Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

You already have a live, full-featured subscription to this strategy.

Okay, no problem

Reach out to us when you are ready. You can schedule your free training session at any time by clicking the button.

Remember, this training is free, low pressure, and (we hope!) fun.

Got it

Later

You can find it here.

Got it

Video Saved for Later

You can watch this video later. Just click this button at the top of the screen whenever you're ready to watch it.

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

SteadyReturns
(138725788)

Created by: LXC511 LXC511
Started: 12/2021
Futures
Last trade: 8 days ago
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 $150.00 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.
21.1%
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.

(6.7%)
Max Drawdown
270
Num Trades
88.1%
Win Trades
3.7 : 1
Profit Factor
93.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                                             +5.1%+5.1%
2022+4.0%+0.8%+1.6%+0.9%+1.2%+1.0%+1.1%+0.8%+0.9%+0.9%+0.8%+1.0%+16.0%
2023+1.3%  -                                                              +1.3%

Model Account Details

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

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

System developer has asked us to delay this information by 168 hours.

Trading Record

This strategy has placed 673 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
1/24/23 13:34 @MESH3 MICRO E-MINI S&P 500 SHORT 5 4033.75 1/24 14:01 4029.00 0.29%
Trade id #143323262
Max drawdown($181)
Time1/24/23 13:47
Quant open5
Worst price4041.00
Drawdown as % of equity-0.29%
$114
Includes Typical Broker Commissions trade costs of $4.70
1/24/23 12:17 @MESH3 MICRO E-MINI S&P 500 SHORT 5 4033.50 1/24 12:41 4029.00 0.03%
Trade id #143322383
Max drawdown($18)
Time1/24/23 12:20
Quant open5
Worst price4034.25
Drawdown as % of equity-0.03%
$108
Includes Typical Broker Commissions trade costs of $4.70
1/23/23 10:19 @MESH3 MICRO E-MINI S&P 500 SHORT 10 4029.12 1/23 14:46 4028.75 2.25%
Trade id #143303271
Max drawdown($1,368)
Time1/23/23 13:48
Quant open10
Worst price4056.50
Drawdown as % of equity-2.25%
$10
Includes Typical Broker Commissions trade costs of $9.40
1/19/23 12:49 @MESH3 MICRO E-MINI S&P 500 LONG 5 3911.00 1/19 13:00 3916.00 0.11%
Trade id #143271312
Max drawdown($68)
Time1/19/23 12:55
Quant open5
Worst price3908.25
Drawdown as % of equity-0.11%
$120
Includes Typical Broker Commissions trade costs of $4.70
1/18/23 15:04 @MESH3 MICRO E-MINI S&P 500 LONG 5 3959.00 1/18 15:11 3965.73 n/a $163
Includes Typical Broker Commissions trade costs of $4.70
1/18/23 14:39 @MESH3 MICRO E-MINI S&P 500 LONG 5 3965.94 1/18 14:56 3961.50 0.19%
Trade id #143257448
Max drawdown($117)
Time1/18/23 14:56
Quant open5
Worst price3961.25
Drawdown as % of equity-0.19%
($116)
Includes Typical Broker Commissions trade costs of $4.70
1/18/23 14:05 @MESH3 MICRO E-MINI S&P 500 LONG 5 3965.00 1/18 14:33 3970.00 0.12%
Trade id #143257227
Max drawdown($75)
Time1/18/23 14:18
Quant open5
Worst price3962.00
Drawdown as % of equity-0.12%
$120
Includes Typical Broker Commissions trade costs of $4.70
1/11/23 13:14 @MESH3 MICRO E-MINI S&P 500 SHORT 5 3974.50 1/11 13:16 3966.44 n/a $197
Includes Typical Broker Commissions trade costs of $4.70
1/9/23 10:33 @MESH3 MICRO E-MINI S&P 500 SHORT 10 3962.12 1/9 12:37 3959.72 0.91%
Trade id #143146682
Max drawdown($556)
Time1/9/23 11:16
Quant open10
Worst price3973.25
Drawdown as % of equity-0.91%
$111
Includes Typical Broker Commissions trade costs of $9.40
1/5/23 13:14 @MESH3 MICRO E-MINI S&P 500 LONG 2.500000000 3827.00 1/5 13:20 3836.25 0.02%
Trade id #143112213
Max drawdown($9)
Time1/5/23 13:17
Quant open1
Worst price3825.50
Drawdown as % of equity-0.02%
$114
Includes Typical Broker Commissions trade costs of $2.34
12/23/22 10:03 @MESH3 MICRO E-MINI S&P 500 LONG 2.500000000 3830.00 12/23 10:10 3840.00 0.07%
Trade id #142982880
Max drawdown($40)
Time12/23/22 10:06
Quant open1
Worst price3823.50
Drawdown as % of equity-0.07%
$123
Includes Typical Broker Commissions trade costs of $2.34
12/23/22 9:56 @MESH3 MICRO E-MINI S&P 500 LONG 2.500000000 3823.45 12/23 10:00 3833.64 n/a $125
Includes Typical Broker Commissions trade costs of $2.34
12/22/22 10:01 @MESH3 MICRO E-MINI S&P 500 LONG 17.500000000 3819.96 12/22 15:18 3818.28 2.06%
Trade id #142967483
Max drawdown($1,251)
Time12/22/22 13:33
Quant open8
Worst price3788.25
Drawdown as % of equity-2.06%
($164)
Includes Typical Broker Commissions trade costs of $16.39
12/22/22 12:29 @ESH3 E-MINI S&P 500 LONG 1 3803.00 12/22 14:13 3806.62 0.6%
Trade id #142971639
Max drawdown($362)
Time12/22/22 13:33
Quant open0
Worst price3788.50
Drawdown as % of equity-0.60%
$173
Includes Typical Broker Commissions trade costs of $8.00
12/20/22 9:45 @MESH3 MICRO E-MINI S&P 500 LONG 2.500000000 3827.25 12/20 9:56 3835.00 0.05%
Trade id #142939047
Max drawdown($32)
Time12/20/22 9:50
Quant open1
Worst price3822.00
Drawdown as % of equity-0.05%
$95
Includes Typical Broker Commissions trade costs of $2.34
12/19/22 10:56 @MESH3 MICRO E-MINI S&P 500 LONG 17.500000000 3838.24 12/20 6:13 3838.60 1.07%
Trade id #142925937
Max drawdown($651)
Time12/20/22 0:35
Quant open4
Worst price3803.50
Drawdown as % of equity-1.07%
$15
Includes Typical Broker Commissions trade costs of $16.38
12/14/22 10:45 @MESH3 MICRO E-MINI S&P 500 SHORT 2.500000000 4079.00 12/14 12:00 4075.00 0.08%
Trade id #142875356
Max drawdown($46)
Time12/14/22 11:42
Quant open1
Worst price4086.50
Drawdown as % of equity-0.08%
$48
Includes Typical Broker Commissions trade costs of $2.34
12/13/22 9:12 @MESH3 MICRO E-MINI S&P 500 SHORT 3.500000000 4147.82 12/13 9:30 4135.00 0.08%
Trade id #142857093
Max drawdown($51)
Time12/13/22 9:22
Quant open2
Worst price4153.75
Drawdown as % of equity-0.08%
$221
Includes Typical Broker Commissions trade costs of $3.29
12/12/22 11:24 @MESH3 MICRO E-MINI S&P 500 SHORT 2 3989.90 12/12 11:32 3985.35 0.02%
Trade id #142846942
Max drawdown($11)
Time12/12/22 11:27
Quant open1
Worst price3992.25
Drawdown as % of equity-0.02%
$43
Includes Typical Broker Commissions trade costs of $1.88
12/9/22 9:46 @MESZ2 MICRO E-MINI S&P 500 SHORT 2.500000000 3968.21 12/9 10:11 3963.00 0.02%
Trade id #142828022
Max drawdown($14)
Time12/9/22 10:00
Quant open1
Worst price3970.50
Drawdown as % of equity-0.02%
$63
Includes Typical Broker Commissions trade costs of $2.34
12/6/22 12:43 @MESZ2 MICRO E-MINI S&P 500 LONG 12.500000000 3933.10 12/6 15:40 3933.11 0.55%
Trade id #142786904
Max drawdown($337)
Time12/6/22 14:35
Quant open5
Worst price3921.50
Drawdown as % of equity-0.55%
($11)
Includes Typical Broker Commissions trade costs of $11.70
12/1/22 9:49 @MESZ2 MICRO E-MINI S&P 500 SHORT 2.500000000 4099.50 12/1 10:00 4092.50 0.11%
Trade id #142732700
Max drawdown($65)
Time12/1/22 10:00
Quant open1
Worst price4110.00
Drawdown as % of equity-0.11%
$86
Includes Typical Broker Commissions trade costs of $2.34
11/11/22 10:51 @MESZ2 MICRO E-MINI S&P 500 SHORT 2.500000000 3987.85 11/11 10:54 3982.00 n/a $71
Includes Typical Broker Commissions trade costs of $2.34
11/11/22 10:17 @MESZ2 MICRO E-MINI S&P 500 SHORT 5 3987.50 11/11 10:34 3981.50 0.06%
Trade id #142534272
Max drawdown($39)
Time11/11/22 10:22
Quant open1
Worst price3991.25
Drawdown as % of equity-0.06%
$145
Includes Typical Broker Commissions trade costs of $4.68
11/10/22 15:13 @MESZ2 MICRO E-MINI S&P 500 SHORT 12.500000000 3963.55 11/11 9:41 3965.74 1.21%
Trade id #142525500
Max drawdown($713)
Time11/11/22 3:52
Quant open4
Worst price3997.50
Drawdown as % of equity-1.21%
($149)
Includes Typical Broker Commissions trade costs of $11.70
11/10/22 23:42 @ESZ2 E-MINI S&P 500 SHORT 1 3975.46 11/11 7:17 3975.88 0.93%
Trade id #142529219
Max drawdown($551)
Time11/11/22 3:52
Quant open0
Worst price3997.50
Drawdown as % of equity-0.93%
($29)
Includes Typical Broker Commissions trade costs of $8.00
11/10/22 16:21 @ESZ2 E-MINI S&P 500 SHORT 0.500000000 3965.67 11/10 20:39 3960.00 0.18%
Trade id #142526734
Max drawdown($110)
Time11/10/22 18:56
Quant open0
Worst price3974.50
Drawdown as % of equity-0.18%
$138
Includes Typical Broker Commissions trade costs of $4.00
11/10/22 15:59 @ESZ2 E-MINI S&P 500 SHORT 0.500000000 3965.00 11/10 16:14 3960.67 0.04%
Trade id #142526519
Max drawdown($25)
Time11/10/22 16:06
Quant open0
Worst price3967.00
Drawdown as % of equity-0.04%
$104
Includes Typical Broker Commissions trade costs of $4.00
11/10/22 11:24 @MESZ2 MICRO E-MINI S&P 500 SHORT 5 3925.50 11/10 12:28 3923.06 0.2%
Trade id #142521647
Max drawdown($125)
Time11/10/22 11:58
Quant open2
Worst price3935.50
Drawdown as % of equity-0.20%
$56
Includes Typical Broker Commissions trade costs of $4.68
11/10/22 10:24 @MESZ2 MICRO E-MINI S&P 500 SHORT 2.500000000 3915.00 11/10 10:25 3911.33 n/a $44
Includes Typical Broker Commissions trade costs of $2.34

Statistics

  • Strategy began
    12/28/2021
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    400.41
  • Age
    13 months ago
  • What it trades
    Futures
  • # Trades
    270
  • # Profitable
    238
  • % Profitable
    88.10%
  • Avg trade duration
    1.6 hours
  • Max peak-to-valley drawdown
    6.73%
  • drawdown period
    May 17, 2022 - May 19, 2022
  • Annual Return (Compounded)
    21.1%
  • Avg win
    $88.75
  • Avg loss
    $177.41
  • Model Account Values (Raw)
  • Cash
    $65,425
  • Margin Used
    $0
  • Buying Power
    $65,425
  • Ratios
  • W:L ratio
    3.72:1
  • Sharpe Ratio
    1.83
  • Sortino Ratio
    2.88
  • Calmar Ratio
    7.779
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    37.48%
  • Correlation to SP500
    0.04910
  • Return Percent SP500 (cumu) during strategy life
    -14.83%
  • Return Statistics
  • Ann Return (w trading costs)
    21.1%
  • 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
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.211%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    27.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    0.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    827
  • Popularity (Last 6 weeks)
    965
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    197
  • Popularity (7 days, Percentile 1000 scale)
    924
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $177
  • Avg Win
    $89
  • Sum Trade PL (losers)
    $5,677.000
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $21,123.000
  • # Winners
    238
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    900970
  • Win / Loss
  • # Losers
    32
  • % Winners
    88.2%
  • Frequency
  • Avg Position Time (mins)
    97.03
  • Avg Position Time (hrs)
    1.62
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    5
  • Leverage
  • Daily leverage (average)
    1.89
  • Daily leverage (max)
    12.41
  • Regression
  • Alpha
    0.04
  • Beta
    0.01
  • Treynor Index
    2.90
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    2.59
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.084
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    1.048
  • Avg(MAE) / Avg(PL) - Losing trades
    -2.124
  • Hold-and-Hope Ratio
    0.315
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20277
  • SD
    0.06450
  • Sharpe ratio (Glass type estimate)
    3.14364
  • Sharpe ratio (Hedges UMVUE)
    2.94227
  • df
    12.00000
  • t
    3.27201
  • p
    0.15667
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.84195
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.35529
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.72155
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.16299
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.20277
  • Downside part of mean
    0.00000
  • Upside SD
    0.08525
  • Downside SD
    0.00000
  • N nonnegative terms
    13.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    -0.16700
  • Mean of criterion
    0.20277
  • SD of predictor
    0.21443
  • SD of criterion
    0.06450
  • Covariance
    -0.00559
  • r
    -0.40405
  • b (slope, estimate of beta)
    -0.12154
  • a (intercept, estimate of alpha)
    0.18247
  • Mean Square Error
    0.00380
  • DF error
    11.00000
  • t(b)
    -1.46500
  • p(b)
    0.91455
  • t(a)
    3.00082
  • p(a)
    0.00603
  • Lowerbound of 95% confidence interval for beta
    -0.30415
  • Upperbound of 95% confidence interval for beta
    0.06106
  • Lowerbound of 95% confidence interval for alpha
    0.04864
  • Upperbound of 95% confidence interval for alpha
    0.31631
  • Treynor index (mean / b)
    -1.66828
  • Jensen alpha (a)
    0.18247
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19882
  • SD
    0.06178
  • Sharpe ratio (Glass type estimate)
    3.21821
  • Sharpe ratio (Hedges UMVUE)
    3.01206
  • df
    12.00000
  • t
    3.34962
  • p
    0.15244
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.89970
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.44586
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.77641
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.24770
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.19882
  • Downside part of mean
    0.00000
  • Upside SD
    0.08257
  • Downside SD
    0.00000
  • N nonnegative terms
    13.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    -0.18948
  • Mean of criterion
    0.19882
  • SD of predictor
    0.21680
  • SD of criterion
    0.06178
  • Covariance
    -0.00556
  • r
    -0.41506
  • b (slope, estimate of beta)
    -0.11828
  • a (intercept, estimate of alpha)
    0.17641
  • Mean Square Error
    0.00345
  • DF error
    11.00000
  • t(b)
    -1.51307
  • p(b)
    0.92078
  • t(a)
    3.02507
  • p(a)
    0.00578
  • Lowerbound of 95% confidence interval for beta
    -0.29033
  • Upperbound of 95% confidence interval for beta
    0.05378
  • Lowerbound of 95% confidence interval for alpha
    0.04806
  • Upperbound of 95% confidence interval for alpha
    0.30477
  • Treynor index (mean / b)
    -1.68097
  • Jensen alpha (a)
    0.17641
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01269
  • Expected Shortfall on VaR
    0.01999
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    1.00857
  • Quartile 1
    1.01145
  • Median
    1.01397
  • Quartile 3
    1.01593
  • Maximum
    1.07902
  • Mean of quarter 1
    1.00999
  • Mean of quarter 2
    1.01309
  • Mean of quarter 3
    1.01463
  • Mean of quarter 4
    1.04227
  • Inter Quartile Range
    0.00448
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    1.05281
  • 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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)
    0.25700
  • Compounded annual return (geometric extrapolation)
    0.25449
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    12.72810
  • 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
    0.19951
  • SD
    0.06806
  • Sharpe ratio (Glass type estimate)
    2.93121
  • Sharpe ratio (Hedges UMVUE)
    2.92349
  • df
    285.00000
  • t
    3.06252
  • p
    0.00120
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.03740
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.82000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.03227
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.81470
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.76658
  • Upside Potential Ratio
    8.07016
  • Upside part of mean
    0.33778
  • Downside part of mean
    -0.13827
  • Upside SD
    0.05492
  • Downside SD
    0.04186
  • N nonnegative terms
    171.00000
  • N negative terms
    115.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    286.00000
  • Mean of predictor
    -0.13766
  • Mean of criterion
    0.19951
  • SD of predictor
    0.23578
  • SD of criterion
    0.06806
  • Covariance
    0.00072
  • r
    0.04485
  • b (slope, estimate of beta)
    0.01295
  • a (intercept, estimate of alpha)
    0.20100
  • Mean Square Error
    0.00464
  • DF error
    284.00000
  • t(b)
    0.75655
  • p(b)
    0.22497
  • t(a)
    3.08555
  • p(a)
    0.00112
  • Lowerbound of 95% confidence interval for beta
    -0.02074
  • Upperbound of 95% confidence interval for beta
    0.04663
  • Lowerbound of 95% confidence interval for alpha
    0.07288
  • Upperbound of 95% confidence interval for alpha
    0.32970
  • Treynor index (mean / b)
    15.41070
  • Jensen alpha (a)
    0.20129
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19711
  • SD
    0.06801
  • Sharpe ratio (Glass type estimate)
    2.89838
  • Sharpe ratio (Hedges UMVUE)
    2.89075
  • df
    285.00000
  • t
    3.02823
  • p
    0.00134
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.00498
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.78683
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.99987
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.78163
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.65598
  • Upside Potential Ratio
    7.94287
  • Upside part of mean
    0.33625
  • Downside part of mean
    -0.13915
  • Upside SD
    0.05445
  • Downside SD
    0.04233
  • N nonnegative terms
    171.00000
  • N negative terms
    115.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    286.00000
  • Mean of predictor
    -0.16542
  • Mean of criterion
    0.19711
  • SD of predictor
    0.23595
  • SD of criterion
    0.06801
  • Covariance
    0.00078
  • r
    0.04874
  • b (slope, estimate of beta)
    0.01405
  • a (intercept, estimate of alpha)
    0.19943
  • Mean Square Error
    0.00463
  • DF error
    284.00000
  • t(b)
    0.82243
  • p(b)
    0.20576
  • t(a)
    3.05931
  • p(a)
    0.00122
  • Lowerbound of 95% confidence interval for beta
    -0.01958
  • Upperbound of 95% confidence interval for beta
    0.04767
  • Lowerbound of 95% confidence interval for alpha
    0.07112
  • Upperbound of 95% confidence interval for alpha
    0.32774
  • Treynor index (mean / b)
    14.02970
  • Jensen alpha (a)
    0.19943
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00614
  • Expected Shortfall on VaR
    0.00788
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00098
  • Expected Shortfall on VaR
    0.00241
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    286.00000
  • Minimum
    0.96756
  • Quartile 1
    1.00000
  • Median
    1.00049
  • Quartile 3
    1.00114
  • Maximum
    1.03076
  • Mean of quarter 1
    0.99807
  • Mean of quarter 2
    1.00015
  • Mean of quarter 3
    1.00077
  • Mean of quarter 4
    1.00447
  • Inter Quartile Range
    0.00114
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.05594
  • Mean of outliers low
    0.99207
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.10490
  • Mean of outliers high
    1.00832
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.86693
  • VaR(95%) (moments method)
    0.00168
  • Expected Shortfall (moments method)
    0.01605
  • Extreme Value Index (regression method)
    0.14959
  • VaR(95%) (regression method)
    0.00198
  • Expected Shortfall (regression method)
    0.00444
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00012
  • Quartile 1
    0.00207
  • Median
    0.00584
  • Quartile 3
    0.00785
  • Maximum
    0.03244
  • Mean of quarter 1
    0.00108
  • Mean of quarter 2
    0.00404
  • Mean of quarter 3
    0.00667
  • Mean of quarter 4
    0.01605
  • Inter Quartile Range
    0.00578
  • 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
    0.03244
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.30037
  • VaR(95%) (moments method)
    0.01709
  • Expected Shortfall (moments method)
    0.02076
  • Extreme Value Index (regression method)
    0.22274
  • VaR(95%) (regression method)
    0.02081
  • Expected Shortfall (regression method)
    0.03256
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25505
  • Compounded annual return (geometric extrapolation)
    0.25234
  • Calmar ratio (compounded annual return / max draw down)
    7.77917
  • Compounded annual return / average of 25% largest draw downs
    15.72040
  • Compounded annual return / Expected Shortfall lognormal
    32.01660
  • 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
    0.12633
  • SD
    0.05511
  • Sharpe ratio (Glass type estimate)
    2.29218
  • Sharpe ratio (Hedges UMVUE)
    2.27893
  • df
    130.00000
  • t
    1.62082
  • p
    0.42963
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49784
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.07359
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50668
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.06454
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.04862
  • Upside Potential Ratio
    8.17357
  • Upside part of mean
    0.25504
  • Downside part of mean
    -0.12871
  • Upside SD
    0.04584
  • Downside SD
    0.03120
  • 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
    0.01184
  • Mean of criterion
    0.12633
  • SD of predictor
    0.22966
  • SD of criterion
    0.05511
  • Covariance
    -0.00018
  • r
    -0.01458
  • b (slope, estimate of beta)
    -0.00350
  • a (intercept, estimate of alpha)
    0.12637
  • Mean Square Error
    0.00306
  • DF error
    129.00000
  • t(b)
    -0.16562
  • p(b)
    0.50928
  • t(a)
    1.61526
  • p(a)
    0.41066
  • Lowerbound of 95% confidence interval for beta
    -0.04530
  • Upperbound of 95% confidence interval for beta
    0.03830
  • Lowerbound of 95% confidence interval for alpha
    -0.02842
  • Upperbound of 95% confidence interval for alpha
    0.28116
  • Treynor index (mean / b)
    -36.10580
  • Jensen alpha (a)
    0.12637
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12478
  • SD
    0.05494
  • Sharpe ratio (Glass type estimate)
    2.27120
  • Sharpe ratio (Hedges UMVUE)
    2.25807
  • df
    130.00000
  • t
    1.60598
  • p
    0.43026
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51856
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.05248
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.52729
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.04344
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.97889
  • Upside Potential Ratio
    8.09816
  • Upside part of mean
    0.25397
  • Downside part of mean
    -0.12919
  • Upside SD
    0.04551
  • Downside SD
    0.03136
  • 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
    -0.01426
  • Mean of criterion
    0.12478
  • SD of predictor
    0.22917
  • SD of criterion
    0.05494
  • Covariance
    -0.00017
  • r
    -0.01380
  • b (slope, estimate of beta)
    -0.00331
  • a (intercept, estimate of alpha)
    0.12474
  • Mean Square Error
    0.00304
  • DF error
    129.00000
  • t(b)
    -0.15671
  • p(b)
    0.50878
  • t(a)
    1.59933
  • p(a)
    0.41152
  • VAR (95 Confidence Intrvl)
    0.00600
  • Lowerbound of 95% confidence interval for beta
    -0.04507
  • Upperbound of 95% confidence interval for beta
    0.03845
  • Lowerbound of 95% confidence interval for alpha
    -0.02957
  • Upperbound of 95% confidence interval for alpha
    0.27905
  • Treynor index (mean / b)
    -37.72750
  • Jensen alpha (a)
    0.12474
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00509
  • Expected Shortfall on VaR
    0.00650
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00107
  • Expected Shortfall on VaR
    0.00248
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98611
  • Quartile 1
    1.00000
  • Median
    1.00017
  • Quartile 3
    1.00090
  • Maximum
    1.01881
  • Mean of quarter 1
    0.99826
  • Mean of quarter 2
    1.00001
  • Mean of quarter 3
    1.00060
  • Mean of quarter 4
    1.00349
  • Inter Quartile Range
    0.00090
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.99338
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.00775
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.52053
  • VaR(95%) (moments method)
    0.00158
  • Expected Shortfall (moments method)
    0.00512
  • Extreme Value Index (regression method)
    0.17365
  • VaR(95%) (regression method)
    0.00260
  • Expected Shortfall (regression method)
    0.00672
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00133
  • Quartile 1
    0.00210
  • Median
    0.00643
  • Quartile 3
    0.00812
  • Maximum
    0.01481
  • Mean of quarter 1
    0.00183
  • Mean of quarter 2
    0.00555
  • Mean of quarter 3
    0.00755
  • Mean of quarter 4
    0.01291
  • Inter Quartile Range
    0.00603
  • 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)
    -3.70873
  • VaR(95%) (moments method)
    0.01277
  • Expected Shortfall (moments method)
    0.01279
  • Extreme Value Index (regression method)
    -0.60488
  • VaR(95%) (regression method)
    0.01620
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.01776
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -322507000
  • Max Equity Drawdown (num days)
    2
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15867
  • Compounded annual return (geometric extrapolation)
    0.16497
  • Calmar ratio (compounded annual return / max draw down)
    11.13740
  • Compounded annual return / average of 25% largest draw downs
    12.77610
  • Compounded annual return / Expected Shortfall lognormal
    25.36680

Strategy Description

(Updated on October 21, 2022). This is a conservative e-mini futures (MES and / or ES) day trading strategy, with a longterm target to make steady returns and beat the performance of the Standard and Poor's 500 index. The contract size is varied from 0.5 to 5 contracts of ES based on the market conditions and liquid value, so you need to decide if you can fully follow the strategy and have enough cash reservation as the positive or negative hedge while you use a higher scaling more than 100%. It includes but not limited to, Scalping, Range, Momentum and Trend Following, to capitalize on perceived intraday short-term market movements and market inefficiencies. Most positions will be closed out within the same day (If we need to hold a position overnight to adopt the market condition, we usually send out a notice to our paid customers).

We are striving to control the maximum drawdown at a low level below 5-10% in an unsteady market. However, we still encourage our customers to set their own stoploss limits based on their own risk tolerance, since we are not going to directly manage your account with no knowledge of your financial situation.

Summary Statistics

Strategy began
2021-12-28
Suggested Minimum Capital
$60,000
# Trades
270
# Profitable
238
% Profitable
88.1%
Correlation S&P500
0.049
Sharpe Ratio
1.83
Sortino Ratio
2.88
Beta
0.01
Alpha
0.04
Leverage
1.89 Average
12.41 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

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.