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

4474 Enhanced
(141068688)

Created by: v4474 v4474
Started: 07/2022
Futures
Last trade: 40 days ago
Trading style: Futures Momentum Macro / Fundamental

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 $1,000.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Futures
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
Macro / Fundamental
Category: Equity

Macro / Fundamental

Predicts large-scale events related to national economies, history, and international relations. The strategy typically employs forecasts and analysis of interest rate trends, international trade and payments, political changes, government policies, inter-government relations, and other broad systemic factors.
183.8%
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.

(48.3%)
Max Drawdown
365
Num Trades
68.2%
Win Trades
1.4 : 1
Profit Factor
65.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                          +155.5%+23.3%+40.1%+47.0%+15.5%+26.4%+847.2%
2023(15.6%)(0.9%)+2.9%(1.4%)+0.5%+0.2%+3.8%(0.7%)+1.4%+15.5%+3.3%(3.1%)+3.3%
2024(40.8%)(7.1%)                                                            (45%)

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 1,574 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 334 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/12/24 8:30 QHGH4 Copper LONG 8 377.40 1/12 16:07 374.00 47.19%
Trade id #146984202
Max drawdown($7,100)
Time1/12/24 12:58
Quant open8
Worst price373.85
Drawdown as % of equity-47.19%
($6,864)
Includes Typical Broker Commissions trade costs of $64.00
1/11/24 7:11 QHGH4 Copper SHORT 8 381.36 1/11 8:29 381.95 5.62%
Trade id #146971515
Max drawdown($1,275)
Time1/11/24 7:46
Quant open8
Worst price382.00
Drawdown as % of equity-5.62%
($1,239)
Includes Typical Broker Commissions trade costs of $64.00
1/11/24 0:17 QHGH4 Copper SHORT 2 381.10 1/11 6:04 380.20 1.47%
Trade id #146970018
Max drawdown($325)
Time1/11/24 1:32
Quant open2
Worst price381.75
Drawdown as % of equity-1.47%
$434
Includes Typical Broker Commissions trade costs of $16.00
1/10/24 22:35 QHGH4 Copper SHORT 2 380.40 1/11 0:03 380.65 0.68%
Trade id #146969771
Max drawdown($150)
Time1/11/24 0:03
Quant open2
Worst price380.70
Drawdown as % of equity-0.68%
($141)
Includes Typical Broker Commissions trade costs of $16.00
1/10/24 21:19 QHGH4 Copper SHORT 2 380.10 1/10 22:16 380.15 0.34%
Trade id #146969482
Max drawdown($75)
Time1/10/24 21:22
Quant open2
Worst price380.25
Drawdown as % of equity-0.34%
($41)
Includes Typical Broker Commissions trade costs of $16.00
1/9/24 5:13 @BPH4 BRITISH POUND LONG 11 1.2716 1/10 11:15 1.2725 3.91%
Trade id #146947420
Max drawdown($867)
Time1/9/24 11:09
Quant open5
Worst price1.2695
Drawdown as % of equity-3.91%
$543
Includes Typical Broker Commissions trade costs of $88.00
1/9/24 2:35 QHGH4 Copper LONG 9 379.87 1/10 11:15 378.94 14.09%
Trade id #146946482
Max drawdown($3,125)
Time1/9/24 12:59
Quant open3
Worst price375.70
Drawdown as % of equity-14.09%
($2,147)
Includes Typical Broker Commissions trade costs of $72.00
1/8/24 2:53 QHGH4 Copper LONG 3 381.03 1/8 10:13 381.52 6.67%
Trade id #146928501
Max drawdown($1,562)
Time1/8/24 3:59
Quant open3
Worst price378.95
Drawdown as % of equity-6.67%
$339
Includes Typical Broker Commissions trade costs of $24.00
1/8/24 8:16 @BPH4 BRITISH POUND LONG 2 1.2715 1/8 8:23 1.2715 0.22%
Trade id #146929609
Max drawdown($50)
Time1/8/24 8:20
Quant open2
Worst price1.2711
Drawdown as % of equity-0.22%
($16)
Includes Typical Broker Commissions trade costs of $16.00
1/8/24 3:31 @BPH4 BRITISH POUND LONG 4 1.2701 1/8 7:25 1.2713 2.43%
Trade id #146928647
Max drawdown($568)
Time1/8/24 4:34
Quant open4
Worst price1.2678
Drawdown as % of equity-2.43%
$281
Includes Typical Broker Commissions trade costs of $32.00
1/8/24 2:52 @ESH4 E-MINI S&P 500 LONG 2 4732.25 1/8 2:52 4731.50 0.32%
Trade id #146928496
Max drawdown($75)
Time1/8/24 2:52
Quant open2
Worst price4731.50
Drawdown as % of equity-0.32%
($91)
Includes Typical Broker Commissions trade costs of $16.00
12/19/23 3:26 QHGH4 Copper SHORT 25 390.30 12/21 8:33 390.44 18.09%
Trade id #146739642
Max drawdown($3,662)
Time12/19/23 9:43
Quant open3
Worst price393.05
Drawdown as % of equity-18.09%
($1,075)
Includes Typical Broker Commissions trade costs of $200.00
12/20/23 5:52 @BPH4 BRITISH POUND LONG 1 1.2665 12/20 5:52 1.2665 n/a ($8)
Includes Typical Broker Commissions trade costs of $8.00
12/19/23 3:40 @BPH4 BRITISH POUND SHORT 8 1.2698 12/20 4:16 1.2683 16.2%
Trade id #146739765
Max drawdown($3,095)
Time12/19/23 11:43
Quant open7
Worst price1.2769
Drawdown as % of equity-16.20%
$717
Includes Typical Broker Commissions trade costs of $64.00
12/19/23 3:07 @BPH4 BRITISH POUND LONG 2 1.2680 12/19 3:12 1.2684 n/a $34
Includes Typical Broker Commissions trade costs of $16.00
12/18/23 7:36 QHGH4 Copper SHORT 2 387.65 12/18 8:00 387.55 0.51%
Trade id #146727585
Max drawdown($125)
Time12/18/23 7:39
Quant open2
Worst price387.90
Drawdown as % of equity-0.51%
$34
Includes Typical Broker Commissions trade costs of $16.00
12/18/23 7:15 QHGH4 Copper SHORT 2 388.05 12/18 7:25 387.35 n/a $334
Includes Typical Broker Commissions trade costs of $16.00
12/18/23 6:21 QHGH4 Copper SHORT 2 388.20 12/18 7:08 388.50 1.12%
Trade id #146727326
Max drawdown($275)
Time12/18/23 6:28
Quant open2
Worst price388.75
Drawdown as % of equity-1.12%
($166)
Includes Typical Broker Commissions trade costs of $16.00
12/15/23 5:40 @BPZ3 BRITISH POUND SHORT 3 1.2782 12/15 7:38 1.2760 0.63%
Trade id #146710021
Max drawdown($150)
Time12/15/23 5:49
Quant open3
Worst price1.2790
Drawdown as % of equity-0.63%
$389
Includes Typical Broker Commissions trade costs of $24.00
12/15/23 4:54 QHGH4 Copper SHORT 6 390.45 12/15 7:32 390.27 6.52%
Trade id #146709880
Max drawdown($1,550)
Time12/15/23 5:47
Quant open5
Worst price391.50
Drawdown as % of equity-6.52%
$215
Includes Typical Broker Commissions trade costs of $48.00
12/15/23 4:37 QHGH4 Copper LONG 2 389.05 12/15 4:49 389.45 0.11%
Trade id #146709826
Max drawdown($25)
Time12/15/23 4:40
Quant open2
Worst price389.00
Drawdown as % of equity-0.11%
$184
Includes Typical Broker Commissions trade costs of $16.00
12/15/23 4:04 QHGH4 Copper SHORT 2 390.65 12/15 4:19 390.95 0.94%
Trade id #146709512
Max drawdown($225)
Time12/15/23 4:07
Quant open2
Worst price391.10
Drawdown as % of equity-0.94%
($166)
Includes Typical Broker Commissions trade costs of $16.00
12/14/23 6:47 @BPZ3 BRITISH POUND SHORT 6 1.2697 12/14 8:25 1.2703 4.61%
Trade id #146693291
Max drawdown($1,068)
Time12/14/23 7:49
Quant open6
Worst price1.2726
Drawdown as % of equity-4.61%
($248)
Includes Typical Broker Commissions trade costs of $48.00
12/14/23 6:32 QHGH4 Copper SHORT 4 389.07 12/14 8:25 387.98 3.56%
Trade id #146693220
Max drawdown($825)
Time12/14/23 7:25
Quant open4
Worst price389.90
Drawdown as % of equity-3.56%
$1,068
Includes Typical Broker Commissions trade costs of $32.00
12/14/23 6:08 QHGH4 Copper SHORT 2 389.00 12/14 6:30 389.05 0.86%
Trade id #146693101
Max drawdown($200)
Time12/14/23 6:10
Quant open2
Worst price389.40
Drawdown as % of equity-0.86%
($41)
Includes Typical Broker Commissions trade costs of $16.00
12/14/23 5:03 QHGH4 Copper SHORT 2 388.35 12/14 5:27 388.20 0.65%
Trade id #146692863
Max drawdown($150)
Time12/14/23 5:14
Quant open2
Worst price388.65
Drawdown as % of equity-0.65%
$59
Includes Typical Broker Commissions trade costs of $16.00
12/13/23 3:51 @BPZ3 BRITISH POUND LONG 13 1.2524 12/13 8:45 1.2527 3.92%
Trade id #146678524
Max drawdown($894)
Time12/13/23 5:39
Quant open9
Worst price1.2509
Drawdown as % of equity-3.92%
$127
Includes Typical Broker Commissions trade costs of $104.00
12/13/23 4:02 QHGH4 Copper LONG 2 375.55 12/13 4:03 375.95 n/a $184
Includes Typical Broker Commissions trade costs of $16.00
12/12/23 6:09 QHGH4 Copper LONG 5 379.98 12/12 8:31 380.29 3.72%
Trade id #146667584
Max drawdown($810)
Time12/12/23 8:30
Quant open3
Worst price378.90
Drawdown as % of equity-3.72%
$348
Includes Typical Broker Commissions trade costs of $40.00
12/12/23 6:39 @BPZ3 BRITISH POUND LONG 3 1.2569 12/12 8:28 1.2585 0.65%
Trade id #146667630
Max drawdown($143)
Time12/12/23 6:52
Quant open3
Worst price1.2561
Drawdown as % of equity-0.65%
$276
Includes Typical Broker Commissions trade costs of $24.00

Statistics

  • Strategy began
    7/15/2022
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    585.01
  • Age
    20 months ago
  • What it trades
    Futures
  • # Trades
    365
  • # Profitable
    249
  • % Profitable
    68.20%
  • Avg trade duration
    5.6 days
  • Max peak-to-valley drawdown
    48.34%
  • drawdown period
    Dec 06, 2023 - Feb 05, 2024
  • Annual Return (Compounded)
    183.8%
  • Avg win
    $266.00
  • Avg loss
    $405.32
  • Model Account Values (Raw)
  • Cash
    $21,703
  • Margin Used
    $0
  • Buying Power
    $21,703
  • Ratios
  • W:L ratio
    1.41:1
  • Sharpe Ratio
    1.46
  • Sortino Ratio
    2.27
  • Calmar Ratio
    7.617
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    408.31%
  • Correlation to SP500
    0.00390
  • Return Percent SP500 (cumu) during strategy life
    28.79%
  • Return Statistics
  • Ann Return (w trading costs)
    183.8%
  • Slump
  • Current Slump as Pcnt Equity
    93.60%
  • Instruments
  • Percent Trades Futures
    0.96%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.13%
  • 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)
    1.838%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    0.02%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    283.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    64.00%
  • Chance of 20% account loss
    41.00%
  • Chance of 30% account loss
    21.50%
  • Chance of 40% account loss
    13.00%
  • Chance of 60% account loss (Monte Carlo)
    0.50%
  • Chance of 70% account loss (Monte Carlo)
    0.50%
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    4.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    889
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    393
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $405
  • Avg Win
    $266
  • Sum Trade PL (losers)
    $47,017.000
  • Age
  • Num Months filled monthly returns table
    20
  • Win / Loss
  • Sum Trade PL (winners)
    $66,234.000
  • # Winners
    249
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    116
  • % Winners
    68.2%
  • Frequency
  • Avg Position Time (mins)
    8077.33
  • Avg Position Time (hrs)
    134.62
  • Avg Trade Length
    5.6 days
  • Last Trade Ago
    38
  • Leverage
  • Daily leverage (average)
    6.04
  • Daily leverage (max)
    46.77
  • Regression
  • Alpha
    0.33
  • Beta
    0.02
  • Treynor Index
    20.74
  • 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)
    -0.04
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.421
  • 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
    0.323
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.596
  • Hold-and-Hope Ratio
    0.290
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.23654
  • SD
    1.95559
  • Sharpe ratio (Glass type estimate)
    1.14366
  • Sharpe ratio (Hedges UMVUE)
    1.09233
  • df
    17.00000
  • t
    1.40070
  • p
    0.29881
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51729
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77302
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54956
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.73421
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.17288
  • Upside Potential Ratio
    9.68144
  • Upside part of mean
    2.64936
  • Downside part of mean
    -0.41282
  • Upside SD
    1.98842
  • Downside SD
    0.27365
  • N nonnegative terms
    12.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.15540
  • Mean of criterion
    2.23654
  • SD of predictor
    0.18329
  • SD of criterion
    1.95559
  • Covariance
    0.13651
  • r
    0.38082
  • b (slope, estimate of beta)
    4.06308
  • a (intercept, estimate of alpha)
    1.60513
  • Mean Square Error
    3.47406
  • DF error
    16.00000
  • t(b)
    1.64743
  • p(b)
    0.30959
  • t(a)
    1.02279
  • p(a)
    0.37614
  • Lowerbound of 95% confidence interval for beta
    -1.16526
  • Upperbound of 95% confidence interval for beta
    9.29141
  • Lowerbound of 95% confidence interval for alpha
    -1.72179
  • Upperbound of 95% confidence interval for alpha
    4.93206
  • Treynor index (mean / b)
    0.55046
  • Jensen alpha (a)
    1.60513
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.30854
  • SD
    1.10264
  • Sharpe ratio (Glass type estimate)
    1.18674
  • Sharpe ratio (Hedges UMVUE)
    1.13347
  • df
    17.00000
  • t
    1.45345
  • p
    0.29231
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47813
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.81896
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51157
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77850
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.19768
  • Upside Potential Ratio
    5.66146
  • Upside part of mean
    1.76484
  • Downside part of mean
    -0.45630
  • Upside SD
    1.09260
  • Downside SD
    0.31173
  • N nonnegative terms
    12.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.13852
  • Mean of criterion
    1.30854
  • SD of predictor
    0.18177
  • SD of criterion
    1.10264
  • Covariance
    0.05533
  • r
    0.27607
  • b (slope, estimate of beta)
    1.67462
  • a (intercept, estimate of alpha)
    1.07657
  • Mean Square Error
    1.19334
  • DF error
    16.00000
  • t(b)
    1.14893
  • p(b)
    0.36196
  • t(a)
    1.17721
  • p(a)
    0.35884
  • Lowerbound of 95% confidence interval for beta
    -1.41525
  • Upperbound of 95% confidence interval for beta
    4.76450
  • Lowerbound of 95% confidence interval for alpha
    -0.86210
  • Upperbound of 95% confidence interval for alpha
    3.01524
  • Treynor index (mean / b)
    0.78139
  • Jensen alpha (a)
    1.07657
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.33934
  • Expected Shortfall on VaR
    0.41778
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05919
  • Expected Shortfall on VaR
    0.13033
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.72285
  • Quartile 1
    0.97211
  • Median
    1.04762
  • Quartile 3
    1.15182
  • Maximum
    3.34086
  • Mean of quarter 1
    0.88435
  • Mean of quarter 2
    1.00854
  • Mean of quarter 3
    1.08643
  • Mean of quarter 4
    1.71902
  • Inter Quartile Range
    0.17971
  • 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
    0.05556
  • Mean of outliers high
    3.34086
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26012
  • VaR(95%) (moments method)
    0.09661
  • Expected Shortfall (moments method)
    0.17143
  • Extreme Value Index (regression method)
    0.73679
  • VaR(95%) (regression method)
    0.19256
  • Expected Shortfall (regression method)
    0.84445
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.02703
  • Quartile 1
    0.03550
  • Median
    0.08954
  • Quartile 3
    0.14787
  • Maximum
    0.27715
  • Mean of quarter 1
    0.03127
  • Mean of quarter 2
    0.08954
  • Mean of quarter 3
    0.14787
  • Mean of quarter 4
    0.27715
  • Inter Quartile Range
    0.11237
  • 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)
    4.28242
  • Compounded annual return (geometric extrapolation)
    2.80549
  • Calmar ratio (compounded annual return / max draw down)
    10.12280
  • Compounded annual return / average of 25% largest draw downs
    10.12280
  • Compounded annual return / Expected Shortfall lognormal
    6.71518
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.52213
  • SD
    0.67448
  • Sharpe ratio (Glass type estimate)
    2.25673
  • Sharpe ratio (Hedges UMVUE)
    2.25244
  • df
    395.00000
  • t
    2.77445
  • p
    0.00290
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.65339
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.85735
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65049
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.85439
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.98177
  • Upside Potential Ratio
    9.27302
  • Upside part of mean
    3.54483
  • Downside part of mean
    -2.02271
  • Upside SD
    0.56257
  • Downside SD
    0.38227
  • N nonnegative terms
    208.00000
  • N negative terms
    188.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    396.00000
  • Mean of predictor
    0.15716
  • Mean of criterion
    1.52213
  • SD of predictor
    0.17142
  • SD of criterion
    0.67448
  • Covariance
    0.00079
  • r
    0.00682
  • b (slope, estimate of beta)
    0.02683
  • a (intercept, estimate of alpha)
    1.51800
  • Mean Square Error
    0.45606
  • DF error
    394.00000
  • t(b)
    0.13537
  • p(b)
    0.44620
  • t(a)
    2.75889
  • p(a)
    0.00304
  • Lowerbound of 95% confidence interval for beta
    -0.36288
  • Upperbound of 95% confidence interval for beta
    0.41654
  • Lowerbound of 95% confidence interval for alpha
    0.43624
  • Upperbound of 95% confidence interval for alpha
    2.59958
  • Treynor index (mean / b)
    56.72510
  • Jensen alpha (a)
    1.51791
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.29841
  • SD
    0.66071
  • Sharpe ratio (Glass type estimate)
    1.96518
  • Sharpe ratio (Hedges UMVUE)
    1.96144
  • df
    395.00000
  • t
    2.41601
  • p
    0.00807
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36387
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.56409
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.36136
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.56153
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.14344
  • Upside Potential Ratio
    8.23579
  • Upside part of mean
    3.40184
  • Downside part of mean
    -2.10343
  • Upside SD
    0.52082
  • Downside SD
    0.41306
  • N nonnegative terms
    208.00000
  • N negative terms
    188.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    396.00000
  • Mean of predictor
    0.14248
  • Mean of criterion
    1.29841
  • SD of predictor
    0.17112
  • SD of criterion
    0.66071
  • Covariance
    0.00067
  • r
    0.00596
  • b (slope, estimate of beta)
    0.02302
  • a (intercept, estimate of alpha)
    1.29513
  • Mean Square Error
    0.43763
  • DF error
    394.00000
  • t(b)
    0.11834
  • p(b)
    0.45293
  • t(a)
    2.40371
  • p(a)
    0.00835
  • Lowerbound of 95% confidence interval for beta
    -0.35940
  • Upperbound of 95% confidence interval for beta
    0.40544
  • Lowerbound of 95% confidence interval for alpha
    0.23584
  • Upperbound of 95% confidence interval for alpha
    2.35443
  • Treynor index (mean / b)
    56.40560
  • Jensen alpha (a)
    1.29513
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06029
  • Expected Shortfall on VaR
    0.07608
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01663
  • Expected Shortfall on VaR
    0.03742
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    396.00000
  • Minimum
    0.75389
  • Quartile 1
    0.99399
  • Median
    1.00070
  • Quartile 3
    1.01200
  • Maximum
    1.36007
  • Mean of quarter 1
    0.97096
  • Mean of quarter 2
    0.99840
  • Mean of quarter 3
    1.00517
  • Mean of quarter 4
    1.04914
  • Inter Quartile Range
    0.01801
  • Number outliers low
    24.00000
  • Percentage of outliers low
    0.06061
  • Mean of outliers low
    0.92420
  • Number of outliers high
    42.00000
  • Percentage of outliers high
    0.10606
  • Mean of outliers high
    1.08602
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.78503
  • VaR(95%) (moments method)
    0.02779
  • Expected Shortfall (moments method)
    0.13886
  • Extreme Value Index (regression method)
    0.64818
  • VaR(95%) (regression method)
    0.02534
  • Expected Shortfall (regression method)
    0.08028
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00300
  • Quartile 1
    0.01857
  • Median
    0.06969
  • Quartile 3
    0.13217
  • Maximum
    0.36327
  • Mean of quarter 1
    0.01327
  • Mean of quarter 2
    0.03807
  • Mean of quarter 3
    0.11608
  • Mean of quarter 4
    0.24405
  • Inter Quartile Range
    0.11360
  • 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
    0.05263
  • Mean of outliers high
    0.36327
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.44291
  • VaR(95%) (moments method)
    0.26554
  • Expected Shortfall (moments method)
    0.27683
  • Extreme Value Index (regression method)
    -0.74859
  • VaR(95%) (regression method)
    0.31716
  • Expected Shortfall (regression method)
    0.35100
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    4.24998
  • Compounded annual return (geometric extrapolation)
    2.76716
  • Calmar ratio (compounded annual return / max draw down)
    7.61735
  • Compounded annual return / average of 25% largest draw downs
    11.33870
  • Compounded annual return / Expected Shortfall lognormal
    36.37270
  • 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
    -0.13296
  • SD
    0.47502
  • Sharpe ratio (Glass type estimate)
    -0.27990
  • Sharpe ratio (Hedges UMVUE)
    -0.27828
  • df
    130.00000
  • t
    -0.19792
  • p
    0.50868
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.05143
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49260
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.05029
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49373
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.34816
  • Upside Potential Ratio
    4.47939
  • Upside part of mean
    1.71064
  • Downside part of mean
    -1.84360
  • Upside SD
    0.27955
  • Downside SD
    0.38189
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15982
  • Mean of criterion
    -0.13296
  • SD of predictor
    0.12327
  • SD of criterion
    0.47502
  • Covariance
    -0.00609
  • r
    -0.10402
  • b (slope, estimate of beta)
    -0.40087
  • a (intercept, estimate of alpha)
    -0.06889
  • Mean Square Error
    0.22493
  • DF error
    129.00000
  • t(b)
    -1.18793
  • p(b)
    0.56610
  • t(a)
    -0.10238
  • p(a)
    0.50574
  • Lowerbound of 95% confidence interval for beta
    -1.06853
  • Upperbound of 95% confidence interval for beta
    0.26679
  • Lowerbound of 95% confidence interval for alpha
    -1.40022
  • Upperbound of 95% confidence interval for alpha
    1.26243
  • Treynor index (mean / b)
    0.33167
  • Jensen alpha (a)
    -0.06889
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.24897
  • SD
    0.48819
  • Sharpe ratio (Glass type estimate)
    -0.50999
  • Sharpe ratio (Hedges UMVUE)
    -0.50704
  • df
    130.00000
  • t
    -0.36062
  • p
    0.51581
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.28153
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.26347
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.27954
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.26545
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.61144
  • Upside Potential Ratio
    4.11067
  • Upside part of mean
    1.67384
  • Downside part of mean
    -1.92281
  • Upside SD
    0.26635
  • Downside SD
    0.40719
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15222
  • Mean of criterion
    -0.24897
  • SD of predictor
    0.12323
  • SD of criterion
    0.48819
  • Covariance
    -0.00593
  • r
    -0.09856
  • b (slope, estimate of beta)
    -0.39046
  • a (intercept, estimate of alpha)
    -0.18954
  • Mean Square Error
    0.23784
  • DF error
    129.00000
  • t(b)
    -1.12496
  • p(b)
    0.56265
  • t(a)
    -0.27401
  • p(a)
    0.51535
  • VAR (95 Confidence Intrvl)
    0.06000
  • Lowerbound of 95% confidence interval for beta
    -1.07719
  • Upperbound of 95% confidence interval for beta
    0.29626
  • Lowerbound of 95% confidence interval for alpha
    -1.55813
  • Upperbound of 95% confidence interval for alpha
    1.17905
  • Treynor index (mean / b)
    0.63764
  • Jensen alpha (a)
    -0.18954
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04930
  • Expected Shortfall on VaR
    0.06115
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01637
  • Expected Shortfall on VaR
    0.03686
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.84281
  • Quartile 1
    0.99649
  • Median
    1.00000
  • Quartile 3
    1.00885
  • Maximum
    1.14908
  • Mean of quarter 1
    0.97291
  • Mean of quarter 2
    0.99938
  • Mean of quarter 3
    1.00333
  • Mean of quarter 4
    1.02289
  • Inter Quartile Range
    0.01236
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.92595
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.03053
  • Mean of outliers high
    1.07327
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.01105
  • VaR(95%) (moments method)
    0.02360
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.92198
  • VaR(95%) (regression method)
    0.02126
  • Expected Shortfall (regression method)
    0.29000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00300
  • Quartile 1
    0.09005
  • Median
    0.10408
  • Quartile 3
    0.12576
  • Maximum
    0.29376
  • Mean of quarter 1
    0.04585
  • Mean of quarter 2
    0.09405
  • Mean of quarter 3
    0.11411
  • Mean of quarter 4
    0.21171
  • Inter Quartile Range
    0.03572
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.16667
  • Mean of outliers low
    0.00300
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.16667
  • Mean of outliers high
    0.29376
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -340558000
  • Max Equity Drawdown (num days)
    61
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.20929
  • Compounded annual return (geometric extrapolation)
    -0.19834
  • Calmar ratio (compounded annual return / max draw down)
    -0.67517
  • Compounded annual return / average of 25% largest draw downs
    -0.93685
  • Compounded annual return / Expected Shortfall lognormal
    -3.24341

Strategy Description

Our Enhanced strategy takes concentrated positions with a higher leverage profile. We aim for outsized returns amidst a tight risk management profile. Our 4474 strategy is time-agnostic with positions ranging from several hours to many months, however in the Enhanced version, underperforming positions are held with less tolerance and occasionally liquidated sooner.

We are also sharing our perspective on markets via Twitter @4474notes, and on Substack (http://4474.substack.com).

Nov 2023 -> Please note, our strategy has been rescaled from ~ $230,000, to the original starting capital ~ $23,000. Performance data will reflect this by showing 1/10th of the original amounts; both in position profit/loss and contract sizing, and this is simply for mathematical consistency (i.e., where we may have traded 9 contracts and profited with $11,000, new data upon rescaling may show 0.9 contracts, and a profit of $1,100). We only trade with whole number position sizes.

Summary Statistics

Strategy began
2022-07-15
Suggested Minimum Capital
$25,000
# Trades
365
# Profitable
249
% Profitable
68.2%
Correlation S&P500
0.004
Sharpe Ratio
1.46
Sortino Ratio
2.27
Beta
0.02
Alpha
0.33
Leverage
6.04 Average
46.77 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.