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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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 09/12/2024
Most recent certification approved 9/12/24 13:50 ET
Trades at broker Interactive Brokers (Server 7)
Scaling percentage used 100%
# trading signals issued by system since certification 60
# trading signals executed in manager's Interactive Brokers (Server 7) account 60
Percent signals followed since 09/12/2024 100%
This information was last updated 12/20/24 15:35 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 09/12/2024, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

MNQ Trades
(142745411)

Created by: Systematic_Trader Systematic_Trader
Started: 12/2022
Futures
Last trade: 10 days ago
Trading style: Futures 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 $149.00 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
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
29.7%
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.

(20.2%)
Max Drawdown
153
Num Trades
49.7%
Win Trades
1.3 : 1
Profit Factor
56.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                             (2.5%)(2.5%)
2023+12.2%(4.7%)+20.2%+9.2%+2.4%+3.7%(4.4%)+1.1%(7%)(3.4%)+16.4%(0.9%)+49.4%
2024+7.9%+5.7%(5.1%)+7.9%(4%)+3.2%(1.7%)+12.9%+8.9%(9.6%)(9.4%)+3.2%+18.2%

Model Account Details

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

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

Trading Record

This strategy has placed 293 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
12/20/24 11:20 @MNQH5 MICRO E-MINI NASDAQ 100 LONG 9 21634.97 12/20 15:35 21575.40 2.36%
Trade id #150376158
Max drawdown($1,282)
Time12/20/24 15:34
Quant open9
Worst price21563.80
Drawdown as % of equity-2.36%
 ($1,080)
Includes Typical Broker Commissions trade costs of $8.46
12/13/24 9:35 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 9 21828.15 12/13 10:45 21746.59 3.36%
Trade id #150318366
Max drawdown($1,865)
Time12/13/24 10:43
Quant open9
Worst price21724.50
Drawdown as % of equity-3.36%
 ($1,476)
Includes Typical Broker Commissions trade costs of $8.46
12/11/24 9:35 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 8 21615.95 12/11 15:59 21794.22 0.67%
Trade id #150299142
Max drawdown($343)
Time12/11/24 9:38
Quant open8
Worst price21594.50
Drawdown as % of equity-0.67%
 $2,844
Includes Typical Broker Commissions trade costs of $7.52
12/6/24 9:50 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 8 21587.61 12/6 15:59 21658.37 0.47%
Trade id #150264098
Max drawdown($237)
Time12/6/24 11:13
Quant open8
Worst price21572.80
Drawdown as % of equity-0.47%
 $1,124
Includes Typical Broker Commissions trade costs of $7.52
12/3/24 14:55 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 8 21259.36 12/3 15:59 21284.41 0.65%
Trade id #150235816
Max drawdown($325)
Time12/3/24 15:43
Quant open8
Worst price21239.00
Drawdown as % of equity-0.65%
 $393
Includes Typical Broker Commissions trade costs of $7.52
11/25/24 9:40 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 8 21066.27 11/25 9:55 20952.04 4.58%
Trade id #150166630
Max drawdown($2,372)
Time11/25/24 9:55
Quant open8
Worst price20918.00
Drawdown as % of equity-4.58%
 ($1,836)
Includes Typical Broker Commissions trade costs of $7.52
11/22/24 13:25 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 8 20868.85 11/22 15:59 20856.31 2.27%
Trade id #150155714
Max drawdown($1,177)
Time11/22/24 14:16
Quant open8
Worst price20795.20
Drawdown as % of equity-2.27%
 ($209)
Includes Typical Broker Commissions trade costs of $7.52
11/21/24 12:35 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 8 20805.73 11/21 15:59 20829.78 0.42%
Trade id #150145248
Max drawdown($215)
Time11/21/24 14:19
Quant open8
Worst price20792.20
Drawdown as % of equity-0.42%
 $377
Includes Typical Broker Commissions trade costs of $7.52
11/21/24 9:35 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 8 20723.60 11/21 9:40 20696.20 2.93%
Trade id #150141274
Max drawdown($1,525)
Time11/21/24 9:40
Quant open8
Worst price20628.20
Drawdown as % of equity-2.93%
 ($446)
Includes Typical Broker Commissions trade costs of $7.52
11/13/24 12:50 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 9 21206.18 11/13 15:55 21128.05 2.76%
Trade id #150078167
Max drawdown($1,474)
Time11/13/24 15:55
Quant open9
Worst price21124.20
Drawdown as % of equity-2.76%
 ($1,414)
Includes Typical Broker Commissions trade costs of $8.46
11/6/24 9:35 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 11 20782.14 11/6 9:55 20663.62 5.41%
Trade id #150007615
Max drawdown($3,050)
Time11/6/24 9:50
Quant open11
Worst price20643.50
Drawdown as % of equity-5.41%
 ($2,617)
Includes Typical Broker Commissions trade costs of $10.34
11/5/24 9:40 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 11 20231.57 11/5 15:59 20340.37 1.59%
Trade id #149985525
Max drawdown($859)
Time11/5/24 9:43
Quant open11
Worst price20192.50
Drawdown as % of equity-1.59%
 $2,384
Includes Typical Broker Commissions trade costs of $10.34
11/1/24 11:30 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 11 20279.98 11/1 12:30 20224.68 2.86%
Trade id #149931435
Max drawdown($1,577)
Time11/1/24 11:53
Quant open11
Worst price20208.20
Drawdown as % of equity-2.86%
 ($1,226)
Includes Typical Broker Commissions trade costs of $10.34
10/29/24 13:05 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 11 20666.90 10/29 15:59 20698.29 0.44%
Trade id #149882960
Max drawdown($239)
Time10/29/24 13:44
Quant open11
Worst price20656.00
Drawdown as % of equity-0.44%
 $681
Includes Typical Broker Commissions trade costs of $10.34
10/25/24 9:35 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 11 20553.06 10/25 13:45 20488.96 2.73%
Trade id #149829924
Max drawdown($1,541)
Time10/25/24 13:44
Quant open11
Worst price20483.00
Drawdown as % of equity-2.73%
 ($1,420)
Includes Typical Broker Commissions trade costs of $10.34
10/24/24 15:25 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 11 20388.73 10/24 15:59 20388.17 0.59%
Trade id #149821922
Max drawdown($329)
Time10/24/24 15:43
Quant open11
Worst price20373.80
Drawdown as % of equity-0.59%
 ($22)
Includes Typical Broker Commissions trade costs of $10.34
10/18/24 13:20 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 11 20513.94 10/18 15:59 20483.00 2.43%
Trade id #149697605
Max drawdown($1,368)
Time10/18/24 14:01
Quant open11
Worst price20451.80
Drawdown as % of equity-2.43%
 ($691)
Includes Typical Broker Commissions trade costs of $10.34
10/18/24 10:10 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 11 20517.62 10/18 12:15 20448.94 2.86%
Trade id #149695076
Max drawdown($1,658)
Time10/18/24 12:15
Quant open11
Worst price20442.20
Drawdown as % of equity-2.86%
 ($1,521)
Includes Typical Broker Commissions trade costs of $10.34
10/17/24 12:00 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 12 20510.56 10/17 14:05 20438.39 3.38%
Trade id #149686919
Max drawdown($1,999)
Time10/17/24 14:05
Quant open12
Worst price20427.20
Drawdown as % of equity-3.38%
 ($1,743)
Includes Typical Broker Commissions trade costs of $11.28
10/11/24 15:10 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 12 20476.19 10/11 15:59 20451.16 1.2%
Trade id #149641831
Max drawdown($724)
Time10/11/24 15:59
Quant open12
Worst price20446.00
Drawdown as % of equity-1.20%
 ($612)
Includes Typical Broker Commissions trade costs of $11.28
10/8/24 10:45 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 12 20238.81 10/8 15:59 20306.04 3.03%
Trade id #149605858
Max drawdown($1,795)
Time10/8/24 13:09
Quant open12
Worst price20164.00
Drawdown as % of equity-3.03%
 $1,603
Includes Typical Broker Commissions trade costs of $11.28
10/4/24 9:35 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 12 20225.31 10/4 9:55 20145.41 3.34%
Trade id #149577671
Max drawdown($2,023)
Time10/4/24 9:55
Quant open12
Worst price20141.00
Drawdown as % of equity-3.34%
 ($1,929)
Includes Typical Broker Commissions trade costs of $11.28
9/28/24 3:01: Rescaled downward to 60% of previous Model Account size
9/24/24 11:35 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 12 20126.07 9/24 15:59 20179.55 0.34%
Trade id #149493759
Max drawdown($202)
Time9/24/24 11:38
Quant open7
Worst price20112.00
Drawdown as % of equity-0.34%
 $1,272
Includes Typical Broker Commissions trade costs of $11.28
9/23/24 11:40 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 12 20102.52 9/23 12:40 20055.26 1.49%
Trade id #149484207
Max drawdown($911)
Time9/23/24 12:15
Quant open7
Worst price20039.20
Drawdown as % of equity-1.49%
 ($1,145)
Includes Typical Broker Commissions trade costs of $11.28
9/19/24 9:35 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 12 20045.27 9/19 15:59 20112.12 2.04%
Trade id #149453311
Max drawdown($1,181)
Time9/19/24 9:52
Quant open7
Worst price19963.20
Drawdown as % of equity-2.04%
 $1,593
Includes Typical Broker Commissions trade costs of $11.28
9/18/24 14:20 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 12 19470.40 9/18 14:45 19419.01 n/a ($1,244)
Includes Typical Broker Commissions trade costs of $11.28
9/18/24 14:05 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 12 19561.39 9/18 14:15 19543.50 2.75%
Trade id #149440950
Max drawdown($1,683)
Time9/18/24 14:12
Quant open7
Worst price19444.50
Drawdown as % of equity-2.75%
 ($440)
Includes Typical Broker Commissions trade costs of $11.28
9/13/24 10:45 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 12 19524.81 9/13 15:59 19534.00 1.1%
Trade id #149383849
Max drawdown($674)
Time9/13/24 12:46
Quant open7
Worst price19478.00
Drawdown as % of equity-1.10%
 $209
Includes Typical Broker Commissions trade costs of $11.28
9/12/24 13:50 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 12 19439.76 9/12 15:59 19450.51 1.94%
Trade id #149374932
Max drawdown($1,184)
Time9/12/24 14:52
Quant open7
Worst price19357.50
Drawdown as % of equity-1.94%
 $247
Includes Typical Broker Commissions trade costs of $11.28
9/11/24 12:40 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 10.800000000 18921.75 9/11 15:59 19266.74 1.24%
Trade id #149360556
Max drawdown($654)
Time9/11/24 12:49
Quant open7
Worst price18871.20
Drawdown as % of equity-1.24%
 $7,442
Includes Typical Broker Commissions trade costs of $10.16
Next

Statistics

  • Strategy began
    12/2/2022
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    759.25
  • Age
    25 months ago
  • What it trades
    Futures
  • # Trades
    153
  • # Profitable
    76
  • % Profitable
    49.70%
  • Avg trade duration
    2.6 hours
  • Max peak-to-valley drawdown
    20.25%
  • drawdown period
    Sept 18, 2024 - Dec 03, 2024
  • Annual Return (Compounded)
    29.7%
  • Avg win
    $1,393
  • Avg loss
    $1,038
  • Model Account Values (Raw)
  • Cash
    $55,934
  • Margin Used
    $0
  • Buying Power
    $55,934
  • Ratios
  • W:L ratio
    1.32:1
  • Sharpe Ratio
    1.01
  • Sortino Ratio
    1.84
  • Calmar Ratio
    2.184
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    27.38%
  • Correlation to SP500
    0.29010
  • Return Percent SP500 (cumu) during strategy life
    46.64%
  • Return Statistics
  • Ann Return (w trading costs)
    29.7%
  • Slump
  • Current Slump as Pcnt Equity
    21.00%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.14%
  • Return Statistics
  • Return Pcnt Since TOS Status
    -47.560%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.297%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    34.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    33.00%
  • Chance of 20% account loss
    7.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    0.50%
  • 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
    98.39%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    824
  • Popularity (Last 6 weeks)
    965
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    486
  • Popularity (7 days, Percentile 1000 scale)
    940
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $1,039
  • Avg Win
    $1,394
  • Sum Trade PL (losers)
    $79,994.000
  • Age
  • Num Months filled monthly returns table
    25
  • Win / Loss
  • Sum Trade PL (winners)
    $105,928.000
  • # Winners
    76
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    664949
  • Win / Loss
  • # Losers
    77
  • % Winners
    49.7%
  • Frequency
  • Avg Position Time (mins)
    157.85
  • Avg Position Time (hrs)
    2.63
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    10
  • Leverage
  • Daily leverage (average)
    6.40
  • Daily leverage (max)
    8.35
  • Regression
  • Alpha
    0.05
  • Beta
    0.48
  • 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)
    -0.48
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    5.105
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.210
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.892
  • Hold-and-Hope Ratio
    0.196
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31300
  • SD
    0.24807
  • Sharpe ratio (Glass type estimate)
    1.26172
  • Sharpe ratio (Hedges UMVUE)
    1.22005
  • df
    23.00000
  • t
    1.78434
  • p
    0.04378
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.18359
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68152
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.21000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.65009
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.90108
  • Upside Potential Ratio
    4.83260
  • Upside part of mean
    0.52139
  • Downside part of mean
    -0.20839
  • Upside SD
    0.23558
  • Downside SD
    0.10789
  • N nonnegative terms
    14.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.17998
  • Mean of criterion
    0.31300
  • SD of predictor
    0.12985
  • SD of criterion
    0.24807
  • Covariance
    0.01601
  • r
    0.49704
  • b (slope, estimate of beta)
    0.94959
  • a (intercept, estimate of alpha)
    0.14209
  • Mean Square Error
    0.04844
  • DF error
    22.00000
  • t(b)
    2.68666
  • p(b)
    0.00674
  • t(a)
    0.84512
  • p(a)
    0.20357
  • Lowerbound of 95% confidence interval for beta
    0.21659
  • Upperbound of 95% confidence interval for beta
    1.68258
  • Lowerbound of 95% confidence interval for alpha
    -0.20659
  • Upperbound of 95% confidence interval for alpha
    0.49077
  • Treynor index (mean / b)
    0.32961
  • Jensen alpha (a)
    0.14209
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.28079
  • SD
    0.23870
  • Sharpe ratio (Glass type estimate)
    1.17633
  • Sharpe ratio (Hedges UMVUE)
    1.13748
  • df
    23.00000
  • t
    1.66358
  • p
    0.05488
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.26219
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.59087
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.28687
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.56183
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.52387
  • Upside Potential Ratio
    4.44702
  • Upside part of mean
    0.49475
  • Downside part of mean
    -0.21396
  • Upside SD
    0.22090
  • Downside SD
    0.11126
  • N nonnegative terms
    14.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.17033
  • Mean of criterion
    0.28079
  • SD of predictor
    0.12884
  • SD of criterion
    0.23870
  • Covariance
    0.01503
  • r
    0.48867
  • b (slope, estimate of beta)
    0.90536
  • a (intercept, estimate of alpha)
    0.12659
  • Mean Square Error
    0.04534
  • DF error
    22.00000
  • t(b)
    2.62710
  • p(b)
    0.00770
  • t(a)
    0.78328
  • p(a)
    0.22091
  • Lowerbound of 95% confidence interval for beta
    0.19065
  • Upperbound of 95% confidence interval for beta
    1.62007
  • Lowerbound of 95% confidence interval for alpha
    -0.20857
  • Upperbound of 95% confidence interval for alpha
    0.46174
  • Treynor index (mean / b)
    0.31014
  • Jensen alpha (a)
    0.12659
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08602
  • Expected Shortfall on VaR
    0.11167
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03624
  • Expected Shortfall on VaR
    0.06732
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.91444
  • Quartile 1
    0.97244
  • Median
    1.02710
  • Quartile 3
    1.07672
  • Maximum
    1.19993
  • Mean of quarter 1
    0.94402
  • Mean of quarter 2
    0.99738
  • Mean of quarter 3
    1.05062
  • Mean of quarter 4
    1.12162
  • Inter Quartile Range
    0.10427
  • 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)
    -2.90335
  • VaR(95%) (moments method)
    0.05889
  • Expected Shortfall (moments method)
    0.05919
  • Extreme Value Index (regression method)
    -0.12344
  • VaR(95%) (regression method)
    0.04809
  • Expected Shortfall (regression method)
    0.05535
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00541
  • Quartile 1
    0.02602
  • Median
    0.05004
  • Quartile 3
    0.06916
  • Maximum
    0.11661
  • Mean of quarter 1
    0.01311
  • Mean of quarter 2
    0.04064
  • Mean of quarter 3
    0.05854
  • Mean of quarter 4
    0.09819
  • Inter Quartile Range
    0.04314
  • 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)
    0.42705
  • Compounded annual return (geometric extrapolation)
    0.36165
  • Calmar ratio (compounded annual return / max draw down)
    3.10139
  • Compounded annual return / average of 25% largest draw downs
    3.68311
  • Compounded annual return / Expected Shortfall lognormal
    3.23856
  • 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
    0.29774
  • SD
    0.21173
  • Sharpe ratio (Glass type estimate)
    1.40618
  • Sharpe ratio (Hedges UMVUE)
    1.40422
  • df
    537.00000
  • t
    2.01503
  • p
    0.02220
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.03520
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.77587
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03389
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.77455
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.58671
  • Upside Potential Ratio
    9.14047
  • Upside part of mean
    1.05209
  • Downside part of mean
    -0.75435
  • Upside SD
    0.17843
  • Downside SD
    0.11510
  • N nonnegative terms
    123.00000
  • N negative terms
    415.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    538.00000
  • Mean of predictor
    0.16083
  • Mean of criterion
    0.29774
  • SD of predictor
    0.13207
  • SD of criterion
    0.21173
  • Covariance
    0.00848
  • r
    0.30334
  • b (slope, estimate of beta)
    0.48631
  • a (intercept, estimate of alpha)
    0.22000
  • Mean Square Error
    0.04078
  • DF error
    536.00000
  • t(b)
    7.36998
  • p(b)
    0.00000
  • t(a)
    1.55332
  • p(a)
    0.06047
  • Lowerbound of 95% confidence interval for beta
    0.35669
  • Upperbound of 95% confidence interval for beta
    0.61593
  • Lowerbound of 95% confidence interval for alpha
    -0.05810
  • Upperbound of 95% confidence interval for alpha
    0.49715
  • Treynor index (mean / b)
    0.61224
  • Jensen alpha (a)
    0.21952
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27548
  • SD
    0.20959
  • Sharpe ratio (Glass type estimate)
    1.31438
  • Sharpe ratio (Hedges UMVUE)
    1.31254
  • df
    537.00000
  • t
    1.88348
  • p
    0.03009
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05622
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.68380
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.05746
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.68254
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.36591
  • Upside Potential Ratio
    8.90153
  • Upside part of mean
    1.03648
  • Downside part of mean
    -0.76100
  • Upside SD
    0.17487
  • Downside SD
    0.11644
  • N nonnegative terms
    123.00000
  • N negative terms
    415.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    538.00000
  • Mean of predictor
    0.15205
  • Mean of criterion
    0.27548
  • SD of predictor
    0.13213
  • SD of criterion
    0.20959
  • Covariance
    0.00827
  • r
    0.29851
  • b (slope, estimate of beta)
    0.47352
  • a (intercept, estimate of alpha)
    0.20348
  • Mean Square Error
    0.04009
  • DF error
    536.00000
  • t(b)
    7.24113
  • p(b)
    0.00000
  • t(a)
    1.45264
  • p(a)
    0.07345
  • Lowerbound of 95% confidence interval for beta
    0.34506
  • Upperbound of 95% confidence interval for beta
    0.60197
  • Lowerbound of 95% confidence interval for alpha
    -0.07169
  • Upperbound of 95% confidence interval for alpha
    0.47865
  • Treynor index (mean / b)
    0.58178
  • Jensen alpha (a)
    0.20348
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02004
  • Expected Shortfall on VaR
    0.02532
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00858
  • Expected Shortfall on VaR
    0.01723
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    538.00000
  • Minimum
    0.95922
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.08446
  • Mean of quarter 1
    0.98885
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01610
  • Inter Quartile Range
    0.00000
  • Number outliers low
    124.00000
  • Percentage of outliers low
    0.23048
  • Mean of outliers low
    0.98786
  • Number of outliers high
    124.00000
  • Percentage of outliers high
    0.23048
  • Mean of outliers high
    1.01753
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.49008
  • VaR(95%) (moments method)
    0.00388
  • Expected Shortfall (moments method)
    0.00394
  • Extreme Value Index (regression method)
    -0.35911
  • VaR(95%) (regression method)
    0.01181
  • Expected Shortfall (regression method)
    0.01587
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00104
  • Quartile 1
    0.00836
  • Median
    0.03380
  • Quartile 3
    0.07606
  • Maximum
    0.16229
  • Mean of quarter 1
    0.00410
  • Mean of quarter 2
    0.01587
  • Mean of quarter 3
    0.05527
  • Mean of quarter 4
    0.11315
  • Inter Quartile Range
    0.06769
  • 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)
    -0.61060
  • VaR(95%) (moments method)
    0.12700
  • Expected Shortfall (moments method)
    0.13933
  • Extreme Value Index (regression method)
    0.26081
  • VaR(95%) (regression method)
    0.13065
  • Expected Shortfall (regression method)
    0.18018
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.42100
  • Compounded annual return (geometric extrapolation)
    0.35444
  • Calmar ratio (compounded annual return / max draw down)
    2.18399
  • Compounded annual return / average of 25% largest draw downs
    3.13239
  • Compounded annual return / Expected Shortfall lognormal
    13.99840
  • 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
    0.09223
  • SD
    0.24961
  • Sharpe ratio (Glass type estimate)
    0.36949
  • Sharpe ratio (Hedges UMVUE)
    0.36735
  • df
    130.00000
  • t
    0.26127
  • p
    0.48855
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.40329
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.14106
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.40481
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.13952
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.63282
  • Upside Potential Ratio
    7.67729
  • Upside part of mean
    1.11889
  • Downside part of mean
    -1.02666
  • Upside SD
    0.20155
  • Downside SD
    0.14574
  • N nonnegative terms
    34.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12649
  • Mean of criterion
    0.09223
  • SD of predictor
    0.14464
  • SD of criterion
    0.24961
  • Covariance
    0.00870
  • r
    0.24110
  • b (slope, estimate of beta)
    0.41608
  • a (intercept, estimate of alpha)
    0.03960
  • Mean Square Error
    0.05914
  • DF error
    129.00000
  • t(b)
    2.82163
  • p(b)
    0.34801
  • t(a)
    0.11497
  • p(a)
    0.49356
  • Lowerbound of 95% confidence interval for beta
    0.12433
  • Upperbound of 95% confidence interval for beta
    0.70784
  • Lowerbound of 95% confidence interval for alpha
    -0.64184
  • Upperbound of 95% confidence interval for alpha
    0.72104
  • Treynor index (mean / b)
    0.22166
  • Jensen alpha (a)
    0.03960
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.06178
  • SD
    0.24668
  • Sharpe ratio (Glass type estimate)
    0.25045
  • Sharpe ratio (Hedges UMVUE)
    0.24901
  • df
    130.00000
  • t
    0.17710
  • p
    0.49223
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.52188
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.02207
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.52296
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.02098
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.41817
  • Upside Potential Ratio
    7.43942
  • Upside part of mean
    1.09915
  • Downside part of mean
    -1.03736
  • Upside SD
    0.19640
  • Downside SD
    0.14775
  • N nonnegative terms
    34.00000
  • N negative terms
    97.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11604
  • Mean of criterion
    0.06178
  • SD of predictor
    0.14499
  • SD of criterion
    0.24668
  • Covariance
    0.00850
  • r
    0.23769
  • b (slope, estimate of beta)
    0.40440
  • a (intercept, estimate of alpha)
    0.01486
  • Mean Square Error
    0.05786
  • DF error
    129.00000
  • t(b)
    2.77927
  • p(b)
    0.35012
  • t(a)
    0.04362
  • p(a)
    0.49756
  • VAR (95 Confidence Intrvl)
    0.02000
  • Lowerbound of 95% confidence interval for beta
    0.11651
  • Upperbound of 95% confidence interval for beta
    0.69228
  • Lowerbound of 95% confidence interval for alpha
    -0.65902
  • Upperbound of 95% confidence interval for alpha
    0.68874
  • Treynor index (mean / b)
    0.15278
  • Jensen alpha (a)
    0.01486
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02453
  • Expected Shortfall on VaR
    0.03070
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01141
  • Expected Shortfall on VaR
    0.02242
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95922
  • Quartile 1
    0.99689
  • Median
    1.00000
  • Quartile 3
    1.00034
  • Maximum
    1.08446
  • Mean of quarter 1
    0.98487
  • Mean of quarter 2
    0.99988
  • Mean of quarter 3
    1.00001
  • Mean of quarter 4
    1.01706
  • Inter Quartile Range
    0.00345
  • Number outliers low
    26.00000
  • Percentage of outliers low
    0.19847
  • Mean of outliers low
    0.98214
  • Number of outliers high
    24.00000
  • Percentage of outliers high
    0.18321
  • Mean of outliers high
    1.02275
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.03647
  • VaR(95%) (moments method)
    0.01206
  • Expected Shortfall (moments method)
    0.01656
  • Extreme Value Index (regression method)
    -0.12240
  • VaR(95%) (regression method)
    0.01440
  • Expected Shortfall (regression method)
    0.01938
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01317
  • Quartile 1
    0.04708
  • Median
    0.07104
  • Quartile 3
    0.10335
  • Maximum
    0.16229
  • Mean of quarter 1
    0.01317
  • Mean of quarter 2
    0.05838
  • Mean of quarter 3
    0.08371
  • Mean of quarter 4
    0.16229
  • Inter Quartile Range
    0.05628
  • 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
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -444882000
  • Max Equity Drawdown (num days)
    76
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.09173
  • Compounded annual return (geometric extrapolation)
    0.09384
  • Calmar ratio (compounded annual return / max draw down)
    0.57819
  • Compounded annual return / average of 25% largest draw downs
    0.57819
  • Compounded annual return / Expected Shortfall lognormal
    3.05620

Strategy Description

day trades MNQ with 1 MNQ per 5000 USD in model account

Summary Statistics

Strategy began
2022-12-02
Suggested Minimum Capital
$50,000
# Trades
153
# Profitable
76
% Profitable
49.7%
Correlation S&P500
0.290
Sharpe Ratio
1.01
Sortino Ratio
1.84
Beta
0.48
Alpha
0.05
Leverage
6.40 Average
8.35 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.