Collective2 Collective2
Featured Strategy Gold and Silver +115.9% Cumul. Return since Jan 14, 2025 Hypothetical

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


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Trading Ideas
(147816846)

Creato da: DoctorOption DoctorOption
Started: 04/2024
Futures
Last trade: Yesterday
Trading style: Equity 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 $200.00 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: Equity
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).

28.7%
Annual Return (Compounded)

Calcolo del rendimento

Panoramica

Per conformarsi alle normative NFA, mostriamo il tasso di rendimento cumulativo per le strategie con un track record inferiore a un anno. Per le strategie con track record più lunghi, mostriamo il tasso di rendimento annuale (composto).

Come si calcola il tasso di rendimento annuale (composto)

= ((Patrimonio_finale / Patrimonio_iniziale) ^ (1 / anni)) - 1

Ricorda che, in base ai requisiti NFA, i costi di abbonamento alle strategie e le commissioni stimate sono inclusi nei calcoli del patrimonio valutato a mercato.

Tutti i risultati sono ipotetici.

(47.3%)
Max Drawdown
397
Num Trades
68.3%
Win Trades
1.1 : 1
Profit Factor
41.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                     (0.1%)+8.3%(3.4%)+6.4%(3.3%)(11%)+53.1%+8.2%(1.7%)+55.6%
2025(7.8%)+8.4%(2.5%)+33.3%+8.6%(10.2%)(26%)(2.3%)                        (8.4%)


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 455 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 20 days ago.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/25/25 5:30 @ESU5 E-MINI S&P 500 LONG 2 6467.75 8/27 5:57 6484.75 10.19%
Trade id #152698503
Max drawdown($3,700)
Time8/25/25 20:47
Quant open2
Worst price6430.75
Drawdown as % of equity-10.19%
 $1,684
Includes Typical Broker Commissions trade costs of $16.00
8/22/25 4:35 @ESU5 E-MINI S&P 500 SHORT 2 6395.75 8/25 5:30 6468.00 22.89%
Trade id #152682495
Max drawdown($10,050)
Time8/22/25 11:34
Quant open2
Worst price6496.25
Drawdown as % of equity-22.89%
 ($7,241)
Includes Typical Broker Commissions trade costs of $16.00
8/22/25 4:20 @ESU5 E-MINI S&P 500 SHORT 2 6398.25 8/22 4:30 6395.50 0.18%
Trade id #152682415
Max drawdown($75)
Time8/22/25 4:23
Quant open2
Worst price6399.00
Drawdown as % of equity-0.18%
 $259
Includes Typical Broker Commissions trade costs of $16.00
8/22/25 2:35 @ESU5 E-MINI S&P 500 LONG 2 6379.00 8/22 4:19 6398.25 3.61%
Trade id #152682128
Max drawdown($1,500)
Time8/22/25 2:43
Quant open2
Worst price6364.00
Drawdown as % of equity-3.61%
 $1,909
Includes Typical Broker Commissions trade costs of $16.00
8/21/25 8:38 @ESU5 E-MINI S&P 500 SHORT 2 6392.00 8/22 2:35 6379.00 4.9%
Trade id #152655697
Max drawdown($2,025)
Time8/21/25 10:29
Quant open2
Worst price6412.25
Drawdown as % of equity-4.90%
 $1,284
Includes Typical Broker Commissions trade costs of $16.00
8/21/25 2:16 @ESU5 E-MINI S&P 500 LONG 2 6417.75 8/21 8:38 6392.50 7.79%
Trade id #152654660
Max drawdown($3,200)
Time8/21/25 8:18
Quant open2
Worst price6385.75
Drawdown as % of equity-7.79%
 ($2,541)
Includes Typical Broker Commissions trade costs of $16.00
8/20/25 11:24 @ESU5 E-MINI S&P 500 LONG 2 6394.50 8/20 12:36 6400.00 3.19%
Trade id #152649794
Max drawdown($1,375)
Time8/20/25 11:56
Quant open2
Worst price6380.75
Drawdown as % of equity-3.19%
 $534
Includes Typical Broker Commissions trade costs of $16.00
8/20/25 11:19 @ESU5 E-MINI S&P 500 SHORT 2 6389.00 8/20 11:24 6394.25 1.84%
Trade id #152649742
Max drawdown($775)
Time8/20/25 11:24
Quant open2
Worst price6396.75
Drawdown as % of equity-1.84%
 ($541)
Includes Typical Broker Commissions trade costs of $16.00
8/20/25 10:15 @ESU5 E-MINI S&P 500 LONG 2 6376.50 8/20 11:18 6388.75 3.27%
Trade id #152648809
Max drawdown($1,375)
Time8/20/25 10:53
Quant open2
Worst price6362.75
Drawdown as % of equity-3.27%
 $1,209
Includes Typical Broker Commissions trade costs of $16.00
8/20/25 10:10 @ESU5 E-MINI S&P 500 SHORT 2 6376.75 8/20 10:15 6376.75 1.25%
Trade id #152648746
Max drawdown($475)
Time8/20/25 10:13
Quant open2
Worst price6381.50
Drawdown as % of equity-1.25%
 ($16)
Includes Typical Broker Commissions trade costs of $16.00
8/20/25 10:07 @ESU5 E-MINI S&P 500 LONG 2 6381.00 8/20 10:10 6378.25 1.38%
Trade id #152648688
Max drawdown($525)
Time8/20/25 10:10
Quant open2
Worst price6375.75
Drawdown as % of equity-1.38%
 ($291)
Includes Typical Broker Commissions trade costs of $16.00
8/8/25 1:33 @ESU5 E-MINI S&P 500 SHORT 3 6394.83 8/20 10:07 6414.75 34.77%
Trade id #152555020
Max drawdown($12,650)
Time8/13/25 0:00
Quant open2
Worst price6502.50
Drawdown as % of equity-34.77%
 ($3,012)
Includes Typical Broker Commissions trade costs of $24.00
8/7/25 10:29 @ESU5 E-MINI S&P 500 LONG 2 6381.75 8/8 1:33 6375.75 11.1%
Trade id #152547338
Max drawdown($4,725)
Time8/7/25 14:23
Quant open2
Worst price6334.50
Drawdown as % of equity-11.10%
 ($616)
Includes Typical Broker Commissions trade costs of $16.00
8/7/25 9:46 @ESU5 E-MINI S&P 500 SHORT 2 6397.25 8/7 10:29 6382.50 3.5%
Trade id #152546450
Max drawdown($1,550)
Time8/7/25 10:00
Quant open2
Worst price6412.75
Drawdown as % of equity-3.50%
 $1,459
Includes Typical Broker Commissions trade costs of $16.00
8/7/25 9:33 @ESU5 E-MINI S&P 500 LONG 2 6412.50 8/7 9:46 6397.50 3.31%
Trade id #152545803
Max drawdown($1,525)
Time8/7/25 9:46
Quant open2
Worst price6397.25
Drawdown as % of equity-3.31%
 ($1,516)
Includes Typical Broker Commissions trade costs of $16.00
8/7/25 6:32 @ESU5 E-MINI S&P 500 SHORT 2 6411.50 8/7 9:33 6412.75 1.19%
Trade id #152544321
Max drawdown($550)
Time8/7/25 7:00
Quant open2
Worst price6417.00
Drawdown as % of equity-1.19%
 ($141)
Includes Typical Broker Commissions trade costs of $16.00
8/1/25 9:06 @ESU5 E-MINI S&P 500 LONG 3 6310.33 8/7 6:32 6367.75 18.1%
Trade id #152491785
Max drawdown($6,725)
Time8/1/25 10:02
Quant open2
Worst price6243.75
Drawdown as % of equity-18.10%
 $8,589
Includes Typical Broker Commissions trade costs of $24.00
7/28/25 3:04 @VXU5 CBOE Volatility Index VIX LONG 2 19.25 8/1 9:06 20.65 1.14%
Trade id #152436664
Max drawdown($400)
Time7/29/25 0:00
Quant open2
Worst price19.05
Drawdown as % of equity-1.14%
 $2,784
Includes Typical Broker Commissions trade costs of $16.00
7/22/25 13:02 @ESU5 E-MINI S&P 500 SHORT 2 6336.75 7/28 2:56 6454.00 34.3%
Trade id #152387550
Max drawdown($12,100)
Time7/28/25 2:07
Quant open2
Worst price6457.75
Drawdown as % of equity-34.30%
 ($11,741)
Includes Typical Broker Commissions trade costs of $16.00
7/22/25 12:32 @ESU5 E-MINI S&P 500 LONG 2 6333.00 7/22 13:02 6337.00 1.18%
Trade id #152387358
Max drawdown($550)
Time7/22/25 12:41
Quant open2
Worst price6327.50
Drawdown as % of equity-1.18%
 $384
Includes Typical Broker Commissions trade costs of $16.00
7/22/25 11:36 @ESU5 E-MINI S&P 500 SHORT 2 6335.50 7/22 12:31 6332.00 0.65%
Trade id #152385888
Max drawdown($300)
Time7/22/25 12:17
Quant open2
Worst price6338.50
Drawdown as % of equity-0.65%
 $334
Includes Typical Broker Commissions trade costs of $16.00
7/22/25 10:09 @ESU5 E-MINI S&P 500 LONG 2 6326.33 7/22 11:36 6335.75 0.46%
Trade id #152384867
Max drawdown($208)
Time7/22/25 10:12
Quant open2
Worst price6324.25
Drawdown as % of equity-0.46%
 $926
Includes Typical Broker Commissions trade costs of $16.00
7/22/25 3:37 @MNQU5 MICRO E-MINI NASDAQ 100 SHORT 2 23342.93 7/22 10:08 23168.70 0.06%
Trade id #152381002
Max drawdown($27)
Time7/22/25 9:30
Quant open2
Worst price23349.80
Drawdown as % of equity-0.06%
 $695
Includes Typical Broker Commissions trade costs of $1.88
7/21/25 11:26 @MNQU5 MICRO E-MINI NASDAQ 100 LONG 2 23396.68 7/22 3:36 23341.50 0.89%
Trade id #152374130
Max drawdown($397)
Time7/22/25 0:24
Quant open2
Worst price23297.20
Drawdown as % of equity-0.89%
 ($223)
Includes Typical Broker Commissions trade costs of $1.88
7/21/25 11:26 @ESU5 E-MINI S&P 500 LONG 2 6372.00 7/22 3:36 6345.00 7.33%
Trade id #152374125
Max drawdown($3,275)
Time7/22/25 1:34
Quant open2
Worst price6339.25
Drawdown as % of equity-7.33%
 ($2,716)
Includes Typical Broker Commissions trade costs of $16.00
7/16/25 13:24 @ESU5 E-MINI S&P 500 SHORT 2 6295.00 7/21 11:26 6371.62 15.86%
Trade id #152338160
Max drawdown($7,750)
Time7/21/25 10:31
Quant open2
Worst price6372.50
Drawdown as % of equity-15.86%
 ($7,679)
Includes Typical Broker Commissions trade costs of $16.00
7/16/25 11:18 @ESU5 E-MINI S&P 500 LONG 2 6271.88 7/16 12:53 6290.00 5.86%
Trade id #152335601
Max drawdown($3,087)
Time7/16/25 11:37
Quant open2
Worst price6241.00
Drawdown as % of equity-5.86%
 $1,797
Includes Typical Broker Commissions trade costs of $16.00
7/16/25 11:11 @ESU5 E-MINI S&P 500 SHORT 2 6292.50 7/16 11:16 6280.00 0.48%
Trade id #152335447
Max drawdown($250)
Time7/16/25 11:14
Quant open2
Worst price6295.00
Drawdown as % of equity-0.48%
 $1,234
Includes Typical Broker Commissions trade costs of $16.00
7/16/25 10:57 @ESU5 E-MINI S&P 500 LONG 2 6286.00 7/16 11:10 6292.00 0.88%
Trade id #152335198
Max drawdown($450)
Time7/16/25 11:00
Quant open2
Worst price6281.50
Drawdown as % of equity-0.88%
 $584
Includes Typical Broker Commissions trade costs of $16.00
7/16/25 10:57 @MESU5 MICRO E-MINI S&P 500 LONG 2 6285.75 7/16 11:10 6292.00 0.08%
Trade id #152335190
Max drawdown($42)
Time7/16/25 11:00
Quant open2
Worst price6281.50
Drawdown as % of equity-0.08%
 $61
Includes Typical Broker Commissions trade costs of $2.40

Successivo

Statistics

  • Strategy began
    4/5/2024
  • Suggested Minimum Cap
    $40,000
  • Strategy Age (days)
    510.54
  • Age
    17 months ago
  • What it trades
    Futures
  • # Trades
    397
  • # Profitable
    271
  • % Profitable
    68.30%
  • Avg trade duration
    12.8 hours
  • Max peak-to-valley drawdown
    47.31%
  • drawdown period
    June 18, 2025 - Aug 01, 2025
  • Annual Return (Compounded)
    28.7%
  • Avg win
    $680.89
  • Avg loss
    $1,312
  • Model Account Values (Raw)
  • Cash
    $46,921
  • Margin Used
    $42,684
  • Buying Power
    $1,462
  • Ratios
  • W:L ratio
    1.12:1
  • Sharpe Ratio
    0.66
  • Sortino Ratio
    0.91
  • Calmar Ratio
    1.464
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    17.65%
  • Correlation to SP500
    -0.04260
  • Return Percent SP500 (cumu) during strategy life
    24.72%
  • Return Statistics
  • Ann Return (w trading costs)
    28.7%
  • Slump
  • Current Slump as Pcnt Equity
    75.40%
  • Instruments
  • Percent Trades Futures
    0.91%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.14%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.287%
  • Instruments
  • Percent Trades Options
    0.08%
  • Percent Trades Stocks
    0.01%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    49.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    68.50%
  • Chance of 20% account loss
    39.00%
  • Chance of 30% account loss
    21.00%
  • Chance of 40% account loss
    7.00%
  • 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
    2.54%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    2.50%
  • Popularity
  • Popularity (Today)
    671
  • Popularity (Last 6 weeks)
    928
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    285
  • Popularity (7 days, Percentile 1000 scale)
    624
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,315
  • Avg Win
    $681
  • Sum Trade PL (losers)
    $165,751.000
  • Age
  • Num Months filled monthly returns table
    17
  • Win / Loss
  • Sum Trade PL (winners)
    $184,522.000
  • # Winners
    271
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    126
  • % Winners
    68.3%
  • Frequency
  • Avg Position Time (mins)
    770.73
  • Avg Position Time (hrs)
    12.85
  • Avg Trade Length
    0.5 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    5.37
  • Daily leverage (max)
    17.87
  • Regression
  • Alpha
    0.11
  • Beta
    -0.11
  • Treynor Index
    -0.91
  • 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)
    0.09
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    101.514
  • 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
    0.11
  • Avg(MAE) / Avg(PL) - Winning trades
    0.942
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.290
  • Hold-and-Hope Ratio
    0.003
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57087
  • SD
    0.46546
  • Sharpe ratio (Glass type estimate)
    1.22646
  • Sharpe ratio (Hedges UMVUE)
    1.16392
  • df
    15.00000
  • t
    1.41620
  • p
    0.28575
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54481
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.95973
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58381
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.91165
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.59829
  • Upside Potential Ratio
    4.28023
  • Upside part of mean
    0.94040
  • Downside part of mean
    -0.36953
  • Upside SD
    0.42661
  • Downside SD
    0.21971
  • N nonnegative terms
    10.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.14219
  • Mean of criterion
    0.57087
  • SD of predictor
    0.17672
  • SD of criterion
    0.46546
  • Covariance
    -0.01444
  • r
    -0.17553
  • b (slope, estimate of beta)
    -0.46230
  • a (intercept, estimate of alpha)
    0.63660
  • Mean Square Error
    0.22497
  • DF error
    14.00000
  • t(b)
    -0.66712
  • p(b)
    0.58776
  • t(a)
    1.50703
  • p(a)
    0.31320
  • Lowerbound of 95% confidence interval for beta
    -1.94860
  • Upperbound of 95% confidence interval for beta
    1.02400
  • Lowerbound of 95% confidence interval for alpha
    -0.26940
  • Upperbound of 95% confidence interval for alpha
    1.54260
  • Treynor index (mean / b)
    -1.23484
  • Jensen alpha (a)
    0.63660
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46385
  • SD
    0.44567
  • Sharpe ratio (Glass type estimate)
    1.04080
  • Sharpe ratio (Hedges UMVUE)
    0.98772
  • df
    15.00000
  • t
    1.20181
  • p
    0.31413
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71265
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.76146
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.74606
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.72151
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.93417
  • Upside Potential Ratio
    3.58437
  • Upside part of mean
    0.85959
  • Downside part of mean
    -0.39575
  • Upside SD
    0.38291
  • Downside SD
    0.23982
  • N nonnegative terms
    10.00000
  • N negative terms
    6.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    16.00000
  • Mean of predictor
    0.12670
  • Mean of criterion
    0.46385
  • SD of predictor
    0.17519
  • SD of criterion
    0.44567
  • Covariance
    -0.01278
  • r
    -0.16369
  • b (slope, estimate of beta)
    -0.41641
  • a (intercept, estimate of alpha)
    0.51661
  • Mean Square Error
    0.20710
  • DF error
    14.00000
  • t(b)
    -0.62085
  • p(b)
    0.58185
  • t(a)
    1.28136
  • p(a)
    0.33801
  • Lowerbound of 95% confidence interval for beta
    -1.85496
  • Upperbound of 95% confidence interval for beta
    1.02213
  • Lowerbound of 95% confidence interval for alpha
    -0.34811
  • Upperbound of 95% confidence interval for alpha
    1.38133
  • Treynor index (mean / b)
    -1.11391
  • Jensen alpha (a)
    0.51661
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.15883
  • Expected Shortfall on VaR
    0.20197
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05868
  • Expected Shortfall on VaR
    0.12049
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    16.00000
  • Minimum
    0.79796
  • Quartile 1
    0.96459
  • Median
    1.02967
  • Quartile 3
    1.14244
  • Maximum
    1.32985
  • Mean of quarter 1
    0.89107
  • Mean of quarter 2
    1.00022
  • Mean of quarter 3
    1.08937
  • Mean of quarter 4
    1.21894
  • Inter Quartile Range
    0.17785
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.72391
  • VaR(95%) (moments method)
    0.10274
  • Expected Shortfall (moments method)
    0.10397
  • Extreme Value Index (regression method)
    -0.03407
  • VaR(95%) (regression method)
    0.14907
  • Expected Shortfall (regression method)
    0.21359
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.03290
  • Quartile 1
    0.04044
  • Median
    0.07199
  • Quartile 3
    0.14417
  • Maximum
    0.27361
  • Mean of quarter 1
    0.03290
  • Mean of quarter 2
    0.04296
  • Mean of quarter 3
    0.10102
  • Mean of quarter 4
    0.27361
  • Inter Quartile Range
    0.10373
  • 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)
    0.69483
  • Compounded annual return (geometric extrapolation)
    0.63518
  • Calmar ratio (compounded annual return / max draw down)
    2.32151
  • Compounded annual return / average of 25% largest draw downs
    2.32151
  • Compounded annual return / Expected Shortfall lognormal
    3.14502
  • 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
    0.49507
  • SD
    0.42185
  • Sharpe ratio (Glass type estimate)
    1.17356
  • Sharpe ratio (Hedges UMVUE)
    1.17107
  • df
    354.00000
  • t
    1.36605
  • p
    0.08639
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.51324
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.85875
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51492
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.85705
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.62920
  • Upside Potential Ratio
    7.68734
  • Upside part of mean
    2.33597
  • Downside part of mean
    -1.84090
  • Upside SD
    0.29335
  • Downside SD
    0.30387
  • N nonnegative terms
    193.00000
  • N negative terms
    162.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    355.00000
  • Mean of predictor
    0.15262
  • Mean of criterion
    0.49507
  • SD of predictor
    0.18065
  • SD of criterion
    0.42185
  • Covariance
    -0.00305
  • r
    -0.04007
  • b (slope, estimate of beta)
    -0.09356
  • a (intercept, estimate of alpha)
    0.50900
  • Mean Square Error
    0.17818
  • DF error
    353.00000
  • t(b)
    -0.75340
  • p(b)
    0.77414
  • t(a)
    1.40268
  • p(a)
    0.08080
  • Lowerbound of 95% confidence interval for beta
    -0.33780
  • Upperbound of 95% confidence interval for beta
    0.15068
  • Lowerbound of 95% confidence interval for alpha
    -0.20481
  • Upperbound of 95% confidence interval for alpha
    1.22351
  • Treynor index (mean / b)
    -5.29131
  • Jensen alpha (a)
    0.50935
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.40507
  • SD
    0.42509
  • Sharpe ratio (Glass type estimate)
    0.95291
  • Sharpe ratio (Hedges UMVUE)
    0.95089
  • df
    354.00000
  • t
    1.10921
  • p
    0.13405
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73296
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.63752
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.73435
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.63612
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.28381
  • Upside Potential Ratio
    7.27141
  • Upside part of mean
    2.29431
  • Downside part of mean
    -1.88924
  • Upside SD
    0.28507
  • Downside SD
    0.31552
  • N nonnegative terms
    193.00000
  • N negative terms
    162.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    355.00000
  • Mean of predictor
    0.13637
  • Mean of criterion
    0.40507
  • SD of predictor
    0.18002
  • SD of criterion
    0.42509
  • Covariance
    -0.00287
  • r
    -0.03757
  • b (slope, estimate of beta)
    -0.08872
  • a (intercept, estimate of alpha)
    0.41717
  • Mean Square Error
    0.18096
  • DF error
    353.00000
  • t(b)
    -0.70636
  • p(b)
    0.75979
  • t(a)
    1.14028
  • p(a)
    0.12747
  • Lowerbound of 95% confidence interval for beta
    -0.33572
  • Upperbound of 95% confidence interval for beta
    0.15829
  • Lowerbound of 95% confidence interval for alpha
    -0.30235
  • Upperbound of 95% confidence interval for alpha
    1.13669
  • Treynor index (mean / b)
    -4.56600
  • Jensen alpha (a)
    0.41717
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04080
  • Expected Shortfall on VaR
    0.05122
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01487
  • Expected Shortfall on VaR
    0.03260
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    355.00000
  • Minimum
    0.87952
  • Quartile 1
    0.99659
  • Median
    1.00166
  • Quartile 3
    1.01137
  • Maximum
    1.13045
  • Mean of quarter 1
    0.97253
  • Mean of quarter 2
    0.99983
  • Mean of quarter 3
    1.00593
  • Mean of quarter 4
    1.02974
  • Inter Quartile Range
    0.01478
  • Number outliers low
    34.00000
  • Percentage of outliers low
    0.09577
  • Mean of outliers low
    0.94720
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.07042
  • Mean of outliers high
    1.05469
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.47510
  • VaR(95%) (moments method)
    0.01786
  • Expected Shortfall (moments method)
    0.04209
  • Extreme Value Index (regression method)
    0.13744
  • VaR(95%) (regression method)
    0.02995
  • Expected Shortfall (regression method)
    0.05111
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00146
  • Quartile 1
    0.00977
  • Median
    0.02270
  • Quartile 3
    0.07001
  • Maximum
    0.37009
  • Mean of quarter 1
    0.00407
  • Mean of quarter 2
    0.01693
  • Mean of quarter 3
    0.05572
  • Mean of quarter 4
    0.17797
  • Inter Quartile Range
    0.06024
  • 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
    0.09524
  • Mean of outliers high
    0.27496
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.11976
  • VaR(95%) (moments method)
    0.15993
  • Expected Shortfall (moments method)
    0.20672
  • Extreme Value Index (regression method)
    0.47019
  • VaR(95%) (regression method)
    0.21629
  • Expected Shortfall (regression method)
    0.45248
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.58894
  • Compounded annual return (geometric extrapolation)
    0.54185
  • Calmar ratio (compounded annual return / max draw down)
    1.46410
  • Compounded annual return / average of 25% largest draw downs
    3.04463
  • Compounded annual return / Expected Shortfall lognormal
    10.57880
  • 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
    0.24007
  • SD
    0.51423
  • Sharpe ratio (Glass type estimate)
    0.46685
  • Sharpe ratio (Hedges UMVUE)
    0.46415
  • df
    130.00000
  • t
    0.33011
  • p
    0.48553
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.30638
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.23840
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.30823
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.23653
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.61818
  • Upside Potential Ratio
    7.75059
  • Upside part of mean
    3.00995
  • Downside part of mean
    -2.76988
  • Upside SD
    0.33440
  • Downside SD
    0.38835
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.17524
  • Mean of criterion
    0.24007
  • SD of predictor
    0.23758
  • SD of criterion
    0.51423
  • Covariance
    -0.01436
  • r
    -0.11755
  • b (slope, estimate of beta)
    -0.25444
  • a (intercept, estimate of alpha)
    0.28466
  • Mean Square Error
    0.26281
  • DF error
    129.00000
  • t(b)
    -1.34445
  • p(b)
    0.57466
  • t(a)
    0.39223
  • p(a)
    0.47803
  • Lowerbound of 95% confidence interval for beta
    -0.62888
  • Upperbound of 95% confidence interval for beta
    0.12000
  • Lowerbound of 95% confidence interval for alpha
    -1.15125
  • Upperbound of 95% confidence interval for alpha
    1.72057
  • Treynor index (mean / b)
    -0.94353
  • Jensen alpha (a)
    0.28466
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.10671
  • SD
    0.52055
  • Sharpe ratio (Glass type estimate)
    0.20499
  • Sharpe ratio (Hedges UMVUE)
    0.20381
  • df
    130.00000
  • t
    0.14495
  • p
    0.49364
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.56729
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.97655
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.56811
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.97572
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.26469
  • Upside Potential Ratio
    7.33134
  • Upside part of mean
    2.95554
  • Downside part of mean
    -2.84883
  • Upside SD
    0.32623
  • Downside SD
    0.40314
  • N nonnegative terms
    78.00000
  • N negative terms
    53.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14745
  • Mean of criterion
    0.10671
  • SD of predictor
    0.23582
  • SD of criterion
    0.52055
  • Covariance
    -0.01475
  • r
    -0.12015
  • b (slope, estimate of beta)
    -0.26523
  • a (intercept, estimate of alpha)
    0.14582
  • Mean Square Error
    0.26913
  • DF error
    129.00000
  • t(b)
    -1.37464
  • p(b)
    0.57631
  • t(a)
    0.19860
  • p(a)
    0.48887
  • VAR (95 Confidence Intrvl)
    0.04100
  • Lowerbound of 95% confidence interval for beta
    -0.64697
  • Upperbound of 95% confidence interval for beta
    0.11651
  • Lowerbound of 95% confidence interval for alpha
    -1.30684
  • Upperbound of 95% confidence interval for alpha
    1.59848
  • Treynor index (mean / b)
    -0.40233
  • Jensen alpha (a)
    0.14582
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05114
  • Expected Shortfall on VaR
    0.06374
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02093
  • Expected Shortfall on VaR
    0.04431
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.88620
  • Quartile 1
    0.98951
  • Median
    1.00345
  • Quartile 3
    1.01724
  • Maximum
    1.08016
  • Mean of quarter 1
    0.96020
  • Mean of quarter 2
    0.99895
  • Mean of quarter 3
    1.00897
  • Mean of quarter 4
    1.03621
  • Inter Quartile Range
    0.02773
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.92248
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.07612
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.07733
  • VaR(95%) (moments method)
    0.03127
  • Expected Shortfall (moments method)
    0.04618
  • Extreme Value Index (regression method)
    -0.00191
  • VaR(95%) (regression method)
    0.04368
  • Expected Shortfall (regression method)
    0.06408
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00389
  • Quartile 1
    0.01396
  • Median
    0.02270
  • Quartile 3
    0.07170
  • Maximum
    0.37009
  • Mean of quarter 1
    0.00880
  • Mean of quarter 2
    0.01846
  • Mean of quarter 3
    0.05698
  • Mean of quarter 4
    0.22826
  • Inter Quartile Range
    0.05774
  • 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
    0.37009
  • 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?
    -401152000
  • Max Equity Drawdown (num days)
    44
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.13925
  • Compounded annual return (geometric extrapolation)
    0.14410
  • Calmar ratio (compounded annual return / max draw down)
    0.38936
  • Compounded annual return / average of 25% largest draw downs
    0.63129
  • Compounded annual return / Expected Shortfall lognormal
    2.26082

Strategy Description

The concept behind this trading strategy is based on momentum trading, which aims to capitalize on the continuation of existing market trends. The strategy identifies and enters trades in assets (such as equity indices or commodities) that show strong upward or downward momentum, with the expectation that these trends will continue in the short term.

Core principles of the strategy:

Trend Following: The strategy focuses on identifying assets that are trending strongly, either upwards or downwards. It aims to ride the momentum until the trend shows signs of reversal or exhaustion.

Technical Indicators: The strategy likely uses a combination of technical indicators to spot momentum, such as moving averages, relative strength, and other trend-following signals.

Risk Management: Despite the emphasis on momentum, the strategy incorporates risk controls with the use of stop-losses and position sizing to manage drawdowns. The maximum drawdown of 21.2% is a reflection of the strategy's risk tolerance.

Adaptability: The strategy adapts to both bullish and bearish market conditions, adjusting positions in long or short directions depending on the momentum direction.
Trade this strategy at Tradier

Summary Statistics


Strategy began
2024-04-05
Suggested Minimum Capital
$40,000
# Trades
397
# Profitable
271
% Profitable
68.3%
Correlation S&P500
-0.043
Sharpe Ratio
0.66
Sortino Ratio
0.91
Beta
-0.11
Alpha
0.11
Leverage
5.37 Average
17.87 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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This strategy is now visible to the public. New subscribers will be able to follow it.

If you designate your strategy as Private, it will no longer be visible to the public.

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.