Collective2 Collective2
Featured Strategy Lazy Trading ES +44.6% Cumul. Return since Sep 25, 2024 Hypothetical

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This is an archived track record. This track record was archived on 7/24/24 17:04 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more
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neuralsentiment
(145918959)

Created by: DAVIDZAITZEFF2 DAVIDZAITZEFF2
Started: 09/2023
Futures
Last trade: 132 days ago

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 $20.00 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.

9.0%
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.

(20.5%)
Max Drawdown
67
Num Trades
65.7%
Win Trades
1.2 : 1
Profit Factor
26.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                        (0.1%)+30.2%+2.4%(0.3%)+32.8%
2024(1.1%)+0.5%(2.3%)(6.3%)+7.8%(3.2%)(14.1%)  -    -    -    -        

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 16 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 329 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/23/24 18:00 @MESU4 MICRO E-MINI S&P 500 LONG 11 5578.50 7/24 16:43 5482.75 2.51%
Trade id #148724124
Max drawdown($1,471)
Time7/24/24 4:30
Quant open11
Worst price5551.75
Drawdown as % of equity-2.51%
 ($5,276)
Includes Typical Broker Commissions trade costs of $10.34
7/18/24 10:56 @MESU4 MICRO E-MINI S&P 500 LONG 7 5640.75 7/18 18:00 5602.50 4.16%
Trade id #148681129
Max drawdown($2,467)
Time7/18/24 15:14
Quant open7
Worst price5570.25
Drawdown as % of equity-4.16%
 ($1,346)
Includes Typical Broker Commissions trade costs of $6.58
7/7/24 18:03 @MESU4 MICRO E-MINI S&P 500 LONG 7 5614.75 7/8 18:00 5626.75 0.25%
Trade id #148585941
Max drawdown($148)
Time7/8/24 0:00
Quant open7
Worst price5610.50
Drawdown as % of equity-0.25%
 $413
Includes Typical Broker Commissions trade costs of $6.58
7/1/24 21:40 @MESU4 MICRO E-MINI S&P 500 SHORT 7 5526.00 7/5 8:30 5599.00 4.56%
Trade id #148551433
Max drawdown($2,765)
Time7/5/24 8:30
Quant open7
Worst price5605.00
Drawdown as % of equity-4.56%
 ($2,562)
Includes Typical Broker Commissions trade costs of $6.58
6/30/24 20:01 @MESU4 MICRO E-MINI S&P 500 LONG 7 5527.00 7/1 18:00 5533.00 1.26%
Trade id #148540723
Max drawdown($787)
Time7/1/24 10:55
Quant open7
Worst price5504.50
Drawdown as % of equity-1.26%
 $203
Includes Typical Broker Commissions trade costs of $6.58
6/26/24 18:00 @MESU4 MICRO E-MINI S&P 500 LONG 7 5533.25 6/27 18:00 5548.75 0.97%
Trade id #148509532
Max drawdown($603)
Time6/26/24 20:46
Quant open7
Worst price5516.00
Drawdown as % of equity-0.97%
 $536
Includes Typical Broker Commissions trade costs of $6.58
6/23/24 18:00 @MESU4 MICRO E-MINI S&P 500 LONG 7 5538.00 6/25 16:31 5533.50 1.53%
Trade id #148479235
Max drawdown($945)
Time6/25/24 4:02
Quant open7
Worst price5511.00
Drawdown as % of equity-1.53%
 ($165)
Includes Typical Broker Commissions trade costs of $6.58
6/11/24 13:52 @MESM4 MICRO E-MINI S&P 500 SHORT 7 5364.00 6/11 14:04 5369.00 0.34%
Trade id #148383035
Max drawdown($210)
Time6/11/24 14:04
Quant open7
Worst price5370.00
Drawdown as % of equity-0.34%
 ($182)
Includes Typical Broker Commissions trade costs of $6.58
6/10/24 10:49 @MESM4 MICRO E-MINI S&P 500 SHORT 7 5354.00 6/10 11:22 5357.00 0.18%
Trade id #148370895
Max drawdown($113)
Time6/10/24 11:22
Quant open7
Worst price5357.25
Drawdown as % of equity-0.18%
 ($112)
Includes Typical Broker Commissions trade costs of $6.58
6/5/24 10:24 @MESM4 MICRO E-MINI S&P 500 SHORT 14 5331.00 6/6 8:19 5370.00 4.64%
Trade id #148335261
Max drawdown($2,922)
Time6/5/24 23:21
Quant open14
Worst price5372.75
Drawdown as % of equity-4.64%
 ($2,743)
Includes Typical Broker Commissions trade costs of $13.16
6/5/24 9:36 @MESM4 MICRO E-MINI S&P 500 SHORT 7 5320.75 6/5 10:10 5310.00 0.27%
Trade id #148333911
Max drawdown($175)
Time6/5/24 9:45
Quant open7
Worst price5325.75
Drawdown as % of equity-0.27%
 $369
Includes Typical Broker Commissions trade costs of $6.58
5/13/24 11:29 @MESM4 MICRO E-MINI S&P 500 LONG 7 5244.00 5/13 19:45 5245.00 0.58%
Trade id #148154634
Max drawdown($376)
Time5/13/24 13:10
Quant open7
Worst price5233.25
Drawdown as % of equity-0.58%
 $28
Includes Typical Broker Commissions trade costs of $6.58
5/10/24 10:54 @MESM4 MICRO E-MINI S&P 500 LONG 7 5238.00 5/10 16:33 5242.50 0.28%
Trade id #148141471
Max drawdown($183)
Time5/10/24 11:44
Quant open7
Worst price5232.75
Drawdown as % of equity-0.28%
 $151
Includes Typical Broker Commissions trade costs of $6.58
5/8/24 19:04 @MESM4 MICRO E-MINI S&P 500 LONG 7 5210.75 5/9 18:00 5239.50 0.87%
Trade id #148128168
Max drawdown($551)
Time5/9/24 5:19
Quant open7
Worst price5195.00
Drawdown as % of equity-0.87%
 $999
Includes Typical Broker Commissions trade costs of $6.58
5/6/24 22:19 @MESM4 MICRO E-MINI S&P 500 SHORT 7 5205.00 5/7 1:10 5207.25 0.23%
Trade id #148106434
Max drawdown($148)
Time5/7/24 0:00
Quant open7
Worst price5209.25
Drawdown as % of equity-0.23%
 ($86)
Includes Typical Broker Commissions trade costs of $6.58
5/5/24 21:49 @MESM4 MICRO E-MINI S&P 500 LONG 4 5158.00 5/6 16:35 5205.50 0.08%
Trade id #148095803
Max drawdown($50)
Time5/6/24 1:30
Quant open4
Worst price5155.50
Drawdown as % of equity-0.08%
 $946
Includes Typical Broker Commissions trade costs of $3.76
5/1/24 16:52 @MESM4 MICRO E-MINI S&P 500 LONG 7 5053.00 5/3 16:32 5160.50 0.99%
Trade id #148068297
Max drawdown($595)
Time5/2/24 0:00
Quant open7
Worst price5036.00
Drawdown as % of equity-0.99%
 $3,756
Includes Typical Broker Commissions trade costs of $6.58
4/21/24 21:27 @MESM4 MICRO E-MINI S&P 500 LONG 21 5038.83 5/1 13:43 5077.08 0.57%
Trade id #147970362
Max drawdown($315)
Time4/22/24 0:00
Quant open7
Worst price5006.00
Drawdown as % of equity-0.57%
 $3,996
Includes Typical Broker Commissions trade costs of $19.74
4/17/24 18:31 @MESM4 MICRO E-MINI S&P 500 LONG 14 5057.25 4/18 22:20 4966.75 11.25%
Trade id #147940665
Max drawdown($6,580)
Time4/18/24 22:16
Quant open14
Worst price4963.25
Drawdown as % of equity-11.25%
 ($6,348)
Includes Typical Broker Commissions trade costs of $13.16
4/16/24 18:00 @MESM4 MICRO E-MINI S&P 500 LONG 8 5097.75 4/17 7:40 5108.50 1.43%
Trade id #147929119
Max drawdown($880)
Time4/17/24 2:04
Quant open8
Worst price5075.75
Drawdown as % of equity-1.43%
 $422
Includes Typical Broker Commissions trade costs of $7.52
4/15/24 10:08 @MESM4 MICRO E-MINI S&P 500 LONG 14 5185.00 4/15 12:24 5165.00 n/a ($1,413)
Includes Typical Broker Commissions trade costs of $13.16
4/15/24 9:08 @MESM4 MICRO E-MINI S&P 500 SHORT 7 5213.00 4/15 9:31 5208.75 0.03%
Trade id #147903330
Max drawdown($17)
Time4/15/24 9:29
Quant open7
Worst price5213.50
Drawdown as % of equity-0.03%
 $142
Includes Typical Broker Commissions trade costs of $6.58
4/10/24 16:40 @MESM4 MICRO E-MINI S&P 500 LONG 4 5200.50 4/11 11:16 5201.00 0.94%
Trade id #147865375
Max drawdown($585)
Time4/11/24 8:30
Quant open4
Worst price5171.25
Drawdown as % of equity-0.94%
 $6
Includes Typical Broker Commissions trade costs of $3.76
4/10/24 10:41 @MESM4 MICRO E-MINI S&P 500 SHORT 2 5221.50 4/10 10:52 5211.50 n/a $98
Includes Typical Broker Commissions trade costs of $1.88
4/9/24 22:23 @MESM4 MICRO E-MINI S&P 500 LONG 11 5261.73 4/10 8:30 5264.00 3.99%
Trade id #147855009
Max drawdown($2,487)
Time4/10/24 8:30
Quant open11
Worst price5216.50
Drawdown as % of equity-3.99%
 $115
Includes Typical Broker Commissions trade costs of $10.34
4/9/24 9:47 @MESM4 MICRO E-MINI S&P 500 LONG 11 5255.64 4/9 15:31 5257.00 4.14%
Trade id #147847455
Max drawdown($2,578)
Time4/9/24 10:53
Quant open11
Worst price5208.75
Drawdown as % of equity-4.14%
 $65
Includes Typical Broker Commissions trade costs of $10.34
4/4/24 18:00 @MESM4 MICRO E-MINI S&P 500 LONG 7 5203.50 4/5 9:51 5223.25 0.72%
Trade id #147815169
Max drawdown($446)
Time4/4/24 20:37
Quant open7
Worst price5190.75
Drawdown as % of equity-0.72%
 $684
Includes Typical Broker Commissions trade costs of $6.58
4/3/24 10:00 @MESM4 MICRO E-MINI S&P 500 SHORT 8 5257.00 4/3 15:14 5258.00 1.56%
Trade id #147793506
Max drawdown($950)
Time4/3/24 11:11
Quant open8
Worst price5280.75
Drawdown as % of equity-1.56%
 ($48)
Includes Typical Broker Commissions trade costs of $7.52
4/1/24 9:49 @MESM4 MICRO E-MINI S&P 500 LONG 12 5301.33 4/2 9:08 5255.00 4.48%
Trade id #147771753
Max drawdown($2,780)
Time4/2/24 9:08
Quant open12
Worst price5255.00
Drawdown as % of equity-4.48%
 ($2,791)
Includes Typical Broker Commissions trade costs of $11.28
3/26/24 15:31 @MESM4 MICRO E-MINI S&P 500 LONG 8 5277.00 3/26 23:25 5279.00 0.87%
Trade id #147739664
Max drawdown($560)
Time3/26/24 15:56
Quant open8
Worst price5263.00
Drawdown as % of equity-0.87%
 $72
Includes Typical Broker Commissions trade costs of $7.52
Next

Statistics

  • Strategy began
    9/24/2023
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    431.44
  • Age
    15 months ago
  • What it trades
    Futures
  • # Trades
    67
  • # Profitable
    44
  • % Profitable
    65.70%
  • Avg trade duration
    1.0 days
  • Max peak-to-valley drawdown
    20.48%
  • drawdown period
    Feb 16, 2024 - July 24, 2024
  • Cumul. Return
    7.5%
  • Avg win
    $783.32
  • Avg loss
    $1,264
  • Model Account Values (Raw)
  • Cash
    $55,379
  • Margin Used
    $0
  • Buying Power
    $55,379
  • Ratios
  • W:L ratio
    1.19:1
  • Sharpe Ratio
    0.3
  • Sortino Ratio
    0.4
  • Calmar Ratio
    0.751
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -18.84%
  • Correlation to SP500
    0.18750
  • Return Percent SP500 (cumu) during strategy life
    39.98%
  • Return Statistics
  • Ann Return (w trading costs)
    9.0%
  • Slump
  • Current Slump as Pcnt Equity
    24.70%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.67%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.075%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    8.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    27.50%
  • Chance of 20% account loss
    2.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    701
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,265
  • Avg Win
    $783
  • Sum Trade PL (losers)
    $29,084.000
  • Age
  • Num Months filled monthly returns table
    15
  • Win / Loss
  • Sum Trade PL (winners)
    $34,466.000
  • # Winners
    44
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    23
  • % Winners
    65.7%
  • Frequency
  • Avg Position Time (mins)
    1418.63
  • Avg Position Time (hrs)
    23.64
  • Avg Trade Length
    1.0 days
  • Last Trade Ago
    128
  • Leverage
  • Daily leverage (average)
    3.98
  • Daily leverage (max)
    10.77
  • Regression
  • Alpha
    -0.00
  • Beta
    0.29
  • Treynor Index
    0.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.71
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    13.041
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.04
  • Avg(MAE) / Avg(PL) - Winning trades
    0.854
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.360
  • Hold-and-Hope Ratio
    0.077
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30079
  • SD
    0.31122
  • Sharpe ratio (Glass type estimate)
    0.96648
  • Sharpe ratio (Hedges UMVUE)
    0.87245
  • df
    8.00000
  • t
    0.83700
  • p
    0.21344
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.37249
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.24872
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.43074
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.17564
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.26544
  • Upside Potential Ratio
    5.24580
  • Upside part of mean
    0.48320
  • Downside part of mean
    -0.18241
  • Upside SD
    0.29180
  • Downside SD
    0.09211
  • N nonnegative terms
    5.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.32515
  • Mean of criterion
    0.30079
  • SD of predictor
    0.15447
  • SD of criterion
    0.31122
  • Covariance
    -0.00566
  • r
    -0.11780
  • b (slope, estimate of beta)
    -0.23733
  • a (intercept, estimate of alpha)
    0.37796
  • Mean Square Error
    0.10916
  • DF error
    7.00000
  • t(b)
    -0.31386
  • p(b)
    0.61861
  • t(a)
    0.83274
  • p(a)
    0.21624
  • Lowerbound of 95% confidence interval for beta
    -2.02544
  • Upperbound of 95% confidence interval for beta
    1.55077
  • Lowerbound of 95% confidence interval for alpha
    -0.69528
  • Upperbound of 95% confidence interval for alpha
    1.45119
  • Treynor index (mean / b)
    -1.26736
  • Jensen alpha (a)
    0.37796
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25856
  • SD
    0.28644
  • Sharpe ratio (Glass type estimate)
    0.90268
  • Sharpe ratio (Hedges UMVUE)
    0.81485
  • df
    8.00000
  • t
    0.78175
  • p
    0.22844
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.42858
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.18062
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.48327
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.11297
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.73471
  • Upside Potential Ratio
    4.70593
  • Upside part of mean
    0.44494
  • Downside part of mean
    -0.18638
  • Upside SD
    0.26375
  • Downside SD
    0.09455
  • N nonnegative terms
    5.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    9.00000
  • Mean of predictor
    0.30994
  • Mean of criterion
    0.25856
  • SD of predictor
    0.15163
  • SD of criterion
    0.28644
  • Covariance
    -0.00364
  • r
    -0.08382
  • b (slope, estimate of beta)
    -0.15834
  • a (intercept, estimate of alpha)
    0.30764
  • Mean Square Error
    0.09311
  • DF error
    7.00000
  • t(b)
    -0.22254
  • p(b)
    0.58488
  • t(a)
    0.74012
  • p(a)
    0.24165
  • Lowerbound of 95% confidence interval for beta
    -1.84075
  • Upperbound of 95% confidence interval for beta
    1.52408
  • Lowerbound of 95% confidence interval for alpha
    -0.67525
  • Upperbound of 95% confidence interval for alpha
    1.29053
  • Treynor index (mean / b)
    -1.63300
  • Jensen alpha (a)
    0.30764
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10816
  • Expected Shortfall on VaR
    0.13804
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03310
  • Expected Shortfall on VaR
    0.05977
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    9.00000
  • Minimum
    0.93575
  • Quartile 1
    0.97576
  • Median
    1.00252
  • Quartile 3
    1.04926
  • Maximum
    1.24005
  • Mean of quarter 1
    0.96012
  • Mean of quarter 2
    0.99734
  • Mean of quarter 3
    1.02882
  • Mean of quarter 4
    1.15694
  • Inter Quartile Range
    0.07350
  • 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
    0.11111
  • Mean of outliers high
    1.24005
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.32047
  • VaR(95%) (moments method)
    0.04750
  • Expected Shortfall (moments method)
    0.05671
  • Extreme Value Index (regression method)
    1.25960
  • VaR(95%) (regression method)
    0.08057
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00785
  • Quartile 1
    0.02924
  • Median
    0.05063
  • Quartile 3
    0.07202
  • Maximum
    0.09340
  • Mean of quarter 1
    0.00785
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09340
  • Inter Quartile Range
    0.04278
  • 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)
    0.31957
  • Compounded annual return (geometric extrapolation)
    0.33172
  • Calmar ratio (compounded annual return / max draw down)
    3.55147
  • Compounded annual return / average of 25% largest draw downs
    3.55147
  • Compounded annual return / Expected Shortfall lognormal
    2.40302
  • 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
    0.22047
  • SD
    0.22214
  • Sharpe ratio (Glass type estimate)
    0.99248
  • Sharpe ratio (Hedges UMVUE)
    0.98877
  • df
    201.00000
  • t
    0.87146
  • p
    0.46097
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.24295
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.22556
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.24546
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.22301
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.43528
  • Upside Potential Ratio
    6.46578
  • Upside part of mean
    0.99319
  • Downside part of mean
    -0.77272
  • Upside SD
    0.16029
  • Downside SD
    0.15361
  • N nonnegative terms
    75.00000
  • N negative terms
    127.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    202.00000
  • Mean of predictor
    0.27677
  • Mean of criterion
    0.22047
  • SD of predictor
    0.11646
  • SD of criterion
    0.22214
  • Covariance
    0.00561
  • r
    0.21686
  • b (slope, estimate of beta)
    0.41365
  • a (intercept, estimate of alpha)
    0.04100
  • Mean Square Error
    0.04726
  • DF error
    200.00000
  • t(b)
    3.14161
  • p(b)
    0.39157
  • t(a)
    0.42351
  • p(a)
    0.48503
  • Lowerbound of 95% confidence interval for beta
    0.15401
  • Upperbound of 95% confidence interval for beta
    0.67328
  • Lowerbound of 95% confidence interval for alpha
    -0.38749
  • Upperbound of 95% confidence interval for alpha
    0.59945
  • Treynor index (mean / b)
    0.53299
  • Jensen alpha (a)
    0.10598
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19558
  • SD
    0.22379
  • Sharpe ratio (Glass type estimate)
    0.87393
  • Sharpe ratio (Hedges UMVUE)
    0.87067
  • df
    201.00000
  • t
    0.76737
  • p
    0.46561
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.36087
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.10670
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.36310
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.10444
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.23155
  • Upside Potential Ratio
    6.17439
  • Upside part of mean
    0.98055
  • Downside part of mean
    -0.78497
  • Upside SD
    0.15736
  • Downside SD
    0.15881
  • N nonnegative terms
    75.00000
  • N negative terms
    127.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    202.00000
  • Mean of predictor
    0.26986
  • Mean of criterion
    0.19558
  • SD of predictor
    0.11640
  • SD of criterion
    0.22379
  • Covariance
    0.00565
  • r
    0.21697
  • b (slope, estimate of beta)
    0.41715
  • a (intercept, estimate of alpha)
    0.08301
  • Mean Square Error
    0.04797
  • DF error
    200.00000
  • t(b)
    3.14324
  • p(b)
    0.39152
  • t(a)
    0.32943
  • p(a)
    0.48836
  • Lowerbound of 95% confidence interval for beta
    0.15545
  • Upperbound of 95% confidence interval for beta
    0.67885
  • Lowerbound of 95% confidence interval for alpha
    -0.41387
  • Upperbound of 95% confidence interval for alpha
    0.57989
  • Treynor index (mean / b)
    0.46885
  • Jensen alpha (a)
    0.08301
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02176
  • Expected Shortfall on VaR
    0.02738
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00767
  • Expected Shortfall on VaR
    0.01680
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    202.00000
  • Minimum
    0.90094
  • Quartile 1
    0.99935
  • Median
    1.00000
  • Quartile 3
    1.00290
  • Maximum
    1.05803
  • Mean of quarter 1
    0.98861
  • Mean of quarter 2
    0.99997
  • Mean of quarter 3
    1.00065
  • Mean of quarter 4
    1.01454
  • Inter Quartile Range
    0.00355
  • Number outliers low
    29.00000
  • Percentage of outliers low
    0.14356
  • Mean of outliers low
    0.98198
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.13861
  • Mean of outliers high
    1.02249
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07083
  • VaR(95%) (moments method)
    0.00423
  • Expected Shortfall (moments method)
    0.00674
  • Extreme Value Index (regression method)
    -0.04154
  • VaR(95%) (regression method)
    0.01103
  • Expected Shortfall (regression method)
    0.01731
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00014
  • Quartile 1
    0.00184
  • Median
    0.00682
  • Quartile 3
    0.01658
  • Maximum
    0.16732
  • Mean of quarter 1
    0.00043
  • Mean of quarter 2
    0.00513
  • Mean of quarter 3
    0.01195
  • Mean of quarter 4
    0.08527
  • Inter Quartile Range
    0.01474
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.11953
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -7.45983
  • VaR(95%) (moments method)
    0.05242
  • Expected Shortfall (moments method)
    0.05243
  • Extreme Value Index (regression method)
    -0.20261
  • VaR(95%) (regression method)
    0.18817
  • Expected Shortfall (regression method)
    0.25858
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24390
  • Compounded annual return (geometric extrapolation)
    0.25043
  • Calmar ratio (compounded annual return / max draw down)
    1.49671
  • Compounded annual return / average of 25% largest draw downs
    2.93685
  • Compounded annual return / Expected Shortfall lognormal
    9.14724
  • 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
    -0.17811
  • SD
    0.22290
  • Sharpe ratio (Glass type estimate)
    -0.79905
  • Sharpe ratio (Hedges UMVUE)
    -0.79444
  • df
    130.00000
  • t
    -0.56502
  • p
    0.52475
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.57111
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.97590
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.56792
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.97905
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.99350
  • Upside Potential Ratio
    4.17024
  • Upside part of mean
    0.74763
  • Downside part of mean
    -0.92574
  • Upside SD
    0.13148
  • Downside SD
    0.17928
  • N nonnegative terms
    48.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.25025
  • Mean of criterion
    -0.17811
  • SD of predictor
    0.11248
  • SD of criterion
    0.22290
  • Covariance
    0.00671
  • r
    0.26751
  • b (slope, estimate of beta)
    0.53014
  • a (intercept, estimate of alpha)
    -0.31078
  • Mean Square Error
    0.04649
  • DF error
    129.00000
  • t(b)
    3.15329
  • p(b)
    0.33175
  • t(a)
    -1.00965
  • p(a)
    0.55630
  • Lowerbound of 95% confidence interval for beta
    0.19751
  • Upperbound of 95% confidence interval for beta
    0.86278
  • Lowerbound of 95% confidence interval for alpha
    -0.91978
  • Upperbound of 95% confidence interval for alpha
    0.29823
  • Treynor index (mean / b)
    -0.33597
  • Jensen alpha (a)
    -0.31078
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.20338
  • SD
    0.22680
  • Sharpe ratio (Glass type estimate)
    -0.89676
  • Sharpe ratio (Hedges UMVUE)
    -0.89157
  • df
    130.00000
  • t
    -0.63410
  • p
    0.52776
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.66902
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.87888
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.66550
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88235
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.09411
  • Upside Potential Ratio
    3.97617
  • Upside part of mean
    0.73912
  • Downside part of mean
    -0.94251
  • Upside SD
    0.12903
  • Downside SD
    0.18589
  • N nonnegative terms
    48.00000
  • N negative terms
    83.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.24383
  • Mean of criterion
    -0.20338
  • SD of predictor
    0.11247
  • SD of criterion
    0.22680
  • Covariance
    0.00677
  • r
    0.26546
  • b (slope, estimate of beta)
    0.53532
  • a (intercept, estimate of alpha)
    -0.33391
  • Mean Square Error
    0.04818
  • DF error
    129.00000
  • t(b)
    3.12724
  • p(b)
    0.33301
  • t(a)
    -1.06605
  • p(a)
    0.55941
  • VAR (95 Confidence Intrvl)
    0.02300
  • Lowerbound of 95% confidence interval for beta
    0.19664
  • Upperbound of 95% confidence interval for beta
    0.87401
  • Lowerbound of 95% confidence interval for alpha
    -0.95363
  • Upperbound of 95% confidence interval for alpha
    0.28581
  • Treynor index (mean / b)
    -0.37992
  • Jensen alpha (a)
    -0.33391
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02354
  • Expected Shortfall on VaR
    0.02923
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00924
  • Expected Shortfall on VaR
    0.02013
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90094
  • Quartile 1
    0.99889
  • Median
    1.00000
  • Quartile 3
    1.00217
  • Maximum
    1.05803
  • Mean of quarter 1
    0.98640
  • Mean of quarter 2
    0.99984
  • Mean of quarter 3
    1.00042
  • Mean of quarter 4
    1.01107
  • Inter Quartile Range
    0.00328
  • Number outliers low
    20.00000
  • Percentage of outliers low
    0.15267
  • Mean of outliers low
    0.97982
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.12977
  • Mean of outliers high
    1.01755
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48351
  • VaR(95%) (moments method)
    0.00702
  • Expected Shortfall (moments method)
    0.01709
  • Extreme Value Index (regression method)
    0.17788
  • VaR(95%) (regression method)
    0.01244
  • Expected Shortfall (regression method)
    0.02217
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.03368
  • Quartile 1
    0.06709
  • Median
    0.10050
  • Quartile 3
    0.13391
  • Maximum
    0.16732
  • Mean of quarter 1
    0.03368
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.16732
  • Inter Quartile Range
    0.06682
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -375083000
  • Max Equity Drawdown (num days)
    159
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.16800
  • Compounded annual return (geometric extrapolation)
    -0.16094
  • Calmar ratio (compounded annual return / max draw down)
    -0.96187
  • Compounded annual return / average of 25% largest draw downs
    -0.96187
  • Compounded annual return / Expected Shortfall lognormal
    -5.50625

Strategy Description

Summary Statistics

Strategy began
2023-09-24
Suggested Minimum Capital
$60,000
# Trades
67
# Profitable
44
% Profitable
65.7%
Correlation S&P500
0.188
Sharpe Ratio
0.30
Sortino Ratio
0.40
Beta
0.29
Alpha
-0.00
Leverage
3.98 Average
10.77 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.