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Max Growth 2020
(117249577)

Created by: MaxGrowth2020 MaxGrowth2020
Started: 03/2018
Futures
Last trade: 7 days ago
Trading style: Futures Momentum 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 $198.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Futures
Momentum
Category: Equity

Momentum

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

Short Term

Makes short-term trades or bases analysis on short-term market movements.
210.7%
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.

(40.3%)
Max Drawdown
1159
Num Trades
90.7%
Win Trades
3.5 : 1
Profit Factor
83.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018              +12.1%+27.9%+18.5%+11.7%+4.5%(15%)+46.1%+10.3%+7.3%+8.4%+215.9%
2019+4.8%+6.7%(10.3%)(13.3%)+54.9%+5.8%+5.5%+4.8%                        +57.5%

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 664 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/15/19 11:00 @ESU9 E-MINI S&P 500 LONG 2 2844.12 8/15 11:29 2844.25 0.78%
Trade id #124950859
Max drawdown($962)
Time8/15/19 11:00
Quant open2
Worst price2834.50
Drawdown as % of equity-0.78%
($3)
Includes Typical Broker Commissions trade costs of $16.00
8/15/19 10:42 @ESU9 E-MINI S&P 500 LONG 1 2848.00 8/15 10:44 2851.00 0.03%
Trade id #124950540
Max drawdown($37)
Time8/15/19 10:42
Quant open1
Worst price2847.25
Drawdown as % of equity-0.03%
$142
Includes Typical Broker Commissions trade costs of $8.00
8/15/19 3:14 @ESU9 E-MINI S&P 500 LONG 5 2852.75 8/15 3:15 2853.25 0.41%
Trade id #124944270
Max drawdown($500)
Time8/15/19 3:14
Quant open5
Worst price2850.75
Drawdown as % of equity-0.41%
$85
Includes Typical Broker Commissions trade costs of $40.00
8/14/19 14:23 @ESU9 E-MINI S&P 500 LONG 2 2851.38 8/14 15:04 2854.12 0.81%
Trade id #124935805
Max drawdown($987)
Time8/14/19 14:23
Quant open2
Worst price2841.50
Drawdown as % of equity-0.81%
$259
Includes Typical Broker Commissions trade costs of $16.00
8/14/19 14:02 @ESU9 E-MINI S&P 500 LONG 2 2853.00 8/14 14:17 2856.62 0.23%
Trade id #124935483
Max drawdown($275)
Time8/14/19 14:02
Quant open2
Worst price2850.25
Drawdown as % of equity-0.23%
$347
Includes Typical Broker Commissions trade costs of $16.00
8/14/19 11:42 @ESU9 E-MINI S&P 500 LONG 6 2856.54 8/14 13:38 2858.58 2.53%
Trade id #124932316
Max drawdown($3,058)
Time8/14/19 11:42
Quant open4
Worst price2841.25
Drawdown as % of equity-2.53%
$565
Includes Typical Broker Commissions trade costs of $48.00
8/14/19 11:05 @ESU9 E-MINI S&P 500 LONG 2 2864.00 8/14 11:33 2866.00 0.64%
Trade id #124931101
Max drawdown($775)
Time8/14/19 11:05
Quant open2
Worst price2856.25
Drawdown as % of equity-0.64%
$184
Includes Typical Broker Commissions trade costs of $16.00
8/14/19 9:19 @ESU9 E-MINI S&P 500 LONG 1 2882.00 8/14 9:28 2884.25 0.11%
Trade id #124927394
Max drawdown($137)
Time8/14/19 9:19
Quant open1
Worst price2879.25
Drawdown as % of equity-0.11%
$105
Includes Typical Broker Commissions trade costs of $8.00
8/14/19 8:33 @ESU9 E-MINI S&P 500 LONG 2 2888.50 8/14 8:46 2890.38 0.16%
Trade id #124926753
Max drawdown($200)
Time8/14/19 8:33
Quant open2
Worst price2886.50
Drawdown as % of equity-0.16%
$172
Includes Typical Broker Commissions trade costs of $16.00
8/14/19 8:09 @ESU9 E-MINI S&P 500 LONG 1 2889.50 8/14 8:28 2893.00 0.14%
Trade id #124926473
Max drawdown($175)
Time8/14/19 8:09
Quant open1
Worst price2886.00
Drawdown as % of equity-0.14%
$167
Includes Typical Broker Commissions trade costs of $8.00
8/14/19 7:52 @ESU9 E-MINI S&P 500 LONG 2 2891.88 8/14 8:06 2895.50 0.21%
Trade id #124926262
Max drawdown($262)
Time8/14/19 7:52
Quant open2
Worst price2889.25
Drawdown as % of equity-0.21%
$347
Includes Typical Broker Commissions trade costs of $16.00
8/13/19 22:22 @ESU9 E-MINI S&P 500 LONG 1 2924.25 8/13 22:49 2925.75 0.04%
Trade id #124920910
Max drawdown($50)
Time8/13/19 22:22
Quant open1
Worst price2923.25
Drawdown as % of equity-0.04%
$67
Includes Typical Broker Commissions trade costs of $8.00
8/13/19 11:00 @MESU9 MICRO E-MINI S&P 500 LONG 4 2926.50 8/13 11:06 2928.00 0.04%
Trade id #124908154
Max drawdown($50)
Time8/13/19 11:00
Quant open4
Worst price2924.00
Drawdown as % of equity-0.04%
$26
Includes Typical Broker Commissions trade costs of $3.76
8/13/19 10:19 @MESU9 MICRO E-MINI S&P 500 SHORT 12 2935.42 8/13 10:41 2933.83 0.29%
Trade id #124906895
Max drawdown($353)
Time8/13/19 10:19
Quant open8
Worst price2944.25
Drawdown as % of equity-0.29%
$84
Includes Typical Broker Commissions trade costs of $11.28
8/13/19 9:50 @MESU9 MICRO E-MINI S&P 500 SHORT 4 2926.25 8/13 10:06 2925.00 0.15%
Trade id #124905682
Max drawdown($185)
Time8/13/19 9:50
Quant open4
Worst price2935.50
Drawdown as % of equity-0.15%
$21
Includes Typical Broker Commissions trade costs of $3.76
8/13/19 2:24 @MESU9 MICRO E-MINI S&P 500 LONG 8 2874.88 8/13 3:15 2877.50 0.13%
Trade id #124898053
Max drawdown($155)
Time8/13/19 2:24
Quant open8
Worst price2871.00
Drawdown as % of equity-0.13%
$97
Includes Typical Broker Commissions trade costs of $7.52
8/12/19 13:49 @MESU9 MICRO E-MINI S&P 500 LONG 8 2886.62 8/12 19:36 2884.25 0.46%
Trade id #124887544
Max drawdown($565)
Time8/12/19 13:49
Quant open8
Worst price2872.50
Drawdown as % of equity-0.46%
($103)
Includes Typical Broker Commissions trade costs of $7.52
8/12/19 14:42 @ESU9 E-MINI S&P 500 LONG 2 2877.42 8/12 15:19 2880.12 0.4%
Trade id #124888821
Max drawdown($491)
Time8/12/19 14:42
Quant open2
Worst price2872.50
Drawdown as % of equity-0.40%
$255
Includes Typical Broker Commissions trade costs of $16.00
8/9/19 15:10 @MESZ9 MICRO E-MINI S&P 500 SHORT 4 2929.75 8/9 15:55 2923.25 0.07%
Trade id #124861658
Max drawdown($85)
Time8/9/19 15:54
Quant open-4
Worst price2925.50
Drawdown as % of equity-0.07%
$126
Includes Typical Broker Commissions trade costs of $3.76
8/9/19 15:35 @ESU9 E-MINI S&P 500 SHORT 2 2931.75 8/9 15:45 2930.00 0.08%
Trade id #124862041
Max drawdown($100)
Time8/9/19 15:35
Quant open2
Worst price2932.75
Drawdown as % of equity-0.08%
$159
Includes Typical Broker Commissions trade costs of $16.00
8/8/19 9:16 @MESZ9 MICRO E-MINI S&P 500 SHORT 42 2923.24 8/9 12:04 2924.74 2.19%
Trade id #124833454
Max drawdown($2,658)
Time8/8/19 9:16
Quant open20
Worst price2943.00
Drawdown as % of equity-2.19%
($354)
Includes Typical Broker Commissions trade costs of $39.48
8/9/19 11:58 @ESU9 E-MINI S&P 500 LONG 1 2900.50 8/9 12:02 2904.50 0.06%
Trade id #124858675
Max drawdown($75)
Time8/9/19 11:58
Quant open1
Worst price2899.00
Drawdown as % of equity-0.06%
$192
Includes Typical Broker Commissions trade costs of $8.00
8/9/19 11:28 @ESU9 E-MINI S&P 500 LONG 1 2904.00 8/9 11:43 2904.00 0.11%
Trade id #124857613
Max drawdown($137)
Time8/9/19 11:28
Quant open1
Worst price2901.25
Drawdown as % of equity-0.11%
($8)
Includes Typical Broker Commissions trade costs of $8.00
8/9/19 11:12 @ESU9 E-MINI S&P 500 LONG 1 2909.00 8/9 11:14 2912.25 0.01%
Trade id #124857316
Max drawdown($12)
Time8/9/19 11:12
Quant open1
Worst price2908.75
Drawdown as % of equity-0.01%
$155
Includes Typical Broker Commissions trade costs of $8.00
8/8/19 11:16 @ESU9 E-MINI S&P 500 SHORT 15 2924.97 8/9 3:46 2924.85 5%
Trade id #124837490
Max drawdown($6,053)
Time8/8/19 11:16
Quant open6
Worst price2940.75
Drawdown as % of equity-5.00%
($32)
Includes Typical Broker Commissions trade costs of $120.00
8/8/19 10:45 @ESU9 E-MINI S&P 500 SHORT 2 2914.00 8/8 11:09 2912.75 0.27%
Trade id #124836690
Max drawdown($325)
Time8/8/19 10:45
Quant open2
Worst price2917.25
Drawdown as % of equity-0.27%
$109
Includes Typical Broker Commissions trade costs of $16.00
8/4/19 21:30 @MESU9 MICRO E-MINI S&P 500 LONG 182 2858.48 8/7 15:44 2855.64 3.74%
Trade id #124758795
Max drawdown($4,498)
Time8/4/19 21:30
Quant open10
Worst price2820.75
Drawdown as % of equity-3.74%
($2,757)
Includes Typical Broker Commissions trade costs of $171.08
8/7/19 15:20 @ESZ9 E-MINI S&P 500 SHORT 3 2886.83 8/7 15:43 2886.58 0.51%
Trade id #124821954
Max drawdown($625)
Time8/7/19 15:20
Quant open3
Worst price2891.00
Drawdown as % of equity-0.51%
$14
Includes Typical Broker Commissions trade costs of $24.00
8/7/19 14:45 @ESZ9 E-MINI S&P 500 SHORT 2 2881.12 8/7 15:03 2878.00 0.13%
Trade id #124821018
Max drawdown($156)
Time8/7/19 14:45
Quant open1
Worst price2884.25
Drawdown as % of equity-0.13%
$297
Includes Typical Broker Commissions trade costs of $16.00
8/7/19 14:06 @ESZ9 E-MINI S&P 500 SHORT 1 2874.75 8/7 14:15 2872.00 0.09%
Trade id #124820052
Max drawdown($112)
Time8/7/19 14:06
Quant open1
Worst price2877.00
Drawdown as % of equity-0.09%
$130
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    3/27/2018
  • Suggested Minimum Cap
    $120,000
  • Strategy Age (days)
    513.62
  • Age
    17 months ago
  • What it trades
    Futures
  • # Trades
    1159
  • # Profitable
    1051
  • % Profitable
    90.70%
  • Avg trade duration
    19.3 hours
  • Max peak-to-valley drawdown
    40.27%
  • drawdown period
    Feb 11, 2019 - April 23, 2019
  • Annual Return (Compounded)
    210.7%
  • Avg win
    $182.39
  • Avg loss
    $515.82
  • Model Account Values (Raw)
  • Cash
    $161,453
  • Margin Used
    $0
  • Buying Power
    $161,453
  • Ratios
  • W:L ratio
    3.46:1
  • Sharpe Ratio
    1.65
  • Sortino Ratio
    2.91
  • Calmar Ratio
    11.067
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.09810
  • Return Statistics
  • Ann Return (w trading costs)
    210.7%
  • Ann Return (Compnd, No Fees)
    275.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    56.00%
  • Chance of 20% account loss
    27.50%
  • Chance of 30% account loss
    15.50%
  • Chance of 40% account loss
    5.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    855
  • Popularity (Last 6 weeks)
    942
  • C2 Score
    51
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $516
  • Avg Win
    $182
  • # Winners
    1051
  • # Losers
    108
  • % Winners
    90.7%
  • Frequency
  • Avg Position Time (mins)
    1155.75
  • Avg Position Time (hrs)
    19.26
  • Avg Trade Length
    0.8 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    19.99
  • Daily leverage (max)
    65.02
  • Regression
  • Alpha
    0.38
  • Beta
    -0.44
  • Treynor Index
    -0.84
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    3.823
  • Avg(MAE) / Avg(PL) - Winning trades
    1.175
  • Avg(MAE) / Avg(PL) - Losing trades
    -4.546
  • Hold-and-Hope Ratio
    0.261
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.52827
  • SD
    0.57432
  • Sharpe ratio (Glass type estimate)
    2.66100
  • Sharpe ratio (Hedges UMVUE)
    2.52531
  • df
    15.00000
  • t
    3.07265
  • p
    0.13153
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.68519
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.56952
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.60237
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.44824
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.70450
  • Upside Potential Ratio
    16.92910
  • Upside part of mean
    1.64745
  • Downside part of mean
    -0.11918
  • Upside SD
    0.70313
  • Downside SD
    0.09731
  • N nonnegative terms
    14.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.07050
  • Mean of criterion
    1.52827
  • SD of predictor
    0.15635
  • SD of criterion
    0.57432
  • Covariance
    -0.02831
  • r
    -0.31529
  • b (slope, estimate of beta)
    -1.15814
  • a (intercept, estimate of alpha)
    1.60992
  • Mean Square Error
    0.31827
  • DF error
    14.00000
  • t(b)
    -1.24313
  • p(b)
    0.65765
  • t(a)
    3.26576
  • p(a)
    0.17122
  • Lowerbound of 95% confidence interval for beta
    -3.15630
  • Upperbound of 95% confidence interval for beta
    0.84002
  • Lowerbound of 95% confidence interval for alpha
    0.55261
  • Upperbound of 95% confidence interval for alpha
    2.66724
  • Treynor index (mean / b)
    -1.31959
  • Jensen alpha (a)
    1.60992
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.32576
  • SD
    0.47235
  • Sharpe ratio (Glass type estimate)
    2.80675
  • Sharpe ratio (Hedges UMVUE)
    2.66363
  • df
    15.00000
  • t
    3.24096
  • p
    0.12154
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.80439
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.73996
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71694
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.61031
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.10640
  • Upside Potential Ratio
    14.33110
  • Upside part of mean
    1.44964
  • Downside part of mean
    -0.12388
  • Upside SD
    0.58771
  • Downside SD
    0.10115
  • N nonnegative terms
    14.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.05860
  • Mean of criterion
    1.32576
  • SD of predictor
    0.15774
  • SD of criterion
    0.47235
  • Covariance
    -0.02412
  • r
    -0.32378
  • b (slope, estimate of beta)
    -0.96957
  • a (intercept, estimate of alpha)
    1.38258
  • Mean Square Error
    0.21399
  • DF error
    14.00000
  • t(b)
    -1.28046
  • p(b)
    0.66189
  • t(a)
    3.43019
  • p(a)
    0.16212
  • Lowerbound of 95% confidence interval for beta
    -2.59360
  • Upperbound of 95% confidence interval for beta
    0.65446
  • Lowerbound of 95% confidence interval for alpha
    0.51810
  • Upperbound of 95% confidence interval for alpha
    2.24706
  • Treynor index (mean / b)
    -1.36737
  • Jensen alpha (a)
    1.38258
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10757
  • Expected Shortfall on VaR
    0.15594
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00637
  • Expected Shortfall on VaR
    0.02108
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.92200
  • Quartile 1
    1.05367
  • Median
    1.09012
  • Quartile 3
    1.15572
  • Maximum
    1.53604
  • Mean of quarter 1
    0.98562
  • Mean of quarter 2
    1.06815
  • Mean of quarter 3
    1.12153
  • Mean of quarter 4
    1.34344
  • Inter Quartile Range
    0.10206
  • 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
    0.12500
  • Mean of outliers high
    1.51021
  • 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)
    -7.14064
  • VaR(95%) (regression method)
    0.57852
  • Expected Shortfall (regression method)
    0.57858
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.14830
  • Quartile 1
    0.14830
  • Median
    0.14830
  • Quartile 3
    0.14830
  • Maximum
    0.14830
  • 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)
    3.80947
  • Compounded annual return (geometric extrapolation)
    2.87159
  • Calmar ratio (compounded annual return / max draw down)
    19.36340
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    18.41510
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.45567
  • SD
    0.55284
  • Sharpe ratio (Glass type estimate)
    2.63307
  • Sharpe ratio (Hedges UMVUE)
    2.62761
  • df
    362.00000
  • t
    3.09931
  • p
    0.00105
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.95518
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.30744
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.95152
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.30369
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.56579
  • Upside Potential Ratio
    10.24270
  • Upside part of mean
    3.26558
  • Downside part of mean
    -1.80991
  • Upside SD
    0.45960
  • Downside SD
    0.31882
  • N nonnegative terms
    250.00000
  • N negative terms
    113.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    363.00000
  • Mean of predictor
    0.06452
  • Mean of criterion
    1.45567
  • SD of predictor
    0.15116
  • SD of criterion
    0.55284
  • Covariance
    -0.01052
  • r
    -0.12586
  • b (slope, estimate of beta)
    -0.46031
  • a (intercept, estimate of alpha)
    1.48500
  • Mean Square Error
    0.30163
  • DF error
    361.00000
  • t(b)
    -2.41048
  • p(b)
    0.99179
  • t(a)
    3.18238
  • p(a)
    0.00079
  • Lowerbound of 95% confidence interval for beta
    -0.83585
  • Upperbound of 95% confidence interval for beta
    -0.08477
  • Lowerbound of 95% confidence interval for alpha
    0.56748
  • Upperbound of 95% confidence interval for alpha
    2.40326
  • Treynor index (mean / b)
    -3.16235
  • Jensen alpha (a)
    1.48537
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.30403
  • SD
    0.54140
  • Sharpe ratio (Glass type estimate)
    2.40861
  • Sharpe ratio (Hedges UMVUE)
    2.40361
  • df
    362.00000
  • t
    2.83510
  • p
    0.00242
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.73265
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.08132
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.72932
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07791
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.91802
  • Upside Potential Ratio
    9.51706
  • Upside part of mean
    3.16755
  • Downside part of mean
    -1.86352
  • Upside SD
    0.43362
  • Downside SD
    0.33283
  • N nonnegative terms
    250.00000
  • N negative terms
    113.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    363.00000
  • Mean of predictor
    0.05310
  • Mean of criterion
    1.30403
  • SD of predictor
    0.15132
  • SD of criterion
    0.54140
  • Covariance
    -0.01025
  • r
    -0.12517
  • b (slope, estimate of beta)
    -0.44785
  • a (intercept, estimate of alpha)
    1.32781
  • Mean Square Error
    0.28932
  • DF error
    361.00000
  • t(b)
    -2.39713
  • p(b)
    0.99148
  • t(a)
    2.90499
  • p(a)
    0.00195
  • Lowerbound of 95% confidence interval for beta
    -0.81525
  • Upperbound of 95% confidence interval for beta
    -0.08044
  • Lowerbound of 95% confidence interval for alpha
    0.42894
  • Upperbound of 95% confidence interval for alpha
    2.22668
  • Treynor index (mean / b)
    -2.91177
  • Jensen alpha (a)
    1.32781
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04881
  • Expected Shortfall on VaR
    0.06194
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01095
  • Expected Shortfall on VaR
    0.02611
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    363.00000
  • Minimum
    0.85625
  • Quartile 1
    0.99845
  • Median
    1.00402
  • Quartile 3
    1.01262
  • Maximum
    1.23913
  • Mean of quarter 1
    0.97268
  • Mean of quarter 2
    1.00134
  • Mean of quarter 3
    1.00773
  • Mean of quarter 4
    1.04092
  • Inter Quartile Range
    0.01417
  • Number outliers low
    36.00000
  • Percentage of outliers low
    0.09917
  • Mean of outliers low
    0.94636
  • Number of outliers high
    36.00000
  • Percentage of outliers high
    0.09917
  • Mean of outliers high
    1.07269
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.55972
  • VaR(95%) (moments method)
    0.01234
  • Expected Shortfall (moments method)
    0.03490
  • Extreme Value Index (regression method)
    0.01664
  • VaR(95%) (regression method)
    0.02692
  • Expected Shortfall (regression method)
    0.04298
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    38.00000
  • Minimum
    0.00029
  • Quartile 1
    0.00368
  • Median
    0.01113
  • Quartile 3
    0.05552
  • Maximum
    0.25196
  • Mean of quarter 1
    0.00172
  • Mean of quarter 2
    0.00705
  • Mean of quarter 3
    0.02971
  • Mean of quarter 4
    0.13231
  • Inter Quartile Range
    0.05184
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.10526
  • Mean of outliers high
    0.20775
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.09992
  • VaR(95%) (moments method)
    0.12859
  • Expected Shortfall (moments method)
    0.16709
  • Extreme Value Index (regression method)
    -0.50016
  • VaR(95%) (regression method)
    0.16401
  • Expected Shortfall (regression method)
    0.19212
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.84741
  • Compounded annual return (geometric extrapolation)
    2.78837
  • Calmar ratio (compounded annual return / max draw down)
    11.06660
  • Compounded annual return / average of 25% largest draw downs
    21.07460
  • Compounded annual return / Expected Shortfall lognormal
    45.01840
  • 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
    1.04392
  • SD
    0.55156
  • Sharpe ratio (Glass type estimate)
    1.89265
  • Sharpe ratio (Hedges UMVUE)
    1.88171
  • df
    130.00000
  • t
    1.33831
  • p
    0.44171
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.89219
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.67036
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89951
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.66294
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.25069
  • Upside Potential Ratio
    9.03960
  • Upside part of mean
    2.90295
  • Downside part of mean
    -1.85903
  • Upside SD
    0.45048
  • Downside SD
    0.32114
  • N nonnegative terms
    84.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08405
  • Mean of criterion
    1.04392
  • SD of predictor
    0.13048
  • SD of criterion
    0.55156
  • Covariance
    -0.01356
  • r
    -0.18848
  • b (slope, estimate of beta)
    -0.79670
  • a (intercept, estimate of alpha)
    1.11088
  • Mean Square Error
    0.29569
  • DF error
    129.00000
  • t(b)
    -2.17973
  • p(b)
    0.61927
  • t(a)
    1.44341
  • p(a)
    0.41995
  • Lowerbound of 95% confidence interval for beta
    -1.51986
  • Upperbound of 95% confidence interval for beta
    -0.07354
  • Lowerbound of 95% confidence interval for alpha
    -0.41184
  • Upperbound of 95% confidence interval for alpha
    2.63361
  • Treynor index (mean / b)
    -1.31030
  • Jensen alpha (a)
    1.11088
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.89672
  • SD
    0.53708
  • Sharpe ratio (Glass type estimate)
    1.66963
  • Sharpe ratio (Hedges UMVUE)
    1.65997
  • df
    130.00000
  • t
    1.18060
  • p
    0.44850
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.11275
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.44571
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.11917
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.43912
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.66480
  • Upside Potential Ratio
    8.35177
  • Upside part of mean
    2.81042
  • Downside part of mean
    -1.91370
  • Upside SD
    0.41963
  • Downside SD
    0.33651
  • N nonnegative terms
    84.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07555
  • Mean of criterion
    0.89672
  • SD of predictor
    0.13090
  • SD of criterion
    0.53708
  • Covariance
    -0.01345
  • r
    -0.19128
  • b (slope, estimate of beta)
    -0.78483
  • a (intercept, estimate of alpha)
    0.95601
  • Mean Square Error
    0.28005
  • DF error
    129.00000
  • t(b)
    -2.21342
  • p(b)
    0.62103
  • t(a)
    1.27658
  • p(a)
    0.42904
  • Lowerbound of 95% confidence interval for beta
    -1.48636
  • Upperbound of 95% confidence interval for beta
    -0.08329
  • Lowerbound of 95% confidence interval for alpha
    -0.52567
  • Upperbound of 95% confidence interval for alpha
    2.43769
  • Treynor index (mean / b)
    -1.14257
  • Jensen alpha (a)
    0.95601
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04987
  • Expected Shortfall on VaR
    0.06288
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01257
  • Expected Shortfall on VaR
    0.02902
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.85625
  • Quartile 1
    0.99766
  • Median
    1.00275
  • Quartile 3
    1.01073
  • Maximum
    1.23913
  • Mean of quarter 1
    0.97219
  • Mean of quarter 2
    1.00046
  • Mean of quarter 3
    1.00612
  • Mean of quarter 4
    1.03766
  • Inter Quartile Range
    0.01306
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.11450
  • Mean of outliers low
    0.95120
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.06703
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.20876
  • VaR(95%) (moments method)
    0.01155
  • Expected Shortfall (moments method)
    0.02016
  • Extreme Value Index (regression method)
    0.18665
  • VaR(95%) (regression method)
    0.02679
  • Expected Shortfall (regression method)
    0.04840
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00029
  • Quartile 1
    0.00286
  • Median
    0.00708
  • Quartile 3
    0.02760
  • Maximum
    0.22940
  • Mean of quarter 1
    0.00123
  • Mean of quarter 2
    0.00524
  • Mean of quarter 3
    0.01568
  • Mean of quarter 4
    0.09237
  • Inter Quartile Range
    0.02474
  • 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
    0.14286
  • Mean of outliers high
    0.14897
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.43766
  • VaR(95%) (moments method)
    0.09458
  • Expected Shortfall (moments method)
    0.20192
  • Extreme Value Index (regression method)
    1.36530
  • VaR(95%) (regression method)
    0.17973
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.17549
  • Compounded annual return (geometric extrapolation)
    1.52093
  • Calmar ratio (compounded annual return / max draw down)
    6.62992
  • Compounded annual return / average of 25% largest draw downs
    16.46530
  • Compounded annual return / Expected Shortfall lognormal
    24.18760

Strategy Description

This is a diversified strategy with the primary goal of capital appreciation and high growth at above-average risk.

In this strategy, (1) E-mini ES futures is used to trade intraday charts (10- and one minute chart) as the growth driver, (2) Micro-mini (MES), SPY or options will be used to follow the trend on 60-minute chart as swing trading. Occasionally they are combined together as a hedge to mitigate the exposure to the volatility of prices based on market condition. It may dynamic allocates the funds, as well as the leverages, from time to time to achieve high growth.

There is an inherent high risk of loss in online trading of futures, options and ETFs. Past results are not necessarily indicative of future results.

Summary Statistics

Strategy began
2018-03-27
Suggested Minimum Capital
$120,000
# Trades
1159
# Profitable
1051
% Profitable
90.7%
Net Dividends
Correlation S&P500
-0.098
Sharpe Ratio
1.65
Sortino Ratio
2.91
Beta
-0.44
Alpha
0.38
Leverage
19.99 Average
65.02 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.