Collective2 Collective2
Featured Strategy Day Trade Algo V30/10 Followed by live capital $7,300 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast More...

Futurismo
(139104650)

Created by: AVT-Capital AVT-Capital
Started: 01/2022
Futures
Last trade: 699 days ago
Trading style: Futures Commodities Currencies
Subscriptions not currently available.

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $125.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Futures
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
Currencies
Category: Equity

Currencies

Focuses on currency futures.
154.6%
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.

(53.1%)
Max Drawdown
39
Num Trades
97.4%
Win Trades
98.9 : 1
Profit Factor
37.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022(0.7%)+2.3%+19.7%+9.5%+3.5%+1.3%+0.9%+2.0%+1.8%+8.4%(35.9%)(9.9%)(8.4%)
2023  -    -    -    -    -    -    -  +1329.7%
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.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/10/22 2:42 @CDZ2 CANADIAN DOLLAR SHORT 14 0.7458 11/21 10:54 0.7455 21.96%
Trade id #142514561
Max drawdown($13,870)
Time11/11/22 0:00
Quant open14
Worst price0.7557
Drawdown as % of equity-21.96%
 $263
Includes Typical Broker Commissions trade costs of $112.00
11/10/22 2:44 @ADZ2 AUSTRALIAN DOLLAR SHORT 12 0.6562 11/10 19:22 0.6613 15.86%
Trade id #142514573
Max drawdown($9,330)
Time11/10/22 16:13
Quant open12
Worst price0.6640
Drawdown as % of equity-15.86%
 ($6,306)
Includes Typical Broker Commissions trade costs of $96.00
11/9/22 4:50 @ADZ2 AUSTRALIAN DOLLAR SHORT 2 0.6495 11/9 5:28 0.6467 0.06%
Trade id #142497119
Max drawdown($50)
Time11/9/22 4:54
Quant open2
Worst price0.6498
Drawdown as % of equity-0.06%
 $544
Includes Typical Broker Commissions trade costs of $16.00
10/13/22 10:06 @MEZ2 E-MINI EURO FX SHORT 6 0.9823 10/19 7:19 0.9815 4.74%
Trade id #142154698
Max drawdown($3,656)
Time10/18/22 0:00
Quant open6
Worst price0.9920
Drawdown as % of equity-4.74%
 $233
Includes Typical Broker Commissions trade costs of $48.00
10/13/22 10:08 @CDZ2 CANADIAN DOLLAR SHORT 6 0.7251 10/14 12:08 0.7208 4.15%
Trade id #142154785
Max drawdown($2,830)
Time10/14/22 0:00
Quant open6
Worst price0.7298
Drawdown as % of equity-4.15%
 $2,537
Includes Typical Broker Commissions trade costs of $48.00
10/13/22 10:11 @ADZ2 AUSTRALIAN DOLLAR SHORT 4 0.6282 10/14 11:34 0.6241 4.41%
Trade id #142154972
Max drawdown($3,020)
Time10/14/22 2:46
Quant open4
Worst price0.6358
Drawdown as % of equity-4.41%
 $1,618
Includes Typical Broker Commissions trade costs of $32.00
10/13/22 11:51 @BPZ2 BRITISH POUND SHORT 2 1.1361 10/14 5:27 1.1260 0.59%
Trade id #142158762
Max drawdown($425)
Time10/13/22 12:05
Quant open2
Worst price1.1395
Drawdown as % of equity-0.59%
 $1,247
Includes Typical Broker Commissions trade costs of $16.00
10/10/22 4:36 @CDZ2 CANADIAN DOLLAR SHORT 2 0.7268 10/10 21:43 0.7245 0.79%
Trade id #142101149
Max drawdown($580)
Time10/10/22 8:31
Quant open2
Worst price0.7298
Drawdown as % of equity-0.79%
 $454
Includes Typical Broker Commissions trade costs of $16.00
10/7/22 12:10 @BPZ2 BRITISH POUND SHORT 2 1.1131 10/7 13:47 1.1111 0.24%
Trade id #142086980
Max drawdown($175)
Time10/7/22 12:20
Quant open2
Worst price1.1145
Drawdown as % of equity-0.24%
 $234
Includes Typical Broker Commissions trade costs of $16.00
9/27/22 9:33 @CDZ2 CANADIAN DOLLAR SHORT 2 0.7294 9/28 4:15 0.7262 0.55%
Trade id #141941901
Max drawdown($400)
Time9/27/22 9:41
Quant open2
Worst price0.7314
Drawdown as % of equity-0.55%
 $624
Includes Typical Broker Commissions trade costs of $16.00
9/22/22 9:26 @ADZ2 AUSTRALIAN DOLLAR SHORT 2 0.6653 9/23 3:46 0.6610 0.33%
Trade id #141891065
Max drawdown($240)
Time9/22/22 21:20
Quant open2
Worst price0.6665
Drawdown as % of equity-0.33%
 $844
Includes Typical Broker Commissions trade costs of $16.00
7/19/22 5:12 @ADU2 AUSTRALIAN DOLLAR SHORT 4 0.6931 8/2 3:20 0.6907 2.69%
Trade id #141101004
Max drawdown($1,897)
Time8/2/22 0:17
Quant open2
Worst price0.7026
Drawdown as % of equity-2.69%
 $923
Includes Typical Broker Commissions trade costs of $32.00
7/6/22 12:16 @CDU2 CANADIAN DOLLAR SHORT 4 0.7683 7/11 8:33 0.7680 2.73%
Trade id #140978895
Max drawdown($1,890)
Time7/8/22 0:00
Quant open4
Worst price0.7731
Drawdown as % of equity-2.73%
 $98
Includes Typical Broker Commissions trade costs of $32.00
7/6/22 2:13 @ADU2 AUSTRALIAN DOLLAR SHORT 6 0.6824 7/8 8:47 0.6805 2.62%
Trade id #140969895
Max drawdown($1,800)
Time7/7/22 0:00
Quant open3
Worst price0.6853
Drawdown as % of equity-2.62%
 $1,062
Includes Typical Broker Commissions trade costs of $48.00
6/30/22 22:42 @CDU2 CANADIAN DOLLAR SHORT 2 0.7760 7/1 0:27 0.7738 0.34%
Trade id #140927833
Max drawdown($240)
Time7/1/22 0:00
Quant open2
Worst price0.7772
Drawdown as % of equity-0.34%
 $424
Includes Typical Broker Commissions trade costs of $16.00
6/6/22 6:31 @EUM2 EUROFX LONG 6 1.06995 6/7 10:49 1.07053 4.98%
Trade id #140683949
Max drawdown($3,337)
Time6/7/22 9:13
Quant open6
Worst price1.06550
Drawdown as % of equity-4.98%
 $390
Includes Typical Broker Commissions trade costs of $48.00
6/3/22 6:56 @CDM2 CANADIAN DOLLAR SHORT 2 0.7953 6/3 13:03 0.7952 0.39%
Trade id #140670132
Max drawdown($270)
Time6/3/22 9:56
Quant open2
Worst price0.7966
Drawdown as % of equity-0.39%
 $4
Includes Typical Broker Commissions trade costs of $16.00
6/3/22 6:58 @BPM2 BRITISH POUND SHORT 2 1.2566 6/3 8:30 1.2539 0.07%
Trade id #140670135
Max drawdown($50)
Time6/3/22 7:04
Quant open2
Worst price1.2570
Drawdown as % of equity-0.07%
 $322
Includes Typical Broker Commissions trade costs of $16.00
6/1/22 0:15 @CDM2 CANADIAN DOLLAR SHORT 4 0.7902 6/1 23:31 0.7894 1.8%
Trade id #140644057
Max drawdown($1,220)
Time6/1/22 10:00
Quant open4
Worst price0.7933
Drawdown as % of equity-1.80%
 $288
Includes Typical Broker Commissions trade costs of $32.00
5/24/22 14:23 @CDM2 CANADIAN DOLLAR SHORT 2 0.7796 5/25 8:29 0.7767 0.37%
Trade id #140584185
Max drawdown($250)
Time5/24/22 15:47
Quant open2
Worst price0.7809
Drawdown as % of equity-0.37%
 $574
Includes Typical Broker Commissions trade costs of $16.00
5/24/22 10:14 @BPM2 BRITISH POUND SHORT 2 1.2508 5/25 7:20 1.2494 1.01%
Trade id #140578562
Max drawdown($687)
Time5/25/22 3:00
Quant open2
Worst price1.2563
Drawdown as % of equity-1.01%
 $159
Includes Typical Broker Commissions trade costs of $16.00
5/19/22 3:31 @CDM2 CANADIAN DOLLAR SHORT 4 0.7786 5/20 13:00 0.7784 2.37%
Trade id #140526868
Max drawdown($1,580)
Time5/20/22 5:51
Quant open4
Worst price0.7825
Drawdown as % of equity-2.37%
 $28
Includes Typical Broker Commissions trade costs of $32.00
5/19/22 3:50 @ADM2 AUSTRALIAN DOLLAR SHORT 8 0.7024 5/19 23:48 0.7014 6.39%
Trade id #140527038
Max drawdown($4,060)
Time5/19/22 13:57
Quant open8
Worst price0.7075
Drawdown as % of equity-6.39%
 $726
Includes Typical Broker Commissions trade costs of $64.00
5/17/22 21:59 @BPM2 BRITISH POUND SHORT 2 1.2486 5/19 6:44 1.2407 0.32%
Trade id #140511906
Max drawdown($212)
Time5/18/22 0:00
Quant open2
Worst price1.2503
Drawdown as % of equity-0.32%
 $972
Includes Typical Broker Commissions trade costs of $16.00
5/18/22 9:12 @ADM2 AUSTRALIAN DOLLAR SHORT 2 0.7019 5/18 23:06 0.7015 n/a $64
Includes Typical Broker Commissions trade costs of $16.00
5/16/22 23:38 @CDM2 CANADIAN DOLLAR SHORT 2 0.7792 5/18 23:01 0.7790 0.53%
Trade id #140496448
Max drawdown($360)
Time5/18/22 8:30
Quant open2
Worst price0.7811
Drawdown as % of equity-0.53%
 $34
Includes Typical Broker Commissions trade costs of $16.00
5/17/22 22:28 @JEM2 E-MINI JAPANESE YEN LONG 2 0.007747 5/18 0:20 0.007762 0.36%
Trade id #140512089
Max drawdown($237)
Time5/18/22 0:00
Quant open2
Worst price0.007728
Drawdown as % of equity-0.36%
 $172
Includes Typical Broker Commissions trade costs of $16.00
5/16/22 9:48 @CDM2 CANADIAN DOLLAR LONG 3 0.7736 5/16 11:10 0.7743 0.11%
Trade id #140486078
Max drawdown($75)
Time5/16/22 10:01
Quant open3
Worst price0.7733
Drawdown as % of equity-0.11%
 $186
Includes Typical Broker Commissions trade costs of $24.00
5/13/22 1:46 @JEM2 E-MINI JAPANESE YEN LONG 3 0.007766 5/13 3:45 0.007769 n/a $32
Includes Typical Broker Commissions trade costs of $24.00
4/20/22 10:49 @CDM2 CANADIAN DOLLAR SHORT 3 0.8007 5/5 9:48 0.7921 0.85%
Trade id #140196876
Max drawdown($525)
Time4/21/22 0:00
Quant open3
Worst price0.8024
Drawdown as % of equity-0.85%
 $2,541
Includes Typical Broker Commissions trade costs of $24.00
Next

Statistics

  • Strategy began
    1/26/2022
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1001.93
  • Age
    34 months ago
  • What it trades
    Futures
  • # Trades
    39
  • # Profitable
    38
  • % Profitable
    97.40%
  • Avg trade duration
    21.6 days
  • Max peak-to-valley drawdown
    53.09%
  • drawdown period
    Nov 10, 2022 - Dec 04, 2022
  • Annual Return (Compounded)
    154.6%
  • Avg win
    $16,161
  • Avg loss
    $6,210
  • Model Account Values (Raw)
  • Cash
    $76,695
  • Margin Used
    $16,208
  • Buying Power
    $447,970
  • Ratios
  • W:L ratio
    98.89:1
  • Sharpe Ratio
    0.5
  • Sortino Ratio
    16.55
  • Calmar Ratio
    44.723
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1176.43%
  • Correlation to SP500
    0.10900
  • Return Percent SP500 (cumu) during strategy life
    34.25%
  • Return Statistics
  • Ann Return (w trading costs)
    154.6%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    1.546%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    153.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    91.50%
  • Chance of 20% account loss
    73.50%
  • Chance of 30% account loss
    44.50%
  • Chance of 40% account loss
    20.00%
  • Chance of 60% account loss (Monte Carlo)
    1.50%
  • 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
    4.50%
  • 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?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $6,210
  • Avg Win
    $16,161
  • Sum Trade PL (losers)
    $6,210.000
  • Age
  • Num Months filled monthly returns table
    34
  • Win / Loss
  • Sum Trade PL (winners)
    $614,132.000
  • # Winners
    38
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    656592
  • Win / Loss
  • # Losers
    1
  • % Winners
    97.4%
  • Frequency
  • Avg Position Time (mins)
    31057.50
  • Avg Position Time (hrs)
    517.62
  • Avg Trade Length
    21.6 days
  • Last Trade Ago
    693
  • Leverage
  • Daily leverage (average)
    7.88
  • Daily leverage (max)
    38.01
  • Regression
  • Alpha
    1.20
  • Beta
    5.07
  • Treynor Index
    0.27
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.06
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    5.46
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.48
  • Avg(MAE) / Avg(PL) - All trades
    33.350
  • 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
    0.81
  • Avg(MAE) / Avg(PL) - Winning trades
    2.058
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.459
  • Hold-and-Hope Ratio
    5.658
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    12.08270
  • SD
    10.75780
  • Sharpe ratio (Glass type estimate)
    1.12317
  • Sharpe ratio (Hedges UMVUE)
    1.02643
  • df
    9.00000
  • t
    1.02530
  • p
    0.16599
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11291
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.30120
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.17234
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22520
  • Statistics related to Sortino ratio
  • Sortino ratio
    42.09510
  • Upside Potential Ratio
    43.19060
  • Upside part of mean
    12.39720
  • Downside part of mean
    -0.31443
  • Upside SD
    10.78150
  • Downside SD
    0.28703
  • N nonnegative terms
    9.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.40000
  • Mean of criterion
    12.08270
  • SD of predictor
    0.54165
  • SD of criterion
    10.75780
  • Covariance
    5.05308
  • r
    0.86719
  • b (slope, estimate of beta)
    17.22330
  • a (intercept, estimate of alpha)
    5.19349
  • Mean Square Error
    32.28590
  • DF error
    8.00000
  • t(b)
    4.92551
  • p(b)
    0.00058
  • t(a)
    0.81408
  • p(a)
    0.21958
  • Lowerbound of 95% confidence interval for beta
    9.15974
  • Upperbound of 95% confidence interval for beta
    25.28680
  • Lowerbound of 95% confidence interval for alpha
    -9.51794
  • Upperbound of 95% confidence interval for alpha
    19.90490
  • Treynor index (mean / b)
    0.70154
  • Jensen alpha (a)
    5.19349
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.05530
  • SD
    2.62194
  • Sharpe ratio (Glass type estimate)
    1.16528
  • Sharpe ratio (Hedges UMVUE)
    1.06492
  • df
    9.00000
  • t
    1.06375
  • p
    0.15757
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.07629
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.34686
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.13775
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.26759
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.20430
  • Upside Potential Ratio
    10.29970
  • Upside part of mean
    3.41893
  • Downside part of mean
    -0.36362
  • Upside SD
    2.61818
  • Downside SD
    0.33194
  • N nonnegative terms
    9.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.28247
  • Mean of criterion
    3.05530
  • SD of predictor
    0.48196
  • SD of criterion
    2.62194
  • Covariance
    1.00595
  • r
    0.79606
  • b (slope, estimate of beta)
    4.33076
  • a (intercept, estimate of alpha)
    1.83201
  • Mean Square Error
    2.83283
  • DF error
    8.00000
  • t(b)
    3.72033
  • p(b)
    0.00293
  • t(a)
    0.97820
  • p(a)
    0.17831
  • Lowerbound of 95% confidence interval for beta
    1.64638
  • Upperbound of 95% confidence interval for beta
    7.01514
  • Lowerbound of 95% confidence interval for alpha
    -2.48676
  • Upperbound of 95% confidence interval for alpha
    6.15078
  • Treynor index (mean / b)
    0.70549
  • Jensen alpha (a)
    1.83201
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.62856
  • Expected Shortfall on VaR
    0.71970
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01182
  • Expected Shortfall on VaR
    0.04747
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.74030
  • Quartile 1
    1.02035
  • Median
    1.04366
  • Quartile 3
    1.11932
  • Maximum
    10.84200
  • Mean of quarter 1
    0.92336
  • Mean of quarter 2
    1.03690
  • Mean of quarter 3
    1.06736
  • Mean of quarter 4
    4.37121
  • Inter Quartile Range
    0.09897
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.10000
  • Mean of outliers low
    0.74030
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    10.84200
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.25970
  • Quartile 1
    0.25970
  • Median
    0.25970
  • Quartile 3
    0.25970
  • Maximum
    0.25970
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    14.46860
  • Compounded annual return (geometric extrapolation)
    20.82830
  • Calmar ratio (compounded annual return / max draw down)
    80.20250
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    28.94020
  • 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
    14.99270
  • SD
    13.64130
  • Sharpe ratio (Glass type estimate)
    1.09907
  • Sharpe ratio (Hedges UMVUE)
    1.09528
  • df
    218.00000
  • t
    1.00484
  • p
    0.15804
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.04840
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.24408
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.05094
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.24151
  • Statistics related to Sortino ratio
  • Sortino ratio
    36.13160
  • Upside Potential Ratio
    40.65500
  • Upside part of mean
    16.86960
  • Downside part of mean
    -1.87694
  • Upside SD
    13.63530
  • Downside SD
    0.41495
  • N nonnegative terms
    76.00000
  • N negative terms
    143.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    219.00000
  • Mean of predictor
    0.36770
  • Mean of criterion
    14.99270
  • SD of predictor
    0.34986
  • SD of criterion
    13.64130
  • Covariance
    2.31187
  • r
    0.48440
  • b (slope, estimate of beta)
    18.88700
  • a (intercept, estimate of alpha)
    8.04800
  • Mean Square Error
    143.07600
  • DF error
    217.00000
  • t(b)
    8.15656
  • p(b)
    -0.00000
  • t(a)
    0.61384
  • p(a)
    0.26998
  • Lowerbound of 95% confidence interval for beta
    14.32310
  • Upperbound of 95% confidence interval for beta
    23.45090
  • Lowerbound of 95% confidence interval for alpha
    -17.79300
  • Upperbound of 95% confidence interval for alpha
    33.88880
  • Treynor index (mean / b)
    0.79381
  • Jensen alpha (a)
    8.04789
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.04592
  • SD
    2.89690
  • Sharpe ratio (Glass type estimate)
    1.05144
  • Sharpe ratio (Hedges UMVUE)
    1.04782
  • df
    218.00000
  • t
    0.96129
  • p
    0.16873
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.09575
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.19632
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.09820
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.19384
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.76921
  • Upside Potential Ratio
    11.15310
  • Upside part of mean
    5.01850
  • Downside part of mean
    -1.97259
  • Upside SD
    2.86123
  • Downside SD
    0.44997
  • N nonnegative terms
    76.00000
  • N negative terms
    143.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    219.00000
  • Mean of predictor
    0.30852
  • Mean of criterion
    3.04592
  • SD of predictor
    0.34144
  • SD of criterion
    2.89690
  • Covariance
    0.42818
  • r
    0.43289
  • b (slope, estimate of beta)
    3.67282
  • a (intercept, estimate of alpha)
    1.91279
  • Mean Square Error
    6.85080
  • DF error
    217.00000
  • t(b)
    7.07412
  • p(b)
    -0.00000
  • t(a)
    0.66710
  • p(a)
    0.25271
  • Lowerbound of 95% confidence interval for beta
    2.64952
  • Upperbound of 95% confidence interval for beta
    4.69612
  • Lowerbound of 95% confidence interval for alpha
    -3.73859
  • Upperbound of 95% confidence interval for alpha
    7.56418
  • Treynor index (mean / b)
    0.82931
  • Jensen alpha (a)
    1.91279
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.24630
  • Expected Shortfall on VaR
    0.29911
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01903
  • Expected Shortfall on VaR
    0.04225
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    219.00000
  • Minimum
    0.79764
  • Quartile 1
    0.99919
  • Median
    1.00000
  • Quartile 3
    1.00480
  • Maximum
    13.46270
  • Mean of quarter 1
    0.97179
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00083
  • Mean of quarter 4
    1.25572
  • Inter Quartile Range
    0.00562
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.12785
  • Mean of outliers low
    0.94815
  • Number of outliers high
    38.00000
  • Percentage of outliers high
    0.17352
  • Mean of outliers high
    1.36677
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.23817
  • VaR(95%) (moments method)
    0.01301
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.30234
  • VaR(95%) (regression method)
    0.01940
  • Expected Shortfall (regression method)
    0.04047
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00017
  • Quartile 1
    0.00276
  • Median
    0.01231
  • Quartile 3
    0.03085
  • Maximum
    0.46115
  • Mean of quarter 1
    0.00103
  • Mean of quarter 2
    0.00695
  • Mean of quarter 3
    0.01994
  • Mean of quarter 4
    0.16147
  • Inter Quartile Range
    0.02809
  • 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
    0.15000
  • Mean of outliers high
    0.24109
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.55694
  • VaR(95%) (moments method)
    0.13930
  • Expected Shortfall (moments method)
    0.37716
  • Extreme Value Index (regression method)
    1.20487
  • VaR(95%) (regression method)
    0.24121
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    14.42460
  • Compounded annual return (geometric extrapolation)
    20.62440
  • Calmar ratio (compounded annual return / max draw down)
    44.72340
  • Compounded annual return / average of 25% largest draw downs
    127.73200
  • Compounded annual return / Expected Shortfall lognormal
    68.95350
  • 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
    24.37980
  • SD
    17.63730
  • Sharpe ratio (Glass type estimate)
    1.38228
  • Sharpe ratio (Hedges UMVUE)
    1.37429
  • df
    130.00000
  • t
    0.97742
  • p
    0.45729
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.39715
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.15652
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40254
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.15113
  • Statistics related to Sortino ratio
  • Sortino ratio
    48.60690
  • Upside Potential Ratio
    52.94040
  • Upside part of mean
    26.55330
  • Downside part of mean
    -2.17357
  • Upside SD
    17.62720
  • Downside SD
    0.50157
  • N nonnegative terms
    37.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.69739
  • Mean of criterion
    24.37980
  • SD of predictor
    0.39209
  • SD of criterion
    17.63730
  • Covariance
    3.84929
  • r
    0.55662
  • b (slope, estimate of beta)
    25.03810
  • a (intercept, estimate of alpha)
    6.91839
  • Mean Square Error
    216.36100
  • DF error
    129.00000
  • t(b)
    7.60981
  • p(b)
    0.16490
  • t(a)
    0.33058
  • p(a)
    0.48148
  • Lowerbound of 95% confidence interval for beta
    18.52830
  • Upperbound of 95% confidence interval for beta
    31.54790
  • Lowerbound of 95% confidence interval for alpha
    -34.48840
  • Upperbound of 95% confidence interval for alpha
    48.32520
  • Treynor index (mean / b)
    0.97371
  • Jensen alpha (a)
    6.91839
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    4.47149
  • SD
    3.73216
  • Sharpe ratio (Glass type estimate)
    1.19810
  • Sharpe ratio (Hedges UMVUE)
    1.19117
  • df
    130.00000
  • t
    0.84718
  • p
    0.46295
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.57971
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.97143
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.58441
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.96676
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.16238
  • Upside Potential Ratio
    12.38780
  • Upside part of mean
    6.78623
  • Downside part of mean
    -2.31475
  • Upside SD
    3.68767
  • Downside SD
    0.54782
  • N nonnegative terms
    37.00000
  • N negative terms
    94.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.62347
  • Mean of criterion
    4.47149
  • SD of predictor
    0.37971
  • SD of criterion
    3.73216
  • Covariance
    0.71586
  • r
    0.50514
  • b (slope, estimate of beta)
    4.96498
  • a (intercept, estimate of alpha)
    1.37596
  • Mean Square Error
    10.45520
  • DF error
    129.00000
  • t(b)
    6.64779
  • p(b)
    0.19267
  • t(a)
    0.29935
  • p(a)
    0.48323
  • VAR (95 Confidence Intrvl)
    0.24600
  • Lowerbound of 95% confidence interval for beta
    3.48730
  • Upperbound of 95% confidence interval for beta
    6.44266
  • Lowerbound of 95% confidence interval for alpha
    -7.71821
  • Upperbound of 95% confidence interval for alpha
    10.47010
  • Treynor index (mean / b)
    0.90061
  • Jensen alpha (a)
    1.37596
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.30385
  • Expected Shortfall on VaR
    0.36556
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02342
  • Expected Shortfall on VaR
    0.05177
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.79764
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00180
  • Maximum
    13.46270
  • Mean of quarter 1
    0.96737
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00010
  • Mean of quarter 4
    1.40234
  • Inter Quartile Range
    0.00180
  • Number outliers low
    21.00000
  • Percentage of outliers low
    0.16031
  • Mean of outliers low
    0.94906
  • Number of outliers high
    29.00000
  • Percentage of outliers high
    0.22137
  • Mean of outliers high
    1.45744
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.44280
  • VaR(95%) (moments method)
    0.01147
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.19988
  • VaR(95%) (regression method)
    0.02544
  • Expected Shortfall (regression method)
    0.05230
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00085
  • Quartile 1
    0.00844
  • Median
    0.01317
  • Quartile 3
    0.03759
  • Maximum
    0.46115
  • Mean of quarter 1
    0.00315
  • Mean of quarter 2
    0.01231
  • Mean of quarter 3
    0.02863
  • Mean of quarter 4
    0.25385
  • Inter Quartile Range
    0.02915
  • 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
    0.46115
  • 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?
    -467914000
  • Max Equity Drawdown (num days)
    24
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    16.96970
  • Compounded annual return (geometric extrapolation)
    88.96270
  • Calmar ratio (compounded annual return / max draw down)
    192.91300
  • Compounded annual return / average of 25% largest draw downs
    350.45400
  • Compounded annual return / Expected Shortfall lognormal
    243.35800

Strategy Description

Summary Statistics

Strategy began
2022-01-26
Suggested Minimum Capital
$660,000
# Trades
39
# Profitable
38
% Profitable
97.4%
Correlation S&P500
0.109
Sharpe Ratio
0.50
Sortino Ratio
16.55
Beta
5.07
Alpha
1.20
Leverage
7.88 Average
38.01 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.