Collective2 Collective2
Featured Strategy SK Trader Followed by live capital $39,700 Hypothetical

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


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Full Throttle
(146298295)

Creato da: QuantWizard QuantWizard
Started: 11/2023
Futures
Last trade: Today

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 $249.00 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.


94.7%
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.

(27.1%)
Max Drawdown
908
Num Trades
28.0%
Win Trades
1.3 : 1
Profit Factor
80.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                                      +6.4%+8.8%+15.9%
2024+27.2%+9.0%+13.9%+1.6%+10.0%+16.9%+4.1%+0.2%(12.9%)(4.2%)+0.7%+10.4%+99.5%
2025+7.6%(5.1%)+9.7%(7.4%)+14.7%+8.3%                                    +28.8%


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.

Trading Record

This strategy has placed 2,100 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
5/20/25 11:25 @VXM5 CBOE Volatility Index VIX SHORT 5 19.85 6/17 13:07 20.10 0.95%
Trade id #151776253
Max drawdown($2,950)
Time6/13/25 0:00
Quant open1
Worst price22.80
Drawdown as % of equity-0.95%
 ($1,290)
Includes Typical Broker Commissions trade costs of $40.00
6/17/25 10:35 QGCQ5 Gold 100 oz SHORT 1 3392.7 6/17 10:52 3401.9 0.32%
Trade id #152076375
Max drawdown($957)
Time6/17/25 10:52
Quant open1
Worst price3402.3
Drawdown as % of equity-0.32%
 ($927)
Includes Typical Broker Commissions trade costs of $8.00
6/16/25 23:11 QGCQ5 Gold 100 oz SHORT 1 3401.0 6/17 0:45 3411.4 0.35%
Trade id #152071693
Max drawdown($1,056)
Time6/17/25 0:45
Quant open1
Worst price3411.6
Drawdown as % of equity-0.35%
 ($1,040)
Includes Typical Broker Commissions trade costs of $8.00
6/16/25 9:40 @NQM5 E-MINI NASDAQ 100 STK IDX LONG 1 21870.42 6/16 12:35 21937.77 0.2%
Trade id #152064066
Max drawdown($623)
Time6/16/25 9:47
Quant open1
Worst price21839.20
Drawdown as % of equity-0.20%
 $1,339
Includes Typical Broker Commissions trade costs of $8.00
6/16/25 10:00 @ESM5 E-MINI S&P 500 LONG 1 6045.25 6/16 11:10 6046.00 0.08%
Trade id #152064676
Max drawdown($237)
Time6/16/25 10:08
Quant open1
Worst price6040.50
Drawdown as % of equity-0.08%
 $30
Includes Typical Broker Commissions trade costs of $8.00
6/12/25 20:02 QGCQ5 Gold 100 oz LONG 7 3433.5 6/16 9:54 3431.6 5.46%
Trade id #152041587
Max drawdown($17,020)
Time6/13/25 0:00
Quant open6
Worst price3399.6
Drawdown as % of equity-5.46%
 ($1,377)
Includes Typical Broker Commissions trade costs of $56.00
6/11/25 21:28 QGCQ5 Gold 100 oz LONG 1 3395.8 6/12 2:20 3385.2 0.35%
Trade id #151997746
Max drawdown($1,070)
Time6/12/25 2:20
Quant open1
Worst price3385.1
Drawdown as % of equity-0.35%
 ($1,071)
Includes Typical Broker Commissions trade costs of $8.00
6/11/25 13:25 @ESM5 E-MINI S&P 500 LONG 2 6057.50 6/11 13:35 6053.18 0.16%
Trade id #151994472
Max drawdown($500)
Time6/11/25 13:35
Quant open2
Worst price6052.50
Drawdown as % of equity-0.16%
 ($448)
Includes Typical Broker Commissions trade costs of $16.00
6/11/25 13:10 @ESM5 E-MINI S&P 500 LONG 2 6056.89 6/11 13:15 6053.50 0.17%
Trade id #151994378
Max drawdown($513)
Time6/11/25 13:15
Quant open2
Worst price6051.75
Drawdown as % of equity-0.17%
 ($355)
Includes Typical Broker Commissions trade costs of $16.00
6/11/25 11:55 @NQM5 E-MINI NASDAQ 100 STK IDX LONG 2 22013.18 6/11 12:00 21995.80 0.34%
Trade id #151993594
Max drawdown($1,047)
Time6/11/25 11:59
Quant open2
Worst price21987.00
Drawdown as % of equity-0.34%
 ($711)
Includes Typical Broker Commissions trade costs of $16.00
6/11/25 11:15 @NQM5 E-MINI NASDAQ 100 STK IDX LONG 2 22032.05 6/11 11:35 22014.24 0.28%
Trade id #151992427
Max drawdown($872)
Time6/11/25 11:31
Quant open2
Worst price22010.20
Drawdown as % of equity-0.28%
 ($729)
Includes Typical Broker Commissions trade costs of $16.00
6/11/25 11:15 @ESM5 E-MINI S&P 500 LONG 2 6058.39 6/11 11:35 6055.50 0.14%
Trade id #151992424
Max drawdown($438)
Time6/11/25 11:31
Quant open2
Worst price6054.00
Drawdown as % of equity-0.14%
 ($305)
Includes Typical Broker Commissions trade costs of $16.00
6/11/25 10:20 @NQM5 E-MINI NASDAQ 100 STK IDX LONG 2 22016.67 6/11 11:10 22003.96 0.39%
Trade id #151991582
Max drawdown($1,216)
Time6/11/25 11:10
Quant open2
Worst price21986.20
Drawdown as % of equity-0.39%
 ($524)
Includes Typical Broker Commissions trade costs of $16.00
6/11/25 10:20 @ESM5 E-MINI S&P 500 LONG 2 6059.33 6/11 11:10 6051.99 0.34%
Trade id #151991577
Max drawdown($1,057)
Time6/11/25 11:10
Quant open2
Worst price6048.75
Drawdown as % of equity-0.34%
 ($750)
Includes Typical Broker Commissions trade costs of $16.00
6/10/25 14:40 @ESM5 E-MINI S&P 500 LONG 2 6033.80 6/11 9:35 6042.69 0.2%
Trade id #151983028
Max drawdown($614)
Time6/11/25 1:01
Quant open1
Worst price6021.50
Drawdown as % of equity-0.20%
 $874
Includes Typical Broker Commissions trade costs of $16.00
6/10/25 14:30 @NQM5 E-MINI NASDAQ 100 STK IDX LONG 2 21879.10 6/11 9:35 21956.80 0.09%
Trade id #151982940
Max drawdown($267)
Time6/11/25 1:01
Quant open1
Worst price21865.80
Drawdown as % of equity-0.09%
 $3,092
Includes Typical Broker Commissions trade costs of $16.00
6/11/25 8:30 QGCQ5 Gold 100 oz LONG 3 3368.0 6/11 8:57 3358.1 1.08%
Trade id #151989477
Max drawdown($3,407)
Time6/11/25 8:56
Quant open3
Worst price3356.6
Drawdown as % of equity-1.08%
 ($2,993)
Includes Typical Broker Commissions trade costs of $24.00
6/11/25 8:35 @JYM5 JAPANESE YEN LONG 1 0.006928 6/11 8:38 0.006923 0.02%
Trade id #151989560
Max drawdown($62)
Time6/11/25 8:38
Quant open1
Worst price0.006923
Drawdown as % of equity-0.02%
 ($71)
Includes Typical Broker Commissions trade costs of $8.00
6/10/25 12:35 @ESM5 E-MINI S&P 500 LONG 1 6034.00 6/10 13:55 6030.75 0.09%
Trade id #151981821
Max drawdown($275)
Time6/10/25 13:49
Quant open1
Worst price6028.50
Drawdown as % of equity-0.09%
 ($171)
Includes Typical Broker Commissions trade costs of $8.00
6/10/25 12:05 @NQM5 E-MINI NASDAQ 100 STK IDX LONG 1 21897.24 6/10 13:35 21891.64 0.09%
Trade id #151981416
Max drawdown($289)
Time6/10/25 13:31
Quant open1
Worst price21882.80
Drawdown as % of equity-0.09%
 ($120)
Includes Typical Broker Commissions trade costs of $8.00
6/10/25 7:12 QGCQ5 Gold 100 oz LONG 2 3359.2 6/10 10:45 3348.7 0.68%
Trade id #151976139
Max drawdown($2,087)
Time6/10/25 8:15
Quant open2
Worst price3348.8
Drawdown as % of equity-0.68%
 ($2,129)
Includes Typical Broker Commissions trade costs of $16.00
6/9/25 12:45 @ESM5 E-MINI S&P 500 LONG 2 6022.12 6/10 9:35 6018.55 0.5%
Trade id #151961926
Max drawdown($1,543)
Time6/10/25 3:45
Quant open1
Worst price5991.25
Drawdown as % of equity-0.50%
 ($374)
Includes Typical Broker Commissions trade costs of $16.00
6/9/25 15:00 @NQM5 E-MINI NASDAQ 100 STK IDX LONG 1 21867.43 6/9 15:45 21837.35 0.22%
Trade id #151962876
Max drawdown($678)
Time6/9/25 15:45
Quant open1
Worst price21833.50
Drawdown as % of equity-0.22%
 ($610)
Includes Typical Broker Commissions trade costs of $8.00
6/6/25 13:45 @ESM5 E-MINI S&P 500 LONG 2 6004.25 6/6 15:44 6009.50 0.03%
Trade id #151946704
Max drawdown($100)
Time6/6/25 13:53
Quant open2
Worst price6003.25
Drawdown as % of equity-0.03%
 $509
Includes Typical Broker Commissions trade costs of $16.00
6/6/25 10:01 QGCQ5 Gold 100 oz SHORT 4 3361.0 6/6 15:44 3337.5 0.12%
Trade id #151943441
Max drawdown($348)
Time6/6/25 10:05
Quant open3
Worst price3365.6
Drawdown as % of equity-0.12%
 $9,396
Includes Typical Broker Commissions trade costs of $32.00
6/6/25 13:35 @NQM5 E-MINI NASDAQ 100 STK IDX LONG 1 21802.34 6/6 14:50 21835.77 0.02%
Trade id #151946622
Max drawdown($56)
Time6/6/25 13:38
Quant open1
Worst price21799.50
Drawdown as % of equity-0.02%
 $661
Includes Typical Broker Commissions trade costs of $8.00
6/6/25 12:35 @ESM5 E-MINI S&P 500 LONG 2 6001.88 6/6 12:40 5997.56 0.17%
Trade id #151946075
Max drawdown($512)
Time6/6/25 12:40
Quant open2
Worst price5996.75
Drawdown as % of equity-0.17%
 ($447)
Includes Typical Broker Commissions trade costs of $16.00
6/6/25 11:50 @ESM5 E-MINI S&P 500 LONG 2 6007.00 6/6 12:25 6001.65 0.25%
Trade id #151945740
Max drawdown($750)
Time6/6/25 11:58
Quant open2
Worst price5999.50
Drawdown as % of equity-0.25%
 ($551)
Includes Typical Broker Commissions trade costs of $16.00
6/6/25 9:40 @ESM5 E-MINI S&P 500 LONG 2 6016.02 6/6 11:20 5992.60 0.89%
Trade id #151942837
Max drawdown($2,727)
Time6/6/25 11:20
Quant open2
Worst price5988.75
Drawdown as % of equity-0.89%
 ($2,359)
Includes Typical Broker Commissions trade costs of $16.00
6/5/25 11:16 QGCQ5 Gold 100 oz SHORT 2 3375.9 6/6 0:20 3386.1 0.67%
Trade id #151932466
Max drawdown($2,012)
Time6/6/25 0:20
Quant open1
Worst price3396.0
Drawdown as % of equity-0.67%
 ($2,070)
Includes Typical Broker Commissions trade costs of $16.00

Successivo

Statistics

  • Strategy began
    11/1/2023
  • Suggested Minimum Cap
    $300,000
  • Strategy Age (days)
    594.46
  • Age
    20 months ago
  • What it trades
    Futures
  • # Trades
    908
  • # Profitable
    254
  • % Profitable
    28.00%
  • Avg trade duration
    21.0 hours
  • Max peak-to-valley drawdown
    27.09%
  • drawdown period
    Aug 20, 2024 - Nov 06, 2024
  • Annual Return (Compounded)
    94.7%
  • Avg win
    $3,304
  • Avg loss
    $952.02
  • Model Account Values (Raw)
  • Cash
    $317,213
  • Margin Used
    $10,910
  • Buying Power
    $305,803
  • Ratios
  • W:L ratio
    1.35:1
  • Sharpe Ratio
    1.71
  • Sortino Ratio
    3.12
  • Calmar Ratio
    4.122
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    156.54%
  • Correlation to SP500
    0.23020
  • Return Percent SP500 (cumu) during strategy life
    41.17%
  • Return Statistics
  • Ann Return (w trading costs)
    94.7%
  • Slump
  • Current Slump as Pcnt Equity
    8.70%
  • Instruments
  • Percent Trades Futures
    1.00%
  • 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)
    0.947%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    102.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    30.50%
  • Chance of 20% account loss
    11.50%
  • Chance of 30% account loss
    1.00%
  • Chance of 40% account loss
    n/a
  • 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
    98.72%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    920
  • Popularity (Last 6 weeks)
    980
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    988
  • Popularity (7 days, Percentile 1000 scale)
    997
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $952
  • Avg Win
    $3,304
  • Sum Trade PL (losers)
    $622,623.000
  • Age
  • Num Months filled monthly returns table
    20
  • Win / Loss
  • Sum Trade PL (winners)
    $839,321.000
  • # Winners
    254
  • Num Months Winners
    16
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    1517200
  • Win / Loss
  • # Losers
    654
  • % Winners
    28.0%
  • Frequency
  • Avg Position Time (mins)
    1262.62
  • Avg Position Time (hrs)
    21.04
  • Avg Trade Length
    0.9 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    3.69
  • Daily leverage (max)
    16.04
  • Regression
  • Alpha
    0.16
  • Beta
    0.45
  • Treynor Index
    0.41
  • 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)
    -0.29
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    9.366
  • 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
    0.269
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.431
  • Hold-and-Hope Ratio
    0.107
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.76119
  • SD
    0.35873
  • Sharpe ratio (Glass type estimate)
    2.12187
  • Sharpe ratio (Hedges UMVUE)
    2.03200
  • df
    18.00000
  • t
    2.66996
  • p
    0.23369
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39448
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.80019
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33884
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.72515
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.50717
  • Upside Potential Ratio
    10.17210
  • Upside part of mean
    0.91016
  • Downside part of mean
    -0.14897
  • Upside SD
    0.40273
  • Downside SD
    0.08948
  • N nonnegative terms
    13.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.20877
  • Mean of criterion
    0.76119
  • SD of predictor
    0.16388
  • SD of criterion
    0.35873
  • Covariance
    0.00247
  • r
    0.04193
  • b (slope, estimate of beta)
    0.09179
  • a (intercept, estimate of alpha)
    0.74202
  • Mean Square Error
    0.13602
  • DF error
    17.00000
  • t(b)
    0.17305
  • p(b)
    0.47331
  • t(a)
    2.36824
  • p(a)
    0.19657
  • Lowerbound of 95% confidence interval for beta
    -1.02735
  • Upperbound of 95% confidence interval for beta
    1.21094
  • Lowerbound of 95% confidence interval for alpha
    0.08097
  • Upperbound of 95% confidence interval for alpha
    1.40308
  • Treynor index (mean / b)
    8.29256
  • Jensen alpha (a)
    0.74202
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.68535
  • SD
    0.32432
  • Sharpe ratio (Glass type estimate)
    2.11321
  • Sharpe ratio (Hedges UMVUE)
    2.02371
  • df
    18.00000
  • t
    2.65906
  • p
    0.23447
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38703
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.79046
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33161
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.71580
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.40903
  • Upside Potential Ratio
    9.06091
  • Upside part of mean
    0.83815
  • Downside part of mean
    -0.15280
  • Upside SD
    0.36088
  • Downside SD
    0.09250
  • N nonnegative terms
    13.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    19.00000
  • Mean of predictor
    0.19403
  • Mean of criterion
    0.68535
  • SD of predictor
    0.16301
  • SD of criterion
    0.32432
  • Covariance
    0.00160
  • r
    0.03032
  • b (slope, estimate of beta)
    0.06033
  • a (intercept, estimate of alpha)
    0.67365
  • Mean Square Error
    0.11127
  • DF error
    17.00000
  • t(b)
    0.12508
  • p(b)
    0.48070
  • t(a)
    2.39624
  • p(a)
    0.19414
  • Lowerbound of 95% confidence interval for beta
    -0.95728
  • Upperbound of 95% confidence interval for beta
    1.07794
  • Lowerbound of 95% confidence interval for alpha
    0.08052
  • Upperbound of 95% confidence interval for alpha
    1.26677
  • Treynor index (mean / b)
    11.36030
  • Jensen alpha (a)
    0.67365
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09234
  • Expected Shortfall on VaR
    0.12664
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02089
  • Expected Shortfall on VaR
    0.04455
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    19.00000
  • Minimum
    0.91320
  • Quartile 1
    0.98225
  • Median
    1.04675
  • Quartile 3
    1.11039
  • Maximum
    1.35098
  • Mean of quarter 1
    0.95779
  • Mean of quarter 2
    1.03001
  • Mean of quarter 3
    1.07921
  • Mean of quarter 4
    1.19872
  • Inter Quartile Range
    0.12814
  • 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
    0.05263
  • Mean of outliers high
    1.35098
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26823
  • VaR(95%) (moments method)
    0.04769
  • Expected Shortfall (moments method)
    0.07410
  • Extreme Value Index (regression method)
    0.82046
  • VaR(95%) (regression method)
    0.05503
  • Expected Shortfall (regression method)
    0.24446
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.02465
  • Quartile 1
    0.05844
  • Median
    0.09224
  • Quartile 3
    0.12603
  • Maximum
    0.15982
  • Mean of quarter 1
    0.02465
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.15982
  • Inter Quartile Range
    0.06759
  • 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)
    1.32226
  • Compounded annual return (geometric extrapolation)
    1.04063
  • Calmar ratio (compounded annual return / max draw down)
    6.51110
  • Compounded annual return / average of 25% largest draw downs
    6.51110
  • Compounded annual return / Expected Shortfall lognormal
    8.21716
  • 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
    0.71496
  • SD
    0.32232
  • Sharpe ratio (Glass type estimate)
    2.21816
  • Sharpe ratio (Hedges UMVUE)
    2.21418
  • df
    418.00000
  • t
    2.80510
  • p
    0.00263
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.65974
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.77400
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.65707
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.77128
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.15751
  • Upside Potential Ratio
    12.35520
  • Upside part of mean
    2.12470
  • Downside part of mean
    -1.40974
  • Upside SD
    0.27572
  • Downside SD
    0.17197
  • N nonnegative terms
    195.00000
  • N negative terms
    224.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    419.00000
  • Mean of predictor
    0.20222
  • Mean of criterion
    0.71496
  • SD of predictor
    0.17052
  • SD of criterion
    0.32232
  • Covariance
    0.01305
  • r
    0.23736
  • b (slope, estimate of beta)
    0.44866
  • a (intercept, estimate of alpha)
    0.62400
  • Mean Square Error
    0.09827
  • DF error
    417.00000
  • t(b)
    4.98969
  • p(b)
    0.00000
  • t(a)
    2.51142
  • p(a)
    0.00620
  • Lowerbound of 95% confidence interval for beta
    0.27192
  • Upperbound of 95% confidence interval for beta
    0.62541
  • Lowerbound of 95% confidence interval for alpha
    0.13565
  • Upperbound of 95% confidence interval for alpha
    1.11281
  • Treynor index (mean / b)
    1.59353
  • Jensen alpha (a)
    0.62423
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.66293
  • SD
    0.31887
  • Sharpe ratio (Glass type estimate)
    2.07901
  • Sharpe ratio (Hedges UMVUE)
    2.07528
  • df
    418.00000
  • t
    2.62914
  • p
    0.00444
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.52155
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63405
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51905
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.63151
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.79375
  • Upside Potential Ratio
    11.94680
  • Upside part of mean
    2.08762
  • Downside part of mean
    -1.42469
  • Upside SD
    0.26940
  • Downside SD
    0.17474
  • N nonnegative terms
    195.00000
  • N negative terms
    224.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    419.00000
  • Mean of predictor
    0.18771
  • Mean of criterion
    0.66293
  • SD of predictor
    0.16983
  • SD of criterion
    0.31887
  • Covariance
    0.01291
  • r
    0.23831
  • b (slope, estimate of beta)
    0.44744
  • a (intercept, estimate of alpha)
    0.57894
  • Mean Square Error
    0.09613
  • DF error
    417.00000
  • t(b)
    5.01082
  • p(b)
    0.00000
  • t(a)
    2.35584
  • p(a)
    0.00947
  • Lowerbound of 95% confidence interval for beta
    0.27191
  • Upperbound of 95% confidence interval for beta
    0.62296
  • Lowerbound of 95% confidence interval for alpha
    0.09588
  • Upperbound of 95% confidence interval for alpha
    1.06200
  • Treynor index (mean / b)
    1.48162
  • Jensen alpha (a)
    0.57894
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02943
  • Expected Shortfall on VaR
    0.03736
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01296
  • Expected Shortfall on VaR
    0.02465
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    419.00000
  • Minimum
    0.92688
  • Quartile 1
    0.99262
  • Median
    0.99976
  • Quartile 3
    1.01027
  • Maximum
    1.07956
  • Mean of quarter 1
    0.98211
  • Mean of quarter 2
    0.99665
  • Mean of quarter 3
    1.00315
  • Mean of quarter 4
    1.02944
  • Inter Quartile Range
    0.01766
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.01909
  • Mean of outliers low
    0.95656
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.07160
  • Mean of outliers high
    1.05157
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13569
  • VaR(95%) (moments method)
    0.01736
  • Expected Shortfall (moments method)
    0.02537
  • Extreme Value Index (regression method)
    -0.04367
  • VaR(95%) (regression method)
    0.01843
  • Expected Shortfall (regression method)
    0.02478
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00060
  • Quartile 1
    0.01002
  • Median
    0.02340
  • Quartile 3
    0.07953
  • Maximum
    0.24147
  • Mean of quarter 1
    0.00441
  • Mean of quarter 2
    0.01509
  • Mean of quarter 3
    0.03896
  • Mean of quarter 4
    0.15389
  • Inter Quartile Range
    0.06951
  • 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
    0.08333
  • Mean of outliers high
    0.23060
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.11822
  • VaR(95%) (moments method)
    0.16877
  • Expected Shortfall (moments method)
    0.22596
  • Extreme Value Index (regression method)
    0.06703
  • VaR(95%) (regression method)
    0.16529
  • Expected Shortfall (regression method)
    0.21046
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.26226
  • Compounded annual return (geometric extrapolation)
    0.99539
  • Calmar ratio (compounded annual return / max draw down)
    4.12219
  • Compounded annual return / average of 25% largest draw downs
    6.46808
  • Compounded annual return / Expected Shortfall lognormal
    26.64160
  • 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
    0.66027
  • SD
    0.29417
  • Sharpe ratio (Glass type estimate)
    2.24454
  • Sharpe ratio (Hedges UMVUE)
    2.23156
  • df
    130.00000
  • t
    1.58713
  • p
    0.43106
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54491
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.02550
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.55349
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.01661
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.51921
  • Upside Potential Ratio
    13.06870
  • Upside part of mean
    1.90937
  • Downside part of mean
    -1.24910
  • Upside SD
    0.25728
  • Downside SD
    0.14610
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02096
  • Mean of criterion
    0.66027
  • SD of predictor
    0.24590
  • SD of criterion
    0.29417
  • Covariance
    0.00886
  • r
    0.12246
  • b (slope, estimate of beta)
    0.14650
  • a (intercept, estimate of alpha)
    0.66334
  • Mean Square Error
    0.08590
  • DF error
    129.00000
  • t(b)
    1.40147
  • p(b)
    0.42223
  • t(a)
    1.60039
  • p(a)
    0.41146
  • Lowerbound of 95% confidence interval for beta
    -0.06032
  • Upperbound of 95% confidence interval for beta
    0.35333
  • Lowerbound of 95% confidence interval for alpha
    -0.15673
  • Upperbound of 95% confidence interval for alpha
    1.48341
  • Treynor index (mean / b)
    4.50691
  • Jensen alpha (a)
    0.66334
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.61731
  • SD
    0.29003
  • Sharpe ratio (Glass type estimate)
    2.12846
  • Sharpe ratio (Hedges UMVUE)
    2.11616
  • df
    130.00000
  • t
    1.50505
  • p
    0.43457
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65939
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.90832
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66756
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.89988
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.17516
  • Upside Potential Ratio
    12.69580
  • Upside part of mean
    1.87712
  • Downside part of mean
    -1.25981
  • Upside SD
    0.25113
  • Downside SD
    0.14785
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05069
  • Mean of criterion
    0.61731
  • SD of predictor
    0.24427
  • SD of criterion
    0.29003
  • Covariance
    0.00884
  • r
    0.12476
  • b (slope, estimate of beta)
    0.14813
  • a (intercept, estimate of alpha)
    0.62482
  • Mean Square Error
    0.08345
  • DF error
    129.00000
  • t(b)
    1.42812
  • p(b)
    0.42078
  • t(a)
    1.52931
  • p(a)
    0.41530
  • VAR (95 Confidence Intrvl)
    0.02900
  • Lowerbound of 95% confidence interval for beta
    -0.05709
  • Upperbound of 95% confidence interval for beta
    0.35334
  • Lowerbound of 95% confidence interval for alpha
    -0.18353
  • Upperbound of 95% confidence interval for alpha
    1.43318
  • Treynor index (mean / b)
    4.16744
  • Jensen alpha (a)
    0.62482
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02675
  • Expected Shortfall on VaR
    0.03399
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01131
  • Expected Shortfall on VaR
    0.02108
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.95894
  • Quartile 1
    0.99233
  • Median
    0.99951
  • Quartile 3
    1.00910
  • Maximum
    1.07956
  • Mean of quarter 1
    0.98436
  • Mean of quarter 2
    0.99693
  • Mean of quarter 3
    1.00315
  • Mean of quarter 4
    1.02608
  • Inter Quartile Range
    0.01676
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00763
  • Mean of outliers low
    0.95894
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.05272
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.13221
  • VaR(95%) (moments method)
    0.01626
  • Expected Shortfall (moments method)
    0.02295
  • Extreme Value Index (regression method)
    0.16038
  • VaR(95%) (regression method)
    0.01569
  • Expected Shortfall (regression method)
    0.02219
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00232
  • Quartile 1
    0.01858
  • Median
    0.03695
  • Quartile 3
    0.04156
  • Maximum
    0.12946
  • Mean of quarter 1
    0.00860
  • Mean of quarter 2
    0.03036
  • Mean of quarter 3
    0.04066
  • Mean of quarter 4
    0.12636
  • Inter Quartile Range
    0.02298
  • 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
    0.22222
  • Mean of outliers high
    0.12636
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1025.84000
  • VaR(95%) (moments method)
    0.08781
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -4.72085
  • VaR(95%) (regression method)
    0.27623
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.27627
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -427739000
  • Max Equity Drawdown (num days)
    78
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.76145
  • Compounded annual return (geometric extrapolation)
    0.90641
  • Calmar ratio (compounded annual return / max draw down)
    7.00143
  • Compounded annual return / average of 25% largest draw downs
    7.17311
  • Compounded annual return / Expected Shortfall lognormal
    26.66660

Strategy Description

Details on: www.quant-wizard.com

Summary Statistics


Strategy began
2023-11-01
Suggested Minimum Capital
$300,000
Rank at C2 %
Top 1.2%
Rank # 
#8
# Trades
908
# Profitable
254
% Profitable
28.0%
Correlation S&P500
0.230
Sharpe Ratio
1.71
Sortino Ratio
3.12
Beta
0.45
Alpha
0.16
Leverage
3.69 Average
16.04 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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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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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.