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TRIANASCALPER
(120291670)

Created by: ABSEMO ABSEMO
Started: 10/2018
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.

1188.7%
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.

(66.5%)
Max Drawdown
713
Num Trades
81.8%
Win Trades
2.5 : 1
Profit Factor
88.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                               +45.2%+45.8%+1.7%+115.3%
2019+168.3%+59.5%(11.4%)+30.6%+18.1%+2.4%                                    +498.6%

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 2,536 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/14/19 9:47 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7468.20 6/14 9:50 7473.36 0.08%
Trade id #124083990
Max drawdown($74)
Time6/14/19 9:49
Quant open1
Worst price7464.50
Drawdown as % of equity-0.08%
$95
Includes Typical Broker Commissions trade costs of $8.00
6/14/19 6:29 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 2 7455.18 6/14 6:40 7456.46 0.07%
Trade id #124081272
Max drawdown($64)
Time6/14/19 6:33
Quant open1
Worst price7452.00
Drawdown as % of equity-0.07%
$35
Includes Typical Broker Commissions trade costs of $16.00
6/13/19 11:07 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 2 7499.26 6/13 11:12 7503.38 0.24%
Trade id #124067753
Max drawdown($210)
Time6/13/19 11:09
Quant open2
Worst price7494.00
Drawdown as % of equity-0.24%
$149
Includes Typical Broker Commissions trade costs of $16.00
6/13/19 10:35 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7525.63 6/13 10:36 7524.71 0.02%
Trade id #124066703
Max drawdown($19)
Time6/13/19 10:36
Quant open0
Worst price7524.71
Drawdown as % of equity-0.02%
($27)
Includes Typical Broker Commissions trade costs of $8.00
6/12/19 10:30 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 3 7470.30 6/12 10:37 7475.37 0.47%
Trade id #124050400
Max drawdown($407)
Time6/12/19 10:35
Quant open3
Worst price7463.50
Drawdown as % of equity-0.47%
$280
Includes Typical Broker Commissions trade costs of $24.00
6/12/19 9:40 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7502.66 6/12 9:42 7508.20 0.03%
Trade id #124049136
Max drawdown($23)
Time6/12/19 9:42
Quant open1
Worst price7501.50
Drawdown as % of equity-0.03%
$103
Includes Typical Broker Commissions trade costs of $8.00
6/11/19 11:43 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 2 7516.63 6/11 11:46 7521.10 0.2%
Trade id #124031477
Max drawdown($175)
Time6/11/19 11:45
Quant open2
Worst price7512.25
Drawdown as % of equity-0.20%
$163
Includes Typical Broker Commissions trade costs of $16.00
6/11/19 10:54 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7539.46 6/11 10:56 7543.48 0.02%
Trade id #124028845
Max drawdown($14)
Time6/11/19 10:56
Quant open1
Worst price7538.75
Drawdown as % of equity-0.02%
$73
Includes Typical Broker Commissions trade costs of $8.00
6/11/19 9:40 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 2 7568.80 6/11 9:42 7572.82 0.26%
Trade id #124026997
Max drawdown($221)
Time6/11/19 9:42
Quant open2
Worst price7563.25
Drawdown as % of equity-0.26%
$145
Includes Typical Broker Commissions trade costs of $16.00
6/10/19 14:06 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 6 7513.75 6/10 14:27 7517.78 1.64%
Trade id #124014945
Max drawdown($1,401)
Time6/10/19 14:18
Quant open5
Worst price7501.50
Drawdown as % of equity-1.64%
$435
Includes Typical Broker Commissions trade costs of $48.00
6/10/19 12:21 @MNQM9 MICRO E-MINI NASDAQ 100 LONG 2 7549.39 6/10 12:29 7552.76 0.02%
Trade id #124013099
Max drawdown($16)
Time6/10/19 12:26
Quant open2
Worst price7545.25
Drawdown as % of equity-0.02%
$12
Includes Typical Broker Commissions trade costs of $1.88
6/10/19 11:29 @MNQM9 MICRO E-MINI NASDAQ 100 SHORT 6 7566.13 6/10 12:15 7562.71 0.13%
Trade id #124004548
Max drawdown($114)
Time6/10/19 11:56
Quant open-5
Worst price7578.25
Drawdown as % of equity-0.13%
$35
Includes Typical Broker Commissions trade costs of $5.64
6/10/19 10:20 @NQM9 E-MINI NASDAQ 100 STK IDX SHORT 1 7536.79 6/10 10:23 7532.15 n/a $85
Includes Typical Broker Commissions trade costs of $8.00
6/10/19 9:40 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7506.53 6/10 9:40 7509.81 n/a $58
Includes Typical Broker Commissions trade costs of $8.00
6/7/19 11:17 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7431.59 6/7 11:18 7432.80 n/a $16
Includes Typical Broker Commissions trade costs of $8.00
6/7/19 9:31 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7318.96 6/7 9:35 7322.73 0.1%
Trade id #123976842
Max drawdown($89)
Time6/7/19 9:35
Quant open1
Worst price7314.50
Drawdown as % of equity-0.10%
$68
Includes Typical Broker Commissions trade costs of $8.00
6/6/19 9:30 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 4 7231.05 6/6 9:38 7235.55 1.1%
Trade id #123961621
Max drawdown($943)
Time6/6/19 9:33
Quant open4
Worst price7219.25
Drawdown as % of equity-1.10%
$328
Includes Typical Broker Commissions trade costs of $32.00
6/5/19 10:58 @MNQM9 MICRO E-MINI NASDAQ 100 LONG 1 7162.29 6/5 11:04 7178.53 0.01%
Trade id #123949191
Max drawdown($5)
Time6/5/19 11:00
Quant open1
Worst price7159.75
Drawdown as % of equity-0.01%
$31
Includes Typical Broker Commissions trade costs of $0.94
6/5/19 9:43 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 6 7202.84 6/5 10:00 7209.90 2.16%
Trade id #123947002
Max drawdown($1,840)
Time6/5/19 9:55
Quant open6
Worst price7187.50
Drawdown as % of equity-2.16%
$799
Includes Typical Broker Commissions trade costs of $48.00
6/5/19 9:38 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7234.90 6/5 9:40 7224.55 0.24%
Trade id #123946878
Max drawdown($207)
Time6/5/19 9:40
Quant open0
Worst price7224.55
Drawdown as % of equity-0.24%
($215)
Includes Typical Broker Commissions trade costs of $8.00
6/5/19 9:34 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 2 7229.70 6/5 9:37 7229.80 0.33%
Trade id #123946588
Max drawdown($278)
Time6/5/19 9:36
Quant open2
Worst price7222.75
Drawdown as % of equity-0.33%
($12)
Includes Typical Broker Commissions trade costs of $16.00
6/5/19 8:41 @YMM9 MINI DOW LONG 1 25419 6/5 8:43 25426 n/a $24
Includes Typical Broker Commissions trade costs of $8.00
6/4/19 11:05 @MNQM9 MICRO E-MINI NASDAQ 100 SHORT 12 7127.82 6/4 16:08 7169.51 1.22%
Trade id #123933136
Max drawdown($1,038)
Time6/4/19 16:03
Quant open-10
Worst price7179.75
Drawdown as % of equity-1.22%
($1,012)
Includes Typical Broker Commissions trade costs of $11.28
6/4/19 9:53 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7039.78 6/4 9:55 7043.41 0.08%
Trade id #123930186
Max drawdown($65)
Time6/4/19 9:55
Quant open1
Worst price7036.50
Drawdown as % of equity-0.08%
$65
Includes Typical Broker Commissions trade costs of $8.00
6/4/19 9:45 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7047.73 6/4 9:47 7048.38 0.13%
Trade id #123929830
Max drawdown($109)
Time6/4/19 9:47
Quant open1
Worst price7042.25
Drawdown as % of equity-0.13%
$5
Includes Typical Broker Commissions trade costs of $8.00
6/4/19 9:33 @YMM9 MINI DOW LONG 1 25074 6/4 9:34 25083 n/a $35
Includes Typical Broker Commissions trade costs of $8.00
6/3/19 13:57 @MNQM9 MICRO E-MINI NASDAQ 100 LONG 1 6993.54 6/3 13:58 7002.98 n/a $18
Includes Typical Broker Commissions trade costs of $0.94
6/3/19 9:30 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 2 7120.32 6/3 9:31 7124.22 n/a $140
Includes Typical Broker Commissions trade costs of $16.00
5/31/19 11:19 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7182.55 5/31 11:22 7183.25 0.09%
Trade id #123890493
Max drawdown($76)
Time5/31/19 11:21
Quant open1
Worst price7178.75
Drawdown as % of equity-0.09%
$6
Includes Typical Broker Commissions trade costs of $8.00
5/31/19 10:20 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 1 7158.33 5/31 10:30 7162.58 0.11%
Trade id #123889108
Max drawdown($96)
Time5/31/19 10:22
Quant open1
Worst price7153.50
Drawdown as % of equity-0.11%
$77
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    10/11/2018
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    248.26
  • Age
    8 months ago
  • What it trades
    Futures
  • # Trades
    713
  • # Profitable
    583
  • % Profitable
    81.80%
  • Avg trade duration
    40.2 minutes
  • Max peak-to-valley drawdown
    66.51%
  • drawdown period
    Dec 03, 2018 - Dec 06, 2018
  • Cumul. Return
    1188.7%
  • Avg win
    $232.19
  • Avg loss
    $409.79
  • Model Account Values (Raw)
  • Cash
    $88,096
  • Margin Used
    $0
  • Buying Power
    $88,096
  • Ratios
  • W:L ratio
    2.54:1
  • Sharpe Ratio
    3.96
  • Sortino Ratio
    5.64
  • Calmar Ratio
    116.42
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.03070
  • Return Statistics
  • Ann Return (w trading costs)
    3975.1%
  • Ann Return (Compnd, No Fees)
    5010.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    60.00%
  • Chance of 20% account loss
    29.00%
  • Chance of 30% account loss
    15.50%
  • Chance of 40% account loss
    5.50%
  • Chance of 50% account loss
    2.50%
  • Popularity
  • Popularity (Today)
    908
  • Popularity (Last 6 weeks)
    998
  • C2 Score
    86.6
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $410
  • Avg Win
    $232
  • # Winners
    583
  • # Losers
    130
  • % Winners
    81.8%
  • Frequency
  • Avg Position Time (mins)
    40.22
  • Avg Position Time (hrs)
    0.67
  • Avg Trade Length
    0.0 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    20.04
  • Daily leverage (max)
    85.54
  • Unknown
  • Alpha
    1.16
  • Beta
    0.16
  • Treynor Index
    7.36
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    6.29225
  • SD
    1.84507
  • Sharpe ratio (Glass type estimate)
    3.41031
  • Sharpe ratio (Hedges UMVUE)
    2.96228
  • df
    6.00000
  • t
    2.60467
  • p
    0.02020
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.13909
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.50701
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10275
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.02732
  • Statistics related to Sortino ratio
  • Sortino ratio
    52.43720
  • Upside Potential Ratio
    53.74650
  • Upside part of mean
    6.44937
  • Downside part of mean
    -0.15711
  • Upside SD
    2.49057
  • Downside SD
    0.12000
  • N nonnegative terms
    6.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.06732
  • Mean of criterion
    6.29225
  • SD of predictor
    0.10190
  • SD of criterion
    1.84507
  • Covariance
    0.08896
  • r
    0.47318
  • b (slope, estimate of beta)
    8.56757
  • a (intercept, estimate of alpha)
    5.71551
  • Mean Square Error
    3.17048
  • DF error
    5.00000
  • t(b)
    1.20102
  • p(b)
    0.14176
  • t(a)
    2.40120
  • p(a)
    0.03076
  • Lowerbound of 95% confidence interval for beta
    -9.77061
  • Upperbound of 95% confidence interval for beta
    26.90570
  • Lowerbound of 95% confidence interval for alpha
    -0.40344
  • Upperbound of 95% confidence interval for alpha
    11.83450
  • Treynor index (mean / b)
    0.73443
  • Jensen alpha (a)
    5.71551
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    4.44059
  • SD
    1.18797
  • Sharpe ratio (Glass type estimate)
    3.73795
  • Sharpe ratio (Hedges UMVUE)
    3.24689
  • df
    6.00000
  • t
    2.85491
  • p
    0.01450
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.35511
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.94326
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09092
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.40286
  • Statistics related to Sortino ratio
  • Sortino ratio
    35.36950
  • Upside Potential Ratio
    36.67880
  • Upside part of mean
    4.60498
  • Downside part of mean
    -0.16438
  • Upside SD
    1.68438
  • Downside SD
    0.12555
  • N nonnegative terms
    6.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    7.00000
  • Mean of predictor
    0.06262
  • Mean of criterion
    4.44059
  • SD of predictor
    0.10063
  • SD of criterion
    1.18797
  • Covariance
    0.04709
  • r
    0.39388
  • b (slope, estimate of beta)
    4.64977
  • a (intercept, estimate of alpha)
    4.14943
  • Mean Square Error
    1.43080
  • DF error
    5.00000
  • t(b)
    0.95820
  • p(b)
    0.19098
  • t(a)
    2.60095
  • p(a)
    0.02410
  • Lowerbound of 95% confidence interval for beta
    -7.82476
  • Upperbound of 95% confidence interval for beta
    17.12430
  • Lowerbound of 95% confidence interval for alpha
    0.04828
  • Upperbound of 95% confidence interval for alpha
    8.25057
  • Treynor index (mean / b)
    0.95501
  • Jensen alpha (a)
    4.14943
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.17637
  • Expected Shortfall on VaR
    0.28086
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01006
  • Expected Shortfall on VaR
    0.03033
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    7.00000
  • Minimum
    0.91068
  • Quartile 1
    1.15306
  • Median
    1.50102
  • Quartile 3
    1.75547
  • Maximum
    2.45802
  • Mean of quarter 1
    0.98302
  • Mean of quarter 2
    1.37589
  • Mean of quarter 3
    1.59474
  • Mean of quarter 4
    2.18711
  • Inter Quartile Range
    0.60241
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.08932
  • Quartile 1
    0.08932
  • Median
    0.08932
  • Quartile 3
    0.08932
  • Maximum
    0.08932
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    21.51980
  • Compounded annual return (geometric extrapolation)
    86.22580
  • Calmar ratio (compounded annual return / max draw down)
    965.35700
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    307.01100
  • 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
    4.40344
  • SD
    0.82553
  • Sharpe ratio (Glass type estimate)
    5.33405
  • Sharpe ratio (Hedges UMVUE)
    5.31090
  • df
    173.00000
  • t
    4.34692
  • p
    0.30356
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.85702
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.79653
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.84160
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.78019
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.89759
  • Upside Potential Ratio
    11.46050
  • Upside part of mean
    6.38998
  • Downside part of mean
    -1.98654
  • Upside SD
    0.66386
  • Downside SD
    0.55757
  • N nonnegative terms
    152.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    174.00000
  • Mean of predictor
    0.07235
  • Mean of criterion
    4.40344
  • SD of predictor
    0.17468
  • SD of criterion
    0.82553
  • Covariance
    -0.00042
  • r
    -0.00294
  • b (slope, estimate of beta)
    -0.01391
  • a (intercept, estimate of alpha)
    4.40400
  • Mean Square Error
    0.68546
  • DF error
    172.00000
  • t(b)
    -0.03861
  • p(b)
    0.50147
  • t(a)
    4.33392
  • p(a)
    0.34312
  • Lowerbound of 95% confidence interval for beta
    -0.72518
  • Upperbound of 95% confidence interval for beta
    0.69735
  • Lowerbound of 95% confidence interval for alpha
    2.39847
  • Upperbound of 95% confidence interval for alpha
    6.41042
  • Treynor index (mean / b)
    -316.48000
  • Jensen alpha (a)
    4.40445
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    4.01606
  • SD
    0.85559
  • Sharpe ratio (Glass type estimate)
    4.69389
  • Sharpe ratio (Hedges UMVUE)
    4.67351
  • df
    173.00000
  • t
    3.82523
  • p
    0.32456
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.23212
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.14269
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.21857
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.12846
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.42154
  • Upside Potential Ratio
    9.88703
  • Upside part of mean
    6.18340
  • Downside part of mean
    -2.16733
  • Upside SD
    0.63108
  • Downside SD
    0.62540
  • N nonnegative terms
    152.00000
  • N negative terms
    22.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    174.00000
  • Mean of predictor
    0.05718
  • Mean of criterion
    4.01606
  • SD of predictor
    0.17456
  • SD of criterion
    0.85559
  • Covariance
    0.00193
  • r
    0.01295
  • b (slope, estimate of beta)
    0.06349
  • a (intercept, estimate of alpha)
    4.01243
  • Mean Square Error
    0.73617
  • DF error
    172.00000
  • t(b)
    0.16989
  • p(b)
    0.49352
  • t(a)
    3.81024
  • p(a)
    0.36050
  • Lowerbound of 95% confidence interval for beta
    -0.67412
  • Upperbound of 95% confidence interval for beta
    0.80110
  • Lowerbound of 95% confidence interval for alpha
    1.93384
  • Upperbound of 95% confidence interval for alpha
    6.09103
  • Treynor index (mean / b)
    63.25880
  • Jensen alpha (a)
    4.01243
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06911
  • Expected Shortfall on VaR
    0.08927
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00464
  • Expected Shortfall on VaR
    0.01642
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    174.00000
  • Minimum
    0.72908
  • Quartile 1
    1.00428
  • Median
    1.01202
  • Quartile 3
    1.02969
  • Maximum
    1.20044
  • Mean of quarter 1
    0.97149
  • Mean of quarter 2
    1.00756
  • Mean of quarter 3
    1.01924
  • Mean of quarter 4
    1.06920
  • Inter Quartile Range
    0.02541
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.05747
  • Mean of outliers low
    0.87786
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.10345
  • Mean of outliers high
    1.10468
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -9.70796
  • VaR(95%) (moments method)
    0.00004
  • Expected Shortfall (moments method)
    0.00004
  • Extreme Value Index (regression method)
    0.42120
  • VaR(95%) (regression method)
    0.02958
  • Expected Shortfall (regression method)
    0.10279
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00324
  • Quartile 1
    0.00795
  • Median
    0.01812
  • Quartile 3
    0.04424
  • Maximum
    0.48147
  • Mean of quarter 1
    0.00535
  • Mean of quarter 2
    0.01399
  • Mean of quarter 3
    0.02189
  • Mean of quarter 4
    0.27593
  • Inter Quartile Range
    0.03629
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.38863
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -31.55370
  • VaR(95%) (moments method)
    0.15535
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -1.40146
  • VaR(95%) (regression method)
    0.61102
  • Expected Shortfall (regression method)
    0.64447
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    20.58110
  • Compounded annual return (geometric extrapolation)
    56.05250
  • Calmar ratio (compounded annual return / max draw down)
    116.42000
  • Compounded annual return / average of 25% largest draw downs
    203.14100
  • Compounded annual return / Expected Shortfall lognormal
    627.87200
  • 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
    4.72196
  • SD
    0.67007
  • Sharpe ratio (Glass type estimate)
    7.04693
  • Sharpe ratio (Hedges UMVUE)
    7.00620
  • df
    130.00000
  • t
    4.98294
  • p
    0.29977
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    4.13367
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.93545
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.10652
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    9.90588
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.32250
  • Upside Potential Ratio
    15.66270
  • Upside part of mean
    6.00190
  • Downside part of mean
    -1.27994
  • Upside SD
    0.61954
  • Downside SD
    0.38320
  • N nonnegative terms
    117.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16600
  • Mean of criterion
    4.72196
  • SD of predictor
    0.15928
  • SD of criterion
    0.67007
  • Covariance
    -0.00582
  • r
    -0.05454
  • b (slope, estimate of beta)
    -0.22943
  • a (intercept, estimate of alpha)
    4.76004
  • Mean Square Error
    0.45113
  • DF error
    129.00000
  • t(b)
    -0.62034
  • p(b)
    0.53470
  • t(a)
    5.00079
  • p(a)
    0.25059
  • Lowerbound of 95% confidence interval for beta
    -0.96117
  • Upperbound of 95% confidence interval for beta
    0.50231
  • Lowerbound of 95% confidence interval for alpha
    2.87677
  • Upperbound of 95% confidence interval for alpha
    6.64332
  • Treynor index (mean / b)
    -20.58130
  • Jensen alpha (a)
    4.76004
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    4.45935
  • SD
    0.67074
  • Sharpe ratio (Glass type estimate)
    6.64842
  • Sharpe ratio (Hedges UMVUE)
    6.60999
  • df
    130.00000
  • t
    4.70114
  • p
    0.30941
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    3.74965
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.52369
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.72409
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    9.49590
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.76620
  • Upside Potential Ratio
    14.05260
  • Upside part of mean
    5.82056
  • Downside part of mean
    -1.36121
  • Upside SD
    0.59228
  • Downside SD
    0.41420
  • N nonnegative terms
    117.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15340
  • Mean of criterion
    4.45935
  • SD of predictor
    0.15878
  • SD of criterion
    0.67074
  • Covariance
    -0.00579
  • r
    -0.05441
  • b (slope, estimate of beta)
    -0.22987
  • a (intercept, estimate of alpha)
    4.49461
  • Mean Square Error
    0.45204
  • DF error
    129.00000
  • t(b)
    -0.61894
  • p(b)
    0.53462
  • t(a)
    4.71860
  • p(a)
    0.26189
  • Lowerbound of 95% confidence interval for beta
    -0.96467
  • Upperbound of 95% confidence interval for beta
    0.50494
  • Lowerbound of 95% confidence interval for alpha
    2.61001
  • Upperbound of 95% confidence interval for alpha
    6.37922
  • Treynor index (mean / b)
    -19.39970
  • Jensen alpha (a)
    4.49461
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04985
  • Expected Shortfall on VaR
    0.06605
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00234
  • Expected Shortfall on VaR
    0.00936
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.80734
  • Quartile 1
    1.00391
  • Median
    1.01018
  • Quartile 3
    1.02513
  • Maximum
    1.15826
  • Mean of quarter 1
    0.98218
  • Mean of quarter 2
    1.00684
  • Mean of quarter 3
    1.01718
  • Mean of quarter 4
    1.06629
  • Inter Quartile Range
    0.02122
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.90009
  • Number of outliers high
    18.00000
  • Percentage of outliers high
    0.13740
  • Mean of outliers high
    1.08904
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -7.82487
  • VaR(95%) (moments method)
    0.00004
  • Expected Shortfall (moments method)
    0.00004
  • Extreme Value Index (regression method)
    0.21155
  • VaR(95%) (regression method)
    0.01938
  • Expected Shortfall (regression method)
    0.06313
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00324
  • Quartile 1
    0.00795
  • Median
    0.01428
  • Quartile 3
    0.08413
  • Maximum
    0.29579
  • Mean of quarter 1
    0.00523
  • Mean of quarter 2
    0.01014
  • Mean of quarter 3
    0.01841
  • Mean of quarter 4
    0.20091
  • Inter Quartile Range
    0.07618
  • 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
    0.16667
  • Mean of outliers high
    0.29579
  • 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)
    16.85500
  • Compounded annual return (geometric extrapolation)
    87.87760
  • Calmar ratio (compounded annual return / max draw down)
    297.09800
  • Compounded annual return / average of 25% largest draw downs
    437.39700
  • Compounded annual return / Expected Shortfall lognormal
    1330.38000

Strategy Description

This is a discretional strategy based on price action with order flow and volumen profile tools. I operate primarily NQ and occasionally YM and ES. The operation is performed in American times and usually the operations close before the closing of the cash session.

Summary Statistics

Strategy began
2018-10-11
Suggested Minimum Capital
$80,000
# Trades
713
# Profitable
583
% Profitable
81.8%
Correlation S&P500
0.031
Sharpe Ratio
3.96
Sortino Ratio
5.64
Beta
0.16
Alpha
1.16
Leverage
20.04 Average
85.54 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.