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Featured Strategy S2Prox0 Trades-Own-Strategy Certified Trades-Own-Strategy Certification 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 01/19/2023
Most recent certification approved 1/19/23 4:32 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 1,248
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 1,248
Percent signals followed since 01/19/2023 100%
This information was last updated 4/23/24 5:48 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 01/19/2023, 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.

SP 500 Futures Scalper
(143242506)

Created by: ChrisPage ChrisPage
Started: 01/2023
Futures
Last trade: Today
Trading style: Futures Short Term

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 $299.00 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
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
20.3%
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.

(24.4%)
Max Drawdown
482
Num Trades
67.0%
Win Trades
1.1 : 1
Profit Factor
56.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023(4%)(3.2%)+7.1%+8.4%+3.8%+11.4%+9.7%+5.6%(14.9%)(8.7%)+11.4%+2.4%+28.0%
2024+15.3%(4.1%)(2.7%)(8.1%)                                                (1.1%)

Model Account Details

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

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

Trading Record

This strategy has placed 1,247 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
4/22/24 23:17 @MESM4 MICRO E-MINI S&P 500 LONG 12 5046.26 4/23 3:03 5051.06 n/a $280
Includes Typical Broker Commissions trade costs of $8.46
4/22/24 14:08 @MESM4 MICRO E-MINI S&P 500 LONG 12 5071.46 4/22 15:20 5058.06 1.19%
Trade id #147978585
Max drawdown($762)
Time4/22/24 14:52
Quant open12
Worst price5058.75
Drawdown as % of equity-1.19%
 ($812)
Includes Typical Broker Commissions trade costs of $8.46
4/22/24 12:23 @MESM4 MICRO E-MINI S&P 500 LONG 12 5037.29 4/22 13:49 5055.67 0.35%
Trade id #147977156
Max drawdown($220)
Time4/22/24 12:31
Quant open6
Worst price5024.75
Drawdown as % of equity-0.35%
 $1,095
Includes Typical Broker Commissions trade costs of $8.46
4/22/24 10:32 @ESM4 E-MINI S&P 500 SHORT 3 5018.19 4/22 11:17 5010.72 1.72%
Trade id #147975126
Max drawdown($1,058)
Time4/22/24 10:42
Quant open3
Worst price5025.25
Drawdown as % of equity-1.72%
 $1,105
Includes Typical Broker Commissions trade costs of $16.00
4/22/24 7:18 @MESM4 MICRO E-MINI S&P 500 LONG 6 5031.50 4/22 10:23 5018.42 0.65%
Trade id #147972612
Max drawdown($405)
Time4/22/24 10:23
Quant open6
Worst price5018.00
Drawdown as % of equity-0.65%
 ($399)
Includes Typical Broker Commissions trade costs of $5.64
4/19/24 12:22 @ESM4 E-MINI S&P 500 SHORT 3 5008.97 4/19 13:00 5023.47 2.95%
Trade id #147959090
Max drawdown($1,879)
Time4/19/24 12:50
Quant open3
Worst price5021.50
Drawdown as % of equity-2.95%
 ($2,199)
Includes Typical Broker Commissions trade costs of $24.00
4/19/24 11:28 @ESM4 E-MINI S&P 500 SHORT 3 5029.08 4/19 12:08 5020.81 1.65%
Trade id #147957617
Max drawdown($1,037)
Time4/19/24 11:48
Quant open3
Worst price5036.00
Drawdown as % of equity-1.65%
 $1,218
Includes Typical Broker Commissions trade costs of $24.00
4/19/24 6:48 @ESM4 E-MINI S&P 500 SHORT 3 5025.28 4/19 7:28 5037.75 2.42%
Trade id #147954623
Max drawdown($1,570)
Time4/19/24 7:17
Quant open3
Worst price5035.75
Drawdown as % of equity-2.42%
 ($1,895)
Includes Typical Broker Commissions trade costs of $24.00
4/18/24 14:40 @ESM4 E-MINI S&P 500 SHORT 3 5042.72 4/18 21:01 5032.72 4.66%
Trade id #147949116
Max drawdown($2,929)
Time4/18/24 15:51
Quant open3
Worst price5062.25
Drawdown as % of equity-4.66%
 $1,476
Includes Typical Broker Commissions trade costs of $24.00
4/18/24 10:53 @MESM4 MICRO E-MINI S&P 500 LONG 12 5084.42 4/18 12:34 5071.25 1.48%
Trade id #147945948
Max drawdown($955)
Time4/18/24 12:34
Quant open12
Worst price5068.50
Drawdown as % of equity-1.48%
 ($801)
Includes Typical Broker Commissions trade costs of $11.28
4/17/24 13:39 @MESM4 MICRO E-MINI S&P 500 LONG 12 5074.00 4/17 14:44 5092.12 0.69%
Trade id #147937633
Max drawdown($435)
Time4/17/24 13:46
Quant open12
Worst price5066.75
Drawdown as % of equity-0.69%
 $1,077
Includes Typical Broker Commissions trade costs of $11.28
4/16/24 12:32 @MESM4 MICRO E-MINI S&P 500 LONG 6 5102.96 4/16 13:30 5088.94 0.84%
Trade id #147925461
Max drawdown($531)
Time4/16/24 13:30
Quant open6
Worst price5085.25
Drawdown as % of equity-0.84%
 ($426)
Includes Typical Broker Commissions trade costs of $5.64
4/16/24 10:36 @ESM4 E-MINI S&P 500 SHORT 2 5088.71 4/16 11:53 5106.75 2.92%
Trade id #147923160
Max drawdown($1,879)
Time4/16/24 11:53
Quant open2
Worst price5107.50
Drawdown as % of equity-2.92%
 ($1,820)
Includes Typical Broker Commissions trade costs of $16.00
4/16/24 8:13 @ESM4 E-MINI S&P 500 SHORT 4 5111.50 4/16 9:36 5104.88 0.7%
Trade id #147920342
Max drawdown($450)
Time4/16/24 9:10
Quant open3
Worst price5114.50
Drawdown as % of equity-0.70%
 $1,293
Includes Typical Broker Commissions trade costs of $32.00
4/15/24 12:34 @ESM4 E-MINI S&P 500 SHORT 3 5161.44 4/15 13:07 5158.33 0.14%
Trade id #147910962
Max drawdown($90)
Time4/15/24 13:07
Quant open1
Worst price5163.25
Drawdown as % of equity-0.14%
 $443
Includes Typical Broker Commissions trade costs of $24.00
4/15/24 12:15 @MESM4 MICRO E-MINI S&P 500 LONG 8 5183.56 4/15 12:24 5167.88 1.15%
Trade id #147910632
Max drawdown($742)
Time4/15/24 12:24
Quant open8
Worst price5165.00
Drawdown as % of equity-1.15%
 ($636)
Includes Typical Broker Commissions trade costs of $7.52
4/15/24 9:20 @MESM4 MICRO E-MINI S&P 500 LONG 8 5210.42 4/15 10:14 5190.67 1.1%
Trade id #147903430
Max drawdown($716)
Time4/15/24 10:08
Quant open8
Worst price5192.50
Drawdown as % of equity-1.10%
 ($798)
Includes Typical Broker Commissions trade costs of $7.52
4/12/24 14:37 @ESM4 E-MINI S&P 500 SHORT 3 5160.61 4/12 15:03 5153.64 0.79%
Trade id #147889941
Max drawdown($508)
Time4/12/24 14:42
Quant open3
Worst price5164.00
Drawdown as % of equity-0.79%
 $1,022
Includes Typical Broker Commissions trade costs of $24.00
4/12/24 9:33 @ESM4 E-MINI S&P 500 SHORT 2 5212.25 4/12 10:38 5192.08 1.05%
Trade id #147884468
Max drawdown($650)
Time4/12/24 9:46
Quant open2
Worst price5218.75
Drawdown as % of equity-1.05%
 $2,001
Includes Typical Broker Commissions trade costs of $16.00
4/11/24 13:29 @MESM4 MICRO E-MINI S&P 500 LONG 12 5239.25 4/11 16:28 5244.50 0.69%
Trade id #147875312
Max drawdown($435)
Time4/11/24 13:41
Quant open12
Worst price5232.00
Drawdown as % of equity-0.69%
 $304
Includes Typical Broker Commissions trade costs of $11.28
4/11/24 10:16 @ESM4 E-MINI S&P 500 SHORT 2 5184.25 4/11 12:47 5212.88 4.12%
Trade id #147871799
Max drawdown($2,675)
Time4/11/24 11:56
Quant open2
Worst price5211.00
Drawdown as % of equity-4.12%
 ($2,879)
Includes Typical Broker Commissions trade costs of $16.00
4/11/24 9:28 @MESM4 MICRO E-MINI S&P 500 LONG 6 5217.75 4/11 9:40 5202.58 0.71%
Trade id #147870429
Max drawdown($465)
Time4/11/24 9:40
Quant open6
Worst price5202.25
Drawdown as % of equity-0.71%
 ($461)
Includes Typical Broker Commissions trade costs of $5.64
4/10/24 11:49 @ESM4 E-MINI S&P 500 SHORT 2 5197.46 4/10 13:09 5189.08 1.79%
Trade id #147861352
Max drawdown($1,154)
Time4/10/24 13:01
Quant open2
Worst price5209.00
Drawdown as % of equity-1.79%
 $822
Includes Typical Broker Commissions trade costs of $16.00
4/9/24 8:37 @MESM4 MICRO E-MINI S&P 500 LONG 16 5266.43 4/9 9:35 5267.17 0.27%
Trade id #147846310
Max drawdown($174)
Time4/9/24 9:07
Quant open16
Worst price5264.25
Drawdown as % of equity-0.27%
 $44
Includes Typical Broker Commissions trade costs of $15.04
4/9/24 6:43 @ESM4 E-MINI S&P 500 SHORT 3 5247.97 4/9 8:00 5262.00 3.32%
Trade id #147845924
Max drawdown($2,216)
Time4/9/24 8:00
Quant open3
Worst price5262.75
Drawdown as % of equity-3.32%
 ($2,128)
Includes Typical Broker Commissions trade costs of $24.00
4/8/24 13:05 @MESM4 MICRO E-MINI S&P 500 LONG 28 5258.74 4/9 3:55 5251.92 1.92%
Trade id #147840482
Max drawdown($1,293)
Time4/8/24 15:57
Quant open28
Worst price5249.50
Drawdown as % of equity-1.92%
 ($980)
Includes Typical Broker Commissions trade costs of $26.32
4/8/24 9:10 @MESM4 MICRO E-MINI S&P 500 LONG 6 5264.17 4/8 9:39 5249.25 0.69%
Trade id #147834684
Max drawdown($470)
Time4/8/24 9:39
Quant open6
Worst price5248.50
Drawdown as % of equity-0.69%
 ($454)
Includes Typical Broker Commissions trade costs of $5.64
4/8/24 7:24 @MESM4 MICRO E-MINI S&P 500 LONG 16 5254.68 4/8 8:48 5262.83 0.82%
Trade id #147834252
Max drawdown($554)
Time4/8/24 7:45
Quant open16
Worst price5247.75
Drawdown as % of equity-0.82%
 $638
Includes Typical Broker Commissions trade costs of $15.04
4/5/24 12:04 @MESM4 MICRO E-MINI S&P 500 LONG 6 5263.75 4/5 13:57 5247.75 0.97%
Trade id #147821872
Max drawdown($660)
Time4/5/24 13:57
Quant open6
Worst price5241.75
Drawdown as % of equity-0.97%
 ($486)
Includes Typical Broker Commissions trade costs of $5.64
4/5/24 10:06 @MESM4 MICRO E-MINI S&P 500 LONG 18 5232.25 4/5 11:46 5252.44 1.17%
Trade id #147819454
Max drawdown($777)
Time4/5/24 10:27
Quant open12
Worst price5215.50
Drawdown as % of equity-1.17%
 $1,801
Includes Typical Broker Commissions trade costs of $16.92
Next

Statistics

  • Strategy began
    1/17/2023
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    461.53
  • Age
    15 months ago
  • What it trades
    Futures
  • # Trades
    482
  • # Profitable
    323
  • % Profitable
    67.00%
  • Avg trade duration
    9.1 hours
  • Max peak-to-valley drawdown
    24.41%
  • drawdown period
    Aug 15, 2023 - Oct 31, 2023
  • Annual Return (Compounded)
    20.3%
  • Avg win
    $595.55
  • Avg loss
    $1,054
  • Model Account Values (Raw)
  • Cash
    $74,683
  • Margin Used
    $0
  • Buying Power
    $74,683
  • Ratios
  • W:L ratio
    1.15:1
  • Sharpe Ratio
    0.65
  • Sortino Ratio
    0.94
  • Calmar Ratio
    1.813
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1.01%
  • Correlation to SP500
    0.35240
  • Return Percent SP500 (cumu) during strategy life
    25.55%
  • Return Statistics
  • Ann Return (w trading costs)
    20.3%
  • Slump
  • Current Slump as Pcnt Equity
    19.90%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.18%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.203%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    37.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    38.50%
  • Chance of 20% account loss
    10.50%
  • Chance of 30% account loss
    0.50%
  • 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)
    911
  • Popularity (Last 6 weeks)
    976
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    356
  • Popularity (7 days, Percentile 1000 scale)
    962
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $1,054
  • Avg Win
    $596
  • Sum Trade PL (losers)
    $167,654.000
  • Age
  • Num Months filled monthly returns table
    16
  • Win / Loss
  • Sum Trade PL (winners)
    $192,364.000
  • # Winners
    323
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    137348
  • Win / Loss
  • # Losers
    159
  • % Winners
    67.0%
  • Frequency
  • Avg Position Time (mins)
    544.95
  • Avg Position Time (hrs)
    9.08
  • Avg Trade Length
    0.4 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    6.32
  • Daily leverage (max)
    21.91
  • Regression
  • Alpha
    0.02
  • Beta
    0.73
  • Treynor Index
    0.08
  • 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)
    0.56
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    35.265
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.865
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.173
  • Hold-and-Hope Ratio
    0.028
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32195
  • SD
    0.24063
  • Sharpe ratio (Glass type estimate)
    1.33795
  • Sharpe ratio (Hedges UMVUE)
    1.26475
  • df
    14.00000
  • t
    1.49588
  • p
    0.31439
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50448
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.13650
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54980
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.07931
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.35089
  • Upside Potential Ratio
    4.02878
  • Upside part of mean
    0.55173
  • Downside part of mean
    -0.22978
  • Upside SD
    0.20958
  • Downside SD
    0.13695
  • N nonnegative terms
    10.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.16332
  • Mean of criterion
    0.32195
  • SD of predictor
    0.12984
  • SD of criterion
    0.24063
  • Covariance
    0.02156
  • r
    0.69023
  • b (slope, estimate of beta)
    1.27916
  • a (intercept, estimate of alpha)
    0.11303
  • Mean Square Error
    0.03265
  • DF error
    13.00000
  • t(b)
    3.43933
  • p(b)
    0.09853
  • t(a)
    0.65467
  • p(a)
    0.38687
  • Lowerbound of 95% confidence interval for beta
    0.47567
  • Upperbound of 95% confidence interval for beta
    2.08264
  • Lowerbound of 95% confidence interval for alpha
    -0.25996
  • Upperbound of 95% confidence interval for alpha
    0.48602
  • Treynor index (mean / b)
    0.25169
  • Jensen alpha (a)
    0.11303
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29055
  • SD
    0.24010
  • Sharpe ratio (Glass type estimate)
    1.21013
  • Sharpe ratio (Hedges UMVUE)
    1.14392
  • df
    14.00000
  • t
    1.35297
  • p
    0.32998
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.61840
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.99845
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65960
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.94744
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.02192
  • Upside Potential Ratio
    3.68671
  • Upside part of mean
    0.52978
  • Downside part of mean
    -0.23923
  • Upside SD
    0.20047
  • Downside SD
    0.14370
  • N nonnegative terms
    10.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.15411
  • Mean of criterion
    0.29055
  • SD of predictor
    0.12926
  • SD of criterion
    0.24010
  • Covariance
    0.02149
  • r
    0.69252
  • b (slope, estimate of beta)
    1.28640
  • a (intercept, estimate of alpha)
    0.09230
  • Mean Square Error
    0.03231
  • DF error
    13.00000
  • t(b)
    3.46123
  • p(b)
    0.09748
  • t(a)
    0.54084
  • p(a)
    0.40591
  • Lowerbound of 95% confidence interval for beta
    0.48348
  • Upperbound of 95% confidence interval for beta
    2.08931
  • Lowerbound of 95% confidence interval for alpha
    -0.27640
  • Upperbound of 95% confidence interval for alpha
    0.46101
  • Treynor index (mean / b)
    0.22586
  • Jensen alpha (a)
    0.09230
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08588
  • Expected Shortfall on VaR
    0.11168
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03357
  • Expected Shortfall on VaR
    0.07054
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.89148
  • Quartile 1
    0.97730
  • Median
    1.05035
  • Quartile 3
    1.07744
  • Maximum
    1.11155
  • Mean of quarter 1
    0.93642
  • Mean of quarter 2
    1.02513
  • Mean of quarter 3
    1.06303
  • Mean of quarter 4
    1.10052
  • Inter Quartile Range
    0.10014
  • 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 for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.05638
  • VaR(95%) (moments method)
    0.05872
  • Expected Shortfall (moments method)
    0.08142
  • Extreme Value Index (regression method)
    -0.33109
  • VaR(95%) (regression method)
    0.07733
  • Expected Shortfall (regression method)
    0.09613
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.02127
  • Quartile 1
    0.02770
  • Median
    0.06083
  • Quartile 3
    0.10138
  • Maximum
    0.13003
  • Mean of quarter 1
    0.02127
  • Mean of quarter 2
    0.02984
  • Mean of quarter 3
    0.09182
  • Mean of quarter 4
    0.13003
  • Inter Quartile Range
    0.07368
  • 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)
    0.39116
  • Compounded annual return (geometric extrapolation)
    0.37500
  • Calmar ratio (compounded annual return / max draw down)
    2.88391
  • Compounded annual return / average of 25% largest draw downs
    2.88391
  • Compounded annual return / Expected Shortfall lognormal
    3.35774
  • 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
    0.31974
  • SD
    0.24322
  • Sharpe ratio (Glass type estimate)
    1.31461
  • Sharpe ratio (Hedges UMVUE)
    1.31160
  • df
    327.00000
  • t
    1.47090
  • p
    0.07114
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44096
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.06825
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44299
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.06618
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.94471
  • Upside Potential Ratio
    9.95781
  • Upside part of mean
    1.63720
  • Downside part of mean
    -1.31746
  • Upside SD
    0.17981
  • Downside SD
    0.16441
  • N nonnegative terms
    178.00000
  • N negative terms
    150.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    328.00000
  • Mean of predictor
    0.16190
  • Mean of criterion
    0.31974
  • SD of predictor
    0.12679
  • SD of criterion
    0.24322
  • Covariance
    0.01071
  • r
    0.34742
  • b (slope, estimate of beta)
    0.66646
  • a (intercept, estimate of alpha)
    0.21200
  • Mean Square Error
    0.05217
  • DF error
    326.00000
  • t(b)
    6.68946
  • p(b)
    0.00000
  • t(a)
    1.03444
  • p(a)
    0.15085
  • Lowerbound of 95% confidence interval for beta
    0.47047
  • Upperbound of 95% confidence interval for beta
    0.86246
  • Lowerbound of 95% confidence interval for alpha
    -0.19103
  • Upperbound of 95% confidence interval for alpha
    0.61470
  • Treynor index (mean / b)
    0.47975
  • Jensen alpha (a)
    0.21183
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29007
  • SD
    0.24312
  • Sharpe ratio (Glass type estimate)
    1.19308
  • Sharpe ratio (Hedges UMVUE)
    1.19034
  • df
    327.00000
  • t
    1.33492
  • p
    0.09142
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56188
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.94630
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.56374
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.94442
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.73964
  • Upside Potential Ratio
    9.72275
  • Upside part of mean
    1.62116
  • Downside part of mean
    -1.33109
  • Upside SD
    0.17733
  • Downside SD
    0.16674
  • N nonnegative terms
    178.00000
  • N negative terms
    150.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    328.00000
  • Mean of predictor
    0.15383
  • Mean of criterion
    0.29007
  • SD of predictor
    0.12671
  • SD of criterion
    0.24312
  • Covariance
    0.01067
  • r
    0.34639
  • b (slope, estimate of beta)
    0.66463
  • a (intercept, estimate of alpha)
    0.18782
  • Mean Square Error
    0.05218
  • DF error
    326.00000
  • t(b)
    6.66697
  • p(b)
    0.00000
  • t(a)
    0.91744
  • p(a)
    0.17980
  • Lowerbound of 95% confidence interval for beta
    0.46851
  • Upperbound of 95% confidence interval for beta
    0.86074
  • Lowerbound of 95% confidence interval for alpha
    -0.21493
  • Upperbound of 95% confidence interval for alpha
    0.59057
  • Treynor index (mean / b)
    0.43643
  • Jensen alpha (a)
    0.18782
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02332
  • Expected Shortfall on VaR
    0.02942
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01096
  • Expected Shortfall on VaR
    0.02158
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    328.00000
  • Minimum
    0.94708
  • Quartile 1
    0.99306
  • Median
    1.00163
  • Quartile 3
    1.01005
  • Maximum
    1.06105
  • Mean of quarter 1
    0.98229
  • Mean of quarter 2
    0.99797
  • Mean of quarter 3
    1.00571
  • Mean of quarter 4
    1.01934
  • Inter Quartile Range
    0.01699
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.02439
  • Mean of outliers low
    0.96018
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.01220
  • Mean of outliers high
    1.04831
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.23689
  • VaR(95%) (moments method)
    0.01649
  • Expected Shortfall (moments method)
    0.02043
  • Extreme Value Index (regression method)
    -0.05706
  • VaR(95%) (regression method)
    0.01704
  • Expected Shortfall (regression method)
    0.02267
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00038
  • Quartile 1
    0.00351
  • Median
    0.02929
  • Quartile 3
    0.06648
  • Maximum
    0.20644
  • Mean of quarter 1
    0.00166
  • Mean of quarter 2
    0.01370
  • Mean of quarter 3
    0.05616
  • Mean of quarter 4
    0.11954
  • Inter Quartile Range
    0.06297
  • 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
    0.20644
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.68595
  • VaR(95%) (moments method)
    0.13194
  • Expected Shortfall (moments method)
    0.14756
  • Extreme Value Index (regression method)
    -0.00297
  • VaR(95%) (regression method)
    0.16563
  • Expected Shortfall (regression method)
    0.22635
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.39056
  • Compounded annual return (geometric extrapolation)
    0.37434
  • Calmar ratio (compounded annual return / max draw down)
    1.81325
  • Compounded annual return / average of 25% largest draw downs
    3.13144
  • Compounded annual return / Expected Shortfall lognormal
    12.72470
  • 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
    0.32446
  • SD
    0.23484
  • Sharpe ratio (Glass type estimate)
    1.38160
  • Sharpe ratio (Hedges UMVUE)
    1.37361
  • df
    130.00000
  • t
    0.97694
  • p
    0.45732
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.39783
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.15583
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40322
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.15044
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.17972
  • Upside Potential Ratio
    11.01370
  • Upside part of mean
    1.63943
  • Downside part of mean
    -1.31497
  • Upside SD
    0.18159
  • Downside SD
    0.14885
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.29518
  • Mean of criterion
    0.32446
  • SD of predictor
    0.11674
  • SD of criterion
    0.23484
  • Covariance
    0.00888
  • r
    0.32396
  • b (slope, estimate of beta)
    0.65171
  • a (intercept, estimate of alpha)
    0.13209
  • Mean Square Error
    0.04975
  • DF error
    129.00000
  • t(b)
    3.88917
  • p(b)
    0.29743
  • t(a)
    0.41371
  • p(a)
    0.47683
  • Lowerbound of 95% confidence interval for beta
    0.32017
  • Upperbound of 95% confidence interval for beta
    0.98326
  • Lowerbound of 95% confidence interval for alpha
    -0.49961
  • Upperbound of 95% confidence interval for alpha
    0.76379
  • Treynor index (mean / b)
    0.49786
  • Jensen alpha (a)
    0.13209
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29699
  • SD
    0.23415
  • Sharpe ratio (Glass type estimate)
    1.26839
  • Sharpe ratio (Hedges UMVUE)
    1.26105
  • df
    130.00000
  • t
    0.89688
  • p
    0.46079
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.51012
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.04206
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.51499
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.03709
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.97386
  • Upside Potential Ratio
    10.78710
  • Upside part of mean
    1.62306
  • Downside part of mean
    -1.32607
  • Upside SD
    0.17918
  • Downside SD
    0.15046
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28823
  • Mean of criterion
    0.29699
  • SD of predictor
    0.11659
  • SD of criterion
    0.23415
  • Covariance
    0.00882
  • r
    0.32297
  • b (slope, estimate of beta)
    0.64861
  • a (intercept, estimate of alpha)
    0.11004
  • Mean Square Error
    0.04949
  • DF error
    129.00000
  • t(b)
    3.87593
  • p(b)
    0.29802
  • t(a)
    0.34574
  • p(a)
    0.48063
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    0.31752
  • Upperbound of 95% confidence interval for beta
    0.97970
  • Lowerbound of 95% confidence interval for alpha
    -0.51968
  • Upperbound of 95% confidence interval for alpha
    0.73977
  • Treynor index (mean / b)
    0.45789
  • Jensen alpha (a)
    0.11004
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02241
  • Expected Shortfall on VaR
    0.02828
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01151
  • Expected Shortfall on VaR
    0.02119
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96371
  • Quartile 1
    0.99206
  • Median
    1.00060
  • Quartile 3
    1.00917
  • Maximum
    1.04774
  • Mean of quarter 1
    0.98359
  • Mean of quarter 2
    0.99672
  • Mean of quarter 3
    1.00549
  • Mean of quarter 4
    1.01971
  • Inter Quartile Range
    0.01711
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.96371
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.04411
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.17472
  • VaR(95%) (moments method)
    0.01677
  • Expected Shortfall (moments method)
    0.02064
  • Extreme Value Index (regression method)
    0.01330
  • VaR(95%) (regression method)
    0.01607
  • Expected Shortfall (regression method)
    0.02092
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00400
  • Quartile 1
    0.01451
  • Median
    0.03200
  • Quartile 3
    0.04159
  • Maximum
    0.11221
  • Mean of quarter 1
    0.00968
  • Mean of quarter 2
    0.03064
  • Mean of quarter 3
    0.03846
  • Mean of quarter 4
    0.08136
  • Inter Quartile Range
    0.02707
  • 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
    0.11111
  • Mean of outliers high
    0.11221
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.01221
  • VaR(95%) (moments method)
    0.07852
  • Expected Shortfall (moments method)
    0.10275
  • Extreme Value Index (regression method)
    1.78959
  • VaR(95%) (regression method)
    0.15596
  • 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?
    -352404000
  • Max Equity Drawdown (num days)
    77
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.35278
  • Compounded annual return (geometric extrapolation)
    0.38389
  • Calmar ratio (compounded annual return / max draw down)
    3.42112
  • Compounded annual return / average of 25% largest draw downs
    4.71837
  • Compounded annual return / Expected Shortfall lognormal
    13.57310

Strategy Description

ANY CALENDAR MONTH THIS STRATEGY DOES NOT RETURN POSITIVE ROI (as reported by C2) CURRENT SUBSCRIBERS WILL GET THEIR NEXT MONTH FREE.

Strategy details, discussion and updates are here: https://forums.collective2.com/t/sp-500-futures-scalper-2024-new-ath-and-50-off/

SP 500 Futures Scalper opens long and short positions in futures markets trading S&P 500 E-Mini and Micro E-Mini futures contracts. It is designed for account balances of at least USD$60,000. The maximum position is three E-Mini contracts (or thirty Micro E-Mini contracts).

- I trade this strategy live in my own Interactive Brokers account. Every trade is posted using C2 BrokerTransmit, and is a trade I have executed. What you trade, I trade.

- On the backend, this strategy is actually a collection of independent “long only” and “short only” strategies. So C2’s BrokerTransmit system does not break, long positions trade Micro E-Mini contracts, and short positions trade E-Mini contracts.

- This strategy is AI generated and tuned weekly (over the weekend).

- This strategy is 100% automated and run 24x5. I NEVER place a manual order, or override an automated order.

- My tuning and trading servers are beefy dedicated physical servers (not virtual machines) sitting in a data center in New Jersey with <2ms latency to Interactive Brokers. I’m not running this out of my basement or off of my laptop.

- Collective2 is not my full-time gig, but automated algorithmic trading has been my full-time gig for the last six years.

This strategy was generated using genetic algorithm AI and opens a position only when a convergence of technical indicator values result in an acceptable trade setup, and then calculates aggressive take profit exits, ideal for volatile markets with frequent sentiment-driven intraday reversals that destroy most day-trading strategies. The manager has traded this strategy live since May 2022 with their own funds through their broker.

ALL RECORDED TRADES IN TRADE RECORD ARE LIVE TRADES IN THE MANAGER’S OWN ACCOUNT. In other words, I’m trading MY money with this strategy, not just yours. C2 trade signals are generated by mirroring the trades in my live Interactive Brokers account.

Summary Statistics

Strategy began
2023-01-17
Suggested Minimum Capital
$60,000
# Trades
482
# Profitable
323
% Profitable
67.0%
Correlation S&P500
0.352
Sharpe Ratio
0.65
Sortino Ratio
0.94
Beta
0.73
Alpha
0.02
Leverage
6.32 Average
21.91 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.