Welcome to Collective2

Follow these tips for a better experience

Ok, let's start

Close
Add to Watch List Create new Watch List
Add
Enter a name for your Watch List.
Watch List name must be less than 60 characters.
You have reached the maximum number of custom Watch Lists.
You have reached the maximum number of strategies in this Watch List.
Strategy added to Watch List. Go to Watch List

Sim is unavailable for this strategy, because you've recently "Simmed" it.

These are hypothetical performance results that have certain inherent limitations. Learn more

ES-US
(128902934)

Created by: Sweden-Trader Sweden-Trader
Started: 05/2020
Futures
Last trade: Yesterday
Trading style: Futures Commodities Financials / Indexes

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 $200.00 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
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
99.3%
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.

(21.7%)
Max Drawdown
24
Num Trades
58.3%
Win Trades
3.5 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                            +2.9%+16.4%+68.8%(1.4%)                        +99.3%

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 18 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/7/20 10:04 QCLU0 CRUDE OIL SHORT 2 41.21 8/7 10:11 41.46 n/a ($515)
Includes Typical Broker Commissions trade costs of $16.00
7/28/20 18:00 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 1 10566.12 7/31 16:03 10899.42 2.84%
Trade id #130326336
Max drawdown($1,267)
Time7/30/20 0:00
Quant open1
Worst price10502.80
Drawdown as % of equity-2.84%
$6,658
Includes Typical Broker Commissions trade costs of $8.00
7/24/20 8:00 @ESU0 E-MINI S&P 500 LONG 2 3231.57 7/31 16:00 3262.00 2.94%
Trade id #130258401
Max drawdown($1,175)
Time7/24/20 13:15
Quant open1
Worst price3191.50
Drawdown as % of equity-2.94%
$3,027
Includes Typical Broker Commissions trade costs of $16.00
7/30/20 2:55 QCLU0 CRUDE OIL SHORT 2 40.91 7/30 4:15 41.04 0.67%
Trade id #130355707
Max drawdown($280)
Time7/30/20 4:15
Quant open2
Worst price41.05
Drawdown as % of equity-0.67%
($276)
Includes Typical Broker Commissions trade costs of $16.00
7/14/20 5:16 @CCU0 COCOA LONG 1 2171 7/29 5:52 2322 1.79%
Trade id #130065333
Max drawdown($560)
Time7/16/20 0:00
Quant open1
Worst price2115
Drawdown as % of equity-1.79%
$1,500
Includes Typical Broker Commissions trade costs of $8.00
7/23/20 14:13 QCLU0 CRUDE OIL SHORT 1 41.16 7/23 14:16 40.87 n/a $282
Includes Typical Broker Commissions trade costs of $8.00
7/17/20 6:50 @NQU0 E-MINI NASDAQ 100 STK IDX LONG 2 10580.50 7/20 18:07 10753.48 5.05%
Trade id #130131634
Max drawdown($1,600)
Time7/17/20 10:29
Quant open1
Worst price10537.50
Drawdown as % of equity-5.05%
$6,903
Includes Typical Broker Commissions trade costs of $16.00
7/16/20 22:00 @ESU0 E-MINI S&P 500 LONG 1 3204.25 7/20 12:01 3225.00 2.28%
Trade id #130126390
Max drawdown($700)
Time7/20/20 3:06
Quant open1
Worst price3190.25
Drawdown as % of equity-2.28%
$1,030
Includes Typical Broker Commissions trade costs of $8.00
6/23/20 4:53 @CCU0 COCOA LONG 1 2277 7/8 12:58 2113 5.91%
Trade id #129699932
Max drawdown($1,850)
Time7/8/20 11:55
Quant open1
Worst price2092
Drawdown as % of equity-5.91%
($1,648)
Includes Typical Broker Commissions trade costs of $8.00
6/29/20 8:00 @ESU0 E-MINI S&P 500 LONG 1 3024.00 7/3 6:00 3120.75 8.18%
Trade id #129799140
Max drawdown($1,775)
Time6/29/20 9:48
Quant open1
Worst price2988.50
Drawdown as % of equity-8.18%
$4,830
Includes Typical Broker Commissions trade costs of $8.00
6/28/20 18:00 @BPU0 BRITISH POUND LONG 1 1.2342 7/2 18:00 1.2471 2.19%
Trade id #129791514
Max drawdown($537)
Time6/29/20 0:00
Quant open1
Worst price1.2256
Drawdown as % of equity-2.19%
$798
Includes Typical Broker Commissions trade costs of $8.00
6/28/20 18:00 @MNQU0 MICRO E-MINI NASDAQ 100 LONG 5 9798.00 6/30 15:52 10152.75 2.81%
Trade id #129791512
Max drawdown($690)
Time6/29/20 0:00
Quant open5
Worst price9729.00
Drawdown as % of equity-2.81%
$3,543
Includes Typical Broker Commissions trade costs of $4.70
6/22/20 7:13 @BPU0 BRITISH POUND LONG 1 1.2389 6/25 18:01 1.2423 0.05%
Trade id #129683270
Max drawdown($12)
Time6/22/20 7:28
Quant open1
Worst price1.2387
Drawdown as % of equity-0.05%
$205
Includes Typical Broker Commissions trade costs of $8.00
6/24/20 10:00 @ESU0 E-MINI S&P 500 LONG 1 3076.50 6/24 11:43 3027.00 9.45%
Trade id #129725225
Max drawdown($2,487)
Time6/24/20 11:43
Quant open1
Worst price3026.75
Drawdown as % of equity-9.45%
($2,483)
Includes Typical Broker Commissions trade costs of $8.00
6/18/20 12:00 @ESU0 E-MINI S&P 500 LONG 1 3094.75 6/18 12:00 3094.50 0.05%
Trade id #129638811
Max drawdown($13)
Time6/18/20 12:00
Quant open1
Worst price3094.50
Drawdown as % of equity-0.05%
($21)
Includes Typical Broker Commissions trade costs of $8.00
6/17/20 22:00 @ESU0 E-MINI S&P 500 LONG 1 3074.25 6/18 10:00 3094.50 1.9%
Trade id #129628129
Max drawdown($487)
Time6/18/20 0:00
Quant open1
Worst price3064.50
Drawdown as % of equity-1.90%
$1,005
Includes Typical Broker Commissions trade costs of $8.00
5/8/20 10:03 @CCN0 COCOA SHORT 1 2381 6/11 4:45 2443 4.98%
Trade id #128925365
Max drawdown($1,280)
Time6/1/20 0:00
Quant open1
Worst price2509
Drawdown as % of equity-4.98%
($628)
Includes Typical Broker Commissions trade costs of $8.00
6/8/20 16:10 @ESM0 E-MINI S&P 500 SHORT 1 3225.00 6/9 9:30 3201.00 1.23%
Trade id #129419725
Max drawdown($300)
Time6/9/20 0:00
Quant open1
Worst price3231.00
Drawdown as % of equity-1.23%
$1,192
Includes Typical Broker Commissions trade costs of $8.00
6/2/20 16:10 @ESM0 E-MINI S&P 500 SHORT 1 3074.75 6/3 9:30 3099.75 10.74%
Trade id #129318183
Max drawdown($2,737)
Time6/3/20 0:00
Quant open1
Worst price3129.50
Drawdown as % of equity-10.74%
($1,258)
Includes Typical Broker Commissions trade costs of $8.00
5/28/20 18:00 @USU0 US T-BOND LONG 1 177 11/32 5/31 18:00 178 11/32 0.12%
Trade id #129248280
Max drawdown($31)
Time5/29/20 0:00
Quant open1
Worst price177 10/32
Drawdown as % of equity-0.12%
$992
Includes Typical Broker Commissions trade costs of $8.00
5/29/20 10:00 @ESM0 E-MINI S&P 500 LONG 1 3019.75 5/29 12:00 3014.00 3.53%
Trade id #129259859
Max drawdown($900)
Time5/29/20 11:04
Quant open1
Worst price3001.75
Drawdown as % of equity-3.53%
($296)
Includes Typical Broker Commissions trade costs of $8.00
5/29/20 8:00 @ESM0 E-MINI S&P 500 LONG 1 3031.00 5/29 10:00 3019.50 3.13%
Trade id #129257505
Max drawdown($812)
Time5/29/20 9:32
Quant open1
Worst price3014.75
Drawdown as % of equity-3.13%
($583)
Includes Typical Broker Commissions trade costs of $8.00
5/21/20 14:00 @ESM0 E-MINI S&P 500 LONG 1 2948.25 5/28 22:00 3026.00 10.24%
Trade id #129135296
Max drawdown($2,225)
Time5/22/20 0:00
Quant open1
Worst price2903.75
Drawdown as % of equity-10.24%
$3,880
Includes Typical Broker Commissions trade costs of $8.00
5/12/20 0:00 @ESM0 E-MINI S&P 500 LONG 1 2903.75 5/12 16:13 2853.50 10.64%
Trade id #128972108
Max drawdown($2,475)
Time5/12/20 16:06
Quant open1
Worst price2854.25
Drawdown as % of equity-10.64%
($2,521)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    5/7/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    92.82
  • Age
    93 days ago
  • What it trades
    Futures
  • # Trades
    24
  • # Profitable
    14
  • % Profitable
    58.30%
  • Avg trade duration
    4.5 days
  • Max peak-to-valley drawdown
    21.69%
  • drawdown period
    May 28, 2020 - June 29, 2020
  • Cumul. Return
    99.3%
  • Avg win
    $2,569
  • Avg loss
    $1,013
  • Model Account Values (Raw)
  • Cash
    $50,837
  • Margin Used
    $0
  • Buying Power
    $50,837
  • Ratios
  • W:L ratio
    3.55:1
  • Sharpe Ratio
    3.88
  • Sortino Ratio
    8.2
  • Calmar Ratio
    124.962
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    82.94%
  • Correlation to SP500
    0.20690
  • Return Percent SP500 (cumu) during strategy life
    16.32%
  • Return Statistics
  • Ann Return (w trading costs)
    1288.1%
  • Slump
  • Current Slump as Pcnt Equity
    2.80%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.08%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.993%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1481.5%
  • Automation
  • Percentage Signals Automated
    10000.00%
  • Popularity
  • Popularity (Today)
    930
  • Popularity (Last 6 weeks)
    982
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    841
  • Popularity (7 days, Percentile 1000 scale)
    983
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,013
  • Avg Win
    $2,569
  • Sum Trade PL (losers)
    $10,133.000
  • AUM
  • AUM (AutoTrader num accounts)
    11
  • Age
  • Num Months filled monthly returns table
    4
  • Win / Loss
  • Sum Trade PL (winners)
    $35,970.000
  • # Winners
    14
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    734168
  • Win / Loss
  • # Losers
    10
  • % Winners
    58.3%
  • Frequency
  • Avg Position Time (mins)
    6478.97
  • Avg Position Time (hrs)
    107.98
  • Avg Trade Length
    4.5 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    4.72
  • Daily leverage (max)
    19.15
  • Regression
  • Alpha
    0.72
  • Beta
    0.61
  • Treynor Index
    1.33
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.04
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.46
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    0.969
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.318
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.322
  • Hold-and-Hope Ratio
    1.032
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.45766
  • SD
    1.00915
  • Sharpe ratio (Glass type estimate)
    3.42632
  • Sharpe ratio (Hedges UMVUE)
    1.93310
  • df
    2.00000
  • t
    1.71316
  • p
    0.11441
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.77964
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.22731
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.42059
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.28678
  • Statistics related to Sortino ratio
  • Sortino ratio
    337.28100
  • Upside Potential Ratio
    339.28100
  • Upside part of mean
    3.47816
  • Downside part of mean
    -0.02050
  • Upside SD
    1.29425
  • Downside SD
    0.01025
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.61118
  • Mean of criterion
    3.45766
  • SD of predictor
    0.24488
  • SD of criterion
    1.00915
  • Covariance
    -0.11563
  • r
    -0.46792
  • b (slope, estimate of beta)
    -1.92834
  • a (intercept, estimate of alpha)
    4.63622
  • Mean Square Error
    1.59080
  • DF error
    1.00000
  • t(b)
    -0.52947
  • p(b)
    0.65500
  • t(a)
    1.37809
  • p(a)
    0.19981
  • Lowerbound of 95% confidence interval for beta
    -48.20490
  • Upperbound of 95% confidence interval for beta
    44.34820
  • Lowerbound of 95% confidence interval for alpha
    -38.11040
  • Upperbound of 95% confidence interval for alpha
    47.38280
  • Treynor index (mean / b)
    -1.79308
  • Jensen alpha (a)
    4.63622
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.82226
  • SD
    0.79929
  • Sharpe ratio (Glass type estimate)
    3.53098
  • Sharpe ratio (Hedges UMVUE)
    1.99214
  • df
    2.00000
  • t
    1.76549
  • p
    0.10976
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.73290
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.39231
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.38703
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.37131
  • Statistics related to Sortino ratio
  • Sortino ratio
    275.23500
  • Upside Potential Ratio
    277.23500
  • Upside part of mean
    2.84277
  • Downside part of mean
    -0.02051
  • Upside SD
    1.04382
  • Downside SD
    0.01025
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.57665
  • Mean of criterion
    2.82226
  • SD of predictor
    0.23354
  • SD of criterion
    0.79929
  • Covariance
    -0.09489
  • r
    -0.50835
  • b (slope, estimate of beta)
    -1.73980
  • a (intercept, estimate of alpha)
    3.82552
  • Mean Square Error
    0.94754
  • DF error
    1.00000
  • t(b)
    -0.59031
  • p(b)
    0.66974
  • t(a)
    1.48029
  • p(a)
    0.18912
  • Lowerbound of 95% confidence interval for beta
    -39.18850
  • Upperbound of 95% confidence interval for beta
    35.70890
  • Lowerbound of 95% confidence interval for alpha
    -29.01110
  • Upperbound of 95% confidence interval for alpha
    36.66210
  • Treynor index (mean / b)
    -1.62218
  • Jensen alpha (a)
    3.82552
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13440
  • Expected Shortfall on VaR
    0.21118
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00311
  • Expected Shortfall on VaR
    0.00586
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.99720
  • Quartile 1
    1.14580
  • Median
    1.29440
  • Quartile 3
    1.43710
  • Maximum
    1.57979
  • Mean of quarter 1
    0.99720
  • Mean of quarter 2
    1.29440
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.57979
  • Inter Quartile Range
    0.29130
  • 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
    0.00280
  • Quartile 1
    0.00280
  • Median
    0.00280
  • Quartile 3
    0.00280
  • Maximum
    0.00280
  • 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)
    4.15668
  • Compounded annual return (geometric extrapolation)
    16.29070
  • Calmar ratio (compounded annual return / max draw down)
    5823.32000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    77.14000
  • 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
    3.01047
  • SD
    0.63679
  • Sharpe ratio (Glass type estimate)
    4.72755
  • Sharpe ratio (Hedges UMVUE)
    4.67279
  • df
    65.00000
  • t
    2.37278
  • p
    0.01031
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.72183
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.69853
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.68598
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.65959
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.26000
  • Upside Potential Ratio
    16.04280
  • Upside part of mean
    4.70725
  • Downside part of mean
    -1.69678
  • Upside SD
    0.58980
  • Downside SD
    0.29342
  • N nonnegative terms
    30.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    66.00000
  • Mean of predictor
    0.59604
  • Mean of criterion
    3.01047
  • SD of predictor
    0.21616
  • SD of criterion
    0.63679
  • Covariance
    0.02782
  • r
    0.20208
  • b (slope, estimate of beta)
    0.59532
  • a (intercept, estimate of alpha)
    2.65600
  • Mean Square Error
    0.39502
  • DF error
    64.00000
  • t(b)
    1.65069
  • p(b)
    0.05185
  • t(a)
    2.09013
  • p(a)
    0.02029
  • Lowerbound of 95% confidence interval for beta
    -0.12516
  • Upperbound of 95% confidence interval for beta
    1.31579
  • Lowerbound of 95% confidence interval for alpha
    0.11739
  • Upperbound of 95% confidence interval for alpha
    5.19388
  • Treynor index (mean / b)
    5.05692
  • Jensen alpha (a)
    2.65564
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.80067
  • SD
    0.62297
  • Sharpe ratio (Glass type estimate)
    4.49571
  • Sharpe ratio (Hedges UMVUE)
    4.44363
  • df
    65.00000
  • t
    2.25642
  • p
    0.01371
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.49868
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.45965
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.46457
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.42269
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.12512
  • Upside Potential Ratio
    14.80180
  • Upside part of mean
    4.54297
  • Downside part of mean
    -1.74229
  • Upside SD
    0.56387
  • Downside SD
    0.30692
  • N nonnegative terms
    30.00000
  • N negative terms
    36.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    66.00000
  • Mean of predictor
    0.57207
  • Mean of criterion
    2.80067
  • SD of predictor
    0.21800
  • SD of criterion
    0.62297
  • Covariance
    0.02819
  • r
    0.20755
  • b (slope, estimate of beta)
    0.59312
  • a (intercept, estimate of alpha)
    2.46137
  • Mean Square Error
    0.37717
  • DF error
    64.00000
  • t(b)
    1.69740
  • p(b)
    0.04724
  • t(a)
    1.98522
  • p(a)
    0.02570
  • Lowerbound of 95% confidence interval for beta
    -0.10494
  • Upperbound of 95% confidence interval for beta
    1.29118
  • Lowerbound of 95% confidence interval for alpha
    -0.01551
  • Upperbound of 95% confidence interval for alpha
    4.93824
  • Treynor index (mean / b)
    4.72195
  • Jensen alpha (a)
    2.46137
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05126
  • Expected Shortfall on VaR
    0.06630
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01542
  • Expected Shortfall on VaR
    0.03338
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    66.00000
  • Minimum
    0.88674
  • Quartile 1
    0.99545
  • Median
    1.00000
  • Quartile 3
    1.02125
  • Maximum
    1.12606
  • Mean of quarter 1
    0.97685
  • Mean of quarter 2
    0.99813
  • Mean of quarter 3
    1.00790
  • Mean of quarter 4
    1.06250
  • Inter Quartile Range
    0.02581
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.03030
  • Mean of outliers low
    0.91047
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.10606
  • Mean of outliers high
    1.09864
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.65354
  • VaR(95%) (moments method)
    0.02046
  • Expected Shortfall (moments method)
    0.06699
  • Extreme Value Index (regression method)
    0.69947
  • VaR(95%) (regression method)
    0.02518
  • Expected Shortfall (regression method)
    0.09575
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00275
  • Quartile 1
    0.00512
  • Median
    0.02203
  • Quartile 3
    0.07743
  • Maximum
    0.12741
  • Mean of quarter 1
    0.00359
  • Mean of quarter 2
    0.00613
  • Mean of quarter 3
    0.05433
  • Mean of quarter 4
    0.11128
  • Inter Quartile Range
    0.07231
  • 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)
    4.12519
  • Compounded annual return (geometric extrapolation)
    15.92140
  • Calmar ratio (compounded annual return / max draw down)
    124.96200
  • Compounded annual return / average of 25% largest draw downs
    143.06900
  • Compounded annual return / Expected Shortfall lognormal
    240.15400
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.05100
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -259374000
  • Max Equity Drawdown (num days)
    32

Strategy Description

"ES-US" is a portfolio of several automated strategies with different logics and timeframes and with low correlation to each other. I try to make them as robust as possible in different market conditions but i also reevaluate them periodically. The primary goal is to be consistent profitable every year but at the same time maintain or decrease the level of risk.

The position size of the strategies will be constant more or less. The historical maximum drawdown in backtests of the ES-US portfolio since 2006 is below $15k but it could get higher in a monte carlo test. In my personal opinion a starting capital of $30K would be an aggressive approach and $50K would be a more moderate and constant level. Since i wont increase position size with time i personally would withdraw any funds above $50K for this particular system (if one trades several systems on C2 of course you have to take that to consideration). I might rescale the chart in the future when it passes the $50K limit to match the position sizes. These are my personal opinions and are not to be perceived as recommendations.

Summary Statistics

Strategy began
2020-05-07
Suggested Minimum Capital
$50,000
Rank at C2 
#102
# Trades
24
# Profitable
14
% Profitable
58.3%
Correlation S&P500
0.207
Sharpe Ratio
3.88
Sortino Ratio
8.20
Beta
0.61
Alpha
0.72
Leverage
4.72 Average
19.15 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

#PERSONNAME#
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.

Okay, gotcha.

Not available

This feature isn't available under your current Trade Leader Plan.

Want to see available plans and features?

Please hold...

Strategy is now visible

This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.