Collective2 Collective2
Featured Strategy SK Trader +65.8% Annual Return (Compounded) since Apr 3, 2024 Hypothetical

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


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Found It
(142393685)

Creato da: Aziz Aziz
Started: 11/2022
Futures
Last trade: 335 days ago
Trading style: Futures Momentum

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $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
Momentum
Category: Equity

Momentum

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

-
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
965
Num Trades
49.9%
Win Trades
0.9 : 1
Profit Factor
53.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                      +3.8%+15.2%+19.5%
2023+0.8%+4.2%+2.2%+1.9%+4.4%+3.3%+7.7%+1.8%+3.6%+4.2%+2.8%+1.3%+45.2%
2024+5.5%+5.0%(18.2%)+23.8%(20.9%)(5.8%)(135.8%)  -    -    -    -    -  (130%)
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.

Trading Record

This strategy has placed 2,078 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 340 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
7/17/24 11:26 @NQU4 E-MINI NASDAQ 100 STK IDX SHORT 20 20096.72 7/17 11:30 20134.25 358.99%
Trade id #148671183
Max drawdown($15,110)
Time7/17/24 11:30
Quant open20
Worst price20134.50
Drawdown as % of equity358.99%
 ($15,170)
Includes Typical Broker Commissions trade costs of $160.00
7/17/24 11:23 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 100 20144.28 7/17 11:26 20102.25 237.7%
Trade id #148671105
Max drawdown($10,005)
Time7/17/24 11:26
Quant open100
Worst price20094.20
Drawdown as % of equity237.70%
 ($8,499)
Includes Typical Broker Commissions trade costs of $94.00
7/17/24 10:58 @MNQU4 MICRO E-MINI NASDAQ 100 SHORT 100 20123.42 7/17 11:08 20119.75 25.3%
Trade id #148670859
Max drawdown($1,065)
Time7/17/24 11:03
Quant open100
Worst price20128.80
Drawdown as % of equity25.30%
 $641
Includes Typical Broker Commissions trade costs of $94.00
7/17/24 10:22 @MNQU4 MICRO E-MINI NASDAQ 100 SHORT 100 20136.91 7/17 10:44 20141.45 61%
Trade id #148670223
Max drawdown($2,567)
Time7/17/24 10:28
Quant open100
Worst price20149.80
Drawdown as % of equity61.00%
 ($1,002)
Includes Typical Broker Commissions trade costs of $94.00
7/17/24 9:32 @MNQU4 MICRO E-MINI NASDAQ 100 SHORT 40 20247.14 7/17 10:11 20114.00 65.31%
Trade id #148669075
Max drawdown($2,749)
Time7/17/24 9:36
Quant open40
Worst price20281.50
Drawdown as % of equity65.31%
 $10,613
Includes Typical Broker Commissions trade costs of $37.60
7/16/24 16:07 @MBTN4 MICRO BITCOIN LONG 4 65418 7/17 9:18 64870 9.88%
Trade id #148664623
Max drawdown($417)
Time7/16/24 18:08
Quant open4
Worst price64375
Drawdown as % of equity9.88%
 ($251)
Includes Typical Broker Commissions trade costs of $32.00
7/15/24 15:53 @MNQU4 MICRO E-MINI NASDAQ 100 SHORT 10 20512.65 7/16 16:06 20607.08 51.08%
Trade id #148654004
Max drawdown($2,102)
Time7/15/24 16:27
Quant open10
Worst price20617.80
Drawdown as % of equity51.08%
 ($1,898)
Includes Typical Broker Commissions trade costs of $9.40
7/15/24 13:23 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 100 20635.74 7/15 15:52 20564.06 131.88%
Trade id #148652468
Max drawdown($16,717)
Time7/15/24 14:01
Quant open95
Worst price20553.80
Drawdown as % of equity-131.88%
 ($14,431)
Includes Typical Broker Commissions trade costs of $94.00
7/15/24 12:12 @MNQU4 MICRO E-MINI NASDAQ 100 SHORT 10 20636.75 7/15 13:23 20640.75 7.93%
Trade id #148651787
Max drawdown($1,005)
Time7/15/24 12:42
Quant open10
Worst price20687.00
Drawdown as % of equity-7.93%
 ($89)
Includes Typical Broker Commissions trade costs of $9.40
7/15/24 10:09 @MNQU4 MICRO E-MINI NASDAQ 100 LONG 100 20672.69 7/15 11:32 20674.73 37.81%
Trade id #148649254
Max drawdown($4,639)
Time7/15/24 10:19
Quant open100
Worst price20649.50
Drawdown as % of equity-37.81%
 $313
Includes Typical Broker Commissions trade costs of $94.00
7/15/24 9:45 @NQU4 E-MINI NASDAQ 100 STK IDX SHORT 10 20590.85 7/15 9:49 20636.50 32.39%
Trade id #148648775
Max drawdown($9,880)
Time7/15/24 9:49
Quant open10
Worst price20640.20
Drawdown as % of equity-32.39%
 ($9,210)
Includes Typical Broker Commissions trade costs of $80.00
7/15/24 9:39 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 10 20643.40 7/15 9:44 20603.25 31.57%
Trade id #148648605
Max drawdown($9,630)
Time7/15/24 9:44
Quant open10
Worst price20595.20
Drawdown as % of equity-31.57%
 ($8,110)
Includes Typical Broker Commissions trade costs of $80.00
7/15/24 1:55 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 3 20612.42 7/15 2:29 20612.25 3.15%
Trade id #148646453
Max drawdown($925)
Time7/15/24 2:03
Quant open3
Worst price20597.00
Drawdown as % of equity-3.15%
 ($34)
Includes Typical Broker Commissions trade costs of $24.00
7/14/24 23:12 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 2 20576.50 7/15 1:20 20583.97 4.7%
Trade id #148646091
Max drawdown($1,370)
Time7/15/24 0:00
Quant open1
Worst price20508.00
Drawdown as % of equity-4.70%
 $283
Includes Typical Broker Commissions trade costs of $16.00
7/12/24 12:36 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 3 20607.87 7/12 13:57 20664.07 5.29%
Trade id #148636569
Max drawdown($1,372)
Time7/12/24 12:48
Quant open3
Worst price20585.00
Drawdown as % of equity-5.29%
 $3,348
Includes Typical Broker Commissions trade costs of $24.00
7/12/24 12:18 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 3 20586.00 7/12 12:28 20585.00 1.85%
Trade id #148636470
Max drawdown($480)
Time7/12/24 12:22
Quant open3
Worst price20578.00
Drawdown as % of equity-1.85%
 ($84)
Includes Typical Broker Commissions trade costs of $24.00
7/12/24 10:41 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 20637.20 7/12 11:00 20634.20 1.03%
Trade id #148634505
Max drawdown($259)
Time7/12/24 10:45
Quant open1
Worst price20624.20
Drawdown as % of equity-1.03%
 ($68)
Includes Typical Broker Commissions trade costs of $8.00
7/11/24 19:09 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 8 20432.63 7/12 10:00 20456.55 19.13%
Trade id #148628421
Max drawdown($3,927)
Time7/12/24 8:30
Quant open2
Worst price20335.00
Drawdown as % of equity-19.13%
 $3,763
Includes Typical Broker Commissions trade costs of $64.00
7/11/24 11:29 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 3 20517.93 7/11 16:01 20433.93 32.28%
Trade id #148623485
Max drawdown($6,770)
Time7/11/24 14:03
Quant open2
Worst price20377.20
Drawdown as % of equity-32.28%
 ($5,064)
Includes Typical Broker Commissions trade costs of $24.00
7/11/24 9:46 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 3 20889.67 7/11 11:22 20582.70 64.38%
Trade id #148621338
Max drawdown($18,550)
Time7/11/24 11:22
Quant open3
Worst price20580.50
Drawdown as % of equity-64.38%
 ($18,442)
Includes Typical Broker Commissions trade costs of $24.00
7/10/24 11:26 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 3 20744.00 7/10 11:40 20750.80 n/a $384
Includes Typical Broker Commissions trade costs of $24.00
7/10/24 10:21 @NQU4 E-MINI NASDAQ 100 STK IDX SHORT 3 20758.50 7/10 11:05 20720.50 2.14%
Trade id #148610822
Max drawdown($990)
Time7/10/24 10:26
Quant open3
Worst price20775.00
Drawdown as % of equity-2.14%
 $2,256
Includes Typical Broker Commissions trade costs of $24.00
7/10/24 10:10 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 3 20787.87 7/10 10:21 20759.00 4.25%
Trade id #148610431
Max drawdown($1,972)
Time7/10/24 10:21
Quant open3
Worst price20755.00
Drawdown as % of equity-4.25%
 ($1,756)
Includes Typical Broker Commissions trade costs of $24.00
7/10/24 9:46 @NQU4 E-MINI NASDAQ 100 STK IDX SHORT 3 20756.93 7/10 10:10 20791.80 4.86%
Trade id #148609756
Max drawdown($2,254)
Time7/10/24 10:10
Quant open3
Worst price20794.50
Drawdown as % of equity-4.86%
 ($2,116)
Includes Typical Broker Commissions trade costs of $24.00
7/9/24 15:38 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 4 20667.47 7/9 16:01 20677.00 0.73%
Trade id #148604718
Max drawdown($338)
Time7/9/24 15:45
Quant open4
Worst price20663.20
Drawdown as % of equity-0.73%
 $730
Includes Typical Broker Commissions trade costs of $32.00
7/9/24 15:08 @NQU4 E-MINI NASDAQ 100 STK IDX SHORT 4 20667.67 7/9 15:25 20664.25 1.97%
Trade id #148604469
Max drawdown($906)
Time7/9/24 15:14
Quant open4
Worst price20679.00
Drawdown as % of equity-1.97%
 $242
Includes Typical Broker Commissions trade costs of $32.00
7/9/24 14:38 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 4 20662.97 7/9 14:52 20660.00 1.01%
Trade id #148604224
Max drawdown($478)
Time7/9/24 14:42
Quant open4
Worst price20657.00
Drawdown as % of equity-1.01%
 ($270)
Includes Typical Broker Commissions trade costs of $32.00
7/9/24 14:29 @NQU4 E-MINI NASDAQ 100 STK IDX SHORT 4 20652.78 7/9 14:34 20659.80 1.47%
Trade id #148604169
Max drawdown($698)
Time7/9/24 14:34
Quant open4
Worst price20661.50
Drawdown as % of equity-1.47%
 ($594)
Includes Typical Broker Commissions trade costs of $32.00
7/9/24 14:20 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 2 20667.10 7/9 14:24 20658.80 0.79%
Trade id #148604131
Max drawdown($374)
Time7/9/24 14:24
Quant open2
Worst price20657.80
Drawdown as % of equity-0.79%
 ($348)
Includes Typical Broker Commissions trade costs of $16.00
7/9/24 13:51 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 4 20653.20 7/9 14:17 20657.90 0.61%
Trade id #148603998
Max drawdown($288)
Time7/9/24 14:03
Quant open2
Worst price20646.00
Drawdown as % of equity-0.61%
 $344
Includes Typical Broker Commissions trade costs of $32.00

Successivo

Statistics

  • Strategy began
    11/1/2022
  • Suggested Minimum Cap
    $34,043
  • Strategy Age (days)
    956.66
  • Age
    32 months ago
  • What it trades
    Futures
  • # Trades
    965
  • # Profitable
    482
  • % Profitable
    49.90%
  • Avg trade duration
    5.9 hours
  • Max peak-to-valley drawdown
    100%
  • drawdown period
    July 15, 2024 - July 17, 2024
  • Annual Return (Compounded)
    0.0%
  • Avg win
    $606.58
  • Avg loss
    $679.76
  • Model Account Values (Raw)
  • Cash
    ($1,910)
  • Margin Used
    $0
  • Buying Power
    ($1,910)
  • Ratios
  • W:L ratio
    0.89:1
  • Sharpe Ratio
    -0.63
  • Sortino Ratio
    -0.65
  • Calmar Ratio
    -0.997
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -206.97%
  • Correlation to SP500
    0.05750
  • Return Percent SP500 (cumu) during strategy life
    55.66%
  • Verified
  • C2Star
    2
  • 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
    0.39%
  • 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)
    100.00%
  • Automation
  • Percentage Signals Automated
    99.49%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    100.00%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    830
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    497
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $680
  • Avg Win
    $607
  • Sum Trade PL (losers)
    $328,323.000
  • Age
  • Num Months filled monthly returns table
    21
  • Win / Loss
  • Sum Trade PL (winners)
    $292,370.000
  • # Winners
    482
  • Num Months Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    483
  • % Winners
    50.0%
  • Frequency
  • Avg Position Time (mins)
    356.73
  • Avg Position Time (hrs)
    5.95
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    333
  • Leverage
  • Daily leverage (average)
    8.05
  • Daily leverage (max)
    348.10
  • Regression
  • Alpha
    0.00
  • Beta
    0.22
  • Treynor Index
    0.00
  • 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)
    -1.47
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    -4.147
  • 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
    0.03
  • Avg(MAE) / Avg(PL) - Winning trades
    0.627
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.287
  • Hold-and-Hope Ratio
    -0.241
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.19870
  • SD
    0.83326
  • Sharpe ratio (Glass type estimate)
    -0.23846
  • Sharpe ratio (Hedges UMVUE)
    -0.22939
  • df
    20.00000
  • t
    -0.31545
  • p
    0.53518
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.71895
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.24788
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.71268
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.25391
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.25507
  • Upside Potential Ratio
    0.70303
  • Upside part of mean
    0.54766
  • Downside part of mean
    -0.74636
  • Upside SD
    0.24022
  • Downside SD
    0.77900
  • N nonnegative terms
    17.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.22090
  • Mean of criterion
    -0.19870
  • SD of predictor
    0.12857
  • SD of criterion
    0.83326
  • Covariance
    -0.02885
  • r
    -0.26933
  • b (slope, estimate of beta)
    -1.74552
  • a (intercept, estimate of alpha)
    0.18688
  • Mean Square Error
    0.67784
  • DF error
    19.00000
  • t(b)
    -1.21904
  • p(b)
    0.66937
  • t(a)
    0.26769
  • p(a)
    0.46100
  • Lowerbound of 95% confidence interval for beta
    -4.74247
  • Upperbound of 95% confidence interval for beta
    1.25144
  • Lowerbound of 95% confidence interval for alpha
    -1.27432
  • Upperbound of 95% confidence interval for alpha
    1.64808
  • Treynor index (mean / b)
    0.11383
  • Jensen alpha (a)
    0.18688
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -5.99098
  • SD
    8.38574
  • Sharpe ratio (Glass type estimate)
    -0.71442
  • Sharpe ratio (Hedges UMVUE)
    -0.68724
  • df
    20.00000
  • t
    -0.94510
  • p
    0.60338
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.20359
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.79209
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.18406
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80958
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.71650
  • Upside Potential Ratio
    0.06221
  • Upside part of mean
    0.52019
  • Downside part of mean
    -6.51118
  • Upside SD
    0.22373
  • Downside SD
    8.36140
  • N nonnegative terms
    17.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    21.00000
  • Mean of predictor
    0.21064
  • Mean of criterion
    -5.99098
  • SD of predictor
    0.12827
  • SD of criterion
    8.38574
  • Covariance
    -0.20517
  • r
    -0.19075
  • b (slope, estimate of beta)
    -12.47050
  • a (intercept, estimate of alpha)
    -3.36413
  • Mean Square Error
    71.32850
  • DF error
    19.00000
  • t(b)
    -0.84700
  • p(b)
    0.62069
  • t(a)
    -0.47397
  • p(a)
    0.56868
  • Lowerbound of 95% confidence interval for beta
    -43.28650
  • Upperbound of 95% confidence interval for beta
    18.34540
  • Lowerbound of 95% confidence interval for alpha
    -18.21980
  • Upperbound of 95% confidence interval for alpha
    11.49160
  • Treynor index (mean / b)
    0.48041
  • Jensen alpha (a)
    -3.36413
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.98868
  • Expected Shortfall on VaR
    0.99455
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.06217
  • Expected Shortfall on VaR
    0.17702
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    21.00000
  • Minimum
    0.00002
  • Quartile 1
    1.01602
  • Median
    1.02801
  • Quartile 3
    1.05748
  • Maximum
    1.21094
  • Mean of quarter 1
    0.78811
  • Mean of quarter 2
    1.02497
  • Mean of quarter 3
    1.04368
  • Mean of quarter 4
    1.12586
  • Inter Quartile Range
    0.04146
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.14286
  • Mean of outliers low
    0.57309
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.09524
  • Mean of outliers high
    1.18257
  • 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)
    1.59771
  • VaR(95%) (regression method)
    0.39488
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.06545
  • Quartile 1
    0.29909
  • Median
    0.53272
  • Quartile 3
    0.76635
  • Maximum
    0.99999
  • Mean of quarter 1
    0.06545
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.99999
  • Inter Quartile Range
    0.46727
  • 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)
    -0.57141
  • Compounded annual return (geometric extrapolation)
    -0.99743
  • Calmar ratio (compounded annual return / max draw down)
    -0.99744
  • Compounded annual return / average of 25% largest draw downs
    -0.99744
  • Compounded annual return / Expected Shortfall lognormal
    -1.00289
  • 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
    -0.89923
  • SD
    0.98999
  • Sharpe ratio (Glass type estimate)
    -0.90832
  • Sharpe ratio (Hedges UMVUE)
    -0.90690
  • df
    479.00000
  • t
    -1.22944
  • p
    0.89024
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.35703
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.54132
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.35606
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.54227
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.93113
  • Upside Potential Ratio
    1.34804
  • Upside part of mean
    1.30186
  • Downside part of mean
    -2.20108
  • Upside SD
    0.22016
  • Downside SD
    0.96574
  • N nonnegative terms
    204.00000
  • N negative terms
    276.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    480.00000
  • Mean of predictor
    0.22288
  • Mean of criterion
    -0.89923
  • SD of predictor
    0.15566
  • SD of criterion
    0.98999
  • Covariance
    0.00754
  • r
    0.04892
  • b (slope, estimate of beta)
    0.31114
  • a (intercept, estimate of alpha)
    -0.96900
  • Mean Square Error
    0.97978
  • DF error
    478.00000
  • t(b)
    1.07084
  • p(b)
    0.14239
  • t(a)
    -1.31930
  • p(a)
    0.90615
  • Lowerbound of 95% confidence interval for beta
    -0.25978
  • Upperbound of 95% confidence interval for beta
    0.88206
  • Lowerbound of 95% confidence interval for alpha
    -2.41115
  • Upperbound of 95% confidence interval for alpha
    0.47401
  • Treynor index (mean / b)
    -2.89012
  • Jensen alpha (a)
    -0.96857
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -5.72389
  • SD
    6.85249
  • Sharpe ratio (Glass type estimate)
    -0.83530
  • Sharpe ratio (Hedges UMVUE)
    -0.83399
  • df
    479.00000
  • t
    -1.13061
  • p
    0.87061
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.28390
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.61409
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.28299
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.61500
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.83546
  • Upside Potential Ratio
    0.18660
  • Upside part of mean
    1.27843
  • Downside part of mean
    -7.00232
  • Upside SD
    0.21366
  • Downside SD
    6.85115
  • N nonnegative terms
    204.00000
  • N negative terms
    276.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    480.00000
  • Mean of predictor
    0.21071
  • Mean of criterion
    -5.72389
  • SD of predictor
    0.15547
  • SD of criterion
    6.85249
  • Covariance
    0.04581
  • r
    0.04300
  • b (slope, estimate of beta)
    1.89535
  • a (intercept, estimate of alpha)
    -6.12325
  • Mean Square Error
    46.96790
  • DF error
    478.00000
  • t(b)
    0.94100
  • p(b)
    0.17359
  • t(a)
    -1.20512
  • p(a)
    0.88562
  • Lowerbound of 95% confidence interval for beta
    -2.06239
  • Upperbound of 95% confidence interval for beta
    5.85308
  • Lowerbound of 95% confidence interval for alpha
    -16.10710
  • Upperbound of 95% confidence interval for alpha
    3.86065
  • Treynor index (mean / b)
    -3.01997
  • Jensen alpha (a)
    -6.12325
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.51237
  • Expected Shortfall on VaR
    0.58671
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02019
  • Expected Shortfall on VaR
    0.04799
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    480.00000
  • Minimum
    0.00010
  • Quartile 1
    0.99973
  • Median
    1.00000
  • Quartile 3
    1.00380
  • Maximum
    1.11105
  • Mean of quarter 1
    0.96665
  • Mean of quarter 2
    0.99999
  • Mean of quarter 3
    1.00105
  • Mean of quarter 4
    1.01901
  • Inter Quartile Range
    0.00407
  • Number outliers low
    53.00000
  • Percentage of outliers low
    0.11042
  • Mean of outliers low
    0.92722
  • Number of outliers high
    69.00000
  • Percentage of outliers high
    0.14375
  • Mean of outliers high
    1.02873
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.62736
  • VaR(95%) (moments method)
    0.01273
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.06585
  • VaR(95%) (regression method)
    0.01499
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    39.00000
  • Minimum
    0.00001
  • Quartile 1
    0.00062
  • Median
    0.00196
  • Quartile 3
    0.01965
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00024
  • Mean of quarter 2
    0.00123
  • Mean of quarter 3
    0.00840
  • Mean of quarter 4
    0.16289
  • Inter Quartile Range
    0.01903
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.15385
  • Mean of outliers high
    0.25217
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.10960
  • VaR(95%) (moments method)
    0.13884
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    1.46871
  • VaR(95%) (regression method)
    0.11332
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.54582
  • Compounded annual return (geometric extrapolation)
    -0.99664
  • Calmar ratio (compounded annual return / max draw down)
    -0.99665
  • Compounded annual return / average of 25% largest draw downs
    -6.11861
  • Compounded annual return / Expected Shortfall lognormal
    -1.69869
  • 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
    -4.70573
  • SD
    1.86332
  • Sharpe ratio (Glass type estimate)
    -2.52546
  • Sharpe ratio (Hedges UMVUE)
    -2.51086
  • df
    130.00000
  • t
    -1.78577
  • p
    0.57737
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.30948
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.26803
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.29942
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27770
  • Statistics related to Sortino ratio
  • Sortino ratio
    -2.55276
  • Upside Potential Ratio
    1.28608
  • Upside part of mean
    2.37074
  • Downside part of mean
    -7.07647
  • Upside SD
    0.36315
  • Downside SD
    1.84339
  • N nonnegative terms
    43.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30151
  • Mean of criterion
    -4.70573
  • SD of predictor
    0.17906
  • SD of criterion
    1.86332
  • Covariance
    0.02596
  • r
    0.07780
  • b (slope, estimate of beta)
    0.80958
  • a (intercept, estimate of alpha)
    -4.94983
  • Mean Square Error
    3.47768
  • DF error
    129.00000
  • t(b)
    0.88631
  • p(b)
    0.45052
  • t(a)
    -1.86670
  • p(a)
    0.60279
  • Lowerbound of 95% confidence interval for beta
    -0.99765
  • Upperbound of 95% confidence interval for beta
    2.61681
  • Lowerbound of 95% confidence interval for alpha
    -10.19620
  • Upperbound of 95% confidence interval for alpha
    0.29651
  • Treynor index (mean / b)
    -5.81258
  • Jensen alpha (a)
    -4.94983
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -22.35140
  • SD
    13.09550
  • Sharpe ratio (Glass type estimate)
    -1.70680
  • Sharpe ratio (Hedges UMVUE)
    -1.69693
  • df
    130.00000
  • t
    -1.20689
  • p
    0.55263
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.48310
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.07591
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.47640
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.08254
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.70444
  • Upside Potential Ratio
    0.17597
  • Upside part of mean
    2.30764
  • Downside part of mean
    -24.65910
  • Upside SD
    0.35037
  • Downside SD
    13.11360
  • N nonnegative terms
    43.00000
  • N negative terms
    88.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28536
  • Mean of criterion
    -22.35140
  • SD of predictor
    0.17946
  • SD of criterion
    13.09550
  • Covariance
    0.17199
  • r
    0.07319
  • b (slope, estimate of beta)
    5.34060
  • a (intercept, estimate of alpha)
    -23.87540
  • Mean Square Error
    171.89600
  • DF error
    129.00000
  • t(b)
    0.83347
  • p(b)
    0.45345
  • t(a)
    -1.28145
  • p(a)
    0.57122
  • VAR (95 Confidence Intrvl)
    0.51200
  • Lowerbound of 95% confidence interval for beta
    -7.33716
  • Upperbound of 95% confidence interval for beta
    18.01840
  • Lowerbound of 95% confidence interval for alpha
    -60.73850
  • Upperbound of 95% confidence interval for alpha
    12.98760
  • Treynor index (mean / b)
    -4.18519
  • Jensen alpha (a)
    -23.87540
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.75733
  • Expected Shortfall on VaR
    0.82000
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07281
  • Expected Shortfall on VaR
    0.16443
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.00010
  • Quartile 1
    0.98955
  • Median
    1.00000
  • Quartile 3
    1.00603
  • Maximum
    1.11105
  • Mean of quarter 1
    0.89411
  • Mean of quarter 2
    0.99896
  • Mean of quarter 3
    1.00092
  • Mean of quarter 4
    1.03517
  • Inter Quartile Range
    0.01647
  • Number outliers low
    18.00000
  • Percentage of outliers low
    0.13740
  • Mean of outliers low
    0.82263
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.06271
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.05064
  • VaR(95%) (moments method)
    0.07757
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.91780
  • VaR(95%) (regression method)
    0.07894
  • Expected Shortfall (regression method)
    1.06678
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00057
  • Quartile 1
    0.01157
  • Median
    0.04988
  • Quartile 3
    0.16677
  • Maximum
    0.99999
  • Mean of quarter 1
    0.00561
  • Mean of quarter 2
    0.03118
  • Mean of quarter 3
    0.09578
  • Mean of quarter 4
    0.61888
  • Inter Quartile Range
    0.15520
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.14286
  • Mean of outliers high
    0.99999
  • 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?
    -487613000
  • Max Equity Drawdown (num days)
    2
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -1.99997
  • Compounded annual return (geometric extrapolation)
    -1.00000
  • Calmar ratio (compounded annual return / max draw down)
    -1.00001
  • Compounded annual return / average of 25% largest draw downs
    -1.61583
  • Compounded annual return / Expected Shortfall lognormal
    -1.21952

Strategy Description

It still trade by strict rules. stop loss, risk management, max drawdown, It just trade as usual. mainly trade MNQ, NQ, It will trade NQ instead of MNQ on fast moving market.

Summary Statistics


Strategy began
2022-11-01
Suggested Minimum Capital
$25,000
# Trades
965
# Profitable
482
% Profitable
49.9%
Correlation S&P500
0.058
Sharpe Ratio
-0.63
Sortino Ratio
-0.65
Beta
0.22
Alpha
0.00
Leverage
8.05 Average
348.10 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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No subscribers and simulations will be allowed. If you have subscribers, the strategy will still be visible to them.
If you have simulations, they will be stopped.

Continue to designate your strategy as Private?

Mark as Private Keep Public

Strategy is no longer visible

This strategy is no longer visible to anyone except current subscribers.

(Current subscribers will remain subscribed. You can see who is subscribed, and control their subscriptions, on your Subscriber Management screen.)

Finally, please note that you can restore public visibility at any time.

This strategy is no longer visible to the public. No subscribers will be allowed.

You can restore public visibility at any time.

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.