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These are hypothetical performance results that have certain inherent limitations. Learn more

Aerospace Engineering
(130650608)

Created by: reconFactor reconFactor
Started: 08/2020
Forex
Last trade: Today

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.

13.2%
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.

(21.2%)
Max Drawdown
655
Num Trades
57.1%
Win Trades
1.4 : 1
Profit Factor
60.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                 (1.4%)+5.4%+7.6%(2.2%)+3.3%+12.8%
2021+3.3%+0.4%(7.7%)+1.0%+0.4%(1.2%)+5.6%+6.5%+4.1%(0.9%)+4.9%+1.1%+18.1%
2022+8.7%(0.3%)(7.7%)(1.4%)+2.6%+0.8%+2.8%(2.9%)+2.3%+1.6%+1.0%(1.2%)+5.5%
2023+2.3%+8.6%(1.4%)(0.6%)(0.8%)(2.2%)(1.6%)(0.2%)+4.0%(5.2%)+1.3%+1.7%+5.3%
2024+4.1%+0.3%                                                            +4.5%

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.

Trading Record

This strategy has placed 124 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 719 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/15/24 22:07 GBP/CAD GBP/CAD LONG 5 1.69709 2/20 8:29 1.70255 0.17%
Trade id #147351187
Max drawdown($105)
Time2/16/24 0:00
Quant open5
Worst price1.69425
Drawdown as % of equity-0.17%
$202
2/14/24 0:18 GBP/CHF GBP/CHF SHORT 7 1.11662 2/14 10:46 1.11165 0.09%
Trade id #147331116
Max drawdown($54)
Time2/14/24 1:54
Quant open7
Worst price1.11731
Drawdown as % of equity-0.09%
$392
2/1/24 14:06 GBP/NZD GBP/NZD SHORT 5 2.07581 2/5 23:55 2.06715 0.47%
Trade id #147196615
Max drawdown($284)
Time2/2/24 0:00
Quant open5
Worst price2.08520
Drawdown as % of equity-0.47%
$263
1/23/24 4:36 CHF/JPY CHF/JPY SHORT 5 169.937 1/31 12:22 170.245 1.09%
Trade id #147094451
Max drawdown($643)
Time1/29/24 0:00
Quant open5
Worst price171.825
Drawdown as % of equity-1.09%
($105)
1/23/24 4:35 EUR/NZD EUR/NZD SHORT 5 1.78749 1/30 2:34 1.76000 0.05%
Trade id #147094444
Max drawdown($32)
Time1/23/24 5:04
Quant open5
Worst price1.78855
Drawdown as % of equity-0.05%
$844
1/4/24 11:22 EUR/JPY EUR/JPY SHORT 5 158.432 1/9 9:53 157.431 0.33%
Trade id #146907187
Max drawdown($194)
Time1/5/24 0:00
Quant open5
Worst price158.995
Drawdown as % of equity-0.33%
$348
1/4/24 11:23 GBP/JPY GBP/JPY SHORT 5 183.563 1/9 9:53 183.042 0.43%
Trade id #146907194
Max drawdown($254)
Time1/5/24 0:00
Quant open5
Worst price184.300
Drawdown as % of equity-0.43%
$181
1/2/24 23:45 GBP/JPY GBP/JPY LONG 5 179.369 1/3 12:38 181.542 0.02%
Trade id #146881646
Max drawdown($9)
Time1/2/24 23:51
Quant open5
Worst price179.342
Drawdown as % of equity-0.02%
$757
1/2/24 23:38 GBP/CAD GBP/CAD LONG 5 1.68438 1/3 12:32 1.68940 0.14%
Trade id #146881640
Max drawdown($83)
Time1/3/24 5:01
Quant open5
Worst price1.68215
Drawdown as % of equity-0.14%
$188
1/2/24 23:37 EUR/JPY EUR/JPY LONG 5 155.589 1/3 12:20 156.522 0.04%
Trade id #146881637
Max drawdown($23)
Time1/2/24 23:51
Quant open5
Worst price155.521
Drawdown as % of equity-0.04%
$325
12/19/23 18:53 GBP/AUD GBP/AUD LONG 5 1.88316 12/21 10:59 1.86500 1.08%
Trade id #146751623
Max drawdown($627)
Time12/21/23 10:59
Quant open5
Worst price1.86466
Drawdown as % of equity-1.08%
($616)
12/12/23 10:59 EUR/AUD EUR/AUD SHORT 5 1.64373 12/13 14:22 1.63462 0.24%
Trade id #146671403
Max drawdown($141)
Time12/13/23 2:00
Quant open5
Worst price1.64795
Drawdown as % of equity-0.24%
$303
12/12/23 11:23 AUD/CAD AUD/CAD LONG 5 0.89290 12/13 14:22 0.89940 0.22%
Trade id #146671876
Max drawdown($126)
Time12/12/23 17:15
Quant open5
Worst price0.88949
Drawdown as % of equity-0.22%
$240
12/12/23 10:57 USD/CHF USD/CHF LONG 5 0.87670 12/13 14:22 0.87245 0.52%
Trade id #146671368
Max drawdown($301)
Time12/13/23 14:21
Quant open5
Worst price0.87147
Drawdown as % of equity-0.52%
($244)
11/28/23 18:30 USD/JPY USD/JPY SHORT 10 147.055 12/4 10:10 146.595 1.73%
Trade id #146560290
Max drawdown($998)
Time11/30/23 0:00
Quant open10
Worst price148.523
Drawdown as % of equity-1.73%
$314
11/30/23 12:01 CAD/JPY CAD/JPY SHORT 7 108.815 12/4 10:10 108.367 0.7%
Trade id #146578980
Max drawdown($398)
Time12/1/23 0:00
Quant open7
Worst price109.653
Drawdown as % of equity-0.70%
$214
11/15/23 10:08 AUD/NZD AUD/NZD LONG 5 1.08077 11/20 11:10 1.08782 0.08%
Trade id #146447498
Max drawdown($47)
Time11/15/23 17:19
Quant open5
Worst price1.07920
Drawdown as % of equity-0.08%
$212
11/14/23 20:13 EUR/JPY EUR/JPY SHORT 10 163.659 11/16 12:09 163.437 0.75%
Trade id #146440549
Max drawdown($431)
Time11/16/23 3:34
Quant open10
Worst price164.308
Drawdown as % of equity-0.75%
$147
11/12/23 23:56 GBP/USD GBP/USD LONG 5 1.22290 11/14 8:44 1.23934 0.18%
Trade id #146415264
Max drawdown($99)
Time11/13/23 0:00
Quant open5
Worst price1.22092
Drawdown as % of equity-0.18%
$822
11/13/23 0:13 AUD/USD AUD/USD LONG 5 0.63621 11/14 8:44 0.64390 0.13%
Trade id #146415315
Max drawdown($74)
Time11/14/23 8:30
Quant open5
Worst price0.63473
Drawdown as % of equity-0.13%
$385
11/8/23 13:35 GBP/CHF GBP/CHF LONG 10 1.10613 11/14 8:44 1.10951 1.19%
Trade id #146369222
Max drawdown($660)
Time11/10/23 0:00
Quant open10
Worst price1.10026
Drawdown as % of equity-1.19%
$378
7/17/23 10:00 EUR/GBP EUR/GBP SHORT 9 0.86378 11/14 8:44 0.87084 2.39%
Trade id #145234921
Max drawdown($1,321)
Time11/10/23 0:00
Quant open9
Worst price0.87554
Drawdown as % of equity-2.39%
($788)
10/12/23 2:01 USD/CHF USD/CHF LONG 5 0.90000 10/23 22:23 0.89000 1%
Trade id #146106574
Max drawdown($561)
Time10/23/23 22:23
Quant open5
Worst price0.88999
Drawdown as % of equity-1.00%
($562)
9/11/23 20:46 EUR/CHF EUR/CHF LONG 7 0.95806 10/18 10:12 0.94500 1.79%
Trade id #145793367
Max drawdown($1,020)
Time10/18/23 10:12
Quant open7
Worst price0.94495
Drawdown as % of equity-1.79%
($1,021)
10/9/23 23:33 CHF/JPY CHF/JPY SHORT 5 164.158 10/18 9:47 167.000 1.66%
Trade id #146083474
Max drawdown($950)
Time10/18/23 9:47
Quant open5
Worst price167.007
Drawdown as % of equity-1.66%
($949)
10/9/23 23:31 EUR/NZD EUR/NZD LONG 5 1.75500 10/16 20:03 1.79000 0.22%
Trade id #146083468
Max drawdown($126)
Time10/10/23 0:00
Quant open5
Worst price1.75072
Drawdown as % of equity-0.22%
$1,032
9/3/23 23:22 GBP/NZD GBP/NZD SHORT 5 2.11700 10/6 11:04 2.04675 1.3%
Trade id #145727920
Max drawdown($728)
Time9/6/23 0:00
Quant open5
Worst price2.14143
Drawdown as % of equity-1.30%
$2,105
9/3/23 23:17 NZD/JPY NZD/JPY SHORT 5 86.994 9/28 6:57 89.000 1.15%
Trade id #145727904
Max drawdown($674)
Time9/28/23 6:57
Quant open5
Worst price89.008
Drawdown as % of equity-1.15%
($672)
9/3/23 23:19 USD/CAD USD/CAD SHORT 5 1.35858 9/19 4:12 1.34499 0.72%
Trade id #145727910
Max drawdown($405)
Time9/7/23 0:00
Quant open5
Worst price1.36944
Drawdown as % of equity-0.72%
$505
7/17/23 9:58 EUR/USD EUR/USD SHORT 5 1.12204 7/27 9:40 1.10000 0.5%
Trade id #145234826
Max drawdown($276)
Time7/18/23 0:00
Quant open5
Worst price1.12757
Drawdown as % of equity-0.50%
$1,102

Statistics

  • Strategy began
    8/17/2020
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    1282.5
  • Age
    43 months ago
  • What it trades
    Forex
  • # Trades
    655
  • # Profitable
    374
  • % Profitable
    57.10%
  • Avg trade duration
    3.7 days
  • Max peak-to-valley drawdown
    21.18%
  • drawdown period
    Feb 14, 2022 - May 16, 2022
  • Annual Return (Compounded)
    13.2%
  • Avg win
    $262.26
  • Avg loss
    $250.06
  • Model Account Values (Raw)
  • Cash
    $67,504
  • Margin Used
    $5,093
  • Buying Power
    $61,725
  • Ratios
  • W:L ratio
    1.40:1
  • Sharpe Ratio
    0.64
  • Sortino Ratio
    0.99
  • Calmar Ratio
    0.924
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    7.44%
  • Correlation to SP500
    0.03880
  • Return Percent SP500 (cumu) during strategy life
    47.12%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    13.2%
  • Slump
  • Current Slump as Pcnt Equity
    1.60%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.28%
  • 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)
    0.132%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    16.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.50%
  • Chance of 20% account loss
    10.00%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    672
  • Popularity (Last 6 weeks)
    754
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    956
  • Popularity (7 days, Percentile 1000 scale)
    704
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $250
  • Avg Win
    $262
  • Sum Trade PL (losers)
    $70,230.000
  • Age
  • Num Months filled monthly returns table
    43
  • Win / Loss
  • Sum Trade PL (winners)
    $98,086.000
  • # Winners
    374
  • Num Months Winners
    26
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    281
  • % Winners
    57.1%
  • Frequency
  • Avg Position Time (mins)
    5346.57
  • Avg Position Time (hrs)
    89.11
  • Avg Trade Length
    3.7 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    3.34
  • Daily leverage (max)
    9.97
  • Regression
  • Alpha
    0.03
  • Beta
    0.03
  • Treynor Index
    0.95
  • 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)
    -5.14
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    8.087
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.691
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.016
  • Hold-and-Hope Ratio
    0.123
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14260
  • SD
    0.17175
  • Sharpe ratio (Glass type estimate)
    0.83028
  • Sharpe ratio (Hedges UMVUE)
    0.81459
  • df
    40.00000
  • t
    1.53470
  • p
    0.06637
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25046
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.90101
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26067
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88986
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.71152
  • Upside Potential Ratio
    3.54440
  • Upside part of mean
    0.29532
  • Downside part of mean
    -0.15272
  • Upside SD
    0.15340
  • Downside SD
    0.08332
  • N nonnegative terms
    23.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    41.00000
  • Mean of predictor
    0.08697
  • Mean of criterion
    0.14260
  • SD of predictor
    0.13690
  • SD of criterion
    0.17175
  • Covariance
    0.00152
  • r
    0.06455
  • b (slope, estimate of beta)
    0.08099
  • a (intercept, estimate of alpha)
    0.13556
  • Mean Square Error
    0.03013
  • DF error
    39.00000
  • t(b)
    0.40399
  • p(b)
    0.34421
  • t(a)
    1.41930
  • p(a)
    0.08188
  • Lowerbound of 95% confidence interval for beta
    -0.32451
  • Upperbound of 95% confidence interval for beta
    0.48649
  • Lowerbound of 95% confidence interval for alpha
    -0.05763
  • Upperbound of 95% confidence interval for alpha
    0.32875
  • Treynor index (mean / b)
    1.76077
  • Jensen alpha (a)
    0.13556
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12776
  • SD
    0.16653
  • Sharpe ratio (Glass type estimate)
    0.76719
  • Sharpe ratio (Hedges UMVUE)
    0.75270
  • df
    40.00000
  • t
    1.41808
  • p
    0.08196
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.31095
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.83605
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32040
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.82579
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.49346
  • Upside Potential Ratio
    3.31644
  • Upside part of mean
    0.28371
  • Downside part of mean
    -0.15595
  • Upside SD
    0.14525
  • Downside SD
    0.08555
  • N nonnegative terms
    23.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    41.00000
  • Mean of predictor
    0.07735
  • Mean of criterion
    0.12776
  • SD of predictor
    0.13720
  • SD of criterion
    0.16653
  • Covariance
    0.00157
  • r
    0.06875
  • b (slope, estimate of beta)
    0.08345
  • a (intercept, estimate of alpha)
    0.12131
  • Mean Square Error
    0.02831
  • DF error
    39.00000
  • t(b)
    0.43037
  • p(b)
    0.33465
  • t(a)
    1.31493
  • p(a)
    0.09811
  • Lowerbound of 95% confidence interval for beta
    -0.30875
  • Upperbound of 95% confidence interval for beta
    0.47565
  • Lowerbound of 95% confidence interval for alpha
    -0.06529
  • Upperbound of 95% confidence interval for alpha
    0.30791
  • Treynor index (mean / b)
    1.53103
  • Jensen alpha (a)
    0.12131
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06614
  • Expected Shortfall on VaR
    0.08457
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02725
  • Expected Shortfall on VaR
    0.05197
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    41.00000
  • Minimum
    0.92427
  • Quartile 1
    0.98480
  • Median
    1.00659
  • Quartile 3
    1.03547
  • Maximum
    1.17469
  • Mean of quarter 1
    0.96073
  • Mean of quarter 2
    0.99653
  • Mean of quarter 3
    1.02552
  • Mean of quarter 4
    1.07941
  • Inter Quartile Range
    0.05067
  • 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
    0.04878
  • Mean of outliers high
    1.14529
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.58788
  • VaR(95%) (moments method)
    0.03785
  • Expected Shortfall (moments method)
    0.04329
  • Extreme Value Index (regression method)
    -0.27297
  • VaR(95%) (regression method)
    0.04171
  • Expected Shortfall (regression method)
    0.05166
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.01437
  • Quartile 1
    0.03439
  • Median
    0.05479
  • Quartile 3
    0.08411
  • Maximum
    0.10439
  • Mean of quarter 1
    0.01802
  • Mean of quarter 2
    0.05095
  • Mean of quarter 3
    0.07074
  • Mean of quarter 4
    0.10094
  • Inter Quartile Range
    0.04972
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20550
  • Compounded annual return (geometric extrapolation)
    0.16844
  • Calmar ratio (compounded annual return / max draw down)
    1.61352
  • Compounded annual return / average of 25% largest draw downs
    1.66876
  • Compounded annual return / Expected Shortfall lognormal
    1.99179
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.13791
  • SD
    0.14258
  • Sharpe ratio (Glass type estimate)
    0.96723
  • Sharpe ratio (Hedges UMVUE)
    0.96643
  • df
    908.00000
  • t
    1.80161
  • p
    0.03597
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08620
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.02017
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08675
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01962
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.49888
  • Upside Potential Ratio
    8.55574
  • Upside part of mean
    0.78720
  • Downside part of mean
    -0.64929
  • Upside SD
    0.10915
  • Downside SD
    0.09201
  • N nonnegative terms
    424.00000
  • N negative terms
    485.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    909.00000
  • Mean of predictor
    0.09871
  • Mean of criterion
    0.13791
  • SD of predictor
    0.17505
  • SD of criterion
    0.14258
  • Covariance
    0.00094
  • r
    0.03753
  • b (slope, estimate of beta)
    0.03057
  • a (intercept, estimate of alpha)
    0.13500
  • Mean Square Error
    0.02032
  • DF error
    907.00000
  • t(b)
    1.13121
  • p(b)
    0.12913
  • t(a)
    1.76139
  • p(a)
    0.03925
  • Lowerbound of 95% confidence interval for beta
    -0.02247
  • Upperbound of 95% confidence interval for beta
    0.08362
  • Lowerbound of 95% confidence interval for alpha
    -0.01541
  • Upperbound of 95% confidence interval for alpha
    0.28519
  • Treynor index (mean / b)
    4.51074
  • Jensen alpha (a)
    0.13489
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12774
  • SD
    0.14227
  • Sharpe ratio (Glass type estimate)
    0.89789
  • Sharpe ratio (Hedges UMVUE)
    0.89715
  • df
    908.00000
  • t
    1.67246
  • p
    0.04739
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15541
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.95070
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15590
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.95020
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.37236
  • Upside Potential Ratio
    8.39340
  • Upside part of mean
    0.78126
  • Downside part of mean
    -0.65352
  • Upside SD
    0.10778
  • Downside SD
    0.09308
  • N nonnegative terms
    424.00000
  • N negative terms
    485.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    909.00000
  • Mean of predictor
    0.08337
  • Mean of criterion
    0.12774
  • SD of predictor
    0.17522
  • SD of criterion
    0.14227
  • Covariance
    0.00095
  • r
    0.03795
  • b (slope, estimate of beta)
    0.03081
  • a (intercept, estimate of alpha)
    0.12517
  • Mean Square Error
    0.02023
  • DF error
    907.00000
  • t(b)
    1.14367
  • p(b)
    0.12653
  • t(a)
    1.63840
  • p(a)
    0.05084
  • Lowerbound of 95% confidence interval for beta
    -0.02206
  • Upperbound of 95% confidence interval for beta
    0.08369
  • Lowerbound of 95% confidence interval for alpha
    -0.02477
  • Upperbound of 95% confidence interval for alpha
    0.27511
  • Treynor index (mean / b)
    4.14581
  • Jensen alpha (a)
    0.12517
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01387
  • Expected Shortfall on VaR
    0.01748
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00589
  • Expected Shortfall on VaR
    0.01203
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    909.00000
  • Minimum
    0.94089
  • Quartile 1
    0.99723
  • Median
    1.00000
  • Quartile 3
    1.00359
  • Maximum
    1.06388
  • Mean of quarter 1
    0.99125
  • Mean of quarter 2
    0.99909
  • Mean of quarter 3
    1.00154
  • Mean of quarter 4
    1.01069
  • Inter Quartile Range
    0.00635
  • Number outliers low
    49.00000
  • Percentage of outliers low
    0.05391
  • Mean of outliers low
    0.98108
  • Number of outliers high
    59.00000
  • Percentage of outliers high
    0.06491
  • Mean of outliers high
    1.02154
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.29669
  • VaR(95%) (moments method)
    0.00812
  • Expected Shortfall (moments method)
    0.01408
  • Extreme Value Index (regression method)
    0.19253
  • VaR(95%) (regression method)
    0.00792
  • Expected Shortfall (regression method)
    0.01252
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    37.00000
  • Minimum
    0.00023
  • Quartile 1
    0.00180
  • Median
    0.00856
  • Quartile 3
    0.02806
  • Maximum
    0.18218
  • Mean of quarter 1
    0.00088
  • Mean of quarter 2
    0.00549
  • Mean of quarter 3
    0.01829
  • Mean of quarter 4
    0.08809
  • Inter Quartile Range
    0.02626
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.13514
  • Mean of outliers high
    0.12289
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.28491
  • VaR(95%) (moments method)
    0.07414
  • Expected Shortfall (moments method)
    0.09208
  • Extreme Value Index (regression method)
    0.06674
  • VaR(95%) (regression method)
    0.09382
  • Expected Shortfall (regression method)
    0.13865
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20638
  • Compounded annual return (geometric extrapolation)
    0.16841
  • Calmar ratio (compounded annual return / max draw down)
    0.92444
  • Compounded annual return / average of 25% largest draw downs
    1.91180
  • Compounded annual return / Expected Shortfall lognormal
    9.63343
  • 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
    0.12286
  • SD
    0.06513
  • Sharpe ratio (Glass type estimate)
    1.88644
  • Sharpe ratio (Hedges UMVUE)
    1.87553
  • df
    130.00000
  • t
    1.33391
  • p
    0.44190
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89835
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.66420
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90563
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.65670
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.24508
  • Upside Potential Ratio
    10.71390
  • Upside part of mean
    0.40563
  • Downside part of mean
    -0.28277
  • Upside SD
    0.05323
  • Downside SD
    0.03786
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18507
  • Mean of criterion
    0.12286
  • SD of predictor
    0.12229
  • SD of criterion
    0.06513
  • Covariance
    0.00057
  • r
    0.07155
  • b (slope, estimate of beta)
    0.03811
  • a (intercept, estimate of alpha)
    0.11581
  • Mean Square Error
    0.00425
  • DF error
    129.00000
  • t(b)
    0.81476
  • p(b)
    0.45449
  • t(a)
    1.25023
  • p(a)
    0.43048
  • Lowerbound of 95% confidence interval for beta
    -0.05443
  • Upperbound of 95% confidence interval for beta
    0.13064
  • Lowerbound of 95% confidence interval for alpha
    -0.06746
  • Upperbound of 95% confidence interval for alpha
    0.29908
  • Treynor index (mean / b)
    3.22419
  • Jensen alpha (a)
    0.11581
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12072
  • SD
    0.06496
  • Sharpe ratio (Glass type estimate)
    1.85836
  • Sharpe ratio (Hedges UMVUE)
    1.84762
  • df
    130.00000
  • t
    1.31406
  • p
    0.44275
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.92614
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.63585
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.93327
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.62851
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.17819
  • Upside Potential Ratio
    10.64080
  • Upside part of mean
    0.40418
  • Downside part of mean
    -0.28346
  • Upside SD
    0.05292
  • Downside SD
    0.03798
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17757
  • Mean of criterion
    0.12072
  • SD of predictor
    0.12228
  • SD of criterion
    0.06496
  • Covariance
    0.00057
  • r
    0.07143
  • b (slope, estimate of beta)
    0.03795
  • a (intercept, estimate of alpha)
    0.11398
  • Mean Square Error
    0.00423
  • DF error
    129.00000
  • t(b)
    0.81338
  • p(b)
    0.45456
  • t(a)
    1.23410
  • p(a)
    0.43137
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    -0.05436
  • Upperbound of 95% confidence interval for beta
    0.13025
  • Lowerbound of 95% confidence interval for alpha
    -0.06876
  • Upperbound of 95% confidence interval for alpha
    0.29672
  • Treynor index (mean / b)
    3.18127
  • Jensen alpha (a)
    0.11398
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00612
  • Expected Shortfall on VaR
    0.00779
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00260
  • Expected Shortfall on VaR
    0.00518
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98927
  • Quartile 1
    0.99874
  • Median
    1.00000
  • Quartile 3
    1.00238
  • Maximum
    1.01946
  • Mean of quarter 1
    0.99615
  • Mean of quarter 2
    0.99979
  • Mean of quarter 3
    1.00100
  • Mean of quarter 4
    1.00537
  • Inter Quartile Range
    0.00364
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.99114
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.01402
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21150
  • VaR(95%) (moments method)
    0.00357
  • Expected Shortfall (moments method)
    0.00572
  • Extreme Value Index (regression method)
    0.02226
  • VaR(95%) (regression method)
    0.00401
  • Expected Shortfall (regression method)
    0.00577
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00068
  • Quartile 1
    0.00151
  • Median
    0.00431
  • Quartile 3
    0.00903
  • Maximum
    0.05421
  • Mean of quarter 1
    0.00095
  • Mean of quarter 2
    0.00306
  • Mean of quarter 3
    0.00572
  • Mean of quarter 4
    0.03328
  • Inter Quartile Range
    0.00752
  • 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
    0.14286
  • Mean of outliers high
    0.05421
  • 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?
    -335695000
  • Max Equity Drawdown (num days)
    91
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15429
  • Compounded annual return (geometric extrapolation)
    0.16024
  • Calmar ratio (compounded annual return / max draw down)
    2.95615
  • Compounded annual return / average of 25% largest draw downs
    4.81553
  • Compounded annual return / Expected Shortfall lognormal
    20.58080

Strategy Description

Aerospace Engineering is designed to take flight and generate sustainable growth over time.
This is a momentum based, trend following, target trading system that trades based on a deep understanding of where the market is likely to change directions or continue with the trend. Strict risk management controls are maintained on every trade and all open positions, stops and limits are actively managed.

All possible combinations of only the following currency pairs are considered: USD, EUR, GBP, JPY, CHF, AUD, NZD, CAD.

This system utilizes both day trading and swing trading methods and thus trades may be open for hours or, when appropriate, they may be held open for days or weeks. In order to mitigate risk a form of hedging is sometimes used through correlated pairs. Trade sizes and total leverage are factored into each position.

Recommendations:
Be patient with this system: there will be periods of gain and also periods of reasonable drawdown.
Be careful not to over-leverage this (or any) system and absolute minimum capital for a 1:1 scaling should not be under $25,000.

Good communication and clear understanding are paramount to consistently achieving defined goals. Reach out to me: good, clear questions or ideas are always welcomed.

Summary Statistics

Strategy began
2020-08-17
Suggested Minimum Capital
$60,000
Rank at C2 %
Top 4.4%
Rank # 
#36
# Trades
655
# Profitable
374
% Profitable
57.1%
Correlation S&P500
0.039
Sharpe Ratio
0.64
Sortino Ratio
0.99
Beta
0.03
Alpha
0.03
Leverage
3.34 Average
9.97 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.