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Featured Strategy Income Trades Followed by live capital $89,400 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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HEDGED SP500 FUTURES
(148006793)

Created by: TENEDOS76 TENEDOS76
Started: 04/2024
Futures
Last trade: 3 days ago
Trading style: Equity Trend-following

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 $2,000.00 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: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
85.1%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(64.1%)
Max Drawdown
52
Num Trades
82.7%
Win Trades
2.6 : 1
Profit Factor
62.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                     (6.5%)+31.9%(15.8%)+17.1%+26.5%+0.7%(12.5%)+36.4%      +85.1%

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/14/24 10:13 @ESZ4 E-MINI S&P 500 LONG 3 5913.42 11/7 9:54 5982.25 17.43%
Trade id #149652476
Max drawdown($8,562)
Time11/4/24 0:00
Quant open1
Worst price5724.25
Drawdown as % of equity-17.43%
 $10,301
Includes Typical Broker Commissions trade costs of $24.00
10/11/24 10:18 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 20439.75 10/14 9:02 20550.00 1.75%
Trade id #149638141
Max drawdown($975)
Time10/11/24 10:52
Quant open1
Worst price20391.00
Drawdown as % of equity-1.75%
 $2,197
Includes Typical Broker Commissions trade costs of $8.00
10/9/24 11:27 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 20387.00 10/10 12:11 20500.00 3.16%
Trade id #149617395
Max drawdown($1,710)
Time10/10/24 9:50
Quant open1
Worst price20301.50
Drawdown as % of equity-3.16%
 $2,252
Includes Typical Broker Commissions trade costs of $8.00
10/2/24 10:20 @ESZ4 E-MINI S&P 500 LONG 2 5758.25 10/9 10:10 5810.00 7.1%
Trade id #149559718
Max drawdown($3,300)
Time10/8/24 0:00
Quant open2
Worst price5725.25
Drawdown as % of equity-7.10%
 $5,159
Includes Typical Broker Commissions trade costs of $16.00
10/1/24 11:04 @ESZ4 E-MINI S&P 500 SHORT 3 5747.67 10/2 10:20 5757.75 11.08%
Trade id #149550386
Max drawdown($5,412)
Time10/1/24 14:32
Quant open3
Worst price5783.75
Drawdown as % of equity-11.08%
 ($1,537)
Includes Typical Broker Commissions trade costs of $24.00
10/1/24 10:09 @ESZ4 E-MINI S&P 500 SHORT 3 5755.75 10/1 10:36 5754.00 1.72%
Trade id #149549515
Max drawdown($937)
Time10/1/24 10:23
Quant open3
Worst price5762.00
Drawdown as % of equity-1.72%
 $239
Includes Typical Broker Commissions trade costs of $24.00
9/19/24 13:55 @ESZ4 E-MINI S&P 500 LONG 2 5796.25 10/1 10:09 5756.00 11.96%
Trade id #149460529
Max drawdown($6,275)
Time9/20/24 0:00
Quant open2
Worst price5733.50
Drawdown as % of equity-11.96%
 ($4,041)
Includes Typical Broker Commissions trade costs of $16.00
9/19/24 13:54 @ESU4 E-MINI S&P 500 LONG 2 5736.00 9/19 13:54 5736.25 n/a $9
Includes Typical Broker Commissions trade costs of $16.00
9/19/24 8:46 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 1 20002.50 9/19 13:53 20192.75 1.5%
Trade id #149452759
Max drawdown($770)
Time9/19/24 9:52
Quant open1
Worst price19964.00
Drawdown as % of equity-1.50%
 $3,797
Includes Typical Broker Commissions trade costs of $8.00
8/22/24 7:03 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 19964.00 9/19 8:45 19767.00 98.41%
Trade id #148995095
Max drawdown($32,485)
Time9/6/24 0:00
Quant open1
Worst price18339.80
Drawdown as % of equity-98.41%
 ($3,948)
Includes Typical Broker Commissions trade costs of $8.00
8/26/24 4:19 @ESU4 E-MINI S&P 500 LONG 1 5663.75 9/3 21:44 5522.75 23.07%
Trade id #149048776
Max drawdown($7,812)
Time9/3/24 21:02
Quant open1
Worst price5507.50
Drawdown as % of equity-23.07%
 ($7,058)
Includes Typical Broker Commissions trade costs of $8.00
8/23/24 11:08 @ESU4 E-MINI S&P 500 LONG 1 5636.25 8/26 4:04 5660.00 2.88%
Trade id #149019240
Max drawdown($1,662)
Time8/23/24 12:46
Quant open1
Worst price5603.00
Drawdown as % of equity-2.88%
 $1,180
Includes Typical Broker Commissions trade costs of $8.00
8/21/24 14:32 @ESU4 E-MINI S&P 500 LONG 1 5649.75 8/22 15:48 5591.25 5.26%
Trade id #148988338
Max drawdown($3,250)
Time8/22/24 13:55
Quant open1
Worst price5584.75
Drawdown as % of equity-5.26%
 ($2,933)
Includes Typical Broker Commissions trade costs of $8.00
8/21/24 13:00 @ESU4 E-MINI S&P 500 LONG 2 5638.25 8/21 14:30 5650.00 0.31%
Trade id #148986736
Max drawdown($300)
Time8/21/24 14:05
Quant open2
Worst price5635.25
Drawdown as % of equity-0.31%
 $1,159
Includes Typical Broker Commissions trade costs of $16.00
8/21/24 12:53 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 19853.25 8/21 14:01 19916.25 n/a $1,252
Includes Typical Broker Commissions trade costs of $8.00
8/21/24 11:05 @ESU4 E-MINI S&P 500 LONG 2 5632.62 8/21 12:53 5631.25 3.35%
Trade id #148982870
Max drawdown($1,912)
Time8/21/24 12:03
Quant open2
Worst price5613.50
Drawdown as % of equity-3.35%
 ($154)
Includes Typical Broker Commissions trade costs of $16.00
8/21/24 10:54 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 19817.25 8/21 11:17 19883.25 0.52%
Trade id #148982658
Max drawdown($295)
Time8/21/24 11:01
Quant open1
Worst price19802.50
Drawdown as % of equity-0.52%
 $1,312
Includes Typical Broker Commissions trade costs of $8.00
8/21/24 10:07 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 19896.50 8/21 10:42 19971.75 1.96%
Trade id #148981740
Max drawdown($1,115)
Time8/21/24 10:16
Quant open1
Worst price19840.80
Drawdown as % of equity-1.96%
 $1,497
Includes Typical Broker Commissions trade costs of $8.00
8/21/24 10:06: Rescaled downward to 50% of previous Model Account size
8/20/24 7:49 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1.500000000 19839.83 8/21 10:05 19898.75 3.56%
Trade id #148964116
Max drawdown($1,902)
Time8/20/24 13:00
Quant open1
Worst price19748.20
Drawdown as % of equity-3.56%
 $1,756
Includes Typical Broker Commissions trade costs of $12.00
8/9/24 12:44 MRT MARTI TECHNOLOGIES INC LONG 5,000 2.35 8/20 14:22 2.50 2.98%
Trade id #148878673
Max drawdown($1,275)
Time8/12/24 0:00
Quant open2,500
Worst price1.84
Drawdown as % of equity-2.98%
 $745
Includes Typical Broker Commissions trade costs of $5.00
8/19/24 10:15 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 0.500000000 19612.50 8/19 14:33 19750.00 0.74%
Trade id #148952382
Max drawdown($417)
Time8/19/24 10:19
Quant open0
Worst price19529.00
Drawdown as % of equity-0.74%
 $1,371
Includes Typical Broker Commissions trade costs of $4.00
8/16/24 12:33 @ESU4 E-MINI S&P 500 LONG 0.500000000 5576.25 8/16 12:54 5580.00 0.02%
Trade id #148939623
Max drawdown($12)
Time8/16/24 12:42
Quant open0
Worst price5575.25
Drawdown as % of equity-0.02%
 $90
Includes Typical Broker Commissions trade costs of $4.00
8/16/24 6:40 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 19584.62 8/16 12:32 19620.75 2.49%
Trade id #148935567
Max drawdown($1,371)
Time8/16/24 8:54
Quant open0
Worst price19447.50
Drawdown as % of equity-2.49%
 $715
Includes Typical Broker Commissions trade costs of $8.00
8/16/24 4:44 @ESU4 E-MINI S&P 500 SHORT 0.500000000 5571.25 8/16 6:33 5560.00 0.12%
Trade id #148935196
Max drawdown($65)
Time8/16/24 5:23
Quant open0
Worst price5576.50
Drawdown as % of equity-0.12%
 $277
Includes Typical Broker Commissions trade costs of $4.00
8/15/24 13:26 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1.500000000 19560.08 8/15 19:14 19591.25 0.31%
Trade id #148929617
Max drawdown($170)
Time8/15/24 15:52
Quant open0
Worst price19543.00
Drawdown as % of equity-0.31%
 $923
Includes Typical Broker Commissions trade costs of $12.00
8/15/24 13:11 @NQU4 E-MINI NASDAQ 100 STK IDX SHORT 1 19529.88 8/15 13:26 19544.50 0.36%
Trade id #148929342
Max drawdown($186)
Time8/15/24 13:26
Quant open0
Worst price19548.50
Drawdown as % of equity-0.36%
 ($301)
Includes Typical Broker Commissions trade costs of $8.00
8/15/24 10:13 @ESU4 E-MINI S&P 500 LONG 1 5534.75 8/15 10:35 5545.00 0.1%
Trade id #148925594
Max drawdown($50)
Time8/15/24 10:16
Quant open0
Worst price5532.75
Drawdown as % of equity-0.10%
 $505
Includes Typical Broker Commissions trade costs of $8.00
8/15/24 8:36 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 0.500000000 19273.50 8/15 9:32 19373.00 n/a $991
Includes Typical Broker Commissions trade costs of $4.00
8/14/24 11:35 @ESU4 E-MINI S&P 500 LONG 1.500000000 5479.92 8/15 8:30 5497.00 1.81%
Trade id #148915318
Max drawdown($906)
Time8/14/24 12:45
Quant open1
Worst price5455.75
Drawdown as % of equity-1.81%
 $1,269
Includes Typical Broker Commissions trade costs of $12.00
8/14/24 10:49 @ESU4 E-MINI S&P 500 LONG 1 5460.25 8/14 11:31 5472.00 0.06%
Trade id #148914464
Max drawdown($28)
Time8/14/24 10:52
Quant open0
Worst price5454.25
Drawdown as % of equity-0.06%
 $580
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    4/25/2024
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    199.26
  • Age
    7 months ago
  • What it trades
    Futures
  • # Trades
    52
  • # Profitable
    43
  • % Profitable
    82.70%
  • Avg trade duration
    4.0 days
  • Max peak-to-valley drawdown
    64.09%
  • drawdown period
    Aug 22, 2024 - Sept 06, 2024
  • Cumul. Return
    85.1%
  • Avg win
    $1,546
  • Avg loss
    $2,857
  • Model Account Values (Raw)
  • Cash
    $76,276
  • Margin Used
    $0
  • Buying Power
    $76,276
  • Ratios
  • W:L ratio
    2.59:1
  • Sharpe Ratio
    1.38
  • Sortino Ratio
    2.05
  • Calmar Ratio
    5.686
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    66.38%
  • Correlation to SP500
    0.54010
  • Return Percent SP500 (cumu) during strategy life
    18.76%
  • Return Statistics
  • Ann Return (w trading costs)
    203.2%
  • Slump
  • Current Slump as Pcnt Equity
    0.10%
  • Instruments
  • Percent Trades Futures
    0.93%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.40%
  • 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)
    0.851%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.07%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    303.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    62.00%
  • Chance of 20% account loss
    36.50%
  • Chance of 30% account loss
    17.50%
  • Chance of 40% account loss
    8.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.50%
  • Popularity
  • Popularity (Today)
    494
  • Popularity (Last 6 weeks)
    667
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    941
  • Popularity (7 days, Percentile 1000 scale)
    557
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,858
  • Avg Win
    $1,547
  • Sum Trade PL (losers)
    $25,719.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $66,502.000
  • # Winners
    43
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    9
  • % Winners
    82.7%
  • Frequency
  • Avg Position Time (mins)
    5816.00
  • Avg Position Time (hrs)
    96.93
  • Avg Trade Length
    4.0 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    5.70
  • Daily leverage (max)
    18.08
  • Regression
  • Alpha
    0.11
  • Beta
    3.79
  • Treynor Index
    0.11
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.22
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.18
  • Avg(MAE) / Avg(PL) - All trades
    2.552
  • 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
    0.11
  • Avg(MAE) / Avg(PL) - Winning trades
    0.540
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.356
  • Hold-and-Hope Ratio
    0.392
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.38353
  • SD
    0.83963
  • Sharpe ratio (Glass type estimate)
    1.64777
  • Sharpe ratio (Hedges UMVUE)
    1.38536
  • df
    5.00000
  • t
    1.16515
  • p
    0.14826
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36673
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.52205
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51639
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.28712
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.72850
  • Upside Potential Ratio
    12.79780
  • Upside part of mean
    1.65039
  • Downside part of mean
    -0.26686
  • Upside SD
    0.85462
  • Downside SD
    0.12896
  • N nonnegative terms
    3.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.25736
  • Mean of criterion
    1.38353
  • SD of predictor
    0.06342
  • SD of criterion
    0.83963
  • Covariance
    0.01859
  • r
    0.34921
  • b (slope, estimate of beta)
    4.62345
  • a (intercept, estimate of alpha)
    0.19362
  • Mean Square Error
    0.77376
  • DF error
    4.00000
  • t(b)
    0.74535
  • p(b)
    0.24874
  • t(a)
    0.09567
  • p(a)
    0.46419
  • Lowerbound of 95% confidence interval for beta
    -12.60240
  • Upperbound of 95% confidence interval for beta
    21.84940
  • Lowerbound of 95% confidence interval for alpha
    -5.42671
  • Upperbound of 95% confidence interval for alpha
    5.81396
  • Treynor index (mean / b)
    0.29924
  • Jensen alpha (a)
    0.19362
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.09810
  • SD
    0.68639
  • Sharpe ratio (Glass type estimate)
    1.59981
  • Sharpe ratio (Hedges UMVUE)
    1.34504
  • df
    5.00000
  • t
    1.13124
  • p
    0.15464
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.40352
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.46609
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54942
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.23950
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.21680
  • Upside Potential Ratio
    10.27420
  • Upside part of mean
    1.37305
  • Downside part of mean
    -0.27495
  • Upside SD
    0.68937
  • Downside SD
    0.13364
  • N nonnegative terms
    3.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.25246
  • Mean of criterion
    1.09810
  • SD of predictor
    0.06197
  • SD of criterion
    0.68639
  • Covariance
    0.01557
  • r
    0.36603
  • b (slope, estimate of beta)
    4.05432
  • a (intercept, estimate of alpha)
    0.07456
  • Mean Square Error
    0.51001
  • DF error
    4.00000
  • t(b)
    0.78666
  • p(b)
    0.23774
  • t(a)
    0.04527
  • p(a)
    0.48303
  • Lowerbound of 95% confidence interval for beta
    -10.25790
  • Upperbound of 95% confidence interval for beta
    18.36660
  • Lowerbound of 95% confidence interval for alpha
    -4.49943
  • Upperbound of 95% confidence interval for alpha
    4.64855
  • Treynor index (mean / b)
    0.27085
  • Jensen alpha (a)
    0.07456
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20896
  • Expected Shortfall on VaR
    0.26991
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05200
  • Expected Shortfall on VaR
    0.08913
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.91985
  • Quartile 1
    0.97168
  • Median
    1.02266
  • Quartile 3
    1.16847
  • Maximum
    1.56880
  • Mean of quarter 1
    0.94317
  • Mean of quarter 2
    0.98720
  • Mean of quarter 3
    1.05812
  • Mean of quarter 4
    1.38703
  • Inter Quartile Range
    0.19680
  • 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
    0.16667
  • Mean of outliers high
    1.56880
  • 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
    2.00000
  • Minimum
    0.03350
  • Quartile 1
    0.04811
  • Median
    0.06271
  • Quartile 3
    0.07732
  • Maximum
    0.09192
  • Mean of quarter 1
    0.03350
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09192
  • Inter Quartile Range
    0.02921
  • 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)
    1.51187
  • Compounded annual return (geometric extrapolation)
    2.08331
  • Calmar ratio (compounded annual return / max draw down)
    22.66420
  • Compounded annual return / average of 25% largest draw downs
    22.66420
  • Compounded annual return / Expected Shortfall lognormal
    7.71848
  • 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
    1.65895
  • SD
    0.78694
  • Sharpe ratio (Glass type estimate)
    2.10811
  • Sharpe ratio (Hedges UMVUE)
    2.09679
  • df
    140.00000
  • t
    1.54651
  • p
    0.43520
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57859
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.78749
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58618
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.77977
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.15814
  • Upside Potential Ratio
    9.58993
  • Upside part of mean
    5.03753
  • Downside part of mean
    -3.37858
  • Upside SD
    0.59114
  • Downside SD
    0.52529
  • N nonnegative terms
    78.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    141.00000
  • Mean of predictor
    0.30078
  • Mean of criterion
    1.65895
  • SD of predictor
    0.13452
  • SD of criterion
    0.78694
  • Covariance
    0.05744
  • r
    0.54263
  • b (slope, estimate of beta)
    3.17447
  • a (intercept, estimate of alpha)
    0.70400
  • Mean Square Error
    0.44007
  • DF error
    139.00000
  • t(b)
    7.61640
  • p(b)
    0.17234
  • t(a)
    0.77129
  • p(a)
    0.45847
  • Lowerbound of 95% confidence interval for beta
    2.35039
  • Upperbound of 95% confidence interval for beta
    3.99854
  • Lowerbound of 95% confidence interval for alpha
    -1.10088
  • Upperbound of 95% confidence interval for alpha
    2.50915
  • Treynor index (mean / b)
    0.52259
  • Jensen alpha (a)
    0.70413
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.34323
  • SD
    0.79594
  • Sharpe ratio (Glass type estimate)
    1.68760
  • Sharpe ratio (Hedges UMVUE)
    1.67854
  • df
    140.00000
  • t
    1.23802
  • p
    0.44797
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99433
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.36369
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.00039
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.35748
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.37842
  • Upside Potential Ratio
    8.62907
  • Upside part of mean
    4.87332
  • Downside part of mean
    -3.53009
  • Upside SD
    0.56299
  • Downside SD
    0.56476
  • N nonnegative terms
    78.00000
  • N negative terms
    63.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    141.00000
  • Mean of predictor
    0.29158
  • Mean of criterion
    1.34323
  • SD of predictor
    0.13468
  • SD of criterion
    0.79594
  • Covariance
    0.05790
  • r
    0.54012
  • b (slope, estimate of beta)
    3.19211
  • a (intercept, estimate of alpha)
    0.41245
  • Mean Square Error
    0.45193
  • DF error
    139.00000
  • t(b)
    7.56662
  • p(b)
    0.17369
  • t(a)
    0.44609
  • p(a)
    0.47593
  • Lowerbound of 95% confidence interval for beta
    2.35800
  • Upperbound of 95% confidence interval for beta
    4.02621
  • Lowerbound of 95% confidence interval for alpha
    -1.41564
  • Upperbound of 95% confidence interval for alpha
    2.24055
  • Treynor index (mean / b)
    0.42080
  • Jensen alpha (a)
    0.41245
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07296
  • Expected Shortfall on VaR
    0.09166
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02704
  • Expected Shortfall on VaR
    0.05843
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    141.00000
  • Minimum
    0.80913
  • Quartile 1
    0.98905
  • Median
    1.00543
  • Quartile 3
    1.02542
  • Maximum
    1.16395
  • Mean of quarter 1
    0.95380
  • Mean of quarter 2
    0.99664
  • Mean of quarter 3
    1.01505
  • Mean of quarter 4
    1.06177
  • Inter Quartile Range
    0.03637
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04255
  • Mean of outliers low
    0.86997
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.04965
  • Mean of outliers high
    1.12266
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40493
  • VaR(95%) (moments method)
    0.03952
  • Expected Shortfall (moments method)
    0.08024
  • Extreme Value Index (regression method)
    0.29299
  • VaR(95%) (regression method)
    0.04965
  • Expected Shortfall (regression method)
    0.09201
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00364
  • Quartile 1
    0.09229
  • Median
    0.11033
  • Quartile 3
    0.23392
  • Maximum
    0.51705
  • Mean of quarter 1
    0.04797
  • Mean of quarter 2
    0.11033
  • Mean of quarter 3
    0.23392
  • Mean of quarter 4
    0.51705
  • Inter Quartile Range
    0.14163
  • 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
    0.20000
  • Mean of outliers high
    0.51705
  • 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)
    2.02825
  • Compounded annual return (geometric extrapolation)
    2.93981
  • Calmar ratio (compounded annual return / max draw down)
    5.68570
  • Compounded annual return / average of 25% largest draw downs
    5.68570
  • Compounded annual return / Expected Shortfall lognormal
    32.07250
  • 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
    1.47303
  • SD
    0.79304
  • Sharpe ratio (Glass type estimate)
    1.85746
  • Sharpe ratio (Hedges UMVUE)
    1.84672
  • df
    130.00000
  • t
    1.31342
  • p
    0.44278
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92704
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.63494
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93416
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.62760
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.76400
  • Upside Potential Ratio
    9.14649
  • Upside part of mean
    4.87449
  • Downside part of mean
    -3.40145
  • Upside SD
    0.59023
  • Downside SD
    0.53294
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.26055
  • Mean of criterion
    1.47303
  • SD of predictor
    0.13455
  • SD of criterion
    0.79304
  • Covariance
    0.05563
  • r
    0.52138
  • b (slope, estimate of beta)
    3.07294
  • a (intercept, estimate of alpha)
    0.67239
  • Mean Square Error
    0.46150
  • DF error
    129.00000
  • t(b)
    6.93959
  • p(b)
    0.18380
  • t(a)
    0.69488
  • p(a)
    0.46115
  • Lowerbound of 95% confidence interval for beta
    2.19683
  • Upperbound of 95% confidence interval for beta
    3.94906
  • Lowerbound of 95% confidence interval for alpha
    -1.24209
  • Upperbound of 95% confidence interval for alpha
    2.58686
  • Treynor index (mean / b)
    0.47936
  • Jensen alpha (a)
    0.67239
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.15333
  • SD
    0.80273
  • Sharpe ratio (Glass type estimate)
    1.43676
  • Sharpe ratio (Hedges UMVUE)
    1.42846
  • df
    130.00000
  • t
    1.01594
  • p
    0.45562
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.34320
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.21140
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.34878
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.20569
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.00908
  • Upside Potential Ratio
    8.20671
  • Upside part of mean
    4.71115
  • Downside part of mean
    -3.55782
  • Upside SD
    0.56124
  • Downside SD
    0.57406
  • N nonnegative terms
    71.00000
  • N negative terms
    60.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25140
  • Mean of criterion
    1.15333
  • SD of predictor
    0.13472
  • SD of criterion
    0.80273
  • Covariance
    0.05611
  • r
    0.51890
  • b (slope, estimate of beta)
    3.09193
  • a (intercept, estimate of alpha)
    0.37602
  • Mean Square Error
    0.47452
  • DF error
    129.00000
  • t(b)
    6.89432
  • p(b)
    0.18515
  • t(a)
    0.38342
  • p(a)
    0.47852
  • VAR (95 Confidence Intrvl)
    0.07300
  • Lowerbound of 95% confidence interval for beta
    2.20461
  • Upperbound of 95% confidence interval for beta
    3.97925
  • Lowerbound of 95% confidence interval for alpha
    -1.56431
  • Upperbound of 95% confidence interval for alpha
    2.31635
  • Treynor index (mean / b)
    0.37301
  • Jensen alpha (a)
    0.37602
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07427
  • Expected Shortfall on VaR
    0.09310
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02767
  • Expected Shortfall on VaR
    0.05971
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.80913
  • Quartile 1
    0.98894
  • Median
    1.00472
  • Quartile 3
    1.02160
  • Maximum
    1.16395
  • Mean of quarter 1
    0.95337
  • Mean of quarter 2
    0.99590
  • Mean of quarter 3
    1.01350
  • Mean of quarter 4
    1.06039
  • Inter Quartile Range
    0.03266
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.87995
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.11546
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.41040
  • VaR(95%) (moments method)
    0.03968
  • Expected Shortfall (moments method)
    0.08116
  • Extreme Value Index (regression method)
    0.31985
  • VaR(95%) (regression method)
    0.04883
  • Expected Shortfall (regression method)
    0.09284
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.09229
  • Quartile 1
    0.16311
  • Median
    0.23392
  • Quartile 3
    0.37549
  • Maximum
    0.51705
  • Mean of quarter 1
    0.09229
  • Mean of quarter 2
    0.23392
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.51705
  • Inter Quartile Range
    0.21238
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -349948000
  • Max Equity Drawdown (num days)
    15
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.61021
  • Compounded annual return (geometric extrapolation)
    2.25840
  • Calmar ratio (compounded annual return / max draw down)
    4.36783
  • Compounded annual return / average of 25% largest draw downs
    4.36783
  • Compounded annual return / Expected Shortfall lognormal
    24.25730

Strategy Description

Good stock selection with an emphasis on value stocks combined with industry leading risk management algo. the algo very similar to what rentec and citadel both use.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2024-04-25
Suggested Minimum Capital
$60,000
Rank at C2 %
Top 5.9%
Rank # 
#321
# Trades
52
# Profitable
43
% Profitable
82.7%
Correlation S&P500
0.540
Sharpe Ratio
1.38
Sortino Ratio
2.05
Beta
3.79
Alpha
0.11
Leverage
5.70 Average
18.08 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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