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Algo for ES and YM
(121344019)

Created by: MARKET-TREND-SIGNALS MARKET-TREND-SIGNALS
Started: 12/2018
Futures
Last trade: 2 days ago
Trading style: Futures Short Term

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $218.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Futures
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
79.4%
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.

(83.9%)
Max Drawdown
68
Num Trades
88.2%
Win Trades
1.6 : 1
Profit Factor
77.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                                             +21.1%+21.1%
2019+44.5%+26.2%(0.6%)+7.1%(80.3%)+240.9%+1.3%+12.1%                        +48.2%

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.

System developer has asked us to delay this information by 3 hours.

Trading Record

This strategy has placed 449 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/20/19 13:37 @YMU9 MINI DOW SHORT 2 26033 8/21 1:45 25986 0.49%
Trade id #125008003
Max drawdown($380)
Time8/20/19 13:55
Quant open2
Worst price26071
Drawdown as % of equity-0.49%
$454
Includes Typical Broker Commissions trade costs of $16.00
8/14/19 6:14 @YMU9 MINI DOW SHORT 7 26080 8/14 13:44 25670 20.56%
Trade id #124925295
Max drawdown($14,105)
Time8/14/19 13:44
Quant open-7
Worst price25677
Drawdown as % of equity-20.56%
$14,277
Includes Typical Broker Commissions trade costs of $56.00
8/5/19 14:05 @YMU9 MINI DOW SHORT 3 25678 8/5 15:25 25626 0.97%
Trade id #124773348
Max drawdown($450)
Time8/5/19 14:05
Quant open3
Worst price25708
Drawdown as % of equity-0.97%
$756
Includes Typical Broker Commissions trade costs of $24.00
5/13/19 13:02 @YMU9 MINI DOW SHORT 34 25652 8/5 13:21 25736 31.26%
Trade id #123649269
Max drawdown($21,055)
Time5/13/19 13:02
Quant open4
Worst price26663
Drawdown as % of equity-31.26%
($14,471)
Includes Typical Broker Commissions trade costs of $272.00
7/1/19 12:23 @MYMU9 MICRO E-MINI DOW SHORT 20 26695 7/1 15:11 26663 0.11%
Trade id #124292071
Max drawdown($87)
Time7/1/19 12:23
Quant open20
Worst price26704
Drawdown as % of equity-0.11%
$301
Includes Typical Broker Commissions trade costs of $18.80
6/26/19 2:09 @MYMU9 MICRO E-MINI DOW LONG 105 26589 7/1 11:29 26637 2.24%
Trade id #124232254
Max drawdown($1,690)
Time6/26/19 2:09
Quant open50
Worst price26522
Drawdown as % of equity-2.24%
$2,424
Includes Typical Broker Commissions trade costs of $98.70
6/18/19 6:44 @MYMU9 MICRO E-MINI DOW LONG 90 26476 6/25 15:17 26575 0.03%
Trade id #124121823
Max drawdown($20)
Time6/18/19 6:44
Quant open20
Worst price26234
Drawdown as % of equity-0.03%
$4,390
Includes Typical Broker Commissions trade costs of $84.60
6/18/19 7:42 @ESU9 E-MINI S&P 500 LONG 8 2919.50 6/25 15:15 2922.88 0.93%
Trade id #124122305
Max drawdown($625)
Time6/18/19 7:42
Quant open5
Worst price2910.25
Drawdown as % of equity-0.93%
$1,286
Includes Typical Broker Commissions trade costs of $64.00
4/24/19 1:32 @YMM9 MINI DOW LONG 129 25697 6/20 16:02 25679 24.82%
Trade id #123408548
Max drawdown($28,766)
Time4/24/19 1:32
Quant open13
Worst price25215
Drawdown as % of equity-24.82%
($12,857)
Includes Typical Broker Commissions trade costs of $1,032.00
3/22/19 13:58 @ESM9 E-MINI S&P 500 SHORT 58 2825.83 6/18 9:48 2834.57 34.32%
Trade id #123039163
Max drawdown($25,349)
Time6/18/19 9:48
Quant open57
Worst price2923.75
Drawdown as % of equity-34.32%
($25,813)
Includes Typical Broker Commissions trade costs of $464.00
5/13/19 12:59 @MYMU9 MICRO E-MINI DOW SHORT 3 25250 5/13 14:33 25344 0.19%
Trade id #123649203
Max drawdown($141)
Time5/13/19 14:33
Quant open0
Worst price25344
Drawdown as % of equity-0.19%
($144)
Includes Typical Broker Commissions trade costs of $2.82
3/29/19 16:52 @YMM9 MINI DOW LONG 17 26194 4/23 14:24 26330 0.13%
Trade id #123135209
Max drawdown($150)
Time3/29/19 16:58
Quant open2
Worst price25947
Drawdown as % of equity-0.13%
$11,440
Includes Typical Broker Commissions trade costs of $136.00
3/29/19 16:41 @YMM9 MINI DOW LONG 1 25955 3/29 16:47 25959 0.01%
Trade id #123134732
Max drawdown($10)
Time3/29/19 16:43
Quant open1
Worst price25953
Drawdown as % of equity-0.01%
$12
Includes Typical Broker Commissions trade costs of $8.00
3/29/19 16:09 @YMM9 MINI DOW LONG 1 25942 3/29 16:36 25954 0.01%
Trade id #123134555
Max drawdown($15)
Time3/29/19 16:11
Quant open1
Worst price25939
Drawdown as % of equity-0.01%
$52
Includes Typical Broker Commissions trade costs of $8.00
3/29/19 15:40 @YMM9 MINI DOW LONG 4 25900 3/29 16:06 25940 0.32%
Trade id #123134016
Max drawdown($360)
Time3/29/19 15:55
Quant open4
Worst price25882
Drawdown as % of equity-0.32%
$758
Includes Typical Broker Commissions trade costs of $32.00
3/22/19 7:18 @YMM9 MINI DOW LONG 15 25646 3/29 15:39 25727 8.33%
Trade id #123026960
Max drawdown($8,803)
Time3/24/19 21:03
Quant open5
Worst price25400
Drawdown as % of equity-8.33%
$5,989
Includes Typical Broker Commissions trade costs of $120.00
3/19/19 2:46 @YMM9 MINI DOW LONG 11 25835 3/21 14:57 25889 10.11%
Trade id #122965025
Max drawdown($10,088)
Time3/21/19 7:28
Quant open7
Worst price25612
Drawdown as % of equity-10.11%
$2,853
Includes Typical Broker Commissions trade costs of $88.00
3/18/19 2:25 @YMM9 MINI DOW LONG 4 25892 3/18 15:06 25902 1.1%
Trade id #122944231
Max drawdown($1,186)
Time3/18/19 6:38
Quant open2
Worst price25810
Drawdown as % of equity-1.10%
$164
Includes Typical Broker Commissions trade costs of $32.00
1/30/19 1:58 @ESH9 E-MINI S&P 500 SHORT 37 2714.64 3/18 3:15 2723.47 15.02%
Trade id #122260050
Max drawdown($16,335)
Time3/18/19 3:15
Quant open36
Worst price2813.25
Drawdown as % of equity-15.02%
($16,631)
Includes Typical Broker Commissions trade costs of $296.00
3/15/19 2:11 @YMM9 MINI DOW LONG 5 25822 3/15 14:26 25880 3.46%
Trade id #122920726
Max drawdown($3,606)
Time3/15/19 10:40
Quant open5
Worst price25678
Drawdown as % of equity-3.46%
$1,400
Includes Typical Broker Commissions trade costs of $40.00
2/25/19 13:44 @YMH9 MINI DOW LONG 28 25806 3/15 10:15 25754 18.56%
Trade id #122671800
Max drawdown($18,844)
Time3/8/19 9:09
Quant open6
Worst price25213
Drawdown as % of equity-18.56%
($7,390)
Includes Typical Broker Commissions trade costs of $224.00
3/14/19 10:58 @YMM9 MINI DOW LONG 4 25725 3/14 15:35 25747 0.37%
Trade id #122911771
Max drawdown($400)
Time3/14/19 11:04
Quant open4
Worst price25705
Drawdown as % of equity-0.37%
$415
Includes Typical Broker Commissions trade costs of $32.00
3/12/19 8:29 @YMM9 MINI DOW LONG 5 25620 3/14 10:08 25668 3.05%
Trade id #122876019
Max drawdown($3,130)
Time3/12/19 22:35
Quant open5
Worst price25495
Drawdown as % of equity-3.05%
$1,163
Includes Typical Broker Commissions trade costs of $40.00
3/11/19 5:16 @YMM9 MINI DOW SHORT 5 25431 3/12 8:28 25523 2.17%
Trade id #122859359
Max drawdown($2,390)
Time3/11/19 22:34
Quant open-1
Worst price25794
Drawdown as % of equity-2.17%
($2,340)
Includes Typical Broker Commissions trade costs of $40.00
3/7/19 14:51 @YMM9 MINI DOW SHORT 1 25454 3/8 3:26 25423 0.32%
Trade id #122825346
Max drawdown($335)
Time3/7/19 19:01
Quant open-1
Worst price25521
Drawdown as % of equity-0.32%
$147
Includes Typical Broker Commissions trade costs of $8.00
2/22/19 15:07 @YMH9 MINI DOW LONG 6 26081 2/25 12:58 26150 0%
Trade id #122650546
Max drawdown($5)
Time2/22/19 15:09
Quant open1
Worst price25936
Drawdown as % of equity-0.00%
$2,017
Includes Typical Broker Commissions trade costs of $48.00
2/19/19 7:58 @YMH9 MINI DOW LONG 21 25895 2/22 14:34 25902 1.4%
Trade id #122582188
Max drawdown($1,515)
Time2/21/19 14:53
Quant open2
Worst price25753
Drawdown as % of equity-1.40%
$583
Includes Typical Broker Commissions trade costs of $168.00
2/13/19 6:22 @YMH9 MINI DOW LONG 8 25424 2/19 6:45 25685 3.97%
Trade id #122495856
Max drawdown($4,075)
Time2/14/19 9:47
Quant open5
Worst price25304
Drawdown as % of equity-3.97%
$10,376
Includes Typical Broker Commissions trade costs of $64.00
2/6/19 21:34 @YMH9 MINI DOW LONG 11 25151 2/13 3:02 25298 8.02%
Trade id #122407179
Max drawdown($7,441)
Time2/7/19 12:56
Quant open5
Worst price24965
Drawdown as % of equity-8.02%
$8,011
Includes Typical Broker Commissions trade costs of $88.00
2/6/19 5:34 @YMH9 MINI DOW LONG 6 25312 2/6 14:17 25321 0.51%
Trade id #122386444
Max drawdown($480)
Time2/6/19 10:15
Quant open3
Worst price25257
Drawdown as % of equity-0.51%
$217
Includes Typical Broker Commissions trade costs of $48.00

Statistics

  • Strategy began
    12/4/2018
  • Suggested Minimum Cap
    $90,000
  • Strategy Age (days)
    261.51
  • Age
    9 months ago
  • What it trades
    Futures
  • # Trades
    68
  • # Profitable
    60
  • % Profitable
    88.20%
  • Avg trade duration
    6.8 days
  • Max peak-to-valley drawdown
    83.95%
  • drawdown period
    April 30, 2019 - June 03, 2019
  • Cumul. Return
    79.4%
  • Avg win
    $2,177
  • Avg loss
    $9,922
  • Model Account Values (Raw)
  • Cash
    $103,321
  • Margin Used
    $54,000
  • Buying Power
    $47,275
  • Ratios
  • W:L ratio
    1.65:1
  • Sharpe Ratio
    1.02
  • Sortino Ratio
    1.46
  • Calmar Ratio
    2.041
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.45600
  • Return Statistics
  • Ann Return (w trading costs)
    123.9%
  • Ann Return (Compnd, No Fees)
    150.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    86.50%
  • Chance of 20% account loss
    71.00%
  • Chance of 30% account loss
    57.00%
  • Chance of 40% account loss
    45.00%
  • Chance of 50% account loss
    25.50%
  • Popularity
  • Popularity (Today)
    792
  • Popularity (Last 6 weeks)
    937
  • C2 Score
    186
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $10,484
  • Avg Win
    $2,177
  • # Winners
    60
  • # Losers
    8
  • % Winners
    88.2%
  • Frequency
  • Avg Position Time (mins)
    9810.63
  • Avg Position Time (hrs)
    163.51
  • Avg Trade Length
    6.8 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    22.04
  • Daily leverage (max)
    97.07
  • Regression
  • Alpha
    0.32
  • Beta
    3.69
  • Treynor Index
    0.12
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    5.269
  • Avg(MAE) / Avg(PL) - Winning trades
    0.821
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.918
  • Hold-and-Hope Ratio
    0.178
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.82397
  • SD
    1.04506
  • Sharpe ratio (Glass type estimate)
    0.78844
  • Sharpe ratio (Hedges UMVUE)
    0.70030
  • df
    7.00000
  • t
    0.64376
  • p
    0.27012
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.67271
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.19607
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.72802
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.12862
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.48825
  • Upside Potential Ratio
    3.49478
  • Upside part of mean
    1.93488
  • Downside part of mean
    -1.11091
  • Upside SD
    0.84004
  • Downside SD
    0.55365
  • N nonnegative terms
    5.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.10828
  • Mean of criterion
    0.82397
  • SD of predictor
    0.14269
  • SD of criterion
    1.04506
  • Covariance
    0.00813
  • r
    0.05452
  • b (slope, estimate of beta)
    0.39927
  • a (intercept, estimate of alpha)
    0.78073
  • Mean Square Error
    1.27038
  • DF error
    6.00000
  • t(b)
    0.13374
  • p(b)
    0.44899
  • t(a)
    0.55068
  • p(a)
    0.30087
  • Lowerbound of 95% confidence interval for beta
    -6.90616
  • Upperbound of 95% confidence interval for beta
    7.70471
  • Lowerbound of 95% confidence interval for alpha
    -2.68847
  • Upperbound of 95% confidence interval for alpha
    4.24994
  • Treynor index (mean / b)
    2.06366
  • Jensen alpha (a)
    0.78073
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35262
  • SD
    1.02287
  • Sharpe ratio (Glass type estimate)
    0.34474
  • Sharpe ratio (Hedges UMVUE)
    0.30620
  • df
    7.00000
  • t
    0.28148
  • p
    0.39324
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.07416
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.73979
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.09961
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.71201
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.53517
  • Upside Potential Ratio
    2.50986
  • Upside part of mean
    1.65377
  • Downside part of mean
    -1.30114
  • Upside SD
    0.70120
  • Downside SD
    0.65891
  • N nonnegative terms
    5.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.09882
  • Mean of criterion
    0.35262
  • SD of predictor
    0.14130
  • SD of criterion
    1.02287
  • Covariance
    0.01614
  • r
    0.11165
  • b (slope, estimate of beta)
    0.80825
  • a (intercept, estimate of alpha)
    0.27275
  • Mean Square Error
    1.20541
  • DF error
    6.00000
  • t(b)
    0.27521
  • p(b)
    0.39619
  • t(a)
    0.19827
  • p(a)
    0.42469
  • Lowerbound of 95% confidence interval for beta
    -6.37801
  • Upperbound of 95% confidence interval for beta
    7.99451
  • Lowerbound of 95% confidence interval for alpha
    -3.09333
  • Upperbound of 95% confidence interval for alpha
    3.63883
  • Treynor index (mean / b)
    0.43628
  • Jensen alpha (a)
    0.27275
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.36638
  • Expected Shortfall on VaR
    0.43672
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.18199
  • Expected Shortfall on VaR
    0.33443
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.64930
  • Quartile 1
    0.83255
  • Median
    1.08701
  • Quartile 3
    1.27785
  • Maximum
    1.52116
  • Mean of quarter 1
    0.70491
  • Mean of quarter 2
    0.96215
  • Mean of quarter 3
    1.17939
  • Mean of quarter 4
    1.43752
  • Inter Quartile Range
    0.44530
  • 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
    1.00000
  • Minimum
    0.44383
  • Quartile 1
    0.44383
  • Median
    0.44383
  • Quartile 3
    0.44383
  • Maximum
    0.44383
  • 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)
    0.43315
  • Compounded annual return (geometric extrapolation)
    0.46306
  • Calmar ratio (compounded annual return / max draw down)
    1.04332
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    1.06032
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.56178
  • SD
    1.13295
  • Sharpe ratio (Glass type estimate)
    1.37851
  • Sharpe ratio (Hedges UMVUE)
    1.37291
  • df
    185.00000
  • t
    1.16149
  • p
    0.44590
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.95369
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.70713
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95746
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.70329
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.01468
  • Upside Potential Ratio
    7.73987
  • Upside part of mean
    5.99995
  • Downside part of mean
    -4.43817
  • Upside SD
    0.82768
  • Downside SD
    0.77520
  • N nonnegative terms
    98.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    186.00000
  • Mean of predictor
    0.09610
  • Mean of criterion
    1.56178
  • SD of predictor
    0.15705
  • SD of criterion
    1.13295
  • Covariance
    0.08733
  • r
    0.49079
  • b (slope, estimate of beta)
    3.54048
  • a (intercept, estimate of alpha)
    1.22200
  • Mean Square Error
    0.97969
  • DF error
    184.00000
  • t(b)
    7.64093
  • p(b)
    0.25461
  • t(a)
    1.03910
  • p(a)
    0.46181
  • Lowerbound of 95% confidence interval for beta
    2.62631
  • Upperbound of 95% confidence interval for beta
    4.45466
  • Lowerbound of 95% confidence interval for alpha
    -1.09780
  • Upperbound of 95% confidence interval for alpha
    3.54089
  • Treynor index (mean / b)
    0.44112
  • Jensen alpha (a)
    1.22155
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.90210
  • SD
    1.16276
  • Sharpe ratio (Glass type estimate)
    0.77582
  • Sharpe ratio (Hedges UMVUE)
    0.77268
  • df
    185.00000
  • t
    0.65369
  • p
    0.46945
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.55271
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.10232
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.55483
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.10018
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.02879
  • Upside Potential Ratio
    6.49299
  • Upside part of mean
    5.69341
  • Downside part of mean
    -4.79131
  • Upside SD
    0.76090
  • Downside SD
    0.87685
  • N nonnegative terms
    98.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    186.00000
  • Mean of predictor
    0.08382
  • Mean of criterion
    0.90210
  • SD of predictor
    0.15692
  • SD of criterion
    1.16276
  • Covariance
    0.08962
  • r
    0.49118
  • b (slope, estimate of beta)
    3.63961
  • a (intercept, estimate of alpha)
    0.59701
  • Mean Square Error
    1.03140
  • DF error
    184.00000
  • t(b)
    7.64891
  • p(b)
    0.25441
  • t(a)
    0.49504
  • p(a)
    0.48176
  • Lowerbound of 95% confidence interval for beta
    2.70082
  • Upperbound of 95% confidence interval for beta
    4.57840
  • Lowerbound of 95% confidence interval for alpha
    -1.78235
  • Upperbound of 95% confidence interval for alpha
    2.97638
  • Treynor index (mean / b)
    0.24785
  • Jensen alpha (a)
    0.59701
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10838
  • Expected Shortfall on VaR
    0.13444
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03659
  • Expected Shortfall on VaR
    0.08096
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    186.00000
  • Minimum
    0.68168
  • Quartile 1
    0.98882
  • Median
    1.00231
  • Quartile 3
    1.02478
  • Maximum
    1.34980
  • Mean of quarter 1
    0.93559
  • Mean of quarter 2
    0.99773
  • Mean of quarter 3
    1.01223
  • Mean of quarter 4
    1.07868
  • Inter Quartile Range
    0.03596
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.06452
  • Mean of outliers low
    0.83998
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.07527
  • Mean of outliers high
    1.15905
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.63477
  • VaR(95%) (moments method)
    0.05313
  • Expected Shortfall (moments method)
    0.16746
  • Extreme Value Index (regression method)
    0.41231
  • VaR(95%) (regression method)
    0.06199
  • Expected Shortfall (regression method)
    0.13531
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00372
  • Quartile 1
    0.01156
  • Median
    0.02637
  • Quartile 3
    0.09640
  • Maximum
    0.75187
  • Mean of quarter 1
    0.00451
  • Mean of quarter 2
    0.01505
  • Mean of quarter 3
    0.06067
  • Mean of quarter 4
    0.44115
  • Inter Quartile Range
    0.08483
  • 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
    0.12500
  • Mean of outliers high
    0.75187
  • 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)
    1.31738
  • Compounded annual return (geometric extrapolation)
    1.53452
  • Calmar ratio (compounded annual return / max draw down)
    2.04095
  • Compounded annual return / average of 25% largest draw downs
    3.47845
  • Compounded annual return / Expected Shortfall lognormal
    11.41400
  • 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
    0.56444
  • SD
    1.29252
  • Sharpe ratio (Glass type estimate)
    0.43670
  • Sharpe ratio (Hedges UMVUE)
    0.43417
  • df
    130.00000
  • t
    0.30879
  • p
    0.48646
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.33634
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.20817
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.33813
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.20648
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.61509
  • Upside Potential Ratio
    7.03225
  • Upside part of mean
    6.45314
  • Downside part of mean
    -5.88870
  • Upside SD
    0.90388
  • Downside SD
    0.91765
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.08443
  • Mean of criterion
    0.56444
  • SD of predictor
    0.12946
  • SD of criterion
    1.29252
  • Covariance
    0.10682
  • r
    0.63840
  • b (slope, estimate of beta)
    6.37376
  • a (intercept, estimate of alpha)
    0.02627
  • Mean Square Error
    0.99742
  • DF error
    129.00000
  • t(b)
    9.42023
  • p(b)
    0.12319
  • t(a)
    0.01859
  • p(a)
    0.49896
  • Lowerbound of 95% confidence interval for beta
    5.03508
  • Upperbound of 95% confidence interval for beta
    7.71243
  • Lowerbound of 95% confidence interval for alpha
    -2.77046
  • Upperbound of 95% confidence interval for alpha
    2.82300
  • Treynor index (mean / b)
    0.08856
  • Jensen alpha (a)
    0.02627
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.29348
  • SD
    1.33207
  • Sharpe ratio (Glass type estimate)
    -0.22032
  • Sharpe ratio (Hedges UMVUE)
    -0.21904
  • df
    130.00000
  • t
    -0.15579
  • p
    0.50683
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.99189
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.55198
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.99098
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.55289
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.28239
  • Upside Potential Ratio
    5.86082
  • Upside part of mean
    6.09095
  • Downside part of mean
    -6.38443
  • Upside SD
    0.82529
  • Downside SD
    1.03927
  • N nonnegative terms
    70.00000
  • N negative terms
    61.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.07606
  • Mean of criterion
    -0.29348
  • SD of predictor
    0.12986
  • SD of criterion
    1.33207
  • Covariance
    0.11101
  • r
    0.64174
  • b (slope, estimate of beta)
    6.58284
  • a (intercept, estimate of alpha)
    -0.79420
  • Mean Square Error
    1.05174
  • DF error
    129.00000
  • t(b)
    9.50390
  • p(b)
    0.12155
  • t(a)
    -0.54724
  • p(a)
    0.53063
  • Lowerbound of 95% confidence interval for beta
    5.21242
  • Upperbound of 95% confidence interval for beta
    7.95326
  • Lowerbound of 95% confidence interval for alpha
    -3.66562
  • Upperbound of 95% confidence interval for alpha
    2.07722
  • Treynor index (mean / b)
    -0.04458
  • Jensen alpha (a)
    -0.79420
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12758
  • Expected Shortfall on VaR
    0.15668
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04847
  • Expected Shortfall on VaR
    0.10417
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.68168
  • Quartile 1
    0.98294
  • Median
    1.00319
  • Quartile 3
    1.02768
  • Maximum
    1.34980
  • Mean of quarter 1
    0.91653
  • Mean of quarter 2
    0.99478
  • Mean of quarter 3
    1.01251
  • Mean of quarter 4
    1.08552
  • Inter Quartile Range
    0.04474
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.08397
  • Mean of outliers low
    0.83199
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.17677
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32215
  • VaR(95%) (moments method)
    0.06342
  • Expected Shortfall (moments method)
    0.11827
  • Extreme Value Index (regression method)
    0.23735
  • VaR(95%) (regression method)
    0.08723
  • Expected Shortfall (regression method)
    0.15585
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00038
  • Quartile 1
    0.00347
  • Median
    0.01365
  • Quartile 3
    0.08420
  • Maximum
    0.75187
  • Mean of quarter 1
    0.00041
  • Mean of quarter 2
    0.01008
  • Mean of quarter 3
    0.04871
  • Mean of quarter 4
    0.43578
  • Inter Quartile Range
    0.08073
  • 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
    0.75187
  • 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)
    -0.24869
  • Compounded annual return (geometric extrapolation)
    -0.23323
  • Calmar ratio (compounded annual return / max draw down)
    -0.31021
  • Compounded annual return / average of 25% largest draw downs
    -0.53521
  • Compounded annual return / Expected Shortfall lognormal
    -1.48857

Strategy Description

With over a decade of trading experience, we developed an algorithm many years ago which can accurately prompt buy and sell signals for trading stock and futures markets. We use signals generated from this system for predicting major markets such as Dow Jones e-mini futures market (YM), e-mini S&P futures (ES) and Hang Seng futures (HSI) for the Hong Kong market. Another strategy was set up for DJIA UDOW Trend Signals for trading Dow Jones ETFs. Concepts of Nobel Prize winners have been incorporated in our algorithm.

Besides issuing trading signals to our subscribers, we also trade our own account according to these signals.

The trades can be reversed when an opposite signal is given, so the trade is almost always on.

Normally the average no. of contracts traded is 1 to 2 for each trade transaction and there could be 4 transactions in a day with a total of 4 to 5 contracts traded. Positions could be lessened in the afternoon session, closer to the end of trading days. To cater to volatile market conditions, please reserve funding for 6 to 7 contracts on average. The margin required for each contract is around $8,000 for ES and YM. Please set your scaling factor as 50% or 100%, according to your funding position.

Summary Statistics

Strategy began
2018-12-04
Suggested Minimum Capital
$90,000
# Trades
68
# Profitable
60
% Profitable
88.2%
Correlation S&P500
0.456
Sharpe Ratio
1.02
Sortino Ratio
1.46
Beta
3.69
Alpha
0.32
Leverage
22.04 Average
97.07 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.