINI NASDAQ 100 SHORT 2 15788.25 12/5 8:20 15791.75 0.16%
Trade id #146612628
Max drawdown($80)
Time12/5/23 8:11
Quant open2
Worst price15808.20
Drawdown as % of equity-0.16%
 ($16)
Includes Typical Broker Commissions trade costs of $1.88
12/1/23 16:47 QMCLF4 MICRO CRUDE OIL LONG 12 74.07 12/5 6:41 73.41 1.28%
Trade id #146594925
Max drawdown($632)
Time12/4/23 0:00
Quant open7
Worst price73.52
Drawdown as % of equity-1.28%
 ($804)
Includes Typical Broker Commissions trade costs of $18.00
12/5/23 6:19 @MNQZ3 MICRO E-MINI NASDAQ 100 SHORT 3 15786.00 12/5 6:29 15781.75 n/a $23
Includes Typical Broker Commissions trade costs of $2.82
Next

Statistics

  • Strategy began
    10/20/2023
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    558.85
  • Age
    19 months ago
  • What it trades
    Futures
  • # Trades
    366
  • # Profitable
    218
  • % Profitable
    59.60%
  • Avg trade duration
    16.1 hours
  • Max peak-to-valley drawdown
    11.99%
  • drawdown period
    Nov 01, 2023 - Dec 06, 2023
  • Annual Return (Compounded)
    18.6%
  • Avg win
    $192.80
  • Avg loss
    $168.44
  • Model Account Values (Raw)
  • Cash
    $67,089
  • Margin Used
    $0
  • Buying Power
    $67,089
  • Ratios
  • W:L ratio
    1.69:1
  • Sharpe Ratio
    0.94
  • Sortino Ratio
    2.32
  • Calmar Ratio
    7.574
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -1.73%
  • Correlation to SP500
    0.05800
  • Return Percent SP500 (cumu) during strategy life
    33.99%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    18.6%
  • Slump
  • Current Slump as Pcnt Equity
    0.70%
  • Instruments
  • Percent Trades Futures
    0.99%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.89%
  • 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)
    0.186%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    20.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    15.00%
  • Chance of 20% account loss
    0.50%
  • 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
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $168
  • Avg Win
    $193
  • Sum Trade PL (losers)
    $24,929.000
  • Age
  • Num Months filled monthly returns table
    20
  • Win / Loss
  • Sum Trade PL (winners)
    $42,030.000
  • # Winners
    218
  • Num Months Winners
    2
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    148
  • % Winners
    59.6%
  • Frequency
  • Avg Position Time (mins)
    967.27
  • Avg Position Time (hrs)
    16.12
  • Avg Trade Length
    0.7 days
  • Last Trade Ago
    499
  • Leverage
  • Daily leverage (average)
    6.85
  • Daily leverage (max)
    12.57
  • Regression
  • Alpha
    0.05
  • Beta
    0.06
  • Treynor Index
    0.75
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.81
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    4.324
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.618
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.323
  • Hold-and-Hope Ratio
    0.229
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39203
  • SD
    0.34992
  • Sharpe ratio (Glass type estimate)
    1.12035
  • Sharpe ratio (Hedges UMVUE)
    1.02386
  • df
    9.00000
  • t
    1.02273
  • p
    0.16657
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11533
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.29817
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.17466
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22237
  • Statistics related to Sortino ratio
  • Sortino ratio
    54.34340
  • Upside Potential Ratio
    57.44180
  • Upside part of mean
    0.41438
  • Downside part of mean
    -0.02235
  • Upside SD
    0.35065
  • Downside SD
    0.00721
  • N nonnegative terms
    2.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.24568
  • Mean of criterion
    0.39203
  • SD of predictor
    0.11266
  • SD of criterion
    0.34992
  • Covariance
    0.01189
  • r
    0.30157
  • b (slope, estimate of beta)
    0.93669
  • a (intercept, estimate of alpha)
    0.16190
  • Mean Square Error
    0.12522
  • DF error
    8.00000
  • t(b)
    0.89463
  • p(b)
    0.19855
  • t(a)
    0.34800
  • p(a)
    0.36841
  • Lowerbound of 95% confidence interval for beta
    -1.47774
  • Upperbound of 95% confidence interval for beta
    3.35112
  • Lowerbound of 95% confidence interval for alpha
    -0.91092
  • Upperbound of 95% confidence interval for alpha
    1.23471
  • Treynor index (mean / b)
    0.41853
  • Jensen alpha (a)
    0.16190
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34035
  • SD
    0.30337
  • Sharpe ratio (Glass type estimate)
    1.12189
  • Sharpe ratio (Hedges UMVUE)
    1.02527
  • df
    9.00000
  • t
    1.02414
  • p
    0.16625
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11404
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.29988
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.17338
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22393
  • Statistics related to Sortino ratio
  • Sortino ratio
    47.23400
  • Upside Potential Ratio
    50.33230
  • Upside part of mean
    0.36267
  • Downside part of mean
    -0.02233
  • Upside SD
    0.30402
  • Downside SD
    0.00721
  • N nonnegative terms
    2.00000
  • N negative terms
    8.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.23710
  • Mean of criterion
    0.34035
  • SD of predictor
    0.11143
  • SD of criterion
    0.30337
  • Covariance
    0.01036
  • r
    0.30636
  • b (slope, estimate of beta)
    0.83405
  • a (intercept, estimate of alpha)
    0.14259
  • Mean Square Error
    0.09382
  • DF error
    8.00000
  • t(b)
    0.91029
  • p(b)
    0.19464
  • t(a)
    0.35673
  • p(a)
    0.36526
  • Lowerbound of 95% confidence interval for beta
    -1.27881
  • Upperbound of 95% confidence interval for beta
    2.94692
  • Lowerbound of 95% confidence interval for alpha
    -0.77916
  • Upperbound of 95% confidence interval for alpha
    1.06435
  • Treynor index (mean / b)
    0.40806
  • Jensen alpha (a)
    0.14259
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10924
  • Expected Shortfall on VaR
    0.14080
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00306
  • Expected Shortfall on VaR
    0.00308
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.32134
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.11666
  • 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
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    1.17499
  • 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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)
    0.43101
  • Compounded annual return (geometric extrapolation)
    0.44521
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    3.16190
  • 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
    0.35823
  • SD
    0.19924
  • Sharpe ratio (Glass type estimate)
    1.79798
  • Sharpe ratio (Hedges UMVUE)
    1.79179
  • df
    218.00000
  • t
    1.64383
  • p
    0.05083
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.35444
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.94635
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35856
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.94214
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.02904
  • Upside Potential Ratio
    8.64767
  • Upside part of mean
    0.61599
  • Downside part of mean
    -0.25776
  • Upside SD
    0.18690
  • Downside SD
    0.07123
  • N nonnegative terms
    25.00000
  • N negative terms
    194.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    219.00000
  • Mean of predictor
    0.25229
  • Mean of criterion
    0.35823
  • SD of predictor
    0.17824
  • SD of criterion
    0.19924
  • Covariance
    0.00162
  • r
    0.04555
  • b (slope, estimate of beta)
    0.05092
  • a (intercept, estimate of alpha)
    0.34500
  • Mean Square Error
    0.03980
  • DF error
    217.00000
  • t(b)
    0.67175
  • p(b)
    0.25123
  • t(a)
    1.57684
  • p(a)
    0.05814
  • Lowerbound of 95% confidence interval for beta
    -0.09848
  • Upperbound of 95% confidence interval for beta
    0.20032
  • Lowerbound of 95% confidence interval for alpha
    -0.08632
  • Upperbound of 95% confidence interval for alpha
    0.77708
  • Treynor index (mean / b)
    7.03511
  • Jensen alpha (a)
    0.34538
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33922
  • SD
    0.19152
  • Sharpe ratio (Glass type estimate)
    1.77124
  • Sharpe ratio (Hedges UMVUE)
    1.76514
  • df
    218.00000
  • t
    1.61938
  • p
    0.05341
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.38091
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.91942
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38501
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.91530
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.69647
  • Upside Potential Ratio
    8.30047
  • Upside part of mean
    0.59954
  • Downside part of mean
    -0.26032
  • Upside SD
    0.17814
  • Downside SD
    0.07223
  • N nonnegative terms
    25.00000
  • N negative terms
    194.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    219.00000
  • Mean of predictor
    0.23629
  • Mean of criterion
    0.33922
  • SD of predictor
    0.17867
  • SD of criterion
    0.19152
  • Covariance
    0.00160
  • r
    0.04676
  • b (slope, estimate of beta)
    0.05012
  • a (intercept, estimate of alpha)
    0.32738
  • Mean Square Error
    0.03677
  • DF error
    217.00000
  • t(b)
    0.68956
  • p(b)
    0.24560
  • t(a)
    1.55575
  • p(a)
    0.06061
  • Lowerbound of 95% confidence interval for beta
    -0.09314
  • Upperbound of 95% confidence interval for beta
    0.19339
  • Lowerbound of 95% confidence interval for alpha
    -0.08737
  • Upperbound of 95% confidence interval for alpha
    0.74213
  • Treynor index (mean / b)
    6.76785
  • Jensen alpha (a)
    0.32738
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01800
  • Expected Shortfall on VaR
    0.02284
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00317
  • Expected Shortfall on VaR
    0.00701
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    219.00000
  • Minimum
    0.96228
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.13818
  • Mean of quarter 1
    0.99646
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00941
  • Inter Quartile Range
    0.00000
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.08219
  • Mean of outliers low
    0.98918
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.11416
  • Mean of outliers high
    1.02070
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.90907
  • VaR(95%) (moments method)
    0.00132
  • Expected Shortfall (moments method)
    0.00168
  • Extreme Value Index (regression method)
    0.15487
  • VaR(95%) (regression method)
    0.00245
  • Expected Shortfall (regression method)
    0.00837
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00533
  • Quartile 1
    0.02051
  • Median
    0.03568
  • Quartile 3
    0.04712
  • Maximum
    0.05857
  • Mean of quarter 1
    0.00533
  • Mean of quarter 2
    0.03568
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.05857
  • Inter Quartile Range
    0.02662
  • 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)
    0.42970
  • Compounded annual return (geometric extrapolation)
    0.44359
  • Calmar ratio (compounded annual return / max draw down)
    7.57425
  • Compounded annual return / average of 25% largest draw downs
    7.57425
  • Compounded annual return / Expected Shortfall lognormal
    19.42420
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.06315
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.20926
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.04133
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.20991
  • SD of criterion
    0.00000
  • Covariance
    -0.00000
  • r
    -0.00000
  • b (slope, estimate of beta)
    -0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    -0.00000
  • p(b)
    0.50000
  • t(a)
    -6866100000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    142790000000000015846284254511104.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -361347000
  • Max Equity Drawdown (num days)
    35
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

Summary Statistics

Strategy began
2023-10-20
Suggested Minimum Capital
$60,000
# Trades
366
# Profitable
218
% Profitable
59.6%
Correlation S&P500
0.058
Sharpe Ratio
0.94
Sortino Ratio
2.32
Beta
0.06
Alpha
0.05
Leverage
6.85 Average
12.57 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

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

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

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

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

You can restore public visibility at any time.

Suggested Minimum Capital

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