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Yugas-Futures
(117547867)

Created by: yugas-Investments yugas-Investments
Started: 04/2018
Futures
Last trade: 2 days ago
Trading style: Futures Trend-following 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 $70.00 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
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
106.4%
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.

(34.3%)
Max Drawdown
344
Num Trades
52.0%
Win Trades
1.4 : 1
Profit Factor
55.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                     +10.0%+29.0%+2.2%(1.6%)(3.7%)(18%)+35.7%+29.7%+38.9%+175.4%
2019+4.7%+3.0%(0.5%)(5%)+5.8%+1.7%(1.8%)(4.7%)(0.2%)                  +2.5%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 252 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
9/16/19 4:35 @MYMU9 MICRO E-MINI DOW SHORT 5 27124 9/16 9:33 27172 0.15%
Trade id #125364645
Max drawdown($42)
Time9/16/19 8:10
Quant open5
Worst price27141
Drawdown as % of equity-0.15%
($125)
Includes Typical Broker Commissions trade costs of $4.70
9/12/19 8:02 @MYMU9 MICRO E-MINI DOW LONG 5 27233 9/12 9:48 27123 0.83%
Trade id #125323765
Max drawdown($236)
Time9/12/19 9:48
Quant open5
Worst price27139
Drawdown as % of equity-0.83%
($281)
Includes Typical Broker Commissions trade costs of $4.70
9/11/19 3:33 @MYMU9 MICRO E-MINI DOW LONG 5 26939 9/12 3:42 27228 0.5%
Trade id #125301136
Max drawdown($140)
Time9/11/19 5:01
Quant open5
Worst price26883
Drawdown as % of equity-0.50%
$718
Includes Typical Broker Commissions trade costs of $4.70
9/3/19 10:33 @MYMU9 MICRO E-MINI DOW SHORT 4 26021 9/3 21:07 26165 1.01%
Trade id #125196794
Max drawdown($274)
Time9/3/19 21:05
Quant open4
Worst price26158
Drawdown as % of equity-1.01%
($292)
Includes Typical Broker Commissions trade costs of $3.76
8/30/19 4:49 @MYMU9 MICRO E-MINI DOW LONG 4 26489 8/30 11:12 26377 0.8%
Trade id #125155099
Max drawdown($220)
Time8/30/19 11:12
Quant open4
Worst price26379
Drawdown as % of equity-0.80%
($228)
Includes Typical Broker Commissions trade costs of $3.76
8/28/19 7:50 @MYMU9 MICRO E-MINI DOW SHORT 6 25746 8/28 10:42 25870 1.15%
Trade id #125118289
Max drawdown($318)
Time8/28/19 10:39
Quant open6
Worst price25853
Drawdown as % of equity-1.15%
($376)
Includes Typical Broker Commissions trade costs of $5.64
8/26/19 11:18 @MYMU9 MICRO E-MINI DOW SHORT 4 25841 8/26 16:00 25911 0.55%
Trade id #125087208
Max drawdown($156)
Time8/26/19 12:27
Quant open4
Worst price25920
Drawdown as % of equity-0.55%
($144)
Includes Typical Broker Commissions trade costs of $3.76
8/26/19 10:01 @MYMU9 MICRO E-MINI DOW SHORT 4 25824 8/26 11:13 25868 0.28%
Trade id #125085735
Max drawdown($79)
Time8/26/19 11:13
Quant open4
Worst price25864
Drawdown as % of equity-0.28%
($92)
Includes Typical Broker Commissions trade costs of $3.76
8/23/19 8:30 @MYMU9 MICRO E-MINI DOW LONG 4 26085 8/23 8:36 26073 0.19%
Trade id #125055920
Max drawdown($54)
Time8/23/19 8:32
Quant open4
Worst price26058
Drawdown as % of equity-0.19%
($28)
Includes Typical Broker Commissions trade costs of $3.76
8/23/19 4:34 @MYMU9 MICRO E-MINI DOW LONG 4 26328 8/23 8:03 26135 1.2%
Trade id #125054181
Max drawdown($344)
Time8/23/19 8:03
Quant open4
Worst price26156
Drawdown as % of equity-1.20%
($390)
Includes Typical Broker Commissions trade costs of $3.76
8/21/19 4:28 @MYMU9 MICRO E-MINI DOW LONG 4 26093 8/21 10:07 26199 0.06%
Trade id #125015455
Max drawdown($17)
Time8/21/19 4:34
Quant open3
Worst price26059
Drawdown as % of equity-0.06%
$209
Includes Typical Broker Commissions trade costs of $3.76
8/19/19 7:34 @MYMU9 MICRO E-MINI DOW LONG 5 26170 8/20 5:08 26143 0.79%
Trade id #124985136
Max drawdown($225)
Time8/19/19 10:14
Quant open5
Worst price26080
Drawdown as % of equity-0.79%
($73)
Includes Typical Broker Commissions trade costs of $4.70
8/15/19 8:05 @MYMU9 MICRO E-MINI DOW SHORT 4 25598 8/15 11:32 25492 0.32%
Trade id #124947182
Max drawdown($91)
Time8/15/19 11:32
Quant open-2
Worst price25507
Drawdown as % of equity-0.32%
$208
Includes Typical Broker Commissions trade costs of $3.76
8/15/19 7:35 @MYMU9 MICRO E-MINI DOW SHORT 5 25563 8/15 8:02 25685 0.73%
Trade id #124946724
Max drawdown($210)
Time8/15/19 7:35
Quant open5
Worst price25648
Drawdown as % of equity-0.73%
($308)
Includes Typical Broker Commissions trade costs of $4.70
8/15/19 3:11 @MYMU9 MICRO E-MINI DOW SHORT 4 25552 8/15 7:13 25390 0.44%
Trade id #124944203
Max drawdown($125)
Time8/15/19 7:13
Quant open-2
Worst price25427
Drawdown as % of equity-0.44%
$320
Includes Typical Broker Commissions trade costs of $3.76
8/12/19 4:09 @MYMU9 MICRO E-MINI DOW SHORT 5 26113 8/13 9:44 25985 1.59%
Trade id #124876464
Max drawdown($445)
Time8/12/19 4:09
Quant open4
Worst price26408
Drawdown as % of equity-1.59%
$315
Includes Typical Broker Commissions trade costs of $4.70
8/7/19 10:29 @MYMU9 MICRO E-MINI DOW SHORT 5 25592 8/7 10:50 25701 0.96%
Trade id #124813179
Max drawdown($272)
Time8/7/19 10:50
Quant open5
Worst price25701
Drawdown as % of equity-0.96%
($277)
Includes Typical Broker Commissions trade costs of $4.70
8/7/19 10:09 @MYMU9 MICRO E-MINI DOW SHORT 5 25564 8/7 10:16 25649 0.75%
Trade id #124812563
Max drawdown($214)
Time8/7/19 10:16
Quant open5
Worst price25649
Drawdown as % of equity-0.75%
($219)
Includes Typical Broker Commissions trade costs of $4.70
8/6/19 10:12 @MYMU9 MICRO E-MINI DOW SHORT 3 25809 8/6 14:19 25921 0.58%
Trade id #124790773
Max drawdown($168)
Time8/6/19 14:19
Quant open3
Worst price25921
Drawdown as % of equity-0.58%
($171)
Includes Typical Broker Commissions trade costs of $2.82
8/5/19 10:24 @MYMU9 MICRO E-MINI DOW SHORT 5 25918 8/5 15:40 25713 0.39%
Trade id #124768319
Max drawdown($110)
Time8/5/19 10:24
Quant open5
Worst price25963
Drawdown as % of equity-0.39%
$508
Includes Typical Broker Commissions trade costs of $4.70
8/2/19 10:01 @MYMU9 MICRO E-MINI DOW SHORT 5 26390 8/2 12:19 26381 0.32%
Trade id #124737875
Max drawdown($91)
Time8/2/19 10:01
Quant open5
Worst price26427
Drawdown as % of equity-0.32%
$19
Includes Typical Broker Commissions trade costs of $4.70
8/2/19 4:54 @MNQU9 MICRO E-MINI NASDAQ 100 SHORT 3 7740.78 8/2 9:01 7779.37 0.81%
Trade id #124733287
Max drawdown($232)
Time8/2/19 9:01
Quant open2
Worst price7795.00
Drawdown as % of equity-0.81%
($235)
Includes Typical Broker Commissions trade costs of $2.82
8/2/19 3:27 @MYMU9 MICRO E-MINI DOW SHORT 5 26493 8/2 9:01 26572 0.69%
Trade id #124732636
Max drawdown($197)
Time8/2/19 9:01
Quant open5
Worst price26572
Drawdown as % of equity-0.69%
($202)
Includes Typical Broker Commissions trade costs of $4.70
8/1/19 4:31 @MYMU9 MICRO E-MINI DOW SHORT 4 26861 8/1 10:18 26952 0.63%
Trade id #124710847
Max drawdown($181)
Time8/1/19 10:18
Quant open4
Worst price26952
Drawdown as % of equity-0.63%
($185)
Includes Typical Broker Commissions trade costs of $3.76
7/26/19 3:43 @MYMU9 MICRO E-MINI DOW SHORT 5 27127 7/26 5:40 27178 0.44%
Trade id #124627205
Max drawdown($129)
Time7/26/19 5:40
Quant open5
Worst price27178
Drawdown as % of equity-0.44%
($134)
Includes Typical Broker Commissions trade costs of $4.70
7/25/19 9:54 @MYMU9 MICRO E-MINI DOW SHORT 5 27103 7/25 10:37 27184 0.69%
Trade id #124611647
Max drawdown($202)
Time7/25/19 10:37
Quant open5
Worst price27184
Drawdown as % of equity-0.69%
($207)
Includes Typical Broker Commissions trade costs of $4.70
7/18/19 8:37 @MYMU9 MICRO E-MINI DOW SHORT 5 27194 7/18 9:16 27142 0.09%
Trade id #124513199
Max drawdown($27)
Time7/18/19 8:37
Quant open5
Worst price27205
Drawdown as % of equity-0.09%
$123
Includes Typical Broker Commissions trade costs of $4.70
7/18/19 4:02 @MYMU9 MICRO E-MINI DOW SHORT 5 27156 7/18 6:19 27190 0.3%
Trade id #124511225
Max drawdown($87)
Time7/18/19 6:19
Quant open5
Worst price27190
Drawdown as % of equity-0.30%
($92)
Includes Typical Broker Commissions trade costs of $4.70
7/17/19 11:27 @MYMU9 MICRO E-MINI DOW SHORT 5 27267 7/17 15:34 27259 0.32%
Trade id #124498674
Max drawdown($93)
Time7/17/19 11:27
Quant open5
Worst price27305
Drawdown as % of equity-0.32%
$16
Includes Typical Broker Commissions trade costs of $4.70
7/12/19 9:49 @MYMU9 MICRO E-MINI DOW LONG 6 27292 7/15 9:46 27315 0.1%
Trade id #124435475
Max drawdown($30)
Time7/12/19 9:49
Quant open3
Worst price27190
Drawdown as % of equity-0.10%
$63
Includes Typical Broker Commissions trade costs of $5.64

Statistics

  • Strategy began
    4/17/2018
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    519.18
  • Age
    17 months ago
  • What it trades
    Futures
  • # Trades
    344
  • # Profitable
    179
  • % Profitable
    52.00%
  • Avg trade duration
    3.7 hours
  • Max peak-to-valley drawdown
    34.35%
  • drawdown period
    Oct 26, 2018 - Oct 30, 2018
  • Annual Return (Compounded)
    106.3%
  • Avg win
    $418.82
  • Avg loss
    $316.96
  • Model Account Values (Raw)
  • Cash
    $32,670
  • Margin Used
    $0
  • Buying Power
    $32,670
  • Ratios
  • W:L ratio
    1.43:1
  • Sharpe Ratio
    1.58
  • Sortino Ratio
    3.2
  • Calmar Ratio
    5.448
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.01770
  • Return Statistics
  • Ann Return (w trading costs)
    106.3%
  • Ann Return (Compnd, No Fees)
    129.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    31.50%
  • Chance of 20% account loss
    11.00%
  • Chance of 30% account loss
    3.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    823
  • Popularity (Last 6 weeks)
    933
  • C2 Score
    867
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $317
  • Avg Win
    $419
  • # Winners
    179
  • # Losers
    165
  • % Winners
    52.0%
  • Frequency
  • Avg Position Time (mins)
    223.37
  • Avg Position Time (hrs)
    3.72
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    8.93
  • Daily leverage (max)
    36.52
  • Regression
  • Alpha
    0.22
  • Beta
    -0.05
  • Treynor Index
    -4.31
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    5.202
  • Avg(MAE) / Avg(PL) - Winning trades
    0.495
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.085
  • Hold-and-Hope Ratio
    0.192
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.11551
  • SD
    0.72818
  • Sharpe ratio (Glass type estimate)
    1.53192
  • Sharpe ratio (Hedges UMVUE)
    1.45381
  • df
    15.00000
  • t
    1.76891
  • p
    0.24333
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27328
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.29124
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32150
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22912
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.46190
  • Upside Potential Ratio
    15.52410
  • Upside part of mean
    1.28639
  • Downside part of mean
    -0.17088
  • Upside SD
    0.77067
  • Downside SD
    0.08286
  • N nonnegative terms
    9.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.06788
  • Mean of criterion
    1.11551
  • SD of predictor
    0.14255
  • SD of criterion
    0.72818
  • Covariance
    -0.02409
  • r
    -0.23206
  • b (slope, estimate of beta)
    -1.18540
  • a (intercept, estimate of alpha)
    1.19598
  • Mean Square Error
    0.53753
  • DF error
    14.00000
  • t(b)
    -0.89264
  • p(b)
    0.61603
  • t(a)
    1.86492
  • p(a)
    0.27696
  • Lowerbound of 95% confidence interval for beta
    -4.03363
  • Upperbound of 95% confidence interval for beta
    1.66282
  • Lowerbound of 95% confidence interval for alpha
    -0.17948
  • Upperbound of 95% confidence interval for alpha
    2.57145
  • Treynor index (mean / b)
    -0.94104
  • Jensen alpha (a)
    1.19598
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.89225
  • SD
    0.58382
  • Sharpe ratio (Glass type estimate)
    1.52830
  • Sharpe ratio (Hedges UMVUE)
    1.45037
  • df
    15.00000
  • t
    1.76473
  • p
    0.24381
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27644
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.28723
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32458
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22532
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.53210
  • Upside Potential Ratio
    12.59090
  • Upside part of mean
    1.06667
  • Downside part of mean
    -0.17441
  • Upside SD
    0.61539
  • Downside SD
    0.08472
  • N nonnegative terms
    9.00000
  • N negative terms
    7.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.05815
  • Mean of criterion
    0.89225
  • SD of predictor
    0.14316
  • SD of criterion
    0.58382
  • Covariance
    -0.01937
  • r
    -0.23175
  • b (slope, estimate of beta)
    -0.94510
  • a (intercept, estimate of alpha)
    0.94721
  • Mean Square Error
    0.34558
  • DF error
    14.00000
  • t(b)
    -0.89138
  • p(b)
    0.61587
  • t(a)
    1.84706
  • p(a)
    0.27867
  • Lowerbound of 95% confidence interval for beta
    -3.21915
  • Upperbound of 95% confidence interval for beta
    1.32894
  • Lowerbound of 95% confidence interval for alpha
    -0.15268
  • Upperbound of 95% confidence interval for alpha
    2.04710
  • Treynor index (mean / b)
    -0.94408
  • Jensen alpha (a)
    0.94721
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18361
  • Expected Shortfall on VaR
    0.23767
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03085
  • Expected Shortfall on VaR
    0.05408
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.94931
  • Quartile 1
    0.96744
  • Median
    1.01100
  • Quartile 3
    1.06809
  • Maximum
    1.67017
  • Mean of quarter 1
    0.95547
  • Mean of quarter 2
    0.98884
  • Mean of quarter 3
    1.03713
  • Mean of quarter 4
    1.39039
  • Inter Quartile Range
    0.10065
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.18750
  • Mean of outliers high
    1.48588
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.89468
  • VaR(95%) (moments method)
    0.04874
  • Expected Shortfall (moments method)
    0.05080
  • Extreme Value Index (regression method)
    -0.77279
  • VaR(95%) (regression method)
    0.04816
  • Expected Shortfall (regression method)
    0.04991
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.03886
  • Quartile 1
    0.04117
  • Median
    0.04508
  • Quartile 3
    0.06010
  • Maximum
    0.09576
  • Mean of quarter 1
    0.03886
  • Mean of quarter 2
    0.04195
  • Mean of quarter 3
    0.04821
  • Mean of quarter 4
    0.09576
  • Inter Quartile Range
    0.01892
  • 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
    0.25000
  • Mean of outliers high
    0.09576
  • 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)
    1.71450
  • Compounded annual return (geometric extrapolation)
    1.44062
  • Calmar ratio (compounded annual return / max draw down)
    15.04450
  • Compounded annual return / average of 25% largest draw downs
    15.04450
  • Compounded annual return / Expected Shortfall lognormal
    6.06135
  • 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
    0.92956
  • SD
    0.39239
  • Sharpe ratio (Glass type estimate)
    2.36898
  • Sharpe ratio (Hedges UMVUE)
    2.36407
  • df
    362.00000
  • t
    2.78845
  • p
    0.00279
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.69336
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.04144
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.69007
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.03806
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.06527
  • Upside Potential Ratio
    10.98380
  • Upside part of mean
    2.01570
  • Downside part of mean
    -1.08615
  • Upside SD
    0.35095
  • Downside SD
    0.18352
  • N nonnegative terms
    236.00000
  • N negative terms
    127.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    363.00000
  • Mean of predictor
    0.08677
  • Mean of criterion
    0.92956
  • SD of predictor
    0.14705
  • SD of criterion
    0.39239
  • Covariance
    -0.00546
  • r
    -0.09454
  • b (slope, estimate of beta)
    -0.25228
  • a (intercept, estimate of alpha)
    0.95100
  • Mean Square Error
    0.15301
  • DF error
    361.00000
  • t(b)
    -1.80442
  • p(b)
    0.96400
  • t(a)
    2.86109
  • p(a)
    0.00223
  • Lowerbound of 95% confidence interval for beta
    -0.52722
  • Upperbound of 95% confidence interval for beta
    0.02267
  • Lowerbound of 95% confidence interval for alpha
    0.29747
  • Upperbound of 95% confidence interval for alpha
    1.60542
  • Treynor index (mean / b)
    -3.68469
  • Jensen alpha (a)
    0.95144
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.85456
  • SD
    0.38004
  • Sharpe ratio (Glass type estimate)
    2.24863
  • Sharpe ratio (Hedges UMVUE)
    2.24397
  • df
    362.00000
  • t
    2.64680
  • p
    0.00424
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.57399
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.92030
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.57085
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.91709
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.54194
  • Upside Potential Ratio
    10.40720
  • Upside part of mean
    1.95812
  • Downside part of mean
    -1.10355
  • Upside SD
    0.33379
  • Downside SD
    0.18815
  • N nonnegative terms
    236.00000
  • N negative terms
    127.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    363.00000
  • Mean of predictor
    0.07596
  • Mean of criterion
    0.85456
  • SD of predictor
    0.14727
  • SD of criterion
    0.38004
  • Covariance
    -0.00516
  • r
    -0.09226
  • b (slope, estimate of beta)
    -0.23806
  • a (intercept, estimate of alpha)
    0.87265
  • Mean Square Error
    0.14360
  • DF error
    361.00000
  • t(b)
    -1.76038
  • p(b)
    0.96040
  • t(a)
    2.70925
  • p(a)
    0.00353
  • Lowerbound of 95% confidence interval for beta
    -0.50401
  • Upperbound of 95% confidence interval for beta
    0.02788
  • Lowerbound of 95% confidence interval for alpha
    0.23922
  • Upperbound of 95% confidence interval for alpha
    1.50607
  • Treynor index (mean / b)
    -3.58963
  • Jensen alpha (a)
    0.87265
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03474
  • Expected Shortfall on VaR
    0.04413
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00722
  • Expected Shortfall on VaR
    0.01666
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    363.00000
  • Minimum
    0.91346
  • Quartile 1
    0.99700
  • Median
    1.00000
  • Quartile 3
    1.00548
  • Maximum
    1.18149
  • Mean of quarter 1
    0.98403
  • Mean of quarter 2
    0.99943
  • Mean of quarter 3
    1.00192
  • Mean of quarter 4
    1.02879
  • Inter Quartile Range
    0.00848
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.07713
  • Mean of outliers low
    0.96501
  • Number of outliers high
    40.00000
  • Percentage of outliers high
    0.11019
  • Mean of outliers high
    1.05237
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.57118
  • VaR(95%) (moments method)
    0.01338
  • Expected Shortfall (moments method)
    0.03632
  • Extreme Value Index (regression method)
    0.24521
  • VaR(95%) (regression method)
    0.01298
  • Expected Shortfall (regression method)
    0.02286
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00024
  • Quartile 1
    0.00619
  • Median
    0.01400
  • Quartile 3
    0.05862
  • Maximum
    0.24787
  • Mean of quarter 1
    0.00286
  • Mean of quarter 2
    0.00897
  • Mean of quarter 3
    0.02903
  • Mean of quarter 4
    0.12569
  • Inter Quartile Range
    0.05243
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    0.20092
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.44630
  • VaR(95%) (moments method)
    0.12944
  • Expected Shortfall (moments method)
    0.15323
  • Extreme Value Index (regression method)
    0.11557
  • VaR(95%) (regression method)
    0.17660
  • Expected Shortfall (regression method)
    0.26786
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.63653
  • Compounded annual return (geometric extrapolation)
    1.35035
  • Calmar ratio (compounded annual return / max draw down)
    5.44775
  • Compounded annual return / average of 25% largest draw downs
    10.74380
  • Compounded annual return / Expected Shortfall lognormal
    30.60130
  • 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
    -0.06848
  • SD
    0.07342
  • Sharpe ratio (Glass type estimate)
    -0.93277
  • Sharpe ratio (Hedges UMVUE)
    -0.92737
  • df
    130.00000
  • t
    -0.65956
  • p
    0.52888
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.70520
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.84305
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.70147
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.84672
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.28272
  • Upside Potential Ratio
    6.49599
  • Upside part of mean
    0.34680
  • Downside part of mean
    -0.41528
  • Upside SD
    0.05017
  • Downside SD
    0.05339
  • N nonnegative terms
    83.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12860
  • Mean of criterion
    -0.06848
  • SD of predictor
    0.13609
  • SD of criterion
    0.07342
  • Covariance
    0.00135
  • r
    0.13465
  • b (slope, estimate of beta)
    0.07264
  • a (intercept, estimate of alpha)
    -0.07782
  • Mean Square Error
    0.00533
  • DF error
    129.00000
  • t(b)
    1.54343
  • p(b)
    0.41454
  • t(a)
    -0.75222
  • p(a)
    0.54204
  • Lowerbound of 95% confidence interval for beta
    -0.02048
  • Upperbound of 95% confidence interval for beta
    0.16576
  • Lowerbound of 95% confidence interval for alpha
    -0.28251
  • Upperbound of 95% confidence interval for alpha
    0.12687
  • Treynor index (mean / b)
    -0.94273
  • Jensen alpha (a)
    -0.07782
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.07117
  • SD
    0.07343
  • Sharpe ratio (Glass type estimate)
    -0.96920
  • Sharpe ratio (Hedges UMVUE)
    -0.96360
  • df
    130.00000
  • t
    -0.68533
  • p
    0.53000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.74170
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.80692
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.73788
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.81068
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.32723
  • Upside Potential Ratio
    6.44455
  • Upside part of mean
    0.34555
  • Downside part of mean
    -0.41672
  • Upside SD
    0.04995
  • Downside SD
    0.05362
  • N nonnegative terms
    83.00000
  • N negative terms
    48.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11934
  • Mean of criterion
    -0.07117
  • SD of predictor
    0.13658
  • SD of criterion
    0.07343
  • Covariance
    0.00135
  • r
    0.13464
  • b (slope, estimate of beta)
    0.07238
  • a (intercept, estimate of alpha)
    -0.07980
  • Mean Square Error
    0.00533
  • DF error
    129.00000
  • t(b)
    1.54332
  • p(b)
    0.41454
  • t(a)
    -0.77146
  • p(a)
    0.54311
  • Lowerbound of 95% confidence interval for beta
    -0.02041
  • Upperbound of 95% confidence interval for beta
    0.16518
  • Lowerbound of 95% confidence interval for alpha
    -0.28447
  • Upperbound of 95% confidence interval for alpha
    0.12487
  • Treynor index (mean / b)
    -0.98315
  • Jensen alpha (a)
    -0.07980
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00770
  • Expected Shortfall on VaR
    0.00958
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00297
  • Expected Shortfall on VaR
    0.00615
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98490
  • Quartile 1
    0.99787
  • Median
    1.00000
  • Quartile 3
    1.00106
  • Maximum
    1.01257
  • Mean of quarter 1
    0.99410
  • Mean of quarter 2
    0.99961
  • Mean of quarter 3
    1.00010
  • Mean of quarter 4
    1.00516
  • Inter Quartile Range
    0.00319
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.99051
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.00949
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.63308
  • VaR(95%) (moments method)
    0.00553
  • Expected Shortfall (moments method)
    0.00626
  • Extreme Value Index (regression method)
    -0.22295
  • VaR(95%) (regression method)
    0.00563
  • Expected Shortfall (regression method)
    0.00705
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00024
  • Quartile 1
    0.00147
  • Median
    0.00450
  • Quartile 3
    0.05790
  • Maximum
    0.06079
  • Mean of quarter 1
    0.00086
  • Mean of quarter 2
    0.00450
  • Mean of quarter 3
    0.05790
  • Mean of quarter 4
    0.06079
  • Inter Quartile Range
    0.05643
  • 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)
    -0.06991
  • Compounded annual return (geometric extrapolation)
    -0.06869
  • Calmar ratio (compounded annual return / max draw down)
    -1.12998
  • Compounded annual return / average of 25% largest draw downs
    -1.12998
  • Compounded annual return / Expected Shortfall lognormal
    -7.16951

Strategy Description

*since micro future has rolled out hence we will be trading micro futures max quantity per trade will be 10 micro which will be equal to 1 mini future, this will help me to have more control over the risk and max SL will not exceed over $400 for any trade. i am going to divide micro in 2 units, 1 unit =5 micro to avoid too much moving parts and calculations, so depending on risk either 1 or 2 units will be traded, not at any given point in trade i will exceed 2 units and max risk of $400 per trade* rest trading system remains same as explained below*
SYSTEM SETUP.
. Trading with strict SL, the moment trade is taken SL is set.
. Focus is on trading YM. lot size 1 contract, client can scale up depending on there account size(tip:assign min 15k for 1 lot and scale up 1 lot per 15k)
. Trade can last from few mins to 1 day. sometimes trade can be taken overnight if risk to reward is high.
. given the current volatility suggested amount is min 15k.
. expected DD are 35%. and appx. 7 losers in a row.

SYSTEM GOAL.
My Goal is to make 200-300 points, with 1 contract per month, within the DD range, my focus is on trading just 1 contract and not scaling or compounding, its all up-to the client,depending on their account size and risk tolerance to scale.
MONEY MANAGEMENT RULES.
assign $15k per lot, if we reach our goal of 200-300 points MOM it will be appx 7% and above profits, and appx 70% and above profits YOY on $15k .contract can be doubled if we reach YOY target. This is hypothetical assumption of-course there will be DD months that`s where risk management comes in place.

*TRADING IS MARATHON NOT A SPRINT* *THIS SYSTEM IS NOT HOLY GRAIL*
*TRADING IS RISKY AND NOTHING IS GUARANTEED THERE IS VERY HIGH PROBABILITY OF LOSING CAPITAL*

Summary Statistics

Strategy began
2018-04-17
Suggested Minimum Capital
$30,000
Rank at C2 
#80
# Trades
344
# Profitable
179
% Profitable
52.0%
Correlation S&P500
-0.018
Sharpe Ratio
1.58
Sortino Ratio
3.20
Beta
-0.05
Alpha
0.22
Leverage
8.93 Average
36.52 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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