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



UltraFutures
(133141816)

Creato da: VIXPro VIXPro
Started: 01/2021
Stocks
Last trade: 7 days ago
Trading style: Equity 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: Equity
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).

33.3%
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.

(28.9%)
Max Drawdown
736
Num Trades
50.5%
Win Trades
1.4 : 1
Profit Factor
67.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2021(12.5%)+10.7%+14.0%+3.2%+3.8%+3.2%(3.5%)(1.7%)(8.4%)+5.6%+27.6%+1.3%+44.7%
2022(21.5%)+12.3%+52.7%+1.4%+1.2%(0.6%)+16.6%+0.7%+2.8%+2.6%+1.6%+1.0%+74.5%
2023(5.3%)(11.8%)+2.0%+1.0%+1.9%+2.4%+4.9%+10.5%+0.7%+3.2%+9.3%+2.8%+21.6%
2024(0.5%)+4.6%(1.6%)(10.9%)(0.8%)+0.3%+3.2%(7.2%)(7.7%)+25.4%(8.6%)+23.4%+13.5%
2025(0.3%)(1.2%)(3.9%)+9.3%+1.3%+1.0%+0.9%+2.3%                        +9.3%


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 168 hours.

Trading Record

This strategy has placed 1 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 987 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/17/25 18:00 @MESU5 MICRO E-MINI S&P 500 LONG 2 6468.88 8/20 18:00 6424.25 0.57%
Trade id #152627635
Max drawdown($530)
Time8/20/25 10:53
Quant open1
Worst price6362.75
Drawdown as % of equity-0.57%
($448)
Includes Typical Broker Commissions trade costs of $2.40
8/13/25 18:00 @MESU5 MICRO E-MINI S&P 500 SHORT 3 6487.33 8/17 18:00 6479.83 0.12%
Trade id #152602775
Max drawdown($108)
Time8/15/25 0:00
Quant open1
Worst price6509.00
Drawdown as % of equity-0.12%
$109
Includes Typical Broker Commissions trade costs of $3.60
8/8/25 16:02 @MESU5 MICRO E-MINI S&P 500 LONG 2 6420.38 8/13 18:00 6442.12 0.35%
Trade id #152563495
Max drawdown($326)
Time8/11/25 0:00
Quant open2
Worst price6387.75
Drawdown as % of equity-0.35%
$216
Includes Typical Broker Commissions trade costs of $2.40
8/7/25 16:16 @MESU5 MICRO E-MINI S&P 500 SHORT 2 6373.75 8/8 16:02 6416.75 0.48%
Trade id #152552601
Max drawdown($452)
Time8/8/25 14:03
Quant open2
Worst price6419.00
Drawdown as % of equity-0.48%
($432)
Includes Typical Broker Commissions trade costs of $2.40
8/6/25 18:00 @MESU5 MICRO E-MINI S&P 500 LONG 1 6372.25 8/7 16:16 6373.75 0.2%
Trade id #152540992
Max drawdown($190)
Time8/7/25 14:23
Quant open1
Worst price6334.25
Drawdown as % of equity-0.20%
$7
Includes Typical Broker Commissions trade costs of $1.20
8/5/25 16:17 @MESU5 MICRO E-MINI S&P 500 SHORT 4 6332.81 8/6 18:00 6370.00 0.99%
Trade id #152528281
Max drawdown($933)
Time8/6/25 15:32
Quant open4
Worst price6379.50
Drawdown as % of equity-0.99%
($749)
Includes Typical Broker Commissions trade costs of $4.80
8/1/25 16:06 @MESU5 MICRO E-MINI S&P 500 LONG 4 6262.94 8/4 18:00 6361.38 0.02%
Trade id #152498180
Max drawdown($22)
Time8/1/25 16:09
Quant open3
Worst price6262.75
Drawdown as % of equity-0.02%
$1,964
Includes Typical Broker Commissions trade costs of $4.80
7/28/25 16:00 @MESU5 MICRO E-MINI S&P 500 LONG 2 6423.00 7/31 18:00 6401.12 0.6%
Trade id #152448349
Max drawdown($562)
Time7/30/25 0:00
Quant open2
Worst price6366.75
Drawdown as % of equity-0.60%
($221)
Includes Typical Broker Commissions trade costs of $2.40
7/25/25 16:01 @MESU5 MICRO E-MINI S&P 500 SHORT 1 6424.50 7/27 18:00 6445.75 0.17%
Trade id #152423389
Max drawdown($157)
Time7/27/25 18:00
Quant open1
Worst price6456.00
Drawdown as % of equity-0.17%
($107)
Includes Typical Broker Commissions trade costs of $1.20
7/24/25 16:00 @MESU5 MICRO E-MINI S&P 500 LONG 2 6401.50 7/25 16:00 6415.12 0.02%
Trade id #152412926
Max drawdown($22)
Time7/24/25 16:04
Quant open2
Worst price6399.25
Drawdown as % of equity-0.02%
$134
Includes Typical Broker Commissions trade costs of $2.40
7/23/25 16:02 @MESU5 MICRO E-MINI S&P 500 SHORT 1 6404.75 7/24 9:32 6398.50 0.01%
Trade id #152400615
Max drawdown($13)
Time7/23/25 16:58
Quant open1
Worst price6407.50
Drawdown as % of equity-0.01%
$30
Includes Typical Broker Commissions trade costs of $1.20
7/22/25 18:00 @MESU5 MICRO E-MINI S&P 500 LONG 1 6349.00 7/23 16:02 6404.00 0.03%
Trade id #152390383
Max drawdown($32)
Time7/22/25 18:50
Quant open1
Worst price6342.50
Drawdown as % of equity-0.03%
$274
Includes Typical Broker Commissions trade costs of $1.20
7/21/25 18:00 @MESU5 MICRO E-MINI S&P 500 SHORT 1 6348.00 7/22 18:00 6349.00 0.03%
Trade id #152379121
Max drawdown($28)
Time7/22/25 15:39
Quant open1
Worst price6353.75
Drawdown as % of equity-0.03%
($6)
Includes Typical Broker Commissions trade costs of $1.20
7/1/25 16:00 @MESU5 MICRO E-MINI S&P 500 LONG 8 6282.38 7/21 18:00 6306.22 0.31%
Trade id #152202062
Max drawdown($285)
Time7/16/25 0:00
Quant open2
Worst price6240.75
Drawdown as % of equity-0.31%
$944
Includes Typical Broker Commissions trade costs of $9.60
6/30/25 16:00 @MESU5 MICRO E-MINI S&P 500 SHORT 1 6252.75 6/30 18:00 6246.50 n/a $30
Includes Typical Broker Commissions trade costs of $1.20
6/27/25 16:00 @MESU5 MICRO E-MINI S&P 500 LONG 2 6218.75 6/30 16:00 6238.75 0.02%
Trade id #152172430
Max drawdown($20)
Time6/27/25 16:27
Quant open2
Worst price6216.75
Drawdown as % of equity-0.02%
$198
Includes Typical Broker Commissions trade costs of $2.40
6/23/25 18:06 @MESU5 MICRO E-MINI S&P 500 LONG 2 6116.75 6/26 16:00 6196.25 0.07%
Trade id #152127989
Max drawdown($67)
Time6/24/25 0:00
Quant open1
Worst price6075.25
Drawdown as % of equity-0.07%
$793
Includes Typical Broker Commissions trade costs of $2.40
6/18/25 18:00 @MESU5 MICRO E-MINI S&P 500 LONG 2 6031.00 6/23 16:04 6074.75 0.43%
Trade id #152091852
Max drawdown($390)
Time6/23/25 12:37
Quant open2
Worst price5992.00
Drawdown as % of equity-0.43%
$436
Includes Typical Broker Commissions trade costs of $2.40
6/17/25 16:17 @MESU5 MICRO E-MINI S&P 500 SHORT 4 6033.62 6/18 18:00 6040.06 0.88%
Trade id #152080261
Max drawdown($802)
Time6/18/25 10:34
Quant open4
Worst price6073.75
Drawdown as % of equity-0.88%
($134)
Includes Typical Broker Commissions trade costs of $4.80
6/13/25 16:17 @MESU5 MICRO E-MINI S&P 500 SHORT 6 6056.08 6/17 16:05 6074.75 0.27%
Trade id #152053101
Max drawdown($249)
Time6/17/25 11:14
Quant open2
Worst price6081.00
Drawdown as % of equity-0.27%
($567)
Includes Typical Broker Commissions trade costs of $7.20
6/11/25 18:00 @MESU5 MICRO E-MINI S&P 500 SHORT 1 6078.00 6/13 16:17 6037.75 0.15%
Trade id #151997029
Max drawdown($133)
Time6/12/25 0:00
Quant open1
Worst price6104.75
Drawdown as % of equity-0.15%
$200
Includes Typical Broker Commissions trade costs of $1.20
6/11/25 16:00 @MESU5 MICRO E-MINI S&P 500 LONG 2 6081.75 6/11 18:00 6078.00 0.08%
Trade id #151995902
Max drawdown($75)
Time6/11/25 18:00
Quant open2
Worst price6074.25
Drawdown as % of equity-0.08%
($40)
Includes Typical Broker Commissions trade costs of $2.40
6/10/25 16:00 @MESM5 MICRO E-MINI S&P 500 SHORT 1 6039.75 6/10 18:47 6040.75 0.03%
Trade id #151984242
Max drawdown($25)
Time6/10/25 16:19
Quant open1
Worst price6044.75
Drawdown as % of equity-0.03%
($6)
Includes Typical Broker Commissions trade costs of $1.20
6/5/25 18:00 @MESM5 MICRO E-MINI S&P 500 LONG 2 5971.12 6/10 16:00 6026.38 0.03%
Trade id #151937421
Max drawdown($26)
Time6/6/25 0:00
Quant open1
Worst price5930.00
Drawdown as % of equity-0.03%
$551
Includes Typical Broker Commissions trade costs of $2.40
6/4/25 18:00 @MESM5 MICRO E-MINI S&P 500 SHORT 2 5964.00 6/5 18:00 5935.25 0.22%
Trade id #151926038
Max drawdown($202)
Time6/5/25 8:49
Quant open1
Worst price6016.00
Drawdown as % of equity-0.22%
$286
Includes Typical Broker Commissions trade costs of $2.40
6/3/25 18:00 @MESM5 MICRO E-MINI S&P 500 LONG 1 5979.75 6/4 18:00 5975.50 0.03%
Trade id #151910875
Max drawdown($28)
Time6/4/25 8:25
Quant open1
Worst price5974.00
Drawdown as % of equity-0.03%
($22)
Includes Typical Broker Commissions trade costs of $1.20
5/29/25 18:00 @MESM5 MICRO E-MINI S&P 500 SHORT 4 5948.00 6/3 18:00 5978.25 0.84%
Trade id #151868915
Max drawdown($765)
Time6/3/25 13:22
Quant open2
Worst price5991.25
Drawdown as % of equity-0.84%
($610)
Includes Typical Broker Commissions trade costs of $4.80
5/27/25 18:00 @MESM5 MICRO E-MINI S&P 500 LONG 1 5938.25 5/28 18:00 5921.00 0.26%
Trade id #151845687
Max drawdown($241)
Time5/28/25 16:20
Quant open1
Worst price5890.00
Drawdown as % of equity-0.26%
($87)
Includes Typical Broker Commissions trade costs of $1.20
5/27/25 16:01 @MESM5 MICRO E-MINI S&P 500 SHORT 2 5933.75 5/27 18:00 5938.25 0.09%
Trade id #151844601
Max drawdown($80)
Time5/27/25 16:13
Quant open2
Worst price5941.75
Drawdown as % of equity-0.09%
($47)
Includes Typical Broker Commissions trade costs of $2.40
5/22/25 18:00 @MESM5 MICRO E-MINI S&P 500 LONG 3 5853.83 5/27 16:00 5854.58 1.26%
Trade id #151806410
Max drawdown($1,155)
Time5/23/25 0:00
Quant open2
Worst price5756.50
Drawdown as % of equity-1.26%
$7
Includes Typical Broker Commissions trade costs of $3.60


Statistics

  • Strategy began
    1/3/2021
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    1697.92
  • Age
    57 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    736
  • # Profitable
    372
  • % Profitable
    50.50%
  • Avg trade duration
    2.5 days
  • Max peak-to-valley drawdown
    28.93%
  • drawdown period
    Nov 29, 2021 - Feb 18, 2022
  • Annual Return (Compounded)
    33.3%
  • Avg win
    $889.31
  • Avg loss
    $666.79
  • Model Account Values (Raw)
  • Cash
    $113,094
  • Margin Used
    $0
  • Buying Power
    $113,094
  • Ratios
  • W:L ratio
    1.36:1
  • Sharpe Ratio
    0.86
  • Sortino Ratio
    1.49
  • Calmar Ratio
    1.695
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    207.99%
  • Correlation to SP500
    0.16310
  • Return Percent SP500 (cumu) during strategy life
    72.81%
  • Return Statistics
  • Ann Return (w trading costs)
    33.3%
  • Slump
  • Current Slump as Pcnt Equity
    0.30%
  • Instruments
  • Percent Trades Futures
    0.23%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.00%
  • 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)
    0.333%
  • Instruments
  • Percent Trades Options
    0.01%
  • Percent Trades Stocks
    0.76%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    38.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    43.50%
  • Chance of 20% account loss
    17.50%
  • Chance of 30% account loss
    8.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    0.50%
  • Popularity
  • Popularity (Today)
    589
  • Popularity (Last 6 weeks)
    935
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    967
  • Popularity (7 days, Percentile 1000 scale)
    835
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $667
  • Avg Win
    $889
  • Sum Trade PL (losers)
    $242,712.000
  • Age
  • Num Months filled monthly returns table
    56
  • Win / Loss
  • Sum Trade PL (winners)
    $330,823.000
  • # Winners
    372
  • Num Months Winners
    38
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    364
  • % Winners
    50.5%
  • Frequency
  • Avg Position Time (mins)
    3572.28
  • Avg Position Time (hrs)
    59.54
  • Avg Trade Length
    2.5 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    0.73
  • Daily leverage (max)
    11.84
  • Regression
  • Alpha
    0.08
  • Beta
    0.29
  • Treynor Index
    0.30
  • 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)
    -0.88
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -14.151
  • 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
    0.505
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.423
  • Hold-and-Hope Ratio
    -0.070
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.35691
  • SD
    0.36274
  • Sharpe ratio (Glass type estimate)
    0.98394
  • Sharpe ratio (Hedges UMVUE)
    0.97021
  • df
    54.00000
  • t
    2.10650
  • p
    0.01991
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.04556
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.91360
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03661
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.90382
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.35640
  • Upside Potential Ratio
    3.88034
  • Upside part of mean
    0.58774
  • Downside part of mean
    -0.23082
  • Upside SD
    0.34185
  • Downside SD
    0.15146
  • N nonnegative terms
    34.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    55.00000
  • Mean of predictor
    0.10375
  • Mean of criterion
    0.35691
  • SD of predictor
    0.15100
  • SD of criterion
    0.36274
  • Covariance
    0.01951
  • r
    0.35624
  • b (slope, estimate of beta)
    0.85576
  • a (intercept, estimate of alpha)
    0.26813
  • Mean Square Error
    0.11705
  • DF error
    53.00000
  • t(b)
    2.77557
  • p(b)
    0.00380
  • t(a)
    1.64523
  • p(a)
    0.05292
  • Lowerbound of 95% confidence interval for beta
    0.23735
  • Upperbound of 95% confidence interval for beta
    1.47417
  • Lowerbound of 95% confidence interval for alpha
    -0.05875
  • Upperbound of 95% confidence interval for alpha
    0.59502
  • Treynor index (mean / b)
    0.41707
  • Jensen alpha (a)
    0.26813
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29493
  • SD
    0.33198
  • Sharpe ratio (Glass type estimate)
    0.88839
  • Sharpe ratio (Hedges UMVUE)
    0.87600
  • df
    54.00000
  • t
    1.90194
  • p
    0.03126
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.04619
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.81506
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.05429
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.80628
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.81599
  • Upside Potential Ratio
    3.31131
  • Upside part of mean
    0.53778
  • Downside part of mean
    -0.24285
  • Upside SD
    0.29846
  • Downside SD
    0.16241
  • N nonnegative terms
    34.00000
  • N negative terms
    21.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    55.00000
  • Mean of predictor
    0.09200
  • Mean of criterion
    0.29493
  • SD of predictor
    0.15053
  • SD of criterion
    0.33198
  • Covariance
    0.01804
  • r
    0.36105
  • b (slope, estimate of beta)
    0.79627
  • a (intercept, estimate of alpha)
    0.22168
  • Mean Square Error
    0.09765
  • DF error
    53.00000
  • t(b)
    2.81862
  • p(b)
    0.00338
  • t(a)
    1.49516
  • p(a)
    0.07040
  • Lowerbound of 95% confidence interval for beta
    0.22964
  • Upperbound of 95% confidence interval for beta
    1.36290
  • Lowerbound of 95% confidence interval for alpha
    -0.07570
  • Upperbound of 95% confidence interval for alpha
    0.51905
  • Treynor index (mean / b)
    0.37039
  • Jensen alpha (a)
    0.22168
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12459
  • Expected Shortfall on VaR
    0.15843
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03657
  • Expected Shortfall on VaR
    0.07822
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    55.00000
  • Minimum
    0.81100
  • Quartile 1
    0.98371
  • Median
    1.01526
  • Quartile 3
    1.06528
  • Maximum
    1.49582
  • Mean of quarter 1
    0.93167
  • Mean of quarter 2
    1.00004
  • Mean of quarter 3
    1.03305
  • Mean of quarter 4
    1.16360
  • Inter Quartile Range
    0.08157
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01818
  • Mean of outliers low
    0.81100
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.05455
  • Mean of outliers high
    1.32459
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.14197
  • VaR(95%) (moments method)
    0.05277
  • Expected Shortfall (moments method)
    0.08280
  • Extreme Value Index (regression method)
    0.09634
  • VaR(95%) (regression method)
    0.08840
  • Expected Shortfall (regression method)
    0.14151
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00660
  • Quartile 1
    0.04005
  • Median
    0.10178
  • Quartile 3
    0.14049
  • Maximum
    0.19590
  • Mean of quarter 1
    0.02242
  • Mean of quarter 2
    0.10081
  • Mean of quarter 3
    0.13622
  • Mean of quarter 4
    0.19245
  • Inter Quartile Range
    0.10043
  • 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)
    -152.73700
  • VaR(95%) (moments method)
    0.18497
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -3.81188
  • VaR(95%) (regression method)
    0.25974
  • Expected Shortfall (regression method)
    0.25984
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.73997
  • Compounded annual return (geometric extrapolation)
    0.38104
  • Calmar ratio (compounded annual return / max draw down)
    1.94504
  • Compounded annual return / average of 25% largest draw downs
    1.97995
  • Compounded annual return / Expected Shortfall lognormal
    2.40519
  • 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
    0.33270
  • SD
    0.27531
  • Sharpe ratio (Glass type estimate)
    1.20844
  • Sharpe ratio (Hedges UMVUE)
    1.20769
  • df
    1207.00000
  • t
    2.59483
  • p
    0.45263
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29415
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.12226
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29364
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.12174
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.15843
  • Upside Potential Ratio
    8.91371
  • Upside part of mean
    1.37395
  • Downside part of mean
    -1.04125
  • Upside SD
    0.22890
  • Downside SD
    0.15414
  • N nonnegative terms
    655.00000
  • N negative terms
    553.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1208.00000
  • Mean of predictor
    0.10937
  • Mean of criterion
    0.33270
  • SD of predictor
    0.17344
  • SD of criterion
    0.27531
  • Covariance
    0.00783
  • r
    0.16406
  • b (slope, estimate of beta)
    0.26042
  • a (intercept, estimate of alpha)
    0.30400
  • Mean Square Error
    0.07382
  • DF error
    1206.00000
  • t(b)
    5.77567
  • p(b)
    0.41797
  • t(a)
    2.40247
  • p(a)
    0.46549
  • Lowerbound of 95% confidence interval for beta
    0.17196
  • Upperbound of 95% confidence interval for beta
    0.34888
  • Lowerbound of 95% confidence interval for alpha
    0.05578
  • Upperbound of 95% confidence interval for alpha
    0.55265
  • Treynor index (mean / b)
    1.27756
  • Jensen alpha (a)
    0.30422
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29584
  • SD
    0.26874
  • Sharpe ratio (Glass type estimate)
    1.10085
  • Sharpe ratio (Hedges UMVUE)
    1.10017
  • df
    1207.00000
  • t
    2.36380
  • p
    0.45682
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.18681
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.01448
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18634
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.01400
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.88367
  • Upside Potential Ratio
    8.59028
  • Upside part of mean
    1.34916
  • Downside part of mean
    -1.05332
  • Upside SD
    0.21870
  • Downside SD
    0.15706
  • N nonnegative terms
    655.00000
  • N negative terms
    553.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1208.00000
  • Mean of predictor
    0.09433
  • Mean of criterion
    0.29584
  • SD of predictor
    0.17329
  • SD of criterion
    0.26874
  • Covariance
    0.00781
  • r
    0.16761
  • b (slope, estimate of beta)
    0.25994
  • a (intercept, estimate of alpha)
    0.27132
  • Mean Square Error
    0.07025
  • DF error
    1206.00000
  • t(b)
    5.90439
  • p(b)
    0.41619
  • t(a)
    2.19685
  • p(a)
    0.46843
  • Lowerbound of 95% confidence interval for beta
    0.17357
  • Upperbound of 95% confidence interval for beta
    0.34631
  • Lowerbound of 95% confidence interval for alpha
    0.02901
  • Upperbound of 95% confidence interval for alpha
    0.51363
  • Treynor index (mean / b)
    1.13812
  • Jensen alpha (a)
    0.27132
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02584
  • Expected Shortfall on VaR
    0.03256
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00851
  • Expected Shortfall on VaR
    0.01803
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1208.00000
  • Minimum
    0.92503
  • Quartile 1
    0.99591
  • Median
    1.00056
  • Quartile 3
    1.00582
  • Maximum
    1.18796
  • Mean of quarter 1
    0.98550
  • Mean of quarter 2
    0.99885
  • Mean of quarter 3
    1.00275
  • Mean of quarter 4
    1.01840
  • Inter Quartile Range
    0.00990
  • Number outliers low
    67.00000
  • Percentage of outliers low
    0.05546
  • Mean of outliers low
    0.96698
  • Number of outliers high
    70.00000
  • Percentage of outliers high
    0.05795
  • Mean of outliers high
    1.04306
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40233
  • VaR(95%) (moments method)
    0.01345
  • Expected Shortfall (moments method)
    0.02670
  • Extreme Value Index (regression method)
    0.22862
  • VaR(95%) (regression method)
    0.01331
  • Expected Shortfall (regression method)
    0.02219
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    60.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00372
  • Median
    0.01875
  • Quartile 3
    0.06106
  • Maximum
    0.22551
  • Mean of quarter 1
    0.00180
  • Mean of quarter 2
    0.00742
  • Mean of quarter 3
    0.03214
  • Mean of quarter 4
    0.12472
  • Inter Quartile Range
    0.05734
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.10000
  • Mean of outliers high
    0.18498
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.05832
  • VaR(95%) (moments method)
    0.12699
  • Expected Shortfall (moments method)
    0.17279
  • Extreme Value Index (regression method)
    -0.26133
  • VaR(95%) (regression method)
    0.14872
  • Expected Shortfall (regression method)
    0.18294
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.74808
  • Compounded annual return (geometric extrapolation)
    0.38230
  • Calmar ratio (compounded annual return / max draw down)
    1.69527
  • Compounded annual return / average of 25% largest draw downs
    3.06525
  • Compounded annual return / Expected Shortfall lognormal
    11.74260
  • 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
    0.19807
  • SD
    0.14883
  • Sharpe ratio (Glass type estimate)
    1.33082
  • Sharpe ratio (Hedges UMVUE)
    1.32313
  • df
    130.00000
  • t
    0.94103
  • p
    0.45887
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.44824
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.10481
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.45334
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.09960
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.57605
  • Upside Potential Ratio
    8.99161
  • Upside part of mean
    0.69135
  • Downside part of mean
    -0.49328
  • Upside SD
    0.12736
  • Downside SD
    0.07689
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17524
  • Mean of criterion
    0.19807
  • SD of predictor
    0.23758
  • SD of criterion
    0.14883
  • Covariance
    0.01239
  • r
    0.35045
  • b (slope, estimate of beta)
    0.21954
  • a (intercept, estimate of alpha)
    0.15960
  • Mean Square Error
    0.01958
  • DF error
    129.00000
  • t(b)
    4.24980
  • p(b)
    0.28155
  • t(a)
    0.80564
  • p(a)
    0.45499
  • Lowerbound of 95% confidence interval for beta
    0.11733
  • Upperbound of 95% confidence interval for beta
    0.32174
  • Lowerbound of 95% confidence interval for alpha
    -0.23235
  • Upperbound of 95% confidence interval for alpha
    0.55154
  • Treynor index (mean / b)
    0.90221
  • Jensen alpha (a)
    0.15960
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18718
  • SD
    0.14686
  • Sharpe ratio (Glass type estimate)
    1.27460
  • Sharpe ratio (Hedges UMVUE)
    1.26723
  • df
    130.00000
  • t
    0.90128
  • p
    0.46060
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.50395
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.04832
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.50885
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.04332
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.41317
  • Upside Potential Ratio
    8.81044
  • Upside part of mean
    0.68340
  • Downside part of mean
    -0.49622
  • Upside SD
    0.12458
  • Downside SD
    0.07757
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14745
  • Mean of criterion
    0.18718
  • SD of predictor
    0.23582
  • SD of criterion
    0.14686
  • Covariance
    0.01197
  • r
    0.34574
  • b (slope, estimate of beta)
    0.21530
  • a (intercept, estimate of alpha)
    0.15543
  • Mean Square Error
    0.01914
  • DF error
    129.00000
  • t(b)
    4.18488
  • p(b)
    0.28436
  • t(a)
    0.79394
  • p(a)
    0.45564
  • VAR (95 Confidence Intrvl)
    0.02600
  • Lowerbound of 95% confidence interval for beta
    0.11351
  • Upperbound of 95% confidence interval for beta
    0.31709
  • Lowerbound of 95% confidence interval for alpha
    -0.23192
  • Upperbound of 95% confidence interval for alpha
    0.54279
  • Treynor index (mean / b)
    0.86939
  • Jensen alpha (a)
    0.15543
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01411
  • Expected Shortfall on VaR
    0.01783
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00387
  • Expected Shortfall on VaR
    0.00841
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97447
  • Quartile 1
    0.99840
  • Median
    1.00053
  • Quartile 3
    1.00205
  • Maximum
    1.06069
  • Mean of quarter 1
    0.99316
  • Mean of quarter 2
    0.99964
  • Mean of quarter 3
    1.00124
  • Mean of quarter 4
    1.00942
  • Inter Quartile Range
    0.00365
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.98612
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.07634
  • Mean of outliers high
    1.02201
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.68286
  • VaR(95%) (moments method)
    0.00672
  • Expected Shortfall (moments method)
    0.02338
  • Extreme Value Index (regression method)
    0.50231
  • VaR(95%) (regression method)
    0.00542
  • Expected Shortfall (regression method)
    0.01237
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00073
  • Quartile 1
    0.00222
  • Median
    0.00832
  • Quartile 3
    0.01717
  • Maximum
    0.06396
  • Mean of quarter 1
    0.00084
  • Mean of quarter 2
    0.00376
  • Mean of quarter 3
    0.01186
  • Mean of quarter 4
    0.04838
  • Inter Quartile Range
    0.01495
  • 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
    0.12500
  • Mean of outliers high
    0.06396
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -374113000
  • Max Equity Drawdown (num days)
    81
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22708
  • Compounded annual return (geometric extrapolation)
    0.23997
  • Calmar ratio (compounded annual return / max draw down)
    3.75170
  • Compounded annual return / average of 25% largest draw downs
    4.95994
  • Compounded annual return / Expected Shortfall lognormal
    13.45630

Strategy Description

Our flagship algorithmic trading strategy focusses primarily on trading volatility ETFs through Stocks and Options and combining it with specifically targetted trades in the 'E-mini S&P 500 Futures' (ES / MES) — both as hedges and as standalone trades — as well as occasional opportunistic volatility trades in individual stocks. 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 the majority of trades are executed around Market Open and Market Close. Holding times will vary between a couple of minutes up to a couple of days. During regular market sessions Stop Loss orders are put in place.

Keep in mind that this strategy trades Stocks (incl. ETFs), Options and Futures.

Subscribe to this strategy now for $195/month.


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

• EliteFutures: Our algorithmic ES/MES Futures trading strategy
collective2.com/details/125237603

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


-VIXPro-

Summary Statistics


Strategy began
2021-01-03
Suggested Minimum Capital
$100,000
Rank at C2 %
Top 3.3%
Rank # 
#19
# Trades
736
# Profitable
372
% Profitable
50.5%
Correlation S&P500
0.163
Sharpe Ratio
0.86
Sortino Ratio
1.49
Beta
0.29
Alpha
0.08
Leverage
0.73 Average
11.84 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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