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This is an archived track record. This track record was archived on 9/3/20 14:42 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

Forex and Futures
(121170325)

Created by: Tatsuya Tatsuya
Started: 11/2018
Forex
Last trade: 1,302 days ago
Trading style: Futures Currencies
Subscriptions not currently available.

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 $145.00 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
Currencies
Category: Equity

Currencies

Focuses on currency futures.
96.0%
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.

(58.3%)
Max Drawdown
234
Num Trades
79.9%
Win Trades
1.8 : 1
Profit Factor
20.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                                      (0.4%)+1.1%+0.7%
2019(9.9%)+10.1%+2.5%(1.2%)+1.5%+31.3%(45.4%)+92.0%+34.6%+66.0%+11.4%+9.1%+281.6%
2020+5.2%+4.8%(2.9%)(3.7%)(0.2%)+16.4%(7.1%)(0.4%)(22.4%)  -    -    -  (14.1%)
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -                                                        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 100 hours.

Trading Record

This strategy has placed 694 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/31/20 11:21 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 10 12255.05 9/3 14:42 12040.55 0.43%
Trade id #130895666
Max drawdown($910)
Time8/31/20 11:27
Quant open1
Worst price12016.20
Drawdown as % of equity-0.43%
($42,980)
Includes Typical Broker Commissions trade costs of $80.00
9/3/20 3:19 @ESU0 E-MINI S&P 500 LONG 2 3575.25 9/3 11:11 3490.50 0.59%
Trade id #130956845
Max drawdown($1,300)
Time9/3/20 6:52
Quant open2
Worst price3562.25
Drawdown as % of equity-0.59%
($8,491)
Includes Typical Broker Commissions trade costs of $16.00
9/3/20 6:46 @MNQU0 MICRO E-MINI NASDAQ 100 SHORT 10 12300.98 9/3 9:08 12232.38 0.08%
Trade id #130959754
Max drawdown($180)
Time9/3/20 7:01
Quant open10
Worst price12310.00
Drawdown as % of equity-0.08%
$1,363
Includes Typical Broker Commissions trade costs of $9.40
9/2/20 11:58 @ESU0 E-MINI S&P 500 LONG 2 3547.88 9/2 12:36 3555.00 n/a $697
Includes Typical Broker Commissions trade costs of $16.00
9/1/20 10:49 @ESU0 E-MINI S&P 500 LONG 2 3509.00 9/2 9:48 3543.75 0.28%
Trade id #130922508
Max drawdown($600)
Time9/1/20 11:26
Quant open2
Worst price3503.00
Drawdown as % of equity-0.28%
$3,459
Includes Typical Broker Commissions trade costs of $16.00
9/1/20 9:57 @YMU0 MINI DOW LONG 2 28399 9/1 10:42 28479 0.07%
Trade id #130920743
Max drawdown($150)
Time9/1/20 10:10
Quant open2
Worst price28384
Drawdown as % of equity-0.07%
$784
Includes Typical Broker Commissions trade costs of $16.00
8/30/20 18:10 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 3 12017.33 8/31 10:46 12062.58 0.56%
Trade id #130883209
Max drawdown($1,163)
Time8/31/20 9:10
Quant open2
Worst price11988.20
Drawdown as % of equity-0.56%
$2,691
Includes Typical Broker Commissions trade costs of $24.00
8/26/20 12:16 USD/JPY USD/JPY LONG 39 106.055 8/26 16:14 105.990 0.16%
Trade id #130799184
Max drawdown($342)
Time8/26/20 14:16
Quant open39
Worst price105.962
Drawdown as % of equity-0.16%
($239)
8/26/20 11:30 EUR/AUD EUR/AUD LONG 78 1.63544 8/26 16:14 1.63501 0.46%
Trade id #130797587
Max drawdown($965)
Time8/26/20 14:16
Quant open78
Worst price1.63373
Drawdown as % of equity-0.46%
($243)
8/26/20 11:44 NZD/JPY NZD/JPY SHORT 78 70.075 8/26 16:13 70.183 0.41%
Trade id #130797974
Max drawdown($858)
Time8/26/20 15:50
Quant open78
Worst price70.191
Drawdown as % of equity-0.41%
($798)
8/26/20 11:21 NZD/CAD NZD/CAD SHORT 78 0.86820 8/26 16:13 0.87077 0.79%
Trade id #130797322
Max drawdown($1,649)
Time8/26/20 15:50
Quant open78
Worst price0.87098
Drawdown as % of equity-0.79%
($1,524)
8/26/20 10:17 EUR/NZD EUR/NZD LONG 78 1.79363 8/26 12:39 1.78903 1.48%
Trade id #130795637
Max drawdown($3,113)
Time8/26/20 12:32
Quant open78
Worst price1.78760
Drawdown as % of equity-1.48%
($2,371)
8/24/20 11:26 USD/CAD USD/CAD SHORT 78 1.32286 8/24 16:32 1.32232 0.27%
Trade id #130759523
Max drawdown($575)
Time8/24/20 14:30
Quant open78
Worst price1.32384
Drawdown as % of equity-0.27%
$319
8/24/20 11:50 AUD/CAD AUD/CAD SHORT 39 0.94855 8/24 14:49 0.94780 0.08%
Trade id #130760458
Max drawdown($171)
Time8/24/20 13:15
Quant open39
Worst price0.94913
Drawdown as % of equity-0.08%
$221
7/8/20 7:26 EUR/SEK EUR/SEK LONG 24 10.33757 8/20 7:10 10.33755 1.49%
Trade id #129963928
Max drawdown($2,971)
Time7/21/20 0:00
Quant open12
Worst price10.21600
Drawdown as % of equity-1.49%
$0
8/20/20 6:22 USD/JPY USD/JPY SHORT 1 106.015 8/20 6:25 106.011 n/a $0
8/19/20 9:46 GBP/USD GBP/USD LONG 55 1.32235 8/20 4:24 1.30765 4.11%
Trade id #130685903
Max drawdown($8,739)
Time8/20/20 3:04
Quant open55
Worst price1.30646
Drawdown as % of equity-4.11%
($8,085)
8/19/20 14:51 USD/CAD USD/CAD LONG 50 1.32006 8/19 15:53 1.32158 0.21%
Trade id #130694628
Max drawdown($458)
Time8/19/20 15:01
Quant open50
Worst price1.31885
Drawdown as % of equity-0.21%
$575
8/19/20 14:30 USD/CAD USD/CAD LONG 50 1.32025 8/19 14:35 1.32105 0%
Trade id #130694213
Max drawdown($3)
Time8/19/20 14:33
Quant open50
Worst price1.32024
Drawdown as % of equity-0.00%
$303
8/19/20 14:29 USD/CAD USD/CAD LONG 50 1.32027 8/19 14:29 1.32022 0.01%
Trade id #130694176
Max drawdown($19)
Time8/19/20 14:29
Quant open50
Worst price1.32022
Drawdown as % of equity-0.01%
($19)
8/19/20 10:52 AUD/USD AUD/USD LONG 60 0.72325 8/19 14:04 0.72370 0.25%
Trade id #130687902
Max drawdown($552)
Time8/19/20 12:19
Quant open60
Worst price0.72233
Drawdown as % of equity-0.25%
$270
8/18/20 12:29 USD/JPY USD/JPY LONG 50 105.402 8/18 13:07 105.410 0.16%
Trade id #130672756
Max drawdown($341)
Time8/18/20 12:59
Quant open50
Worst price105.330
Drawdown as % of equity-0.16%
$38
8/18/20 10:55 EUR/GBP EUR/GBP LONG 25 0.90170 8/18 11:04 0.90220 n/a $165
8/16/20 23:32 USD/JPY USD/JPY LONG 145 106.219 8/18 9:36 105.367 5.39%
Trade id #130641069
Max drawdown($11,884)
Time8/18/20 9:35
Quant open145
Worst price105.355
Drawdown as % of equity-5.39%
($11,720)
8/18/20 8:14 EUR/JPY EUR/JPY SHORT 70 125.607 8/18 8:32 125.806 0.79%
Trade id #130665435
Max drawdown($1,739)
Time8/18/20 8:32
Quant open70
Worst price125.869
Drawdown as % of equity-0.79%
($1,321)
8/17/20 5:06 EUR/JPY EUR/JPY LONG 50 126.070 8/18 8:08 125.522 1.55%
Trade id #130644150
Max drawdown($3,449)
Time8/18/20 3:03
Quant open50
Worst price125.343
Drawdown as % of equity-1.55%
($2,599)
8/13/20 10:15 AUD/USD AUD/USD LONG 100 0.71760 8/16 17:33 0.71770 1.96%
Trade id #130601896
Max drawdown($4,400)
Time8/13/20 23:06
Quant open100
Worst price0.71320
Drawdown as % of equity-1.96%
$100
8/14/20 10:58 EUR/USD EUR/USD LONG 100 1.18314 8/14 14:21 1.18369 0.29%
Trade id #130624057
Max drawdown($680)
Time8/14/20 11:15
Quant open100
Worst price1.18246
Drawdown as % of equity-0.29%
$551
8/13/20 11:59 NZD/USD NZD/USD LONG 100 0.65572 8/14 10:57 0.65575 1.38%
Trade id #130604638
Max drawdown($3,090)
Time8/13/20 23:58
Quant open100
Worst price0.65263
Drawdown as % of equity-1.38%
$30
8/14/20 2:10 EUR/USD EUR/USD SHORT 50 1.18217 8/14 5:25 1.17895 0.11%
Trade id #130615793
Max drawdown($245)
Time8/14/20 2:16
Quant open50
Worst price1.18266
Drawdown as % of equity-0.11%
$1,610

Statistics

  • Strategy began
    11/26/2018
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1948.21
  • Age
    65 months ago
  • What it trades
    Forex
  • # Trades
    234
  • # Profitable
    187
  • % Profitable
    79.90%
  • Avg trade duration
    5.3 days
  • Max peak-to-valley drawdown
    58.29%
  • drawdown period
    July 01, 2020 - July 08, 2020
  • Annual Return (Compounded)
    96.0%
  • Avg win
    $1,477
  • Avg loss
    $3,344
  • Model Account Values (Raw)
  • Cash
    $169,113
  • Margin Used
    $0
  • Buying Power
    $169,113
  • Ratios
  • W:L ratio
    1.76:1
  • Sharpe Ratio
    0.55
  • Sortino Ratio
    0.89
  • Calmar Ratio
    1.641
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    201.07%
  • Correlation to SP500
    0.03920
  • Return Percent SP500 (cumu) during strategy life
    96.32%
  • Return Statistics
  • Ann Return (w trading costs)
    96.0%
  • Slump
  • Current Slump as Pcnt Equity
    41.70%
  • Instruments
  • Percent Trades Futures
    0.05%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.68%
  • 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)
    0.960%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.95%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    25.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    86.00%
  • Chance of 20% account loss
    65.50%
  • Chance of 30% account loss
    58.50%
  • Chance of 40% account loss
    51.00%
  • Chance of 60% account loss (Monte Carlo)
    35.50%
  • Chance of 70% account loss (Monte Carlo)
    32.50%
  • Chance of 80% account loss (Monte Carlo)
    11.00%
  • Chance of 90% account loss (Monte Carlo)
    0.50%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    0.14%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    43.50%
  • Popularity
  • Popularity (Today)
    829
  • Popularity (Last 6 weeks)
    949
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    922
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $3,344
  • Avg Win
    $1,478
  • Sum Trade PL (losers)
    $157,188.000
  • Age
  • Num Months filled monthly returns table
    65
  • Win / Loss
  • Sum Trade PL (winners)
    $276,305.000
  • # Winners
    187
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    47
  • % Winners
    79.9%
  • Frequency
  • Avg Position Time (mins)
    7582.82
  • Avg Position Time (hrs)
    126.38
  • Avg Trade Length
    5.3 days
  • Last Trade Ago
    1301
  • Leverage
  • Daily leverage (average)
    9.33
  • Daily leverage (max)
    28.12
  • Regression
  • Alpha
    0.09
  • Beta
    0.09
  • Treynor Index
    0.95
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    28.12
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    96.54
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.68
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    3.541
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.950
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.850
  • Hold-and-Hope Ratio
    0.280
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.24619
  • SD
    0.92431
  • Sharpe ratio (Glass type estimate)
    1.34824
  • Sharpe ratio (Hedges UMVUE)
    1.29419
  • df
    19.00000
  • t
    1.74057
  • p
    0.26944
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.24485
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.90865
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.27876
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.86715
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.67021
  • Upside Potential Ratio
    4.79592
  • Upside part of mean
    1.62842
  • Downside part of mean
    -0.38223
  • Upside SD
    0.90871
  • Downside SD
    0.33954
  • N nonnegative terms
    14.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.13539
  • Mean of criterion
    1.24619
  • SD of predictor
    0.22576
  • SD of criterion
    0.92431
  • Covariance
    0.00069
  • r
    0.00333
  • b (slope, estimate of beta)
    0.01362
  • a (intercept, estimate of alpha)
    1.24435
  • Mean Square Error
    0.90180
  • DF error
    18.00000
  • t(b)
    0.01411
  • p(b)
    0.49834
  • t(a)
    1.66558
  • p(a)
    0.31728
  • Lowerbound of 95% confidence interval for beta
    -2.01383
  • Upperbound of 95% confidence interval for beta
    2.04106
  • Lowerbound of 95% confidence interval for alpha
    -0.32524
  • Upperbound of 95% confidence interval for alpha
    2.81394
  • Treynor index (mean / b)
    91.52630
  • Jensen alpha (a)
    1.24435
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.87720
  • SD
    0.79830
  • Sharpe ratio (Glass type estimate)
    1.09884
  • Sharpe ratio (Hedges UMVUE)
    1.05479
  • df
    19.00000
  • t
    1.41860
  • p
    0.30618
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47213
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.64256
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49999
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.60957
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.01635
  • Upside Potential Ratio
    3.07676
  • Upside part of mean
    1.33853
  • Downside part of mean
    -0.46133
  • Upside SD
    0.69302
  • Downside SD
    0.43505
  • N nonnegative terms
    14.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    20.00000
  • Mean of predictor
    0.10932
  • Mean of criterion
    0.87720
  • SD of predictor
    0.23304
  • SD of criterion
    0.79830
  • Covariance
    0.00569
  • r
    0.03060
  • b (slope, estimate of beta)
    0.10483
  • a (intercept, estimate of alpha)
    0.86574
  • Mean Square Error
    0.67205
  • DF error
    18.00000
  • t(b)
    0.12989
  • p(b)
    0.48470
  • t(a)
    1.35039
  • p(a)
    0.34835
  • Lowerbound of 95% confidence interval for beta
    -1.59069
  • Upperbound of 95% confidence interval for beta
    1.80034
  • Lowerbound of 95% confidence interval for alpha
    -0.48117
  • Upperbound of 95% confidence interval for alpha
    2.21265
  • Treynor index (mean / b)
    8.36798
  • Jensen alpha (a)
    0.86574
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.26358
  • Expected Shortfall on VaR
    0.32883
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04860
  • Expected Shortfall on VaR
    0.11879
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    20.00000
  • Minimum
    0.57851
  • Quartile 1
    0.99051
  • Median
    1.03447
  • Quartile 3
    1.14860
  • Maximum
    1.92450
  • Mean of quarter 1
    0.87696
  • Mean of quarter 2
    1.01991
  • Mean of quarter 3
    1.08181
  • Mean of quarter 4
    1.44603
  • Inter Quartile Range
    0.15809
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.05000
  • Mean of outliers low
    0.57851
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    1.73341
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.05980
  • VaR(95%) (moments method)
    0.05357
  • Expected Shortfall (moments method)
    0.08497
  • Extreme Value Index (regression method)
    1.07805
  • VaR(95%) (regression method)
    0.15933
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00789
  • Quartile 1
    0.04671
  • Median
    0.08574
  • Quartile 3
    0.18924
  • Maximum
    0.42149
  • Mean of quarter 1
    0.00789
  • Mean of quarter 2
    0.05964
  • Mean of quarter 3
    0.11183
  • Mean of quarter 4
    0.42149
  • Inter Quartile Range
    0.14254
  • 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
    0.25000
  • Mean of outliers high
    0.42149
  • 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)
    2.11201
  • Compounded annual return (geometric extrapolation)
    1.47220
  • Calmar ratio (compounded annual return / max draw down)
    3.49287
  • Compounded annual return / average of 25% largest draw downs
    3.49287
  • Compounded annual return / Expected Shortfall lognormal
    4.47711
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.11586
  • SD
    0.78924
  • Sharpe ratio (Glass type estimate)
    1.41385
  • Sharpe ratio (Hedges UMVUE)
    1.41151
  • df
    454.00000
  • t
    1.86320
  • p
    0.03154
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.07704
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.90321
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07860
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.90162
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.26563
  • Upside Potential Ratio
    7.56271
  • Upside part of mean
    3.72478
  • Downside part of mean
    -2.60892
  • Upside SD
    0.61944
  • Downside SD
    0.49252
  • N nonnegative terms
    237.00000
  • N negative terms
    218.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    455.00000
  • Mean of predictor
    0.16169
  • Mean of criterion
    1.11586
  • SD of predictor
    0.27438
  • SD of criterion
    0.78924
  • Covariance
    0.00845
  • r
    0.03900
  • b (slope, estimate of beta)
    0.11219
  • a (intercept, estimate of alpha)
    0.74800
  • Mean Square Error
    0.62332
  • DF error
    453.00000
  • t(b)
    0.83077
  • p(b)
    0.20327
  • t(a)
    1.83107
  • p(a)
    0.03387
  • Lowerbound of 95% confidence interval for beta
    -0.15320
  • Upperbound of 95% confidence interval for beta
    0.37758
  • Lowerbound of 95% confidence interval for alpha
    -0.08042
  • Upperbound of 95% confidence interval for alpha
    2.27587
  • Treynor index (mean / b)
    9.94621
  • Jensen alpha (a)
    1.09773
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.80530
  • SD
    0.78798
  • Sharpe ratio (Glass type estimate)
    1.02197
  • Sharpe ratio (Hedges UMVUE)
    1.02028
  • df
    454.00000
  • t
    1.34677
  • p
    0.08936
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.46735
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.51018
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46847
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.50904
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.48723
  • Upside Potential Ratio
    6.55878
  • Upside part of mean
    3.55140
  • Downside part of mean
    -2.74610
  • Upside SD
    0.57344
  • Downside SD
    0.54147
  • N nonnegative terms
    237.00000
  • N negative terms
    218.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    455.00000
  • Mean of predictor
    0.12377
  • Mean of criterion
    0.80530
  • SD of predictor
    0.27616
  • SD of criterion
    0.78798
  • Covariance
    0.00856
  • r
    0.03932
  • b (slope, estimate of beta)
    0.11220
  • a (intercept, estimate of alpha)
    0.79141
  • Mean Square Error
    0.62132
  • DF error
    453.00000
  • t(b)
    0.83761
  • p(b)
    0.20135
  • t(a)
    1.32261
  • p(a)
    0.09332
  • Lowerbound of 95% confidence interval for beta
    -0.15105
  • Upperbound of 95% confidence interval for beta
    0.37545
  • Lowerbound of 95% confidence interval for alpha
    -0.38452
  • Upperbound of 95% confidence interval for alpha
    1.96733
  • Treynor index (mean / b)
    7.17716
  • Jensen alpha (a)
    0.79141
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07411
  • Expected Shortfall on VaR
    0.09261
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02158
  • Expected Shortfall on VaR
    0.04850
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    455.00000
  • Minimum
    0.71286
  • Quartile 1
    0.99411
  • Median
    1.00056
  • Quartile 3
    1.01055
  • Maximum
    1.29721
  • Mean of quarter 1
    0.96207
  • Mean of quarter 2
    0.99843
  • Mean of quarter 3
    1.00425
  • Mean of quarter 4
    1.05272
  • Inter Quartile Range
    0.01644
  • Number outliers low
    39.00000
  • Percentage of outliers low
    0.08571
  • Mean of outliers low
    0.91918
  • Number of outliers high
    50.00000
  • Percentage of outliers high
    0.10989
  • Mean of outliers high
    1.09475
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.61066
  • VaR(95%) (moments method)
    0.02880
  • Expected Shortfall (moments method)
    0.08614
  • Extreme Value Index (regression method)
    0.51477
  • VaR(95%) (regression method)
    0.03392
  • Expected Shortfall (regression method)
    0.08655
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00110
  • Quartile 1
    0.02560
  • Median
    0.06111
  • Quartile 3
    0.14267
  • Maximum
    0.44840
  • Mean of quarter 1
    0.00610
  • Mean of quarter 2
    0.04143
  • Mean of quarter 3
    0.10390
  • Mean of quarter 4
    0.28147
  • Inter Quartile Range
    0.11707
  • 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
    0.08333
  • Mean of outliers high
    0.39360
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.76181
  • VaR(95%) (moments method)
    0.30854
  • Expected Shortfall (moments method)
    0.34059
  • Extreme Value Index (regression method)
    -0.02850
  • VaR(95%) (regression method)
    0.31197
  • Expected Shortfall (regression method)
    0.40236
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.87156
  • Compounded annual return (geometric extrapolation)
    1.30068
  • Calmar ratio (compounded annual return / max draw down)
    2.90068
  • Compounded annual return / average of 25% largest draw downs
    4.62108
  • Compounded annual return / Expected Shortfall lognormal
    14.04500
  • 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
    0.05714
  • SD
    0.42413
  • Sharpe ratio (Glass type estimate)
    0.13472
  • Sharpe ratio (Hedges UMVUE)
    0.13394
  • df
    130.00000
  • t
    0.09526
  • p
    0.49582
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.63738
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.90634
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.63791
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.90580
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.19199
  • Upside Potential Ratio
    4.99788
  • Upside part of mean
    1.48747
  • Downside part of mean
    -1.43033
  • Upside SD
    0.29992
  • Downside SD
    0.29762
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.36585
  • Mean of criterion
    0.05714
  • SD of predictor
    0.44538
  • SD of criterion
    0.42413
  • Covariance
    -0.01017
  • r
    -0.05386
  • b (slope, estimate of beta)
    -0.05129
  • a (intercept, estimate of alpha)
    0.07590
  • Mean Square Error
    0.18076
  • DF error
    129.00000
  • t(b)
    -0.61258
  • p(b)
    0.53427
  • t(a)
    0.12608
  • p(a)
    0.49293
  • Lowerbound of 95% confidence interval for beta
    -0.21693
  • Upperbound of 95% confidence interval for beta
    0.11436
  • Lowerbound of 95% confidence interval for alpha
    -1.11525
  • Upperbound of 95% confidence interval for alpha
    1.26706
  • Treynor index (mean / b)
    -1.11412
  • Jensen alpha (a)
    0.07590
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.03280
  • SD
    0.42726
  • Sharpe ratio (Glass type estimate)
    -0.07676
  • Sharpe ratio (Hedges UMVUE)
    -0.07632
  • df
    130.00000
  • t
    -0.05428
  • p
    0.50238
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.84847
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.69518
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.84814
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.69550
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.10296
  • Upside Potential Ratio
    4.53872
  • Upside part of mean
    1.44585
  • Downside part of mean
    -1.47864
  • Upside SD
    0.28228
  • Downside SD
    0.31856
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26618
  • Mean of criterion
    -0.03280
  • SD of predictor
    0.44912
  • SD of criterion
    0.42726
  • Covariance
    -0.00974
  • r
    -0.05077
  • b (slope, estimate of beta)
    -0.04829
  • a (intercept, estimate of alpha)
    -0.01994
  • Mean Square Error
    0.18349
  • DF error
    129.00000
  • t(b)
    -0.57733
  • p(b)
    0.53230
  • t(a)
    -0.03290
  • p(a)
    0.50184
  • VAR (95 Confidence Intrvl)
    0.06800
  • Lowerbound of 95% confidence interval for beta
    -0.21380
  • Upperbound of 95% confidence interval for beta
    0.11721
  • Lowerbound of 95% confidence interval for alpha
    -1.21932
  • Upperbound of 95% confidence interval for alpha
    1.17944
  • Treynor index (mean / b)
    0.67912
  • Jensen alpha (a)
    -0.01994
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04261
  • Expected Shortfall on VaR
    0.05307
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01244
  • Expected Shortfall on VaR
    0.02815
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.83216
  • Quartile 1
    0.99627
  • Median
    1.00000
  • Quartile 3
    1.00518
  • Maximum
    1.17360
  • Mean of quarter 1
    0.97972
  • Mean of quarter 2
    0.99882
  • Mean of quarter 3
    1.00224
  • Mean of quarter 4
    1.02057
  • Inter Quartile Range
    0.00891
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.94952
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.05154
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.66877
  • VaR(95%) (moments method)
    0.01683
  • Expected Shortfall (moments method)
    0.05715
  • Extreme Value Index (regression method)
    0.68810
  • VaR(95%) (regression method)
    0.01473
  • Expected Shortfall (regression method)
    0.05084
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00096
  • Quartile 1
    0.00607
  • Median
    0.06008
  • Quartile 3
    0.12846
  • Maximum
    0.17672
  • Mean of quarter 1
    0.00096
  • Mean of quarter 2
    0.00778
  • Mean of quarter 3
    0.11238
  • Mean of quarter 4
    0.17672
  • Inter Quartile Range
    0.12239
  • 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?
    -248578000
  • Max Equity Drawdown (num days)
    7
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.00488
  • Compounded annual return (geometric extrapolation)
    -0.00488
  • Calmar ratio (compounded annual return / max draw down)
    -0.02761
  • Compounded annual return / average of 25% largest draw downs
    -0.02761
  • Compounded annual return / Expected Shortfall lognormal
    -0.09193

Strategy Description

Summary Statistics

Strategy began
2018-11-26
Suggested Minimum Capital
$100,000
# Trades
234
# Profitable
187
% Profitable
79.9%
Correlation S&P500
0.039
Sharpe Ratio
0.55
Sortino Ratio
0.89
Beta
0.09
Alpha
0.09
Leverage
9.33 Average
28.12 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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subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.