Collective2 Collective2
Featured Strategy TechSignal +170.1% Cumul. Return since Jul 3, 2024 Hypothetical

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


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SPX FOREX COMM
(147522886)

Creato da: LeslieGray LeslieGray
Started: 03/2024
Options
Last trade: 3 days ago
Trading style: Futures Commodities

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 $150.00 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
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.

17.6%
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.

(5.3%)
Max Drawdown
605
Num Trades
43.5%
Win Trades
1.1 : 1
Profit Factor
68.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024              +3.9%(3.4%)+2.7%(1.1%)+1.5%+2.0%+3.1%(2.1%)+3.0%+6.6%+17.1%
2025+4.6%+0.6%(0.1%)+0.1%(0.8%)+1.1%                                    +5.5%


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

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/12/25 15:34 SPXW2513R6010 SPX Jun13'25 6010 put LONG 3 9.13 6/14 9:35 33.03 0.5%
Trade id #152037248
Max drawdown($1,240)
Time6/13/25 0:00
Quant open3
Worst price5.00
Drawdown as % of equity-0.50%
 $7,164
Includes Typical Broker Commissions trade costs of $5.10
6/12/25 15:49 SPXW2513R6035 SPX Jun13'25 6035 put SHORT 2 15.25 6/14 9:35 58.03 6.83%
Trade id #152039664
Max drawdown($16,950)
Time6/13/25 0:00
Quant open2
Worst price100.00
Drawdown as % of equity-6.83%
 ($8,559)
Includes Typical Broker Commissions trade costs of $3.40
6/12/25 15:34 SPXW2513F6070 SPX Jun13'25 6070 call LONG 3 5.37 6/14 9:35 0.00 0.64%
Trade id #152037256
Max drawdown($1,601)
Time6/13/25 0:00
Quant open3
Worst price0.03
Drawdown as % of equity-0.64%
 ($1,613)
Includes Typical Broker Commissions trade costs of $3.00
6/12/25 15:49 SPXW2513F6035 SPX Jun13'25 6035 call SHORT 2 20.70 6/14 9:35 0.00 0.23%
Trade id #152039666
Max drawdown($580)
Time6/12/25 16:00
Quant open2
Worst price23.60
Drawdown as % of equity-0.23%
 $4,138
Includes Typical Broker Commissions trade costs of $2.00
6/12/25 15:39 SPXW2513R6040 SPX Jun13'25 6040 put SHORT 1 17.50 6/14 9:35 63.03 3.38%
Trade id #152039419
Max drawdown($8,385)
Time6/13/25 0:00
Quant open1
Worst price101.35
Drawdown as % of equity-3.38%
 ($4,555)
Includes Typical Broker Commissions trade costs of $2.00
6/12/25 15:39 SPXW2513F6040 SPX Jun13'25 6040 call SHORT 1 19.00 6/14 9:35 0.00 0.08%
Trade id #152039421
Max drawdown($200)
Time6/12/25 16:00
Quant open1
Worst price21.00
Drawdown as % of equity-0.08%
 $1,899
Includes Typical Broker Commissions trade costs of $1.00
6/12/25 9:30 SPXW2512F6020 SPX Jun12'25 6020 call SHORT 1 9.90 6/13 8:05 25.26 0.75%
Trade id #152002659
Max drawdown($1,870)
Time6/12/25 11:03
Quant open1
Worst price28.60
Drawdown as % of equity-0.75%
 ($1,538)
Includes Typical Broker Commissions trade costs of $2.00
6/11/25 15:41 SPXW2512F6040 SPX Jun12'25 6040 call LONG 2 10.70 6/13 8:05 5.26 0.83%
Trade id #151995481
Max drawdown($2,090)
Time6/12/25 0:00
Quant open2
Worst price0.25
Drawdown as % of equity-0.83%
 ($1,091)
Includes Typical Broker Commissions trade costs of $3.40
6/11/25 15:41 SPXW2512R5980 SPX Jun12'25 5980 put LONG 2 9.65 6/13 8:05 0.00 0.77%
Trade id #151995479
Max drawdown($1,924)
Time6/12/25 0:00
Quant open2
Worst price0.03
Drawdown as % of equity-0.77%
 ($1,932)
Includes Typical Broker Commissions trade costs of $2.00
6/11/25 15:41 SPXW2512F6010 SPX Jun12'25 6010 call SHORT 2 24.95 6/13 8:05 35.26 0.32%
Trade id #151995477
Max drawdown($810)
Time6/11/25 15:59
Quant open2
Worst price29.00
Drawdown as % of equity-0.32%
 ($2,065)
Includes Typical Broker Commissions trade costs of $3.40
6/12/25 9:30 SPXW2512R6020 SPX Jun12'25 6020 put SHORT 1 20.40 6/13 8:05 0.00 0.12%
Trade id #152002645
Max drawdown($290)
Time6/12/25 9:36
Quant open1
Worst price23.30
Drawdown as % of equity-0.12%
 $2,039
Includes Typical Broker Commissions trade costs of $1.00
6/11/25 15:30 SPXW2512F6050 SPX Jun12'25 6050 call LONG 1 7.60 6/13 8:05 0.00 0.3%
Trade id #151995379
Max drawdown($759)
Time6/12/25 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-0.30%
 ($761)
Includes Typical Broker Commissions trade costs of $1.00
6/11/25 15:30 SPXW2512R5990 SPX Jun12'25 5990 put LONG 1 13.40 6/13 8:05 0.00 0.53%
Trade id #151995374
Max drawdown($1,339)
Time6/12/25 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-0.53%
 ($1,341)
Includes Typical Broker Commissions trade costs of $1.00
6/11/25 15:41 SPXW2512R6010 SPX Jun12'25 6010 put SHORT 2 18.60 6/13 8:05 0.00 0.71%
Trade id #151995474
Max drawdown($1,780)
Time6/12/25 0:00
Quant open2
Worst price27.50
Drawdown as % of equity-0.71%
 $3,718
Includes Typical Broker Commissions trade costs of $2.00
6/10/25 15:48 SPXW2511F6030 SPX Jun11'25 6030 call SHORT 2 25.25 6/12 8:05 0.00 1.4%
Trade id #151983763
Max drawdown($3,450)
Time6/11/25 0:00
Quant open2
Worst price42.50
Drawdown as % of equity-1.40%
 $5,048
Includes Typical Broker Commissions trade costs of $2.00
6/10/25 15:37 SPXW2511R6035 SPX Jun11'25 6035 put SHORT 1 23.70 6/12 8:05 12.76 0.46%
Trade id #151983653
Max drawdown($1,130)
Time6/11/25 0:00
Quant open1
Worst price35.00
Drawdown as % of equity-0.46%
 $1,092
Includes Typical Broker Commissions trade costs of $2.00
6/10/25 15:32 SPXW2511F6065 SPX Jun11'25 6065 call LONG 1 9.00 6/12 8:05 0.00 0.36%
Trade id #151983620
Max drawdown($898)
Time6/11/25 0:00
Quant open1
Worst price0.02
Drawdown as % of equity-0.36%
 ($901)
Includes Typical Broker Commissions trade costs of $1.00
6/10/25 15:48 SPXW2511R6030 SPX Jun11'25 6030 put SHORT 2 20.00 6/12 8:05 7.76 0.9%
Trade id #151983756
Max drawdown($2,212)
Time6/11/25 0:00
Quant open2
Worst price31.06
Drawdown as % of equity-0.90%
 $2,445
Includes Typical Broker Commissions trade costs of $3.40
6/10/25 15:43 SPXW2511F6060 SPX Jun11'25 6060 call LONG 2 9.45 6/12 8:05 0.00 0.16%
Trade id #151983719
Max drawdown($390)
Time6/11/25 0:00
Quant open2
Worst price7.50
Drawdown as % of equity-0.16%
 ($1,892)
Includes Typical Broker Commissions trade costs of $2.00
6/10/25 15:42 SPXW2511R6000 SPX Jun11'25 6000 put LONG 2 12.00 6/12 8:05 0.00 0.97%
Trade id #151983712
Max drawdown($2,394)
Time6/11/25 0:00
Quant open2
Worst price0.03
Drawdown as % of equity-0.97%
 ($2,402)
Includes Typical Broker Commissions trade costs of $2.00
6/10/25 15:37 SPXW2511F6035 SPX Jun11'25 6035 call SHORT 1 21.20 6/12 8:05 0.00 0.71%
Trade id #151983655
Max drawdown($1,762)
Time6/11/25 0:00
Quant open1
Worst price38.82
Drawdown as % of equity-0.71%
 $2,119
Includes Typical Broker Commissions trade costs of $1.00
6/10/25 15:32 SPXW2511R6005 SPX Jun11'25 6005 put LONG 1 13.00 6/12 8:05 0.00 0.53%
Trade id #151983616
Max drawdown($1,298)
Time6/11/25 0:00
Quant open1
Worst price0.02
Drawdown as % of equity-0.53%
 ($1,301)
Includes Typical Broker Commissions trade costs of $1.00
6/9/25 15:40 SPXW2510R6015 SPX Jun10'25 6015 put SHORT 3 17.60 6/11 8:05 0.00 1.28%
Trade id #151963477
Max drawdown($3,160)
Time6/10/25 0:00
Quant open2
Worst price34.90
Drawdown as % of equity-1.28%
 $5,277
Includes Typical Broker Commissions trade costs of $3.00
6/9/25 15:50 SPXW2510F6050 SPX Jun10'25 6050 call LONG 1 4.60 6/11 8:05 0.00 0.19%
Trade id #151963887
Max drawdown($457)
Time6/10/25 0:00
Quant open1
Worst price0.03
Drawdown as % of equity-0.19%
 ($461)
Includes Typical Broker Commissions trade costs of $1.00
6/9/25 15:40 SPXW2510F6015 SPX Jun10'25 6015 call SHORT 3 15.17 6/11 8:05 23.81 1.02%
Trade id #151963484
Max drawdown($2,520)
Time6/10/25 0:00
Quant open2
Worst price29.20
Drawdown as % of equity-1.02%
 ($2,598)
Includes Typical Broker Commissions trade costs of $5.10
6/9/25 15:30 SPXW2510F6045 SPX Jun10'25 6045 call LONG 2 6.30 6/11 8:05 0.00 0.22%
Trade id #151963253
Max drawdown($530)
Time6/10/25 0:00
Quant open2
Worst price3.65
Drawdown as % of equity-0.22%
 ($1,262)
Includes Typical Broker Commissions trade costs of $2.00
6/9/25 15:30 SPXW2510R5985 SPX Jun10'25 5985 put LONG 2 8.20 6/11 8:05 0.00 0.66%
Trade id #151963249
Max drawdown($1,634)
Time6/10/25 0:00
Quant open2
Worst price0.03
Drawdown as % of equity-0.66%
 ($1,642)
Includes Typical Broker Commissions trade costs of $2.00
6/9/25 15:50 SPXW2510R5990 SPX Jun10'25 5990 put LONG 1 9.20 6/11 8:05 0.00 0.37%
Trade id #151963880
Max drawdown($917)
Time6/10/25 0:00
Quant open1
Worst price0.03
Drawdown as % of equity-0.37%
 ($921)
Includes Typical Broker Commissions trade costs of $1.00
6/9/25 9:30 SPXW2509F6000 SPX Jun9'25 6000 call SHORT 1 17.90 6/10 8:05 5.88 0.19%
Trade id #151958671
Max drawdown($464)
Time6/9/25 12:52
Quant open1
Worst price22.54
Drawdown as % of equity-0.19%
 $1,200
Includes Typical Broker Commissions trade costs of $2.00
6/6/25 15:50 SPXW2509F6040 SPX Jun9'25 6040 call LONG 1 6.50 6/10 8:05 0.00 0.17%
Trade id #151947935
Max drawdown($405)
Time6/9/25 0:00
Quant open1
Worst price2.45
Drawdown as % of equity-0.17%
 ($651)
Includes Typical Broker Commissions trade costs of $1.00

Successivo

Statistics

  • Strategy began
    3/3/2024
  • Suggested Minimum Cap
    $35,000
  • Strategy Age (days)
    471.14
  • Age
    16 months ago
  • What it trades
    Options
  • # Trades
    605
  • # Profitable
    263
  • % Profitable
    43.50%
  • Avg trade duration
    3.1 days
  • Max peak-to-valley drawdown
    5.32%
  • drawdown period
    March 27, 2024 - May 07, 2024
  • Annual Return (Compounded)
    17.6%
  • Avg win
    $1,923
  • Avg loss
    $1,329
  • Model Account Values (Raw)
  • Cash
    $251,296
  • Margin Used
    $0
  • Buying Power
    $251,296
  • Ratios
  • W:L ratio
    1.11:1
  • Sharpe Ratio
    1.34
  • Sortino Ratio
    2.01
  • Calmar Ratio
    3.223
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    7.07%
  • Correlation to SP500
    0.04750
  • Return Percent SP500 (cumu) during strategy life
    16.46%
  • Return Statistics
  • Ann Return (w trading costs)
    17.6%
  • Slump
  • Current Slump as Pcnt Equity
    1.70%
  • Instruments
  • Percent Trades Futures
    0.03%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Return Statistics
  • Return Pcnt Since TOS Status
    0.540%
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.176%
  • Instruments
  • Percent Trades Options
    0.93%
  • Percent Trades Stocks
    0.03%
  • Percent Trades Forex
    0.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    19.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    0.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • 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
    79.19%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    597
  • Popularity (Last 6 weeks)
    891
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    937
  • Popularity (7 days, Percentile 1000 scale)
    783
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,330
  • Avg Win
    $1,924
  • Sum Trade PL (losers)
    $454,694.000
  • Age
  • Num Months filled monthly returns table
    16
  • Win / Loss
  • Sum Trade PL (winners)
    $505,899.000
  • # Winners
    263
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    144
  • AUM
  • AUM (AutoTrader live capital)
    249922
  • Win / Loss
  • # Losers
    342
  • % Winners
    43.5%
  • Frequency
  • Avg Position Time (mins)
    4400.32
  • Avg Position Time (hrs)
    73.34
  • Avg Trade Length
    3.1 days
  • Last Trade Ago
    3
  • Leverage
  • Daily leverage (average)
    11.56
  • Daily leverage (max)
    45.96
  • Regression
  • Alpha
    0.04
  • Beta
    0.02
  • Treynor Index
    1.68
  • 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)
    -0.41
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -125.946
  • 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
    0.471
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.151
  • Hold-and-Hope Ratio
    -0.008
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15925
  • SD
    0.07741
  • Sharpe ratio (Glass type estimate)
    2.05720
  • Sharpe ratio (Hedges UMVUE)
    1.94464
  • df
    14.00000
  • t
    2.30002
  • p
    0.23816
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11780
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.93518
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04939
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.83990
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.57913
  • Upside Potential Ratio
    11.41560
  • Upside part of mean
    0.18978
  • Downside part of mean
    -0.03053
  • Upside SD
    0.08620
  • Downside SD
    0.01663
  • N nonnegative terms
    9.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.11093
  • Mean of criterion
    0.15925
  • SD of predictor
    0.18277
  • SD of criterion
    0.07741
  • Covariance
    0.00050
  • r
    0.03513
  • b (slope, estimate of beta)
    0.01488
  • a (intercept, estimate of alpha)
    0.15760
  • Mean Square Error
    0.00645
  • DF error
    13.00000
  • t(b)
    0.12675
  • p(b)
    0.47764
  • t(a)
    2.15951
  • p(a)
    0.18791
  • Lowerbound of 95% confidence interval for beta
    -0.23874
  • Upperbound of 95% confidence interval for beta
    0.26850
  • Lowerbound of 95% confidence interval for alpha
    -0.00006
  • Upperbound of 95% confidence interval for alpha
    0.31527
  • Treynor index (mean / b)
    10.70240
  • Jensen alpha (a)
    0.15760
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15517
  • SD
    0.07546
  • Sharpe ratio (Glass type estimate)
    2.05626
  • Sharpe ratio (Hedges UMVUE)
    1.94376
  • df
    14.00000
  • t
    2.29897
  • p
    0.23825
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11701
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.93411
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04863
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.83889
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.30721
  • Upside Potential Ratio
    11.14260
  • Upside part of mean
    0.18576
  • Downside part of mean
    -0.03060
  • Upside SD
    0.08392
  • Downside SD
    0.01667
  • N nonnegative terms
    9.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    15.00000
  • Mean of predictor
    0.09496
  • Mean of criterion
    0.15517
  • SD of predictor
    0.18044
  • SD of criterion
    0.07546
  • Covariance
    0.00064
  • r
    0.04687
  • b (slope, estimate of beta)
    0.01960
  • a (intercept, estimate of alpha)
    0.15330
  • Mean Square Error
    0.00612
  • DF error
    13.00000
  • t(b)
    0.16918
  • p(b)
    0.47017
  • t(a)
    2.16458
  • p(a)
    0.18743
  • Lowerbound of 95% confidence interval for beta
    -0.23071
  • Upperbound of 95% confidence interval for beta
    0.26991
  • Lowerbound of 95% confidence interval for alpha
    0.00030
  • Upperbound of 95% confidence interval for alpha
    0.30631
  • Treynor index (mean / b)
    7.91598
  • Jensen alpha (a)
    0.15330
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02264
  • Expected Shortfall on VaR
    0.03146
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00513
  • Expected Shortfall on VaR
    0.00993
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    15.00000
  • Minimum
    0.99041
  • Quartile 1
    0.99828
  • Median
    1.01371
  • Quartile 3
    1.02520
  • Maximum
    1.06858
  • Mean of quarter 1
    0.99363
  • Mean of quarter 2
    1.00607
  • Mean of quarter 3
    1.01940
  • Mean of quarter 4
    1.04424
  • Inter Quartile Range
    0.02691
  • 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
    0.06667
  • Mean of outliers high
    1.06858
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.20802
  • VaR(95%) (moments method)
    0.00637
  • Expected Shortfall (moments method)
    0.00649
  • Extreme Value Index (regression method)
    -1.87063
  • VaR(95%) (regression method)
    0.00989
  • Expected Shortfall (regression method)
    0.01013
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00070
  • Quartile 1
    0.00273
  • Median
    0.00434
  • Quartile 3
    0.00882
  • Maximum
    0.00959
  • Mean of quarter 1
    0.00172
  • Mean of quarter 2
    0.00434
  • Mean of quarter 3
    0.00882
  • Mean of quarter 4
    0.00959
  • Inter Quartile Range
    0.00609
  • 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)
    0.20571
  • Compounded annual return (geometric extrapolation)
    0.20090
  • Calmar ratio (compounded annual return / max draw down)
    20.95400
  • Compounded annual return / average of 25% largest draw downs
    20.95400
  • Compounded annual return / Expected Shortfall lognormal
    6.38509
  • 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
    0.15913
  • SD
    0.09148
  • Sharpe ratio (Glass type estimate)
    1.73944
  • Sharpe ratio (Hedges UMVUE)
    1.73544
  • df
    327.00000
  • t
    1.94623
  • p
    0.02624
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01864
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.49490
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.02131
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.49219
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.62111
  • Upside Potential Ratio
    7.59757
  • Upside part of mean
    0.46125
  • Downside part of mean
    -0.30212
  • Upside SD
    0.06895
  • Downside SD
    0.06071
  • N nonnegative terms
    112.00000
  • N negative terms
    216.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    328.00000
  • Mean of predictor
    0.11156
  • Mean of criterion
    0.15913
  • SD of predictor
    0.18388
  • SD of criterion
    0.09148
  • Covariance
    0.00035
  • r
    0.02071
  • b (slope, estimate of beta)
    0.01030
  • a (intercept, estimate of alpha)
    0.15800
  • Mean Square Error
    0.00839
  • DF error
    326.00000
  • t(b)
    0.37400
  • p(b)
    0.35432
  • t(a)
    1.92827
  • p(a)
    0.02734
  • Lowerbound of 95% confidence interval for beta
    -0.04389
  • Upperbound of 95% confidence interval for beta
    0.06450
  • Lowerbound of 95% confidence interval for alpha
    -0.00319
  • Upperbound of 95% confidence interval for alpha
    0.31915
  • Treynor index (mean / b)
    15.44480
  • Jensen alpha (a)
    0.15798
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15489
  • SD
    0.09158
  • Sharpe ratio (Glass type estimate)
    1.69129
  • Sharpe ratio (Hedges UMVUE)
    1.68741
  • df
    327.00000
  • t
    1.89236
  • p
    0.02966
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.06646
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.44653
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.06907
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.44388
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.52472
  • Upside Potential Ratio
    7.47937
  • Upside part of mean
    0.45885
  • Downside part of mean
    -0.30396
  • Upside SD
    0.06848
  • Downside SD
    0.06135
  • N nonnegative terms
    112.00000
  • N negative terms
    216.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    328.00000
  • Mean of predictor
    0.09477
  • Mean of criterion
    0.15489
  • SD of predictor
    0.18310
  • SD of criterion
    0.09158
  • Covariance
    0.00035
  • r
    0.02093
  • b (slope, estimate of beta)
    0.01047
  • a (intercept, estimate of alpha)
    0.15390
  • Mean Square Error
    0.00841
  • DF error
    326.00000
  • t(b)
    0.37789
  • p(b)
    0.35288
  • t(a)
    1.87682
  • p(a)
    0.03072
  • Lowerbound of 95% confidence interval for beta
    -0.04402
  • Upperbound of 95% confidence interval for beta
    0.06495
  • Lowerbound of 95% confidence interval for alpha
    -0.00742
  • Upperbound of 95% confidence interval for alpha
    0.31521
  • Treynor index (mean / b)
    14.79890
  • Jensen alpha (a)
    0.15390
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00868
  • Expected Shortfall on VaR
    0.01102
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00309
  • Expected Shortfall on VaR
    0.00675
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    328.00000
  • Minimum
    0.96530
  • Quartile 1
    0.99992
  • Median
    1.00000
  • Quartile 3
    1.00156
  • Maximum
    1.02226
  • Mean of quarter 1
    0.99566
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00028
  • Mean of quarter 4
    1.00691
  • Inter Quartile Range
    0.00164
  • Number outliers low
    37.00000
  • Percentage of outliers low
    0.11281
  • Mean of outliers low
    0.99156
  • Number of outliers high
    49.00000
  • Percentage of outliers high
    0.14939
  • Mean of outliers high
    1.00987
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.32742
  • VaR(95%) (moments method)
    0.00290
  • Expected Shortfall (moments method)
    0.00590
  • Extreme Value Index (regression method)
    0.28326
  • VaR(95%) (regression method)
    0.00417
  • Expected Shortfall (regression method)
    0.00859
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00449
  • Median
    0.01365
  • Quartile 3
    0.01847
  • Maximum
    0.06222
  • Mean of quarter 1
    0.00254
  • Mean of quarter 2
    0.00977
  • Mean of quarter 3
    0.01670
  • Mean of quarter 4
    0.03532
  • Inter Quartile Range
    0.01397
  • 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
    0.11111
  • Mean of outliers high
    0.05431
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.04413
  • VaR(95%) (moments method)
    0.03726
  • Expected Shortfall (moments method)
    0.04881
  • Extreme Value Index (regression method)
    0.34017
  • VaR(95%) (regression method)
    0.04920
  • Expected Shortfall (regression method)
    0.08570
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.20540
  • Compounded annual return (geometric extrapolation)
    0.20057
  • Calmar ratio (compounded annual return / max draw down)
    3.22331
  • Compounded annual return / average of 25% largest draw downs
    5.67884
  • Compounded annual return / Expected Shortfall lognormal
    18.20710
  • 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
    0.12256
  • SD
    0.07674
  • Sharpe ratio (Glass type estimate)
    1.59716
  • Sharpe ratio (Hedges UMVUE)
    1.58792
  • df
    130.00000
  • t
    1.12936
  • p
    0.45071
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.18447
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.37273
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.19059
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.36644
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.73807
  • Upside Potential Ratio
    8.25970
  • Upside part of mean
    0.36972
  • Downside part of mean
    -0.24716
  • Upside SD
    0.06243
  • Downside SD
    0.04476
  • N nonnegative terms
    41.00000
  • N negative terms
    90.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.03179
  • Mean of criterion
    0.12256
  • SD of predictor
    0.24602
  • SD of criterion
    0.07674
  • Covariance
    0.00136
  • r
    0.07183
  • b (slope, estimate of beta)
    0.02240
  • a (intercept, estimate of alpha)
    0.12327
  • Mean Square Error
    0.00590
  • DF error
    129.00000
  • t(b)
    0.81789
  • p(b)
    0.45431
  • t(a)
    1.13444
  • p(a)
    0.43683
  • Lowerbound of 95% confidence interval for beta
    -0.03179
  • Upperbound of 95% confidence interval for beta
    0.07660
  • Lowerbound of 95% confidence interval for alpha
    -0.09172
  • Upperbound of 95% confidence interval for alpha
    0.33827
  • Treynor index (mean / b)
    5.47069
  • Jensen alpha (a)
    0.12327
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.11961
  • SD
    0.07651
  • Sharpe ratio (Glass type estimate)
    1.56329
  • Sharpe ratio (Hedges UMVUE)
    1.55425
  • df
    130.00000
  • t
    1.10541
  • p
    0.45175
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.21793
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.33870
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.22398
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.33249
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.65623
  • Upside Potential Ratio
    8.16681
  • Upside part of mean
    0.36775
  • Downside part of mean
    -0.24814
  • Upside SD
    0.06194
  • Downside SD
    0.04503
  • N nonnegative terms
    41.00000
  • N negative terms
    90.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.06154
  • Mean of criterion
    0.11961
  • SD of predictor
    0.24438
  • SD of criterion
    0.07651
  • Covariance
    0.00135
  • r
    0.07224
  • b (slope, estimate of beta)
    0.02262
  • a (intercept, estimate of alpha)
    0.12100
  • Mean Square Error
    0.00587
  • DF error
    129.00000
  • t(b)
    0.82267
  • p(b)
    0.45405
  • t(a)
    1.11675
  • p(a)
    0.43780
  • VAR (95 Confidence Intrvl)
    0.00900
  • Lowerbound of 95% confidence interval for beta
    -0.03178
  • Upperbound of 95% confidence interval for beta
    0.07701
  • Lowerbound of 95% confidence interval for alpha
    -0.09337
  • Upperbound of 95% confidence interval for alpha
    0.33538
  • Treynor index (mean / b)
    5.28836
  • Jensen alpha (a)
    0.12100
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00729
  • Expected Shortfall on VaR
    0.00925
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00261
  • Expected Shortfall on VaR
    0.00555
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98209
  • Quartile 1
    0.99985
  • Median
    1.00000
  • Quartile 3
    1.00131
  • Maximum
    1.02226
  • Mean of quarter 1
    0.99655
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00017
  • Mean of quarter 4
    1.00558
  • Inter Quartile Range
    0.00146
  • Number outliers low
    14.00000
  • Percentage of outliers low
    0.10687
  • Mean of outliers low
    0.99305
  • Number of outliers high
    15.00000
  • Percentage of outliers high
    0.11450
  • Mean of outliers high
    1.00956
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07618
  • VaR(95%) (moments method)
    0.00228
  • Expected Shortfall (moments method)
    0.00373
  • Extreme Value Index (regression method)
    -0.11540
  • VaR(95%) (regression method)
    0.00399
  • Expected Shortfall (regression method)
    0.00621
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00003
  • Quartile 1
    0.00603
  • Median
    0.01192
  • Quartile 3
    0.01644
  • Maximum
    0.01791
  • Mean of quarter 1
    0.00303
  • Mean of quarter 2
    0.01185
  • Mean of quarter 3
    0.01591
  • Mean of quarter 4
    0.01749
  • Inter Quartile Range
    0.01041
  • 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)
    -2.80336
  • VaR(95%) (moments method)
    0.01780
  • Expected Shortfall (moments method)
    0.01781
  • Extreme Value Index (regression method)
    -0.61116
  • VaR(95%) (regression method)
    0.01821
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.01855
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -367684000
  • Max Equity Drawdown (num days)
    41
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.15309
  • Compounded annual return (geometric extrapolation)
    0.15895
  • Calmar ratio (compounded annual return / max draw down)
    8.87551
  • Compounded annual return / average of 25% largest draw downs
    9.08659
  • Compounded annual return / Expected Shortfall lognormal
    17.18570

Strategy Description

(10/12/2024) This is a now combination of 3 strategies - a 0DTE option strategy on the $SPX (See SPX One Day Options), a FOREX futures trading strategy on FOREX (see Forex VIX-3F), and third Futures trading strategy on a basket of (18) commodities. All strategies use basically the same AI algorithm - i.e. a timing model, plus a combination of momentum and/or reversion to the mean strategies.

The average (Annual return/average Drawdown Ratio) is estimated to be over 10 (back-test average over the previous 10 years). I am managing the trades for an expected average Annual Drawdown of ~12%. (Max DD about 20%). By comparison, this return/DD ratio for holding the S&P is 0.77 in this same period. These estimates of performance have not been verified by C2.

You must follow at 100%. If you don't, you will miss all trades.

All decisions are algorithm driven. Currently, the SPX Options are auto-traded, the Futures are manually traded. I expect to have all auto trading within a month.

If you want to contact me, try lesgray@morganllc.com or 617-592-8379. I read messages on C2 very infrequently.

CAVEAT EMPTOR
Trade this strategy at Interactive Brokers

Summary Statistics


Strategy began
2024-03-03
Suggested Minimum Capital
$35,000
Rank at C2 %
Top 6.3%
Rank # 
#44
# Trades
605
# Profitable
263
% Profitable
43.5%
Net Dividends
$143
Correlation S&P500
0.048
Sharpe Ratio
1.34
Sortino Ratio
2.01
Beta
0.02
Alpha
0.04
Leverage
11.56 Average
45.96 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

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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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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.