Collective2 Collective2
Featured Strategy Quant AI pro +14.6% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 11/16/2022
Most recent certification approved 11/18/22 9:48 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 50%
# trading signals issued by system since certification 225
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 223
Percent signals followed since 11/16/2022 99.1%
This information was last updated 9/7/23 10:34 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 11/16/2022, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

PegasiX
(136499271)

Created by: JosephML JosephML
Started: 07/2021
Futures
Last trade: 457 days ago

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 $130.00 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.

10.7%
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.

(11.3%)
Max Drawdown
264
Num Trades
39.8%
Win Trades
1.5 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                          +0.4%+3.6%+1.4%+0.7%+5.0%+2.5%+14.3%
2022+0.4%+1.3%+11.4%+3.8%+1.7%(2%)+0.3%+6.1%+0.1%+0.4%  -  +0.1%+25.3%
2023+0.4%+0.8%(0.7%)  -  +0.3%+0.2%(0.2%)+0.1%(1.8%)  -    -    -  (1%)
2024  -    -    -    -    -    -    -    -    -    -    -    -  0.0

Model Account Details

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

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

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 298 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/26/23 10:31 @MESZ3 MICRO E-MINI S&P 500 LONG 4 4334.75 9/26 11:08 4338.94 0.11%
Trade id #145933988
Max drawdown($75)
Time9/26/23 10:36
Quant open4
Worst price4331.00
Drawdown as % of equity-0.11%
 $80
Includes Typical Broker Commissions trade costs of $3.76
9/20/23 14:32 @MESZ3 MICRO E-MINI S&P 500 LONG 2 4495.00 9/20 15:57 4450.00 0.65%
Trade id #145881577
Max drawdown($462)
Time9/20/23 15:57
Quant open2
Worst price4448.75
Drawdown as % of equity-0.65%
 ($452)
Includes Typical Broker Commissions trade costs of $1.88
9/7/23 10:46 @MESU3 MICRO E-MINI S&P 500 LONG 2 4453.00 9/7 15:50 4460.25 0.11%
Trade id #145759971
Max drawdown($75)
Time9/7/23 11:55
Quant open2
Worst price4445.50
Drawdown as % of equity-0.11%
 $71
Includes Typical Broker Commissions trade costs of $1.88
9/7/23 10:37 @MESU3 MICRO E-MINI S&P 500 LONG 2 4442.50 9/7 10:37 4442.25 0%
Trade id #145759751
Max drawdown($3)
Time9/7/23 10:37
Quant open2
Worst price4442.25
Drawdown as % of equity-0.00%
 ($5)
Includes Typical Broker Commissions trade costs of $1.88
9/7/23 9:35 @MESU3 MICRO E-MINI S&P 500 LONG 2 4444.50 9/7 10:33 4434.50 0.16%
Trade id #145758148
Max drawdown($112)
Time9/7/23 10:33
Quant open2
Worst price4433.25
Drawdown as % of equity-0.16%
 ($102)
Includes Typical Broker Commissions trade costs of $1.88
9/6/23 13:19 @MESU3 MICRO E-MINI S&P 500 LONG 2 4459.75 9/7 8:14 4449.75 0.15%
Trade id #145751464
Max drawdown($105)
Time9/7/23 8:14
Quant open2
Worst price4449.25
Drawdown as % of equity-0.15%
 ($102)
Includes Typical Broker Commissions trade costs of $1.88
9/6/23 9:45 @MESU3 MICRO E-MINI S&P 500 LONG 2 4491.75 9/6 10:00 4481.25 0.19%
Trade id #145746773
Max drawdown($135)
Time9/6/23 10:00
Quant open2
Worst price4478.25
Drawdown as % of equity-0.19%
 ($107)
Includes Typical Broker Commissions trade costs of $1.88
9/6/23 6:11 @MESU3 MICRO E-MINI S&P 500 LONG 2 4494.75 9/6 9:34 4485.00 0.15%
Trade id #145745197
Max drawdown($105)
Time9/6/23 9:34
Quant open2
Worst price4484.25
Drawdown as % of equity-0.15%
 ($100)
Includes Typical Broker Commissions trade costs of $1.88
9/5/23 4:40 @MESU3 MICRO E-MINI S&P 500 LONG 4 4507.29 9/6 1:07 4505.25 0.16%
Trade id #145733868
Max drawdown($117)
Time9/6/23 1:07
Quant open2
Worst price4495.50
Drawdown as % of equity-0.16%
 ($45)
Includes Typical Broker Commissions trade costs of $3.76
9/1/23 12:27 @MESU3 MICRO E-MINI S&P 500 LONG 4 4519.25 9/1 14:27 4510.25 0.26%
Trade id #145713635
Max drawdown($190)
Time9/1/23 14:27
Quant open4
Worst price4509.75
Drawdown as % of equity-0.26%
 ($184)
Includes Typical Broker Commissions trade costs of $3.76
9/1/23 10:07 @MESU3 MICRO E-MINI S&P 500 LONG 4 4533.62 9/1 10:54 4523.00 0.32%
Trade id #145711058
Max drawdown($232)
Time9/1/23 10:54
Quant open4
Worst price4522.00
Drawdown as % of equity-0.32%
 ($217)
Includes Typical Broker Commissions trade costs of $3.76
8/29/23 5:37 @MESU3 MICRO E-MINI S&P 500 LONG 4 4442.62 8/29 9:55 4451.75 0.26%
Trade id #145670892
Max drawdown($187)
Time8/29/23 8:30
Quant open4
Worst price4433.25
Drawdown as % of equity-0.26%
 $179
Includes Typical Broker Commissions trade costs of $3.76
8/29/23 1:09 @MESU3 MICRO E-MINI S&P 500 LONG 4 4446.17 8/29 4:40 4448.25 0.12%
Trade id #145670184
Max drawdown($84)
Time8/29/23 4:14
Quant open2
Worst price4437.75
Drawdown as % of equity-0.12%
 $38
Includes Typical Broker Commissions trade costs of $3.76
8/28/23 12:52 @MESU3 MICRO E-MINI S&P 500 LONG 4 4436.00 8/28 13:55 4434.88 0.15%
Trade id #145664815
Max drawdown($105)
Time8/28/23 13:55
Quant open2
Worst price4425.50
Drawdown as % of equity-0.15%
 ($27)
Includes Typical Broker Commissions trade costs of $3.76
8/28/23 4:22 @MESU3 MICRO E-MINI S&P 500 LONG 2 4421.00 8/28 4:24 4423.00 n/a $18
Includes Typical Broker Commissions trade costs of $1.88
6/23/23 9:33 QMCLQ3 MICRO CRUDE OIL LONG 2 67.77 6/27 7:50 67.79 0.02%
Trade id #145014252
Max drawdown($11)
Time6/23/23 9:37
Quant open1
Worst price67.59
Drawdown as % of equity-0.02%
 $2
Includes Typical Broker Commissions trade costs of $3.00
6/23/23 4:08 @MESU3 MICRO E-MINI S&P 500 LONG 1 4406.00 6/23 8:42 4391.00 0.11%
Trade id #145012193
Max drawdown($76)
Time6/23/23 8:42
Quant open1
Worst price4390.75
Drawdown as % of equity-0.11%
 ($76)
Includes Typical Broker Commissions trade costs of $0.94
6/22/23 11:47 @MESU3 MICRO E-MINI S&P 500 LONG 2 4417.08 6/23 0:29 4402.00 0.2%
Trade id #145005785
Max drawdown($148)
Time6/23/23 0:26
Quant open2
Worst price4402.25
Drawdown as % of equity-0.20%
 ($153)
Includes Typical Broker Commissions trade costs of $1.88
6/8/23 5:46 @MESM3 MICRO E-MINI S&P 500 LONG 3 4276.78 6/9 10:02 4312.33 0.15%
Trade id #144868781
Max drawdown($110)
Time6/8/23 9:55
Quant open2
Worst price4264.50
Drawdown as % of equity-0.15%
 $530
Includes Typical Broker Commissions trade costs of $2.82
5/17/23 5:28 @MESM3 MICRO E-MINI S&P 500 LONG 2 4133.88 5/18 15:49 4181.75 0.11%
Trade id #144647224
Max drawdown($81)
Time5/17/23 9:59
Quant open2
Worst price4125.75
Drawdown as % of equity-0.11%
 $477
Includes Typical Broker Commissions trade costs of $1.88
5/17/23 5:21 @ESM3 E-MINI S&P 500 LONG 1 4132.75 5/17 5:24 4132.50 0.03%
Trade id #144647210
Max drawdown($25)
Time5/17/23 5:24
Quant open1
Worst price4132.25
Drawdown as % of equity-0.03%
 ($21)
Includes Typical Broker Commissions trade costs of $8.00
5/10/23 11:01 @MESM3 MICRO E-MINI S&P 500 LONG 2 4136.00 5/10 13:24 4120.75 0.24%
Trade id #144577379
Max drawdown($170)
Time5/10/23 13:24
Quant open2
Worst price4119.00
Drawdown as % of equity-0.24%
 ($155)
Includes Typical Broker Commissions trade costs of $1.88
5/3/23 15:21 @MESM3 MICRO E-MINI S&P 500 SHORT 1 4120.25 5/3 15:57 4107.00 0.1%
Trade id #144517586
Max drawdown($71)
Time5/3/23 15:25
Quant open1
Worst price4134.50
Drawdown as % of equity-0.10%
 $65
Includes Typical Broker Commissions trade costs of $0.94
4/27/23 7:00 @MESM3 MICRO E-MINI S&P 500 LONG 2 4100.00 4/27 15:46 4152.12 0.14%
Trade id #144438931
Max drawdown($100)
Time4/27/23 8:38
Quant open2
Worst price4090.00
Drawdown as % of equity-0.14%
 $519
Includes Typical Broker Commissions trade costs of $1.88
4/26/23 7:40 @MESM3 MICRO E-MINI S&P 500 LONG 3 4100.58 4/26 14:08 4085.31 0.31%
Trade id #144426239
Max drawdown($222)
Time4/26/23 10:18
Quant open3
Worst price4085.75
Drawdown as % of equity-0.31%
 ($232)
Includes Typical Broker Commissions trade costs of $2.82
4/26/23 4:30 @MESM3 MICRO E-MINI S&P 500 LONG 1 4110.92 4/26 7:05 4096.00 0.11%
Trade id #144425209
Max drawdown($79)
Time4/26/23 7:05
Quant open1
Worst price4095.00
Drawdown as % of equity-0.11%
 ($76)
Includes Typical Broker Commissions trade costs of $0.94
4/21/23 7:50 @MESM3 MICRO E-MINI S&P 500 LONG 2 4147.04 4/21 15:35 4153.00 0.16%
Trade id #144383363
Max drawdown($117)
Time4/21/23 10:46
Quant open2
Worst price4135.25
Drawdown as % of equity-0.16%
 $58
Includes Typical Broker Commissions trade costs of $1.88
4/13/23 9:50 @MESM3 MICRO E-MINI S&P 500 LONG 2 4133.04 4/13 14:59 4164.38 0.05%
Trade id #144285232
Max drawdown($37)
Time4/13/23 9:59
Quant open1
Worst price4124.50
Drawdown as % of equity-0.05%
 $311
Includes Typical Broker Commissions trade costs of $1.88
4/12/23 11:46 @MESM3 MICRO E-MINI S&P 500 LONG 2 4141.38 4/12 14:49 4125.88 0.21%
Trade id #144272248
Max drawdown($148)
Time4/12/23 14:40
Quant open2
Worst price4126.50
Drawdown as % of equity-0.21%
 ($157)
Includes Typical Broker Commissions trade costs of $1.88
4/12/23 10:50 @MESM3 MICRO E-MINI S&P 500 LONG 1 4143.08 4/12 11:04 4128.75 0.11%
Trade id #144270108
Max drawdown($75)
Time4/12/23 11:04
Quant open1
Worst price4128.00
Drawdown as % of equity-0.11%
 ($73)
Includes Typical Broker Commissions trade costs of $0.94
Next

Statistics

  • Strategy began
    7/15/2021
  • Suggested Minimum Cap
    $70,000
  • Strategy Age (days)
    1253.82
  • Age
    42 months ago
  • What it trades
    Futures
  • # Trades
    264
  • # Profitable
    105
  • % Profitable
    39.80%
  • Avg trade duration
    2.3 hours
  • Max peak-to-valley drawdown
    11.27%
  • drawdown period
    Jan 10, 2022 - March 08, 2022
  • Annual Return (Compounded)
    10.7%
  • Avg win
    $827.95
  • Avg loss
    $371.97
  • Model Account Values (Raw)
  • Cash
    $77,797
  • Margin Used
    $0
  • Buying Power
    $77,797
  • Ratios
  • W:L ratio
    1.47:1
  • Sharpe Ratio
    0.83
  • Sortino Ratio
    1.46
  • Calmar Ratio
    2.52
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    7.26%
  • Correlation to SP500
    0.07360
  • Return Percent SP500 (cumu) during strategy life
    38.53%
  • Return Statistics
  • Ann Return (w trading costs)
    10.7%
  • Slump
  • Current Slump as Pcnt Equity
    2.60%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.43%
  • Return Statistics
  • Return Pcnt Since TOS Status
    1.720%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.107%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    13.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    8.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    50%
  • Win / Loss
  • Avg Loss
    $372
  • Avg Win
    $828
  • Sum Trade PL (losers)
    $59,144.000
  • Age
  • Num Months filled monthly returns table
    42
  • Win / Loss
  • Sum Trade PL (winners)
    $86,935.000
  • # Winners
    105
  • Num Months Winners
    22
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    37656
  • Win / Loss
  • # Losers
    159
  • % Winners
    39.8%
  • Frequency
  • Avg Position Time (mins)
    140.52
  • Avg Position Time (hrs)
    2.34
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    450
  • Leverage
  • Daily leverage (average)
    4.22
  • Daily leverage (max)
    27.99
  • Regression
  • Alpha
    0.02
  • Beta
    0.04
  • Treynor Index
    0.65
  • 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)
    -0.46
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    11.529
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.281
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.112
  • Hold-and-Hope Ratio
    0.086
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16075
  • SD
    0.09720
  • Sharpe ratio (Glass type estimate)
    1.65387
  • Sharpe ratio (Hedges UMVUE)
    1.60911
  • df
    28.00000
  • t
    2.57105
  • p
    0.00787
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.30824
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.97318
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27975
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.93846
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.17790
  • Upside Potential Ratio
    11.79730
  • Upside part of mean
    0.18633
  • Downside part of mean
    -0.02558
  • Upside SD
    0.10500
  • Downside SD
    0.01579
  • N nonnegative terms
    16.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.10326
  • Mean of criterion
    0.16075
  • SD of predictor
    0.18752
  • SD of criterion
    0.09720
  • Covariance
    -0.00260
  • r
    -0.14242
  • b (slope, estimate of beta)
    -0.07382
  • a (intercept, estimate of alpha)
    0.16838
  • Mean Square Error
    0.00960
  • DF error
    27.00000
  • t(b)
    -0.74767
  • p(b)
    0.76944
  • t(a)
    2.63739
  • p(a)
    0.00685
  • Lowerbound of 95% confidence interval for beta
    -0.27641
  • Upperbound of 95% confidence interval for beta
    0.12877
  • Lowerbound of 95% confidence interval for alpha
    0.03738
  • Upperbound of 95% confidence interval for alpha
    0.29937
  • Treynor index (mean / b)
    -2.17762
  • Jensen alpha (a)
    0.16838
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15502
  • SD
    0.09366
  • Sharpe ratio (Glass type estimate)
    1.65510
  • Sharpe ratio (Hedges UMVUE)
    1.61030
  • df
    28.00000
  • t
    2.57295
  • p
    0.00784
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.30935
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.97450
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28084
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.93975
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.76914
  • Upside Potential Ratio
    11.38510
  • Upside part of mean
    0.18067
  • Downside part of mean
    -0.02564
  • Upside SD
    0.10110
  • Downside SD
    0.01587
  • N nonnegative terms
    16.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.08575
  • Mean of criterion
    0.15502
  • SD of predictor
    0.18743
  • SD of criterion
    0.09366
  • Covariance
    -0.00233
  • r
    -0.13258
  • b (slope, estimate of beta)
    -0.06625
  • a (intercept, estimate of alpha)
    0.16070
  • Mean Square Error
    0.00894
  • DF error
    27.00000
  • t(b)
    -0.69505
  • p(b)
    0.75352
  • t(a)
    2.61896
  • p(a)
    0.00715
  • Lowerbound of 95% confidence interval for beta
    -0.26184
  • Upperbound of 95% confidence interval for beta
    0.12933
  • Lowerbound of 95% confidence interval for alpha
    0.03480
  • Upperbound of 95% confidence interval for alpha
    0.28661
  • Treynor index (mean / b)
    -2.33980
  • Jensen alpha (a)
    0.16070
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03106
  • Expected Shortfall on VaR
    0.04190
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00456
  • Expected Shortfall on VaR
    0.00925
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    29.00000
  • Minimum
    0.98353
  • Quartile 1
    1.00000
  • Median
    1.00412
  • Quartile 3
    1.01797
  • Maximum
    1.09939
  • Mean of quarter 1
    0.99544
  • Mean of quarter 2
    1.00186
  • Mean of quarter 3
    1.01024
  • Mean of quarter 4
    1.05826
  • Inter Quartile Range
    0.01797
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.13793
  • Mean of outliers high
    1.07617
  • 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)
    0.33669
  • VaR(95%) (regression method)
    0.00528
  • Expected Shortfall (regression method)
    0.01246
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00408
  • Quartile 1
    0.00998
  • Median
    0.01588
  • Quartile 3
    0.01617
  • Maximum
    0.01647
  • Mean of quarter 1
    0.00408
  • Mean of quarter 2
    0.01588
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.01647
  • Inter Quartile Range
    0.00619
  • 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)
    0.23004
  • Compounded annual return (geometric extrapolation)
    0.20073
  • Calmar ratio (compounded annual return / max draw down)
    12.18950
  • Compounded annual return / average of 25% largest draw downs
    12.18950
  • Compounded annual return / Expected Shortfall lognormal
    4.79062
  • 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
    0.15397
  • SD
    0.09769
  • Sharpe ratio (Glass type estimate)
    1.57614
  • Sharpe ratio (Hedges UMVUE)
    1.57433
  • df
    653.00000
  • t
    2.49020
  • p
    0.00651
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.33208
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81904
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33086
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.81780
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.92712
  • Upside Potential Ratio
    6.31669
  • Upside part of mean
    0.33226
  • Downside part of mean
    -0.17830
  • Upside SD
    0.08278
  • Downside SD
    0.05260
  • N nonnegative terms
    131.00000
  • N negative terms
    523.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    654.00000
  • Mean of predictor
    0.11187
  • Mean of criterion
    0.15397
  • SD of predictor
    0.20454
  • SD of criterion
    0.09769
  • Covariance
    0.00136
  • r
    0.06805
  • b (slope, estimate of beta)
    0.03250
  • a (intercept, estimate of alpha)
    0.15000
  • Mean Square Error
    0.00951
  • DF error
    652.00000
  • t(b)
    1.74158
  • p(b)
    0.04103
  • t(a)
    2.43379
  • p(a)
    0.00760
  • Lowerbound of 95% confidence interval for beta
    -0.00414
  • Upperbound of 95% confidence interval for beta
    0.06914
  • Lowerbound of 95% confidence interval for alpha
    0.02904
  • Upperbound of 95% confidence interval for alpha
    0.27163
  • Treynor index (mean / b)
    4.73759
  • Jensen alpha (a)
    0.15033
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14919
  • SD
    0.09694
  • Sharpe ratio (Glass type estimate)
    1.53901
  • Sharpe ratio (Hedges UMVUE)
    1.53724
  • df
    653.00000
  • t
    2.43152
  • p
    0.00765
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29508
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78177
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29390
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78057
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.80394
  • Upside Potential Ratio
    6.18082
  • Upside part of mean
    0.32888
  • Downside part of mean
    -0.17968
  • Upside SD
    0.08147
  • Downside SD
    0.05321
  • N nonnegative terms
    131.00000
  • N negative terms
    523.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    654.00000
  • Mean of predictor
    0.09103
  • Mean of criterion
    0.14919
  • SD of predictor
    0.20400
  • SD of criterion
    0.09694
  • Covariance
    0.00135
  • r
    0.06843
  • b (slope, estimate of beta)
    0.03252
  • a (intercept, estimate of alpha)
    0.14624
  • Mean Square Error
    0.00937
  • DF error
    652.00000
  • t(b)
    1.75153
  • p(b)
    0.04016
  • t(a)
    2.38614
  • p(a)
    0.00866
  • Lowerbound of 95% confidence interval for beta
    -0.00394
  • Upperbound of 95% confidence interval for beta
    0.06898
  • Lowerbound of 95% confidence interval for alpha
    0.02590
  • Upperbound of 95% confidence interval for alpha
    0.26658
  • Treynor index (mean / b)
    4.58775
  • Jensen alpha (a)
    0.14624
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00924
  • Expected Shortfall on VaR
    0.01171
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00205
  • Expected Shortfall on VaR
    0.00461
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    654.00000
  • Minimum
    0.97026
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.05605
  • Mean of quarter 1
    0.99762
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00514
  • Inter Quartile Range
    0.00000
  • Number outliers low
    63.00000
  • Percentage of outliers low
    0.09633
  • Mean of outliers low
    0.99382
  • Number of outliers high
    133.00000
  • Percentage of outliers high
    0.20336
  • Mean of outliers high
    1.00634
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.93104
  • VaR(95%) (moments method)
    0.00153
  • Expected Shortfall (moments method)
    0.03208
  • Extreme Value Index (regression method)
    0.13166
  • VaR(95%) (regression method)
    0.00203
  • Expected Shortfall (regression method)
    0.00593
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00073
  • Median
    0.00504
  • Quartile 3
    0.01717
  • Maximum
    0.07690
  • Mean of quarter 1
    0.00037
  • Mean of quarter 2
    0.00297
  • Mean of quarter 3
    0.00991
  • Mean of quarter 4
    0.04179
  • Inter Quartile Range
    0.01645
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.05731
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.32109
  • VaR(95%) (moments method)
    0.04195
  • Expected Shortfall (moments method)
    0.05172
  • Extreme Value Index (regression method)
    0.13089
  • VaR(95%) (regression method)
    0.05046
  • Expected Shortfall (regression method)
    0.07605
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22272
  • Compounded annual return (geometric extrapolation)
    0.19375
  • Calmar ratio (compounded annual return / max draw down)
    2.51961
  • Compounded annual return / average of 25% largest draw downs
    4.63610
  • Compounded annual return / Expected Shortfall lognormal
    16.54200
  • 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
    -0.05114
  • SD
    0.01037
  • Sharpe ratio (Glass type estimate)
    -4.93237
  • Sharpe ratio (Hedges UMVUE)
    -4.90386
  • df
    130.00000
  • t
    -3.48771
  • p
    0.64626
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -7.75914
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -2.08758
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -7.73904
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.06869
  • Statistics related to Sortino ratio
  • Sortino ratio
    -5.05291
  • Upside Potential Ratio
    0.88958
  • Upside part of mean
    0.00900
  • Downside part of mean
    -0.06014
  • Upside SD
    0.00377
  • Downside SD
    0.01012
  • N nonnegative terms
    5.00000
  • N negative terms
    126.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.52438
  • Mean of criterion
    -0.05114
  • SD of predictor
    0.23569
  • SD of criterion
    0.01037
  • Covariance
    0.00025
  • r
    0.10132
  • b (slope, estimate of beta)
    0.00446
  • a (intercept, estimate of alpha)
    -0.05348
  • Mean Square Error
    0.00011
  • DF error
    129.00000
  • t(b)
    1.15674
  • p(b)
    0.43561
  • t(a)
    -3.61758
  • p(a)
    0.69020
  • Lowerbound of 95% confidence interval for beta
    -0.00317
  • Upperbound of 95% confidence interval for beta
    0.01208
  • Lowerbound of 95% confidence interval for alpha
    -0.08272
  • Upperbound of 95% confidence interval for alpha
    -0.02423
  • Treynor index (mean / b)
    -11.47370
  • Jensen alpha (a)
    -0.05348
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.05119
  • SD
    0.01038
  • Sharpe ratio (Glass type estimate)
    -4.93231
  • Sharpe ratio (Hedges UMVUE)
    -4.90380
  • df
    130.00000
  • t
    -3.48767
  • p
    0.64626
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -7.75908
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -2.08752
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -7.73897
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.06863
  • Statistics related to Sortino ratio
  • Sortino ratio
    -5.05134
  • Upside Potential Ratio
    0.88759
  • Upside part of mean
    0.00899
  • Downside part of mean
    -0.06019
  • Upside SD
    0.00377
  • Downside SD
    0.01013
  • N nonnegative terms
    5.00000
  • N negative terms
    126.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.49671
  • Mean of criterion
    -0.05119
  • SD of predictor
    0.23294
  • SD of criterion
    0.01038
  • Covariance
    0.00025
  • r
    0.10196
  • b (slope, estimate of beta)
    0.00454
  • a (intercept, estimate of alpha)
    -0.05345
  • Mean Square Error
    0.00011
  • DF error
    129.00000
  • t(b)
    1.16408
  • p(b)
    0.43520
  • t(a)
    -3.61490
  • p(a)
    0.69007
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    -0.00318
  • Upperbound of 95% confidence interval for beta
    0.01226
  • Lowerbound of 95% confidence interval for alpha
    -0.08270
  • Upperbound of 95% confidence interval for alpha
    -0.02419
  • Treynor index (mean / b)
    -11.26860
  • Jensen alpha (a)
    -0.05345
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00125
  • Expected Shortfall on VaR
    0.00152
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00078
  • Expected Shortfall on VaR
    0.00158
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.99672
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00244
  • Mean of quarter 1
    0.99949
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00015
  • Inter Quartile Range
    0.00000
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.99761
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.00085
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -40.63510
  • VaR(95%) (moments method)
    -0.02512
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.91581
  • VaR(95%) (regression method)
    0.00053
  • Expected Shortfall (regression method)
    0.00148
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.01539
  • Quartile 1
    0.01539
  • Median
    0.01539
  • Quartile 3
    0.01539
  • Maximum
    0.01539
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -511685000
  • Max Equity Drawdown (num days)
    57
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.02315
  • Compounded annual return (geometric extrapolation)
    -0.02301
  • Calmar ratio (compounded annual return / max draw down)
    -1.49510
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -15.17320

Strategy Description

PegasiX trades mostly Micro and Emini S&P 500 futures with market or stop orders and always with stop losses. May trade other assets using futures if opportunities arise. The system will close losing positions quickly so win rate% may not be that high. The underlying strategy is a proprietary fractal analytical methodology which analyzes the price action to generate trading signals and is based on years of research and live trading. Trade duration can last from minutes to days.

Summary Statistics

Strategy began
2021-07-15
Suggested Minimum Capital
$70,000
# Trades
264
# Profitable
105
% Profitable
39.8%
Correlation S&P500
0.074
Sharpe Ratio
0.83
Sortino Ratio
1.46
Beta
0.04
Alpha
0.02
Leverage
4.22 Average
27.99 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.