Collective2 Collective2
Featured Strategy Gold and Silver +133.9% Cumul. Return since Jan 14, 2025 Hypothetical

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


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SP500 trend
(144265023)

Creato da: JaranPantic JaranPantic
Started: 04/2023
Futures
Last trade: 634 days ago
Trading style: Futures Trend-following

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 $125.00 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
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.

-
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.

(100.0%)
Max Drawdown
176
Num Trades
54.0%
Win Trades
0.4 : 1
Profit Factor
16.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                     +1.9%+4.4%+2.4%+5.4%+1.0%(0.4%)(50%)(123%)(215.8%)(141.9%)
2024(0.9%)(0.9%)(0.9%)(0.9%)(0.9%)(0.9%)(0.8%)(11.4%)  -    -    -    -  -
2025  -    -    -    -    -    -    -    -    -                    0.0


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 2 hours.

Trading Record

This strategy has placed 41 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 734 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/26/23 12:36 @NQZ3 E-MINI NASDAQ 100 STK IDX SHORT 10 14185.40 12/15 2:45 14456.73 173.57%
Trade id #146248181
Max drawdown$56,135
Time10/26/23 12:36
Quant open
Worst price16582.80
Drawdown as % of equity173.57%
 ($54,346)
Includes Typical Broker Commissions trade costs of $80.00
10/26/23 11:25 @NQZ3 E-MINI NASDAQ 100 STK IDX SHORT 10 14263.40 10/26 12:19 14253.15 0.26%
Trade id #146246102
Max drawdown$85
Time10/26/23 12:19
Quant open
Worst price14160.20
Drawdown as % of equity0.26%
 $1,970
Includes Typical Broker Commissions trade costs of $80.00
10/26/23 11:01 @NQZ3 E-MINI NASDAQ 100 STK IDX LONG 5 14353.85 10/26 11:25 14265.00 29.59%
Trade id #146245594
Max drawdown$9,570
Time10/26/23 11:01
Quant open
Worst price14259.00
Drawdown as % of equity29.59%
 ($8,925)
Includes Typical Broker Commissions trade costs of $40.00
10/26/23 10:49 @RTYZ3 Russell 2000 CME LONG 10 1676.44 10/26 10:55 1678.30 0%
Trade id #146245362
Max drawdown$0
Time12/31/69 19:00
Quant open
Worst price1693.80
Drawdown as % of equity0.00%
 $850
Includes Typical Broker Commissions trade costs of $80.00
10/26/23 10:41 @RTYZ3 Russell 2000 CME SHORT 6 1667.47 10/26 10:49 1676.30 8.98%
Trade id #146245111
Max drawdown$2,905
Time10/26/23 10:41
Quant open
Worst price1668.70
Drawdown as % of equity8.98%
 ($2,698)
Includes Typical Broker Commissions trade costs of $48.00
10/26/23 10:27 @RTYZ3 Russell 2000 CME LONG 10 1670.62 10/26 10:40 1667.50 8.04%
Trade id #146244774
Max drawdown$2,600
Time10/26/23 10:28
Quant open
Worst price1667.10
Drawdown as % of equity8.04%
 ($1,640)
Includes Typical Broker Commissions trade costs of $80.00
10/26/23 10:23 @RTYZ3 Russell 2000 CME SHORT 10 1664.92 10/26 10:27 1670.30 9.9%
Trade id #146244610
Max drawdown$3,203
Time10/26/23 10:23
Quant open
Worst price1664.60
Drawdown as % of equity9.90%
 ($2,770)
Includes Typical Broker Commissions trade costs of $80.00
10/26/23 10:22 @RTYZ3 Russell 2000 CME LONG 8 1668.17 10/26 10:23 1664.90 3.77%
Trade id #146244576
Max drawdown$1,220
Time10/26/23 10:22
Quant open
Worst price1664.60
Drawdown as % of equity3.77%
 ($1,374)
Includes Typical Broker Commissions trade costs of $64.00
10/26/23 10:14 @RTYZ3 Russell 2000 CME SHORT 8 1664.90 10/26 10:21 1667.20 3.57%
Trade id #146244479
Max drawdown$1,154
Time10/26/23 10:14
Quant open
Worst price1665.10
Drawdown as % of equity3.57%
 ($984)
Includes Typical Broker Commissions trade costs of $64.00
10/26/23 10:01 @RTYZ3 Russell 2000 CME SHORT 2 1661.80 10/26 10:03 1662.00 0.37%
Trade id #146244150
Max drawdown$120
Time10/26/23 10:01
Quant open
Worst price1660.10
Drawdown as % of equity0.37%
 ($36)
Includes Typical Broker Commissions trade costs of $16.00
10/26/23 9:19 @RTYZ3 Russell 2000 CME SHORT 8 1664.14 10/26 10:01 1662.40 1.86%
Trade id #146242718
Max drawdown$600
Time10/26/23 10:01
Quant open
Worst price1660.90
Drawdown as % of equity1.86%
 $631
Includes Typical Broker Commissions trade costs of $64.00
10/26/23 4:03 DXMZ3 MINI-DAX INDEX SHORT 4 14824.0 10/26 4:05 14801.0 1.05%
Trade id #146239863
Max drawdown$340
Time10/26/23 4:03
Quant open
Worst price14798.0
Drawdown as % of equity1.05%
 $428
Includes Typical Broker Commissions trade costs of $32.00
10/25/23 4:27 @RTYZ3 Russell 2000 CME LONG 1 1680.20 10/25 6:09 1676.50 0.33%
Trade id #146227310
Max drawdown$185
Time10/25/23 4:27
Quant open
Worst price1676.50
Drawdown as % of equity0.33%
 ($193)
Includes Typical Broker Commissions trade costs of $8.00
10/24/23 9:45 @MESZ3 MICRO E-MINI S&P 500 SHORT 3 4273.25 10/25 4:27 4266.75 0.23%
Trade id #146218091
Max drawdown$130
Time10/24/23 9:45
Quant open
Worst price4279.00
Drawdown as % of equity0.23%
 $94
Includes Typical Broker Commissions trade costs of $3.60
10/24/23 10:41 @RTYZ3 Russell 2000 CME SHORT 1 1697.90 10/24 10:41 1698.10 0%
Trade id #146219334
Max drawdown$0
Time12/31/69 19:00
Quant open
Worst price1693.80
Drawdown as % of equity0.00%
 ($18)
Includes Typical Broker Commissions trade costs of $8.00
10/24/23 3:40 @MESZ3 MICRO E-MINI S&P 500 SHORT 5 4265.65 10/24 9:45 4264.00 0.19%
Trade id #146213895
Max drawdown$105
Time10/24/23 3:40
Quant open
Worst price4246.50
Drawdown as % of equity0.19%
 $35
Includes Typical Broker Commissions trade costs of $6.00
10/24/23 3:40 @RTYZ3 Russell 2000 CME SHORT 1 1681.80 10/24 4:08 1682.60 0.06%
Trade id #146213891
Max drawdown$34
Time10/24/23 3:40
Quant open
Worst price1681.90
Drawdown as % of equity0.06%
 ($48)
Includes Typical Broker Commissions trade costs of $8.00
10/23/23 10:49 @RTYZ3 Russell 2000 CME SHORT 4 1690.90 10/23 12:04 1690.50 1.62%
Trade id #146205858
Max drawdown$907
Time10/23/23 10:49
Quant open
Worst price1694.10
Drawdown as % of equity1.62%
 $48
Includes Typical Broker Commissions trade costs of $32.00
10/20/23 14:45 @MESZ3 MICRO E-MINI S&P 500 SHORT 1 4265.50 10/23 9:50 4232.75 0.17%
Trade id #146190546
Max drawdown$97
Time10/23/23 9:50
Quant open
Worst price4229.50
Drawdown as % of equity0.17%
 $163
Includes Typical Broker Commissions trade costs of $1.20
10/23/23 9:32 @RTYZ3 Russell 2000 CME SHORT 10 1676.61 10/23 9:45 1675.33 2.06%
Trade id #146203698
Max drawdown$1,150
Time10/23/23 9:42
Quant open
Worst price1670.90
Drawdown as % of equity2.06%
 $560
Includes Typical Broker Commissions trade costs of $80.00
10/20/23 14:00 @RTYZ3 Russell 2000 CME SHORT 8 1703.20 10/20 14:34 1700.90 1.78%
Trade id #146189944
Max drawdown$980
Time10/20/23 14:21
Quant open
Worst price1698.50
Drawdown as % of equity1.78%
 $856
Includes Typical Broker Commissions trade costs of $64.00
10/20/23 13:39 @RTYZ3 Russell 2000 CME SHORT 4 1705.62 10/20 13:56 1705.20 0.69%
Trade id #146189715
Max drawdown$380
Time10/20/23 13:56
Quant open
Worst price1704.70
Drawdown as % of equity0.69%
 $53
Includes Typical Broker Commissions trade costs of $32.00
10/20/23 13:31 @MESZ3 MICRO E-MINI S&P 500 SHORT 2 4274.75 10/20 13:49 4274.25 0.02%
Trade id #146189634
Max drawdown$12
Time10/20/23 13:49
Quant open
Worst price4273.00
Drawdown as % of equity0.02%
 $3
Includes Typical Broker Commissions trade costs of $2.40
10/20/23 11:35 @MESZ3 MICRO E-MINI S&P 500 SHORT 20 4273.40 10/20 13:31 4271.12 0.23%
Trade id #146187172
Max drawdown$127
Time10/20/23 11:35
Quant open
Worst price4273.25
Drawdown as % of equity0.23%
 $204
Includes Typical Broker Commissions trade costs of $24.00
10/20/23 11:09 @ESZ3 E-MINI S&P 500 SHORT 4 4265.38 10/20 11:32 4255.25 0%
Trade id #146186724
Max drawdown$0
Time12/31/69 19:00
Quant open
Worst price4259.50
Drawdown as % of equity0.00%
 $1,993
Includes Typical Broker Commissions trade costs of $32.00
9/13/23 11:05 @M6AZ3 E-MICRO AUD/USD LONG 5 0.6447 9/13 22:38 0.6451 0%
Trade id #145809838
Max drawdown$0
Time12/31/69 19:00
Quant open
Worst price0.6426
Drawdown as % of equity0.00%
 $16
Includes Typical Broker Commissions trade costs of $3.90
9/12/23 22:29 @M6AZ3 E-MICRO AUD/USD SHORT 5 0.6426 9/13 11:05 0.6439 0.16%
Trade id #145804400
Max drawdown$85
Time9/12/23 23:59
Quant open
Worst price0.6446
Drawdown as % of equity0.16%
 ($69)
Includes Typical Broker Commissions trade costs of $3.90
9/12/23 21:46 DXMZ3 MINI-DAX INDEX SHORT 2 15844.0 9/12 23:01 15795.0 0.23%
Trade id #145804258
Max drawdown$120
Time9/12/23 23:01
Quant open
Worst price15792.0
Drawdown as % of equity0.23%
 $474
Includes Typical Broker Commissions trade costs of $16.00
9/11/23 20:42 @MESU3 MICRO E-MINI S&P 500 LONG 3 4483.17 9/12 4:03 4478.50 0.3%
Trade id #145793331
Max drawdown$153
Time9/11/23 23:59
Quant open
Worst price4477.25
Drawdown as % of equity0.30%
 ($74)
Includes Typical Broker Commissions trade costs of $3.60
9/11/23 0:59 @ADU3 AUSTRALIAN DOLLAR LONG 1 0.6439 9/11 4:45 0.6434 0.09%
Trade id #145782982
Max drawdown$45
Time9/11/23 0:59
Quant open
Worst price0.6435
Drawdown as % of equity0.09%
 ($53)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    4/12/2023
  • Suggested Minimum Cap
    $42,500
  • Strategy Age (days)
    878.81
  • Age
    29 months ago
  • What it trades
    Futures
  • # Trades
    176
  • # Profitable
    95
  • % Profitable
    54.00%
  • Avg trade duration
    21.0 hours
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    Nov 12, 2023 - Nov 20, 2023
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $337.11
  • Avg loss
    $1,055
  • Model Account Values (Raw)
  • Cash
    ($10,948)
  • Margin Used
    $0
  • Buying Power
    ($10,948)
  • Ratios
  • W:L ratio
    0.37:1
  • Sharpe Ratio
    -1.64
  • Sortino Ratio
    -1.69
  • Calmar Ratio
    -1
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -197.63%
  • Correlation to SP500
    -0.17980
  • Return Percent SP500 (cumu) during strategy life
    59.16%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.79%
  • 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)
    n/a
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    100.00%
  • Chance of 40% account loss
    100.00%
  • Chance of 60% account loss (Monte Carlo)
    100.00%
  • Chance of 70% account loss (Monte Carlo)
    100.00%
  • Chance of 80% account loss (Monte Carlo)
    100.00%
  • Chance of 90% account loss (Monte Carlo)
    100.00%
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    99.84%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,055
  • Avg Win
    $337
  • Sum Trade PL (losers)
    $85,470.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $32,025.000
  • # Winners
    95
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    81
  • % Winners
    54.0%
  • Frequency
  • Avg Position Time (mins)
    1257.88
  • Avg Position Time (hrs)
    20.96
  • Avg Trade Length
    0.9 days
  • Last Trade Ago
    391
  • Leverage
  • Daily leverage (average)
    4.11
  • Daily leverage (max)
    70.16
  • Regression
  • Alpha
    0.00
  • Beta
    -4.73
  • Treynor Index
    0.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.00
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    0.000
  • 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
    0.000
  • Avg(MAE) / Avg(PL) - Losing trades
    0.000
  • Hold-and-Hope Ratio
    0.000
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.57339
  • SD
    0.88598
  • Sharpe ratio (Glass type estimate)
    -0.64718
  • Sharpe ratio (Hedges UMVUE)
    -0.61418
  • df
    15.00000
  • t
    -0.74730
  • p
    0.61989
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.34956
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.07611
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.32573
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.09737
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.66055
  • Upside Potential Ratio
    0.22356
  • Upside part of mean
    0.19406
  • Downside part of mean
    -0.76745
  • Upside SD
    0.09892
  • Downside SD
    0.86805
  • N nonnegative terms
    6.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.26774
  • Mean of criterion
    -0.57339
  • SD of predictor
    0.13234
  • SD of criterion
    0.88598
  • Covariance
    -0.04407
  • r
    -0.37591
  • b (slope, estimate of beta)
    -2.51665
  • a (intercept, estimate of alpha)
    0.10043
  • Mean Square Error
    0.72218
  • DF error
    14.00000
  • t(b)
    -1.51786
  • p(b)
    0.68795
  • t(a)
    0.11685
  • p(a)
    0.48439
  • Lowerbound of 95% confidence interval for beta
    -6.07277
  • Upperbound of 95% confidence interval for beta
    1.03947
  • Lowerbound of 95% confidence interval for alpha
    -1.74297
  • Upperbound of 95% confidence interval for alpha
    1.94383
  • Treynor index (mean / b)
    0.22784
  • Jensen alpha (a)
    0.10043
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -8.01751
  • SD
    9.47153
  • Sharpe ratio (Glass type estimate)
    -0.84649
  • Sharpe ratio (Hedges UMVUE)
    -0.80332
  • df
    15.00000
  • t
    -0.97744
  • p
    0.65421
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.55667
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.89081
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.52487
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.91823
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.84771
  • Upside Potential Ratio
    0.01997
  • Upside part of mean
    0.18890
  • Downside part of mean
    -8.20641
  • Upside SD
    0.09622
  • Downside SD
    9.45782
  • N nonnegative terms
    6.00000
  • N negative terms
    10.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.25628
  • Mean of criterion
    -8.01751
  • SD of predictor
    0.13031
  • SD of criterion
    9.47153
  • Covariance
    -0.42362
  • r
    -0.34322
  • b (slope, estimate of beta)
    -24.94600
  • a (intercept, estimate of alpha)
    -1.62436
  • Mean Square Error
    84.79510
  • DF error
    14.00000
  • t(b)
    -1.36726
  • p(b)
    0.67161
  • t(a)
    -0.17571
  • p(a)
    0.52346
  • Lowerbound of 95% confidence interval for beta
    -64.07820
  • Upperbound of 95% confidence interval for beta
    14.18610
  • Lowerbound of 95% confidence interval for alpha
    -21.45180
  • Upperbound of 95% confidence interval for alpha
    18.20310
  • Treynor index (mean / b)
    0.32139
  • Jensen alpha (a)
    -1.62436
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.99429
  • Expected Shortfall on VaR
    0.99743
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.16455
  • Expected Shortfall on VaR
    0.37161
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.00002
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.04498
  • Maximum
    1.06183
  • Mean of quarter 1
    0.75001
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.01260
  • Mean of quarter 4
    1.05558
  • Inter Quartile Range
    0.04498
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.06250
  • Mean of outliers low
    0.00002
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.99998
  • Quartile 1
    0.99998
  • Median
    0.99998
  • Quartile 3
    0.99998
  • Maximum
    0.99998
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.74998
  • Compounded annual return (geometric extrapolation)
    -0.99966
  • Calmar ratio (compounded annual return / max draw down)
    -0.99968
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -1.00223
  • 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
    839.71100
  • SD
    991.27700
  • Sharpe ratio (Glass type estimate)
    0.84710
  • Sharpe ratio (Hedges UMVUE)
    0.84535
  • df
    364.00000
  • t
    0.99984
  • p
    0.15903
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81515
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.50823
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81633
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.50704
  • Statistics related to Sortino ratio
  • Sortino ratio
    500.52100
  • Upside Potential Ratio
    503.14500
  • Upside part of mean
    844.11200
  • Downside part of mean
    -4.40122
  • Upside SD
    991.27500
  • Downside SD
    1.67767
  • N nonnegative terms
    69.00000
  • N negative terms
    296.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    365.00000
  • Mean of predictor
    0.31136
  • Mean of criterion
    839.71100
  • SD of predictor
    0.18599
  • SD of criterion
    991.27700
  • Covariance
    -5.69324
  • r
    -0.03088
  • b (slope, estimate of beta)
    -164.57500
  • a (intercept, estimate of alpha)
    890.95200
  • Mean Square Error
    984397.00000
  • DF error
    363.00000
  • t(b)
    -0.58861
  • p(b)
    0.72176
  • t(a)
    1.05426
  • p(a)
    0.14623
  • Lowerbound of 95% confidence interval for beta
    -714.41400
  • Upperbound of 95% confidence interval for beta
    385.26400
  • Lowerbound of 95% confidence interval for alpha
    -770.94600
  • Upperbound of 95% confidence interval for alpha
    2552.85000
  • Treynor index (mean / b)
    -5.10230
  • Jensen alpha (a)
    890.95200
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -7.67458
  • SD
    10.76300
  • Sharpe ratio (Glass type estimate)
    -0.71305
  • Sharpe ratio (Hedges UMVUE)
    -0.71158
  • df
    364.00000
  • t
    -0.84162
  • p
    0.79972
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.37398
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.94878
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.37293
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.94978
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.87151
  • Upside Potential Ratio
    0.79530
  • Upside part of mean
    7.00343
  • Downside part of mean
    -14.67800
  • Upside SD
    6.18090
  • Downside SD
    8.80605
  • N nonnegative terms
    69.00000
  • N negative terms
    296.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    365.00000
  • Mean of predictor
    0.29390
  • Mean of criterion
    -7.67458
  • SD of predictor
    0.18605
  • SD of criterion
    10.76300
  • Covariance
    -0.14213
  • r
    -0.07098
  • b (slope, estimate of beta)
    -4.10625
  • a (intercept, estimate of alpha)
    -6.46774
  • Mean Square Error
    115.57700
  • DF error
    363.00000
  • t(b)
    -1.35577
  • p(b)
    0.91199
  • t(a)
    -0.70672
  • p(a)
    0.75990
  • Lowerbound of 95% confidence interval for beta
    -10.06230
  • Upperbound of 95% confidence interval for beta
    1.84978
  • Lowerbound of 95% confidence interval for alpha
    -24.46480
  • Upperbound of 95% confidence interval for alpha
    11.52930
  • Treynor index (mean / b)
    1.86900
  • Jensen alpha (a)
    -6.46774
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.67470
  • Expected Shortfall on VaR
    0.74682
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05104
  • Expected Shortfall on VaR
    0.11620
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    365.00000
  • Minimum
    0.00045
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1171.00000
  • Mean of quarter 1
    0.93369
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    13.92270
  • Inter Quartile Range
    0.00000
  • Number outliers low
    71.00000
  • Percentage of outliers low
    0.19452
  • Mean of outliers low
    0.91408
  • Number of outliers high
    79.00000
  • Percentage of outliers high
    0.21644
  • Mean of outliers high
    15.88560
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    2.53827
  • VaR(95%) (moments method)
    0.00905
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.19054
  • VaR(95%) (regression method)
    0.01217
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00020
  • Quartile 1
    0.00202
  • Median
    0.00420
  • Quartile 3
    0.02015
  • Maximum
    0.99998
  • Mean of quarter 1
    0.00066
  • Mean of quarter 2
    0.00352
  • Mean of quarter 3
    0.01039
  • Mean of quarter 4
    0.27689
  • Inter Quartile Range
    0.01813
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.13333
  • Mean of outliers high
    0.52730
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.54135
  • VaR(95%) (moments method)
    0.21048
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    4.33672
  • VaR(95%) (regression method)
    0.61991
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.71779
  • Compounded annual return (geometric extrapolation)
    -0.99952
  • Calmar ratio (compounded annual return / max draw down)
    -0.99954
  • Compounded annual return / average of 25% largest draw downs
    -3.60980
  • Compounded annual return / Expected Shortfall lognormal
    -1.33837
  • 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
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.45729
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.26784
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.02791
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    -9748420000000000.00000
  • Sharpe ratio (Hedges UMVUE)
    -9692070000000000.00000
  • df
    130.00000
  • t
    -6893170000000000.00000
  • p
    1.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -10870200000000000.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -8513980000000000.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    -16.18640
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    -0.02791
  • Upside SD
    0.00000
  • Downside SD
    0.00172
  • N nonnegative terms
    0.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.42126
  • Mean of criterion
    -0.02791
  • SD of predictor
    0.26810
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    -0.02791
  • Mean Square Error
    0.00000
  • DF error
    129.00000
  • t(b)
    0.00000
  • p(b)
    0.50000
  • t(a)
    -6834240000000000.00000
  • p(a)
    1.00000
  • VAR (95 Confidence Intrvl)
    0.67500
  • Lowerbound of 95% confidence interval for beta
    -0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    -0.02791
  • Upperbound of 95% confidence interval for alpha
    -0.02791
  • Treynor index (mean / b)
    -156795999999999995575426160263168.00000
  • Jensen alpha (a)
    -0.02791
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00011
  • Expected Shortfall on VaR
    0.00011
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -421962000
  • Max Equity Drawdown (num days)
    8
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.00000

Strategy Description

follow long term trend, all trades are in control of risk management rules.
Trade this strategy at Tradier

Summary Statistics


Strategy began
2023-04-12
Suggested Minimum Capital
$25,000
# Trades
176
# Profitable
95
% Profitable
54.0%
Correlation S&P500
-0.180
Sharpe Ratio
-1.64
Sortino Ratio
-1.69
Beta
-4.73
Alpha
0.00
Leverage
4.11 Average
70.16 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

subscribed on started simulation

Trade journal

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

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  • 9/13/2018, 9:07:33 PM BTO 1 ETHUSD

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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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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.