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These are hypothetical performance results that have certain inherent limitations. Learn more
Listing Edit Subscribers Broadcast More...

SOFIS MNQ Level 1
(146493993)

Created by: CraigSchulenberg CraigSchulenberg
Started: 11/2023
Futures
Last trade: 2 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 $150.00 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.

14.2%
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.

(7.2%)
Max Drawdown
116
Num Trades
40.5%
Win Trades
1.7 : 1
Profit Factor
57.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                                      (0.6%)(0.3%)(0.9%)
2024+1.6%(4.9%)+6.2%+6.3%+5.7%                                          +15.2%

Model Account Details

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

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

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

Trading Record

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Long
Short
Both
Win
Loss
Both
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Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
5/16/24 15:04 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 4 18701.75 5/16 15:31 18677.25 0.35%
Trade id #148187994
Max drawdown($202)
Time5/16/24 15:31
Quant open4
Worst price18676.50
Drawdown as % of equity-0.35%
 ($200)
Includes Typical Broker Commissions trade costs of $3.76
5/16/24 14:46 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 4 18695.00 5/16 14:57 18686.25 0.16%
Trade id #148187836
Max drawdown($90)
Time5/16/24 14:57
Quant open4
Worst price18683.80
Drawdown as % of equity-0.16%
 ($74)
Includes Typical Broker Commissions trade costs of $3.76
5/16/24 14:15 @MNQM4 MICRO E-MINI NASDAQ 100 SHORT 4 18667.00 5/16 14:34 18689.75 0.33%
Trade id #148187531
Max drawdown($194)
Time5/16/24 14:34
Quant open4
Worst price18691.20
Drawdown as % of equity-0.33%
 ($186)
Includes Typical Broker Commissions trade costs of $3.76
5/16/24 13:57 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 6 18710.67 5/16 14:09 18685.75 0.59%
Trade id #148187271
Max drawdown($344)
Time5/16/24 14:07
Quant open6
Worst price18682.00
Drawdown as % of equity-0.59%
 ($305)
Includes Typical Broker Commissions trade costs of $5.64
5/16/24 12:54 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 6 18731.33 5/16 13:48 18686.50 1.22%
Trade id #148186518
Max drawdown($718)
Time5/16/24 13:25
Quant open6
Worst price18671.50
Drawdown as % of equity-1.22%
 ($544)
Includes Typical Broker Commissions trade costs of $5.64
5/16/24 11:57 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 2 18743.00 5/16 12:02 18726.00 0.22%
Trade id #148185932
Max drawdown($131)
Time5/16/24 12:01
Quant open2
Worst price18710.20
Drawdown as % of equity-0.22%
 ($70)
Includes Typical Broker Commissions trade costs of $1.88
5/16/24 11:33 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 6 18749.00 5/16 11:41 18732.75 0.45%
Trade id #148185008
Max drawdown($267)
Time5/16/24 11:38
Quant open6
Worst price18726.80
Drawdown as % of equity-0.45%
 ($201)
Includes Typical Broker Commissions trade costs of $5.64
5/16/24 10:10 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 6 18715.92 5/16 11:18 18735.75 0.07%
Trade id #148183939
Max drawdown($40)
Time5/16/24 10:14
Quant open4
Worst price18695.50
Drawdown as % of equity-0.07%
 $232
Includes Typical Broker Commissions trade costs of $5.64
5/15/24 13:39 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 6 18664.33 5/15 14:32 18678.50 0.18%
Trade id #148177245
Max drawdown($106)
Time5/15/24 13:49
Quant open6
Worst price18655.50
Drawdown as % of equity-0.18%
 $164
Includes Typical Broker Commissions trade costs of $5.64
5/15/24 8:43 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 8 18545.12 5/15 13:35 18639.50 0.74%
Trade id #148171128
Max drawdown($421)
Time5/15/24 9:51
Quant open4
Worst price18447.20
Drawdown as % of equity-0.74%
 $1,502
Includes Typical Broker Commissions trade costs of $7.52
5/15/24 8:32 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 2 18535.00 5/15 8:35 18525.25 0.14%
Trade id #148170951
Max drawdown($79)
Time5/15/24 8:35
Quant open2
Worst price18515.20
Drawdown as % of equity-0.14%
 ($41)
Includes Typical Broker Commissions trade costs of $1.88
5/14/24 12:08 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 2 18322.25 5/14 12:16 18319.25 0.04%
Trade id #148164865
Max drawdown($25)
Time5/14/24 12:16
Quant open2
Worst price18316.00
Drawdown as % of equity-0.04%
 ($14)
Includes Typical Broker Commissions trade costs of $1.88
5/14/24 11:31 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 2 18346.75 5/14 11:33 18338.75 0.06%
Trade id #148163753
Max drawdown($32)
Time5/14/24 11:33
Quant open2
Worst price18338.80
Drawdown as % of equity-0.06%
 ($34)
Includes Typical Broker Commissions trade costs of $1.88
5/13/24 14:21 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 4 18283.38 5/13 16:04 18292.50 0.15%
Trade id #148156885
Max drawdown($85)
Time5/13/24 14:31
Quant open4
Worst price18272.80
Drawdown as % of equity-0.15%
 $69
Includes Typical Broker Commissions trade costs of $3.76
5/12/24 18:20 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 4 18279.50 5/13 13:06 18280.88 0.16%
Trade id #148150490
Max drawdown($89)
Time5/13/24 13:06
Quant open2
Worst price18257.20
Drawdown as % of equity-0.16%
 $7
Includes Typical Broker Commissions trade costs of $3.76
5/12/24 18:04 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 2 18243.75 5/12 18:09 18231.75 0.1%
Trade id #148150453
Max drawdown($59)
Time5/12/24 18:08
Quant open2
Worst price18229.00
Drawdown as % of equity-0.10%
 ($50)
Includes Typical Broker Commissions trade costs of $1.88
5/10/24 13:52 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 4 18237.88 5/10 16:08 18248.50 0.14%
Trade id #148143718
Max drawdown($79)
Time5/10/24 14:35
Quant open4
Worst price18228.00
Drawdown as % of equity-0.14%
 $81
Includes Typical Broker Commissions trade costs of $3.76
5/10/24 11:18 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 4 18231.62 5/10 13:48 18220.25 0.54%
Trade id #148141720
Max drawdown($307)
Time5/10/24 11:44
Quant open4
Worst price18193.20
Drawdown as % of equity-0.54%
 ($95)
Includes Typical Broker Commissions trade costs of $3.76
5/10/24 11:04 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 4 18227.50 5/10 11:11 18216.75 0.25%
Trade id #148141599
Max drawdown($144)
Time5/10/24 11:09
Quant open4
Worst price18209.50
Drawdown as % of equity-0.25%
 ($90)
Includes Typical Broker Commissions trade costs of $3.76
5/10/24 10:40 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 4 18243.50 5/10 10:53 18229.00 0.53%
Trade id #148141298
Max drawdown($300)
Time5/10/24 10:53
Quant open4
Worst price18206.00
Drawdown as % of equity-0.53%
 ($120)
Includes Typical Broker Commissions trade costs of $3.76
5/9/24 23:22 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 4 18239.75 5/10 10:21 18244.75 0.06%
Trade id #148137955
Max drawdown($32)
Time5/9/24 23:53
Quant open2
Worst price18213.50
Drawdown as % of equity-0.06%
 $36
Includes Typical Broker Commissions trade costs of $3.76
5/9/24 12:46 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 4 18214.50 5/9 13:21 18205.00 0.45%
Trade id #148134460
Max drawdown($256)
Time5/9/24 13:01
Quant open4
Worst price18182.50
Drawdown as % of equity-0.45%
 ($80)
Includes Typical Broker Commissions trade costs of $3.76
5/9/24 11:03 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 4 18222.25 5/9 11:11 18225.50 0.01%
Trade id #148132658
Max drawdown($6)
Time5/9/24 11:11
Quant open4
Worst price18221.50
Drawdown as % of equity-0.01%
 $22
Includes Typical Broker Commissions trade costs of $3.76
5/8/24 15:25 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 2 18186.00 5/8 15:40 18181.75 0.04%
Trade id #148126350
Max drawdown($20)
Time5/8/24 15:40
Quant open2
Worst price18181.00
Drawdown as % of equity-0.04%
 ($19)
Includes Typical Broker Commissions trade costs of $1.88
5/8/24 13:56 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 4 18175.50 5/8 15:05 18164.75 0.29%
Trade id #148125570
Max drawdown($164)
Time5/8/24 15:00
Quant open4
Worst price18155.00
Drawdown as % of equity-0.29%
 ($90)
Includes Typical Broker Commissions trade costs of $3.76
5/7/24 14:46 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 6 18168.50 5/8 10:59 18214.42 0.84%
Trade id #148114343
Max drawdown($475)
Time5/8/24 8:38
Quant open2
Worst price18072.50
Drawdown as % of equity-0.84%
 $545
Includes Typical Broker Commissions trade costs of $5.64
5/7/24 14:43 @MESM4 MICRO E-MINI S&P 500 LONG 4 5211.00 5/7 14:47 5210.50 0.06%
Trade id #148114301
Max drawdown($35)
Time5/7/24 14:47
Quant open4
Worst price5209.25
Drawdown as % of equity-0.06%
 ($14)
Includes Typical Broker Commissions trade costs of $3.76
5/6/24 12:39 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 6 18134.33 5/7 14:36 18158.42 0.24%
Trade id #148102101
Max drawdown($134)
Time5/6/24 12:48
Quant open4
Worst price18090.80
Drawdown as % of equity-0.24%
 $283
Includes Typical Broker Commissions trade costs of $5.64
5/5/24 20:44 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 4 18044.00 5/6 12:22 18076.75 0.14%
Trade id #148095684
Max drawdown($78)
Time5/6/24 1:26
Quant open2
Worst price17983.80
Drawdown as % of equity-0.14%
 $258
Includes Typical Broker Commissions trade costs of $3.76
5/5/24 18:01 @MNQM4 MICRO E-MINI NASDAQ 100 LONG 2 18035.50 5/5 19:48 18008.25 0.22%
Trade id #148095268
Max drawdown($122)
Time5/5/24 19:47
Quant open2
Worst price18005.00
Drawdown as % of equity-0.22%
 ($111)
Includes Typical Broker Commissions trade costs of $1.88
Next

Statistics

  • Strategy began
    11/20/2023
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    180.17
  • Age
    6 months ago
  • What it trades
    Futures
  • # Trades
    116
  • # Profitable
    47
  • % Profitable
    40.50%
  • Avg trade duration
    16.2 hours
  • Max peak-to-valley drawdown
    7.17%
  • drawdown period
    Feb 12, 2024 - Feb 29, 2024
  • Cumul. Return
    14.2%
  • Avg win
    $428.32
  • Avg loss
    $174.46
  • Model Account Values (Raw)
  • Cash
    $58,535
  • Margin Used
    $0
  • Buying Power
    $58,535
  • Ratios
  • W:L ratio
    1.71:1
  • Sharpe Ratio
    1.74
  • Sortino Ratio
    2.86
  • Calmar Ratio
    6.971
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -2.46%
  • Correlation to SP500
    0.23950
  • Return Percent SP500 (cumu) during strategy life
    16.62%
  • Return Statistics
  • Ann Return (w trading costs)
    30.1%
  • Slump
  • Current Slump as Pcnt Equity
    3.30%
  • Instruments
  • Percent Trades Futures
    0.86%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • 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)
    0.142%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.14%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    37.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    1.00%
  • Chance of 20% account loss
    n/a
  • 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)
    846
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    937
  • Popularity (7 days, Percentile 1000 scale)
    648
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $174
  • Avg Win
    $428
  • Sum Trade PL (losers)
    $12,038.000
  • Age
  • Num Months filled monthly returns table
    7
  • Win / Loss
  • Sum Trade PL (winners)
    $20,131.000
  • # Winners
    47
  • Num Months Winners
    4
  • Dividends
  • Dividends Received in Model Acct
    444
  • Win / Loss
  • # Losers
    69
  • % Winners
    40.5%
  • Frequency
  • Avg Position Time (mins)
    972.52
  • Avg Position Time (hrs)
    16.21
  • Avg Trade Length
    0.7 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    1.51
  • Daily leverage (max)
    4.39
  • Regression
  • Alpha
    0.05
  • Beta
    0.27
  • Treynor Index
    0.27
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.74
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    3.600
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    0.436
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.498
  • Hold-and-Hope Ratio
    0.277
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.33638
  • SD
    0.21994
  • Sharpe ratio (Glass type estimate)
    1.52945
  • Sharpe ratio (Hedges UMVUE)
    1.22032
  • df
    4.00000
  • t
    0.98725
  • p
    0.18970
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.75608
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.65204
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.93159
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.37224
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.17271
  • Upside Potential Ratio
    7.00929
  • Upside part of mean
    0.45582
  • Downside part of mean
    -0.11943
  • Upside SD
    0.20952
  • Downside SD
    0.06503
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.25461
  • Mean of criterion
    0.33638
  • SD of predictor
    0.10152
  • SD of criterion
    0.21994
  • Covariance
    -0.01970
  • r
    -0.88248
  • b (slope, estimate of beta)
    -1.91179
  • a (intercept, estimate of alpha)
    0.82314
  • Mean Square Error
    0.01427
  • DF error
    3.00000
  • t(b)
    -3.24967
  • p(b)
    0.97625
  • t(a)
    3.45743
  • p(a)
    0.02036
  • Lowerbound of 95% confidence interval for beta
    -3.78405
  • Upperbound of 95% confidence interval for beta
    -0.03954
  • Lowerbound of 95% confidence interval for alpha
    0.06547
  • Upperbound of 95% confidence interval for alpha
    1.58081
  • Treynor index (mean / b)
    -0.17595
  • Jensen alpha (a)
    0.82314
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31307
  • SD
    0.21086
  • Sharpe ratio (Glass type estimate)
    1.48469
  • Sharpe ratio (Hedges UMVUE)
    1.18461
  • df
    4.00000
  • t
    0.95836
  • p
    0.19608
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.78955
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.59971
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.96076
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.32997
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.72910
  • Upside Potential Ratio
    6.56171
  • Upside part of mean
    0.43439
  • Downside part of mean
    -0.12132
  • Upside SD
    0.19838
  • Downside SD
    0.06620
  • N nonnegative terms
    3.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    5.00000
  • Mean of predictor
    0.24733
  • Mean of criterion
    0.31307
  • SD of predictor
    0.10106
  • SD of criterion
    0.21086
  • Covariance
    -0.01857
  • r
    -0.87146
  • b (slope, estimate of beta)
    -1.81841
  • a (intercept, estimate of alpha)
    0.76281
  • Mean Square Error
    0.01426
  • DF error
    3.00000
  • t(b)
    -3.07756
  • p(b)
    0.97288
  • t(a)
    3.23555
  • p(a)
    0.02401
  • Lowerbound of 95% confidence interval for beta
    -3.69879
  • Upperbound of 95% confidence interval for beta
    0.06197
  • Lowerbound of 95% confidence interval for alpha
    0.01252
  • Upperbound of 95% confidence interval for alpha
    1.51310
  • Treynor index (mean / b)
    -0.17217
  • Jensen alpha (a)
    0.76281
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07136
  • Expected Shortfall on VaR
    0.09445
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02009
  • Expected Shortfall on VaR
    0.03883
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    5.00000
  • Minimum
    0.96126
  • Quartile 1
    0.99363
  • Median
    1.01334
  • Quartile 3
    1.05888
  • Maximum
    1.12469
  • Mean of quarter 1
    0.97745
  • Mean of quarter 2
    1.01334
  • Mean of quarter 3
    1.05888
  • Mean of quarter 4
    1.12469
  • Inter Quartile Range
    0.06525
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00637
  • Quartile 1
    0.01446
  • Median
    0.02255
  • Quartile 3
    0.03065
  • Maximum
    0.03874
  • Mean of quarter 1
    0.00637
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03874
  • Inter Quartile Range
    0.01618
  • 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)
    0.36638
  • Compounded annual return (geometric extrapolation)
    0.40632
  • Calmar ratio (compounded annual return / max draw down)
    10.48890
  • Compounded annual return / average of 25% largest draw downs
    10.48890
  • Compounded annual return / Expected Shortfall lognormal
    4.30171
  • 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
    0.31322
  • SD
    0.12655
  • Sharpe ratio (Glass type estimate)
    2.47511
  • Sharpe ratio (Hedges UMVUE)
    2.45999
  • df
    123.00000
  • t
    1.70277
  • p
    0.40376
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39547
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.33582
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40552
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.32549
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.06725
  • Upside Potential Ratio
    9.99263
  • Upside part of mean
    0.76953
  • Downside part of mean
    -0.45631
  • Upside SD
    0.10163
  • Downside SD
    0.07701
  • N nonnegative terms
    57.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    124.00000
  • Mean of predictor
    0.30351
  • Mean of criterion
    0.31322
  • SD of predictor
    0.11292
  • SD of criterion
    0.12655
  • Covariance
    0.00332
  • r
    0.23261
  • b (slope, estimate of beta)
    0.26069
  • a (intercept, estimate of alpha)
    0.23400
  • Mean Square Error
    0.01527
  • DF error
    122.00000
  • t(b)
    2.64176
  • p(b)
    0.38369
  • t(a)
    1.28545
  • p(a)
    0.44220
  • Lowerbound of 95% confidence interval for beta
    0.06534
  • Upperbound of 95% confidence interval for beta
    0.45603
  • Lowerbound of 95% confidence interval for alpha
    -0.12641
  • Upperbound of 95% confidence interval for alpha
    0.59461
  • Treynor index (mean / b)
    1.20152
  • Jensen alpha (a)
    0.23410
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30509
  • SD
    0.12621
  • Sharpe ratio (Glass type estimate)
    2.41732
  • Sharpe ratio (Hedges UMVUE)
    2.40255
  • df
    123.00000
  • t
    1.66301
  • p
    0.40594
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.45237
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.27739
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.46220
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.26729
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.92528
  • Upside Potential Ratio
    9.83416
  • Upside part of mean
    0.76436
  • Downside part of mean
    -0.45926
  • Upside SD
    0.10057
  • Downside SD
    0.07772
  • N nonnegative terms
    57.00000
  • N negative terms
    67.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    124.00000
  • Mean of predictor
    0.29700
  • Mean of criterion
    0.30509
  • SD of predictor
    0.11278
  • SD of criterion
    0.12621
  • Covariance
    0.00332
  • r
    0.23330
  • b (slope, estimate of beta)
    0.26109
  • a (intercept, estimate of alpha)
    0.22755
  • Mean Square Error
    0.01519
  • DF error
    122.00000
  • t(b)
    2.65000
  • p(b)
    0.38335
  • t(a)
    1.25372
  • p(a)
    0.44361
  • Lowerbound of 95% confidence interval for beta
    0.06605
  • Upperbound of 95% confidence interval for beta
    0.45612
  • Lowerbound of 95% confidence interval for alpha
    -0.13175
  • Upperbound of 95% confidence interval for alpha
    0.58684
  • Treynor index (mean / b)
    1.16854
  • Jensen alpha (a)
    0.22755
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01159
  • Expected Shortfall on VaR
    0.01480
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00413
  • Expected Shortfall on VaR
    0.00889
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    124.00000
  • Minimum
    0.97267
  • Quartile 1
    0.99911
  • Median
    1.00000
  • Quartile 3
    1.00379
  • Maximum
    1.03869
  • Mean of quarter 1
    0.99347
  • Mean of quarter 2
    0.99979
  • Mean of quarter 3
    1.00147
  • Mean of quarter 4
    1.01048
  • Inter Quartile Range
    0.00468
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.07258
  • Mean of outliers low
    0.98413
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.08065
  • Mean of outliers high
    1.01788
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.85134
  • VaR(95%) (moments method)
    0.00578
  • Expected Shortfall (moments method)
    0.04273
  • Extreme Value Index (regression method)
    0.50238
  • VaR(95%) (regression method)
    0.00617
  • Expected Shortfall (regression method)
    0.01558
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00146
  • Quartile 1
    0.00298
  • Median
    0.00926
  • Quartile 3
    0.01853
  • Maximum
    0.05668
  • Mean of quarter 1
    0.00201
  • Mean of quarter 2
    0.00588
  • Mean of quarter 3
    0.01752
  • Mean of quarter 4
    0.03900
  • Inter Quartile Range
    0.01555
  • 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
    0.09091
  • Mean of outliers high
    0.05668
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -13.94680
  • VaR(95%) (moments method)
    0.03834
  • Expected Shortfall (moments method)
    0.03834
  • Extreme Value Index (regression method)
    -1.43809
  • VaR(95%) (regression method)
    0.06755
  • Expected Shortfall (regression method)
    0.07066
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.36067
  • Compounded annual return (geometric extrapolation)
    0.39514
  • Calmar ratio (compounded annual return / max draw down)
    6.97150
  • Compounded annual return / average of 25% largest draw downs
    10.13210
  • Compounded annual return / Expected Shortfall lognormal
    26.69120
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.01200
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -373803000
  • Max Equity Drawdown (num days)
    17

Strategy Description

This futures-based strategy will trade MNQ (Micro E-mini NASDAQ-100 index futures) on the basis of the daily SOFIS (Schulenberg Optimal Futures Investment Strategy) signal -- but only when the signal is LONG, and the Market will never be Shorted. A modest degree of leverage may be used, The SOFIS signal is the product of 22 years of intensive work on stock market algorithms and timing signals.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-11-20
Suggested Minimum Capital
$60,000
Rank at C2 %
Top 6.3%
Rank # 
#429
# Trades
116
# Profitable
47
% Profitable
40.5%
Net Dividends
$443
Correlation S&P500
0.239
Sharpe Ratio
1.74
Sortino Ratio
2.86
Beta
0.27
Alpha
0.05
Leverage
1.51 Average
4.39 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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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.