Collective2 Collective2
Featured Strategy Income Trades +19.3% Cumul. Return since Feb 16, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 07/18/2023
Most recent certification approved 7/18/23 8:24 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 1,329
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 1,300
Percent signals followed since 07/18/2023 97.8%
This information was last updated 11/21/24 16:20 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 07/18/2023, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

RC 104 Futures EMinis
(143131303)

Powered by BrokerTransmit.
Read important disclosures.

Created by: KishoreRamaraju3 KishoreRamaraju3
Started: 01/2023
Futures
Last trade: 342 days ago

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 $20.00 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.

-
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.

(100.0%)
Max Drawdown
1324
Num Trades
71.8%
Win Trades
0.5 : 1
Profit Factor
13.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023(14.8%)(0.3%)(55.5%)(23.3%)+19.6%(3.3%)(7.5%)+132.0%(12.5%)+127.5%(417.8%)(11.2%)(606.6%)
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 2,812 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/10/23 16:07 @NQZ3 E-MINI NASDAQ 100 STK IDX SHORT 3 15683.85 12/15 8:16 16241.66 15.48%
Trade id #146405953
Max drawdown($39,626)
Time12/14/23 0:00
Quant open2
Worst price16674.50
Drawdown as % of equity15.48%
 ($33,493)
Includes Typical Broker Commissions trade costs of $24.00
11/10/23 12:00 QQQ2310W374 QQQ Nov10'23 374 put LONG 20 0.49 11/11 9:35 0.00 0.44%
Trade id #146400450
Max drawdown($960)
Time11/10/23 15:10
Quant open20
Worst price0.01
Drawdown as % of equity0.44%
 ($994)
Includes Typical Broker Commissions trade costs of $14.00
11/10/23 15:56 QQQ2310K378 QQQ Nov10'23 378 call LONG 20 0.33 11/10 16:06 0.50 0.01%
Trade id #146405650
Max drawdown($20)
Time11/10/23 15:59
Quant open20
Worst price0.32
Drawdown as % of equity0.01%
 $312
Includes Typical Broker Commissions trade costs of $28.00
11/2/23 9:07 @NQZ3 E-MINI NASDAQ 100 STK IDX SHORT 1 14935.31 11/9 20:04 15234.38 4.65%
Trade id #146313462
Max drawdown($10,368)
Time11/9/23 11:52
Quant open1
Worst price15453.80
Drawdown as % of equity4.65%
 ($5,989)
Includes Typical Broker Commissions trade costs of $8.00
11/9/23 11:31 QQQ2309W374 QQQ Nov9'23 374 put LONG 50 0.89 11/9 11:50 0.64 0.79%
Trade id #146386882
Max drawdown($1,750)
Time11/9/23 11:50
Quant open50
Worst price0.54
Drawdown as % of equity0.79%
 ($1,320)
Includes Typical Broker Commissions trade costs of $70.00
11/1/23 8:05 SPY SPDR S&P 500 SHORT 2,500 419.00 11/9 11:31 437.54 22.93%
Trade id #146298047
Max drawdown($48,675)
Time11/9/23 9:30
Quant open2,500
Worst price438.47
Drawdown as % of equity22.93%
 ($46,355)
Includes Typical Broker Commissions trade costs of $5.00
11/1/23 8:05 QQQ POWERSHARES QQQ SHORT 10,000 348.00 11/9 11:31 373.74 124.34%
Trade id #146298042
Max drawdown($263,200)
Time11/9/23 10:00
Quant open10,000
Worst price374.32
Drawdown as % of equity124.34%
 ($257,405)
Includes Typical Broker Commissions trade costs of $5.00
11/2/23 8:50 @NQZ3 E-MINI NASDAQ 100 STK IDX LONG 1 14948.11 11/2 9:02 14944.46 3.17%
Trade id #146313376
Max drawdown($192)
Time11/2/23 9:00
Quant open1
Worst price14938.50
Drawdown as % of equity3.17%
 ($81)
Includes Typical Broker Commissions trade costs of $8.00
11/2/23 8:36 @NQZ3 E-MINI NASDAQ 100 STK IDX SHORT 1 14929.65 11/2 8:48 14941.98 5.89%
Trade id #146313304
Max drawdown($357)
Time11/2/23 8:48
Quant open1
Worst price14947.50
Drawdown as % of equity5.89%
 ($255)
Includes Typical Broker Commissions trade costs of $8.00
11/2/23 8:33 @NQZ3 E-MINI NASDAQ 100 STK IDX SHORT 1 14915.96 11/2 8:36 14929.64 5.29%
Trade id #146313274
Max drawdown($320)
Time11/2/23 8:36
Quant open1
Worst price14932.00
Drawdown as % of equity5.29%
 ($282)
Includes Typical Broker Commissions trade costs of $8.00
10/31/23 15:04 @NQZ3 E-MINI NASDAQ 100 STK IDX LONG 1 14502.04 11/1 8:43 14493.69 2.52%
Trade id #146293067
Max drawdown($1,825)
Time11/1/23 7:51
Quant open1
Worst price14410.80
Drawdown as % of equity-2.52%
 ($175)
Includes Typical Broker Commissions trade costs of $8.00
10/31/23 14:30 @ESZ3 E-MINI S&P 500 SHORT 3 4201.25 11/1 8:43 4212.70 3.1%
Trade id #146292618
Max drawdown($2,250)
Time11/1/23 8:39
Quant open3
Worst price4216.25
Drawdown as % of equity-3.10%
 ($1,742)
Includes Typical Broker Commissions trade costs of $24.00
10/31/23 12:09 QQQ2331V348 QQQ Oct31'23 348 put LONG 50 0.60 11/1 8:05 0.00 4.39%
Trade id #146290514
Max drawdown($2,945)
Time10/31/23 15:01
Quant open50
Worst price0.01
Drawdown as % of equity-4.39%
 ($3,030)
Includes Typical Broker Commissions trade costs of $35.00
10/31/23 15:22 SPY2331V419 SPY Oct31'23 419 put LONG 25 0.91 11/1 8:05 0.00 1.37%
Trade id #146293522
Max drawdown($925)
Time10/31/23 15:56
Quant open25
Worst price0.54
Drawdown as % of equity-1.37%
 ($2,293)
Includes Typical Broker Commissions trade costs of $17.50
10/31/23 14:28 QQQ2331J348 QQQ Oct31'23 348 call SHORT 100 2.02 11/1 8:05 0.00 18.02%
Trade id #146292601
Max drawdown($12,100)
Time10/31/23 15:02
Quant open100
Worst price3.23
Drawdown as % of equity-18.02%
 $20,130
Includes Typical Broker Commissions trade costs of $70.00
10/31/23 14:56 SPY2331V418 SPY Oct31'23 418 put SHORT 50 0.43 10/31 15:05 0.28 n/a $680
Includes Typical Broker Commissions trade costs of $70.00
10/31/23 14:51 QQQ2331V351 QQQ Oct31'23 351 put SHORT 100 0.66 10/31 15:03 0.34 1.32%
Trade id #146292846
Max drawdown($900)
Time10/31/23 14:54
Quant open100
Worst price0.75
Drawdown as % of equity-1.32%
 $3,060
Includes Typical Broker Commissions trade costs of $140.00
10/31/23 15:00 @NQZ3 E-MINI NASDAQ 100 STK IDX LONG 2 14491.04 10/31 15:02 14499.61 n/a $327
Includes Typical Broker Commissions trade costs of $16.00
10/31/23 14:52 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 10 14475.00 10/31 15:02 14499.65 0.07%
Trade id #146292859
Max drawdown($44)
Time10/31/23 14:55
Quant open10
Worst price14472.80
Drawdown as % of equity-0.07%
 $484
Includes Typical Broker Commissions trade costs of $9.40
10/31/23 14:49 @NQZ3 E-MINI NASDAQ 100 STK IDX SHORT 3 14484.14 10/31 14:51 14473.90 n/a $591
Includes Typical Broker Commissions trade costs of $24.00
10/31/23 14:47 @NQZ3 E-MINI NASDAQ 100 STK IDX LONG 1 14471.74 10/31 14:48 14476.15 n/a $80
Includes Typical Broker Commissions trade costs of $8.00
10/31/23 14:10 @NQZ3 E-MINI NASDAQ 100 STK IDX SHORT 2 14468.66 10/31 14:27 14447.72 0.43%
Trade id #146292422
Max drawdown($293)
Time10/31/23 14:13
Quant open2
Worst price14476.00
Drawdown as % of equity-0.43%
 $822
Includes Typical Broker Commissions trade costs of $16.00
10/31/23 14:10 QQQ2331V351 QQQ Oct31'23 351 put LONG 100 0.89 10/31 14:27 1.26 1.32%
Trade id #146292416
Max drawdown($900)
Time10/31/23 14:16
Quant open100
Worst price0.80
Drawdown as % of equity-1.32%
 $3,560
Includes Typical Broker Commissions trade costs of $140.00
10/31/23 13:58 @NQZ3 E-MINI NASDAQ 100 STK IDX LONG 3 14481.64 10/31 14:10 14469.81 1.2%
Trade id #146292293
Max drawdown($818)
Time10/31/23 14:10
Quant open3
Worst price14468.00
Drawdown as % of equity-1.20%
 ($733)
Includes Typical Broker Commissions trade costs of $24.00
10/31/23 13:50 QQQ2331V351 QQQ Oct31'23 351 put SHORT 100 1.15 10/31 13:52 1.02 n/a $1,160
Includes Typical Broker Commissions trade costs of $140.00
10/31/23 13:48 @NQZ3 E-MINI NASDAQ 100 STK IDX LONG 3 14459.27 10/31 13:51 14464.03 0.11%
Trade id #146292124
Max drawdown($76)
Time10/31/23 13:51
Quant open3
Worst price14458.00
Drawdown as % of equity-0.11%
 $262
Includes Typical Broker Commissions trade costs of $24.00
10/31/23 12:50 QQQ2331J348 QQQ Oct31'23 348 call LONG 100 1.87 10/31 12:52 1.88 n/a ($60)
Includes Typical Broker Commissions trade costs of $140.00
10/30/23 18:44 @NQZ3 E-MINI NASDAQ 100 STK IDX LONG 2 14413.72 10/31 12:12 14404.71 5.91%
Trade id #146283162
Max drawdown($4,098)
Time10/31/23 9:53
Quant open2
Worst price14311.20
Drawdown as % of equity-5.91%
 ($376)
Includes Typical Broker Commissions trade costs of $16.00
10/30/23 12:55 @MNQZ3 MICRO E-MINI NASDAQ 100 SHORT 15 14324.28 10/31 12:09 14404.21 6.35%
Trade id #146279080
Max drawdown($4,431)
Time10/30/23 15:24
Quant open15
Worst price14472.00
Drawdown as % of equity-6.35%
 ($2,412)
Includes Typical Broker Commissions trade costs of $14.10
10/30/23 12:53 @MESZ3 MICRO E-MINI S&P 500 SHORT 15 4161.02 10/31 12:09 4192.27 4.2%
Trade id #146279066
Max drawdown($2,885)
Time10/31/23 8:20
Quant open15
Worst price4199.50
Drawdown as % of equity-4.20%
 ($2,357)
Includes Typical Broker Commissions trade costs of $14.10
Next

Statistics

  • Strategy began
    1/6/2023
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    684.39
  • Age
    23 months ago
  • What it trades
    Futures
  • # Trades
    1324
  • # Profitable
    951
  • % Profitable
    71.80%
  • Avg trade duration
    8.4 hours
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    May 05, 2023 - Dec 14, 2023
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $256.62
  • Avg loss
    $1,427
  • Model Account Values (Raw)
  • Cash
    ($238,610)
  • Margin Used
    $0
  • Buying Power
    ($238,610)
  • Ratios
  • W:L ratio
    0.46:1
  • Sharpe Ratio
    -0.59
  • Sortino Ratio
    -0.64
  • Calmar Ratio
    -0.997
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -658.47%
  • Correlation to SP500
    -0.22390
  • Return Percent SP500 (cumu) during strategy life
    52.72%
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    0.93%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.57%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    n/a
  • Instruments
  • Percent Trades Options
    0.06%
  • Percent Trades Stocks
    0.00%
  • Percent Trades Forex
    0.01%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    100.00%
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    812
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    814
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $1,428
  • Avg Win
    $257
  • Sum Trade PL (losers)
    $532,625.000
  • Age
  • Num Months filled monthly returns table
    11
  • Win / Loss
  • Sum Trade PL (winners)
    $244,042.000
  • # Winners
    951
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    373
  • % Winners
    71.8%
  • Frequency
  • Avg Position Time (mins)
    506.45
  • Avg Position Time (hrs)
    8.44
  • Avg Trade Length
    0.4 days
  • Last Trade Ago
    342
  • Leverage
  • Daily leverage (average)
    19.75
  • Daily leverage (max)
    358.87
  • Regression
  • Alpha
    0.00
  • Beta
    -2.85
  • Treynor Index
    0.00
  • 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)
    3.68
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    -3.259
  • 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
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    1.827
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.414
  • Hold-and-Hope Ratio
    -0.307
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.60575
  • SD
    1.00290
  • Sharpe ratio (Glass type estimate)
    -0.60399
  • Sharpe ratio (Hedges UMVUE)
    -0.58212
  • df
    21.00000
  • t
    -0.81781
  • p
    0.61127
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.05587
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.86191
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.04031
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.87608
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.68178
  • Upside Potential Ratio
    0.68656
  • Upside part of mean
    0.61000
  • Downside part of mean
    -1.21574
  • Upside SD
    0.44865
  • Downside SD
    0.88848
  • N nonnegative terms
    5.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.20336
  • Mean of criterion
    -0.60575
  • SD of predictor
    0.10694
  • SD of criterion
    1.00290
  • Covariance
    0.00201
  • r
    0.01870
  • b (slope, estimate of beta)
    0.17536
  • a (intercept, estimate of alpha)
    -0.64141
  • Mean Square Error
    1.05574
  • DF error
    20.00000
  • t(b)
    0.08364
  • p(b)
    0.49065
  • t(a)
    -0.73688
  • p(a)
    0.58129
  • Lowerbound of 95% confidence interval for beta
    -4.19838
  • Upperbound of 95% confidence interval for beta
    4.54911
  • Lowerbound of 95% confidence interval for alpha
    -2.45712
  • Upperbound of 95% confidence interval for alpha
    1.17430
  • Treynor index (mean / b)
    -3.45425
  • Jensen alpha (a)
    -0.64141
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -5.92960
  • SD
    7.62864
  • Sharpe ratio (Glass type estimate)
    -0.77728
  • Sharpe ratio (Hedges UMVUE)
    -0.74913
  • df
    21.00000
  • t
    -1.05244
  • p
    0.64130
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.23458
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.69793
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.21428
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71602
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.77634
  • Upside Potential Ratio
    0.06922
  • Upside part of mean
    0.52868
  • Downside part of mean
    -6.45828
  • Upside SD
    0.37805
  • Downside SD
    7.63793
  • N nonnegative terms
    5.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    22.00000
  • Mean of predictor
    0.19586
  • Mean of criterion
    -5.92960
  • SD of predictor
    0.10606
  • SD of criterion
    7.62864
  • Covariance
    0.13744
  • r
    0.16986
  • b (slope, estimate of beta)
    12.21740
  • a (intercept, estimate of alpha)
    -8.32256
  • Mean Square Error
    59.34290
  • DF error
    20.00000
  • t(b)
    0.77085
  • p(b)
    0.41507
  • t(a)
    -1.28411
  • p(a)
    0.63799
  • Lowerbound of 95% confidence interval for beta
    -20.84350
  • Upperbound of 95% confidence interval for beta
    45.27840
  • Lowerbound of 95% confidence interval for alpha
    -21.84200
  • Upperbound of 95% confidence interval for alpha
    5.19691
  • Treynor index (mean / b)
    -0.48534
  • Jensen alpha (a)
    -8.32256
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.98370
  • Expected Shortfall on VaR
    0.99176
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.30223
  • Expected Shortfall on VaR
    0.61145
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    22.00000
  • Minimum
    0.00003
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.48289
  • Mean of quarter 1
    0.63512
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.18833
  • Inter Quartile Range
    0.00000
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.22727
  • Mean of outliers low
    0.56214
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.22727
  • Mean of outliers high
    1.22599
  • 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)
    -0.15458
  • VaR(95%) (regression method)
    0.66717
  • Expected Shortfall (regression method)
    0.97418
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99998
  • Quartile 1
    0.99998
  • Median
    0.99998
  • Quartile 3
    0.99998
  • Maximum
    0.99998
  • 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)
    -0.54544
  • Compounded annual return (geometric extrapolation)
    -0.99726
  • Calmar ratio (compounded annual return / max draw down)
    -0.99728
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.00555
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.17934
  • SD
    1.13454
  • Sharpe ratio (Glass type estimate)
    -0.15807
  • Sharpe ratio (Hedges UMVUE)
    -0.15783
  • df
    483.00000
  • t
    -0.21485
  • p
    0.58501
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.60008
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.28406
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.59990
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.28424
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.19726
  • Upside Potential Ratio
    3.37359
  • Upside part of mean
    3.06712
  • Downside part of mean
    -3.24646
  • Upside SD
    0.67682
  • Downside SD
    0.90916
  • N nonnegative terms
    114.00000
  • N negative terms
    370.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    484.00000
  • Mean of predictor
    0.20673
  • Mean of criterion
    -0.17934
  • SD of predictor
    0.12814
  • SD of criterion
    1.13454
  • Covariance
    -0.02844
  • r
    -0.19564
  • b (slope, estimate of beta)
    -1.73220
  • a (intercept, estimate of alpha)
    0.17900
  • Mean Square Error
    1.24048
  • DF error
    482.00000
  • t(b)
    -4.37984
  • p(b)
    0.99999
  • t(a)
    0.21706
  • p(a)
    0.41413
  • Lowerbound of 95% confidence interval for beta
    -2.50931
  • Upperbound of 95% confidence interval for beta
    -0.95510
  • Lowerbound of 95% confidence interval for alpha
    -1.43938
  • Upperbound of 95% confidence interval for alpha
    1.79689
  • Treynor index (mean / b)
    0.10353
  • Jensen alpha (a)
    0.17875
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -5.88489
  • SD
    8.05560
  • Sharpe ratio (Glass type estimate)
    -0.73053
  • Sharpe ratio (Hedges UMVUE)
    -0.72940
  • df
    483.00000
  • t
    -0.99292
  • p
    0.83938
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.17298
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.71256
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.17217
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71337
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.73249
  • Upside Potential Ratio
    0.35825
  • Upside part of mean
    2.87823
  • Downside part of mean
    -8.76312
  • Upside SD
    0.58685
  • Downside SD
    8.03408
  • N nonnegative terms
    114.00000
  • N negative terms
    370.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    484.00000
  • Mean of predictor
    0.19844
  • Mean of criterion
    -5.88489
  • SD of predictor
    0.12813
  • SD of criterion
    8.05560
  • Covariance
    -0.12429
  • r
    -0.12041
  • b (slope, estimate of beta)
    -7.57009
  • a (intercept, estimate of alpha)
    -4.38270
  • Mean Square Error
    64.08450
  • DF error
    482.00000
  • t(b)
    -2.66296
  • p(b)
    0.99600
  • t(a)
    -0.74072
  • p(a)
    0.77039
  • Lowerbound of 95% confidence interval for beta
    -13.15580
  • Upperbound of 95% confidence interval for beta
    -1.98440
  • Lowerbound of 95% confidence interval for alpha
    -16.00860
  • Upperbound of 95% confidence interval for alpha
    7.24322
  • Treynor index (mean / b)
    0.77739
  • Jensen alpha (a)
    -4.38270
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.56875
  • Expected Shortfall on VaR
    0.64419
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03633
  • Expected Shortfall on VaR
    0.08152
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    484.00000
  • Minimum
    0.00002
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.62916
  • Mean of quarter 1
    0.95076
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.04693
  • Inter Quartile Range
    0.00000
  • Number outliers low
    99.00000
  • Percentage of outliers low
    0.20455
  • Mean of outliers low
    0.93982
  • Number of outliers high
    114.00000
  • Percentage of outliers high
    0.23554
  • Mean of outliers high
    1.04981
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.05426
  • VaR(95%) (moments method)
    0.00550
  • Expected Shortfall (moments method)
    0.00913
  • Extreme Value Index (regression method)
    0.33872
  • VaR(95%) (regression method)
    0.04486
  • Expected Shortfall (regression method)
    0.10460
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00849
  • Quartile 1
    0.24832
  • Median
    0.50975
  • Quartile 3
    0.76842
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00849
  • Mean of quarter 2
    0.32827
  • Mean of quarter 3
    0.69123
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.52010
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.54131
  • Compounded annual return (geometric extrapolation)
    -0.99714
  • Calmar ratio (compounded annual return / max draw down)
    -0.99715
  • Compounded annual return / average of 25% largest draw downs
    -0.99715
  • Compounded annual return / Expected Shortfall lognormal
    -1.54790
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.19842
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.13471
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.18931
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.13489
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6840750000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.56900
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -41216600000000002644491492130816.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • 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
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -332496000
  • Max Equity Drawdown (num days)
    223
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • 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
    0.00000

Strategy Description

A futures contract is an agreement to buy or sell a commodity at a date in the future. This strategy is mainly to trade securities such as ES, NQ, CL, GC, NG etc. This strategy has a high risk and high reward. This needs minimum 60000 in the account allocated for Futures trading so in case, we may have to average 1 more contract.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-01-06
Suggested Minimum Capital
$25,000
# Trades
1324
# Profitable
951
% Profitable
71.8%
Correlation S&P500
-0.224
Sharpe Ratio
-0.59
Sortino Ratio
-0.64
Beta
-2.85
Alpha
0.00
Leverage
19.75 Average
358.87 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.