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Trend Day Setups
(120240579)

Created by: IsaacM IsaacM
Started: 10/2018
Futures
Last trade: 4 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 $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
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.
22.0%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(11.1%)
Max Drawdown
132
Num Trades
53.0%
Win Trades
1.4 : 1
Profit Factor
77.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                               +5.0%+8.2%(11%)+1.1%
2019+9.4%+2.9%  -  +1.2%+1.0%+4.9%                                    +20.7%

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 196 trades in real-life brokerage accounts.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/14/19 9:30 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 1 7504.75 6/14 16:14 7505.50 0.72%
Trade id #124083194
Max drawdown($455)
Time6/14/19 9:40
Quant open1
Worst price7482.00
Drawdown as % of equity-0.72%
$7
Includes Typical Broker Commissions trade costs of $8.00
6/13/19 9:30 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7503.25 6/13 16:14 7521.75 0.44%
Trade id #124064499
Max drawdown($275)
Time6/13/19 15:20
Quant open1
Worst price7489.50
Drawdown as % of equity-0.44%
$362
Includes Typical Broker Commissions trade costs of $8.00
6/13/19 8:20 QPLN9 PLATINUM LONG 1 810.1 6/13 8:21 811.0 n/a $37
Includes Typical Broker Commissions trade costs of $8.00
6/12/19 9:30 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7499.00 6/12 16:14 7472.50 1.2%
Trade id #124048428
Max drawdown($760)
Time6/12/19 12:16
Quant open1
Worst price7461.00
Drawdown as % of equity-1.20%
($538)
Includes Typical Broker Commissions trade costs of $8.00
6/11/19 9:30 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7588.50 6/11 16:14 7515.25 3.03%
Trade id #124026212
Max drawdown($1,915)
Time6/11/19 13:01
Quant open1
Worst price7492.75
Drawdown as % of equity-3.03%
($1,473)
Includes Typical Broker Commissions trade costs of $8.00
6/10/19 9:30 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7472.75 6/10 16:14 7513.25 n/a $802
Includes Typical Broker Commissions trade costs of $8.00
6/6/19 9:30 @WN9 WHEAT SHORT 1 490 1/4 6/6 10:24 500 1/4 0.78%
Trade id #123961574
Max drawdown($500)
Time6/6/19 10:24
Quant open0
Worst price500 1/4
Drawdown as % of equity-0.78%
($508)
Includes Typical Broker Commissions trade costs of $8.00
6/5/19 9:30 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7238.25 6/5 16:30 7227.75 2.75%
Trade id #123946266
Max drawdown($1,760)
Time6/5/19 10:53
Quant open1
Worst price7150.25
Drawdown as % of equity-2.75%
($218)
Includes Typical Broker Commissions trade costs of $8.00
6/4/19 9:30 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7055.75 6/4 16:21 7184.00 0.97%
Trade id #123928962
Max drawdown($570)
Time6/4/19 9:52
Quant open1
Worst price7027.25
Drawdown as % of equity-0.97%
$2,557
Includes Typical Broker Commissions trade costs of $8.00
6/4/19 9:30 @ESM9 E-MINI S&P 500 LONG 1 2770.00 6/4 16:21 2805.50 0.51%
Trade id #123928886
Max drawdown($300)
Time6/4/19 9:52
Quant open1
Worst price2764.00
Drawdown as % of equity-0.51%
$1,767
Includes Typical Broker Commissions trade costs of $8.00
6/4/19 9:30 @YMM9 MINI DOW LONG 1 25063 6/4 16:14 25340 0.31%
Trade id #123928946
Max drawdown($185)
Time6/4/19 9:51
Quant open1
Worst price25026
Drawdown as % of equity-0.31%
$1,377
Includes Typical Broker Commissions trade costs of $8.00
6/3/19 9:29 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7114.75 6/3 9:59 7055.00 1.99%
Trade id #123910600
Max drawdown($1,195)
Time6/3/19 9:59
Quant open0
Worst price7055.00
Drawdown as % of equity-1.99%
($1,203)
Includes Typical Broker Commissions trade costs of $8.00
5/31/19 8:20 QPLN9 PLATINUM SHORT 1 790.9 5/31 13:04 794.7 0.48%
Trade id #123886329
Max drawdown($290)
Time5/31/19 10:39
Quant open-1
Worst price796.7
Drawdown as % of equity-0.48%
($198)
Includes Typical Broker Commissions trade costs of $8.00
5/31/19 9:30 @WN9 WHEAT SHORT 1 501 3/4 5/31 12:09 512 0.85%
Trade id #123887067
Max drawdown($513)
Time5/31/19 12:09
Quant open0
Worst price512
Drawdown as % of equity-0.85%
($521)
Includes Typical Broker Commissions trade costs of $8.00
5/30/19 8:20 QPLN9 PLATINUM SHORT 1 792.1 5/30 8:21 791.5 n/a $22
Includes Typical Broker Commissions trade costs of $8.00
5/29/19 9:30 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7230.50 5/29 16:14 7218.00 1.57%
Trade id #123858165
Max drawdown($945)
Time5/29/19 11:56
Quant open1
Worst price7183.25
Drawdown as % of equity-1.57%
($258)
Includes Typical Broker Commissions trade costs of $8.00
5/29/19 8:20 QPLN9 PLATINUM SHORT 1 793.3 5/29 13:04 791.8 0.28%
Trade id #123857301
Max drawdown($170)
Time5/29/19 9:21
Quant open-1
Worst price796.7
Drawdown as % of equity-0.28%
$67
Includes Typical Broker Commissions trade costs of $8.00
5/29/19 9:30 @ESM9 E-MINI S&P 500 LONG 1 2785.25 5/29 11:41 2770.25 1.21%
Trade id #123858149
Max drawdown($750)
Time5/29/19 11:41
Quant open0
Worst price2770.25
Drawdown as % of equity-1.21%
($758)
Includes Typical Broker Commissions trade costs of $8.00
5/28/19 9:30 @WN9 WHEAT SHORT 1 506 3/4 5/28 14:14 505 0.2%
Trade id #123842257
Max drawdown($125)
Time5/28/19 9:32
Quant open-1
Worst price509 1/4
Drawdown as % of equity-0.20%
$80
Includes Typical Broker Commissions trade costs of $8.00
5/24/19 9:30 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7360.75 5/24 16:14 7312.75 1.95%
Trade id #123809928
Max drawdown($1,205)
Time5/24/19 16:00
Quant open1
Worst price7300.50
Drawdown as % of equity-1.95%
($968)
Includes Typical Broker Commissions trade costs of $8.00
5/23/19 8:20 QPLN9 PLATINUM SHORT 1 800.2 5/23 13:06 799.3 0.35%
Trade id #123792199
Max drawdown($220)
Time5/23/19 8:33
Quant open-1
Worst price804.6
Drawdown as % of equity-0.35%
$37
Includes Typical Broker Commissions trade costs of $8.00
5/22/19 9:30 @WN9 WHEAT SHORT 1 471 3/4 5/22 14:14 472 3/4 0.4%
Trade id #123766676
Max drawdown($250)
Time5/22/19 12:33
Quant open-1
Worst price476 3/4
Drawdown as % of equity-0.40%
($58)
Includes Typical Broker Commissions trade costs of $8.00
5/22/19 8:30 QPLN9 PLATINUM SHORT 1 809.5 5/22 13:04 805.6 0.1%
Trade id #123765930
Max drawdown($60)
Time5/22/19 8:40
Quant open-1
Worst price810.7
Drawdown as % of equity-0.10%
$187
Includes Typical Broker Commissions trade costs of $8.00
5/21/19 9:30 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7450.25 5/21 16:14 7468.00 0.77%
Trade id #123751244
Max drawdown($475)
Time5/21/19 10:12
Quant open1
Worst price7426.50
Drawdown as % of equity-0.77%
$347
Includes Typical Broker Commissions trade costs of $8.00
5/21/19 9:30 @WN9 WHEAT SHORT 2 486 2/4 5/21 14:14 481 4/4 0.51%
Trade id #123751201
Max drawdown($318)
Time5/21/19 10:58
Quant open-1
Worst price492 3/4
Drawdown as % of equity-0.51%
$434
Includes Typical Broker Commissions trade costs of $16.00
5/21/19 8:20 QPLN9 PLATINUM SHORT 1 813.6 5/21 13:04 815.6 0.35%
Trade id #123750323
Max drawdown($220)
Time5/21/19 10:56
Quant open-1
Worst price818.0
Drawdown as % of equity-0.35%
($108)
Includes Typical Broker Commissions trade costs of $8.00
5/21/19 9:30 @ESM9 E-MINI S&P 500 LONG 1 2859.25 5/21 9:32 2860.00 0.08%
Trade id #123751149
Max drawdown($50)
Time5/21/19 9:32
Quant open1
Worst price2858.25
Drawdown as % of equity-0.08%
$30
Includes Typical Broker Commissions trade costs of $8.00
5/14/19 2:00 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 3 7364.50 5/14 2:01 7363.92 0.06%
Trade id #123656277
Max drawdown($35)
Time5/14/19 2:01
Quant open0
Worst price7363.92
Drawdown as % of equity-0.06%
($59)
Includes Typical Broker Commissions trade costs of $24.00
5/9/19 8:20 QPLN9 PLATINUM SHORT 1 853.3 5/9 13:04 851.5 0.32%
Trade id #123586579
Max drawdown($195)
Time5/9/19 10:01
Quant open-1
Worst price857.2
Drawdown as % of equity-0.32%
$82
Includes Typical Broker Commissions trade costs of $8.00
5/8/19 8:20 QPLN9 PLATINUM SHORT 1 869.5 5/8 13:04 864.7 0.38%
Trade id #123570709
Max drawdown($230)
Time5/8/19 8:31
Quant open-1
Worst price874.1
Drawdown as % of equity-0.38%
$232
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    10/8/2018
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    253.12
  • Age
    8 months ago
  • What it trades
    Futures
  • # Trades
    132
  • # Profitable
    70
  • % Profitable
    53.00%
  • Avg trade duration
    5.1 hours
  • Max peak-to-valley drawdown
    11.09%
  • drawdown period
    Nov 28, 2018 - Jan 04, 2019
  • Cumul. Return
    22.0%
  • Avg win
    $647.60
  • Avg loss
    $518.34
  • Model Account Values (Raw)
  • Cash
    $63,145
  • Margin Used
    $0
  • Buying Power
    $63,145
  • Ratios
  • W:L ratio
    1.41:1
  • Sharpe Ratio
    1.4
  • Sortino Ratio
    2.48
  • Calmar Ratio
    3.928
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.24580
  • Return Statistics
  • Ann Return (w trading costs)
    32.7%
  • Ann Return (Compnd, No Fees)
    40.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    8.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    694
  • Popularity (Last 6 weeks)
    903
  • C2 Score
    97.5
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $518
  • Avg Win
    $648
  • # Winners
    70
  • # Losers
    62
  • % Winners
    53.0%
  • Frequency
  • Avg Position Time (mins)
    303.97
  • Avg Position Time (hrs)
    5.07
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    2.54
  • Daily leverage (max)
    7.74
  • Unknown
  • Alpha
    0.08
  • Beta
    0.23
  • Treynor Index
    0.34
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32986
  • SD
    0.13096
  • Sharpe ratio (Glass type estimate)
    2.51866
  • Sharpe ratio (Hedges UMVUE)
    2.23708
  • df
    7.00000
  • t
    2.05647
  • p
    0.03939
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.27572
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.17817
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.43413
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.90829
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.84031
  • Upside Potential Ratio
    7.15401
  • Upside part of mean
    0.40405
  • Downside part of mean
    -0.07420
  • Upside SD
    0.14452
  • Downside SD
    0.05648
  • N nonnegative terms
    6.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    -0.01631
  • Mean of criterion
    0.32986
  • SD of predictor
    0.13358
  • SD of criterion
    0.13096
  • Covariance
    -0.00063
  • r
    -0.03614
  • b (slope, estimate of beta)
    -0.03543
  • a (intercept, estimate of alpha)
    0.32928
  • Mean Square Error
    0.01998
  • DF error
    6.00000
  • t(b)
    -0.08858
  • p(b)
    0.53385
  • t(a)
    1.90048
  • p(a)
    0.05305
  • Lowerbound of 95% confidence interval for beta
    -1.01423
  • Upperbound of 95% confidence interval for beta
    0.94337
  • Lowerbound of 95% confidence interval for alpha
    -0.09468
  • Upperbound of 95% confidence interval for alpha
    0.75324
  • Treynor index (mean / b)
    -9.30943
  • Jensen alpha (a)
    0.32928
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31743
  • SD
    0.12926
  • Sharpe ratio (Glass type estimate)
    2.45566
  • Sharpe ratio (Hedges UMVUE)
    2.18113
  • df
    7.00000
  • t
    2.00504
  • p
    0.04249
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32266
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.10085
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.47736
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.83961
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.50377
  • Upside Potential Ratio
    6.81565
  • Upside part of mean
    0.39309
  • Downside part of mean
    -0.07566
  • Upside SD
    0.14032
  • Downside SD
    0.05767
  • N nonnegative terms
    6.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    -0.02416
  • Mean of criterion
    0.31743
  • SD of predictor
    0.13459
  • SD of criterion
    0.12926
  • Covariance
    -0.00074
  • r
    -0.04230
  • b (slope, estimate of beta)
    -0.04063
  • a (intercept, estimate of alpha)
    0.31645
  • Mean Square Error
    0.01946
  • DF error
    6.00000
  • t(b)
    -0.10371
  • p(b)
    0.53961
  • t(a)
    1.84939
  • p(a)
    0.05694
  • Lowerbound of 95% confidence interval for beta
    -0.99921
  • Upperbound of 95% confidence interval for beta
    0.91795
  • Lowerbound of 95% confidence interval for alpha
    -0.10225
  • Upperbound of 95% confidence interval for alpha
    0.73514
  • Treynor index (mean / b)
    -7.81288
  • Jensen alpha (a)
    0.31645
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03432
  • Expected Shortfall on VaR
    0.04917
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00827
  • Expected Shortfall on VaR
    0.02035
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.95635
  • Quartile 1
    1.01465
  • Median
    1.03887
  • Quartile 3
    1.05714
  • Maximum
    1.06870
  • Mean of quarter 1
    0.97760
  • Mean of quarter 2
    1.02421
  • Mean of quarter 3
    1.05250
  • Mean of quarter 4
    1.06495
  • Inter Quartile Range
    0.04248
  • 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
    2.00000
  • Minimum
    0.00115
  • Quartile 1
    0.01178
  • Median
    0.02240
  • Quartile 3
    0.03303
  • Maximum
    0.04366
  • Mean of quarter 1
    0.00115
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.04366
  • Inter Quartile Range
    0.02125
  • 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)
    0.38832
  • Compounded annual return (geometric extrapolation)
    0.41246
  • Calmar ratio (compounded annual return / max draw down)
    9.44817
  • Compounded annual return / average of 25% largest draw downs
    9.44817
  • Compounded annual return / Expected Shortfall lognormal
    8.38806
  • 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
    0.33158
  • SD
    0.16989
  • Sharpe ratio (Glass type estimate)
    1.95167
  • Sharpe ratio (Hedges UMVUE)
    1.94339
  • df
    177.00000
  • t
    1.60866
  • p
    0.42376
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.43756
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.33554
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44309
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.32986
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.46392
  • Upside Potential Ratio
    10.40980
  • Upside part of mean
    0.99646
  • Downside part of mean
    -0.66489
  • Upside SD
    0.14128
  • Downside SD
    0.09572
  • N nonnegative terms
    71.00000
  • N negative terms
    107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    178.00000
  • Mean of predictor
    0.00503
  • Mean of criterion
    0.33158
  • SD of predictor
    0.17952
  • SD of criterion
    0.16989
  • Covariance
    0.00838
  • r
    0.27469
  • b (slope, estimate of beta)
    0.25996
  • a (intercept, estimate of alpha)
    0.33000
  • Mean Square Error
    0.02684
  • DF error
    176.00000
  • t(b)
    3.78997
  • p(b)
    0.36266
  • t(a)
    1.66171
  • p(a)
    0.43786
  • Lowerbound of 95% confidence interval for beta
    0.12459
  • Upperbound of 95% confidence interval for beta
    0.39533
  • Lowerbound of 95% confidence interval for alpha
    -0.06198
  • Upperbound of 95% confidence interval for alpha
    0.72252
  • Treynor index (mean / b)
    1.27549
  • Jensen alpha (a)
    0.33027
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31712
  • SD
    0.16875
  • Sharpe ratio (Glass type estimate)
    1.87926
  • Sharpe ratio (Hedges UMVUE)
    1.87128
  • df
    177.00000
  • t
    1.54898
  • p
    0.42654
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.50924
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.26259
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51457
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.25713
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.28202
  • Upside Potential Ratio
    10.21040
  • Upside part of mean
    0.98658
  • Downside part of mean
    -0.66945
  • Upside SD
    0.13916
  • Downside SD
    0.09663
  • N nonnegative terms
    71.00000
  • N negative terms
    107.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    178.00000
  • Mean of predictor
    -0.01100
  • Mean of criterion
    0.31712
  • SD of predictor
    0.17957
  • SD of criterion
    0.16875
  • Covariance
    0.00832
  • r
    0.27465
  • b (slope, estimate of beta)
    0.25811
  • a (intercept, estimate of alpha)
    0.31996
  • Mean Square Error
    0.02648
  • DF error
    176.00000
  • t(b)
    3.78944
  • p(b)
    0.36267
  • t(a)
    1.62075
  • p(a)
    0.43937
  • Lowerbound of 95% confidence interval for beta
    0.12369
  • Upperbound of 95% confidence interval for beta
    0.39253
  • Lowerbound of 95% confidence interval for alpha
    -0.06965
  • Upperbound of 95% confidence interval for alpha
    0.70958
  • Treynor index (mean / b)
    1.22866
  • Jensen alpha (a)
    0.31996
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01581
  • Expected Shortfall on VaR
    0.02008
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00650
  • Expected Shortfall on VaR
    0.01315
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    178.00000
  • Minimum
    0.97033
  • Quartile 1
    0.99831
  • Median
    1.00000
  • Quartile 3
    1.00429
  • Maximum
    1.05233
  • Mean of quarter 1
    0.99048
  • Mean of quarter 2
    0.99973
  • Mean of quarter 3
    1.00135
  • Mean of quarter 4
    1.01389
  • Inter Quartile Range
    0.00598
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.07865
  • Mean of outliers low
    0.98230
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.10112
  • Mean of outliers high
    1.02324
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.53306
  • VaR(95%) (moments method)
    0.00595
  • Expected Shortfall (moments method)
    0.00705
  • Extreme Value Index (regression method)
    -0.28198
  • VaR(95%) (regression method)
    0.00873
  • Expected Shortfall (regression method)
    0.01141
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00372
  • Median
    0.02262
  • Quartile 3
    0.04437
  • Maximum
    0.10491
  • Mean of quarter 1
    0.00123
  • Mean of quarter 2
    0.01097
  • Mean of quarter 3
    0.03197
  • Mean of quarter 4
    0.07758
  • Inter Quartile Range
    0.04066
  • 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)
    -11.03740
  • VaR(95%) (moments method)
    0.08163
  • Expected Shortfall (moments method)
    0.08163
  • Extreme Value Index (regression method)
    -1.41843
  • VaR(95%) (regression method)
    0.12238
  • Expected Shortfall (regression method)
    0.12673
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.38883
  • Compounded annual return (geometric extrapolation)
    0.41203
  • Calmar ratio (compounded annual return / max draw down)
    3.92753
  • Compounded annual return / average of 25% largest draw downs
    5.31109
  • Compounded annual return / Expected Shortfall lognormal
    20.51730
  • 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
    0.32269
  • SD
    0.14694
  • Sharpe ratio (Glass type estimate)
    2.19600
  • Sharpe ratio (Hedges UMVUE)
    2.18330
  • df
    130.00000
  • t
    1.55280
  • p
    0.43253
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.59276
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.97650
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.60118
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.96778
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.88396
  • Upside Potential Ratio
    10.69550
  • Upside part of mean
    0.88861
  • Downside part of mean
    -0.56592
  • Upside SD
    0.12216
  • Downside SD
    0.08308
  • N nonnegative terms
    55.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17646
  • Mean of criterion
    0.32269
  • SD of predictor
    0.15965
  • SD of criterion
    0.14694
  • Covariance
    0.00624
  • r
    0.26598
  • b (slope, estimate of beta)
    0.24482
  • a (intercept, estimate of alpha)
    0.27949
  • Mean Square Error
    0.02022
  • DF error
    129.00000
  • t(b)
    3.13388
  • p(b)
    0.33269
  • t(a)
    1.38655
  • p(a)
    0.42304
  • Lowerbound of 95% confidence interval for beta
    0.09026
  • Upperbound of 95% confidence interval for beta
    0.39938
  • Lowerbound of 95% confidence interval for alpha
    -0.11933
  • Upperbound of 95% confidence interval for alpha
    0.67831
  • Treynor index (mean / b)
    1.31807
  • Jensen alpha (a)
    0.27949
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31183
  • SD
    0.14610
  • Sharpe ratio (Glass type estimate)
    2.13437
  • Sharpe ratio (Hedges UMVUE)
    2.12203
  • df
    130.00000
  • t
    1.50923
  • p
    0.43439
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65355
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.91429
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66175
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.90581
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.72120
  • Upside Potential Ratio
    10.51540
  • Upside part of mean
    0.88118
  • Downside part of mean
    -0.56935
  • Upside SD
    0.12055
  • Downside SD
    0.08380
  • N nonnegative terms
    55.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16379
  • Mean of criterion
    0.31183
  • SD of predictor
    0.15914
  • SD of criterion
    0.14610
  • Covariance
    0.00613
  • r
    0.26347
  • b (slope, estimate of beta)
    0.24188
  • a (intercept, estimate of alpha)
    0.27222
  • Mean Square Error
    0.02002
  • DF error
    129.00000
  • t(b)
    3.10209
  • p(b)
    0.33423
  • t(a)
    1.35771
  • p(a)
    0.42461
  • Lowerbound of 95% confidence interval for beta
    0.08761
  • Upperbound of 95% confidence interval for beta
    0.39616
  • Lowerbound of 95% confidence interval for alpha
    -0.12447
  • Upperbound of 95% confidence interval for alpha
    0.66890
  • Treynor index (mean / b)
    1.28919
  • Jensen alpha (a)
    0.27222
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01356
  • Expected Shortfall on VaR
    0.01727
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00541
  • Expected Shortfall on VaR
    0.01106
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97138
  • Quartile 1
    0.99870
  • Median
    1.00000
  • Quartile 3
    1.00426
  • Maximum
    1.04626
  • Mean of quarter 1
    0.99194
  • Mean of quarter 2
    0.99973
  • Mean of quarter 3
    1.00161
  • Mean of quarter 4
    1.01208
  • Inter Quartile Range
    0.00556
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.98477
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.09160
  • Mean of outliers high
    1.02058
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.22477
  • VaR(95%) (moments method)
    0.00488
  • Expected Shortfall (moments method)
    0.00637
  • Extreme Value Index (regression method)
    0.08655
  • VaR(95%) (regression method)
    0.00709
  • Expected Shortfall (regression method)
    0.01123
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    13.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00308
  • Median
    0.01225
  • Quartile 3
    0.02893
  • Maximum
    0.04749
  • Mean of quarter 1
    0.00106
  • Mean of quarter 2
    0.00824
  • Mean of quarter 3
    0.02456
  • Mean of quarter 4
    0.04067
  • Inter Quartile Range
    0.02585
  • 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)
    -2.68827
  • VaR(95%) (moments method)
    0.04192
  • Expected Shortfall (moments method)
    0.04208
  • Extreme Value Index (regression method)
    -0.68971
  • VaR(95%) (regression method)
    0.04806
  • Expected Shortfall (regression method)
    0.05141
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.37030
  • Compounded annual return (geometric extrapolation)
    0.40458
  • Calmar ratio (compounded annual return / max draw down)
    8.51853
  • Compounded annual return / average of 25% largest draw downs
    9.94763
  • Compounded annual return / Expected Shortfall lognormal
    23.42470

Strategy Description

This strategy is composed of 6 different sub-systems and trades 4 uncorrelated markets: the equity market, natural gas, metals and the grains markets through the futures market. The exact symbols I trade are ES, YM, NQ, NG, PL (i.e Platinum) & W (i.e Wheat).

All the sub-systems enter at the pit session’s open and exit near its close - none hold positions overnight - so you will not be exposed to lack of liquidity and potential large slippages that accompany it.

I attach stop orders to all of my orders. The exact amount of money I risk in each trade depends on the volatility of the particular market. On extreme conditions, I may either use a fixed max stop or not trade at all, depending on the sub-system.

A few words regarding the strategies: 1. All sub-systems aim to catch large intraday moves. 2. Various filters are used (mathematical indicators of different types, calendar etc.) in order to choose (among the many possibilities) the ones with a higher probability of success (based on historical performances.)

I have a B.Sc in mathematics and computer science from a highly regarded university. I am the one who designed the strategies, wrote code and used packages to back-test them. I have 5 years of trading experience with futures with real money, real accounts, and real (provable) success.

You can ask/message me any question you have, and I can share with you Trade Station's performance reports of my back-testing.

Updates:
11/21/2018 – Wheat & NASDAQ sub-systems were added.
4/15/2019 – YM & NQ sub-systems were modified. It means, among other things, that stop size might be bigger from now on and they won’t trigger as frequent as before. I plan to add a Trend Day “lite” strategy that will trade 5 contracts of CME’s new micro contract coming out next month instead of 1 mini size.
5/01/2019 – Platinum sub-system was added.
5/10/2019 - Strategy is 90% automated with only one aspect of it still being handled by us manually.

Summary Statistics

Strategy began
2018-10-08
Suggested Minimum Capital
$60,000
# Trades
132
# Profitable
70
% Profitable
53.0%
Correlation S&P500
0.246
Sharpe Ratio
1.40
Sortino Ratio
2.48
Beta
0.23
Alpha
0.08
Leverage
2.54 Average
7.74 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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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.