Collective2 Collective2
Featured Strategy Income Trades +20.2% Cumul. Return since Feb 16, 2024 Hypothetical

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ares MES
(141917670)

Created by: ares_Systemtrading ares_Systemtrading
Started: 09/2022
Futures
Last trade: 2 days ago
Trading style: Futures Trend-following 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 $100.00 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
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
27.7%
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.

(15.0%)
Max Drawdown
219
Num Trades
30.6%
Win Trades
1.5 : 1
Profit Factor
51.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                        (0.5%)(2.6%)(7.3%)+14.5%+2.8%
2023+13.6%+6.8%+4.1%+6.8%+2.1%(4.3%)+2.4%(9.6%)+7.0%(0.7%)(0.9%)(1.5%)+26.4%
2024+11.5%(2.6%)(1.9%)+8.7%(4.4%)(1.3%)+5.5%+9.8%(4.3%)+5.1%+3.1%      +31.3%

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.

Trading Record

This strategy has placed 322 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/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/25/24 9:36 @MESZ4 MICRO E-MINI S&P 500 LONG 15 6031.75 11/25 9:51 6026.75 1.57%
Trade id #150166381
Max drawdown($675)
Time11/25/24 9:51
Quant open15
Worst price6022.75
Drawdown as % of equity-1.57%
 ($389)
Includes Typical Broker Commissions trade costs of $14.10
11/19/24 9:51 @MESZ4 MICRO E-MINI S&P 500 SHORT 12 5881.50 11/19 9:52 5888.25 0.93%
Trade id #150122051
Max drawdown($405)
Time11/19/24 9:52
Quant open12
Worst price5888.25
Drawdown as % of equity-0.93%
 ($416)
Includes Typical Broker Commissions trade costs of $11.28
11/18/24 11:50 @MESZ4 MICRO E-MINI S&P 500 LONG 8 5922.50 11/18 13:44 5912.09 1.12%
Trade id #150113887
Max drawdown($490)
Time11/18/24 13:44
Quant open8
Worst price5910.25
Drawdown as % of equity-1.12%
 ($424)
Includes Typical Broker Commissions trade costs of $7.52
11/5/24 9:36 @MESZ4 MICRO E-MINI S&P 500 LONG 16 5763.25 11/5 15:55 5805.99 n/a $3,404
Includes Typical Broker Commissions trade costs of $15.04
11/4/24 10:11 @MESZ4 MICRO E-MINI S&P 500 LONG 10 5759.19 11/4 11:32 5751.50 1.12%
Trade id #149958274
Max drawdown($459)
Time11/4/24 11:32
Quant open10
Worst price5750.00
Drawdown as % of equity-1.12%
 ($393)
Includes Typical Broker Commissions trade costs of $9.40
11/1/24 10:40 @MESZ4 MICRO E-MINI S&P 500 LONG 6 5791.75 11/1 10:46 5779.24 1.12%
Trade id #149930664
Max drawdown($465)
Time11/1/24 10:46
Quant open6
Worst price5776.25
Drawdown as % of equity-1.12%
 ($381)
Includes Typical Broker Commissions trade costs of $5.64
10/31/24 9:56 @MESZ4 MICRO E-MINI S&P 500 SHORT 9 5787.00 10/31 15:55 5749.04 0.25%
Trade id #149915888
Max drawdown($101)
Time10/31/24 9:59
Quant open9
Worst price5789.25
Drawdown as % of equity-0.25%
 $1,700
Includes Typical Broker Commissions trade costs of $8.46
10/31/24 9:34 @MESZ4 MICRO E-MINI S&P 500 SHORT 11 5796.50 10/31 9:37 5803.27 1.41%
Trade id #149914997
Max drawdown($563)
Time10/31/24 9:37
Quant open11
Worst price5806.75
Drawdown as % of equity-1.41%
 ($382)
Includes Typical Broker Commissions trade costs of $10.34
10/25/24 9:33 @MESZ4 MICRO E-MINI S&P 500 LONG 16 5878.50 10/25 11:28 5878.60 0.6%
Trade id #149829796
Max drawdown($240)
Time10/25/24 9:37
Quant open16
Worst price5875.50
Drawdown as % of equity-0.60%
 ($7)
Includes Typical Broker Commissions trade costs of $15.04
10/22/24 11:25 @MESZ4 MICRO E-MINI S&P 500 LONG 13 5878.77 10/22 15:55 5898.75 0.71%
Trade id #149793273
Max drawdown($277)
Time10/22/24 12:26
Quant open13
Worst price5874.50
Drawdown as % of equity-0.71%
 $1,287
Includes Typical Broker Commissions trade costs of $12.22
10/22/24 10:07 @MESZ4 MICRO E-MINI S&P 500 LONG 16 5876.25 10/22 10:22 5870.97 1.27%
Trade id #149792379
Max drawdown($500)
Time10/22/24 10:22
Quant open16
Worst price5870.00
Drawdown as % of equity-1.27%
 ($438)
Includes Typical Broker Commissions trade costs of $15.04
9/30/24 12:12 @MESZ4 MICRO E-MINI S&P 500 LONG 14 5793.50 9/30 13:11 5786.14 1.44%
Trade id #149542279
Max drawdown($577)
Time9/30/24 13:11
Quant open14
Worst price5785.25
Drawdown as % of equity-1.44%
 ($528)
Includes Typical Broker Commissions trade costs of $13.16
9/9/24 13:42 @MESU4 MICRO E-MINI S&P 500 LONG 5 5480.25 9/9 14:03 5468.00 0.79%
Trade id #149326592
Max drawdown($318)
Time9/9/24 14:03
Quant open5
Worst price5467.50
Drawdown as % of equity-0.79%
 ($311)
Includes Typical Broker Commissions trade costs of $4.70
9/5/24 10:29 @MESU4 MICRO E-MINI S&P 500 LONG 9 5549.25 9/5 10:44 5540.50 1.02%
Trade id #149260329
Max drawdown($416)
Time9/5/24 10:44
Quant open9
Worst price5540.00
Drawdown as % of equity-1.02%
 ($402)
Includes Typical Broker Commissions trade costs of $8.46
9/5/24 10:09 @MESU4 MICRO E-MINI S&P 500 LONG 10 5547.75 9/5 10:11 5539.75 0.97%
Trade id #149259713
Max drawdown($400)
Time9/5/24 10:11
Quant open10
Worst price5539.75
Drawdown as % of equity-0.97%
 ($409)
Includes Typical Broker Commissions trade costs of $9.40
8/19/24 11:58 @MESU4 MICRO E-MINI S&P 500 LONG 9 5597.25 8/19 15:55 5626.00 0.31%
Trade id #148957190
Max drawdown($123)
Time8/19/24 12:00
Quant open9
Worst price5594.50
Drawdown as % of equity-0.31%
 $1,286
Includes Typical Broker Commissions trade costs of $8.46
8/19/24 10:12 @MESU4 MICRO E-MINI S&P 500 LONG 19 5589.64 8/19 10:16 5585.01 1.62%
Trade id #148952359
Max drawdown($655)
Time8/19/24 10:16
Quant open19
Worst price5582.75
Drawdown as % of equity-1.62%
 ($458)
Includes Typical Broker Commissions trade costs of $17.86
8/15/24 10:39 @MESU4 MICRO E-MINI S&P 500 LONG 14 5543.25 8/15 15:55 5563.36 n/a $1,395
Includes Typical Broker Commissions trade costs of $13.16
8/15/24 10:01 @MESU4 MICRO E-MINI S&P 500 LONG 15 5537.75 8/15 10:04 5532.75 1.19%
Trade id #148925361
Max drawdown($468)
Time8/15/24 10:04
Quant open15
Worst price5531.50
Drawdown as % of equity-1.19%
 ($389)
Includes Typical Broker Commissions trade costs of $14.10
8/14/24 12:17 @MESU4 MICRO E-MINI S&P 500 LONG 6 5475.50 8/14 12:24 5463.25 1.04%
Trade id #148916834
Max drawdown($412)
Time8/14/24 12:24
Quant open6
Worst price5461.75
Drawdown as % of equity-1.04%
 ($374)
Includes Typical Broker Commissions trade costs of $5.64
8/13/24 11:10 @MESU4 MICRO E-MINI S&P 500 LONG 12 5420.00 8/13 15:55 5451.82 n/a $1,898
Includes Typical Broker Commissions trade costs of $11.28
8/13/24 9:54 @MESU4 MICRO E-MINI S&P 500 LONG 13 5417.50 8/13 9:55 5410.54 1.18%
Trade id #148902372
Max drawdown($452)
Time8/13/24 9:55
Quant open13
Worst price5410.54
Drawdown as % of equity-1.18%
 ($464)
Includes Typical Broker Commissions trade costs of $12.22
8/8/24 10:07 @MESU4 MICRO E-MINI S&P 500 LONG 5 5294.75 8/8 15:55 5339.37 n/a $1,110
Includes Typical Broker Commissions trade costs of $4.70
8/6/24 11:12 @MESU4 MICRO E-MINI S&P 500 LONG 3 5287.00 8/6 15:55 5280.06 0.8%
Trade id #148842091
Max drawdown($300)
Time8/6/24 11:29
Quant open3
Worst price5267.00
Drawdown as % of equity-0.80%
 ($107)
Includes Typical Broker Commissions trade costs of $2.82
8/2/24 10:17 @MESU4 MICRO E-MINI S&P 500 SHORT 3 5358.50 8/2 15:55 5368.00 0.92%
Trade id #148807445
Max drawdown($345)
Time8/2/24 12:41
Quant open3
Worst price5381.50
Drawdown as % of equity-0.92%
 ($146)
Includes Typical Broker Commissions trade costs of $2.82
7/31/24 10:50 @MESU4 MICRO E-MINI S&P 500 LONG 7 5557.25 7/31 13:31 5547.50 1.16%
Trade id #148784449
Max drawdown($437)
Time7/31/24 13:31
Quant open7
Worst price5544.75
Drawdown as % of equity-1.16%
 ($348)
Includes Typical Broker Commissions trade costs of $6.58
7/30/24 9:43 @MESU4 MICRO E-MINI S&P 500 LONG 16 5523.50 7/30 9:44 5519.00 0.94%
Trade id #148772457
Max drawdown($360)
Time7/30/24 9:44
Quant open16
Worst price5519.00
Drawdown as % of equity-0.94%
 ($375)
Includes Typical Broker Commissions trade costs of $15.04
7/29/24 13:25 @MESU4 MICRO E-MINI S&P 500 LONG 6 5515.90 7/29 14:09 5503.36 0.98%
Trade id #148766771
Max drawdown($379)
Time7/29/24 14:09
Quant open6
Worst price5503.25
Drawdown as % of equity-0.98%
 ($382)
Includes Typical Broker Commissions trade costs of $5.64
7/26/24 13:35 @MESU4 MICRO E-MINI S&P 500 LONG 5 5513.75 7/26 13:38 5499.50 0.98%
Trade id #148752585
Max drawdown($381)
Time7/26/24 13:38
Quant open5
Worst price5498.50
Drawdown as % of equity-0.98%
 ($361)
Includes Typical Broker Commissions trade costs of $4.70
7/26/24 10:29 @MESU4 MICRO E-MINI S&P 500 LONG 7 5493.75 7/26 10:31 5483.75 0.89%
Trade id #148749506
Max drawdown($350)
Time7/26/24 10:31
Quant open7
Worst price5483.75
Drawdown as % of equity-0.89%
 ($357)
Includes Typical Broker Commissions trade costs of $6.58
Next

Statistics

  • Strategy began
    9/24/2022
  • Suggested Minimum Cap
    $45,000
  • Strategy Age (days)
    794.35
  • Age
    26 months ago
  • What it trades
    Futures
  • # Trades
    219
  • # Profitable
    67
  • % Profitable
    30.60%
  • Avg trade duration
    1.6 hours
  • Max peak-to-valley drawdown
    15%
  • drawdown period
    May 26, 2023 - Sept 14, 2023
  • Annual Return (Compounded)
    27.7%
  • Avg win
    $998.49
  • Avg loss
    $288.03
  • Model Account Values (Raw)
  • Cash
    $48,122
  • Margin Used
    $0
  • Buying Power
    $48,122
  • Ratios
  • W:L ratio
    1.53:1
  • Sharpe Ratio
    1.08
  • Sortino Ratio
    2.64
  • Calmar Ratio
    3.102
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    7.56%
  • Correlation to SP500
    0.09110
  • Return Percent SP500 (cumu) during strategy life
    63.05%
  • Return Statistics
  • Ann Return (w trading costs)
    27.7%
  • Slump
  • Current Slump as Pcnt Equity
    3.30%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.03%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.277%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    35.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    8.50%
  • 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)
    788
  • Popularity (Last 6 weeks)
    966
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    452
  • Popularity (7 days, Percentile 1000 scale)
    919
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $288
  • Avg Win
    $998
  • Sum Trade PL (losers)
    $43,780.000
  • Age
  • Num Months filled monthly returns table
    27
  • Win / Loss
  • Sum Trade PL (winners)
    $66,899.000
  • # Winners
    67
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    370048
  • Win / Loss
  • # Losers
    152
  • % Winners
    30.6%
  • Frequency
  • Avg Position Time (mins)
    98.15
  • Avg Position Time (hrs)
    1.64
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    6.56
  • Daily leverage (max)
    18.28
  • Regression
  • Alpha
    0.06
  • Beta
    0.12
  • Treynor Index
    0.59
  • 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)
    -0.28
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -104.118
  • 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
    0.137
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.202
  • Hold-and-Hope Ratio
    -0.010
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33164
  • SD
    0.25197
  • Sharpe ratio (Glass type estimate)
    1.31618
  • Sharpe ratio (Hedges UMVUE)
    1.27455
  • df
    24.00000
  • t
    1.89975
  • p
    0.03477
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.10402
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.71099
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13041
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.67950
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.42556
  • Upside Potential Ratio
    5.39211
  • Upside part of mean
    0.52203
  • Downside part of mean
    -0.19039
  • Upside SD
    0.24646
  • Downside SD
    0.09681
  • N nonnegative terms
    13.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.21531
  • Mean of criterion
    0.33164
  • SD of predictor
    0.13587
  • SD of criterion
    0.25197
  • Covariance
    0.00173
  • r
    0.05045
  • b (slope, estimate of beta)
    0.09356
  • a (intercept, estimate of alpha)
    0.31149
  • Mean Square Error
    0.06608
  • DF error
    23.00000
  • t(b)
    0.24228
  • p(b)
    0.40536
  • t(a)
    1.58480
  • p(a)
    0.06333
  • Lowerbound of 95% confidence interval for beta
    -0.70532
  • Upperbound of 95% confidence interval for beta
    0.89244
  • Lowerbound of 95% confidence interval for alpha
    -0.09510
  • Upperbound of 95% confidence interval for alpha
    0.71809
  • Treynor index (mean / b)
    3.54456
  • Jensen alpha (a)
    0.31149
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29822
  • SD
    0.24110
  • Sharpe ratio (Glass type estimate)
    1.23690
  • Sharpe ratio (Hedges UMVUE)
    1.19777
  • df
    24.00000
  • t
    1.78532
  • p
    0.04343
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.17692
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62666
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.20177
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.59732
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.99137
  • Upside Potential Ratio
    4.94547
  • Upside part of mean
    0.49303
  • Downside part of mean
    -0.19481
  • Upside SD
    0.23082
  • Downside SD
    0.09969
  • N nonnegative terms
    13.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    25.00000
  • Mean of predictor
    0.20430
  • Mean of criterion
    0.29822
  • SD of predictor
    0.13434
  • SD of criterion
    0.24110
  • Covariance
    0.00137
  • r
    0.04237
  • b (slope, estimate of beta)
    0.07604
  • a (intercept, estimate of alpha)
    0.28269
  • Mean Square Error
    0.06055
  • DF error
    23.00000
  • t(b)
    0.20338
  • p(b)
    0.42031
  • t(a)
    1.51323
  • p(a)
    0.07192
  • Lowerbound of 95% confidence interval for beta
    -0.69740
  • Upperbound of 95% confidence interval for beta
    0.84948
  • Lowerbound of 95% confidence interval for alpha
    -0.10376
  • Upperbound of 95% confidence interval for alpha
    0.66913
  • Treynor index (mean / b)
    3.92196
  • Jensen alpha (a)
    0.28269
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08573
  • Expected Shortfall on VaR
    0.11164
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03614
  • Expected Shortfall on VaR
    0.06485
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    25.00000
  • Minimum
    0.91790
  • Quartile 1
    0.97334
  • Median
    1.01231
  • Quartile 3
    1.08532
  • Maximum
    1.18973
  • Mean of quarter 1
    0.95493
  • Mean of quarter 2
    0.99318
  • Mean of quarter 3
    1.05215
  • Mean of quarter 4
    1.13210
  • Inter Quartile Range
    0.11197
  • 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)
    0.22889
  • VaR(95%) (moments method)
    0.05218
  • Expected Shortfall (moments method)
    0.07729
  • Extreme Value Index (regression method)
    0.60286
  • VaR(95%) (regression method)
    0.05363
  • Expected Shortfall (regression method)
    0.11785
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.02666
  • Quartile 1
    0.03576
  • Median
    0.05312
  • Quartile 3
    0.06916
  • Maximum
    0.08211
  • Mean of quarter 1
    0.02875
  • Mean of quarter 2
    0.05050
  • Mean of quarter 3
    0.05573
  • Mean of quarter 4
    0.07787
  • Inter Quartile Range
    0.03340
  • 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)
    0.46692
  • Compounded annual return (geometric extrapolation)
    0.38559
  • Calmar ratio (compounded annual return / max draw down)
    4.69632
  • Compounded annual return / average of 25% largest draw downs
    4.95158
  • Compounded annual return / Expected Shortfall lognormal
    3.45375
  • 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
    0.29517
  • SD
    0.18436
  • Sharpe ratio (Glass type estimate)
    1.60104
  • Sharpe ratio (Hedges UMVUE)
    1.59889
  • df
    559.00000
  • t
    2.34069
  • p
    0.00980
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25646
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.94425
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25500
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.94278
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.21034
  • Upside Potential Ratio
    11.35610
  • Upside part of mean
    0.79613
  • Downside part of mean
    -0.50096
  • Upside SD
    0.17131
  • Downside SD
    0.07011
  • N nonnegative terms
    90.00000
  • N negative terms
    470.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    560.00000
  • Mean of predictor
    0.21696
  • Mean of criterion
    0.29517
  • SD of predictor
    0.14994
  • SD of criterion
    0.18436
  • Covariance
    0.00291
  • r
    0.10517
  • b (slope, estimate of beta)
    0.12932
  • a (intercept, estimate of alpha)
    0.26700
  • Mean Square Error
    0.03367
  • DF error
    558.00000
  • t(b)
    2.49828
  • p(b)
    0.00638
  • t(a)
    2.11964
  • p(a)
    0.01724
  • Lowerbound of 95% confidence interval for beta
    0.02764
  • Upperbound of 95% confidence interval for beta
    0.23099
  • Lowerbound of 95% confidence interval for alpha
    0.01959
  • Upperbound of 95% confidence interval for alpha
    0.51464
  • Treynor index (mean / b)
    2.28253
  • Jensen alpha (a)
    0.26711
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27848
  • SD
    0.18064
  • Sharpe ratio (Glass type estimate)
    1.54161
  • Sharpe ratio (Hedges UMVUE)
    1.53954
  • df
    559.00000
  • t
    2.25382
  • p
    0.01230
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.19728
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.88459
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.19590
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.88320
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.94682
  • Upside Potential Ratio
    11.08120
  • Upside part of mean
    0.78186
  • Downside part of mean
    -0.50338
  • Upside SD
    0.16700
  • Downside SD
    0.07056
  • N nonnegative terms
    90.00000
  • N negative terms
    470.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    560.00000
  • Mean of predictor
    0.20567
  • Mean of criterion
    0.27848
  • SD of predictor
    0.14960
  • SD of criterion
    0.18064
  • Covariance
    0.00280
  • r
    0.10348
  • b (slope, estimate of beta)
    0.12496
  • a (intercept, estimate of alpha)
    0.25278
  • Mean Square Error
    0.03234
  • DF error
    558.00000
  • t(b)
    2.45769
  • p(b)
    0.00714
  • t(a)
    2.04763
  • p(a)
    0.02053
  • Lowerbound of 95% confidence interval for beta
    0.02509
  • Upperbound of 95% confidence interval for beta
    0.22483
  • Lowerbound of 95% confidence interval for alpha
    0.01030
  • Upperbound of 95% confidence interval for alpha
    0.49525
  • Treynor index (mean / b)
    2.22855
  • Jensen alpha (a)
    0.25278
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01714
  • Expected Shortfall on VaR
    0.02171
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00599
  • Expected Shortfall on VaR
    0.01156
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    560.00000
  • Minimum
    0.97465
  • Quartile 1
    0.99921
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.08941
  • Mean of quarter 1
    0.99273
  • Mean of quarter 2
    0.99998
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01222
  • Inter Quartile Range
    0.00079
  • Number outliers low
    134.00000
  • Percentage of outliers low
    0.23929
  • Mean of outliers low
    0.99246
  • Number of outliers high
    85.00000
  • Percentage of outliers high
    0.15179
  • Mean of outliers high
    1.02010
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.47617
  • VaR(95%) (moments method)
    0.00402
  • Expected Shortfall (moments method)
    0.00419
  • Extreme Value Index (regression method)
    -0.11028
  • VaR(95%) (regression method)
    0.00558
  • Expected Shortfall (regression method)
    0.00786
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00028
  • Quartile 1
    0.00777
  • Median
    0.02527
  • Quartile 3
    0.05503
  • Maximum
    0.11556
  • Mean of quarter 1
    0.00415
  • Mean of quarter 2
    0.01411
  • Mean of quarter 3
    0.03929
  • Mean of quarter 4
    0.08881
  • Inter Quartile Range
    0.04726
  • 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)
    -2.26284
  • VaR(95%) (moments method)
    0.09717
  • Expected Shortfall (moments method)
    0.09842
  • Extreme Value Index (regression method)
    -1.67639
  • VaR(95%) (regression method)
    0.11978
  • Expected Shortfall (regression method)
    0.12287
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.43271
  • Compounded annual return (geometric extrapolation)
    0.35850
  • Calmar ratio (compounded annual return / max draw down)
    3.10225
  • Compounded annual return / average of 25% largest draw downs
    4.03653
  • Compounded annual return / Expected Shortfall lognormal
    16.51390
  • 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
    0.31868
  • SD
    0.17323
  • Sharpe ratio (Glass type estimate)
    1.83960
  • Sharpe ratio (Hedges UMVUE)
    1.82897
  • df
    130.00000
  • t
    1.30079
  • p
    0.44332
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.94460
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.61690
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95174
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.60967
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.83674
  • Upside Potential Ratio
    12.66700
  • Upside part of mean
    0.69159
  • Downside part of mean
    -0.37292
  • Upside SD
    0.16488
  • Downside SD
    0.05460
  • N nonnegative terms
    14.00000
  • N negative terms
    117.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.23503
  • Mean of criterion
    0.31868
  • SD of predictor
    0.13674
  • SD of criterion
    0.17323
  • Covariance
    -0.00126
  • r
    -0.05334
  • b (slope, estimate of beta)
    -0.06757
  • a (intercept, estimate of alpha)
    0.33456
  • Mean Square Error
    0.03016
  • DF error
    129.00000
  • t(b)
    -0.60667
  • p(b)
    0.53394
  • t(a)
    1.35462
  • p(a)
    0.42478
  • Lowerbound of 95% confidence interval for beta
    -0.28794
  • Upperbound of 95% confidence interval for beta
    0.15280
  • Lowerbound of 95% confidence interval for alpha
    -0.15409
  • Upperbound of 95% confidence interval for alpha
    0.82320
  • Treynor index (mean / b)
    -4.71618
  • Jensen alpha (a)
    0.33456
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30397
  • SD
    0.16971
  • Sharpe ratio (Glass type estimate)
    1.79109
  • Sharpe ratio (Hedges UMVUE)
    1.78074
  • df
    130.00000
  • t
    1.26649
  • p
    0.44480
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.99264
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.56805
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.99951
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.56098
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.53973
  • Upside Potential Ratio
    12.36260
  • Upside part of mean
    0.67835
  • Downside part of mean
    -0.37438
  • Upside SD
    0.16101
  • Downside SD
    0.05487
  • N nonnegative terms
    14.00000
  • N negative terms
    117.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22562
  • Mean of criterion
    0.30397
  • SD of predictor
    0.13686
  • SD of criterion
    0.16971
  • Covariance
    -0.00126
  • r
    -0.05416
  • b (slope, estimate of beta)
    -0.06716
  • a (intercept, estimate of alpha)
    0.31912
  • Mean Square Error
    0.02894
  • DF error
    129.00000
  • t(b)
    -0.61600
  • p(b)
    0.53446
  • t(a)
    1.31957
  • p(a)
    0.42669
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    -0.28286
  • Upperbound of 95% confidence interval for beta
    0.14854
  • Lowerbound of 95% confidence interval for alpha
    -0.15936
  • Upperbound of 95% confidence interval for alpha
    0.79761
  • Treynor index (mean / b)
    -4.52634
  • Jensen alpha (a)
    0.31912
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01596
  • Expected Shortfall on VaR
    0.02025
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00463
  • Expected Shortfall on VaR
    0.00903
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98359
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.06305
  • Mean of quarter 1
    0.99473
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01052
  • Inter Quartile Range
    0.00000
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.21374
  • Mean of outliers low
    0.99379
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.02481
  • 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)
    -0.35710
  • VaR(95%) (regression method)
    0.00393
  • Expected Shortfall (regression method)
    0.00541
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00499
  • Quartile 1
    0.01225
  • Median
    0.02863
  • Quartile 3
    0.03455
  • Maximum
    0.05429
  • Mean of quarter 1
    0.00662
  • Mean of quarter 2
    0.02427
  • Mean of quarter 3
    0.03299
  • Mean of quarter 4
    0.04468
  • Inter Quartile Range
    0.02230
  • 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
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -445590000
  • Max Equity Drawdown (num days)
    111
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.36101
  • Compounded annual return (geometric extrapolation)
    0.39359
  • Calmar ratio (compounded annual return / max draw down)
    7.24956
  • Compounded annual return / average of 25% largest draw downs
    8.80914
  • Compounded annual return / Expected Shortfall lognormal
    19.43460

Strategy Description

System ares MES trades MES Future long and short. Risk per trade is 1% of equity. No overnight. Always with stop.

The system is backtested and is 100% automated.
I made a new backtest from 2006 - 2023 (2024 as Walk Forward). The result is more trades and a better equity curve.

For deeper information of the backtest results you can pm me.

Summary Statistics

Strategy began
2022-09-24
Suggested Minimum Capital
$45,000
# Trades
219
# Profitable
67
% Profitable
30.6%
Correlation S&P500
0.091
Sharpe Ratio
1.08
Sortino Ratio
2.64
Beta
0.12
Alpha
0.06
Leverage
6.56 Average
18.28 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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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.