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These are hypothetical performance results that have certain inherent limitations. Learn more

B48 ES
(93192881)

Created by: B48ES B48ES
Started: 03/2015
Futures
Last trade: 11 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 $99.00 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.

11.4%
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.

(17.6%)
Max Drawdown
261
Num Trades
91.2%
Win Trades
2.4 : 1
Profit Factor
79.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015              +5.0%+2.4%+6.1%+0.8%+1.0%(2.9%)+3.1%+1.2%+1.6%+1.4%+21.3%
2016+4.8%+0.2%+1.1%(0.1%)+1.7%+1.0%(0.1%)+0.4%(0.8%)+0.3%+0.3%+0.3%+9.4%
2017+0.1%  -  +0.5%(0.1%)+0.4%+1.9%+0.3%+0.5%+0.1%+0.1%+0.1%+0.3%+4.2%
2018(0.5%)+2.1%+4.6%+0.9%+1.0%+0.3%+0.5%(0.1%)+0.3%(2.4%)(6.7%)+6.4%+6.2%
2019+1.1%+0.4%+2.0%(0.1%)+0.2%+4.6%+0.7%                              +9.2%

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 357 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/9/19 4:14 @ESU9 E-MINI S&P 500 LONG 1 2965.25 7/9 11:15 2978.50 0.09%
Trade id #124383986
Max drawdown($87)
Time7/9/19 4:14
Quant open1
Worst price2963.50
Drawdown as % of equity-0.09%
$655
Includes Typical Broker Commissions trade costs of $8.00
6/25/19 16:33 @ESU9 E-MINI S&P 500 LONG 1 2923.00 6/26 4:45 2927.00 0.29%
Trade id #124227573
Max drawdown($275)
Time6/25/19 16:33
Quant open1
Worst price2917.50
Drawdown as % of equity-0.29%
$192
Includes Typical Broker Commissions trade costs of $8.00
6/14/19 8:52 @ESU9 E-MINI S&P 500 LONG 1 2892.00 6/17 14:01 2901.25 0.37%
Trade id #124082689
Max drawdown($387)
Time6/14/19 9:57
Quant open1
Worst price2884.25
Drawdown as % of equity-0.37%
$455
Includes Typical Broker Commissions trade costs of $8.00
5/28/19 18:01 @ESM9 E-MINI S&P 500 LONG 3 2782.42 6/4 11:41 2788.33 5.34%
Trade id #123851232
Max drawdown($5,366)
Time6/3/19 15:33
Quant open2
Worst price2728.75
Drawdown as % of equity-5.34%
$864
Includes Typical Broker Commissions trade costs of $24.00
5/23/19 8:38 @ESM9 E-MINI S&P 500 LONG 2 2828.62 5/24 5:16 2832.12 1.49%
Trade id #123792352
Max drawdown($1,512)
Time5/23/19 15:04
Quant open1
Worst price2805.75
Drawdown as % of equity-1.49%
$334
Includes Typical Broker Commissions trade costs of $16.00
5/20/19 16:41 @ESM9 E-MINI S&P 500 LONG 1 2845.75 5/21 0:20 2856.00 0.02%
Trade id #123743250
Max drawdown($25)
Time5/20/19 16:47
Quant open1
Worst price2845.25
Drawdown as % of equity-0.02%
$505
Includes Typical Broker Commissions trade costs of $8.00
5/7/19 4:30 @ESM9 E-MINI S&P 500 LONG 7 2858.11 5/16 10:10 2864.64 12.4%
Trade id #123552279
Max drawdown($11,671)
Time5/13/19 18:02
Quant open4
Worst price2799.75
Drawdown as % of equity-12.40%
$2,232
Includes Typical Broker Commissions trade costs of $56.00
3/25/19 5:25 @ESM9 E-MINI S&P 500 LONG 2 2804.25 3/26 6:10 2817.00 1.5%
Trade id #123053212
Max drawdown($1,475)
Time3/25/19 14:28
Quant open2
Worst price2789.50
Drawdown as % of equity-1.50%
$1,259
Includes Typical Broker Commissions trade costs of $16.00
3/8/19 4:30 @ESM9 E-MINI S&P 500 LONG 1 2745.75 3/8 16:31 2753.00 0.99%
Trade id #122831415
Max drawdown($962)
Time3/8/19 10:07
Quant open1
Worst price2726.50
Drawdown as % of equity-0.99%
$355
Includes Typical Broker Commissions trade costs of $8.00
3/7/19 5:48 @ESM9 E-MINI S&P 500 LONG 1 2770.75 3/7 7:45 2776.00 0.09%
Trade id #122815028
Max drawdown($87)
Time3/7/19 6:54
Quant open1
Worst price2769.00
Drawdown as % of equity-0.09%
$255
Includes Typical Broker Commissions trade costs of $8.00
2/8/19 7:11 @ESH9 E-MINI S&P 500 LONG 1 2688.00 2/8 14:14 2698.00 0.37%
Trade id #122427813
Max drawdown($362)
Time2/8/19 11:48
Quant open1
Worst price2680.75
Drawdown as % of equity-0.37%
$492
Includes Typical Broker Commissions trade costs of $8.00
1/3/19 16:42 @ESH9 E-MINI S&P 500 LONG 1 2449.75 1/4 0:32 2463.00 0.58%
Trade id #121773902
Max drawdown($562)
Time1/3/19 19:18
Quant open1
Worst price2438.50
Drawdown as % of equity-0.58%
$655
Includes Typical Broker Commissions trade costs of $8.00
1/3/19 12:19 @YMH9 MINI DOW SHORT 1 22880 1/3 14:09 22790 0.37%
Trade id #121767811
Max drawdown($360)
Time1/3/19 12:56
Quant open-1
Worst price22952
Drawdown as % of equity-0.37%
$442
Includes Typical Broker Commissions trade costs of $8.00
12/21/18 11:04 @ESH9 E-MINI S&P 500 LONG 1 2475.25 12/28 5:15 2507.00 8.98%
Trade id #121619402
Max drawdown($7,925)
Time12/25/18 18:10
Quant open1
Worst price2316.75
Drawdown as % of equity-8.98%
$1,580
Includes Typical Broker Commissions trade costs of $8.00
12/20/18 16:30 @ESH9 E-MINI S&P 500 LONG 1 2485.25 12/21 10:15 2497.00 0.97%
Trade id #121605984
Max drawdown($912)
Time12/21/18 5:19
Quant open1
Worst price2467.00
Drawdown as % of equity-0.97%
$580
Includes Typical Broker Commissions trade costs of $8.00
12/20/18 11:52 @ESH9 E-MINI S&P 500 LONG 1 2468.75 12/20 16:14 2483.00 1.46%
Trade id #121597634
Max drawdown($1,362)
Time12/20/18 14:14
Quant open1
Worst price2441.50
Drawdown as % of equity-1.46%
$705
Includes Typical Broker Commissions trade costs of $8.00
12/20/18 5:30 @ESH9 E-MINI S&P 500 LONG 1 2503.25 12/20 7:00 2517.00 0.34%
Trade id #121589286
Max drawdown($312)
Time12/20/18 5:51
Quant open1
Worst price2497.00
Drawdown as % of equity-0.34%
$680
Includes Typical Broker Commissions trade costs of $8.00
12/17/18 16:32 @ESH9 E-MINI S&P 500 LONG 1 2554.50 12/17 20:42 2567.00 0.08%
Trade id #121536721
Max drawdown($75)
Time12/17/18 16:34
Quant open1
Worst price2553.00
Drawdown as % of equity-0.08%
$617
Includes Typical Broker Commissions trade costs of $8.00
12/10/18 5:37 @ESZ8 E-MINI S&P 500 LONG 1 2625.25 12/10 7:47 2636.00 0.01%
Trade id #121419207
Max drawdown($12)
Time12/10/18 7:27
Quant open1
Worst price2625.00
Drawdown as % of equity-0.01%
$530
Includes Typical Broker Commissions trade costs of $8.00
12/4/18 16:31 @ESZ8 E-MINI S&P 500 LONG 1 2697.00 12/4 19:05 2712.00 0.03%
Trade id #121345203
Max drawdown($25)
Time12/4/18 16:53
Quant open1
Worst price2696.50
Drawdown as % of equity-0.03%
$742
Includes Typical Broker Commissions trade costs of $8.00
11/9/18 6:15 @ESZ8 E-MINI S&P 500 LONG 3 2708.87 11/28 12:02 2670.27 10.51%
Trade id #120846663
Max drawdown($9,337)
Time11/20/18 9:15
Quant open2
Worst price2650.75
Drawdown as % of equity-10.51%
($5,814)
Includes Typical Broker Commissions trade costs of $24.00
10/23/18 16:31 @ESZ8 E-MINI S&P 500 LONG 3 2681.09 10/31 8:51 2684.79 8.03%
Trade id #120499016
Max drawdown($7,306)
Time10/26/18 11:00
Quant open2
Worst price2627.25
Drawdown as % of equity-8.03%
$531
Includes Typical Broker Commissions trade costs of $24.00
10/23/18 6:16 @ESZ8 E-MINI S&P 500 LONG 1 2721.71 10/23 13:24 2733.38 1.55%
Trade id #120481929
Max drawdown($1,473)
Time10/23/18 10:19
Quant open1
Worst price2692.25
Drawdown as % of equity-1.55%
$575
Includes Typical Broker Commissions trade costs of $8.00
10/15/18 16:31 @ESZ8 E-MINI S&P 500 LONG 1 2748.57 10/15 20:00 2756.00 0.17%
Trade id #120364426
Max drawdown($165)
Time10/15/18 16:40
Quant open1
Worst price2745.25
Drawdown as % of equity-0.17%
$364
Includes Typical Broker Commissions trade costs of $8.00
10/15/18 5:15 @ESZ8 E-MINI S&P 500 LONG 1 2751.48 10/15 6:24 2755.75 0.09%
Trade id #120346209
Max drawdown($86)
Time10/15/18 5:19
Quant open1
Worst price2749.75
Drawdown as % of equity-0.09%
$205
Includes Typical Broker Commissions trade costs of $8.00
10/11/18 16:36 @ESZ8 E-MINI S&P 500 LONG 1 2746.88 10/11 18:30 2754.00 0.05%
Trade id #120310963
Max drawdown($43)
Time10/11/18 16:42
Quant open1
Worst price2746.00
Drawdown as % of equity-0.05%
$348
Includes Typical Broker Commissions trade costs of $8.00
10/10/18 16:31 @ESZ8 E-MINI S&P 500 LONG 1 2782.18 10/11 9:31 2787.50 1.87%
Trade id #120285504
Max drawdown($1,746)
Time10/11/18 5:12
Quant open1
Worst price2747.25
Drawdown as % of equity-1.87%
$258
Includes Typical Broker Commissions trade costs of $8.00
10/9/18 16:31 @ESZ8 E-MINI S&P 500 LONG 1 2888.75 10/10 15:55 2795.00 4.91%
Trade id #120261871
Max drawdown($4,688)
Time10/10/18 15:55
Quant open0
Worst price2795.00
Drawdown as % of equity-4.91%
($4,696)
Includes Typical Broker Commissions trade costs of $8.00
10/8/18 4:28 @ESZ8 E-MINI S&P 500 LONG 1 2885.51 10/8 10:11 2892.00 0.38%
Trade id #120226360
Max drawdown($375)
Time10/8/18 9:34
Quant open1
Worst price2878.00
Drawdown as % of equity-0.38%
$317
Includes Typical Broker Commissions trade costs of $8.00
9/24/18 16:30 @ESZ8 E-MINI S&P 500 LONG 1 2926.00 9/25 5:32 2929.75 0.13%
Trade id #120012145
Max drawdown($125)
Time9/24/18 20:20
Quant open1
Worst price2923.50
Drawdown as % of equity-0.13%
$180
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    3/12/2015
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1590.59
  • Age
    53 months ago
  • What it trades
    Futures
  • # Trades
    261
  • # Profitable
    238
  • % Profitable
    91.20%
  • Avg trade duration
    1.0 days
  • Max peak-to-valley drawdown
    17.6%
  • drawdown period
    Aug 04, 2015 - Aug 24, 2015
  • Annual Return (Compounded)
    11.4%
  • Avg win
    $328.54
  • Avg loss
    $1,423
  • Model Account Values (Raw)
  • Cash
    $105,456
  • Margin Used
    $0
  • Buying Power
    $105,456
  • Ratios
  • W:L ratio
    2.39:1
  • Sharpe Ratio
    0.89
  • Sortino Ratio
    1.25
  • Calmar Ratio
    1.183
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.27310
  • Return Statistics
  • Ann Return (w trading costs)
    11.4%
  • Ann Return (Compnd, No Fees)
    13.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    11.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    796
  • Popularity (Last 6 weeks)
    937
  • C2 Score
    35.6
  • 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
    $1,423
  • Avg Win
    $329
  • # Winners
    238
  • # Losers
    23
  • % Winners
    91.2%
  • Frequency
  • Avg Position Time (mins)
    1496.47
  • Avg Position Time (hrs)
    24.94
  • Avg Trade Length
    1.0 days
  • Last Trade Ago
    11
  • Leverage
  • Daily leverage (average)
    2.26
  • Daily leverage (max)
    10.32
  • Unknown
  • Alpha
    0.02
  • Beta
    0.18
  • Treynor Index
    0.14
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10786
  • SD
    0.09336
  • Sharpe ratio (Glass type estimate)
    1.15526
  • Sharpe ratio (Hedges UMVUE)
    1.13783
  • df
    50.00000
  • t
    2.38162
  • p
    0.01054
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.17262
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12698
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.16130
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.11435
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.62049
  • Upside Potential Ratio
    3.72125
  • Upside part of mean
    0.15316
  • Downside part of mean
    -0.04531
  • Upside SD
    0.08843
  • Downside SD
    0.04116
  • N nonnegative terms
    37.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    51.00000
  • Mean of predictor
    0.06457
  • Mean of criterion
    0.10786
  • SD of predictor
    0.10048
  • SD of criterion
    0.09336
  • Covariance
    -0.00051
  • r
    -0.05461
  • b (slope, estimate of beta)
    -0.05074
  • a (intercept, estimate of alpha)
    0.11113
  • Mean Square Error
    0.00887
  • DF error
    49.00000
  • t(b)
    -0.38286
  • p(b)
    0.64826
  • t(a)
    2.39133
  • p(a)
    0.01034
  • Lowerbound of 95% confidence interval for beta
    -0.31707
  • Upperbound of 95% confidence interval for beta
    0.21559
  • Lowerbound of 95% confidence interval for alpha
    0.01774
  • Upperbound of 95% confidence interval for alpha
    0.20452
  • Treynor index (mean / b)
    -2.12560
  • Jensen alpha (a)
    0.11113
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10303
  • SD
    0.09104
  • Sharpe ratio (Glass type estimate)
    1.13166
  • Sharpe ratio (Hedges UMVUE)
    1.11459
  • df
    50.00000
  • t
    2.33298
  • p
    0.01186
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15020
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.10243
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.13909
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09008
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.45254
  • Upside Potential Ratio
    3.54924
  • Upside part of mean
    0.14910
  • Downside part of mean
    -0.04607
  • Upside SD
    0.08512
  • Downside SD
    0.04201
  • N nonnegative terms
    37.00000
  • N negative terms
    14.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    51.00000
  • Mean of predictor
    0.05932
  • Mean of criterion
    0.10303
  • SD of predictor
    0.10050
  • SD of criterion
    0.09104
  • Covariance
    -0.00046
  • r
    -0.04973
  • b (slope, estimate of beta)
    -0.04505
  • a (intercept, estimate of alpha)
    0.10570
  • Mean Square Error
    0.00844
  • DF error
    49.00000
  • t(b)
    -0.34855
  • p(b)
    0.63554
  • t(a)
    2.33801
  • p(a)
    0.01176
  • Lowerbound of 95% confidence interval for beta
    -0.30478
  • Upperbound of 95% confidence interval for beta
    0.21468
  • Lowerbound of 95% confidence interval for alpha
    0.01485
  • Upperbound of 95% confidence interval for alpha
    0.19655
  • Treynor index (mean / b)
    -2.28699
  • Jensen alpha (a)
    0.10570
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03405
  • Expected Shortfall on VaR
    0.04455
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00534
  • Expected Shortfall on VaR
    0.01338
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    51.00000
  • Minimum
    0.94796
  • Quartile 1
    1.00197
  • Median
    1.00591
  • Quartile 3
    1.01298
  • Maximum
    1.11295
  • Mean of quarter 1
    0.98754
  • Mean of quarter 2
    1.00407
  • Mean of quarter 3
    1.00939
  • Mean of quarter 4
    1.04411
  • Inter Quartile Range
    0.01101
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.07843
  • Mean of outliers low
    0.96215
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.15686
  • Mean of outliers high
    1.05935
  • 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)
    -0.67013
  • VaR(95%) (regression method)
    0.02597
  • Expected Shortfall (regression method)
    0.03703
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00671
  • Quartile 1
    0.00865
  • Median
    0.03779
  • Quartile 3
    0.04116
  • Maximum
    0.07138
  • Mean of quarter 1
    0.00768
  • Mean of quarter 2
    0.03779
  • Mean of quarter 3
    0.04116
  • Mean of quarter 4
    0.07138
  • Inter Quartile Range
    0.03252
  • 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)
    0.17517
  • Compounded annual return (geometric extrapolation)
    0.13989
  • Calmar ratio (compounded annual return / max draw down)
    1.95988
  • Compounded annual return / average of 25% largest draw downs
    1.95988
  • Compounded annual return / Expected Shortfall lognormal
    3.13982
  • 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
    0.10561
  • SD
    0.08258
  • Sharpe ratio (Glass type estimate)
    1.27882
  • Sharpe ratio (Hedges UMVUE)
    1.27797
  • df
    1120.00000
  • t
    2.64523
  • p
    0.46060
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.32953
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.22756
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.32895
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.22698
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.78864
  • Upside Potential Ratio
    5.56505
  • Upside part of mean
    0.32857
  • Downside part of mean
    -0.22297
  • Upside SD
    0.05805
  • Downside SD
    0.05904
  • N nonnegative terms
    324.00000
  • N negative terms
    797.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1121.00000
  • Mean of predictor
    0.06670
  • Mean of criterion
    0.10561
  • SD of predictor
    0.13583
  • SD of criterion
    0.08258
  • Covariance
    0.00338
  • r
    0.30140
  • b (slope, estimate of beta)
    0.18324
  • a (intercept, estimate of alpha)
    0.09300
  • Mean Square Error
    0.00621
  • DF error
    1119.00000
  • t(b)
    10.57400
  • p(b)
    0.31107
  • t(a)
    2.45094
  • p(a)
    0.45352
  • Lowerbound of 95% confidence interval for beta
    0.14924
  • Upperbound of 95% confidence interval for beta
    0.21724
  • Lowerbound of 95% confidence interval for alpha
    0.01863
  • Upperbound of 95% confidence interval for alpha
    0.16814
  • Treynor index (mean / b)
    0.57631
  • Jensen alpha (a)
    0.09338
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10215
  • SD
    0.08290
  • Sharpe ratio (Glass type estimate)
    1.23216
  • Sharpe ratio (Hedges UMVUE)
    1.23133
  • df
    1120.00000
  • t
    2.54870
  • p
    0.46203
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.28299
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.18081
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28242
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.18024
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.70463
  • Upside Potential Ratio
    5.45468
  • Upside part of mean
    0.32687
  • Downside part of mean
    -0.22472
  • Upside SD
    0.05758
  • Downside SD
    0.05992
  • N nonnegative terms
    324.00000
  • N negative terms
    797.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1121.00000
  • Mean of predictor
    0.05745
  • Mean of criterion
    0.10215
  • SD of predictor
    0.13607
  • SD of criterion
    0.08290
  • Covariance
    0.00343
  • r
    0.30363
  • b (slope, estimate of beta)
    0.18499
  • a (intercept, estimate of alpha)
    0.09152
  • Mean Square Error
    0.00624
  • DF error
    1119.00000
  • t(b)
    10.66000
  • p(b)
    0.30972
  • t(a)
    2.39479
  • p(a)
    0.45458
  • Lowerbound of 95% confidence interval for beta
    0.15094
  • Upperbound of 95% confidence interval for beta
    0.21905
  • Lowerbound of 95% confidence interval for alpha
    0.01654
  • Upperbound of 95% confidence interval for alpha
    0.16651
  • Treynor index (mean / b)
    0.55217
  • Jensen alpha (a)
    0.09152
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00800
  • Expected Shortfall on VaR
    0.01012
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00238
  • Expected Shortfall on VaR
    0.00535
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1121.00000
  • Minimum
    0.94770
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00081
  • Maximum
    1.03290
  • Mean of quarter 1
    0.99690
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00008
  • Mean of quarter 4
    1.00507
  • Inter Quartile Range
    0.00081
  • Number outliers low
    109.00000
  • Percentage of outliers low
    0.09723
  • Mean of outliers low
    0.99225
  • Number of outliers high
    186.00000
  • Percentage of outliers high
    0.16592
  • Mean of outliers high
    1.00694
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.70588
  • VaR(95%) (moments method)
    0.00241
  • Expected Shortfall (moments method)
    0.01103
  • Extreme Value Index (regression method)
    0.40452
  • VaR(95%) (regression method)
    0.00315
  • Expected Shortfall (regression method)
    0.00897
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    70.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00065
  • Median
    0.00163
  • Quartile 3
    0.01008
  • Maximum
    0.11737
  • Mean of quarter 1
    0.00021
  • Mean of quarter 2
    0.00118
  • Mean of quarter 3
    0.00432
  • Mean of quarter 4
    0.03185
  • Inter Quartile Range
    0.00943
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.11429
  • Mean of outliers high
    0.05294
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.48573
  • VaR(95%) (moments method)
    0.03209
  • Expected Shortfall (moments method)
    0.07082
  • Extreme Value Index (regression method)
    0.41543
  • VaR(95%) (regression method)
    0.03043
  • Expected Shortfall (regression method)
    0.05985
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.17400
  • Compounded annual return (geometric extrapolation)
    0.13889
  • Calmar ratio (compounded annual return / max draw down)
    1.18341
  • Compounded annual return / average of 25% largest draw downs
    4.36119
  • Compounded annual return / Expected Shortfall lognormal
    13.72260
  • 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
    0.12894
  • SD
    0.08794
  • Sharpe ratio (Glass type estimate)
    1.46616
  • Sharpe ratio (Hedges UMVUE)
    1.45769
  • df
    130.00000
  • t
    1.03673
  • p
    0.45472
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.31415
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.24091
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.31978
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.23515
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.42816
  • Upside Potential Ratio
    6.52609
  • Upside part of mean
    0.34654
  • Downside part of mean
    -0.21760
  • Upside SD
    0.07013
  • Downside SD
    0.05310
  • N nonnegative terms
    25.00000
  • N negative terms
    106.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.22122
  • Mean of criterion
    0.12894
  • SD of predictor
    0.10933
  • SD of criterion
    0.08794
  • Covariance
    0.00423
  • r
    0.44010
  • b (slope, estimate of beta)
    0.35400
  • a (intercept, estimate of alpha)
    0.05063
  • Mean Square Error
    0.00628
  • DF error
    129.00000
  • t(b)
    5.56665
  • p(b)
    0.22915
  • t(a)
    0.44807
  • p(a)
    0.47491
  • Lowerbound of 95% confidence interval for beta
    0.22818
  • Upperbound of 95% confidence interval for beta
    0.47982
  • Lowerbound of 95% confidence interval for alpha
    -0.17292
  • Upperbound of 95% confidence interval for alpha
    0.27418
  • Treynor index (mean / b)
    0.36423
  • Jensen alpha (a)
    0.05063
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.12507
  • SD
    0.08773
  • Sharpe ratio (Glass type estimate)
    1.42564
  • Sharpe ratio (Hedges UMVUE)
    1.41740
  • df
    130.00000
  • t
    1.00808
  • p
    0.45596
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.35424
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.20020
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.35975
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.19456
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.33581
  • Upside Potential Ratio
    6.42602
  • Upside part of mean
    0.34407
  • Downside part of mean
    -0.21901
  • Upside SD
    0.06950
  • Downside SD
    0.05354
  • N nonnegative terms
    25.00000
  • N negative terms
    106.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.21517
  • Mean of criterion
    0.12507
  • SD of predictor
    0.10939
  • SD of criterion
    0.08773
  • Covariance
    0.00424
  • r
    0.44212
  • b (slope, estimate of beta)
    0.35456
  • a (intercept, estimate of alpha)
    0.04878
  • Mean Square Error
    0.00624
  • DF error
    129.00000
  • t(b)
    5.59840
  • p(b)
    0.22800
  • t(a)
    0.43344
  • p(a)
    0.47573
  • Lowerbound of 95% confidence interval for beta
    0.22925
  • Upperbound of 95% confidence interval for beta
    0.47986
  • Lowerbound of 95% confidence interval for alpha
    -0.17388
  • Upperbound of 95% confidence interval for alpha
    0.27144
  • Treynor index (mean / b)
    0.35274
  • Jensen alpha (a)
    0.04878
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00840
  • Expected Shortfall on VaR
    0.01064
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00253
  • Expected Shortfall on VaR
    0.00557
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97900
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.02286
  • Mean of quarter 1
    0.99704
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00533
  • Inter Quartile Range
    0.00000
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.99186
  • Number of outliers high
    26.00000
  • Percentage of outliers high
    0.19847
  • Mean of outliers high
    1.00677
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -7.01308
  • VaR(95%) (moments method)
    0.00066
  • Expected Shortfall (moments method)
    0.00068
  • Extreme Value Index (regression method)
    -0.32653
  • VaR(95%) (regression method)
    0.00439
  • Expected Shortfall (regression method)
    0.01018
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00009
  • Quartile 1
    0.00191
  • Median
    0.00589
  • Quartile 3
    0.02992
  • Maximum
    0.04456
  • Mean of quarter 1
    0.00100
  • Mean of quarter 2
    0.00589
  • Mean of quarter 3
    0.02992
  • Mean of quarter 4
    0.04456
  • Inter Quartile Range
    0.02801
  • 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)
    0.15898
  • Compounded annual return (geometric extrapolation)
    0.16530
  • Calmar ratio (compounded annual return / max draw down)
    3.70925
  • Compounded annual return / average of 25% largest draw downs
    3.70925
  • Compounded annual return / Expected Shortfall lognormal
    15.53080

Strategy Description

This system uses algos to trade the ES futures market.

The system trades high probability patterns within defined risk metrics.

The system will trade 1 contract per $10,000 of equity and can take multiple positions, as equity allows.

Any questions, please post them here https://forums.collective2.com/t/b48es-system-forum/8086

Summary Statistics

Strategy began
2015-03-12
Suggested Minimum Capital
$100,000
# Trades
261
# Profitable
238
% Profitable
91.2%
Correlation S&P500
0.273
Sharpe Ratio
0.89
Sortino Ratio
1.25
Beta
0.18
Alpha
0.02
Leverage
2.26 Average
10.32 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.