Collective2 Collective2
Featured Strategy S2Prox0 +53.2% Annual Return (Compounded) since Dec 23, 2022 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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SP500 trend
(144265023)

Created by: JaranPantic JaranPantic
Started: 04/2023
Futures
Last trade: 177 days ago
Trading style: Futures Trend-following
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 $125.00 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
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
629.1%
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.

(100.0%)
Max Drawdown
176
Num Trades
54.5%
Win Trades
10.0 : 1
Profit Factor
54.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                     +1.7%+5.6%+3.2%+7.1%+2.0%+0.1%(44.7%)(117.6%)  -  0.0
2024(2484.5%)  -                                                  (2484.5%)

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 2 hours.

Trading Record

This strategy has placed 41 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 227 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/26/23 11:25 @NQZ3 E-MINI NASDAQ 100 STK IDX SHORT 10 14263.40 10/26 12:19 14253.15 7.93%
Trade id #146246102
Max drawdown($2,970)
Time10/26/23 11:33
Quant open10
Worst price14278.20
Drawdown as % of equity-7.93%
 $1,970
Includes Typical Broker Commissions trade costs of $80.00
10/26/23 11:01 @NQZ3 E-MINI NASDAQ 100 STK IDX LONG 5 14353.85 10/26 11:25 14265.00 22.23%
Trade id #146245594
Max drawdown($9,485)
Time10/26/23 11:23
Quant open5
Worst price14259.00
Drawdown as % of equity-22.23%
 ($8,925)
Includes Typical Broker Commissions trade costs of $40.00
10/26/23 10:49 @RTYZ3 Russell 2000 CME LONG 10 1676.44 10/26 10:55 1678.30 n/a $850
Includes Typical Broker Commissions trade costs of $80.00
10/26/23 10:41 @RTYZ3 Russell 2000 CME SHORT 6 1667.47 10/26 10:49 1676.30 5.69%
Trade id #146245111
Max drawdown($3,160)
Time10/26/23 10:49
Quant open6
Worst price1678.00
Drawdown as % of equity-5.69%
 ($2,698)
Includes Typical Broker Commissions trade costs of $48.00
10/26/23 10:27 @RTYZ3 Russell 2000 CME LONG 10 1670.62 10/26 10:40 1667.50 4.52%
Trade id #146244774
Max drawdown($2,510)
Time10/26/23 10:38
Quant open10
Worst price1665.60
Drawdown as % of equity-4.52%
 ($1,640)
Includes Typical Broker Commissions trade costs of $80.00
10/26/23 10:23 @RTYZ3 Russell 2000 CME SHORT 10 1664.92 10/26 10:27 1670.30 5.48%
Trade id #146244610
Max drawdown($3,040)
Time10/26/23 10:26
Quant open10
Worst price1671.00
Drawdown as % of equity-5.48%
 ($2,770)
Includes Typical Broker Commissions trade costs of $80.00
10/26/23 10:22 @RTYZ3 Russell 2000 CME LONG 8 1668.17 10/26 10:23 1664.90 2.36%
Trade id #146244576
Max drawdown($1,310)
Time10/26/23 10:23
Quant open8
Worst price1664.90
Drawdown as % of equity-2.36%
 ($1,374)
Includes Typical Broker Commissions trade costs of $64.00
10/26/23 10:14 @RTYZ3 Russell 2000 CME SHORT 8 1664.90 10/26 10:21 1667.20 2.16%
Trade id #146244479
Max drawdown($1,200)
Time10/26/23 10:21
Quant open8
Worst price1667.90
Drawdown as % of equity-2.16%
 ($984)
Includes Typical Broker Commissions trade costs of $64.00
10/26/23 10:01 @RTYZ3 Russell 2000 CME SHORT 2 1661.80 10/26 10:03 1662.00 0.04%
Trade id #146244150
Max drawdown($20)
Time10/26/23 10:03
Quant open2
Worst price1662.00
Drawdown as % of equity-0.04%
 ($36)
Includes Typical Broker Commissions trade costs of $16.00
10/26/23 9:19 @RTYZ3 Russell 2000 CME SHORT 8 1664.14 10/26 10:01 1662.40 4.01%
Trade id #146242718
Max drawdown($2,225)
Time10/26/23 9:42
Quant open8
Worst price1669.70
Drawdown as % of equity-4.01%
 $631
Includes Typical Broker Commissions trade costs of $64.00
10/26/23 4:03 DXMZ3 MINI-DAX INDEX SHORT 4 14824.0 10/26 4:05 14801.0 n/a $453
Includes Typical Broker Commissions trade costs of $32.00
10/25/23 4:27 @RTYZ3 Russell 2000 CME LONG 1 1680.20 10/25 6:09 1676.50 0.34%
Trade id #146227310
Max drawdown($185)
Time10/25/23 6:09
Quant open1
Worst price1676.50
Drawdown as % of equity-0.34%
 ($193)
Includes Typical Broker Commissions trade costs of $8.00
10/24/23 9:45 @MESZ3 MICRO E-MINI S&P 500 SHORT 3 4273.25 10/25 4:27 4266.75 0.28%
Trade id #146218091
Max drawdown($153)
Time10/24/23 10:50
Quant open3
Worst price4283.50
Drawdown as % of equity-0.28%
 $95
Includes Typical Broker Commissions trade costs of $2.82
10/24/23 10:41 @RTYZ3 Russell 2000 CME SHORT 1 1697.90 10/24 10:41 1698.10 0.02%
Trade id #146219334
Max drawdown($10)
Time10/24/23 10:41
Quant open1
Worst price1698.10
Drawdown as % of equity-0.02%
 ($18)
Includes Typical Broker Commissions trade costs of $8.00
10/24/23 3:40 @MESZ3 MICRO E-MINI S&P 500 SHORT 5 4265.65 10/24 9:45 4264.00 0.22%
Trade id #146213895
Max drawdown($121)
Time10/24/23 9:44
Quant open5
Worst price4270.50
Drawdown as % of equity-0.22%
 $36
Includes Typical Broker Commissions trade costs of $4.70
10/24/23 3:40 @RTYZ3 Russell 2000 CME SHORT 1 1681.80 10/24 4:08 1682.60 0.15%
Trade id #146213891
Max drawdown($80)
Time10/24/23 3:52
Quant open1
Worst price1683.40
Drawdown as % of equity-0.15%
 ($48)
Includes Typical Broker Commissions trade costs of $8.00
10/23/23 10:49 @RTYZ3 Russell 2000 CME SHORT 4 1690.90 10/23 12:04 1690.50 2.75%
Trade id #146205858
Max drawdown($1,500)
Time10/23/23 11:36
Quant open4
Worst price1698.40
Drawdown as % of equity-2.75%
 $48
Includes Typical Broker Commissions trade costs of $32.00
10/20/23 14:45 @MESZ3 MICRO E-MINI S&P 500 SHORT 1 4265.50 10/23 9:50 4232.75 0.03%
Trade id #146190546
Max drawdown($16)
Time10/20/23 14:56
Quant open1
Worst price4268.75
Drawdown as % of equity-0.03%
 $163
Includes Typical Broker Commissions trade costs of $0.94
10/23/23 9:32 @RTYZ3 Russell 2000 CME SHORT 10 1676.61 10/23 9:45 1675.33 0.37%
Trade id #146203698
Max drawdown($200)
Time10/23/23 9:35
Quant open2
Worst price1681.40
Drawdown as % of equity-0.37%
 $560
Includes Typical Broker Commissions trade costs of $80.00
10/20/23 14:00 @RTYZ3 Russell 2000 CME SHORT 8 1703.20 10/20 14:34 1700.90 n/a $856
Includes Typical Broker Commissions trade costs of $64.00
10/20/23 13:39 @RTYZ3 Russell 2000 CME SHORT 4 1705.62 10/20 13:56 1705.20 0.7%
Trade id #146189715
Max drawdown($370)
Time10/20/23 13:43
Quant open2
Worst price1709.50
Drawdown as % of equity-0.70%
 $53
Includes Typical Broker Commissions trade costs of $32.00
10/20/23 13:31 @MESZ3 MICRO E-MINI S&P 500 SHORT 2 4274.75 10/20 13:49 4274.25 0.15%
Trade id #146189634
Max drawdown($80)
Time10/20/23 13:43
Quant open2
Worst price4282.75
Drawdown as % of equity-0.15%
 $3
Includes Typical Broker Commissions trade costs of $1.88
10/20/23 11:35 @MESZ3 MICRO E-MINI S&P 500 SHORT 20 4273.40 10/20 13:31 4271.12 0.37%
Trade id #146187172
Max drawdown($195)
Time10/20/23 12:58
Quant open2
Worst price4281.25
Drawdown as % of equity-0.37%
 $209
Includes Typical Broker Commissions trade costs of $18.80
10/20/23 11:09 @ESZ3 E-MINI S&P 500 SHORT 4 4265.38 10/20 11:32 4255.25 n/a $1,993
Includes Typical Broker Commissions trade costs of $32.00
9/13/23 11:05 @M6AZ3 E-MICRO AUD/USD LONG 5 0.6447 9/13 22:38 0.6451 0.13%
Trade id #145809838
Max drawdown($65)
Time9/13/23 15:10
Quant open5
Worst price0.6434
Drawdown as % of equity-0.13%
 $16
Includes Typical Broker Commissions trade costs of $3.90
9/12/23 22:29 @M6AZ3 E-MICRO AUD/USD SHORT 5 0.6426 9/13 11:05 0.6439 0.11%
Trade id #145804400
Max drawdown($55)
Time9/13/23 4:04
Quant open5
Worst price0.6437
Drawdown as % of equity-0.11%
 ($69)
Includes Typical Broker Commissions trade costs of $3.90
9/12/23 21:46 DXMZ3 MINI-DAX INDEX SHORT 2 15844.0 9/12 23:01 15795.0 n/a $511
Includes Typical Broker Commissions trade costs of $16.00
9/11/23 20:42 @MESU3 MICRO E-MINI S&P 500 LONG 3 4483.17 9/12 4:03 4478.50 0.17%
Trade id #145793331
Max drawdown($88)
Time9/12/23 4:01
Quant open3
Worst price4477.25
Drawdown as % of equity-0.17%
 ($73)
Includes Typical Broker Commissions trade costs of $2.82
9/11/23 0:59 @ADU3 AUSTRALIAN DOLLAR LONG 1 0.6439 9/11 4:45 0.6434 0.12%
Trade id #145782982
Max drawdown($60)
Time9/11/23 4:43
Quant open1
Worst price0.6433
Drawdown as % of equity-0.12%
 ($53)
Includes Typical Broker Commissions trade costs of $8.00
9/8/23 2:02 @ADU3 AUSTRALIAN DOLLAR LONG 1 0.6408 9/8 3:36 0.6394 0.3%
Trade id #145766895
Max drawdown($155)
Time9/8/23 3:33
Quant open1
Worst price0.6392
Drawdown as % of equity-0.30%
 ($143)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    4/12/2023
  • Suggested Minimum Cap
    $42,500
  • Strategy Age (days)
    366.8
  • Age
    12 months ago
  • What it trades
    Futures
  • # Trades
    176
  • # Profitable
    96
  • % Profitable
    54.50%
  • Avg trade duration
    1.6 days
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Nov 16, 2023 - Nov 29, 2023
  • Annual Return (Compounded)
    629.1%
  • Avg win
    $3,237
  • Avg loss
    $390.07
  • Model Account Values (Raw)
  • Cash
    $44,741
  • Margin Used
    $22,262
  • Buying Power
    $50,218
  • Ratios
  • W:L ratio
    9.96:1
  • Sharpe Ratio
    0.43
  • Sortino Ratio
    1.33
  • Calmar Ratio
    29.016
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    622.63%
  • Correlation to SP500
    -0.21250
  • Return Percent SP500 (cumu) during strategy life
    21.39%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    629.1%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • 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)
    6.291%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    619.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    99.84%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    320
  • 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
    $390
  • Avg Win
    $3,238
  • Sum Trade PL (losers)
    $31,206.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $310,838.000
  • # Winners
    96
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    80
  • % Winners
    54.5%
  • Frequency
  • Avg Position Time (mins)
    2237.50
  • Avg Position Time (hrs)
    37.29
  • Avg Trade Length
    1.6 days
  • Last Trade Ago
    169
  • Leverage
  • Daily leverage (average)
    4.11
  • Daily leverage (max)
    70.16
  • Regression
  • Alpha
    0.00
  • Beta
    -2.08
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.00
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -1.435
  • 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
    0.06
  • Avg(MAE) / Avg(PL) - Winning trades
    1.083
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.074
  • Hold-and-Hope Ratio
    3.008
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.15030
  • SD
    1.35091
  • Sharpe ratio (Glass type estimate)
    -0.85150
  • Sharpe ratio (Hedges UMVUE)
    -0.73964
  • df
    6.00000
  • t
    -0.65035
  • p
    0.73022
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.42719
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79087
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.33973
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.86045
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.89750
  • Upside Potential Ratio
    0.41181
  • Upside part of mean
    0.52780
  • Downside part of mean
    -1.67810
  • Upside SD
    0.17839
  • Downside SD
    1.28167
  • N nonnegative terms
    6.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.18774
  • Mean of criterion
    -1.15030
  • SD of predictor
    0.16686
  • SD of criterion
    1.35091
  • Covariance
    -0.15394
  • r
    -0.68290
  • b (slope, estimate of beta)
    -5.52870
  • a (intercept, estimate of alpha)
    -0.11234
  • Mean Square Error
    1.16866
  • DF error
    5.00000
  • t(b)
    -2.09032
  • p(b)
    0.95457
  • t(a)
    -0.07489
  • p(a)
    0.52840
  • Lowerbound of 95% confidence interval for beta
    -12.32790
  • Upperbound of 95% confidence interval for beta
    1.27053
  • Lowerbound of 95% confidence interval for alpha
    -3.96836
  • Upperbound of 95% confidence interval for alpha
    3.74369
  • Treynor index (mean / b)
    0.20806
  • Jensen alpha (a)
    -0.11234
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -5.92725
  • SD
    4.98318
  • Sharpe ratio (Glass type estimate)
    -1.18945
  • Sharpe ratio (Hedges UMVUE)
    -1.03319
  • df
    6.00000
  • t
    -0.90846
  • p
    0.80067
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.79346
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.50487
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.66512
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.59874
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.20532
  • Upside Potential Ratio
    0.10399
  • Upside part of mean
    0.51137
  • Downside part of mean
    -6.43862
  • Upside SD
    0.17261
  • Downside SD
    4.91758
  • N nonnegative terms
    6.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.17435
  • Mean of criterion
    -5.92725
  • SD of predictor
    0.16385
  • SD of criterion
    4.98318
  • Covariance
    -0.54220
  • r
    -0.66407
  • b (slope, estimate of beta)
    -20.19700
  • a (intercept, estimate of alpha)
    -2.40588
  • Mean Square Error
    16.65760
  • DF error
    5.00000
  • t(b)
    -1.98607
  • p(b)
    0.94812
  • t(a)
    -0.42731
  • p(a)
    0.65654
  • Lowerbound of 95% confidence interval for beta
    -46.33910
  • Upperbound of 95% confidence interval for beta
    5.94523
  • Lowerbound of 95% confidence interval for alpha
    -16.87940
  • Upperbound of 95% confidence interval for alpha
    12.06770
  • Treynor index (mean / b)
    0.29347
  • Jensen alpha (a)
    -2.40588
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.94274
  • Expected Shortfall on VaR
    0.96485
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.10743
  • Expected Shortfall on VaR
    0.32400
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.02343
  • Quartile 1
    1.02878
  • Median
    1.05726
  • Quartile 3
    1.06629
  • Maximum
    1.07445
  • Mean of quarter 1
    0.51686
  • Mean of quarter 2
    1.05227
  • Mean of quarter 3
    1.05999
  • Mean of quarter 4
    1.07352
  • Inter Quartile Range
    0.03751
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.02343
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.97657
  • Quartile 1
    0.97657
  • Median
    0.97657
  • Quartile 3
    0.97657
  • Maximum
    0.97657
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.65939
  • Compounded annual return (geometric extrapolation)
    -0.99726
  • Calmar ratio (compounded annual return / max draw down)
    -1.02119
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.03359
  • 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
    543290.00000
  • SD
    417457.00000
  • Sharpe ratio (Glass type estimate)
    1.30143
  • Sharpe ratio (Hedges UMVUE)
    1.29512
  • df
    155.00000
  • t
    1.00423
  • p
    0.44887
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24475
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.84354
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24898
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.83922
  • Statistics related to Sortino ratio
  • Sortino ratio
    245509.00000
  • Upside Potential Ratio
    245513.00000
  • Upside part of mean
    543298.00000
  • Downside part of mean
    -8.62529
  • Upside SD
    417468.00000
  • Downside SD
    2.21291
  • N nonnegative terms
    68.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    156.00000
  • Mean of predictor
    0.36271
  • Mean of criterion
    543290.00000
  • SD of predictor
    0.16218
  • SD of criterion
    417457.00000
  • Covariance
    42418.90000
  • r
    0.62655
  • b (slope, estimate of beta)
    1612800.00000
  • a (intercept, estimate of alpha)
    -41690.50000
  • Mean Square Error
    106544000000.00000
  • DF error
    154.00000
  • t(b)
    9.97632
  • p(b)
    0.18672
  • t(a)
    -0.09762
  • p(a)
    0.50393
  • Lowerbound of 95% confidence interval for beta
    1293440.00000
  • Upperbound of 95% confidence interval for beta
    1932160.00000
  • Lowerbound of 95% confidence interval for alpha
    -885338.00000
  • Upperbound of 95% confidence interval for alpha
    801957.00000
  • Treynor index (mean / b)
    0.33686
  • Jensen alpha (a)
    -41690.50000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.37382
  • SD
    23.37220
  • Sharpe ratio (Glass type estimate)
    0.14435
  • Sharpe ratio (Hedges UMVUE)
    0.14365
  • df
    155.00000
  • t
    0.11139
  • p
    0.49430
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.39592
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68422
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.39641
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68372
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.24795
  • Upside Potential Ratio
    2.53471
  • Upside part of mean
    34.48970
  • Downside part of mean
    -31.11590
  • Upside SD
    18.91170
  • Downside SD
    13.60700
  • N nonnegative terms
    68.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    156.00000
  • Mean of predictor
    0.34964
  • Mean of criterion
    3.37382
  • SD of predictor
    0.15966
  • SD of criterion
    23.37220
  • Covariance
    1.48059
  • r
    0.39677
  • b (slope, estimate of beta)
    58.08350
  • a (intercept, estimate of alpha)
    -16.93450
  • Mean Square Error
    463.25000
  • DF error
    154.00000
  • t(b)
    5.36416
  • p(b)
    0.30161
  • t(a)
    -0.60160
  • p(a)
    0.52421
  • Lowerbound of 95% confidence interval for beta
    36.69280
  • Upperbound of 95% confidence interval for beta
    79.47420
  • Lowerbound of 95% confidence interval for alpha
    -72.54210
  • Upperbound of 95% confidence interval for alpha
    38.67320
  • Treynor index (mean / b)
    0.05809
  • Jensen alpha (a)
    -16.93450
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.90579
  • Expected Shortfall on VaR
    0.94226
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07885
  • Expected Shortfall on VaR
    0.18149
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    156.00000
  • Minimum
    0.00054
  • Quartile 1
    0.99879
  • Median
    1.00000
  • Quartile 3
    1.00326
  • Maximum
    322131.00000
  • Mean of quarter 1
    0.86882
  • Mean of quarter 2
    0.99974
  • Mean of quarter 3
    1.00092
  • Mean of quarter 4
    8295.63000
  • Inter Quartile Range
    0.00447
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.12821
  • Mean of outliers low
    0.74685
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.11539
  • Mean of outliers high
    17972.70000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    2.49026
  • VaR(95%) (moments method)
    0.07075
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.20828
  • VaR(95%) (regression method)
    0.03801
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00056
  • Quartile 1
    0.00199
  • Median
    0.00359
  • Quartile 3
    0.01248
  • Maximum
    0.99998
  • Mean of quarter 1
    0.00111
  • Mean of quarter 2
    0.00306
  • Mean of quarter 3
    0.00726
  • Mean of quarter 4
    0.26586
  • Inter Quartile Range
    0.01049
  • 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
    0.99998
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.79638
  • VaR(95%) (moments method)
    0.16435
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    3.58489
  • VaR(95%) (regression method)
    0.37278
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    11.05030
  • Compounded annual return (geometric extrapolation)
    29.01580
  • Calmar ratio (compounded annual return / max draw down)
    29.01630
  • Compounded annual return / average of 25% largest draw downs
    109.14100
  • Compounded annual return / Expected Shortfall lognormal
    30.79380
  • 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
    646971.00000
  • SD
    455550.00000
  • Sharpe ratio (Glass type estimate)
    1.42020
  • Sharpe ratio (Hedges UMVUE)
    1.41199
  • df
    130.00000
  • t
    1.00423
  • p
    0.45613
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.35964
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.19472
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36513
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.18910
  • Statistics related to Sortino ratio
  • Sortino ratio
    267929.00000
  • Upside Potential Ratio
    267933.00000
  • Upside part of mean
    646981.00000
  • Downside part of mean
    -10.18170
  • Upside SD
    455565.00000
  • Downside SD
    2.41471
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.40311
  • Mean of criterion
    646971.00000
  • SD of predictor
    0.16673
  • SD of criterion
    455550.00000
  • Covariance
    50475.80000
  • r
    0.66456
  • b (slope, estimate of beta)
    1815740.00000
  • a (intercept, estimate of alpha)
    -84971.90000
  • Mean Square Error
    116773000000.00000
  • DF error
    129.00000
  • t(b)
    10.10110
  • p(b)
    0.11055
  • t(a)
    -0.17389
  • p(a)
    0.50975
  • Lowerbound of 95% confidence interval for beta
    1460090.00000
  • Upperbound of 95% confidence interval for beta
    2171390.00000
  • Lowerbound of 95% confidence interval for alpha
    -1051810.00000
  • Upperbound of 95% confidence interval for alpha
    881870.00000
  • Treynor index (mean / b)
    0.35631
  • Jensen alpha (a)
    -84971.90000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.92654
  • SD
    25.52060
  • Sharpe ratio (Glass type estimate)
    0.15386
  • Sharpe ratio (Hedges UMVUE)
    0.15297
  • df
    130.00000
  • t
    0.10879
  • p
    0.49523
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.61825
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.92549
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.61890
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.92484
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.26444
  • Upside Potential Ratio
    2.75382
  • Upside part of mean
    40.89070
  • Downside part of mean
    -36.96410
  • Upside SD
    20.63740
  • Downside SD
    14.84870
  • N nonnegative terms
    59.00000
  • N negative terms
    72.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.38930
  • Mean of criterion
    3.92654
  • SD of predictor
    0.16387
  • SD of criterion
    25.52060
  • Covariance
    1.76391
  • r
    0.42177
  • b (slope, estimate of beta)
    65.68430
  • a (intercept, estimate of alpha)
    -21.64400
  • Mean Square Error
    539.58900
  • DF error
    129.00000
  • t(b)
    5.28335
  • p(b)
    0.23968
  • t(a)
    -0.65182
  • p(a)
    0.53646
  • VAR (95 Confidence Intrvl)
    0.90600
  • Lowerbound of 95% confidence interval for beta
    41.08670
  • Upperbound of 95% confidence interval for beta
    90.28200
  • Lowerbound of 95% confidence interval for alpha
    -87.34180
  • Upperbound of 95% confidence interval for alpha
    44.05370
  • Treynor index (mean / b)
    0.05978
  • Jensen alpha (a)
    -21.64400
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.92410
  • Expected Shortfall on VaR
    0.95514
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09166
  • Expected Shortfall on VaR
    0.20973
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00054
  • Quartile 1
    0.99896
  • Median
    1.00000
  • Quartile 3
    1.00296
  • Maximum
    322131.00000
  • Mean of quarter 1
    0.84614
  • Mean of quarter 2
    0.99982
  • Mean of quarter 3
    1.00094
  • Mean of quarter 4
    9803.74000
  • Inter Quartile Range
    0.00401
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.14504
  • Mean of outliers low
    0.73430
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.11450
  • Mean of outliers high
    21567.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    2.71908
  • VaR(95%) (moments method)
    0.09526
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.12950
  • VaR(95%) (regression method)
    0.04297
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00056
  • Quartile 1
    0.00168
  • Median
    0.00358
  • Quartile 3
    0.00669
  • Maximum
    0.99998
  • Mean of quarter 1
    0.00088
  • Mean of quarter 2
    0.00252
  • Mean of quarter 3
    0.00450
  • Mean of quarter 4
    0.34668
  • Inter Quartile Range
    0.00501
  • 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
    0.16667
  • Mean of outliers high
    0.51409
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    2.04720
  • VaR(95%) (moments method)
    0.17716
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    4.89622
  • VaR(95%) (regression method)
    1.64676
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -421843000
  • Max Equity Drawdown (num days)
    13
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    12.44530
  • Compounded annual return (geometric extrapolation)
    51.16670
  • Calmar ratio (compounded annual return / max draw down)
    51.16750
  • Compounded annual return / average of 25% largest draw downs
    147.59100
  • Compounded annual return / Expected Shortfall lognormal
    53.56980

Strategy Description

follow long term trend, all trades are in control of risk management rules.

Summary Statistics

Strategy began
2023-04-12
Suggested Minimum Capital
$25,000
# Trades
176
# Profitable
96
% Profitable
54.5%
Correlation S&P500
-0.212
Sharpe Ratio
0.43
Sortino Ratio
1.33
Beta
-2.08
Alpha
0.00
Leverage
4.11 Average
70.16 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.