Collective2 Collective2
Featured Strategy Lazy Trading ES +44.1% Cumul. Return since Sep 25, 2024 Hypothetical

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DSX50
(143198202)

Created by: LaurenGar LaurenGar
Started: 01/2023
Futures
Last trade: 303 days ago
Trading style: Futures Macro / Fundamental

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 $125.00 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
Macro / Fundamental
Category: Equity

Macro / Fundamental

Predicts large-scale events related to national economies, history, and international relations. The strategy typically employs forecasts and analysis of interest rate trends, international trade and payments, political changes, government policies, inter-government relations, and other broad systemic factors.
30.3%
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.

(25.7%)
Max Drawdown
454
Num Trades
62.8%
Win Trades
1.7 : 1
Profit Factor
47.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023+3.0%+5.9%+12.1%+1.2%+6.3%+1.4%+9.7%(4.7%)+5.1%+2.5%+2.0%(23.2%)+17.5%
2024+38.6%  -    -    -    -    -    -    -    -    -    -        +38.6%

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 1,742 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
1/24/24 3:01 @ESH4 E-MINI S&P 500 LONG 5 4913.85 1/24 3:31 4914.50 0.65%
Trade id #147108854
Max drawdown($400)
Time1/24/24 3:26
Quant open5
Worst price4912.25
Drawdown as % of equity-0.65%
 $123
Includes Typical Broker Commissions trade costs of $40.00
1/23/24 4:40 @MESH4 MICRO E-MINI S&P 500 LONG 20 4881.88 1/23 4:45 4882.28 0.02%
Trade id #147094522
Max drawdown($12)
Time1/23/24 4:45
Quant open20
Worst price4881.75
Drawdown as % of equity-0.02%
 $22
Includes Typical Broker Commissions trade costs of $18.80
1/23/24 3:07 @MESH4 MICRO E-MINI S&P 500 LONG 30 4881.75 1/23 4:37 4881.82 0.78%
Trade id #147094030
Max drawdown($480)
Time1/23/24 3:40
Quant open20
Worst price4877.25
Drawdown as % of equity-0.78%
 ($18)
Includes Typical Broker Commissions trade costs of $28.20
1/23/24 2:46 @MESH4 MICRO E-MINI S&P 500 LONG 10 4884.00 1/23 3:07 4884.70 0.08%
Trade id #147093875
Max drawdown($50)
Time1/23/24 2:49
Quant open10
Worst price4883.00
Drawdown as % of equity-0.08%
 $26
Includes Typical Broker Commissions trade costs of $9.40
1/22/24 14:29 @MESH4 MICRO E-MINI S&P 500 LONG 20 4881.33 1/22 15:10 4882.59 0.5%
Trade id #147090106
Max drawdown($308)
Time1/22/24 14:34
Quant open20
Worst price4878.25
Drawdown as % of equity-0.50%
 $107
Includes Typical Broker Commissions trade costs of $18.80
1/22/24 11:33 @MESH4 MICRO E-MINI S&P 500 LONG 40 4884.90 1/22 11:56 4885.33 1.18%
Trade id #147087203
Max drawdown($724)
Time1/22/24 11:44
Quant open30
Worst price4880.75
Drawdown as % of equity-1.18%
 $48
Includes Typical Broker Commissions trade costs of $37.60
1/22/24 10:57 @MESH4 MICRO E-MINI S&P 500 LONG 27 4881.69 1/22 11:11 4882.51 0.47%
Trade id #147086238
Max drawdown($285)
Time1/22/24 11:02
Quant open10
Worst price4876.00
Drawdown as % of equity-0.47%
 $85
Includes Typical Broker Commissions trade costs of $25.38
1/22/24 10:38 @MESH4 MICRO E-MINI S&P 500 LONG 13 4887.69 1/22 10:39 4887.83 n/a ($3)
Includes Typical Broker Commissions trade costs of $12.22
1/22/24 6:37 @MESH4 MICRO E-MINI S&P 500 LONG 20 4886.52 1/22 6:45 4886.84 0.07%
Trade id #147080717
Max drawdown($42)
Time1/22/24 6:42
Quant open11
Worst price4885.75
Drawdown as % of equity-0.07%
 $13
Includes Typical Broker Commissions trade costs of $18.80
1/22/24 4:01 @MESH4 MICRO E-MINI S&P 500 LONG 30 4882.89 1/22 4:43 4883.90 0.36%
Trade id #147080189
Max drawdown($220)
Time1/22/24 4:12
Quant open20
Worst price4880.50
Drawdown as % of equity-0.36%
 $123
Includes Typical Broker Commissions trade costs of $28.20
1/22/24 3:19 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 10 17537.36 1/22 4:01 17542.30 0.64%
Trade id #147080018
Max drawdown($387)
Time1/22/24 3:36
Quant open10
Worst price17518.00
Drawdown as % of equity-0.64%
 $90
Includes Typical Broker Commissions trade costs of $9.40
1/22/24 2:53 @MESH4 MICRO E-MINI S&P 500 LONG 10 4882.18 1/22 3:18 4882.95 0.22%
Trade id #147079813
Max drawdown($133)
Time1/22/24 3:09
Quant open10
Worst price4879.50
Drawdown as % of equity-0.22%
 $30
Includes Typical Broker Commissions trade costs of $9.40
1/22/24 3:04 @MYMH4 MICRO E-MINI DOW LONG 8 38095 1/22 3:17 38103 0.1%
Trade id #147079900
Max drawdown($59)
Time1/22/24 3:08
Quant open8
Worst price38081
Drawdown as % of equity-0.10%
 $22
Includes Typical Broker Commissions trade costs of $7.52
1/22/24 1:06 @MYMH4 MICRO E-MINI DOW LONG 30 38090 1/22 3:03 38092 0.17%
Trade id #147079272
Max drawdown($102)
Time1/22/24 2:50
Quant open20
Worst price38080
Drawdown as % of equity-0.17%
 $3
Includes Typical Broker Commissions trade costs of $28.20
1/22/24 1:51 @M6EH4 E-MICRO EUR/USD LONG 12 1.0931 1/22 2:39 1.0921 0.26%
Trade id #147079351
Max drawdown($157)
Time1/22/24 2:39
Quant open12
Worst price1.0921
Drawdown as % of equity-0.26%
 ($167)
Includes Typical Broker Commissions trade costs of $9.36
1/22/24 2:29 @MNQH4 MICRO E-MINI NASDAQ 100 LONG 20 17557.22 1/22 2:31 17558.05 n/a $14
Includes Typical Broker Commissions trade costs of $18.80
1/22/24 1:03 @MESH4 MICRO E-MINI S&P 500 LONG 20 4880.73 1/22 2:29 4881.06 0.17%
Trade id #147079243
Max drawdown($106)
Time1/22/24 1:26
Quant open10
Worst price4878.75
Drawdown as % of equity-0.17%
 $14
Includes Typical Broker Commissions trade costs of $18.80
1/19/24 12:22 @MESH4 MICRO E-MINI S&P 500 LONG 5 4836.50 1/19 12:24 4837.35 n/a $16
Includes Typical Broker Commissions trade costs of $4.70
1/19/24 12:15 @MESH4 MICRO E-MINI S&P 500 LONG 5 4834.25 1/19 12:21 4834.25 0.05%
Trade id #147068261
Max drawdown($31)
Time1/19/24 12:18
Quant open5
Worst price4833.00
Drawdown as % of equity-0.05%
 ($5)
Includes Typical Broker Commissions trade costs of $4.70
1/19/24 6:44 @MESH4 MICRO E-MINI S&P 500 LONG 60 4833.48 1/19 7:56 4833.64 1.9%
Trade id #147063479
Max drawdown($1,152)
Time1/19/24 7:44
Quant open58
Worst price4829.50
Drawdown as % of equity-1.90%
 ($7)
Includes Typical Broker Commissions trade costs of $56.40
1/19/24 5:54 @MESH4 MICRO E-MINI S&P 500 LONG 10 4831.23 1/19 6:11 4831.82 0.14%
Trade id #147063234
Max drawdown($86)
Time1/19/24 6:00
Quant open10
Worst price4829.50
Drawdown as % of equity-0.14%
 $21
Includes Typical Broker Commissions trade costs of $9.40
1/19/24 4:49 @MESH4 MICRO E-MINI S&P 500 LONG 20 4825.88 1/19 4:53 4827.77 n/a $170
Includes Typical Broker Commissions trade costs of $18.80
1/19/24 4:11 @MESH4 MICRO E-MINI S&P 500 LONG 10 4826.25 1/19 4:13 4827.95 n/a $76
Includes Typical Broker Commissions trade costs of $9.40
1/19/24 3:20 @MESH4 MICRO E-MINI S&P 500 LONG 20 4821.15 1/19 4:00 4824.23 0.22%
Trade id #147062544
Max drawdown($132)
Time1/19/24 3:33
Quant open10
Worst price4817.75
Drawdown as % of equity-0.22%
 $289
Includes Typical Broker Commissions trade costs of $18.80
1/18/24 22:08 @MESH4 MICRO E-MINI S&P 500 LONG 10 4815.81 1/19 3:17 4820.77 0.36%
Trade id #147061156
Max drawdown($215)
Time1/19/24 0:58
Quant open10
Worst price4811.50
Drawdown as % of equity-0.36%
 $239
Includes Typical Broker Commissions trade costs of $9.40
1/18/24 13:46 @MESH4 MICRO E-MINI S&P 500 LONG 20 4784.32 1/18 13:51 4785.43 0.05%
Trade id #147053422
Max drawdown($33)
Time1/18/24 13:48
Quant open10
Worst price4783.50
Drawdown as % of equity-0.05%
 $92
Includes Typical Broker Commissions trade costs of $18.80
1/18/24 11:39 @MESH4 MICRO E-MINI S&P 500 LONG 20 4792.06 1/18 11:54 4792.65 0.62%
Trade id #147051210
Max drawdown($369)
Time1/18/24 11:47
Quant open9
Worst price4787.75
Drawdown as % of equity-0.62%
 $40
Includes Typical Broker Commissions trade costs of $18.80
1/18/24 10:25 @MESH4 MICRO E-MINI S&P 500 LONG 30 4786.35 1/18 11:37 4793.58 0.81%
Trade id #147050151
Max drawdown($480)
Time1/18/24 11:04
Quant open20
Worst price4782.50
Drawdown as % of equity-0.81%
 $1,056
Includes Typical Broker Commissions trade costs of $28.20
1/18/24 6:27 @MESH4 MICRO E-MINI S&P 500 LONG 10 4784.65 1/18 6:47 4787.65 0.06%
Trade id #147041565
Max drawdown($32)
Time1/18/24 6:34
Quant open10
Worst price4784.00
Drawdown as % of equity-0.06%
 $141
Includes Typical Broker Commissions trade costs of $9.40
1/18/24 5:59 @MESH4 MICRO E-MINI S&P 500 LONG 10 4779.80 1/18 6:06 4782.25 n/a $114
Includes Typical Broker Commissions trade costs of $9.40
Next

Statistics

  • Strategy began
    1/12/2023
  • Suggested Minimum Cap
    $37,840
  • Strategy Age (days)
    669.64
  • Age
    23 months ago
  • What it trades
    Futures
  • # Trades
    454
  • # Profitable
    285
  • % Profitable
    62.80%
  • Avg trade duration
    6.4 hours
  • Max peak-to-valley drawdown
    25.74%
  • drawdown period
    Dec 19, 2023 - Dec 29, 2023
  • Annual Return (Compounded)
    30.3%
  • Avg win
    $278.62
  • Avg loss
    $280.68
  • Model Account Values (Raw)
  • Cash
    $69,801
  • Margin Used
    $0
  • Buying Power
    $69,801
  • Ratios
  • W:L ratio
    1.67:1
  • Sharpe Ratio
    1.27
  • Sortino Ratio
    1.94
  • Calmar Ratio
    3.027
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    12.17%
  • Correlation to SP500
    -0.00590
  • Return Percent SP500 (cumu) during strategy life
    49.35%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    30.3%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • 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)
    0.303%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    38.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    5.00%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    98.62%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    587
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $281
  • Avg Win
    $279
  • Sum Trade PL (losers)
    $47,435.000
  • Age
  • Num Months filled monthly returns table
    23
  • Win / Loss
  • Sum Trade PL (winners)
    $79,408.000
  • # Winners
    285
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    169
  • % Winners
    62.8%
  • Frequency
  • Avg Position Time (mins)
    383.52
  • Avg Position Time (hrs)
    6.39
  • Avg Trade Length
    0.3 days
  • Last Trade Ago
    293
  • Leverage
  • Daily leverage (average)
    5.22
  • Daily leverage (max)
    39.46
  • Regression
  • Alpha
    0.07
  • Beta
    -0.01
  • Treynor Index
    -8.87
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.52
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    73.758
  • 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
    0.775
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.220
  • Hold-and-Hope Ratio
    0.014
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.47922
  • SD
    0.12789
  • Sharpe ratio (Glass type estimate)
    3.74719
  • Sharpe ratio (Hedges UMVUE)
    3.54218
  • df
    14.00000
  • t
    4.18949
  • p
    0.12708
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.47835
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.93369
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.35253
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.73182
  • Statistics related to Sortino ratio
  • Sortino ratio
    162.72000
  • Upside Potential Ratio
    163.98500
  • Upside part of mean
    0.48295
  • Downside part of mean
    -0.00373
  • Upside SD
    0.18546
  • Downside SD
    0.00295
  • N nonnegative terms
    13.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.27853
  • Mean of criterion
    0.47922
  • SD of predictor
    0.13970
  • SD of criterion
    0.12789
  • Covariance
    -0.00801
  • r
    -0.44834
  • b (slope, estimate of beta)
    -0.41042
  • a (intercept, estimate of alpha)
    0.59354
  • Mean Square Error
    0.01407
  • DF error
    13.00000
  • t(b)
    -1.80845
  • p(b)
    0.77555
  • t(a)
    4.80567
  • p(a)
    0.05208
  • Lowerbound of 95% confidence interval for beta
    -0.90072
  • Upperbound of 95% confidence interval for beta
    0.07987
  • Lowerbound of 95% confidence interval for alpha
    0.32671
  • Upperbound of 95% confidence interval for alpha
    0.86036
  • Treynor index (mean / b)
    -1.16762
  • Jensen alpha (a)
    0.59354
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46193
  • SD
    0.12105
  • Sharpe ratio (Glass type estimate)
    3.81586
  • Sharpe ratio (Hedges UMVUE)
    3.60708
  • df
    14.00000
  • t
    4.26626
  • p
    0.12409
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.53120
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.01781
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.40295
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.81122
  • Statistics related to Sortino ratio
  • Sortino ratio
    157.03100
  • Upside Potential Ratio
    158.29600
  • Upside part of mean
    0.46565
  • Downside part of mean
    -0.00372
  • Upside SD
    0.17734
  • Downside SD
    0.00294
  • N nonnegative terms
    13.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.26595
  • Mean of criterion
    0.46193
  • SD of predictor
    0.13752
  • SD of criterion
    0.12105
  • Covariance
    -0.00751
  • r
    -0.45098
  • b (slope, estimate of beta)
    -0.39699
  • a (intercept, estimate of alpha)
    0.56751
  • Mean Square Error
    0.01257
  • DF error
    13.00000
  • t(b)
    -1.82179
  • p(b)
    0.77705
  • t(a)
    4.89957
  • p(a)
    0.04999
  • Lowerbound of 95% confidence interval for beta
    -0.86776
  • Upperbound of 95% confidence interval for beta
    0.07378
  • Lowerbound of 95% confidence interval for alpha
    0.31728
  • Upperbound of 95% confidence interval for alpha
    0.81774
  • Treynor index (mean / b)
    -1.16358
  • Jensen alpha (a)
    0.56751
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01881
  • Expected Shortfall on VaR
    0.03295
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00022
  • Expected Shortfall on VaR
    0.00069
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    1.00000
  • Quartile 1
    1.01763
  • Median
    1.02931
  • Quartile 3
    1.06309
  • Maximum
    1.12225
  • Mean of quarter 1
    1.00615
  • Mean of quarter 2
    1.02413
  • Mean of quarter 3
    1.04936
  • Mean of quarter 4
    1.09118
  • Inter Quartile Range
    0.04546
  • 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
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.67573
  • Compounded annual return (geometric extrapolation)
    0.63205
  • 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
    19.18220
  • 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
    0.47726
  • SD
    0.19337
  • Sharpe ratio (Glass type estimate)
    2.46806
  • Sharpe ratio (Hedges UMVUE)
    2.46243
  • df
    329.00000
  • t
    2.76989
  • p
    0.00296
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.70968
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.22277
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.70593
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.21893
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.01483
  • Upside Potential Ratio
    7.69297
  • Upside part of mean
    0.91449
  • Downside part of mean
    -0.43723
  • Upside SD
    0.15498
  • Downside SD
    0.11887
  • N nonnegative terms
    142.00000
  • N negative terms
    188.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    330.00000
  • Mean of predictor
    0.26684
  • Mean of criterion
    0.47726
  • SD of predictor
    0.13662
  • SD of criterion
    0.19337
  • Covariance
    -0.00022
  • r
    -0.00830
  • b (slope, estimate of beta)
    -0.01175
  • a (intercept, estimate of alpha)
    0.48000
  • Mean Square Error
    0.03750
  • DF error
    328.00000
  • t(b)
    -0.15029
  • p(b)
    0.55968
  • t(a)
    2.76382
  • p(a)
    0.00302
  • Lowerbound of 95% confidence interval for beta
    -0.16549
  • Upperbound of 95% confidence interval for beta
    0.14200
  • Lowerbound of 95% confidence interval for alpha
    0.13846
  • Upperbound of 95% confidence interval for alpha
    0.82232
  • Treynor index (mean / b)
    -40.63380
  • Jensen alpha (a)
    0.48039
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.45822
  • SD
    0.19292
  • Sharpe ratio (Glass type estimate)
    2.37517
  • Sharpe ratio (Hedges UMVUE)
    2.36975
  • df
    329.00000
  • t
    2.66564
  • p
    0.00403
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.61764
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.12919
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61400
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.12551
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.74960
  • Upside Potential Ratio
    7.38707
  • Upside part of mean
    0.90274
  • Downside part of mean
    -0.44452
  • Upside SD
    0.15157
  • Downside SD
    0.12220
  • N nonnegative terms
    142.00000
  • N negative terms
    188.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    330.00000
  • Mean of predictor
    0.25739
  • Mean of criterion
    0.45822
  • SD of predictor
    0.13653
  • SD of criterion
    0.19292
  • Covariance
    -0.00021
  • r
    -0.00808
  • b (slope, estimate of beta)
    -0.01141
  • a (intercept, estimate of alpha)
    0.46116
  • Mean Square Error
    0.03733
  • DF error
    328.00000
  • t(b)
    -0.14629
  • p(b)
    0.55811
  • t(a)
    2.66070
  • p(a)
    0.00409
  • Lowerbound of 95% confidence interval for beta
    -0.16489
  • Upperbound of 95% confidence interval for beta
    0.14206
  • Lowerbound of 95% confidence interval for alpha
    0.12019
  • Upperbound of 95% confidence interval for alpha
    0.80212
  • Treynor index (mean / b)
    -40.14920
  • Jensen alpha (a)
    0.46116
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01770
  • Expected Shortfall on VaR
    0.02257
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00402
  • Expected Shortfall on VaR
    0.00929
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    330.00000
  • Minimum
    0.92451
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00264
  • Maximum
    1.07733
  • Mean of quarter 1
    0.99360
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00083
  • Mean of quarter 4
    1.01324
  • Inter Quartile Range
    0.00264
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.08485
  • Mean of outliers low
    0.98287
  • Number of outliers high
    47.00000
  • Percentage of outliers high
    0.14242
  • Mean of outliers high
    1.01996
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.69621
  • VaR(95%) (moments method)
    0.00350
  • Expected Shortfall (moments method)
    0.01524
  • Extreme Value Index (regression method)
    0.58418
  • VaR(95%) (regression method)
    0.00579
  • Expected Shortfall (regression method)
    0.02101
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    31.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00037
  • Median
    0.00176
  • Quartile 3
    0.01081
  • Maximum
    0.20681
  • Mean of quarter 1
    0.00014
  • Mean of quarter 2
    0.00095
  • Mean of quarter 3
    0.00459
  • Mean of quarter 4
    0.05757
  • Inter Quartile Range
    0.01043
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.16129
  • Mean of outliers high
    0.08337
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.53380
  • VaR(95%) (moments method)
    0.04643
  • Expected Shortfall (moments method)
    0.11962
  • Extreme Value Index (regression method)
    1.02405
  • VaR(95%) (regression method)
    0.06780
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.67061
  • Compounded annual return (geometric extrapolation)
    0.62601
  • Calmar ratio (compounded annual return / max draw down)
    3.02701
  • Compounded annual return / average of 25% largest draw downs
    10.87380
  • Compounded annual return / Expected Shortfall lognormal
    27.73920
  • 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
    0.26690
  • SD
    0.26983
  • Sharpe ratio (Glass type estimate)
    0.98917
  • Sharpe ratio (Hedges UMVUE)
    0.98345
  • df
    130.00000
  • t
    0.69945
  • p
    0.46938
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.78706
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.76177
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.79093
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.75784
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.49631
  • Upside Potential Ratio
    5.39451
  • Upside part of mean
    0.96225
  • Downside part of mean
    -0.69534
  • Upside SD
    0.20175
  • Downside SD
    0.17838
  • N nonnegative terms
    33.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.54153
  • Mean of criterion
    0.26690
  • SD of predictor
    0.14206
  • SD of criterion
    0.26983
  • Covariance
    -0.00030
  • r
    -0.00786
  • b (slope, estimate of beta)
    -0.01493
  • a (intercept, estimate of alpha)
    0.27499
  • Mean Square Error
    0.07337
  • DF error
    129.00000
  • t(b)
    -0.08927
  • p(b)
    0.50500
  • t(a)
    0.69862
  • p(a)
    0.46094
  • Lowerbound of 95% confidence interval for beta
    -0.34578
  • Upperbound of 95% confidence interval for beta
    0.31592
  • Lowerbound of 95% confidence interval for alpha
    -0.50379
  • Upperbound of 95% confidence interval for alpha
    1.05376
  • Treynor index (mean / b)
    -17.88000
  • Jensen alpha (a)
    0.27499
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23072
  • SD
    0.26948
  • Sharpe ratio (Glass type estimate)
    0.85617
  • Sharpe ratio (Hedges UMVUE)
    0.85122
  • df
    130.00000
  • t
    0.60540
  • p
    0.47349
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.91916
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.62836
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.92252
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.62496
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25513
  • Upside Potential Ratio
    5.12754
  • Upside part of mean
    0.94254
  • Downside part of mean
    -0.71183
  • Upside SD
    0.19615
  • Downside SD
    0.18382
  • N nonnegative terms
    33.00000
  • N negative terms
    98.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.53093
  • Mean of criterion
    0.23072
  • SD of predictor
    0.14194
  • SD of criterion
    0.26948
  • Covariance
    -0.00023
  • r
    -0.00609
  • b (slope, estimate of beta)
    -0.01157
  • a (intercept, estimate of alpha)
    0.23686
  • Mean Square Error
    0.07318
  • DF error
    129.00000
  • t(b)
    -0.06920
  • p(b)
    0.50388
  • t(a)
    0.60312
  • p(a)
    0.46626
  • VAR (95 Confidence Intrvl)
    0.01800
  • Lowerbound of 95% confidence interval for beta
    -0.34229
  • Upperbound of 95% confidence interval for beta
    0.31916
  • Lowerbound of 95% confidence interval for alpha
    -0.54015
  • Upperbound of 95% confidence interval for alpha
    1.01387
  • Treynor index (mean / b)
    -19.94610
  • Jensen alpha (a)
    0.23686
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02616
  • Expected Shortfall on VaR
    0.03289
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00768
  • Expected Shortfall on VaR
    0.01713
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92451
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00022
  • Maximum
    1.07733
  • Mean of quarter 1
    0.98978
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01469
  • Inter Quartile Range
    0.00022
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.11450
  • Mean of outliers low
    0.97753
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.22901
  • Mean of outliers high
    1.01612
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.22123
  • VaR(95%) (moments method)
    0.00184
  • Expected Shortfall (moments method)
    0.00319
  • Extreme Value Index (regression method)
    0.37795
  • VaR(95%) (regression method)
    0.00878
  • Expected Shortfall (regression method)
    0.02769
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00119
  • Median
    0.00225
  • Quartile 3
    0.05246
  • Maximum
    0.20681
  • Mean of quarter 1
    0.00039
  • Mean of quarter 2
    0.00193
  • Mean of quarter 3
    0.01592
  • Mean of quarter 4
    0.14790
  • Inter Quartile Range
    0.05127
  • 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
    0.14286
  • Mean of outliers high
    0.20681
  • 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?
    -465177000
  • Max Equity Drawdown (num days)
    10
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.27609
  • Compounded annual return (geometric extrapolation)
    0.29515
  • Calmar ratio (compounded annual return / max draw down)
    1.42716
  • Compounded annual return / average of 25% largest draw downs
    1.99555
  • Compounded annual return / Expected Shortfall lognormal
    8.97430

Strategy Description

ES, NQ, YM, mini dax, DJ EURO STOXX 50

Summary Statistics

Strategy began
2023-01-12
Suggested Minimum Capital
$60,000
# Trades
454
# Profitable
285
% Profitable
62.8%
Correlation S&P500
-0.006
Sharpe Ratio
1.27
Sortino Ratio
1.94
Beta
-0.01
Alpha
0.07
Leverage
5.22 Average
39.46 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.