Collective2 Collective2
Featured Strategy TechSignal Followed by live capital $584.7 thousand Hypothetical

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


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Auxillatron
(142728137)

Creato da: AuxillatronTrade AuxillatronTrade
Started: 11/2022
Futures
Last trade: 20 days ago
Trading style: Futures Short Term

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
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.

0.8%
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.

(64.4%)
Max Drawdown
172
Num Trades
65.1%
Win Trades
1.2 : 1
Profit Factor
40.6%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2022                                                                      (2.1%)+26.3%+23.7%
2023(1.2%)+8.4%(0.6%)(4.4%)+9.5%(0.6%)(2.3%)+3.9%+2.7%+10.9%(5.4%)(1%)+20.0%
2024+8.4%+7.2%+2.6%+11.2%(2.8%)+1.3%+9.8%(2.2%)(5.7%)(2.8%)(2.3%)+3.9%+30.1%
2025(5.7%)(15.6%)(6.9%)(24.1%)(6%)  -                                      (47.1%)


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 184 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
5/22/25 16:03 @MNQM5 MICRO E-MINI NASDAQ 100 LONG 1 21196.50 5/28 23:43 21790.00 10.42%
Trade id #151805363
Max drawdown($938)
Time5/23/25 0:00
Quant open1
Worst price20727.50
Drawdown as % of equity-10.42%
 $1,186
Includes Typical Broker Commissions trade costs of $0.94
4/25/25 11:59 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 1 19365.80 5/12 11:29 20781.00 35.45%
Trade id #151530305
Max drawdown($3,251)
Time5/12/25 7:06
Quant open1
Worst price20991.50
Drawdown as % of equity-35.45%
 ($2,831)
Includes Typical Broker Commissions trade costs of $0.94
4/16/25 23:27 @MNQM5 MICRO E-MINI NASDAQ 100 LONG 1 18518.00 4/23 23:33 18742.50 14.87%
Trade id #151434082
Max drawdown($1,636)
Time4/21/25 0:00
Quant open1
Worst price17700.00
Drawdown as % of equity-14.87%
 $448
Includes Typical Broker Commissions trade costs of $0.94
3/27/25 16:01 @MNQM5 MICRO E-MINI NASDAQ 100 LONG 1 19999.00 4/4 9:36 18099.67 34.13%
Trade id #151211224
Max drawdown($4,359)
Time4/4/25 7:30
Quant open1
Worst price17819.50
Drawdown as % of equity-34.13%
 ($3,800)
Includes Typical Broker Commissions trade costs of $0.94
3/26/25 16:43 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 1 20094.30 3/27 0:18 20130.40 0.69%
Trade id #151199499
Max drawdown($107)
Time3/26/25 23:38
Quant open1
Worst price20148.00
Drawdown as % of equity-0.69%
 ($73)
Includes Typical Broker Commissions trade costs of $0.94
3/13/25 14:57 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 1 19534.39 3/20 16:03 19898.58 7.93%
Trade id #151093902
Max drawdown($1,266)
Time3/17/25 0:00
Quant open1
Worst price20167.80
Drawdown as % of equity-7.93%
 ($729)
Includes Typical Broker Commissions trade costs of $0.94
3/12/25 16:01 @MNQH5 MICRO E-MINI NASDAQ 100 SHORT 1 19600.22 3/13 10:32 19503.05 1.15%
Trade id #151083921
Max drawdown($187)
Time3/12/25 20:00
Quant open1
Worst price19693.80
Drawdown as % of equity-1.15%
 $193
Includes Typical Broker Commissions trade costs of $0.94
3/11/25 20:17 @MNQH5 MICRO E-MINI NASDAQ 100 LONG 1 19470.95 3/12 16:00 19591.70 1.04%
Trade id #151073917
Max drawdown($167)
Time3/12/25 3:22
Quant open1
Worst price19387.00
Drawdown as % of equity-1.04%
 $241
Includes Typical Broker Commissions trade costs of $0.94
2/28/25 16:04 @MNQH5 MICRO E-MINI NASDAQ 100 SHORT 1 20886.32 3/4 22:33 20532.41 3.06%
Trade id #150984745
Max drawdown($468)
Time3/3/25 0:00
Quant open1
Worst price21120.80
Drawdown as % of equity-3.06%
 $707
Includes Typical Broker Commissions trade costs of $0.94
2/14/25 0:54 @MNQH5 MICRO E-MINI NASDAQ 100 LONG 1 22128.96 2/27 22:42 20547.50 20.54%
Trade id #150865942
Max drawdown($3,196)
Time2/27/25 22:24
Quant open1
Worst price20530.80
Drawdown as % of equity-20.54%
 ($3,164)
Includes Typical Broker Commissions trade costs of $0.94
2/6/25 2:58 @MNQH5 MICRO E-MINI NASDAQ 100 SHORT 1 21790.36 2/14 0:54 22128.83 3.82%
Trade id #150780067
Max drawdown($716)
Time2/14/25 0:02
Quant open1
Worst price22148.50
Drawdown as % of equity-3.82%
 ($678)
Includes Typical Broker Commissions trade costs of $0.94
2/2/25 19:03 @MNQH5 MICRO E-MINI NASDAQ 100 LONG 1 21109.12 2/5 12:04 21729.31 1.88%
Trade id #150742980
Max drawdown($337)
Time2/3/25 0:00
Quant open1
Worst price20940.20
Drawdown as % of equity-1.88%
 $1,239
Includes Typical Broker Commissions trade costs of $0.94
1/21/25 23:54 @MNQH5 MICRO E-MINI NASDAQ 100 LONG 1 21869.84 1/26 19:08 21658.75 2.54%
Trade id #150633996
Max drawdown($475)
Time1/26/25 18:20
Quant open1
Worst price21632.20
Drawdown as % of equity-2.54%
 ($423)
Includes Typical Broker Commissions trade costs of $0.94
1/14/25 16:09 @MNQH5 MICRO E-MINI NASDAQ 100 SHORT 1 20980.27 1/21 23:50 21867.69 9.59%
Trade id #150567824
Max drawdown($1,793)
Time1/21/25 23:41
Quant open1
Worst price21877.00
Drawdown as % of equity-9.59%
 ($1,776)
Includes Typical Broker Commissions trade costs of $0.94
1/13/25 16:10 @MNQH5 MICRO E-MINI NASDAQ 100 LONG 1 20972.04 1/14 10:17 21106.53 0.28%
Trade id #150555395
Max drawdown($56)
Time1/14/25 8:27
Quant open1
Worst price20944.00
Drawdown as % of equity-0.28%
 $268
Includes Typical Broker Commissions trade costs of $0.94
1/10/25 16:05 @MNQH5 MICRO E-MINI NASDAQ 100 LONG 1 21017.31 1/12 20:39 20931.50 1.01%
Trade id #150537487
Max drawdown($206)
Time1/12/25 20:36
Quant open1
Worst price20914.00
Drawdown as % of equity-1.01%
 ($173)
Includes Typical Broker Commissions trade costs of $0.94
1/8/25 16:07 @MNQH5 MICRO E-MINI NASDAQ 100 SHORT 1 21353.00 1/10 11:32 20933.98 0.2%
Trade id #150519632
Max drawdown($39)
Time1/10/25 6:13
Quant open1
Worst price21372.50
Drawdown as % of equity-0.20%
 $837
Includes Typical Broker Commissions trade costs of $0.94
1/6/25 23:00 @MNQH5 MICRO E-MINI NASDAQ 100 SHORT 1 21746.18 1/8 12:18 21279.04 0.64%
Trade id #150500547
Max drawdown($120)
Time1/7/25 0:00
Quant open1
Worst price21806.20
Drawdown as % of equity-0.64%
 $933
Includes Typical Broker Commissions trade costs of $0.94
1/3/25 16:09 @MNQH5 MICRO E-MINI NASDAQ 100 SHORT 1 21499.87 1/6 11:16 21889.45 4.15%
Trade id #150481597
Max drawdown($794)
Time1/6/25 11:11
Quant open1
Worst price21897.00
Drawdown as % of equity-4.15%
 ($780)
Includes Typical Broker Commissions trade costs of $0.94
12/31/24 16:04 @MNQH5 MICRO E-MINI NASDAQ 100 LONG 1 21223.23 1/3/25 12:59 21468.20 1.06%
Trade id #150449443
Max drawdown($204)
Time1/2/25 0:00
Quant open1
Worst price21121.00
Drawdown as % of equity-1.06%
 $489
Includes Typical Broker Commissions trade costs of $0.94
12/30/24 16:05 @MNQH5 MICRO E-MINI NASDAQ 100 SHORT 1 21375.88 12/31 11:57 21330.80 1.59%
Trade id #150440074
Max drawdown($297)
Time12/31/24 7:09
Quant open1
Worst price21524.80
Drawdown as % of equity-1.59%
 $89
Includes Typical Broker Commissions trade costs of $0.94
12/27/24 16:07 @MNQH5 MICRO E-MINI NASDAQ 100 SHORT 1 21722.66 12/30 10:48 21342.02 0.05%
Trade id #150425400
Max drawdown($9)
Time12/27/24 16:15
Quant open1
Worst price21727.20
Drawdown as % of equity-0.05%
 $760
Includes Typical Broker Commissions trade costs of $0.94
12/20/24 12:28 @MNQH5 MICRO E-MINI NASDAQ 100 SHORT 1 21804.79 12/24 10:36 21940.83 1.58%
Trade id #150377516
Max drawdown($287)
Time12/24/24 10:36
Quant open1
Worst price21948.50
Drawdown as % of equity-1.58%
 ($273)
Includes Typical Broker Commissions trade costs of $0.94
12/18/24 18:01 @MNQH5 MICRO E-MINI NASDAQ 100 LONG 1 21484.13 12/19 23:38 21228.12 3.03%
Trade id #150359655
Max drawdown($560)
Time12/19/24 22:47
Quant open1
Worst price21203.80
Drawdown as % of equity-3.03%
 ($513)
Includes Typical Broker Commissions trade costs of $0.94
12/17/24 18:04 @MNQH5 MICRO E-MINI NASDAQ 100 LONG 1 22218.34 12/17 20:30 22305.36 n/a $173
Includes Typical Broker Commissions trade costs of $0.94
12/13/24 13:53 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 1 21763.96 12/16 0:31 21795.03 0.14%
Trade id #150322245
Max drawdown($27)
Time12/13/24 16:36
Quant open1
Worst price21750.20
Drawdown as % of equity-0.14%
 $61
Includes Typical Broker Commissions trade costs of $0.94
12/12/24 16:13 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 1 21614.52 12/13 13:53 21759.50 3.12%
Trade id #150313868
Max drawdown($586)
Time12/13/24 9:49
Quant open1
Worst price21908.00
Drawdown as % of equity-3.12%
 ($291)
Includes Typical Broker Commissions trade costs of $0.94
12/11/24 10:35 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 1 21724.99 12/12 11:36 21703.24 1%
Trade id #150300362
Max drawdown($189)
Time12/11/24 15:17
Quant open1
Worst price21819.80
Drawdown as % of equity-1.00%
 $43
Includes Typical Broker Commissions trade costs of $0.94
12/10/24 16:02 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 1 21414.38 12/10 23:59 21431.19 0.06%
Trade id #150294056
Max drawdown($11)
Time12/10/24 19:34
Quant open1
Worst price21408.50
Drawdown as % of equity-0.06%
 $33
Includes Typical Broker Commissions trade costs of $0.94
12/9/24 16:31 @MNQZ4 MICRO E-MINI NASDAQ 100 SHORT 1 21476.09 12/10 14:44 21430.46 1.38%
Trade id #150284182
Max drawdown($261)
Time12/10/24 10:16
Quant open1
Worst price21606.80
Drawdown as % of equity-1.38%
 $90
Includes Typical Broker Commissions trade costs of $0.94

Successivo

Statistics

  • Strategy began
    11/30/2022
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    929.68
  • Age
    31 months ago
  • What it trades
    Futures
  • # Trades
    172
  • # Profitable
    112
  • % Profitable
    65.10%
  • Avg trade duration
    3.3 days
  • Max peak-to-valley drawdown
    64.43%
  • drawdown period
    Sept 06, 2024 - May 23, 2025
  • Annual Return (Compounded)
    0.8%
  • Avg win
    $376.71
  • Avg loss
    $602.42
  • Model Account Values (Raw)
  • Cash
    $16,042
  • Margin Used
    $0
  • Buying Power
    $16,042
  • Ratios
  • W:L ratio
    1.17:1
  • Sharpe Ratio
    0.1
  • Sortino Ratio
    0.14
  • Calmar Ratio
    0.452
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -44.67%
  • Correlation to SP500
    -0.03800
  • Return Percent SP500 (cumu) during strategy life
    47.12%
  • Return Statistics
  • Ann Return (w trading costs)
    0.8%
  • Slump
  • Current Slump as Pcnt Equity
    126.10%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.30%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.008%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    20.4%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    48.00%
  • Chance of 20% account loss
    21.00%
  • Chance of 30% account loss
    3.00%
  • Chance of 40% account loss
    0.50%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    347
  • Popularity (Last 6 weeks)
    793
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    376
  • Popularity (7 days, Percentile 1000 scale)
    441
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $602
  • Avg Win
    $377
  • Sum Trade PL (losers)
    $36,145.000
  • Age
  • Num Months filled monthly returns table
    32
  • Win / Loss
  • Sum Trade PL (winners)
    $42,191.000
  • # Winners
    112
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    15883
  • Win / Loss
  • # Losers
    60
  • % Winners
    65.1%
  • Frequency
  • Avg Position Time (mins)
    4703.07
  • Avg Position Time (hrs)
    78.38
  • Avg Trade Length
    3.3 days
  • Last Trade Ago
    20
  • Leverage
  • Daily leverage (average)
    2.19
  • Daily leverage (max)
    5.16
  • Regression
  • Alpha
    0.01
  • Beta
    -0.06
  • Treynor Index
    -0.13
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.71
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    12.816
  • 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
    0.08
  • Avg(MAE) / Avg(PL) - Winning trades
    0.607
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.363
  • Hold-and-Hope Ratio
    0.078
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20523
  • SD
    0.30110
  • Sharpe ratio (Glass type estimate)
    0.68162
  • Sharpe ratio (Hedges UMVUE)
    0.66381
  • df
    29.00000
  • t
    1.07773
  • p
    0.14502
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.57590
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.92775
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58749
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.91512
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.23100
  • Upside Potential Ratio
    2.68437
  • Upside part of mean
    0.44754
  • Downside part of mean
    -0.24230
  • Upside SD
    0.25170
  • Downside SD
    0.16672
  • N nonnegative terms
    19.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.13944
  • Mean of criterion
    0.20523
  • SD of predictor
    0.14023
  • SD of criterion
    0.30110
  • Covariance
    -0.01007
  • r
    -0.23861
  • b (slope, estimate of beta)
    -0.51233
  • a (intercept, estimate of alpha)
    0.27667
  • Mean Square Error
    0.08855
  • DF error
    28.00000
  • t(b)
    -1.30013
  • p(b)
    0.89792
  • t(a)
    1.41116
  • p(a)
    0.08461
  • Lowerbound of 95% confidence interval for beta
    -1.31952
  • Upperbound of 95% confidence interval for beta
    0.29486
  • Lowerbound of 95% confidence interval for alpha
    -0.12494
  • Upperbound of 95% confidence interval for alpha
    0.67829
  • Treynor index (mean / b)
    -0.40059
  • Jensen alpha (a)
    0.27667
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.16138
  • SD
    0.29324
  • Sharpe ratio (Glass type estimate)
    0.55034
  • Sharpe ratio (Hedges UMVUE)
    0.53597
  • df
    29.00000
  • t
    0.87017
  • p
    0.19568
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70191
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.79329
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71127
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.78320
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.89176
  • Upside Potential Ratio
    2.31306
  • Upside part of mean
    0.41860
  • Downside part of mean
    -0.25722
  • Upside SD
    0.22922
  • Downside SD
    0.18097
  • N nonnegative terms
    19.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    30.00000
  • Mean of predictor
    0.12893
  • Mean of criterion
    0.16138
  • SD of predictor
    0.13996
  • SD of criterion
    0.29324
  • Covariance
    -0.00794
  • r
    -0.19358
  • b (slope, estimate of beta)
    -0.40558
  • a (intercept, estimate of alpha)
    0.21367
  • Mean Square Error
    0.08572
  • DF error
    28.00000
  • t(b)
    -1.04406
  • p(b)
    0.84731
  • t(a)
    1.11388
  • p(a)
    0.13740
  • Lowerbound of 95% confidence interval for beta
    -1.20130
  • Upperbound of 95% confidence interval for beta
    0.39015
  • Lowerbound of 95% confidence interval for alpha
    -0.17927
  • Upperbound of 95% confidence interval for alpha
    0.60661
  • Treynor index (mean / b)
    -0.39791
  • Jensen alpha (a)
    0.21367
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11820
  • Expected Shortfall on VaR
    0.14843
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03705
  • Expected Shortfall on VaR
    0.08125
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    30.00000
  • Minimum
    0.80601
  • Quartile 1
    0.98357
  • Median
    1.00720
  • Quartile 3
    1.03918
  • Maximum
    1.29122
  • Mean of quarter 1
    0.93049
  • Mean of quarter 2
    0.99971
  • Mean of quarter 3
    1.02331
  • Mean of quarter 4
    1.12225
  • Inter Quartile Range
    0.05561
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.06667
  • Mean of outliers low
    0.83661
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    1.22299
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.59013
  • VaR(95%) (moments method)
    0.06963
  • Expected Shortfall (moments method)
    0.19457
  • Extreme Value Index (regression method)
    0.81844
  • VaR(95%) (regression method)
    0.08145
  • Expected Shortfall (regression method)
    0.46959
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00970
  • Quartile 1
    0.01226
  • Median
    0.02042
  • Quartile 3
    0.02129
  • Maximum
    0.39915
  • Mean of quarter 1
    0.01098
  • Mean of quarter 2
    0.02042
  • Mean of quarter 3
    0.02129
  • Mean of quarter 4
    0.39915
  • Inter Quartile Range
    0.00903
  • 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
    0.20000
  • Mean of outliers high
    0.39915
  • 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)
    0.24207
  • Compounded annual return (geometric extrapolation)
    0.20839
  • Calmar ratio (compounded annual return / max draw down)
    0.52208
  • Compounded annual return / average of 25% largest draw downs
    0.52208
  • Compounded annual return / Expected Shortfall lognormal
    1.40395
  • 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
    0.18257
  • SD
    0.21255
  • Sharpe ratio (Glass type estimate)
    0.85891
  • Sharpe ratio (Hedges UMVUE)
    0.85794
  • df
    659.00000
  • t
    1.36324
  • p
    0.08664
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37713
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.09438
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37782
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.09369
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.27906
  • Upside Potential Ratio
    8.42859
  • Upside part of mean
    1.20304
  • Downside part of mean
    -1.02048
  • Upside SD
    0.15769
  • Downside SD
    0.14273
  • N nonnegative terms
    282.00000
  • N negative terms
    378.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    660.00000
  • Mean of predictor
    0.13715
  • Mean of criterion
    0.18257
  • SD of predictor
    0.15985
  • SD of criterion
    0.21255
  • Covariance
    -0.00216
  • r
    -0.06366
  • b (slope, estimate of beta)
    -0.08464
  • a (intercept, estimate of alpha)
    0.19400
  • Mean Square Error
    0.04506
  • DF error
    658.00000
  • t(b)
    -1.63619
  • p(b)
    0.94886
  • t(a)
    1.44973
  • p(a)
    0.07381
  • Lowerbound of 95% confidence interval for beta
    -0.18623
  • Upperbound of 95% confidence interval for beta
    0.01694
  • Lowerbound of 95% confidence interval for alpha
    -0.06882
  • Upperbound of 95% confidence interval for alpha
    0.45717
  • Treynor index (mean / b)
    -2.15684
  • Jensen alpha (a)
    0.19417
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15995
  • SD
    0.21250
  • Sharpe ratio (Glass type estimate)
    0.75269
  • Sharpe ratio (Hedges UMVUE)
    0.75184
  • df
    659.00000
  • t
    1.19464
  • p
    0.11633
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48315
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.98796
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.48372
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.98739
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.10254
  • Upside Potential Ratio
    8.20775
  • Upside part of mean
    1.19073
  • Downside part of mean
    -1.03078
  • Upside SD
    0.15537
  • Downside SD
    0.14507
  • N nonnegative terms
    282.00000
  • N negative terms
    378.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    660.00000
  • Mean of predictor
    0.12440
  • Mean of criterion
    0.15995
  • SD of predictor
    0.15938
  • SD of criterion
    0.21250
  • Covariance
    -0.00203
  • r
    -0.05996
  • b (slope, estimate of beta)
    -0.07994
  • a (intercept, estimate of alpha)
    0.16989
  • Mean Square Error
    0.04506
  • DF error
    658.00000
  • t(b)
    -1.54080
  • p(b)
    0.93808
  • t(a)
    1.26877
  • p(a)
    0.10249
  • Lowerbound of 95% confidence interval for beta
    -0.18182
  • Upperbound of 95% confidence interval for beta
    0.02194
  • Lowerbound of 95% confidence interval for alpha
    -0.09304
  • Upperbound of 95% confidence interval for alpha
    0.43283
  • Treynor index (mean / b)
    -2.00074
  • Jensen alpha (a)
    0.16989
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02077
  • Expected Shortfall on VaR
    0.02611
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00970
  • Expected Shortfall on VaR
    0.01951
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    660.00000
  • Minimum
    0.92766
  • Quartile 1
    0.99519
  • Median
    1.00000
  • Quartile 3
    1.00568
  • Maximum
    1.06786
  • Mean of quarter 1
    0.98584
  • Mean of quarter 2
    0.99882
  • Mean of quarter 3
    1.00198
  • Mean of quarter 4
    1.01657
  • Inter Quartile Range
    0.01049
  • Number outliers low
    28.00000
  • Percentage of outliers low
    0.04242
  • Mean of outliers low
    0.96797
  • Number of outliers high
    41.00000
  • Percentage of outliers high
    0.06212
  • Mean of outliers high
    1.03070
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.18585
  • VaR(95%) (moments method)
    0.01295
  • Expected Shortfall (moments method)
    0.02012
  • Extreme Value Index (regression method)
    0.20119
  • VaR(95%) (regression method)
    0.01247
  • Expected Shortfall (regression method)
    0.01940
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    32.00000
  • Minimum
    0.00081
  • Quartile 1
    0.00787
  • Median
    0.01987
  • Quartile 3
    0.04894
  • Maximum
    0.45734
  • Mean of quarter 1
    0.00350
  • Mean of quarter 2
    0.01361
  • Mean of quarter 3
    0.03472
  • Mean of quarter 4
    0.12016
  • Inter Quartile Range
    0.04107
  • 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
    0.03125
  • Mean of outliers high
    0.45734
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.69087
  • VaR(95%) (moments method)
    0.13327
  • Expected Shortfall (moments method)
    0.41983
  • Extreme Value Index (regression method)
    1.15905
  • VaR(95%) (regression method)
    0.11333
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.24023
  • Compounded annual return (geometric extrapolation)
    0.20666
  • Calmar ratio (compounded annual return / max draw down)
    0.45188
  • Compounded annual return / average of 25% largest draw downs
    1.71985
  • Compounded annual return / Expected Shortfall lognormal
    7.91468
  • 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
    -0.77477
  • SD
    0.28021
  • Sharpe ratio (Glass type estimate)
    -2.76495
  • Sharpe ratio (Hedges UMVUE)
    -2.74897
  • df
    130.00000
  • t
    -1.95512
  • p
    0.58450
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.55183
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.03226
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.54084
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04290
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.30904
  • Upside Potential Ratio
    4.39274
  • Upside part of mean
    1.02851
  • Downside part of mean
    -1.80328
  • Upside SD
    0.15934
  • Downside SD
    0.23414
  • N nonnegative terms
    38.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.01911
  • Mean of criterion
    -0.77477
  • SD of predictor
    0.24584
  • SD of criterion
    0.28021
  • Covariance
    0.00879
  • r
    0.12754
  • b (slope, estimate of beta)
    0.14537
  • a (intercept, estimate of alpha)
    -0.77199
  • Mean Square Error
    0.07784
  • DF error
    129.00000
  • t(b)
    1.46045
  • p(b)
    0.41903
  • t(a)
    -1.95655
  • p(a)
    0.60755
  • Lowerbound of 95% confidence interval for beta
    -0.05157
  • Upperbound of 95% confidence interval for beta
    0.34230
  • Lowerbound of 95% confidence interval for alpha
    -1.55266
  • Upperbound of 95% confidence interval for alpha
    0.00867
  • Treynor index (mean / b)
    -5.32979
  • Jensen alpha (a)
    -0.77199
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.81531
  • SD
    0.28260
  • Sharpe ratio (Glass type estimate)
    -2.88499
  • Sharpe ratio (Hedges UMVUE)
    -2.86831
  • df
    130.00000
  • t
    -2.04000
  • p
    0.58806
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.67342
  • Upperbound of 95% confidence interval for Sharpe Ratio
    -0.08574
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -5.66196
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.07467
  • Statistics related to Sortino ratio
  • Sortino ratio
    -3.40664
  • Upside Potential Ratio
    4.24519
  • Upside part of mean
    1.01600
  • Downside part of mean
    -1.83131
  • Upside SD
    0.15657
  • Downside SD
    0.23933
  • N nonnegative terms
    38.00000
  • N negative terms
    93.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.04882
  • Mean of criterion
    -0.81531
  • SD of predictor
    0.24421
  • SD of criterion
    0.28260
  • Covariance
    0.00925
  • r
    0.13398
  • b (slope, estimate of beta)
    0.15504
  • a (intercept, estimate of alpha)
    -0.80774
  • Mean Square Error
    0.07904
  • DF error
    129.00000
  • t(b)
    1.53552
  • p(b)
    0.41496
  • t(a)
    -2.03143
  • p(a)
    0.61150
  • VAR (95 Confidence Intrvl)
    0.02100
  • Lowerbound of 95% confidence interval for beta
    -0.04473
  • Upperbound of 95% confidence interval for beta
    0.35481
  • Lowerbound of 95% confidence interval for alpha
    -1.59445
  • Upperbound of 95% confidence interval for alpha
    -0.02104
  • Treynor index (mean / b)
    -5.25867
  • Jensen alpha (a)
    -0.80774
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03133
  • Expected Shortfall on VaR
    0.03835
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01957
  • Expected Shortfall on VaR
    0.03716
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.92766
  • Quartile 1
    0.99143
  • Median
    1.00000
  • Quartile 3
    1.00385
  • Maximum
    1.06119
  • Mean of quarter 1
    0.97597
  • Mean of quarter 2
    0.99700
  • Mean of quarter 3
    1.00031
  • Mean of quarter 4
    1.01540
  • Inter Quartile Range
    0.01242
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.09160
  • Mean of outliers low
    0.95967
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.03265
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.21366
  • VaR(95%) (moments method)
    0.02289
  • Expected Shortfall (moments method)
    0.03635
  • Extreme Value Index (regression method)
    0.38207
  • VaR(95%) (regression method)
    0.02070
  • Expected Shortfall (regression method)
    0.03692
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.00850
  • Quartile 1
    0.01299
  • Median
    0.02438
  • Quartile 3
    0.13327
  • Maximum
    0.43027
  • Mean of quarter 1
    0.00850
  • Mean of quarter 2
    0.01449
  • Mean of quarter 3
    0.03427
  • Mean of quarter 4
    0.43027
  • Inter Quartile Range
    0.12028
  • 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
    0.25000
  • Mean of outliers high
    0.43027
  • 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?
    -358373000
  • Max Equity Drawdown (num days)
    259
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.65089
  • Compounded annual return (geometric extrapolation)
    -0.54497
  • Calmar ratio (compounded annual return / max draw down)
    -1.26659
  • Compounded annual return / average of 25% largest draw downs
    -1.26659
  • Compounded annual return / Expected Shortfall lognormal
    -14.21060

Strategy Description

Auxillatron is a Micro e-Mini NASDAQ-100 Index Futures trading system. System will attempt to average 100% leverage with a 150% leverage maximum.

Summary Statistics


Strategy began
2022-11-30
Suggested Minimum Capital
$25,000
# Trades
172
# Profitable
112
% Profitable
65.1%
Correlation S&P500
-0.038
Sharpe Ratio
0.10
Sortino Ratio
0.14
Beta
-0.06
Alpha
0.01
Leverage
2.19 Average
5.16 Maximum

Sommario
Leva finanziaria più alta = maggiore rischio.

Ulteriori informazioni sulla leva finanziaria

Collective2 calcola la leva finanziaria massima utilizzata da una strategia in ogni giorno. Mostriamo quindi la media di queste misurazioni (cioè la media della leva finanziaria massima giornaliera) e la più grande di queste misurazioni (leva finanziaria massima giornaliera).

La leva finanziaria è il rapporto tra il valore nozionale totale controllato da una strategia e il patrimonio del Model Account. Generalmente, una leva finanziaria più alta implica un rischio maggiore.

Esempio di calcolo:
La Strategia acquista 100 azioni a $12 per azione.
Il patrimonio del Model Account durante quel giorno è di $5.000.
La leva finanziaria è: $1200 / $5.000 = 0,24

Questa è una misurazione utile, ma deve essere considerata nel contesto. Questa misurazione non tiene conto di fattori importanti, come quando si detengono più posizioni che sono inversamente correlate. Né la misurazione tiene conto della volatilità degli strumenti detenuti.

Inoltre, alcune classi di attività sono per loro natura più leveraged di altre. Ad esempio, i contratti futures sono altamente leveraged. Le posizioni Forex sono spesso ancora più leveraged dei futures.

Latest Activity

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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.