Collective2 Collective2
Featured Strategy SK Trader Rank on Leaderboard #6 Hypothetical

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


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EliteFutures
(125237603)

Creato da: VIXPro VIXPro
Started: 09/2019
Futures
Last trade: 4 days ago
Trading style: Futures Momentum

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $195.00 per month.

C2Star

C2Star è un programma di certificazione per le strategie di trading. Per diventare "Certificato C2Star", una strategia deve applicare controlli di rischio rigorosi e deve mostrare caratteristiche di performance eccellenti, tra cui riduzioni limitate.

Puoi leggere di più sui requisiti di certificazione C2Star qui.

Nota che: tutte le strategie di trading comportano rischi e la certificazione C2Star non implica che una strategia sia a basso rischio.

Trading Category: Futures
Momentum
Category: Equity

Momentum

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

15.7%
Annual Return (Compounded)

Calcolo del rendimento

Panoramica

Per conformarsi alle normative NFA, mostriamo il tasso di rendimento cumulativo per le strategie con un track record inferiore a un anno. Per le strategie con track record più lunghi, mostriamo il tasso di rendimento annuale (composto).

Come si calcola il tasso di rendimento annuale (composto)

= ((Patrimonio_finale / Patrimonio_iniziale) ^ (1 / anni)) - 1

Ricorda che, in base ai requisiti NFA, i costi di abbonamento alle strategie e le commissioni stimate sono inclusi nei calcoli del patrimonio valutato a mercato.

Tutti i risultati sono ipotetici.

(36.3%)
Max Drawdown
257
Num Trades
51.0%
Win Trades
1.5 : 1
Profit Factor
61.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019                                                        (2.2%)(0.5%)+3.3%+0.2%+0.7%
2020(0.9%)(2.9%)+32.6%+0.7%+3.4%+8.2%+0.7%+7.4%(0.7%)+3.1%+0.5%+0.1%+59.9%
2021(6.1%)+0.2%+1.1%+10.2%(0.8%)+0.6%+0.2%+5.1%(12.2%)+9.5%+0.2%+0.7%+6.8%
2022(11%)+0.4%+9.7%(11.3%)+9.0%(16.5%)+17.5%+0.9%+6.3%+2.7%+8.1%(5%)+5.4%
2023+2.3%(7.5%)+5.0%+2.8%(1.7%)+13.1%+6.0%(5.6%)(7.8%)(0.1%)+6.8%(0.1%)+11.6%
2024+1.9%+2.5%+4.2%(11.2%)+9.6%+7.1%+0.1%(0.5%)(0.4%)(3%)(0.3%)(7.5%)+0.6%
2025(0.6%)(2.7%)(4.3%)+19.7%+3.1%+0.4%                                    +14.6%


Dettagli Account Modello

Una strategia di trading su Collective2. Seguila nel tuo account di brokeraggio o utilizza un account di trading simulato gratuito.

Gli utenti avanzati potrebbero voler utilizzare queste informazioni per regolare il loro AutoTrade scaling o semplicemente per comprendere le grandezze del grafico vicino.

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

Trading Record

This strategy has placed 649 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/11/25 16:00 @MESU5 MICRO E-MINI S&P 500 LONG 2 6081.50 6/11 18:00 6075.25 0.16%
Trade id #151995904
Max drawdown($72)
Time6/11/25 18:00
Quant open2
Worst price6074.25
Drawdown as % of equity-0.16%
 ($65)
Includes Typical Broker Commissions trade costs of $1.88
6/10/25 16:00 @MESM5 MICRO E-MINI S&P 500 SHORT 1 6039.25 6/10 18:47 6041.00 0.06%
Trade id #151984246
Max drawdown($27)
Time6/10/25 16:19
Quant open1
Worst price6044.75
Drawdown as % of equity-0.06%
 ($10)
Includes Typical Broker Commissions trade costs of $0.94
6/5/25 18:00 @MESM5 MICRO E-MINI S&P 500 LONG 2 5969.75 6/10 16:00 6025.62 0.03%
Trade id #151937416
Max drawdown($13)
Time6/6/25 0:00
Quant open1
Worst price5930.00
Drawdown as % of equity-0.03%
 $557
Includes Typical Broker Commissions trade costs of $1.88
6/4/25 18:00 @MESM5 MICRO E-MINI S&P 500 SHORT 2 5963.38 6/5 18:00 5932.50 0.44%
Trade id #151926034
Max drawdown($203)
Time6/5/25 8:49
Quant open1
Worst price6016.00
Drawdown as % of equity-0.44%
 $307
Includes Typical Broker Commissions trade costs of $1.88
6/3/25 18:00 @MESM5 MICRO E-MINI S&P 500 LONG 1 5979.50 6/4 18:00 5975.25 0.06%
Trade id #151910866
Max drawdown($27)
Time6/4/25 8:25
Quant open1
Worst price5974.00
Drawdown as % of equity-0.06%
 ($22)
Includes Typical Broker Commissions trade costs of $0.94
5/29/25 18:00 @MESM5 MICRO E-MINI S&P 500 SHORT 2 5912.25 6/3 18:00 5979.00 1.72%
Trade id #151868910
Max drawdown($790)
Time6/3/25 13:22
Quant open2
Worst price5991.25
Drawdown as % of equity-1.72%
 ($670)
Includes Typical Broker Commissions trade costs of $1.88
5/27/25 18:00 @MESM5 MICRO E-MINI S&P 500 LONG 1 5939.75 5/28 18:00 5922.25 0.54%
Trade id #151845682
Max drawdown($248)
Time5/28/25 16:20
Quant open1
Worst price5890.00
Drawdown as % of equity-0.54%
 ($89)
Includes Typical Broker Commissions trade costs of $0.94
5/27/25 16:00 @MESM5 MICRO E-MINI S&P 500 SHORT 2 5934.75 5/27 18:00 5940.12 0.15%
Trade id #151844586
Max drawdown($70)
Time5/27/25 16:13
Quant open2
Worst price5941.75
Drawdown as % of equity-0.15%
 ($56)
Includes Typical Broker Commissions trade costs of $1.88
5/22/25 18:00 @MESM5 MICRO E-MINI S&P 500 LONG 2 5823.88 5/27 16:00 5877.25 1.24%
Trade id #151806406
Max drawdown($571)
Time5/23/25 0:00
Quant open1
Worst price5756.50
Drawdown as % of equity-1.24%
 $532
Includes Typical Broker Commissions trade costs of $1.88
5/20/25 18:00 @MESM5 MICRO E-MINI S&P 500 SHORT 1 5951.00 5/21 16:06 5857.00 0.08%
Trade id #151780884
Max drawdown($35)
Time5/20/25 20:32
Quant open1
Worst price5958.00
Drawdown as % of equity-0.08%
 $469
Includes Typical Broker Commissions trade costs of $0.94
5/18/25 18:00 @MESM5 MICRO E-MINI S&P 500 SHORT 2 5946.38 5/20 16:00 5969.88 0.31%
Trade id #151757457
Max drawdown($141)
Time5/20/25 7:33
Quant open1
Worst price5974.75
Drawdown as % of equity-0.31%
 ($237)
Includes Typical Broker Commissions trade costs of $1.88
5/14/25 18:00 @MESM5 MICRO E-MINI S&P 500 SHORT 1 5902.75 5/16 16:00 5973.25 0.82%
Trade id #151727754
Max drawdown($375)
Time5/16/25 15:59
Quant open1
Worst price5977.75
Drawdown as % of equity-0.82%
 ($354)
Includes Typical Broker Commissions trade costs of $0.94
5/13/25 18:00 @MESM5 MICRO E-MINI S&P 500 LONG 1 5900.75 5/14 16:00 5908.00 0.12%
Trade id #151715425
Max drawdown($53)
Time5/14/25 13:23
Quant open1
Worst price5890.00
Drawdown as % of equity-0.12%
 $35
Includes Typical Broker Commissions trade costs of $0.94
5/11/25 18:00 @MESM5 MICRO E-MINI S&P 500 LONG 1 5753.50 5/13 12:45 5917.00 0.21%
Trade id #151686576
Max drawdown($97)
Time5/11/25 18:36
Quant open1
Worst price5734.00
Drawdown as % of equity-0.21%
 $817
Includes Typical Broker Commissions trade costs of $0.94
5/7/25 18:00 @MESM5 MICRO E-MINI S&P 500 LONG 1 5640.75 5/8 16:03 5690.00 0.05%
Trade id #151653824
Max drawdown($21)
Time5/7/25 18:03
Quant open1
Worst price5636.50
Drawdown as % of equity-0.05%
 $245
Includes Typical Broker Commissions trade costs of $0.94
5/7/25 15:42 @MESM5 MICRO E-MINI S&P 500 SHORT 1 5649.75 5/7 18:00 5640.75 0.18%
Trade id #151652157
Max drawdown($81)
Time5/7/25 15:45
Quant open1
Worst price5666.00
Drawdown as % of equity-0.18%
 $44
Includes Typical Broker Commissions trade costs of $0.94
5/5/25 18:00 @MESM5 MICRO E-MINI S&P 500 SHORT 1 5664.25 5/7 13:55 5625.25 0.1%
Trade id #151627361
Max drawdown($46)
Time5/5/25 18:19
Quant open1
Worst price5673.50
Drawdown as % of equity-0.10%
 $194
Includes Typical Broker Commissions trade costs of $0.94
4/27/25 18:00 @MESM5 MICRO E-MINI S&P 500 SHORT 3 5631.83 5/5 16:00 5663.42 1.65%
Trade id #151539101
Max drawdown($741)
Time5/5/25 14:40
Quant open2
Worst price5706.00
Drawdown as % of equity-1.65%
 ($477)
Includes Typical Broker Commissions trade costs of $2.82
4/25/25 16:01 @MESM5 MICRO E-MINI S&P 500 LONG 1 5550.25 4/27 18:00 5544.50 0.14%
Trade id #151533007
Max drawdown($62)
Time4/27/25 18:00
Quant open1
Worst price5537.75
Drawdown as % of equity-0.14%
 ($30)
Includes Typical Broker Commissions trade costs of $0.94
4/24/25 12:28 @MESM5 MICRO E-MINI S&P 500 SHORT 1 5492.00 4/25 16:01 5550.50 0.68%
Trade id #151516963
Max drawdown($312)
Time4/25/25 13:28
Quant open1
Worst price5554.50
Drawdown as % of equity-0.68%
 ($294)
Includes Typical Broker Commissions trade costs of $0.94
4/14/25 9:41 @MESM5 MICRO E-MINI S&P 500 LONG 3 5361.33 4/23 18:00 5436.25 7.29%
Trade id #151394607
Max drawdown($3,140)
Time4/21/25 0:00
Quant open2
Worst price5127.00
Drawdown as % of equity-7.29%
 $1,121
Includes Typical Broker Commissions trade costs of $2.82
4/11/25 10:00 @MESM5 MICRO E-MINI S&P 500 LONG 2 5384.50 4/14 9:39 5474.00 0.59%
Trade id #151372254
Max drawdown($258)
Time4/11/25 10:30
Quant open1
Worst price5251.25
Drawdown as % of equity-0.59%
 $893
Includes Typical Broker Commissions trade costs of $1.88
4/10/25 16:00 @MESM5 MICRO E-MINI S&P 500 LONG 1 5296.75 4/10 16:03 5312.25 n/a $77
Includes Typical Broker Commissions trade costs of $0.94
4/10/25 15:40 @MESM5 MICRO E-MINI S&P 500 SHORT 1 5265.75 4/10 16:00 5295.50 0.6%
Trade id #151360929
Max drawdown($266)
Time4/10/25 15:57
Quant open1
Worst price5319.00
Drawdown as % of equity-0.60%
 ($150)
Includes Typical Broker Commissions trade costs of $0.94
4/10/25 14:09 @MESM5 MICRO E-MINI S&P 500 SHORT 1 5280.50 4/10 14:31 5339.75 0.76%
Trade id #151359740
Max drawdown($337)
Time4/10/25 14:31
Quant open1
Worst price5348.00
Drawdown as % of equity-0.76%
 ($297)
Includes Typical Broker Commissions trade costs of $0.94
4/10/25 13:03 @MESM5 MICRO E-MINI S&P 500 SHORT 1 5273.50 4/10 13:18 5204.25 n/a $345
Includes Typical Broker Commissions trade costs of $0.94
4/10/25 10:51 @MESM5 MICRO E-MINI S&P 500 SHORT 1 5336.25 4/10 12:08 5234.00 0.08%
Trade id #151355524
Max drawdown($33)
Time4/10/25 10:55
Quant open1
Worst price5343.00
Drawdown as % of equity-0.08%
 $510
Includes Typical Broker Commissions trade costs of $0.94
4/3/25 16:00 @MESM5 MICRO E-MINI S&P 500 LONG 5 5233.50 4/10 10:26 5444.35 29.13%
Trade id #151276015
Max drawdown($9,150)
Time4/7/25 0:00
Quant open4
Worst price4832.50
Drawdown as % of equity-29.13%
 $5,266
Includes Typical Broker Commissions trade costs of $4.70
3/28/25 15:49 @MESM5 MICRO E-MINI S&P 500 LONG 5 5623.80 4/2 16:07 5671.90 6.23%
Trade id #151222756
Max drawdown($2,251)
Time3/31/25 0:00
Quant open5
Worst price5533.75
Drawdown as % of equity-6.23%
 $1,198
Includes Typical Broker Commissions trade costs of $4.70
3/25/25 18:00 @MESM5 MICRO E-MINI S&P 500 SHORT 1 5831.00 3/28 15:49 5627.00 0.08%
Trade id #151187567
Max drawdown($27)
Time3/25/25 20:42
Quant open1
Worst price5836.50
Drawdown as % of equity-0.08%
 $1,019
Includes Typical Broker Commissions trade costs of $0.94

Successivo

Statistics

  • Strategy began
    9/5/2019
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    2112.14
  • Age
    70 months ago
  • What it trades
    Futures
  • # Trades
    257
  • # Profitable
    131
  • % Profitable
    51.00%
  • Avg trade duration
    5.6 days
  • Max peak-to-valley drawdown
    36.32%
  • drawdown period
    July 16, 2024 - April 09, 2025
  • Annual Return (Compounded)
    15.7%
  • Avg win
    $767.23
  • Avg loss
    $517.24
  • Model Account Values (Raw)
  • Cash
    $55,373
  • Margin Used
    $4,316
  • Buying Power
    $51,019
  • Ratios
  • W:L ratio
    1.54:1
  • Sharpe Ratio
    0.62
  • Sortino Ratio
    0.99
  • Calmar Ratio
    0.859
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    32.31%
  • Correlation to SP500
    0.29040
  • Return Percent SP500 (cumu) during strategy life
    101.03%
  • Return Statistics
  • Ann Return (w trading costs)
    15.7%
  • Slump
  • Current Slump as Pcnt Equity
    1.90%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.16%
  • 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)
    0.157%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.00%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    19.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    44.00%
  • Chance of 20% account loss
    15.50%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    1.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    904
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    944
  • Popularity (7 days, Percentile 1000 scale)
    765
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $521
  • Avg Win
    $762
  • Sum Trade PL (losers)
    $65,134.000
  • Age
  • Num Months filled monthly returns table
    70
  • Win / Loss
  • Sum Trade PL (winners)
    $100,627.000
  • # Winners
    132
  • Num Months Winners
    43
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    54489
  • Win / Loss
  • # Losers
    125
  • % Winners
    51.4%
  • Frequency
  • Avg Position Time (mins)
    8001.78
  • Avg Position Time (hrs)
    133.36
  • Avg Trade Length
    5.6 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.84
  • Daily leverage (max)
    6.82
  • Regression
  • Alpha
    0.03
  • Beta
    0.27
  • Treynor Index
    0.15
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.10
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    2.792
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.332
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.730
  • Hold-and-Hope Ratio
    0.358
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17294
  • SD
    0.21233
  • Sharpe ratio (Glass type estimate)
    0.81448
  • Sharpe ratio (Hedges UMVUE)
    0.80533
  • df
    67.00000
  • t
    1.93885
  • p
    0.02837
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02324
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.64632
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02924
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.63989
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.94306
  • Upside Potential Ratio
    3.73440
  • Upside part of mean
    0.33238
  • Downside part of mean
    -0.15944
  • Upside SD
    0.19747
  • Downside SD
    0.08900
  • N nonnegative terms
    37.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    68.00000
  • Mean of predictor
    0.10533
  • Mean of criterion
    0.17294
  • SD of predictor
    0.15632
  • SD of criterion
    0.21233
  • Covariance
    0.00874
  • r
    0.26324
  • b (slope, estimate of beta)
    0.35755
  • a (intercept, estimate of alpha)
    0.13528
  • Mean Square Error
    0.04260
  • DF error
    66.00000
  • t(b)
    2.21672
  • p(b)
    0.01505
  • t(a)
    1.53119
  • p(a)
    0.06525
  • Lowerbound of 95% confidence interval for beta
    0.03551
  • Upperbound of 95% confidence interval for beta
    0.67959
  • Lowerbound of 95% confidence interval for alpha
    -0.04112
  • Upperbound of 95% confidence interval for alpha
    0.31168
  • Treynor index (mean / b)
    0.48368
  • Jensen alpha (a)
    0.13528
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15106
  • SD
    0.19993
  • Sharpe ratio (Glass type estimate)
    0.75558
  • Sharpe ratio (Hedges UMVUE)
    0.74709
  • df
    67.00000
  • t
    1.79864
  • p
    0.03829
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08034
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.58604
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.08592
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.58010
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.64736
  • Upside Potential Ratio
    3.42688
  • Upside part of mean
    0.31424
  • Downside part of mean
    -0.16318
  • Upside SD
    0.18132
  • Downside SD
    0.09170
  • N nonnegative terms
    37.00000
  • N negative terms
    31.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    68.00000
  • Mean of predictor
    0.09252
  • Mean of criterion
    0.15106
  • SD of predictor
    0.15787
  • SD of criterion
    0.19993
  • Covariance
    0.00854
  • r
    0.27052
  • b (slope, estimate of beta)
    0.34260
  • a (intercept, estimate of alpha)
    0.11936
  • Mean Square Error
    0.03761
  • DF error
    66.00000
  • t(b)
    2.28284
  • p(b)
    0.01283
  • t(a)
    1.44438
  • p(a)
    0.07668
  • Lowerbound of 95% confidence interval for beta
    0.04296
  • Upperbound of 95% confidence interval for beta
    0.64224
  • Lowerbound of 95% confidence interval for alpha
    -0.04563
  • Upperbound of 95% confidence interval for alpha
    0.28436
  • Treynor index (mean / b)
    0.44093
  • Jensen alpha (a)
    0.11936
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07904
  • Expected Shortfall on VaR
    0.10078
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02905
  • Expected Shortfall on VaR
    0.05586
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    68.00000
  • Minimum
    0.89966
  • Quartile 1
    0.97762
  • Median
    1.00682
  • Quartile 3
    1.03489
  • Maximum
    1.28399
  • Mean of quarter 1
    0.95525
  • Mean of quarter 2
    0.99661
  • Mean of quarter 3
    1.02175
  • Mean of quarter 4
    1.09336
  • Inter Quartile Range
    0.05727
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.05882
  • Mean of outliers high
    1.19419
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.28000
  • VaR(95%) (moments method)
    0.04650
  • Expected Shortfall (moments method)
    0.05563
  • Extreme Value Index (regression method)
    -0.03202
  • VaR(95%) (regression method)
    0.04682
  • Expected Shortfall (regression method)
    0.06044
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00098
  • Quartile 1
    0.01859
  • Median
    0.04184
  • Quartile 3
    0.07540
  • Maximum
    0.15754
  • Mean of quarter 1
    0.00173
  • Mean of quarter 2
    0.02637
  • Mean of quarter 3
    0.06094
  • Mean of quarter 4
    0.13069
  • Inter Quartile Range
    0.05681
  • 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)
    -9.82876
  • VaR(95%) (moments method)
    0.14135
  • Expected Shortfall (moments method)
    0.14135
  • Extreme Value Index (regression method)
    -1.53644
  • VaR(95%) (regression method)
    0.17468
  • Expected Shortfall (regression method)
    0.17943
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31007
  • Compounded annual return (geometric extrapolation)
    0.19598
  • Calmar ratio (compounded annual return / max draw down)
    1.24399
  • Compounded annual return / average of 25% largest draw downs
    1.49958
  • Compounded annual return / Expected Shortfall lognormal
    1.94459
  • 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
    0.16554
  • SD
    0.17852
  • Sharpe ratio (Glass type estimate)
    0.92732
  • Sharpe ratio (Hedges UMVUE)
    0.92686
  • df
    1498.00000
  • t
    2.21810
  • p
    0.47139
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10712
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.74725
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.10678
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.74693
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.50574
  • Upside Potential Ratio
    8.30047
  • Upside part of mean
    0.91257
  • Downside part of mean
    -0.74703
  • Upside SD
    0.14094
  • Downside SD
    0.10994
  • N nonnegative terms
    646.00000
  • N negative terms
    853.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1499.00000
  • Mean of predictor
    0.11683
  • Mean of criterion
    0.16554
  • SD of predictor
    0.21257
  • SD of criterion
    0.17852
  • Covariance
    0.01027
  • r
    0.27055
  • b (slope, estimate of beta)
    0.22721
  • a (intercept, estimate of alpha)
    0.13900
  • Mean Square Error
    0.02956
  • DF error
    1497.00000
  • t(b)
    10.87360
  • p(b)
    0.32988
  • t(a)
    1.93281
  • p(a)
    0.46825
  • Lowerbound of 95% confidence interval for beta
    0.18622
  • Upperbound of 95% confidence interval for beta
    0.26820
  • Lowerbound of 95% confidence interval for alpha
    -0.00207
  • Upperbound of 95% confidence interval for alpha
    0.28006
  • Treynor index (mean / b)
    0.72859
  • Jensen alpha (a)
    0.13900
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14976
  • SD
    0.17684
  • Sharpe ratio (Glass type estimate)
    0.84686
  • Sharpe ratio (Hedges UMVUE)
    0.84643
  • df
    1498.00000
  • t
    2.02563
  • p
    0.47387
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.02677
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.66669
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.02647
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66640
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.34511
  • Upside Potential Ratio
    8.10917
  • Upside part of mean
    0.90285
  • Downside part of mean
    -0.75309
  • Upside SD
    0.13763
  • Downside SD
    0.11134
  • N nonnegative terms
    646.00000
  • N negative terms
    853.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1499.00000
  • Mean of predictor
    0.09414
  • Mean of criterion
    0.14976
  • SD of predictor
    0.21319
  • SD of criterion
    0.17684
  • Covariance
    0.01010
  • r
    0.26802
  • b (slope, estimate of beta)
    0.22232
  • a (intercept, estimate of alpha)
    0.12883
  • Mean Square Error
    0.02905
  • DF error
    1497.00000
  • t(b)
    10.76360
  • p(b)
    0.33144
  • t(a)
    1.80743
  • p(a)
    0.47030
  • Lowerbound of 95% confidence interval for beta
    0.18180
  • Upperbound of 95% confidence interval for beta
    0.26283
  • Lowerbound of 95% confidence interval for alpha
    -0.01099
  • Upperbound of 95% confidence interval for alpha
    0.26865
  • Treynor index (mean / b)
    0.67363
  • Jensen alpha (a)
    0.12883
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01725
  • Expected Shortfall on VaR
    0.02172
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00705
  • Expected Shortfall on VaR
    0.01446
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1499.00000
  • Minimum
    0.93180
  • Quartile 1
    0.99769
  • Median
    1.00000
  • Quartile 3
    1.00380
  • Maximum
    1.12478
  • Mean of quarter 1
    0.98934
  • Mean of quarter 2
    0.99951
  • Mean of quarter 3
    1.00133
  • Mean of quarter 4
    1.01278
  • Inter Quartile Range
    0.00611
  • Number outliers low
    128.00000
  • Percentage of outliers low
    0.08539
  • Mean of outliers low
    0.98043
  • Number of outliers high
    127.00000
  • Percentage of outliers high
    0.08472
  • Mean of outliers high
    1.02341
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14671
  • VaR(95%) (moments method)
    0.00768
  • Expected Shortfall (moments method)
    0.01207
  • Extreme Value Index (regression method)
    0.02221
  • VaR(95%) (regression method)
    0.00985
  • Expected Shortfall (regression method)
    0.01473
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    50.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00284
  • Median
    0.01181
  • Quartile 3
    0.05035
  • Maximum
    0.22640
  • Mean of quarter 1
    0.00139
  • Mean of quarter 2
    0.00573
  • Mean of quarter 3
    0.02760
  • Mean of quarter 4
    0.10416
  • Inter Quartile Range
    0.04751
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.08000
  • Mean of outliers high
    0.16795
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.12261
  • VaR(95%) (moments method)
    0.10505
  • Expected Shortfall (moments method)
    0.13314
  • Extreme Value Index (regression method)
    -0.01849
  • VaR(95%) (regression method)
    0.11009
  • Expected Shortfall (regression method)
    0.14547
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.30823
  • Compounded annual return (geometric extrapolation)
    0.19443
  • Calmar ratio (compounded annual return / max draw down)
    0.85877
  • Compounded annual return / average of 25% largest draw downs
    1.86664
  • Compounded annual return / Expected Shortfall lognormal
    8.95288
  • 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
    0.15417
  • SD
    0.29756
  • Sharpe ratio (Glass type estimate)
    0.51810
  • Sharpe ratio (Hedges UMVUE)
    0.51511
  • df
    130.00000
  • t
    0.36635
  • p
    0.48394
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.25539
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.28966
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.25740
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.28762
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95273
  • Upside Potential Ratio
    6.99851
  • Upside part of mean
    1.13247
  • Downside part of mean
    -0.97831
  • Upside SD
    0.24854
  • Downside SD
    0.16182
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02096
  • Mean of criterion
    0.15417
  • SD of predictor
    0.24590
  • SD of criterion
    0.29756
  • Covariance
    0.02509
  • r
    0.34284
  • b (slope, estimate of beta)
    0.41486
  • a (intercept, estimate of alpha)
    0.16286
  • Mean Square Error
    0.07874
  • DF error
    129.00000
  • t(b)
    4.14511
  • p(b)
    0.28610
  • t(a)
    0.41039
  • p(a)
    0.47702
  • Lowerbound of 95% confidence interval for beta
    0.21684
  • Upperbound of 95% confidence interval for beta
    0.61289
  • Lowerbound of 95% confidence interval for alpha
    -0.62230
  • Upperbound of 95% confidence interval for alpha
    0.94803
  • Treynor index (mean / b)
    0.37161
  • Jensen alpha (a)
    0.16286
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11162
  • SD
    0.29039
  • Sharpe ratio (Glass type estimate)
    0.38437
  • Sharpe ratio (Hedges UMVUE)
    0.38215
  • df
    130.00000
  • t
    0.27179
  • p
    0.48808
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.38855
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.15585
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.39005
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.15434
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.67474
  • Upside Potential Ratio
    6.66949
  • Upside part of mean
    1.10330
  • Downside part of mean
    -0.99168
  • Upside SD
    0.23742
  • Downside SD
    0.16542
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05069
  • Mean of criterion
    0.11162
  • SD of predictor
    0.24427
  • SD of criterion
    0.29039
  • Covariance
    0.02420
  • r
    0.34119
  • b (slope, estimate of beta)
    0.40562
  • a (intercept, estimate of alpha)
    0.13218
  • Mean Square Error
    0.07509
  • DF error
    129.00000
  • t(b)
    4.12259
  • p(b)
    0.28708
  • t(a)
    0.34105
  • p(a)
    0.48090
  • VAR (95 Confidence Intrvl)
    0.01700
  • Lowerbound of 95% confidence interval for beta
    0.21095
  • Upperbound of 95% confidence interval for beta
    0.60029
  • Lowerbound of 95% confidence interval for alpha
    -0.63462
  • Upperbound of 95% confidence interval for alpha
    0.89897
  • Treynor index (mean / b)
    0.27518
  • Jensen alpha (a)
    0.13218
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02866
  • Expected Shortfall on VaR
    0.03590
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00952
  • Expected Shortfall on VaR
    0.02012
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93180
  • Quartile 1
    0.99757
  • Median
    1.00000
  • Quartile 3
    1.00299
  • Maximum
    1.12478
  • Mean of quarter 1
    0.98606
  • Mean of quarter 2
    0.99937
  • Mean of quarter 3
    1.00096
  • Mean of quarter 4
    1.01640
  • Inter Quartile Range
    0.00542
  • Number outliers low
    15.00000
  • Percentage of outliers low
    0.11450
  • Mean of outliers low
    0.97569
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.04196
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56050
  • VaR(95%) (moments method)
    0.01129
  • Expected Shortfall (moments method)
    0.03026
  • Extreme Value Index (regression method)
    0.50757
  • VaR(95%) (regression method)
    0.01262
  • Expected Shortfall (regression method)
    0.03127
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00007
  • Quartile 1
    0.00899
  • Median
    0.01253
  • Quartile 3
    0.03010
  • Maximum
    0.19587
  • Mean of quarter 1
    0.00349
  • Mean of quarter 2
    0.01181
  • Mean of quarter 3
    0.01729
  • Mean of quarter 4
    0.11939
  • Inter Quartile Range
    0.02111
  • 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
    0.14286
  • Mean of outliers high
    0.19587
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -400202000
  • Max Equity Drawdown (num days)
    267
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.14451
  • Compounded annual return (geometric extrapolation)
    0.14973
  • Calmar ratio (compounded annual return / max draw down)
    0.76444
  • Compounded annual return / average of 25% largest draw downs
    1.25407
  • Compounded annual return / Expected Shortfall lognormal
    4.17096

Strategy Description

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

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

Subscribe to this strategy now for $195/month.


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

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

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


-VIXPro-

Summary Statistics


Strategy began
2019-09-05
Suggested Minimum Capital
$40,000
Rank at C2 %
Top 5.6%
Rank # 
#39
# Trades
257
# Profitable
131
% Profitable
51.0%
Correlation S&P500
0.290
Sharpe Ratio
0.62
Sortino Ratio
0.99
Beta
0.27
Alpha
0.03
Leverage
1.84 Average
6.82 Maximum

Sommario
Leva finanziaria più alta = maggiore rischio.

Ulteriori informazioni sulla leva finanziaria

Collective2 calcola la leva finanziaria massima utilizzata da una strategia in ogni giorno. Mostriamo quindi la media di queste misurazioni (cioè la media della leva finanziaria massima giornaliera) e la più grande di queste misurazioni (leva finanziaria massima giornaliera).

La leva finanziaria è il rapporto tra il valore nozionale totale controllato da una strategia e il patrimonio del Model Account. Generalmente, una leva finanziaria più alta implica un rischio maggiore.

Esempio di calcolo:
La Strategia acquista 100 azioni a $12 per azione.
Il patrimonio del Model Account durante quel giorno è di $5.000.
La leva finanziaria è: $1200 / $5.000 = 0,24

Questa è una misurazione utile, ma deve essere considerata nel contesto. Questa misurazione non tiene conto di fattori importanti, come quando si detengono più posizioni che sono inversamente correlate. Né la misurazione tiene conto della volatilità degli strumenti detenuti.

Inoltre, alcune classi di attività sono per loro natura più leveraged di altre. Ad esempio, i contratti futures sono altamente leveraged. Le posizioni Forex sono spesso ancora più leveraged dei futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Trade journal

  • 9/15/2018, 10:03:33 PM BTS 200 EURUSD

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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.



Riguardo ai risultati che vedi su questo sito web

I risultati passati non sono necessariamente indicativi dei risultati futuri.

Questi risultati si basano su performance simulate o ipotetiche che presentano alcune limitazioni intrinseche. A differenza dei risultati mostrati in un registro delle prestazioni effettive, questi risultati non rappresentano trading effettivo. Inoltre, poiché queste operazioni non sono state effettivamente eseguite, questi risultati potrebbero aver sotto o sovrastimato l'impatto, se presente, di alcuni fattori di mercato, come la mancanza di liquidità. I programmi di trading simulati o ipotetici in generale sono soggetti anche al fatto che sono progettati con il beneficio del senno di poi. Non viene fatta alcuna rappresentazione che qualsiasi conto raggiungerà o sarà probabile ottenere profitti o perdite simili a quelli mostrati.

Inoltre, il trading ipotetico non comporta rischio finanziario e nessun record di trading ipotetico può tener conto completamente dell'impatto del rischio finanziario nel trading effettivo. Ad esempio, la capacità di sopportare perdite o di attenersi a un particolare programma di trading nonostante le perdite commerciali sono punti materiali che possono influire negativamente sui risultati del trading effettivo. Ci sono numerosi altri fattori legati ai mercati in generale o all'attuazione di qualsiasi specifico programma di trading, che non possono essere pienamente contabilizzati nella preparazione dei risultati delle prestazioni ipotetiche e tutti i quali possono influire negativamente sui risultati del trading effettivo.

Ipotesi e metodi materiali utilizzati nel calcolo dei risultati

Le seguenti sono ipotesi materiali utilizzate nel calcolo di eventuali risultati mensili ipotetici che appaiono sul nostro sito web.

  • I profitti vengono reinvestiti. Presumiamo che i profitti (quando ci sono) vengano reinvestiti nella strategia di trading.
  • Dimensione dell'investimento iniziale. Per qualsiasi strategia di trading sul nostro sito, i risultati ipotetici si basano sull'ipotesi che tu abbia investito l'importo iniziale mostrato sul grafico delle prestazioni della strategia. In alcuni casi, gli importi nominali in dollari sul grafico del patrimonio sono stati ridimensionati verso il basso per rendere le dimensioni di trading attuali più gestibili. In questi casi, potrebbe non essere stato possibile scambiare la strategia storicamente ai livelli di patrimonio mostrati sul grafico e un capitale minimo più elevato era richiesto in passato.
  • Tutte le spese sono incluse. Nel calcolo dei rendimenti cumulativi, cerchiamo di stimare e includere tutte le spese che un tipico trader sostiene quando fa AutoTrading utilizzando la tecnologia AutoTrade. Ciò include il costo dell'abbonamento alla strategia, più eventuali commissioni per operazione di AutoTrade, più le commissioni di intermediazione stimate, se presenti.
  • Metodo di calcolo del "Max Drawdown". Calcoliamo la statistica Max Drawdown come segue. Il nostro software informatico esamina il grafico del patrimonio del sistema in questione e trova la percentuale più grande in cui il grafico del patrimonio diminuisce mai da un "picco" locale a un punto successivo nel tempo (quindi questo è formalmente chiamato "Massimo calo dal picco alla valle"). Sebbene queste informazioni siano utili nella valutazione dei sistemi di trading, dovresti tenere presente che le prestazioni passate non garantiscono risultati futuri. Pertanto, i cali futuri potrebbero essere maggiori rispetto ai massimi cali storici che vedi qui.

Il trading è rischioso

C'è un rischio sostanziale di perdita nel trading di futures e forex. Il trading online di azioni e opzioni è estremamente rischioso. Presumi che perderai denaro. Non fare trading con denaro che non puoi permetterti di perdere.

Va bene, capito.

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