Collective2 Collective2
Featured Strategy Quant AI pro +15.7% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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EliteFutures
(125237603)

Created by: VIXPro VIXPro
Started: 09/2019
Futures
Last trade: 3 days ago
Trading style: Futures Momentum

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 $195.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
14.3%
Annual Return (Compounded)

Rate of Return Calculations

Overview

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

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

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

All results are hypothetical.

(23.9%)
Max Drawdown
217
Num Trades
50.2%
Win Trades
1.5 : 1
Profit Factor
62.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                        (2.2%)(0.5%)+3.3%+0.2%+0.7%
2020(0.9%)(2.9%)+32.6%+0.7%+3.4%+8.2%+0.7%+7.4%(0.7%)+3.1%+0.5%+0.1%+59.9%
2021(6.1%)+0.2%+1.1%+10.2%(0.8%)+0.6%+0.2%+5.1%(12.2%)+9.5%+0.2%+0.7%+6.8%
2022(11%)+0.4%+9.7%(11.3%)+9.0%(16.5%)+17.5%+0.9%+6.3%+2.7%+8.1%(5%)+5.4%
2023+2.3%(7.5%)+5.0%+2.8%(1.7%)+13.1%+6.0%(5.6%)(7.8%)(0.1%)+6.8%(0.1%)+11.6%
2024+1.9%+2.5%+4.2%(11.2%)+9.6%+7.1%+0.1%(0.5%)(0.4%)(3%)(0.3%)(7.5%)+0.7%

Model Account Details

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

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

System developer has asked us to delay this information by 48 hours.

Trading Record

This strategy has placed 523 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/26/24 16:23 @MESH5 MICRO E-MINI S&P 500 LONG 2 6093.25 12/27 16:02 6030.12 1.58%
Trade id #150416174
Max drawdown($660)
Time12/27/24 10:01
Quant open2
Worst price6027.25
Drawdown as % of equity-1.58%
 ($633)
Includes Typical Broker Commissions trade costs of $1.88
12/23/24 16:22 @MESH5 MICRO E-MINI S&P 500 SHORT 2 6036.25 12/26 16:23 6094.00 1.69%
Trade id #150394668
Max drawdown($712)
Time12/26/24 12:18
Quant open2
Worst price6107.50
Drawdown as % of equity-1.69%
 ($580)
Includes Typical Broker Commissions trade costs of $1.88
12/18/24 16:22 @MESH5 MICRO E-MINI S&P 500 SHORT 1 5934.50 12/19 16:01 5938.00 0.83%
Trade id #150358637
Max drawdown($355)
Time12/19/24 9:35
Quant open1
Worst price6005.50
Drawdown as % of equity-0.83%
 ($19)
Includes Typical Broker Commissions trade costs of $0.94
12/16/24 16:03 @MESZ4 MICRO E-MINI S&P 500 LONG 1 6079.00 12/18 16:00 5869.25 2.48%
Trade id #150338333
Max drawdown($1,061)
Time12/18/24 15:59
Quant open1
Worst price5866.75
Drawdown as % of equity-2.48%
 ($1,050)
Includes Typical Broker Commissions trade costs of $0.94
12/13/24 16:21 @MESZ4 MICRO E-MINI S&P 500 SHORT 1 6050.00 12/16 16:03 6078.75 0.47%
Trade id #150323555
Max drawdown($203)
Time12/16/24 13:30
Quant open1
Worst price6090.75
Drawdown as % of equity-0.47%
 ($145)
Includes Typical Broker Commissions trade costs of $0.94
12/9/24 16:02 @MESZ4 MICRO E-MINI S&P 500 LONG 2 6065.00 12/13 16:21 6049.75 0.58%
Trade id #150284055
Max drawdown($255)
Time12/10/24 0:00
Quant open2
Worst price6039.50
Drawdown as % of equity-0.58%
 ($155)
Includes Typical Broker Commissions trade costs of $1.88
12/6/24 16:00 @MESZ4 MICRO E-MINI S&P 500 SHORT 1 6098.25 12/9 16:02 6064.75 0.09%
Trade id #150269074
Max drawdown($37)
Time12/9/24 3:00
Quant open1
Worst price6105.75
Drawdown as % of equity-0.09%
 $167
Includes Typical Broker Commissions trade costs of $0.94
12/2/24 16:05 @MESZ4 MICRO E-MINI S&P 500 LONG 1 6064.25 12/6 16:00 6098.00 0.19%
Trade id #150226761
Max drawdown($83)
Time12/3/24 0:00
Quant open1
Worst price6047.50
Drawdown as % of equity-0.19%
 $168
Includes Typical Broker Commissions trade costs of $0.94
11/29/24 13:24 @MESZ4 MICRO E-MINI S&P 500 SHORT 1 6051.00 12/2 16:05 6064.25 0.2%
Trade id #150211444
Max drawdown($87)
Time12/2/24 15:29
Quant open1
Worst price6068.50
Drawdown as % of equity-0.20%
 ($67)
Includes Typical Broker Commissions trade costs of $0.94
11/21/24 16:00 @MESZ4 MICRO E-MINI S&P 500 LONG 2 5971.00 11/29 13:24 6051.00 0.69%
Trade id #150147414
Max drawdown($300)
Time11/22/24 0:00
Quant open2
Worst price5941.00
Drawdown as % of equity-0.69%
 $798
Includes Typical Broker Commissions trade costs of $1.88
11/7/24 16:21 @MESZ4 MICRO E-MINI S&P 500 LONG 3 5972.50 11/20 16:06 5925.00 3.04%
Trade id #150033583
Max drawdown($1,322)
Time11/15/24 0:00
Quant open2
Worst price5877.00
Drawdown as % of equity-3.04%
 ($716)
Includes Typical Broker Commissions trade costs of $2.82
10/21/24 16:21 @MESZ4 MICRO E-MINI S&P 500 LONG 2 5898.26 10/23 18:00 5838.12 1.54%
Trade id #149760537
Max drawdown($682)
Time10/23/24 13:09
Quant open2
Worst price5830.00
Drawdown as % of equity-1.54%
 ($603)
Includes Typical Broker Commissions trade costs of $1.88
10/18/24 16:00 @MESZ4 MICRO E-MINI S&P 500 LONG 2 5905.75 10/21 16:05 5897.00 0.91%
Trade id #149699130
Max drawdown($407)
Time10/21/24 11:30
Quant open2
Worst price5865.00
Drawdown as % of equity-0.91%
 ($90)
Includes Typical Broker Commissions trade costs of $1.88
10/17/24 16:00 @MESZ4 MICRO E-MINI S&P 500 LONG 2 5886.72 10/18 9:06 5900.75 0.23%
Trade id #149689348
Max drawdown($104)
Time10/17/24 20:31
Quant open2
Worst price5876.25
Drawdown as % of equity-0.23%
 $138
Includes Typical Broker Commissions trade costs of $1.88
10/15/24 16:23 @MESZ4 MICRO E-MINI S&P 500 SHORT 2 5860.25 10/16 16:23 5885.50 0.72%
Trade id #149667604
Max drawdown($325)
Time10/16/24 14:31
Quant open2
Worst price5892.75
Drawdown as % of equity-0.72%
 ($255)
Includes Typical Broker Commissions trade costs of $1.88
10/14/24 16:42 @MESZ4 MICRO E-MINI S&P 500 SHORT 2 5908.25 10/15 16:00 5862.75 0.18%
Trade id #149656975
Max drawdown($80)
Time10/14/24 22:03
Quant open2
Worst price5916.25
Drawdown as % of equity-0.18%
 $453
Includes Typical Broker Commissions trade costs of $1.88
10/10/24 16:23 @MESZ4 MICRO E-MINI S&P 500 SHORT 2 5829.00 10/11 16:00 5859.50 0.88%
Trade id #149632724
Max drawdown($392)
Time10/11/24 15:09
Quant open2
Worst price5868.25
Drawdown as % of equity-0.88%
 ($307)
Includes Typical Broker Commissions trade costs of $1.88
9/27/24 16:23 @MESZ4 MICRO E-MINI S&P 500 LONG 2 5787.50 10/1 16:00 5765.83 1.21%
Trade id #149528359
Max drawdown($545)
Time10/1/24 11:17
Quant open2
Worst price5733.00
Drawdown as % of equity-1.21%
 ($219)
Includes Typical Broker Commissions trade costs of $1.88
9/26/24 16:02 @MESZ4 MICRO E-MINI S&P 500 SHORT 2 5802.50 9/27 16:23 5787.50 0.42%
Trade id #149518729
Max drawdown($190)
Time9/27/24 10:28
Quant open2
Worst price5821.50
Drawdown as % of equity-0.42%
 $148
Includes Typical Broker Commissions trade costs of $1.88
9/20/24 16:00 @MESZ4 MICRO E-MINI S&P 500 LONG 2 5761.50 9/26 16:02 5802.25 0.36%
Trade id #149473034
Max drawdown($162)
Time9/23/24 0:00
Quant open2
Worst price5745.25
Drawdown as % of equity-0.36%
 $406
Includes Typical Broker Commissions trade costs of $1.88
9/19/24 16:24 @MESZ4 MICRO E-MINI S&P 500 SHORT 2 5775.00 9/20 16:00 5761.50 0.04%
Trade id #149462289
Max drawdown($20)
Time9/19/24 16:37
Quant open2
Worst price5777.00
Drawdown as % of equity-0.04%
 $133
Includes Typical Broker Commissions trade costs of $1.88
9/19/24 16:00 @MESZ4 MICRO E-MINI S&P 500 LONG 2 5778.25 9/19 16:24 5775.00 0.13%
Trade id #149462171
Max drawdown($60)
Time9/19/24 16:15
Quant open2
Worst price5772.25
Drawdown as % of equity-0.13%
 ($35)
Includes Typical Broker Commissions trade costs of $1.88
9/12/24 16:00 @MESU4 MICRO E-MINI S&P 500 LONG 3 5601.50 9/18 16:21 5623.88 0.25%
Trade id #149378089
Max drawdown($108)
Time9/12/24 16:08
Quant open3
Worst price5594.25
Drawdown as % of equity-0.25%
 $333
Includes Typical Broker Commissions trade costs of $2.82
8/29/24 16:08 @MESU4 MICRO E-MINI S&P 500 LONG 3 5618.25 9/3 16:00 5575.92 1.14%
Trade id #149115570
Max drawdown($507)
Time9/3/24 15:47
Quant open1
Worst price5516.75
Drawdown as % of equity-1.14%
 ($638)
Includes Typical Broker Commissions trade costs of $2.82
8/27/24 16:00 @MESU4 MICRO E-MINI S&P 500 LONG 5 5630.80 8/28 16:25 5580.05 2.14%
Trade id #149076778
Max drawdown($982)
Time8/28/24 14:01
Quant open3
Worst price5577.50
Drawdown as % of equity-2.14%
 ($1,274)
Includes Typical Broker Commissions trade costs of $4.70
8/26/24 16:24 @MESU4 MICRO E-MINI S&P 500 SHORT 3 5631.75 8/27 16:00 5643.00 0.57%
Trade id #149058706
Max drawdown($266)
Time8/27/24 11:00
Quant open3
Worst price5649.50
Drawdown as % of equity-0.57%
 ($172)
Includes Typical Broker Commissions trade costs of $2.82
8/15/24 16:58 @MESU4 MICRO E-MINI S&P 500 LONG 3 5565.50 8/20 16:23 5623.75 0.95%
Trade id #148933232
Max drawdown($435)
Time8/16/24 0:00
Quant open3
Worst price5536.50
Drawdown as % of equity-0.95%
 $871
Includes Typical Broker Commissions trade costs of $2.82
7/29/24 16:00 @MESU4 MICRO E-MINI S&P 500 LONG 3 5503.00 7/29 16:22 5502.25 0.09%
Trade id #148768458
Max drawdown($41)
Time7/29/24 16:04
Quant open3
Worst price5500.25
Drawdown as % of equity-0.09%
 ($14)
Includes Typical Broker Commissions trade costs of $2.82
7/25/24 8:23: Rescaled downward to 40% of previous Model Account size
7/23/24 16:00 @MESU4 MICRO E-MINI S&P 500 LONG 1.200000000 5599.00 7/24 16:00 5519.33 0.32%
Trade id #148722980
Max drawdown($146)
Time7/24/24 9:36
Quant open0
Worst price5538.00
Drawdown as % of equity-0.32%
 ($479)
Includes Typical Broker Commissions trade costs of $1.13
7/22/24 16:22 @MESU4 MICRO E-MINI S&P 500 LONG 2 5607.75 7/23 9:54 5613.00 0.17%
Trade id #148714130
Max drawdown($78)
Time7/23/24 4:05
Quant open1
Worst price5588.25
Drawdown as % of equity-0.17%
 $51
Includes Typical Broker Commissions trade costs of $1.88
Next

Statistics

  • Strategy began
    9/5/2019
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    1942.86
  • Age
    65 months ago
  • What it trades
    Futures
  • # Trades
    217
  • # Profitable
    109
  • % Profitable
    50.20%
  • Avg trade duration
    6.0 days
  • Max peak-to-valley drawdown
    23.88%
  • drawdown period
    Sept 06, 2021 - June 30, 2022
  • Annual Return (Compounded)
    14.3%
  • Avg win
    $784.14
  • Avg loss
    $527.25
  • Model Account Values (Raw)
  • Cash
    $48,873
  • Margin Used
    $1,617
  • Buying Power
    $46,911
  • Ratios
  • W:L ratio
    1.50:1
  • Sharpe Ratio
    0.64
  • Sortino Ratio
    0.98
  • Calmar Ratio
    1.033
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    5.70%
  • Correlation to SP500
    0.29110
  • Return Percent SP500 (cumu) during strategy life
    100.63%
  • Return Statistics
  • Ann Return (w trading costs)
    14.3%
  • Slump
  • Current Slump as Pcnt Equity
    16.70%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.09%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.143%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    17.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    36.00%
  • Chance of 20% account loss
    9.00%
  • Chance of 30% account loss
    0.50%
  • 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)
    810
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    423
  • Popularity (7 days, Percentile 1000 scale)
    692
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $531
  • Avg Win
    $784
  • Sum Trade PL (losers)
    $57,362.000
  • Age
  • Num Months filled monthly returns table
    64
  • Win / Loss
  • Sum Trade PL (winners)
    $85,471.000
  • # Winners
    109
  • Num Months Winners
    40
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    47418
  • Win / Loss
  • # Losers
    108
  • % Winners
    50.2%
  • Frequency
  • Avg Position Time (mins)
    8709.43
  • Avg Position Time (hrs)
    145.16
  • Avg Trade Length
    6.0 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.83
  • Daily leverage (max)
    5.71
  • Regression
  • Alpha
    0.03
  • Beta
    0.24
  • Treynor Index
    0.15
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.07
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.126
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.179
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.568
  • Hold-and-Hope Ratio
    0.456
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19450
  • SD
    0.19970
  • Sharpe ratio (Glass type estimate)
    0.97394
  • Sharpe ratio (Hedges UMVUE)
    0.96211
  • df
    62.00000
  • t
    2.23158
  • p
    0.01463
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.09784
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.84252
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09011
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.83411
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.32797
  • Upside Potential Ratio
    3.97038
  • Upside part of mean
    0.33172
  • Downside part of mean
    -0.13722
  • Upside SD
    0.18820
  • Downside SD
    0.08355
  • N nonnegative terms
    39.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    63.00000
  • Mean of predictor
    0.14583
  • Mean of criterion
    0.19450
  • SD of predictor
    0.15709
  • SD of criterion
    0.19970
  • Covariance
    0.01009
  • r
    0.32150
  • b (slope, estimate of beta)
    0.40873
  • a (intercept, estimate of alpha)
    0.13489
  • Mean Square Error
    0.03635
  • DF error
    61.00000
  • t(b)
    2.65179
  • p(b)
    0.00509
  • t(a)
    1.56514
  • p(a)
    0.06136
  • Lowerbound of 95% confidence interval for beta
    0.10052
  • Upperbound of 95% confidence interval for beta
    0.71693
  • Lowerbound of 95% confidence interval for alpha
    -0.03745
  • Upperbound of 95% confidence interval for alpha
    0.30724
  • Treynor index (mean / b)
    0.47587
  • Jensen alpha (a)
    0.13489
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17495
  • SD
    0.18882
  • Sharpe ratio (Glass type estimate)
    0.92655
  • Sharpe ratio (Hedges UMVUE)
    0.91529
  • df
    62.00000
  • t
    2.12298
  • p
    0.01888
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05221
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79369
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04486
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78573
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.02593
  • Upside Potential Ratio
    3.65722
  • Upside part of mean
    0.31582
  • Downside part of mean
    -0.14087
  • Upside SD
    0.17372
  • Downside SD
    0.08636
  • N nonnegative terms
    39.00000
  • N negative terms
    24.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    63.00000
  • Mean of predictor
    0.13273
  • Mean of criterion
    0.17495
  • SD of predictor
    0.15887
  • SD of criterion
    0.18882
  • Covariance
    0.00973
  • r
    0.32443
  • b (slope, estimate of beta)
    0.38560
  • a (intercept, estimate of alpha)
    0.12377
  • Mean Square Error
    0.03242
  • DF error
    61.00000
  • t(b)
    2.67878
  • p(b)
    0.00474
  • t(a)
    1.53035
  • p(a)
    0.06555
  • Lowerbound of 95% confidence interval for beta
    0.09776
  • Upperbound of 95% confidence interval for beta
    0.67344
  • Lowerbound of 95% confidence interval for alpha
    -0.03795
  • Upperbound of 95% confidence interval for alpha
    0.28549
  • Treynor index (mean / b)
    0.45371
  • Jensen alpha (a)
    0.12377
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07233
  • Expected Shortfall on VaR
    0.09303
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02195
  • Expected Shortfall on VaR
    0.04546
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    63.00000
  • Minimum
    0.89966
  • Quartile 1
    0.98842
  • Median
    1.00834
  • Quartile 3
    1.03589
  • Maximum
    1.28399
  • Mean of quarter 1
    0.95714
  • Mean of quarter 2
    0.99924
  • Mean of quarter 3
    1.02271
  • Mean of quarter 4
    1.08615
  • Inter Quartile Range
    0.04746
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01587
  • Mean of outliers low
    0.89966
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.04762
  • Mean of outliers high
    1.18936
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -1.17480
  • VaR(95%) (moments method)
    0.03849
  • Expected Shortfall (moments method)
    0.04088
  • Extreme Value Index (regression method)
    -0.25041
  • VaR(95%) (regression method)
    0.04666
  • Expected Shortfall (regression method)
    0.05935
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00098
  • Quartile 1
    0.01859
  • Median
    0.04184
  • Quartile 3
    0.06317
  • Maximum
    0.13420
  • Mean of quarter 1
    0.00173
  • Mean of quarter 2
    0.02637
  • Mean of quarter 3
    0.05709
  • Mean of quarter 4
    0.10054
  • Inter Quartile Range
    0.04458
  • 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
    0.08333
  • Mean of outliers high
    0.13420
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -6.05206
  • VaR(95%) (moments method)
    0.10989
  • Expected Shortfall (moments method)
    0.10992
  • Extreme Value Index (regression method)
    -0.97355
  • VaR(95%) (regression method)
    0.14558
  • Expected Shortfall (regression method)
    0.15686
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.28676
  • Compounded annual return (geometric extrapolation)
    0.19119
  • Calmar ratio (compounded annual return / max draw down)
    1.42465
  • Compounded annual return / average of 25% largest draw downs
    1.90155
  • Compounded annual return / Expected Shortfall lognormal
    2.05500
  • 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
    0.18103
  • SD
    0.16257
  • Sharpe ratio (Glass type estimate)
    1.11355
  • Sharpe ratio (Hedges UMVUE)
    1.11295
  • df
    1378.00000
  • t
    2.55472
  • p
    0.46567
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.25805
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.96869
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25763
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96827
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.75678
  • Upside Potential Ratio
    8.70431
  • Upside part of mean
    0.89694
  • Downside part of mean
    -0.71591
  • Upside SD
    0.12616
  • Downside SD
    0.10305
  • N nonnegative terms
    867.00000
  • N negative terms
    512.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1379.00000
  • Mean of predictor
    0.15175
  • Mean of criterion
    0.18103
  • SD of predictor
    0.20905
  • SD of criterion
    0.16257
  • Covariance
    0.00891
  • r
    0.26210
  • b (slope, estimate of beta)
    0.20382
  • a (intercept, estimate of alpha)
    0.15000
  • Mean Square Error
    0.02463
  • DF error
    1377.00000
  • t(b)
    10.07830
  • p(b)
    0.33507
  • t(a)
    2.19194
  • p(a)
    0.46248
  • Lowerbound of 95% confidence interval for beta
    0.16415
  • Upperbound of 95% confidence interval for beta
    0.24350
  • Lowerbound of 95% confidence interval for alpha
    0.01577
  • Upperbound of 95% confidence interval for alpha
    0.28443
  • Treynor index (mean / b)
    0.88816
  • Jensen alpha (a)
    0.15010
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16785
  • SD
    0.16180
  • Sharpe ratio (Glass type estimate)
    1.03742
  • Sharpe ratio (Hedges UMVUE)
    1.03686
  • df
    1378.00000
  • t
    2.38006
  • p
    0.46801
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18205
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.89243
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18167
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.89205
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.61202
  • Upside Potential Ratio
    8.53924
  • Upside part of mean
    0.88915
  • Downside part of mean
    -0.72130
  • Upside SD
    0.12420
  • Downside SD
    0.10412
  • N nonnegative terms
    867.00000
  • N negative terms
    512.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1379.00000
  • Mean of predictor
    0.12977
  • Mean of criterion
    0.16785
  • SD of predictor
    0.20992
  • SD of criterion
    0.16180
  • Covariance
    0.00881
  • r
    0.25947
  • b (slope, estimate of beta)
    0.19999
  • a (intercept, estimate of alpha)
    0.14190
  • Mean Square Error
    0.02443
  • DF error
    1377.00000
  • t(b)
    9.96984
  • p(b)
    0.33669
  • t(a)
    2.08115
  • p(a)
    0.46437
  • Lowerbound of 95% confidence interval for beta
    0.16064
  • Upperbound of 95% confidence interval for beta
    0.23934
  • Lowerbound of 95% confidence interval for alpha
    0.00815
  • Upperbound of 95% confidence interval for alpha
    0.27565
  • Treynor index (mean / b)
    0.83931
  • Jensen alpha (a)
    0.14190
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01568
  • Expected Shortfall on VaR
    0.01977
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00507
  • Expected Shortfall on VaR
    0.01101
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1379.00000
  • Minimum
    0.95443
  • Quartile 1
    0.99761
  • Median
    1.00000
  • Quartile 3
    1.00383
  • Maximum
    1.09903
  • Mean of quarter 1
    0.98960
  • Mean of quarter 2
    0.99948
  • Mean of quarter 3
    1.00134
  • Mean of quarter 4
    1.01235
  • Inter Quartile Range
    0.00622
  • Number outliers low
    115.00000
  • Percentage of outliers low
    0.08339
  • Mean of outliers low
    0.98118
  • Number of outliers high
    116.00000
  • Percentage of outliers high
    0.08412
  • Mean of outliers high
    1.02190
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07180
  • VaR(95%) (moments method)
    0.00751
  • Expected Shortfall (moments method)
    0.01112
  • Extreme Value Index (regression method)
    -0.04808
  • VaR(95%) (regression method)
    0.00968
  • Expected Shortfall (regression method)
    0.01382
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    45.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00284
  • Median
    0.01316
  • Quartile 3
    0.05543
  • Maximum
    0.17690
  • Mean of quarter 1
    0.00150
  • Mean of quarter 2
    0.00581
  • Mean of quarter 3
    0.03583
  • Mean of quarter 4
    0.10170
  • Inter Quartile Range
    0.05260
  • 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
    0.04444
  • Mean of outliers high
    0.15631
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.52738
  • VaR(95%) (moments method)
    0.10611
  • Expected Shortfall (moments method)
    0.11948
  • Extreme Value Index (regression method)
    -0.34535
  • VaR(95%) (regression method)
    0.10031
  • Expected Shortfall (regression method)
    0.11529
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26965
  • Compounded annual return (geometric extrapolation)
    0.18276
  • Calmar ratio (compounded annual return / max draw down)
    1.03314
  • Compounded annual return / average of 25% largest draw downs
    1.79709
  • Compounded annual return / Expected Shortfall lognormal
    9.24302
  • 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
    -0.14061
  • SD
    0.07113
  • Sharpe ratio (Glass type estimate)
    -1.97674
  • Sharpe ratio (Hedges UMVUE)
    -1.96531
  • df
    130.00000
  • t
    -1.39777
  • p
    0.56084
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.75519
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.80910
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.74740
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.81677
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.36300
  • Upside Potential Ratio
    4.83737
  • Upside part of mean
    0.28784
  • Downside part of mean
    -0.42845
  • Upside SD
    0.03944
  • Downside SD
    0.05950
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15643
  • Mean of criterion
    -0.14061
  • SD of predictor
    0.14617
  • SD of criterion
    0.07113
  • Covariance
    0.00355
  • r
    0.34156
  • b (slope, estimate of beta)
    0.16622
  • a (intercept, estimate of alpha)
    -0.16661
  • Mean Square Error
    0.00450
  • DF error
    129.00000
  • t(b)
    4.12767
  • p(b)
    0.28686
  • t(a)
    -1.75158
  • p(a)
    0.59665
  • Lowerbound of 95% confidence interval for beta
    0.08654
  • Upperbound of 95% confidence interval for beta
    0.24589
  • Lowerbound of 95% confidence interval for alpha
    -0.35481
  • Upperbound of 95% confidence interval for alpha
    0.02159
  • Treynor index (mean / b)
    -0.84592
  • Jensen alpha (a)
    -0.16661
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.14316
  • SD
    0.07129
  • Sharpe ratio (Glass type estimate)
    -2.00824
  • Sharpe ratio (Hedges UMVUE)
    -1.99663
  • df
    130.00000
  • t
    -1.42004
  • p
    0.56180
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.78702
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.77805
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.77904
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.78578
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.39300
  • Upside Potential Ratio
    4.79836
  • Upside part of mean
    0.28707
  • Downside part of mean
    -0.43023
  • Upside SD
    0.03927
  • Downside SD
    0.05983
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14576
  • Mean of criterion
    -0.14316
  • SD of predictor
    0.14646
  • SD of criterion
    0.07129
  • Covariance
    0.00358
  • r
    0.34331
  • b (slope, estimate of beta)
    0.16711
  • a (intercept, estimate of alpha)
    -0.16752
  • Mean Square Error
    0.00452
  • DF error
    129.00000
  • t(b)
    4.15164
  • p(b)
    0.28581
  • t(a)
    -1.75900
  • p(a)
    0.59705
  • VAR (95 Confidence Intrvl)
    0.01600
  • Lowerbound of 95% confidence interval for beta
    0.08747
  • Upperbound of 95% confidence interval for beta
    0.24675
  • Lowerbound of 95% confidence interval for alpha
    -0.35595
  • Upperbound of 95% confidence interval for alpha
    0.02091
  • Treynor index (mean / b)
    -0.85672
  • Jensen alpha (a)
    -0.16752
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00776
  • Expected Shortfall on VaR
    0.00958
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00324
  • Expected Shortfall on VaR
    0.00684
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98514
  • Quartile 1
    0.99801
  • Median
    1.00000
  • Quartile 3
    1.00182
  • Maximum
    1.01621
  • Mean of quarter 1
    0.99393
  • Mean of quarter 2
    0.99958
  • Mean of quarter 3
    1.00039
  • Mean of quarter 4
    1.00398
  • Inter Quartile Range
    0.00381
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.07634
  • Mean of outliers low
    0.98836
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.01225
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.41577
  • VaR(95%) (moments method)
    0.00618
  • Expected Shortfall (moments method)
    0.01228
  • Extreme Value Index (regression method)
    -0.06016
  • VaR(95%) (regression method)
    0.00566
  • Expected Shortfall (regression method)
    0.00768
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00228
  • Quartile 1
    0.00397
  • Median
    0.00567
  • Quartile 3
    0.05132
  • Maximum
    0.09696
  • Mean of quarter 1
    0.00228
  • Mean of quarter 2
    0.00567
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.09696
  • Inter Quartile Range
    0.04734
  • 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
    1.00%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -372061000
  • Max Equity Drawdown (num days)
    297
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.13816
  • Compounded annual return (geometric extrapolation)
    -0.13339
  • Calmar ratio (compounded annual return / max draw down)
    -1.37569
  • Compounded annual return / average of 25% largest draw downs
    -1.37569
  • Compounded annual return / Expected Shortfall lognormal
    -13.91850

Strategy Description

Our algorithmic trading strategy focusses exclusively on 'E-mini S&P 500 Futures' (ES / MES), which are by far the most liquid Futures on the market. We switch between long and short positions or go back to cash entirely. The strategy is designed to quickly adapt to any type of external market situation. All trading decisions are based on a set of technical and historical volatility indicators and our own proprietary trading signals.

Markets are meticulously monitored and under normal circumstances trades are executed around Market Open and Market Close. Average holding time is usually a couple of days but short-term daytrades are possible. During regular market sessions Stop Loss orders are put in place.

Subscribe to this strategy now for $195/month.


Be sure to also check out our other trading strategies on Collective2:

• SmartFutures: Our discretionary ES/MES Futures trading strategy
collective2.com/details/132148218

• VIXPro Volatility Fund: Our flagship algorithmic volatility trading strategy
collective2.com/details/133141816


-VIXPro-

Summary Statistics

Strategy began
2019-09-05
Suggested Minimum Capital
$35,000
# Trades
217
# Profitable
109
% Profitable
50.2%
Correlation S&P500
0.291
Sharpe Ratio
0.64
Sortino Ratio
0.98
Beta
0.24
Alpha
0.03
Leverage
1.83 Average
5.71 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.