Collective2 Collective2
Featured Strategy S2Prox0 Rank on Leaderboard #14 Hypothetical

Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

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

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

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

Okay, no problem

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

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

Got it

Later

You can find it here.

Got it

Video Saved for Later

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

Got it
Watchlist Watchlist
This is an archived track record. This track record was archived on 10/3/22 12:57 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
Watchlist Watchlist More...

PolyStrat
(137194188)

Created by: AlphaQuest AlphaQuest
Started: 08/2021
Futures
Last trade: 571 days ago
Trading style: Futures Short Term

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $277.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
87.0%
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.

(53.5%)
Max Drawdown
729
Num Trades
68.4%
Win Trades
1.1 : 1
Profit Factor
24.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021                                                 (1.2%)+17.8%+49.7%+17.0%+20.3%+145.1%
2022+1.1%+15.2%(2.9%)+11.7%(12.4%)(2.6%)(7.4%)(22.4%)+4.9%  -    -    -  (18.8%)
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -                                                  0.0

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 1,124 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 579 days ago.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/23/22 10:19 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 2 11366.50 9/23 10:37 11369.62 3.25%
Trade id #141906775
Max drawdown($1,630)
Time9/23/22 10:32
Quant open2
Worst price11407.20
Drawdown as % of equity-3.25%
 ($141)
Includes Typical Broker Commissions trade costs of $16.00
9/23/22 5:51 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 2 11436.12 9/23 7:44 11385.75 1.71%
Trade id #141902751
Max drawdown($825)
Time9/23/22 5:59
Quant open2
Worst price11456.80
Drawdown as % of equity-1.71%
 $1,999
Includes Typical Broker Commissions trade costs of $16.00
9/22/22 10:34 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 1 11604.00 9/22 10:38 11587.75 0.06%
Trade id #141893054
Max drawdown($30)
Time9/22/22 10:38
Quant open1
Worst price11605.50
Drawdown as % of equity-0.06%
 $317
Includes Typical Broker Commissions trade costs of $8.00
9/22/22 9:45 @NQZ2 E-MINI NASDAQ 100 STK IDX LONG 2 11591.38 9/22 10:34 11603.12 1.61%
Trade id #141891945
Max drawdown($765)
Time9/22/22 10:31
Quant open2
Worst price11572.20
Drawdown as % of equity-1.61%
 $454
Includes Typical Broker Commissions trade costs of $16.00
9/22/22 3:04 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 2 11610.62 9/22 4:03 11730.88 9.61%
Trade id #141887242
Max drawdown($5,025)
Time9/22/22 4:03
Quant open2
Worst price11736.20
Drawdown as % of equity-9.61%
 ($4,826)
Includes Typical Broker Commissions trade costs of $16.00
9/21/22 8:23 @NQZ2 E-MINI NASDAQ 100 STK IDX LONG 1 11937.75 9/21 8:24 11939.75 n/a $32
Includes Typical Broker Commissions trade costs of $8.00
9/21/22 8:13 @NQZ2 E-MINI NASDAQ 100 STK IDX LONG 1 11940.50 9/21 8:14 11940.25 0.01%
Trade id #141874374
Max drawdown($5)
Time9/21/22 8:14
Quant open1
Worst price11940.20
Drawdown as % of equity-0.01%
 ($13)
Includes Typical Broker Commissions trade costs of $8.00
9/20/22 8:42 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 2 11939.38 9/20 9:08 11936.50 0.84%
Trade id #141861609
Max drawdown($435)
Time9/20/22 9:02
Quant open2
Worst price11950.20
Drawdown as % of equity-0.84%
 $99
Includes Typical Broker Commissions trade costs of $16.00
9/20/22 6:27 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 1 11958.25 9/20 6:45 11959.00 0.48%
Trade id #141860746
Max drawdown($260)
Time9/20/22 6:35
Quant open1
Worst price11971.20
Drawdown as % of equity-0.48%
 ($23)
Includes Typical Broker Commissions trade costs of $8.00
9/20/22 6:01 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 1 11959.25 9/20 6:03 11952.50 n/a $127
Includes Typical Broker Commissions trade costs of $8.00
9/19/22 11:05 @NQZ2 E-MINI NASDAQ 100 STK IDX LONG 1 11951.50 9/19 11:06 11955.75 n/a $77
Includes Typical Broker Commissions trade costs of $8.00
9/16/22 5:19 @NQZ2 E-MINI NASDAQ 100 STK IDX LONG 1 11873.00 9/16 5:22 11872.25 0.07%
Trade id #141826141
Max drawdown($40)
Time9/16/22 5:22
Quant open1
Worst price11871.00
Drawdown as % of equity-0.07%
 ($23)
Includes Typical Broker Commissions trade costs of $8.00
9/15/22 11:48 @NQZ2 E-MINI NASDAQ 100 STK IDX LONG 2 12032.62 9/15 15:01 12009.12 2.76%
Trade id #141818176
Max drawdown($1,395)
Time9/15/22 12:12
Quant open2
Worst price11997.80
Drawdown as % of equity-2.76%
 ($956)
Includes Typical Broker Commissions trade costs of $16.00
9/15/22 9:37 @NQZ2 E-MINI NASDAQ 100 STK IDX LONG 1 12142.50 9/15 10:12 12192.75 0.61%
Trade id #141814100
Max drawdown($310)
Time9/15/22 9:40
Quant open1
Worst price12127.00
Drawdown as % of equity-0.61%
 $997
Includes Typical Broker Commissions trade costs of $8.00
9/15/22 6:56 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 2 12180.50 9/15 9:37 12142.50 2.82%
Trade id #141812405
Max drawdown($1,430)
Time9/15/22 7:30
Quant open2
Worst price12216.20
Drawdown as % of equity-2.82%
 $1,504
Includes Typical Broker Commissions trade costs of $16.00
9/15/22 6:04 @NQZ2 E-MINI NASDAQ 100 STK IDX LONG 2 12231.50 9/15 6:37 12182.85 4.07%
Trade id #141812090
Max drawdown($2,135)
Time9/15/22 6:37
Quant open2
Worst price12178.00
Drawdown as % of equity-4.07%
 ($1,962)
Includes Typical Broker Commissions trade costs of $16.00
9/15/22 5:06 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 1 12214.00 9/15 5:24 12215.20 0.33%
Trade id #141811794
Max drawdown($175)
Time9/15/22 5:10
Quant open1
Worst price12222.50
Drawdown as % of equity-0.33%
 ($32)
Includes Typical Broker Commissions trade costs of $8.00
9/14/22 11:22 @NQZ2 E-MINI NASDAQ 100 STK IDX LONG 2 12206.85 9/14 15:01 12149.62 4.63%
Trade id #141785742
Max drawdown($2,574)
Time9/14/22 13:48
Quant open2
Worst price12142.50
Drawdown as % of equity-4.63%
 ($2,305)
Includes Typical Broker Commissions trade costs of $16.00
9/14/22 5:00 @NQZ2 E-MINI NASDAQ 100 STK IDX LONG 2 12196.00 9/14 7:51 12118.00 4.86%
Trade id #141777938
Max drawdown($2,810)
Time9/14/22 7:31
Quant open2
Worst price12125.80
Drawdown as % of equity-4.86%
 ($3,136)
Includes Typical Broker Commissions trade costs of $16.00
9/14/22 3:36 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 2 12147.38 9/14 4:35 12214.62 4.58%
Trade id #141777410
Max drawdown($2,775)
Time9/14/22 4:33
Quant open2
Worst price12216.80
Drawdown as % of equity-4.58%
 ($2,706)
Includes Typical Broker Commissions trade costs of $16.00
9/13/22 11:57 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 1 12289.50 9/13 12:00 12273.00 n/a $322
Includes Typical Broker Commissions trade costs of $8.00
9/13/22 11:36 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 1 12284.75 9/13 11:46 12268.25 0.31%
Trade id #141765749
Max drawdown($185)
Time9/13/22 11:39
Quant open1
Worst price12294.00
Drawdown as % of equity-0.31%
 $322
Includes Typical Broker Commissions trade costs of $8.00
9/13/22 9:28 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 1 12455.50 9/13 9:37 12420.25 1.79%
Trade id #141762391
Max drawdown($1,060)
Time9/13/22 9:32
Quant open1
Worst price12508.50
Drawdown as % of equity-1.79%
 $697
Includes Typical Broker Commissions trade costs of $8.00
9/12/22 8:44 @NQZ2 E-MINI NASDAQ 100 STK IDX SHORT 2 12709.25 9/12 9:03 12710.75 1.06%
Trade id #141744808
Max drawdown($630)
Time9/12/22 8:57
Quant open2
Worst price12725.00
Drawdown as % of equity-1.06%
 ($76)
Includes Typical Broker Commissions trade costs of $16.00
9/12/22 3:05 @NQZ2 E-MINI NASDAQ 100 STK IDX LONG 2 12708.88 9/12 3:19 12706.00 0.85%
Trade id #141742532
Max drawdown($505)
Time9/12/22 3:19
Quant open2
Worst price12696.20
Drawdown as % of equity-0.85%
 ($131)
Includes Typical Broker Commissions trade costs of $16.00
9/9/22 4:11 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 2 12432.00 9/9 10:02 12512.50 4.73%
Trade id #141719288
Max drawdown($2,900)
Time9/9/22 9:59
Quant open2
Worst price12504.50
Drawdown as % of equity-4.73%
 ($3,236)
Includes Typical Broker Commissions trade costs of $16.00
9/8/22 11:32 @NQU2 E-MINI NASDAQ 100 STK IDX LONG 1 12355.50 9/8 11:33 12359.50 n/a $72
Includes Typical Broker Commissions trade costs of $8.00
9/8/22 10:22 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 2 12269.12 9/8 11:32 12367.75 6.75%
Trade id #141705430
Max drawdown($4,415)
Time9/8/22 11:21
Quant open2
Worst price12379.50
Drawdown as % of equity-6.75%
 ($3,961)
Includes Typical Broker Commissions trade costs of $16.00
9/8/22 9:53 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 1 12239.00 9/8 10:05 12187.25 0.99%
Trade id #141704665
Max drawdown($615)
Time9/8/22 9:56
Quant open1
Worst price12269.80
Drawdown as % of equity-0.99%
 $1,027
Includes Typical Broker Commissions trade costs of $8.00
9/8/22 5:09 @NQU2 E-MINI NASDAQ 100 STK IDX SHORT 1 12264.50 9/8 5:12 12262.25 n/a $37
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    8/31/2021
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    954.49
  • Age
    32 months ago
  • What it trades
    Futures
  • # Trades
    729
  • # Profitable
    499
  • % Profitable
    68.40%
  • Avg trade duration
    51.1 minutes
  • Max peak-to-valley drawdown
    53.53%
  • drawdown period
    May 05, 2022 - Sept 02, 2022
  • Annual Return (Compounded)
    87.0%
  • Avg win
    $789.01
  • Avg loss
    $1,549
  • Model Account Values (Raw)
  • Cash
    $62,371
  • Margin Used
    $0
  • Buying Power
    $62,371
  • Ratios
  • W:L ratio
    1.10:1
  • Sharpe Ratio
    0.65
  • Sortino Ratio
    1.1
  • Calmar Ratio
    2.495
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    118.37%
  • Correlation to SP500
    -0.04560
  • Return Percent SP500 (cumu) during strategy life
    11.92%
  • Return Statistics
  • Ann Return (w trading costs)
    87.0%
  • Slump
  • Current Slump as Pcnt Equity
    96.00%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.74%
  • 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)
    0.870%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    41.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    76.00%
  • Chance of 20% account loss
    48.50%
  • Chance of 30% account loss
    30.00%
  • Chance of 40% account loss
    19.00%
  • Chance of 60% account loss (Monte Carlo)
    1.00%
  • 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
    100.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    5.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    908
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    695
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,549
  • Avg Win
    $789
  • Sum Trade PL (losers)
    $356,344.000
  • Age
  • Num Months filled monthly returns table
    33
  • Win / Loss
  • Sum Trade PL (winners)
    $393,714.000
  • # Winners
    499
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    230
  • % Winners
    68.5%
  • Frequency
  • Avg Position Time (mins)
    51.13
  • Avg Position Time (hrs)
    0.85
  • Avg Trade Length
    0.0 days
  • Last Trade Ago
    566
  • Leverage
  • Daily leverage (average)
    9.44
  • Daily leverage (max)
    28.44
  • Regression
  • Alpha
    0.10
  • Beta
    -0.12
  • Treynor Index
    -0.82
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    4.82
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -27.397
  • 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
    0.590
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.217
  • Hold-and-Hope Ratio
    -0.036
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.24459
  • SD
    0.65491
  • Sharpe ratio (Glass type estimate)
    1.90041
  • Sharpe ratio (Hedges UMVUE)
    1.76731
  • df
    11.00000
  • t
    1.90041
  • p
    0.04195
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.24747
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.97492
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32717
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.86179
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.29184
  • Upside Potential Ratio
    10.07750
  • Upside part of mean
    1.51262
  • Downside part of mean
    -0.26803
  • Upside SD
    0.70691
  • Downside SD
    0.15010
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    -0.15273
  • Mean of criterion
    1.24459
  • SD of predictor
    0.18953
  • SD of criterion
    0.65491
  • Covariance
    0.02509
  • r
    0.20211
  • b (slope, estimate of beta)
    0.69838
  • a (intercept, estimate of alpha)
    1.35126
  • Mean Square Error
    0.45252
  • DF error
    10.00000
  • t(b)
    0.65260
  • p(b)
    0.26437
  • t(a)
    1.95193
  • p(a)
    0.03975
  • Lowerbound of 95% confidence interval for beta
    -1.68606
  • Upperbound of 95% confidence interval for beta
    3.08282
  • Lowerbound of 95% confidence interval for alpha
    -0.19121
  • Upperbound of 95% confidence interval for alpha
    2.89373
  • Treynor index (mean / b)
    1.78212
  • Jensen alpha (a)
    1.35126
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.03404
  • SD
    0.55645
  • Sharpe ratio (Glass type estimate)
    1.85827
  • Sharpe ratio (Hedges UMVUE)
    1.72812
  • df
    11.00000
  • t
    1.85827
  • p
    0.04504
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.28258
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.92696
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36064
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.81688
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.54466
  • Upside Potential Ratio
    8.31336
  • Upside part of mean
    1.31349
  • Downside part of mean
    -0.27945
  • Upside SD
    0.58990
  • Downside SD
    0.15800
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    -0.16983
  • Mean of criterion
    1.03404
  • SD of predictor
    0.18868
  • SD of criterion
    0.55645
  • Covariance
    0.01633
  • r
    0.15554
  • b (slope, estimate of beta)
    0.45872
  • a (intercept, estimate of alpha)
    1.11195
  • Mean Square Error
    0.33236
  • DF error
    10.00000
  • t(b)
    0.49792
  • p(b)
    0.31465
  • t(a)
    1.86142
  • p(a)
    0.04615
  • Lowerbound of 95% confidence interval for beta
    -1.59400
  • Upperbound of 95% confidence interval for beta
    2.51144
  • Lowerbound of 95% confidence interval for alpha
    -0.21906
  • Upperbound of 95% confidence interval for alpha
    2.44296
  • Treynor index (mean / b)
    2.25418
  • Jensen alpha (a)
    1.11195
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16310
  • Expected Shortfall on VaR
    0.21607
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03965
  • Expected Shortfall on VaR
    0.08057
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.87740
  • Quartile 1
    0.95967
  • Median
    1.06200
  • Quartile 3
    1.19026
  • Maximum
    1.56541
  • Mean of quarter 1
    0.92621
  • Mean of quarter 2
    1.01129
  • Mean of quarter 3
    1.13935
  • Mean of quarter 4
    1.34732
  • Inter Quartile Range
    0.23059
  • 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
    0.08333
  • Mean of outliers high
    1.56541
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.44708
  • VaR(95%) (moments method)
    0.08528
  • Expected Shortfall (moments method)
    0.15525
  • Extreme Value Index (regression method)
    7.16145
  • VaR(95%) (regression method)
    0.27243
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03736
  • Quartile 1
    0.04331
  • Median
    0.04925
  • Quartile 3
    0.10765
  • Maximum
    0.16604
  • Mean of quarter 1
    0.03736
  • Mean of quarter 2
    0.04925
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.16604
  • Inter Quartile Range
    0.06434
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.89200
  • Compounded annual return (geometric extrapolation)
    1.89200
  • Calmar ratio (compounded annual return / max draw down)
    11.39490
  • Compounded annual return / average of 25% largest draw downs
    11.39490
  • Compounded annual return / Expected Shortfall lognormal
    8.75624
  • 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
    1.02407
  • SD
    0.63528
  • Sharpe ratio (Glass type estimate)
    1.61199
  • Sharpe ratio (Hedges UMVUE)
    1.60766
  • df
    279.00000
  • t
    1.66645
  • p
    0.04837
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.29005
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.51121
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.29295
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.50826
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.84108
  • Upside Potential Ratio
    10.30270
  • Upside part of mean
    3.71365
  • Downside part of mean
    -2.68957
  • Upside SD
    0.52557
  • Downside SD
    0.36045
  • N nonnegative terms
    148.00000
  • N negative terms
    132.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    280.00000
  • Mean of predictor
    -0.20511
  • Mean of criterion
    1.02407
  • SD of predictor
    0.21453
  • SD of criterion
    0.63528
  • Covariance
    -0.01063
  • r
    -0.07799
  • b (slope, estimate of beta)
    -0.23095
  • a (intercept, estimate of alpha)
    0.88200
  • Mean Square Error
    0.40257
  • DF error
    278.00000
  • t(b)
    -1.30431
  • p(b)
    0.90340
  • t(a)
    1.58858
  • p(a)
    0.05665
  • Lowerbound of 95% confidence interval for beta
    -0.57950
  • Upperbound of 95% confidence interval for beta
    0.11761
  • Lowerbound of 95% confidence interval for alpha
    -0.23361
  • Upperbound of 95% confidence interval for alpha
    2.18701
  • Treynor index (mean / b)
    -4.43425
  • Jensen alpha (a)
    0.97670
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.82755
  • SD
    0.62112
  • Sharpe ratio (Glass type estimate)
    1.33235
  • Sharpe ratio (Hedges UMVUE)
    1.32877
  • df
    279.00000
  • t
    1.37736
  • p
    0.08475
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.56797
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23030
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.57035
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22789
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.21516
  • Upside Potential Ratio
    9.59614
  • Upside part of mean
    3.58496
  • Downside part of mean
    -2.75741
  • Upside SD
    0.49745
  • Downside SD
    0.37358
  • N nonnegative terms
    148.00000
  • N negative terms
    132.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    280.00000
  • Mean of predictor
    -0.22821
  • Mean of criterion
    0.82755
  • SD of predictor
    0.21522
  • SD of criterion
    0.62112
  • Covariance
    -0.01015
  • r
    -0.07590
  • b (slope, estimate of beta)
    -0.21905
  • a (intercept, estimate of alpha)
    0.77756
  • Mean Square Error
    0.38494
  • DF error
    278.00000
  • t(b)
    -1.26916
  • p(b)
    0.89728
  • t(a)
    1.29280
  • p(a)
    0.09858
  • Lowerbound of 95% confidence interval for beta
    -0.55880
  • Upperbound of 95% confidence interval for beta
    0.12071
  • Lowerbound of 95% confidence interval for alpha
    -0.40643
  • Upperbound of 95% confidence interval for alpha
    1.96154
  • Treynor index (mean / b)
    -3.77793
  • Jensen alpha (a)
    0.77756
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05820
  • Expected Shortfall on VaR
    0.07308
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02265
  • Expected Shortfall on VaR
    0.04594
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    280.00000
  • Minimum
    0.88161
  • Quartile 1
    0.98788
  • Median
    1.00078
  • Quartile 3
    1.01387
  • Maximum
    1.22273
  • Mean of quarter 1
    0.96267
  • Mean of quarter 2
    0.99652
  • Mean of quarter 3
    1.00595
  • Mean of quarter 4
    1.05093
  • Inter Quartile Range
    0.02599
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.05000
  • Mean of outliers low
    0.92450
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.08929
  • Mean of outliers high
    1.09085
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.08283
  • VaR(95%) (moments method)
    0.03124
  • Expected Shortfall (moments method)
    0.04159
  • Extreme Value Index (regression method)
    -0.11596
  • VaR(95%) (regression method)
    0.03985
  • Expected Shortfall (regression method)
    0.05392
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00017
  • Quartile 1
    0.01815
  • Median
    0.06957
  • Quartile 3
    0.15016
  • Maximum
    0.42750
  • Mean of quarter 1
    0.00337
  • Mean of quarter 2
    0.05171
  • Mean of quarter 3
    0.13012
  • Mean of quarter 4
    0.25109
  • Inter Quartile Range
    0.13202
  • 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
    0.06667
  • Mean of outliers high
    0.42750
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.11298
  • VaR(95%) (moments method)
    0.27495
  • Expected Shortfall (moments method)
    0.34451
  • Extreme Value Index (regression method)
    0.70473
  • VaR(95%) (regression method)
    0.33908
  • Expected Shortfall (regression method)
    0.97352
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.39874
  • Compounded annual return (geometric extrapolation)
    1.35244
  • Calmar ratio (compounded annual return / max draw down)
    3.16361
  • Compounded annual return / average of 25% largest draw downs
    5.38634
  • Compounded annual return / Expected Shortfall lognormal
    18.50530
  • 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
    -0.26905
  • SD
    0.55939
  • Sharpe ratio (Glass type estimate)
    -0.48097
  • Sharpe ratio (Hedges UMVUE)
    -0.47819
  • df
    130.00000
  • t
    -0.34010
  • p
    0.51491
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.25255
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.29230
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.25061
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29423
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.78281
  • Upside Potential Ratio
    8.04009
  • Upside part of mean
    2.76334
  • Downside part of mean
    -3.03239
  • Upside SD
    0.43895
  • Downside SD
    0.34369
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.47154
  • Mean of criterion
    -0.26905
  • SD of predictor
    0.25192
  • SD of criterion
    0.55939
  • Covariance
    -0.02428
  • r
    -0.17228
  • b (slope, estimate of beta)
    -0.38256
  • a (intercept, estimate of alpha)
    -0.44944
  • Mean Square Error
    0.30598
  • DF error
    129.00000
  • t(b)
    -1.98649
  • p(b)
    0.60913
  • t(a)
    -0.57069
  • p(a)
    0.53193
  • Lowerbound of 95% confidence interval for beta
    -0.76359
  • Upperbound of 95% confidence interval for beta
    -0.00153
  • Lowerbound of 95% confidence interval for alpha
    -2.00759
  • Upperbound of 95% confidence interval for alpha
    1.10871
  • Treynor index (mean / b)
    0.70328
  • Jensen alpha (a)
    -0.44944
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.41981
  • SD
    0.54688
  • Sharpe ratio (Glass type estimate)
    -0.76764
  • Sharpe ratio (Hedges UMVUE)
    -0.76321
  • df
    130.00000
  • t
    -0.54281
  • p
    0.52378
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.53957
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.00718
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.53656
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01015
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.19107
  • Upside Potential Ratio
    7.58466
  • Upside part of mean
    2.67333
  • Downside part of mean
    -3.09314
  • Upside SD
    0.41622
  • Downside SD
    0.35246
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.50362
  • Mean of criterion
    -0.41981
  • SD of predictor
    0.25304
  • SD of criterion
    0.54688
  • Covariance
    -0.02365
  • r
    -0.17087
  • b (slope, estimate of beta)
    -0.36930
  • a (intercept, estimate of alpha)
    -0.60580
  • Mean Square Error
    0.29260
  • DF error
    129.00000
  • t(b)
    -1.96972
  • p(b)
    0.60825
  • t(a)
    -0.78595
  • p(a)
    0.54391
  • VAR (95 Confidence Intrvl)
    0.05400
  • Lowerbound of 95% confidence interval for beta
    -0.74026
  • Upperbound of 95% confidence interval for beta
    0.00165
  • Lowerbound of 95% confidence interval for alpha
    -2.13083
  • Upperbound of 95% confidence interval for alpha
    0.91922
  • Treynor index (mean / b)
    1.13676
  • Jensen alpha (a)
    -0.60580
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05557
  • Expected Shortfall on VaR
    0.06874
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02823
  • Expected Shortfall on VaR
    0.05125
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91805
  • Quartile 1
    0.97985
  • Median
    1.00000
  • Quartile 3
    1.00996
  • Maximum
    1.15808
  • Mean of quarter 1
    0.96209
  • Mean of quarter 2
    0.99220
  • Mean of quarter 3
    1.00399
  • Mean of quarter 4
    1.03820
  • Inter Quartile Range
    0.03011
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.92233
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.10895
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.00077
  • VaR(95%) (moments method)
    0.03842
  • Expected Shortfall (moments method)
    0.04984
  • Extreme Value Index (regression method)
    -0.03493
  • VaR(95%) (regression method)
    0.03989
  • Expected Shortfall (regression method)
    0.05133
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00214
  • Quartile 1
    0.02570
  • Median
    0.03308
  • Quartile 3
    0.12516
  • Maximum
    0.42750
  • Mean of quarter 1
    0.01392
  • Mean of quarter 2
    0.03308
  • Mean of quarter 3
    0.12516
  • Mean of quarter 4
    0.42750
  • Inter Quartile Range
    0.09945
  • 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
    0.20000
  • Mean of outliers high
    0.42750
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -338805000
  • Max Equity Drawdown (num days)
    120
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.35590
  • Compounded annual return (geometric extrapolation)
    -0.32423
  • Calmar ratio (compounded annual return / max draw down)
    -0.75844
  • Compounded annual return / average of 25% largest draw downs
    -0.75844
  • Compounded annual return / Expected Shortfall lognormal
    -4.71683

Strategy Description

This is an autotrade strategy running from NinjaTrader. Started Sept. 1, 2021 (no trades in August). I set it up to trade 2 NQ contracts. I suggest a minimum account size of $50,000. You may follow it with 2 MNQ if you wish using a minimum account size of $5,000.
Positions will be created with either 1 or 2 contracts. Sometimes the position is reversed. Trades begin as early as 2:50 AM UTC-5 ( New York ). Some trades are very short scalp style. Others last a few minutes and many last a good part of the day. All positions are closed by 3 PM UTC-5.

There are two possible configurations for stops losses.
Presently I'm using an algorithm that finds the latest completed price action swing and places the stop near there as long as it's at least 1/3 of 1 percent of the contract price away from the entry price.

An optional configuration that's not presently enabled works as follows:
1. A hard stop loss at 1/3 of 1 percent of the contract price. As an example, if the contract price is 15,000 then the stop loss is 52 points ( 15000 x 0.0035 )
Positions are created with 2 possible entries. The stop loss will have a separate stop for each of the entries.
2. A soft stop triggered at 1/4 of 1 percent of the contract price. When the soft stop is hit an aggressive trailing target is submitted in an attempt to exit the position at a better price than the hard stop.

Again this 2nd algorithm for the stop loss orders is not presently in play but I may switch to it in the future.

As I continue to discover improvements I'll make announcements about the changes.

The name, Newton’s Pebbles, has a 3 fold meaning. A tribute to Sir Isaac Newton, renaissance scientist mathematician and co-founder of calculus. The name “calculus” is from a Latin word that literally means “small pebble”. Calculus was perhaps named “small pebble” because of the small pebbles used to construct the calculators of the day, the abacus. Finally, Newton is given credit for a quote involving small pebbles, although there is some controversy surrounding that. Google for Newton’s Pebbles and you’ll see.

Summary Statistics

Strategy began
2021-08-31
Suggested Minimum Capital
$50,000
# Trades
729
# Profitable
499
% Profitable
68.4%
Correlation S&P500
-0.046
Sharpe Ratio
0.65
Sortino Ratio
1.10
Beta
-0.12
Alpha
0.10
Leverage
9.44 Average
28.44 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

Okay, gotcha.

Not available

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

Want to see available plans and features?

Please hold...

Strategy is now visible

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

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

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

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

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

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

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

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

You can restore public visibility at any time.

Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.