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Max Large Growth
(117249577)

Created by: AlphaProTrading AlphaProTrading
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 $499.00 per month.

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.
262.5%
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.

(39.2%)
Max Drawdown
784
Num Trades
91.1%
Win Trades
5.8 : 1
Profit Factor
91.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018              +12.7%+28.3%+18.7%+11.9%+4.9%(13.9%)+45.1%+10.3%+7.4%+8.4%+223.4%
2019+4.9%+6.0%                                                            +11.2%

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 270 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/14/19 9:58 SPY1929O272 SPY Mar29'19 272 put LONG 40 4.64 2/14 11:04 4.83 0.06%
Trade id #122523878
Max drawdown($630)
Time2/14/19 10:33
Quant open30
Worst price4.45
Drawdown as % of equity-0.06%
$704
Includes Typical Broker Commissions trade costs of $56.00
2/12/19 9:40 SPY1929O272 SPY Mar29'19 272 put LONG 50 4.79 2/14 9:51 5.04 0.43%
Trade id #122475244
Max drawdown($4,470)
Time2/13/19 15:30
Quant open50
Worst price3.90
Drawdown as % of equity-0.43%
$1,160
Includes Typical Broker Commissions trade costs of $70.00
2/13/19 14:46 @NQH9 E-MINI NASDAQ 100 STK IDX SHORT 40 7048.62 2/13 15:04 7045.00 0.26%
Trade id #122509698
Max drawdown($2,700)
Time2/13/19 14:49
Quant open-40
Worst price7052.00
Drawdown as % of equity-0.26%
$2,580
Includes Typical Broker Commissions trade costs of $320.00
2/13/19 11:04 @NQH9 E-MINI NASDAQ 100 STK IDX SHORT 20 7050.00 2/13 11:20 7039.50 0.11%
Trade id #122503520
Max drawdown($1,100)
Time2/13/19 11:07
Quant open-20
Worst price7052.75
Drawdown as % of equity-0.11%
$4,040
Includes Typical Broker Commissions trade costs of $160.00
2/13/19 10:22 @NQH9 E-MINI NASDAQ 100 STK IDX SHORT 40 7050.62 2/13 10:54 7043.00 0.59%
Trade id #122502003
Max drawdown($5,900)
Time2/13/19 10:38
Quant open-40
Worst price7058.00
Drawdown as % of equity-0.59%
$5,780
Includes Typical Broker Commissions trade costs of $320.00
2/12/19 19:09 @NQH9 E-MINI NASDAQ 100 STK IDX SHORT 40 7041.50 2/13 10:15 7034.50 2.16%
Trade id #122490354
Max drawdown($22,600)
Time2/13/19 9:41
Quant open-40
Worst price7069.75
Drawdown as % of equity-2.16%
$5,280
Includes Typical Broker Commissions trade costs of $320.00
2/12/19 16:54 @NQH9 E-MINI NASDAQ 100 STK IDX SHORT 10 7022.75 2/12 18:02 7016.00 0%
Trade id #122489331
Max drawdown$0
Time2/12/19 16:56
Quant open-10
Worst price7022.75
Drawdown as % of equity0.00%
$1,270
Includes Typical Broker Commissions trade costs of $80.00
2/11/19 12:27 @ESH9 E-MINI S&P 500 SHORT 5 2710.25 2/11 13:11 2708.50 0.04%
Trade id #122459555
Max drawdown($437)
Time2/11/19 12:34
Quant open-5
Worst price2712.00
Drawdown as % of equity-0.04%
$398
Includes Typical Broker Commissions trade costs of $40.00
2/11/19 3:20 @ESH9 E-MINI S&P 500 SHORT 30 2711.83 2/11 10:24 2712.25 1.34%
Trade id #122450367
Max drawdown($14,500)
Time2/11/19 4:07
Quant open-30
Worst price2721.50
Drawdown as % of equity-1.34%
($865)
Includes Typical Broker Commissions trade costs of $240.00
2/7/19 10:18 SPY1929O265 SPY Mar29'19 265 put SHORT 15 4.01 2/11 9:34 3.90 0.1%
Trade id #122414331
Max drawdown($1,033)
Time2/8/19 11:06
Quant open-10
Worst price5.04
Drawdown as % of equity-0.10%
$134
Includes Typical Broker Commissions trade costs of $21.00
2/11/19 3:13 @ESH9 E-MINI S&P 500 SHORT 10 2707.00 2/11 3:15 2704.50 n/a $1,170
Includes Typical Broker Commissions trade costs of $80.00
2/10/19 21:49 @ESH9 E-MINI S&P 500 SHORT 10 2706.25 2/10 22:11 2705.00 0.02%
Trade id #122448204
Max drawdown($250)
Time2/10/19 21:51
Quant open-10
Worst price2706.75
Drawdown as % of equity-0.02%
$545
Includes Typical Broker Commissions trade costs of $80.00
2/8/19 15:55 @ESH9 E-MINI S&P 500 SHORT 50 2705.10 2/10 20:19 2704.45 1.42%
Trade id #122437459
Max drawdown($15,300)
Time2/10/19 18:01
Quant open-40
Worst price2712.75
Drawdown as % of equity-1.42%
$1,225
Includes Typical Broker Commissions trade costs of $400.00
2/8/19 15:39 @ESH9 E-MINI S&P 500 SHORT 10 2700.50 2/8 15:41 2699.50 0%
Trade id #122437144
Max drawdown$0
Time2/8/19 15:41
Quant open-10
Worst price2700.50
Drawdown as % of equity0.00%
$420
Includes Typical Broker Commissions trade costs of $80.00
2/8/19 15:29 @ESH9 E-MINI S&P 500 SHORT 10 2700.50 2/8 15:31 2699.50 0.02%
Trade id #122436938
Max drawdown($250)
Time2/8/19 15:31
Quant open-10
Worst price2701.00
Drawdown as % of equity-0.02%
$420
Includes Typical Broker Commissions trade costs of $80.00
2/8/19 15:16 @ESH9 E-MINI S&P 500 SHORT 20 2700.75 2/8 15:26 2699.50 0.14%
Trade id #122436658
Max drawdown($1,500)
Time2/8/19 15:24
Quant open-20
Worst price2702.25
Drawdown as % of equity-0.14%
$1,090
Includes Typical Broker Commissions trade costs of $160.00
2/8/19 14:32 @ESH9 E-MINI S&P 500 SHORT 10 2699.50 2/8 15:00 2698.00 0.09%
Trade id #122435840
Max drawdown($1,000)
Time2/8/19 14:49
Quant open-10
Worst price2701.50
Drawdown as % of equity-0.09%
$670
Includes Typical Broker Commissions trade costs of $80.00
2/7/19 22:48 @ESH9 E-MINI S&P 500 LONG 10 2692.75 2/7 23:00 2692.75 0.01%
Trade id #122424674
Max drawdown($125)
Time2/7/19 22:50
Quant open10
Worst price2692.50
Drawdown as % of equity-0.01%
($80)
Includes Typical Broker Commissions trade costs of $80.00
2/7/19 16:54 @ESH9 E-MINI S&P 500 SHORT 10 2704.25 2/7 16:59 2702.75 0.01%
Trade id #122422761
Max drawdown($125)
Time2/7/19 16:56
Quant open-10
Worst price2704.50
Drawdown as % of equity-0.01%
$670
Includes Typical Broker Commissions trade costs of $80.00
2/7/19 15:55 @ESH9 E-MINI S&P 500 SHORT 20 2704.12 2/7 16:35 2703.00 0.13%
Trade id #122421740
Max drawdown($1,437)
Time2/7/19 16:03
Quant open-15
Worst price2705.75
Drawdown as % of equity-0.13%
$965
Includes Typical Broker Commissions trade costs of $160.00
2/7/19 12:48 @ESH9 E-MINI S&P 500 LONG 10 2688.75 2/7 13:02 2691.50 0.15%
Trade id #122418820
Max drawdown($1,625)
Time2/7/19 12:57
Quant open10
Worst price2685.50
Drawdown as % of equity-0.15%
$1,295
Includes Typical Broker Commissions trade costs of $80.00
2/7/19 11:59 @ESH9 E-MINI S&P 500 LONG 20 2687.88 2/7 12:08 2688.75 0.22%
Trade id #122417813
Max drawdown($2,375)
Time2/7/19 12:04
Quant open20
Worst price2685.50
Drawdown as % of equity-0.22%
$715
Includes Typical Broker Commissions trade costs of $160.00
2/7/19 11:53 @ESH9 E-MINI S&P 500 LONG 5 2688.50 2/7 11:53 2691.00 n/a $585
Includes Typical Broker Commissions trade costs of $40.00
2/7/19 11:31 @ESH9 E-MINI S&P 500 LONG 30 2690.83 2/7 11:38 2692.00 0.5%
Trade id #122416675
Max drawdown($5,375)
Time2/7/19 11:37
Quant open30
Worst price2687.25
Drawdown as % of equity-0.50%
$1,510
Includes Typical Broker Commissions trade costs of $240.00
2/7/19 10:41 @ESH9 E-MINI S&P 500 SHORT 5 2716.25 2/7 10:43 2713.00 n/a $773
Includes Typical Broker Commissions trade costs of $40.00
2/7/19 10:25 @ESH9 E-MINI S&P 500 SHORT 10 2715.75 2/7 10:37 2715.00 0.13%
Trade id #122414516
Max drawdown($1,375)
Time2/7/19 10:31
Quant open-10
Worst price2718.50
Drawdown as % of equity-0.13%
$295
Includes Typical Broker Commissions trade costs of $80.00
2/4/19 13:09 SPY1929O270 SPY Mar29'19 270 put LONG 50 4.98 2/7 9:41 5.61 0.34%
Trade id #122347876
Max drawdown($3,330)
Time2/5/19 11:05
Quant open50
Worst price4.31
Drawdown as % of equity-0.34%
$3,120
Includes Typical Broker Commissions trade costs of $70.00
1/30/19 9:33 SPY1915N265 SPY Feb15'19 265 put LONG 20 3.05 2/7 9:31 0.57 0.54%
Trade id #122265380
Max drawdown($5,430)
Time2/5/19 15:10
Quant open20
Worst price0.34
Drawdown as % of equity-0.54%
($5,008)
Includes Typical Broker Commissions trade costs of $28.00
2/7/19 3:53 @ESH9 E-MINI S&P 500 SHORT 10 2724.12 2/7 8:52 2713.75 0.08%
Trade id #122409674
Max drawdown($812)
Time2/7/19 4:59
Quant open-10
Worst price2725.75
Drawdown as % of equity-0.08%
$5,108
Includes Typical Broker Commissions trade costs of $80.00
2/6/19 16:04 @ESH9 E-MINI S&P 500 SHORT 1 2730.25 2/6 16:14 2730.25 0%
Trade id #122403105
Max drawdown$0
Time2/6/19 16:14
Quant open-1
Worst price2730.25
Drawdown as % of equity0.00%
($8)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    3/27/2018
  • Suggested Minimum Cap
    $860,000
  • Strategy Age (days)
    331.61
  • Age
    11 months ago
  • What it trades
    Futures
  • # Trades
    784
  • # Profitable
    714
  • % Profitable
    91.10%
  • Avg trade duration
    20.0 hours
  • Max peak-to-valley drawdown
    39.23%
  • drawdown period
    May 08, 2018 - May 14, 2018
  • Cumul. Return
    262.5%
  • Avg win
    $1,501
  • Avg loss
    $2,646
  • Model Account Values (Raw)
  • Cash
    $1,921,420
  • Margin Used
    $1,271,970
  • Buying Power
    $603,753
  • Ratios
  • W:L ratio
    5.84:1
  • Sharpe Ratio
    3.124
  • Sortino Ratio
    5.494
  • Calmar Ratio
    15.291
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.08900
  • Return Statistics
  • Ann Return (w trading costs)
    307.4%
  • Ann Return (Compnd, No Fees)
    386.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    53.50%
  • Chance of 20% account loss
    26.50%
  • Chance of 30% account loss
    7.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    884
  • Popularity (Last 6 weeks)
    959
  • C2 Score
    39.4
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $3,856
  • Avg Win
    $1,502
  • # Winners
    714
  • # Losers
    70
  • % Winners
    91.1%
  • Frequency
  • Avg Position Time (mins)
    1202.00
  • Avg Position Time (hrs)
    20.03
  • Avg Trade Length
    0.8 days
  • Last Trade Ago
    0
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.83343
  • SD
    0.43105
  • Sharpe ratio (Glass type estimate)
    4.25342
  • Sharpe ratio (Hedges UMVUE)
    3.88710
  • df
    9.00000
  • t
    3.88283
  • p
    0.00186
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.30043
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.08030
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.08811
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.68608
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.83343
  • Downside part of mean
    0.00000
  • Upside SD
    0.66884
  • Downside SD
    0.00000
  • N nonnegative terms
    10.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.02509
  • Mean of criterion
    1.83343
  • SD of predictor
    0.16515
  • SD of criterion
    0.43105
  • Covariance
    -0.00024
  • r
    -0.00339
  • b (slope, estimate of beta)
    -0.00886
  • a (intercept, estimate of alpha)
    1.83365
  • Mean Square Error
    0.20902
  • DF error
    8.00000
  • t(b)
    -0.00960
  • p(b)
    0.50371
  • t(a)
    3.65732
  • p(a)
    0.00321
  • Lowerbound of 95% confidence interval for beta
    -2.13678
  • Upperbound of 95% confidence interval for beta
    2.11907
  • Lowerbound of 95% confidence interval for alpha
    0.67750
  • Upperbound of 95% confidence interval for alpha
    2.98980
  • Treynor index (mean / b)
    -207.03100
  • Jensen alpha (a)
    1.83365
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.65050
  • SD
    0.34127
  • Sharpe ratio (Glass type estimate)
    4.83628
  • Sharpe ratio (Hedges UMVUE)
    4.41975
  • df
    9.00000
  • t
    4.41490
  • p
    0.00084
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.70007
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.84653
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.45688
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.38263
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.65050
  • Downside part of mean
    0.00000
  • Upside SD
    0.57605
  • Downside SD
    0.00000
  • N nonnegative terms
    10.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.01251
  • Mean of criterion
    1.65050
  • SD of predictor
    0.16812
  • SD of criterion
    0.34127
  • Covariance
    -0.00111
  • r
    -0.01937
  • b (slope, estimate of beta)
    -0.03932
  • a (intercept, estimate of alpha)
    1.65099
  • Mean Square Error
    0.13098
  • DF error
    8.00000
  • t(b)
    -0.05480
  • p(b)
    0.52118
  • t(a)
    4.16336
  • p(a)
    0.00158
  • Lowerbound of 95% confidence interval for beta
    -1.69400
  • Upperbound of 95% confidence interval for beta
    1.61535
  • Lowerbound of 95% confidence interval for alpha
    0.73654
  • Upperbound of 95% confidence interval for alpha
    2.56545
  • Treynor index (mean / b)
    -41.97380
  • Jensen alpha (a)
    1.65099
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02421
  • Expected Shortfall on VaR
    0.06295
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    1.05507
  • Quartile 1
    1.08634
  • Median
    1.11788
  • Quartile 3
    1.16182
  • Maximum
    1.48440
  • Mean of quarter 1
    1.06801
  • Mean of quarter 2
    1.09948
  • Mean of quarter 3
    1.14358
  • Mean of quarter 4
    1.27924
  • Inter Quartile Range
    0.07548
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    1.48440
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.54808
  • Compounded annual return (geometric extrapolation)
    4.20960
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    66.87710
  • 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
    1.73311
  • SD
    0.55292
  • Sharpe ratio (Glass type estimate)
    3.13448
  • Sharpe ratio (Hedges UMVUE)
    3.12442
  • df
    234.00000
  • t
    2.96858
  • p
    0.00165
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.04233
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.22011
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.03566
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.21319
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.49391
  • Upside Potential Ratio
    11.11030
  • Upside part of mean
    3.50485
  • Downside part of mean
    -1.77174
  • Upside SD
    0.46515
  • Downside SD
    0.31546
  • N nonnegative terms
    168.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    235.00000
  • Mean of predictor
    0.08009
  • Mean of criterion
    1.73311
  • SD of predictor
    0.16096
  • SD of criterion
    0.55292
  • Covariance
    -0.00891
  • r
    -0.10014
  • b (slope, estimate of beta)
    -0.34400
  • a (intercept, estimate of alpha)
    1.76100
  • Mean Square Error
    0.30395
  • DF error
    233.00000
  • t(b)
    -1.53631
  • p(b)
    0.93709
  • t(a)
    3.02309
  • p(a)
    0.00139
  • Lowerbound of 95% confidence interval for beta
    -0.78515
  • Upperbound of 95% confidence interval for beta
    0.09715
  • Lowerbound of 95% confidence interval for alpha
    0.61321
  • Upperbound of 95% confidence interval for alpha
    2.90811
  • Treynor index (mean / b)
    -5.03810
  • Jensen alpha (a)
    1.76066
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.57954
  • SD
    0.54320
  • Sharpe ratio (Glass type estimate)
    2.90787
  • Sharpe ratio (Hedges UMVUE)
    2.89854
  • df
    234.00000
  • t
    2.75396
  • p
    0.00318
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.81868
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.99101
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.81244
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.98463
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.80692
  • Upside Potential Ratio
    10.35860
  • Upside part of mean
    3.40382
  • Downside part of mean
    -1.82427
  • Upside SD
    0.44199
  • Downside SD
    0.32860
  • N nonnegative terms
    168.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    235.00000
  • Mean of predictor
    0.06718
  • Mean of criterion
    1.57954
  • SD of predictor
    0.16101
  • SD of criterion
    0.54320
  • Covariance
    -0.00856
  • r
    -0.09791
  • b (slope, estimate of beta)
    -0.33032
  • a (intercept, estimate of alpha)
    1.60173
  • Mean Square Error
    0.29349
  • DF error
    233.00000
  • t(b)
    -1.50171
  • p(b)
    0.93274
  • t(a)
    2.79919
  • p(a)
    0.00278
  • Lowerbound of 95% confidence interval for beta
    -0.76369
  • Upperbound of 95% confidence interval for beta
    0.10305
  • Lowerbound of 95% confidence interval for alpha
    0.47436
  • Upperbound of 95% confidence interval for alpha
    2.72910
  • Treynor index (mean / b)
    -4.78188
  • Jensen alpha (a)
    1.60173
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04798
  • Expected Shortfall on VaR
    0.06117
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00997
  • Expected Shortfall on VaR
    0.02431
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    235.00000
  • Minimum
    0.87839
  • Quartile 1
    0.99892
  • Median
    1.00522
  • Quartile 3
    1.01331
  • Maximum
    1.17924
  • Mean of quarter 1
    0.97316
  • Mean of quarter 2
    1.00202
  • Mean of quarter 3
    1.00854
  • Mean of quarter 4
    1.04277
  • Inter Quartile Range
    0.01438
  • Number outliers low
    22.00000
  • Percentage of outliers low
    0.09362
  • Mean of outliers low
    0.94448
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.10638
  • Mean of outliers high
    1.07291
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35130
  • VaR(95%) (moments method)
    0.00737
  • Expected Shortfall (moments method)
    0.01528
  • Extreme Value Index (regression method)
    -0.03788
  • VaR(95%) (regression method)
    0.02321
  • Expected Shortfall (regression method)
    0.03605
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    28.00000
  • Minimum
    0.00098
  • Quartile 1
    0.00662
  • Median
    0.02344
  • Quartile 3
    0.07875
  • Maximum
    0.25196
  • Mean of quarter 1
    0.00267
  • Mean of quarter 2
    0.01253
  • Mean of quarter 3
    0.04878
  • Mean of quarter 4
    0.13707
  • Inter Quartile Range
    0.07213
  • 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
    0.07143
  • Mean of outliers high
    0.22517
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.14946
  • VaR(95%) (moments method)
    0.14872
  • Expected Shortfall (moments method)
    0.20911
  • Extreme Value Index (regression method)
    0.45128
  • VaR(95%) (regression method)
    0.16667
  • Expected Shortfall (regression method)
    0.30434
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.48266
  • Compounded annual return (geometric extrapolation)
    3.85274
  • Calmar ratio (compounded annual return / max draw down)
    15.29080
  • Compounded annual return / average of 25% largest draw downs
    28.10830
  • Compounded annual return / Expected Shortfall lognormal
    62.98870
  • 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
    1.25914
  • SD
    0.49687
  • Sharpe ratio (Glass type estimate)
    2.53414
  • Sharpe ratio (Hedges UMVUE)
    2.51949
  • df
    130.00000
  • t
    1.79190
  • p
    0.42237
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25947
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.31827
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26919
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.30816
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.00521
  • Upside Potential Ratio
    9.38106
  • Upside part of mean
    2.94917
  • Downside part of mean
    -1.69003
  • Upside SD
    0.39015
  • Downside SD
    0.31438
  • N nonnegative terms
    93.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.04028
  • Mean of criterion
    1.25914
  • SD of predictor
    0.19090
  • SD of criterion
    0.49687
  • Covariance
    -0.00092
  • r
    -0.00969
  • b (slope, estimate of beta)
    -0.02523
  • a (intercept, estimate of alpha)
    1.25812
  • Mean Square Error
    0.24877
  • DF error
    129.00000
  • t(b)
    -0.11008
  • p(b)
    0.50617
  • t(a)
    1.78349
  • p(a)
    0.40164
  • Lowerbound of 95% confidence interval for beta
    -0.47861
  • Upperbound of 95% confidence interval for beta
    0.42816
  • Lowerbound of 95% confidence interval for alpha
    -0.13758
  • Upperbound of 95% confidence interval for alpha
    2.65383
  • Treynor index (mean / b)
    -49.91480
  • Jensen alpha (a)
    1.25812
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.13464
  • SD
    0.49528
  • Sharpe ratio (Glass type estimate)
    2.29089
  • Sharpe ratio (Hedges UMVUE)
    2.27765
  • df
    130.00000
  • t
    1.61990
  • p
    0.42967
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.49912
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.07228
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.50795
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.06324
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.45088
  • Upside Potential Ratio
    8.75046
  • Upside part of mean
    2.87712
  • Downside part of mean
    -1.74249
  • Upside SD
    0.37449
  • Downside SD
    0.32880
  • N nonnegative terms
    93.00000
  • N negative terms
    38.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05836
  • Mean of criterion
    1.13464
  • SD of predictor
    0.19088
  • SD of criterion
    0.49528
  • Covariance
    -0.00056
  • r
    -0.00594
  • b (slope, estimate of beta)
    -0.01542
  • a (intercept, estimate of alpha)
    1.13374
  • Mean Square Error
    0.24720
  • DF error
    129.00000
  • t(b)
    -0.06752
  • p(b)
    0.50378
  • t(a)
    1.61212
  • p(a)
    0.41083
  • Lowerbound of 95% confidence interval for beta
    -0.46741
  • Upperbound of 95% confidence interval for beta
    0.43656
  • Lowerbound of 95% confidence interval for alpha
    -0.25768
  • Upperbound of 95% confidence interval for alpha
    2.52515
  • Treynor index (mean / b)
    -73.56320
  • Jensen alpha (a)
    1.13374
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04496
  • Expected Shortfall on VaR
    0.05703
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00960
  • Expected Shortfall on VaR
    0.02353
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.87839
  • Quartile 1
    0.99901
  • Median
    1.00405
  • Quartile 3
    1.01121
  • Maximum
    1.13475
  • Mean of quarter 1
    0.97447
  • Mean of quarter 2
    1.00173
  • Mean of quarter 3
    1.00720
  • Mean of quarter 4
    1.03589
  • Inter Quartile Range
    0.01220
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.95086
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.06532
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.99278
  • VaR(95%) (moments method)
    0.01122
  • Expected Shortfall (moments method)
    1.78070
  • Extreme Value Index (regression method)
    0.37233
  • VaR(95%) (regression method)
    0.02457
  • Expected Shortfall (regression method)
    0.05558
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00098
  • Quartile 1
    0.00418
  • Median
    0.02726
  • Quartile 3
    0.08696
  • Maximum
    0.19838
  • Mean of quarter 1
    0.00218
  • Mean of quarter 2
    0.01153
  • Mean of quarter 3
    0.05654
  • Mean of quarter 4
    0.13318
  • Inter Quartile Range
    0.08278
  • 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)
    -0.64164
  • VaR(95%) (moments method)
    0.15445
  • Expected Shortfall (moments method)
    0.17076
  • Extreme Value Index (regression method)
    0.17595
  • VaR(95%) (regression method)
    0.18665
  • Expected Shortfall (regression method)
    0.26755
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.52706
  • Compounded annual return (geometric extrapolation)
    2.11004
  • Calmar ratio (compounded annual return / max draw down)
    10.63620
  • Compounded annual return / average of 25% largest draw downs
    15.84370
  • Compounded annual return / Expected Shortfall lognormal
    36.99860

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) SPX 3x ETF or options is 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
$860,000
# Trades
784
# Profitable
714
% Profitable
91.1%
Net Dividends
Correlation S&P500
-0.089
Sharpe Ratio
3.124

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.