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

Huya So
(122668792)

Created by: Luke_Miller Luke_Miller
Started: 02/2019
Futures
Last trade: 3 days ago
Trading style: Futures Short Term Financials / Indexes

Subscriptions not available

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

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

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
56.1%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(8.9%)
Max Drawdown
460
Num Trades
61.7%
Win Trades
1.9 : 1
Profit Factor
87.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019       +6.1%+11.6%+17.3%+5.2%(2.2%)+2.7%+5.5%+0.9%                  +56.1%

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 416 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/11/19 7:27 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7820.25 9/11 9:21 7828.75 0.1%
Trade id #125302799
Max drawdown($50)
Time9/11/19 7:35
Quant open1
Worst price7817.75
Drawdown as % of equity-0.10%
$162
Includes Typical Broker Commissions trade costs of $8.00
9/10/19 22:30 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7800.50 9/11 0:30 7826.00 0.1%
Trade id #125298277
Max drawdown($50)
Time9/10/19 22:46
Quant open1
Worst price7798.00
Drawdown as % of equity-0.10%
$502
Includes Typical Broker Commissions trade costs of $8.00
9/10/19 13:23 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7787.50 9/10 15:09 7772.00 1.1%
Trade id #125293752
Max drawdown($540)
Time9/10/19 14:42
Quant open1
Worst price7760.50
Drawdown as % of equity-1.10%
($318)
Includes Typical Broker Commissions trade costs of $8.00
9/10/19 12:08 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7774.50 9/10 12:29 7798.75 0.04%
Trade id #125292678
Max drawdown($20)
Time9/10/19 12:09
Quant open1
Worst price7773.50
Drawdown as % of equity-0.04%
$477
Includes Typical Broker Commissions trade costs of $8.00
9/10/19 11:10 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7770.50 9/10 11:26 7753.50 0.61%
Trade id #125291202
Max drawdown($300)
Time9/10/19 11:26
Quant open1
Worst price7755.50
Drawdown as % of equity-0.61%
($348)
Includes Typical Broker Commissions trade costs of $8.00
9/9/19 12:28 @MNQU9 MICRO E-MINI NASDAQ 100 SHORT 2 7825.75 9/9 12:44 7817.25 0.02%
Trade id #125277269
Max drawdown($8)
Time9/9/19 12:31
Quant open2
Worst price7827.75
Drawdown as % of equity-0.02%
$32
Includes Typical Broker Commissions trade costs of $1.88
9/9/19 10:02 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 1 7851.75 9/9 10:16 7857.00 0.43%
Trade id #125273800
Max drawdown($215)
Time9/9/19 10:07
Quant open1
Worst price7862.50
Drawdown as % of equity-0.43%
($113)
Includes Typical Broker Commissions trade costs of $8.00
9/4/19 11:47 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7702.25 9/4 13:21 7714.50 0.5%
Trade id #125218258
Max drawdown($245)
Time9/4/19 12:19
Quant open1
Worst price7690.00
Drawdown as % of equity-0.50%
$237
Includes Typical Broker Commissions trade costs of $8.00
9/3/19 21:22 @MNQU9 MICRO E-MINI NASDAQ 100 LONG 4.250000000 7639.25 9/3 23:03 7652.35 0%
Trade id #125206264
Max drawdown($1)
Time9/3/19 21:23
Quant open3
Worst price7639.00
Drawdown as % of equity-0.00%
$107
Includes Typical Broker Commissions trade costs of $4.00
9/3/19 10:06 @MNQU9 MICRO E-MINI NASDAQ 100 SHORT 4.250000000 7604.35 9/3 10:10 7613.80 0.21%
Trade id #125195739
Max drawdown($105)
Time9/3/19 10:07
Quant open3
Worst price7619.00
Drawdown as % of equity-0.21%
($84)
Includes Typical Broker Commissions trade costs of $4.00
9/3/19 9:52 @MNQU9 MICRO E-MINI NASDAQ 100 LONG 4.250000000 7674.90 9/3 10:00 7640.70 0.18%
Trade id #125194872
Max drawdown($91)
Time9/3/19 9:59
Quant open3
Worst price7662.25
Drawdown as % of equity-0.18%
($295)
Includes Typical Broker Commissions trade costs of $4.00
8/27/19 11:13 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 0.850000000 7592.25 8/27 11:18 7572.75 0.14%
Trade id #125103412
Max drawdown($68)
Time8/27/19 11:14
Quant open1
Worst price7597.00
Drawdown as % of equity-0.14%
$325
Includes Typical Broker Commissions trade costs of $6.80
8/23/19 15:29 @M6EU9 E-MICRO EUR/USD LONG 5.100000000 1.1142 8/27 9:14 1.1114 0.34%
Trade id #125065995
Max drawdown($167)
Time8/27/19 9:07
Quant open4
Worst price1.1111
Drawdown as % of equity-0.34%
($182)
Includes Typical Broker Commissions trade costs of $2.53
8/23/19 15:28 @MNQU9 MICRO E-MINI NASDAQ 100 SHORT 1.700000000 7479.75 8/25 23:41 7464.00 0.2%
Trade id #125065980
Max drawdown($98)
Time8/23/19 16:10
Quant open2
Worst price7514.00
Drawdown as % of equity-0.20%
$52
Includes Typical Broker Commissions trade costs of $1.60
8/14/19 15:09 @ADU9 AUSTRALIAN DOLLAR LONG 0.850000000 0.6755 8/23 15:28 0.6755 0.2%
Trade id #124936577
Max drawdown($101)
Time8/23/19 8:33
Quant open1
Worst price0.6741
Drawdown as % of equity-0.20%
($7)
Includes Typical Broker Commissions trade costs of $6.80
8/14/19 15:09 @ADZ9 AUSTRALIAN DOLLAR SHORT 0.850000000 0.6774 8/23 15:28 0.6772 0.66%
Trade id #124936579
Max drawdown($325)
Time8/21/19 0:00
Quant open1
Worst price0.6819
Drawdown as % of equity-0.66%
$10
Includes Typical Broker Commissions trade costs of $6.80
8/14/19 15:10 @NEZ9 New Zealand Dollar SHORT 0.850000000 0.6452 8/23 15:27 0.6407 0.19%
Trade id #124936594
Max drawdown($93)
Time8/15/19 0:00
Quant open1
Worst price0.6465
Drawdown as % of equity-0.19%
$376
Includes Typical Broker Commissions trade costs of $6.80
8/14/19 15:10 @NEU9 New Zealand Dollar LONG 0.850000000 0.6439 8/23 15:27 0.6393 1.06%
Trade id #124936592
Max drawdown($527)
Time8/22/19 0:00
Quant open1
Worst price0.6366
Drawdown as % of equity-1.06%
($398)
Includes Typical Broker Commissions trade costs of $6.80
8/14/19 15:10 @CDZ9 CANADIAN DOLLAR SHORT 0.850000000 0.7520 8/20 10:01 0.7512 0.49%
Trade id #124936598
Max drawdown($245)
Time8/19/19 0:00
Quant open1
Worst price0.7554
Drawdown as % of equity-0.49%
$57
Includes Typical Broker Commissions trade costs of $6.80
8/19/19 20:25 @MNQU9 MICRO E-MINI NASDAQ 100 SHORT 4.250000000 7706.65 8/19 21:46 7713.43 0.12%
Trade id #124995148
Max drawdown($58)
Time8/19/19 21:46
Quant open3
Worst price7714.75
Drawdown as % of equity-0.12%
($62)
Includes Typical Broker Commissions trade costs of $4.00
8/14/19 15:10 @CDU9 CANADIAN DOLLAR LONG 0.850000000 0.7514 8/19 14:51 0.7506 0.19%
Trade id #124936596
Max drawdown($93)
Time8/15/19 0:00
Quant open1
Worst price0.7501
Drawdown as % of equity-0.19%
($79)
Includes Typical Broker Commissions trade costs of $6.80
8/19/19 14:13 @MNQU9 MICRO E-MINI NASDAQ 100 SHORT 4.250000000 7735.82 8/19 14:50 7734.75 0.04%
Trade id #124991760
Max drawdown($19)
Time8/19/19 14:16
Quant open3
Worst price7738.50
Drawdown as % of equity-0.04%
$5
Includes Typical Broker Commissions trade costs of $4.00
8/14/19 15:10 @EUZ9 EUROFX SHORT 0.850000000 1.12345 8/16 8:29 1.11715 1.15%
Trade id #124936583
Max drawdown($568)
Time8/16/19 8:27
Quant open-1
Worst price1.11715
Drawdown as % of equity-1.15%
$662
Includes Typical Broker Commissions trade costs of $6.80
8/14/19 15:10 @EUU9 EUROFX LONG 0.850000000 1.11625 8/16 8:29 1.10980 1.19%
Trade id #124936581
Max drawdown($591)
Time8/14/19 15:10
Quant open1
Worst price1.10970
Drawdown as % of equity-1.19%
($692)
Includes Typical Broker Commissions trade costs of $6.80
8/14/19 14:51 @NQZ9 E-MINI NASDAQ 100 STK IDX LONG 1.700000000 7514.25 8/14 15:04 7557.00 n/a $1,440
Includes Typical Broker Commissions trade costs of $13.60
8/14/19 14:56 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 1.700000000 7514.00 8/14 15:04 7535.50 0.73%
Trade id #124936313
Max drawdown($361)
Time8/14/19 14:56
Quant open2
Worst price7526.50
Drawdown as % of equity-0.73%
($745)
Includes Typical Broker Commissions trade costs of $13.60
8/14/19 14:13 @NQZ9 E-MINI NASDAQ 100 STK IDX LONG 1.700000000 7543.50 8/14 14:20 7544.75 n/a $29
Includes Typical Broker Commissions trade costs of $13.60
8/14/19 13:38 @NQZ9 E-MINI NASDAQ 100 STK IDX LONG 1.700000000 7550.00 8/14 13:45 7563.75 n/a $454
Includes Typical Broker Commissions trade costs of $13.60
8/14/19 13:20 @NQZ9 E-MINI NASDAQ 100 STK IDX LONG 1.700000000 7516.50 8/14 13:31 7553.25 n/a $1,236
Includes Typical Broker Commissions trade costs of $13.60
8/14/19 13:17 @NQZ9 E-MINI NASDAQ 100 STK IDX LONG 1.700000000 7526.75 8/14 13:18 7526.75 n/a ($14)
Includes Typical Broker Commissions trade costs of $13.60

Statistics

  • Strategy began
    2/25/2019
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    202.22
  • Age
    7 months ago
  • What it trades
    Futures
  • # Trades
    460
  • # Profitable
    284
  • % Profitable
    61.70%
  • Avg trade duration
    7.0 hours
  • Max peak-to-valley drawdown
    8.89%
  • drawdown period
    June 11, 2019 - Aug 13, 2019
  • Cumul. Return
    56.1%
  • Avg win
    $162.19
  • Avg loss
    $136.86
  • Model Account Values (Raw)
  • Cash
    $53,930
  • Margin Used
    $587
  • Buying Power
    $53,437
  • Ratios
  • W:L ratio
    1.91:1
  • Sharpe Ratio
    4.03
  • Sortino Ratio
    10.29
  • Calmar Ratio
    25.023
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.16470
  • Verified
  • C2Star
    2
  • Return Statistics
  • Ann Return (w trading costs)
    120.5%
  • Ann Return (Compnd, No Fees)
    155.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    954
  • Popularity (Last 6 weeks)
    987
  • C2 Score
    995
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $137
  • Avg Win
    $162
  • # Winners
    284
  • # Losers
    176
  • % Winners
    61.7%
  • Frequency
  • Avg Position Time (mins)
    417.83
  • Avg Position Time (hrs)
    6.96
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    4
  • Leverage
  • Daily leverage (average)
    3.41
  • Daily leverage (max)
    14.70
  • Regression
  • Alpha
    0.23
  • Beta
    -0.21
  • Treynor Index
    -1.07
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    -6.545
  • Avg(MAE) / Avg(PL) - Winning trades
    0.489
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.957
  • Hold-and-Hope Ratio
    -0.149
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.07638
  • SD
    0.34416
  • Sharpe ratio (Glass type estimate)
    3.12760
  • Sharpe ratio (Hedges UMVUE)
    2.62952
  • df
    5.00000
  • t
    2.21155
  • p
    0.03898
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32403
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.37918
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58591
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.84496
  • Statistics related to Sortino ratio
  • Sortino ratio
    25.00310
  • Upside Potential Ratio
    26.48630
  • Upside part of mean
    1.14024
  • Downside part of mean
    -0.06385
  • Upside SD
    0.43977
  • Downside SD
    0.04305
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.03390
  • Mean of criterion
    1.07638
  • SD of predictor
    0.15553
  • SD of criterion
    0.34416
  • Covariance
    -0.00373
  • r
    -0.06959
  • b (slope, estimate of beta)
    -0.15399
  • a (intercept, estimate of alpha)
    1.08160
  • Mean Square Error
    0.14734
  • DF error
    4.00000
  • t(b)
    -0.13952
  • p(b)
    0.55211
  • t(a)
    1.98778
  • p(a)
    0.05887
  • Lowerbound of 95% confidence interval for beta
    -3.21898
  • Upperbound of 95% confidence interval for beta
    2.91100
  • Lowerbound of 95% confidence interval for alpha
    -0.42943
  • Upperbound of 95% confidence interval for alpha
    2.59264
  • Treynor index (mean / b)
    -6.98985
  • Jensen alpha (a)
    1.08160
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.98713
  • SD
    0.31522
  • Sharpe ratio (Glass type estimate)
    3.13156
  • Sharpe ratio (Hedges UMVUE)
    2.63286
  • df
    5.00000
  • t
    2.21435
  • p
    0.03884
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32142
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.38441
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58363
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.84934
  • Statistics related to Sortino ratio
  • Sortino ratio
    22.63350
  • Upside Potential Ratio
    24.11580
  • Upside part of mean
    1.05177
  • Downside part of mean
    -0.06465
  • Upside SD
    0.40262
  • Downside SD
    0.04361
  • N nonnegative terms
    4.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    6.00000
  • Mean of predictor
    0.02367
  • Mean of criterion
    0.98713
  • SD of predictor
    0.15615
  • SD of criterion
    0.31522
  • Covariance
    -0.00469
  • r
    -0.09529
  • b (slope, estimate of beta)
    -0.19235
  • a (intercept, estimate of alpha)
    0.99168
  • Mean Square Error
    0.12308
  • DF error
    4.00000
  • t(b)
    -0.19144
  • p(b)
    0.57125
  • t(a)
    1.99651
  • p(a)
    0.05829
  • Lowerbound of 95% confidence interval for beta
    -2.98259
  • Upperbound of 95% confidence interval for beta
    2.59788
  • Lowerbound of 95% confidence interval for alpha
    -0.38767
  • Upperbound of 95% confidence interval for alpha
    2.37103
  • Treynor index (mean / b)
    -5.13180
  • Jensen alpha (a)
    0.99168
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06519
  • Expected Shortfall on VaR
    0.09956
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00913
  • Expected Shortfall on VaR
    0.02023
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    6.00000
  • Minimum
    0.97193
  • Quartile 1
    1.01638
  • Median
    1.08496
  • Quartile 3
    1.17413
  • Maximum
    1.21294
  • Mean of quarter 1
    0.98637
  • Mean of quarter 2
    1.06310
  • Mean of quarter 3
    1.10682
  • Mean of quarter 4
    1.20476
  • Inter Quartile Range
    0.15776
  • 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)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.02807
  • Quartile 1
    0.02807
  • Median
    0.02807
  • Quartile 3
    0.02807
  • Maximum
    0.02807
  • 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)
    1.32232
  • Compounded annual return (geometric extrapolation)
    1.75945
  • Calmar ratio (compounded annual return / max draw down)
    62.67070
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    17.67170
  • 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
    0.93613
  • SD
    0.16465
  • Sharpe ratio (Glass type estimate)
    5.68572
  • Sharpe ratio (Hedges UMVUE)
    5.65585
  • df
    143.00000
  • t
    4.21518
  • p
    0.29233
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.95194
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.40083
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.93207
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.37963
  • Statistics related to Sortino ratio
  • Sortino ratio
    16.19460
  • Upside Potential Ratio
    22.93200
  • Upside part of mean
    1.32559
  • Downside part of mean
    -0.38946
  • Upside SD
    0.16408
  • Downside SD
    0.05781
  • N nonnegative terms
    88.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    144.00000
  • Mean of predictor
    0.11349
  • Mean of criterion
    0.93613
  • SD of predictor
    0.13304
  • SD of criterion
    0.16465
  • Covariance
    -0.00361
  • r
    -0.16487
  • b (slope, estimate of beta)
    -0.20405
  • a (intercept, estimate of alpha)
    0.95900
  • Mean Square Error
    0.02656
  • DF error
    142.00000
  • t(b)
    -1.99198
  • p(b)
    0.58244
  • t(a)
    4.35795
  • p(a)
    0.32827
  • Lowerbound of 95% confidence interval for beta
    -0.40654
  • Upperbound of 95% confidence interval for beta
    -0.00155
  • Lowerbound of 95% confidence interval for alpha
    0.52414
  • Upperbound of 95% confidence interval for alpha
    1.39443
  • Treynor index (mean / b)
    -4.58780
  • Jensen alpha (a)
    0.95929
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.92120
  • SD
    0.16219
  • Sharpe ratio (Glass type estimate)
    5.67978
  • Sharpe ratio (Hedges UMVUE)
    5.64993
  • df
    143.00000
  • t
    4.21077
  • p
    0.29251
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.94616
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.39472
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.92632
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.37355
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.84920
  • Upside Potential Ratio
    22.57810
  • Upside part of mean
    1.31230
  • Downside part of mean
    -0.39110
  • Upside SD
    0.16119
  • Downside SD
    0.05812
  • N nonnegative terms
    88.00000
  • N negative terms
    56.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    144.00000
  • Mean of predictor
    0.10463
  • Mean of criterion
    0.92120
  • SD of predictor
    0.13348
  • SD of criterion
    0.16219
  • Covariance
    -0.00354
  • r
    -0.16356
  • b (slope, estimate of beta)
    -0.19874
  • a (intercept, estimate of alpha)
    0.94200
  • Mean Square Error
    0.02578
  • DF error
    142.00000
  • t(b)
    -1.97564
  • p(b)
    0.58178
  • t(a)
    4.34418
  • p(a)
    0.32875
  • Lowerbound of 95% confidence interval for beta
    -0.39760
  • Upperbound of 95% confidence interval for beta
    0.00012
  • Lowerbound of 95% confidence interval for alpha
    0.51334
  • Upperbound of 95% confidence interval for alpha
    1.37065
  • Treynor index (mean / b)
    -4.63518
  • Jensen alpha (a)
    0.94200
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01288
  • Expected Shortfall on VaR
    0.01700
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00284
  • Expected Shortfall on VaR
    0.00619
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    144.00000
  • Minimum
    0.98543
  • Quartile 1
    0.99933
  • Median
    1.00123
  • Quartile 3
    1.00699
  • Maximum
    1.06912
  • Mean of quarter 1
    0.99434
  • Mean of quarter 2
    1.00011
  • Mean of quarter 3
    1.00393
  • Mean of quarter 4
    1.01634
  • Inter Quartile Range
    0.00767
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04167
  • Mean of outliers low
    0.98633
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.06944
  • Mean of outliers high
    1.02981
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.48416
  • VaR(95%) (moments method)
    0.00291
  • Expected Shortfall (moments method)
    0.00353
  • Extreme Value Index (regression method)
    -0.65690
  • VaR(95%) (regression method)
    0.00531
  • Expected Shortfall (regression method)
    0.00628
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00028
  • Quartile 1
    0.00264
  • Median
    0.00533
  • Quartile 3
    0.01367
  • Maximum
    0.06328
  • Mean of quarter 1
    0.00111
  • Mean of quarter 2
    0.00378
  • Mean of quarter 3
    0.00848
  • Mean of quarter 4
    0.04582
  • Inter Quartile Range
    0.01103
  • 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
    0.16667
  • Mean of outliers high
    0.06085
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -572.72400
  • VaR(95%) (moments method)
    0.03706
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -4.13813
  • VaR(95%) (regression method)
    0.12600
  • Expected Shortfall (regression method)
    0.12616
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.24596
  • Compounded annual return (geometric extrapolation)
    1.58340
  • Calmar ratio (compounded annual return / max draw down)
    25.02330
  • Compounded annual return / average of 25% largest draw downs
    34.55920
  • Compounded annual return / Expected Shortfall lognormal
    93.14410
  • 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
    0.89083
  • SD
    0.16561
  • Sharpe ratio (Glass type estimate)
    5.37900
  • Sharpe ratio (Hedges UMVUE)
    5.34790
  • df
    130.00000
  • t
    3.80352
  • p
    0.34178
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.52145
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.21696
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.50089
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.19491
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.03710
  • Upside Potential Ratio
    21.71000
  • Upside part of mean
    1.28615
  • Downside part of mean
    -0.39532
  • Upside SD
    0.16352
  • Downside SD
    0.05924
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11823
  • Mean of criterion
    0.89083
  • SD of predictor
    0.13619
  • SD of criterion
    0.16561
  • Covariance
    -0.00351
  • r
    -0.15569
  • b (slope, estimate of beta)
    -0.18933
  • a (intercept, estimate of alpha)
    0.91322
  • Mean Square Error
    0.02697
  • DF error
    129.00000
  • t(b)
    -1.79016
  • p(b)
    0.59871
  • t(a)
    3.92634
  • p(a)
    0.29576
  • Lowerbound of 95% confidence interval for beta
    -0.39859
  • Upperbound of 95% confidence interval for beta
    0.01992
  • Lowerbound of 95% confidence interval for alpha
    0.45304
  • Upperbound of 95% confidence interval for alpha
    1.37339
  • Treynor index (mean / b)
    -4.70506
  • Jensen alpha (a)
    0.91322
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.87593
  • SD
    0.16305
  • Sharpe ratio (Glass type estimate)
    5.37217
  • Sharpe ratio (Hedges UMVUE)
    5.34112
  • df
    130.00000
  • t
    3.79870
  • p
    0.34196
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.51494
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.20994
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49429
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.18794
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.70300
  • Upside Potential Ratio
    21.36760
  • Upside part of mean
    1.27297
  • Downside part of mean
    -0.39705
  • Upside SD
    0.16050
  • Downside SD
    0.05957
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10895
  • Mean of criterion
    0.87593
  • SD of predictor
    0.13668
  • SD of criterion
    0.16305
  • Covariance
    -0.00344
  • r
    -0.15436
  • b (slope, estimate of beta)
    -0.18414
  • a (intercept, estimate of alpha)
    0.89599
  • Mean Square Error
    0.02615
  • DF error
    129.00000
  • t(b)
    -1.77442
  • p(b)
    0.59788
  • t(a)
    3.91290
  • p(a)
    0.29636
  • Lowerbound of 95% confidence interval for beta
    -0.38945
  • Upperbound of 95% confidence interval for beta
    0.02118
  • Lowerbound of 95% confidence interval for alpha
    0.44294
  • Upperbound of 95% confidence interval for alpha
    1.34904
  • Treynor index (mean / b)
    -4.75697
  • Jensen alpha (a)
    0.89599
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01314
  • Expected Shortfall on VaR
    0.01728
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00288
  • Expected Shortfall on VaR
    0.00630
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98543
  • Quartile 1
    0.99939
  • Median
    1.00116
  • Quartile 3
    1.00691
  • Maximum
    1.06912
  • Mean of quarter 1
    0.99427
  • Mean of quarter 2
    1.00013
  • Mean of quarter 3
    1.00367
  • Mean of quarter 4
    1.01596
  • Inter Quartile Range
    0.00752
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.98633
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.03176
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.52013
  • VaR(95%) (moments method)
    0.00294
  • Expected Shortfall (moments method)
    0.00354
  • Extreme Value Index (regression method)
    -0.70613
  • VaR(95%) (regression method)
    0.00535
  • Expected Shortfall (regression method)
    0.00628
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00028
  • Quartile 1
    0.00233
  • Median
    0.00465
  • Quartile 3
    0.01110
  • Maximum
    0.06328
  • Mean of quarter 1
    0.00111
  • Mean of quarter 2
    0.00378
  • Mean of quarter 3
    0.00623
  • Mean of quarter 4
    0.04582
  • Inter Quartile Range
    0.00876
  • 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
    0.18182
  • Mean of outliers high
    0.06085
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -572.72400
  • VaR(95%) (moments method)
    0.03706
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -4.13813
  • VaR(95%) (regression method)
    0.12606
  • Expected Shortfall (regression method)
    0.12617
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.14264
  • Compounded annual return (geometric extrapolation)
    1.46905
  • Calmar ratio (compounded annual return / max draw down)
    23.21620
  • Compounded annual return / average of 25% largest draw downs
    32.06340
  • Compounded annual return / Expected Shortfall lognormal
    85.02970

Strategy Description

It's short term and day-trading strategy. trade mini NQ in America market, Trading period: EST 3:00-12:00 Risk management is first. About Micro E-mini NQ: 10 lots Micro E-mini NQ = 1 lot E-mini NQ.

Summary Statistics

Strategy began
2019-02-25
Suggested Minimum Capital
$50,000
Rank at C2 %
Top 0.5%
Rank # 
#3
# Trades
460
# Profitable
284
% Profitable
61.7%
Correlation S&P500
-0.165
Sharpe Ratio
4.03
Sortino Ratio
10.29
Beta
-0.21
Alpha
0.23
Leverage
3.41 Average
14.70 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.