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

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Lista osservati Lista osservati

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


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TechSignal
(148563155)

Creato da: TS_ TS_
Started: 07/2024
Futures
Last trade: Today
Trading style: Futures Commodities Financials / Indexes

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 $140.00 per month.

C2Star

C2Star è un programma di certificazione per le strategie di trading. Per diventare "Certificato C2Star", una strategia deve applicare controlli di rischio rigorosi e deve mostrare caratteristiche di performance eccellenti, tra cui riduzioni limitate.

Puoi leggere di più sui requisiti di certificazione C2Star qui.

Nota che: tutte le strategie di trading comportano rischi e la certificazione C2Star non implica che una strategia sia a basso rischio.

Trading Category: Futures
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.

170.1%
Cumul. Return

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 cumulativo

= (Patrimonio_finale - Patrimonio_iniziale) / Patrimonio_iniziale

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.

(38.5%)
Max Drawdown
223
Num Trades
85.2%
Win Trades
4.4 : 1
Profit Factor
91.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                                          +26.5%(24.7%)+44.0%+14.2%+4.1%+7.5%+75.3%
2025+0.4%+14.5%+2.2%+18.9%+5.3%+4.7%                                    +54.1%


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

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
6/16/25 18:42 @MNQU5 MICRO E-MINI NASDAQ 100 SHORT 1 22100.00 6/17 14:27 21923.00 0.11%
Trade id #152070806
Max drawdown($73)
Time6/17/25 11:14
Quant open1
Worst price22136.50
Drawdown as % of equity-0.11%
 $353
Includes Typical Broker Commissions trade costs of $0.94
6/16/25 8:32 @MNQU5 MICRO E-MINI NASDAQ 100 SHORT 2 22108.76 6/16 18:40 22114.00 0.7%
Trade id #152062930
Max drawdown($462)
Time6/16/25 11:18
Quant open2
Worst price22224.50
Drawdown as % of equity-0.70%
 ($23)
Includes Typical Broker Commissions trade costs of $1.88
6/13/25 12:38 @MNQU5 MICRO E-MINI NASDAQ 100 SHORT 1 22032.40 6/13 13:44 21974.00 0.09%
Trade id #152050978
Max drawdown($63)
Time6/13/25 12:57
Quant open1
Worst price22064.00
Drawdown as % of equity-0.09%
 $116
Includes Typical Broker Commissions trade costs of $0.94
6/2/25 12:44 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 11 21727.23 6/12 20:23 21680.47 3.7%
Trade id #151894499
Max drawdown($2,418)
Time6/11/25 0:00
Quant open3
Worst price22094.00
Drawdown as % of equity-3.70%
 $1,019
Includes Typical Broker Commissions trade costs of $10.34
6/2/25 9:46 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 1 21397.00 6/2 10:01 21240.00 0%
Trade id #151891318
Max drawdown($1)
Time6/2/25 9:49
Quant open1
Worst price21397.80
Drawdown as % of equity-0.00%
 $313
Includes Typical Broker Commissions trade costs of $0.94
5/30/25 16:56 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 1 21363.10 6/1 21:43 21276.00 0.03%
Trade id #151879374
Max drawdown($18)
Time5/30/25 16:59
Quant open1
Worst price21372.50
Drawdown as % of equity-0.03%
 $173
Includes Typical Broker Commissions trade costs of $0.94
5/30/25 10:45 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 1 21357.62 5/30 12:16 21305.00 0.1%
Trade id #151874632
Max drawdown($61)
Time5/30/25 10:56
Quant open1
Worst price21388.50
Drawdown as % of equity-0.10%
 $104
Includes Typical Broker Commissions trade costs of $0.94
5/27/25 7:08 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 5 21483.51 5/29 11:58 21468.85 2.34%
Trade id #151837089
Max drawdown($1,500)
Time5/29/25 4:02
Quant open2
Worst price21858.80
Drawdown as % of equity-2.34%
 $142
Includes Typical Broker Commissions trade costs of $4.70
5/25/25 19:33 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 4 21233.79 5/27 7:06 21233.00 0.67%
Trade id #151827003
Max drawdown($437)
Time5/27/25 6:34
Quant open2
Worst price21343.20
Drawdown as % of equity-0.67%
 $2
Includes Typical Broker Commissions trade costs of $3.76
5/23/25 9:29 @MESM5 MICRO E-MINI S&P 500 LONG 1 5784.88 5/23 9:35 5803.25 n/a $91
Includes Typical Broker Commissions trade costs of $0.94
5/12/25 14:10 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 8 21224.51 5/23 8:01 21133.21 5.64%
Trade id #151697606
Max drawdown($3,467)
Time5/19/25 0:00
Quant open4
Worst price21545.50
Drawdown as % of equity-5.64%
 $1,453
Includes Typical Broker Commissions trade costs of $7.52
5/12/25 6:45 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 1 20919.25 5/12 9:32 20823.25 0.23%
Trade id #151689754
Max drawdown($144)
Time5/12/25 7:06
Quant open1
Worst price20991.50
Drawdown as % of equity-0.23%
 $191
Includes Typical Broker Commissions trade costs of $0.94
5/9/25 7:05 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 1 20219.75 5/9 10:28 20114.00 0.22%
Trade id #151672711
Max drawdown($140)
Time5/9/25 7:26
Quant open1
Worst price20290.00
Drawdown as % of equity-0.22%
 $211
Includes Typical Broker Commissions trade costs of $0.94
5/8/25 11:30 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 4 20257.69 5/8 20:29 20187.38 0.76%
Trade id #151663076
Max drawdown($464)
Time5/8/25 12:16
Quant open2
Worst price20325.80
Drawdown as % of equity-0.76%
 $559
Includes Typical Broker Commissions trade costs of $3.76
5/8/25 6:33 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 1 20235.00 5/8 8:38 20162.75 0.07%
Trade id #151657302
Max drawdown($45)
Time5/8/25 6:55
Quant open1
Worst price20257.50
Drawdown as % of equity-0.07%
 $144
Includes Typical Broker Commissions trade costs of $0.94
5/5/25 23:24 @MNQM5 MICRO E-MINI NASDAQ 100 LONG 3 19892.00 5/7 21:08 19988.58 1.38%
Trade id #151628335
Max drawdown($854)
Time5/7/25 14:16
Quant open2
Worst price19678.50
Drawdown as % of equity-1.38%
 $577
Includes Typical Broker Commissions trade costs of $2.82
5/5/25 11:13 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 1 20087.00 5/5 16:20 20028.00 0.34%
Trade id #151622668
Max drawdown($208)
Time5/5/25 14:44
Quant open1
Worst price20191.20
Drawdown as % of equity-0.34%
 $117
Includes Typical Broker Commissions trade costs of $0.94
5/2/25 15:48 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 3 20166.50 5/4 21:41 20045.00 0.57%
Trade id #151607926
Max drawdown($351)
Time5/2/25 16:08
Quant open3
Worst price20225.00
Drawdown as % of equity-0.57%
 $726
Includes Typical Broker Commissions trade costs of $2.82
4/30/25 18:00 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 7 20062.39 5/2 15:47 20073.79 2.58%
Trade id #151582536
Max drawdown($1,580)
Time5/2/25 14:46
Quant open4
Worst price20260.00
Drawdown as % of equity-2.58%
 ($167)
Includes Typical Broker Commissions trade costs of $6.58
5/2/25 8:30 QMCLN5 MICRO CRUDE OIL LONG 1 58.15 5/2 9:06 58.72 n/a $56
Includes Typical Broker Commissions trade costs of $1.50
4/30/25 18:07 QMCLN5 MICRO CRUDE OIL LONG 2 56.98 5/1 9:41 57.27 0.32%
Trade id #151582548
Max drawdown($194)
Time5/1/25 6:21
Quant open1
Worst price55.87
Drawdown as % of equity-0.32%
 $54
Includes Typical Broker Commissions trade costs of $3.00
4/30/25 9:29 @MNQM5 MICRO E-MINI NASDAQ 100 LONG 1 19306.50 4/30 11:00 19373.75 0.67%
Trade id #151571451
Max drawdown($408)
Time4/30/25 10:00
Quant open1
Worst price19102.20
Drawdown as % of equity-0.67%
 $134
Includes Typical Broker Commissions trade costs of $0.94
4/24/25 10:47 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 11 19443.98 4/30 8:22 19429.30 3.48%
Trade id #151515007
Max drawdown($2,124)
Time4/25/25 0:00
Quant open3
Worst price19590.00
Drawdown as % of equity-3.48%
 $313
Includes Typical Broker Commissions trade costs of $10.34
4/24/25 6:00 @MNQM5 MICRO E-MINI NASDAQ 100 LONG 1 18699.75 4/24 6:43 18760.00 0.02%
Trade id #151510194
Max drawdown($12)
Time4/24/25 6:04
Quant open1
Worst price18693.80
Drawdown as % of equity-0.02%
 $120
Includes Typical Broker Commissions trade costs of $0.94
4/23/25 21:03 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 1 18826.00 4/23 22:55 18748.00 0.06%
Trade id #151506470
Max drawdown($34)
Time4/23/25 21:09
Quant open1
Worst price18843.00
Drawdown as % of equity-0.06%
 $155
Includes Typical Broker Commissions trade costs of $0.94
4/23/25 7:50 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 2 18982.62 4/23 11:32 18930.62 1.03%
Trade id #151496543
Max drawdown($631)
Time4/23/25 10:47
Quant open2
Worst price19140.50
Drawdown as % of equity-1.03%
 $206
Includes Typical Broker Commissions trade costs of $1.88
4/22/25 6:54 QMCLM5 MICRO CRUDE OIL SHORT 2 63.33 4/23 10:11 62.63 0.5%
Trade id #151480141
Max drawdown($307)
Time4/23/25 4:37
Quant open2
Worst price64.87
Drawdown as % of equity-0.50%
 $138
Includes Typical Broker Commissions trade costs of $3.00
4/16/25 9:32 @MNQM5 MICRO E-MINI NASDAQ 100 LONG 5 18292.65 4/22 9:45 18289.20 3.15%
Trade id #151424914
Max drawdown($1,931)
Time4/22/25 0:56
Quant open3
Worst price17970.80
Drawdown as % of equity-3.15%
 ($40)
Includes Typical Broker Commissions trade costs of $4.70
4/17/25 13:11 QMCLM5 MICRO CRUDE OIL SHORT 2 63.88 4/20 21:06 62.81 0.06%
Trade id #151444540
Max drawdown($35)
Time4/17/25 14:28
Quant open2
Worst price64.06
Drawdown as % of equity-0.06%
 $212
Includes Typical Broker Commissions trade costs of $3.00
4/16/25 4:28 @CZ5 CORN LONG 1 462 3/4 4/16 10:07 469 n/a $305
Includes Typical Broker Commissions trade costs of $8.00

Successivo

Statistics

  • Strategy began
    7/3/2024
  • Suggested Minimum Cap
    $70,000
  • Strategy Age (days)
    349.4
  • Age
    12 months ago
  • What it trades
    Futures
  • # Trades
    223
  • # Profitable
    190
  • % Profitable
    85.20%
  • Avg trade duration
    4.3 days
  • Max peak-to-valley drawdown
    38.55%
  • drawdown period
    Aug 07, 2024 - Aug 20, 2024
  • Cumul. Return
    170.1%
  • Avg win
    $343.52
  • Avg loss
    $455.33
  • Model Account Values (Raw)
  • Cash
    $71,660
  • Margin Used
    $3,199
  • Buying Power
    $63,417
  • Ratios
  • W:L ratio
    4.41:1
  • Sharpe Ratio
    1.54
  • Sortino Ratio
    2.84
  • Calmar Ratio
    5.982
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    162.07%
  • Correlation to SP500
    -0.23410
  • Return Percent SP500 (cumu) during strategy life
    8.41%
  • Return Statistics
  • Ann Return (w trading costs)
    179.7%
  • Slump
  • Current Slump as Pcnt Equity
    0.20%
  • Instruments
  • Percent Trades Futures
    0.95%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • 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)
    1.701%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.05%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    195.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    67.00%
  • Chance of 20% account loss
    48.50%
  • Chance of 30% account loss
    23.50%
  • Chance of 40% account loss
    13.00%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    5.00%
  • Popularity
  • Popularity (Today)
    967
  • Popularity (Last 6 weeks)
    985
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    931
  • Popularity (7 days, Percentile 1000 scale)
    915
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $607
  • Avg Win
    $344
  • Sum Trade PL (losers)
    $20,021.000
  • Age
  • Num Months filled monthly returns table
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $65,268.000
  • # Winners
    190
  • Num Months Winners
    11
  • Dividends
  • Dividends Received in Model Acct
    461
  • AUM
  • AUM (AutoTrader live capital)
    584739
  • Win / Loss
  • # Losers
    33
  • % Winners
    85.2%
  • Frequency
  • Avg Position Time (mins)
    6177.78
  • Avg Position Time (hrs)
    102.96
  • Avg Trade Length
    4.3 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    5.14
  • Daily leverage (max)
    20.02
  • Regression
  • Alpha
    0.38
  • Beta
    -0.82
  • Treynor Index
    -0.44
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.01
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.05
  • Avg(MAE) / Avg(PL) - All trades
    3.857
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.893
  • Avg(MAE) / Avg(PL) - Losing trades
    -3.974
  • Hold-and-Hope Ratio
    0.236
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.31955
  • SD
    0.54695
  • Sharpe ratio (Glass type estimate)
    2.41256
  • Sharpe ratio (Hedges UMVUE)
    2.22618
  • df
    10.00000
  • t
    2.30985
  • p
    0.02176
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06784
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.66313
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.04155
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.49390
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.05659
  • Upside Potential Ratio
    10.63870
  • Upside part of mean
    1.55007
  • Downside part of mean
    -0.23052
  • Upside SD
    0.62915
  • Downside SD
    0.14570
  • N nonnegative terms
    8.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.08663
  • Mean of criterion
    1.31955
  • SD of predictor
    0.23998
  • SD of criterion
    0.54695
  • Covariance
    0.02503
  • r
    0.19068
  • b (slope, estimate of beta)
    0.43458
  • a (intercept, estimate of alpha)
    1.28191
  • Mean Square Error
    0.32031
  • DF error
    9.00000
  • t(b)
    0.58273
  • p(b)
    0.28719
  • t(a)
    2.15575
  • p(a)
    0.02974
  • Lowerbound of 95% confidence interval for beta
    -1.25247
  • Upperbound of 95% confidence interval for beta
    2.12163
  • Lowerbound of 95% confidence interval for alpha
    -0.06328
  • Upperbound of 95% confidence interval for alpha
    2.62709
  • Treynor index (mean / b)
    3.03639
  • Jensen alpha (a)
    1.28191
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.13965
  • SD
    0.49073
  • Sharpe ratio (Glass type estimate)
    2.32235
  • Sharpe ratio (Hedges UMVUE)
    2.14294
  • df
    10.00000
  • t
    2.22348
  • p
    0.02520
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00383
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.55658
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10933
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.39521
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.39782
  • Upside Potential Ratio
    8.96481
  • Upside part of mean
    1.38105
  • Downside part of mean
    -0.24140
  • Upside SD
    0.55084
  • Downside SD
    0.15405
  • N nonnegative terms
    8.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.05976
  • Mean of criterion
    1.13965
  • SD of predictor
    0.24249
  • SD of criterion
    0.49073
  • Covariance
    0.02445
  • r
    0.20550
  • b (slope, estimate of beta)
    0.41587
  • a (intercept, estimate of alpha)
    1.11480
  • Mean Square Error
    0.25627
  • DF error
    9.00000
  • t(b)
    0.62993
  • p(b)
    0.27220
  • t(a)
    2.10253
  • p(a)
    0.03243
  • Lowerbound of 95% confidence interval for beta
    -1.07756
  • Upperbound of 95% confidence interval for beta
    1.90930
  • Lowerbound of 95% confidence interval for alpha
    -0.08464
  • Upperbound of 95% confidence interval for alpha
    2.31423
  • Treynor index (mean / b)
    2.74040
  • Jensen alpha (a)
    1.11480
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12894
  • Expected Shortfall on VaR
    0.17789
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02860
  • Expected Shortfall on VaR
    0.06447
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.87680
  • Quartile 1
    0.99610
  • Median
    1.06951
  • Quartile 3
    1.22804
  • Maximum
    1.38898
  • Mean of quarter 1
    0.93189
  • Mean of quarter 2
    1.05416
  • Mean of quarter 3
    1.17610
  • Mean of quarter 4
    1.30828
  • Inter Quartile Range
    0.23194
  • 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)
    0.30073
  • VaR(95%) (moments method)
    0.07722
  • Expected Shortfall (moments method)
    0.13081
  • Extreme Value Index (regression method)
    2.52836
  • VaR(95%) (regression method)
    0.14916
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.03713
  • Quartile 1
    0.04056
  • Median
    0.04400
  • Quartile 3
    0.08360
  • Maximum
    0.12320
  • Mean of quarter 1
    0.03713
  • Mean of quarter 2
    0.04400
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.12320
  • Inter Quartile Range
    0.04303
  • 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)
    2.09033
  • Compounded annual return (geometric extrapolation)
    2.21413
  • Calmar ratio (compounded annual return / max draw down)
    17.97220
  • Compounded annual return / average of 25% largest draw downs
    17.97220
  • Compounded annual return / Expected Shortfall lognormal
    12.44630
  • 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
    1.35072
  • SD
    0.69642
  • Sharpe ratio (Glass type estimate)
    1.93952
  • Sharpe ratio (Hedges UMVUE)
    1.93360
  • df
    246.00000
  • t
    1.88318
  • p
    0.03043
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.08827
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.96345
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.09222
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.95942
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.61837
  • Upside Potential Ratio
    10.90890
  • Upside part of mean
    4.07223
  • Downside part of mean
    -2.72151
  • Upside SD
    0.59216
  • Downside SD
    0.37329
  • N nonnegative terms
    137.00000
  • N negative terms
    110.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    247.00000
  • Mean of predictor
    0.07468
  • Mean of criterion
    1.35072
  • SD of predictor
    0.20331
  • SD of criterion
    0.69642
  • Covariance
    -0.03426
  • r
    -0.24195
  • b (slope, estimate of beta)
    -0.82877
  • a (intercept, estimate of alpha)
    1.41300
  • Mean Square Error
    0.45847
  • DF error
    245.00000
  • t(b)
    -3.90315
  • p(b)
    0.99994
  • t(a)
    2.02512
  • p(a)
    0.02197
  • Lowerbound of 95% confidence interval for beta
    -1.24700
  • Upperbound of 95% confidence interval for beta
    -0.41054
  • Lowerbound of 95% confidence interval for alpha
    0.03866
  • Upperbound of 95% confidence interval for alpha
    2.78656
  • Treynor index (mean / b)
    -1.62979
  • Jensen alpha (a)
    1.41261
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.11749
  • SD
    0.67285
  • Sharpe ratio (Glass type estimate)
    1.66084
  • Sharpe ratio (Hedges UMVUE)
    1.65577
  • df
    246.00000
  • t
    1.61260
  • p
    0.05406
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.36476
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.68310
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36812
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.67966
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.88539
  • Upside Potential Ratio
    10.10050
  • Upside part of mean
    3.91188
  • Downside part of mean
    -2.79439
  • Upside SD
    0.55287
  • Downside SD
    0.38729
  • N nonnegative terms
    137.00000
  • N negative terms
    110.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    247.00000
  • Mean of predictor
    0.05421
  • Mean of criterion
    1.11749
  • SD of predictor
    0.20236
  • SD of criterion
    0.67285
  • Covariance
    -0.03243
  • r
    -0.23819
  • b (slope, estimate of beta)
    -0.79200
  • a (intercept, estimate of alpha)
    1.16043
  • Mean Square Error
    0.42878
  • DF error
    245.00000
  • t(b)
    -3.83879
  • p(b)
    0.99992
  • t(a)
    1.72044
  • p(a)
    0.04331
  • Lowerbound of 95% confidence interval for beta
    -1.19837
  • Upperbound of 95% confidence interval for beta
    -0.38562
  • Lowerbound of 95% confidence interval for alpha
    -0.16812
  • Upperbound of 95% confidence interval for alpha
    2.48899
  • Treynor index (mean / b)
    -1.41098
  • Jensen alpha (a)
    1.16043
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06210
  • Expected Shortfall on VaR
    0.07814
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02202
  • Expected Shortfall on VaR
    0.04549
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    247.00000
  • Minimum
    0.88549
  • Quartile 1
    0.98775
  • Median
    1.00345
  • Quartile 3
    1.01855
  • Maximum
    1.21296
  • Mean of quarter 1
    0.96237
  • Mean of quarter 2
    0.99677
  • Mean of quarter 3
    1.00992
  • Mean of quarter 4
    1.05206
  • Inter Quartile Range
    0.03080
  • Number outliers low
    13.00000
  • Percentage of outliers low
    0.05263
  • Mean of outliers low
    0.91933
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.04858
  • Mean of outliers high
    1.14180
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38446
  • VaR(95%) (moments method)
    0.03740
  • Expected Shortfall (moments method)
    0.07136
  • Extreme Value Index (regression method)
    0.10364
  • VaR(95%) (regression method)
    0.03589
  • Expected Shortfall (regression method)
    0.05354
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    32.00000
  • Minimum
    0.00010
  • Quartile 1
    0.00459
  • Median
    0.02665
  • Quartile 3
    0.07286
  • Maximum
    0.35838
  • Mean of quarter 1
    0.00204
  • Mean of quarter 2
    0.01506
  • Mean of quarter 3
    0.04923
  • Mean of quarter 4
    0.18601
  • Inter Quartile Range
    0.06827
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.12500
  • Mean of outliers high
    0.26819
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.31309
  • VaR(95%) (moments method)
    0.17685
  • Expected Shortfall (moments method)
    0.21863
  • Extreme Value Index (regression method)
    0.09987
  • VaR(95%) (regression method)
    0.18545
  • Expected Shortfall (regression method)
    0.27028
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.06223
  • Compounded annual return (geometric extrapolation)
    2.14370
  • Calmar ratio (compounded annual return / max draw down)
    5.98164
  • Compounded annual return / average of 25% largest draw downs
    11.52450
  • Compounded annual return / Expected Shortfall lognormal
    27.43450
  • 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
    1.42749
  • SD
    0.65467
  • Sharpe ratio (Glass type estimate)
    2.18046
  • Sharpe ratio (Hedges UMVUE)
    2.16785
  • df
    130.00000
  • t
    1.54182
  • p
    0.43300
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.60811
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.96079
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.61645
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.95216
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.33781
  • Upside Potential Ratio
    11.32470
  • Upside part of mean
    3.72672
  • Downside part of mean
    -2.29923
  • Upside SD
    0.56992
  • Downside SD
    0.32908
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.02096
  • Mean of criterion
    1.42749
  • SD of predictor
    0.24590
  • SD of criterion
    0.65467
  • Covariance
    -0.02926
  • r
    -0.18174
  • b (slope, estimate of beta)
    -0.48385
  • a (intercept, estimate of alpha)
    1.41735
  • Mean Square Error
    0.41765
  • DF error
    129.00000
  • t(b)
    -2.09910
  • p(b)
    0.61506
  • t(a)
    1.55077
  • p(a)
    0.41414
  • Lowerbound of 95% confidence interval for beta
    -0.93991
  • Upperbound of 95% confidence interval for beta
    -0.02779
  • Lowerbound of 95% confidence interval for alpha
    -0.39095
  • Upperbound of 95% confidence interval for alpha
    3.22565
  • Treynor index (mean / b)
    -2.95027
  • Jensen alpha (a)
    1.41735
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.22328
  • SD
    0.62795
  • Sharpe ratio (Glass type estimate)
    1.94805
  • Sharpe ratio (Hedges UMVUE)
    1.93679
  • df
    130.00000
  • t
    1.37748
  • p
    0.44003
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83749
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.72632
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84500
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.71858
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.58860
  • Upside Potential Ratio
    10.49940
  • Upside part of mean
    3.57901
  • Downside part of mean
    -2.35573
  • Upside SD
    0.52993
  • Downside SD
    0.34088
  • N nonnegative terms
    74.00000
  • N negative terms
    57.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05069
  • Mean of criterion
    1.22328
  • SD of predictor
    0.24427
  • SD of criterion
    0.62795
  • Covariance
    -0.02681
  • r
    -0.17478
  • b (slope, estimate of beta)
    -0.44931
  • a (intercept, estimate of alpha)
    1.20050
  • Mean Square Error
    0.38524
  • DF error
    129.00000
  • t(b)
    -2.01614
  • p(b)
    0.61070
  • t(a)
    1.36756
  • p(a)
    0.42408
  • VAR (95 Confidence Intrvl)
    0.06200
  • Lowerbound of 95% confidence interval for beta
    -0.89024
  • Upperbound of 95% confidence interval for beta
    -0.00838
  • Lowerbound of 95% confidence interval for alpha
    -0.53633
  • Upperbound of 95% confidence interval for alpha
    2.93733
  • Treynor index (mean / b)
    -2.72256
  • Jensen alpha (a)
    1.20050
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05743
  • Expected Shortfall on VaR
    0.07249
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01822
  • Expected Shortfall on VaR
    0.03843
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89873
  • Quartile 1
    0.98957
  • Median
    1.00465
  • Quartile 3
    1.01613
  • Maximum
    1.21296
  • Mean of quarter 1
    0.96786
  • Mean of quarter 2
    0.99813
  • Mean of quarter 3
    1.00856
  • Mean of quarter 4
    1.04776
  • Inter Quartile Range
    0.02656
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.92190
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.13851
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40830
  • VaR(95%) (moments method)
    0.03239
  • Expected Shortfall (moments method)
    0.06345
  • Extreme Value Index (regression method)
    0.47174
  • VaR(95%) (regression method)
    0.02946
  • Expected Shortfall (regression method)
    0.06056
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00025
  • Quartile 1
    0.00580
  • Median
    0.02527
  • Quartile 3
    0.06486
  • Maximum
    0.23636
  • Mean of quarter 1
    0.00175
  • Mean of quarter 2
    0.01853
  • Mean of quarter 3
    0.04327
  • Mean of quarter 4
    0.13051
  • Inter Quartile Range
    0.05906
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.05263
  • Mean of outliers high
    0.23636
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00869
  • VaR(95%) (moments method)
    0.13654
  • Expected Shortfall (moments method)
    0.18176
  • Extreme Value Index (regression method)
    1.17703
  • VaR(95%) (regression method)
    0.12818
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -356873000
  • Max Equity Drawdown (num days)
    13
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.73870
  • Compounded annual return (geometric extrapolation)
    2.49447
  • Calmar ratio (compounded annual return / max draw down)
    10.55390
  • Compounded annual return / average of 25% largest draw downs
    19.11330
  • Compounded annual return / Expected Shortfall lognormal
    34.41190

Strategy Description

Sometimes the strategy builds a longer term position by adding contracts as the market moves against a position, up to a max number of contracts for the position. Most of the time these trade postions within the POSITION BUILD are traded in out of of position. This may give the appearance to some as the Martingale strategy as C2 posts the final outcome of all contracts traded in the same contract month as a single position. TechSignal is is not Martingale. We will trade in and out of longer term positions in the same contract month. Example: Say we are short 4 micro contracts of the NQ. We trade out of only 2 of them at a profit. The next day the market goes up and we re-short those 2 NQ contracts....now again short 4 contracts. Contracts within the long term position get traded multiple times with some of the original contracts left on before they are all closed out. We have a limit to how many contracts can be held in a long term position. Once that maximum contract position size is reached then a stop loss is implemented for all contracts. So TechSignal longer term trades are not Martingale, as Martingale does not use stops or trade in and out of positions. This is how our unique proprietary system trades longer term positons.
Trade this strategy at Interactive Brokers

Summary Statistics


Strategy began
2024-07-03
Suggested Minimum Capital
$70,000
Rank at C2 %
Top 6.9%
Rank # 
#156
# Trades
223
# Profitable
190
% Profitable
85.2%
Net Dividends
$461
Correlation S&P500
-0.234
Sharpe Ratio
1.54
Sortino Ratio
2.84
Beta
-0.82
Alpha
0.38
Leverage
5.14 Average
20.02 Maximum

Sommario
Leva finanziaria più alta = maggiore rischio.

Ulteriori informazioni sulla leva finanziaria

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

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

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

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

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

Latest Activity

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Trade journal

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Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.



Riguardo ai risultati che vedi su questo sito web

I risultati passati non sono necessariamente indicativi dei risultati futuri.

Questi risultati si basano su performance simulate o ipotetiche che presentano alcune limitazioni intrinseche. A differenza dei risultati mostrati in un registro delle prestazioni effettive, questi risultati non rappresentano trading effettivo. Inoltre, poiché queste operazioni non sono state effettivamente eseguite, questi risultati potrebbero aver sotto o sovrastimato l'impatto, se presente, di alcuni fattori di mercato, come la mancanza di liquidità. I programmi di trading simulati o ipotetici in generale sono soggetti anche al fatto che sono progettati con il beneficio del senno di poi. Non viene fatta alcuna rappresentazione che qualsiasi conto raggiungerà o sarà probabile ottenere profitti o perdite simili a quelli mostrati.

Inoltre, il trading ipotetico non comporta rischio finanziario e nessun record di trading ipotetico può tener conto completamente dell'impatto del rischio finanziario nel trading effettivo. Ad esempio, la capacità di sopportare perdite o di attenersi a un particolare programma di trading nonostante le perdite commerciali sono punti materiali che possono influire negativamente sui risultati del trading effettivo. Ci sono numerosi altri fattori legati ai mercati in generale o all'attuazione di qualsiasi specifico programma di trading, che non possono essere pienamente contabilizzati nella preparazione dei risultati delle prestazioni ipotetiche e tutti i quali possono influire negativamente sui risultati del trading effettivo.

Ipotesi e metodi materiali utilizzati nel calcolo dei risultati

Le seguenti sono ipotesi materiali utilizzate nel calcolo di eventuali risultati mensili ipotetici che appaiono sul nostro sito web.

  • I profitti vengono reinvestiti. Presumiamo che i profitti (quando ci sono) vengano reinvestiti nella strategia di trading.
  • Dimensione dell'investimento iniziale. Per qualsiasi strategia di trading sul nostro sito, i risultati ipotetici si basano sull'ipotesi che tu abbia investito l'importo iniziale mostrato sul grafico delle prestazioni della strategia. In alcuni casi, gli importi nominali in dollari sul grafico del patrimonio sono stati ridimensionati verso il basso per rendere le dimensioni di trading attuali più gestibili. In questi casi, potrebbe non essere stato possibile scambiare la strategia storicamente ai livelli di patrimonio mostrati sul grafico e un capitale minimo più elevato era richiesto in passato.
  • Tutte le spese sono incluse. Nel calcolo dei rendimenti cumulativi, cerchiamo di stimare e includere tutte le spese che un tipico trader sostiene quando fa AutoTrading utilizzando la tecnologia AutoTrade. Ciò include il costo dell'abbonamento alla strategia, più eventuali commissioni per operazione di AutoTrade, più le commissioni di intermediazione stimate, se presenti.
  • Metodo di calcolo del "Max Drawdown". Calcoliamo la statistica Max Drawdown come segue. Il nostro software informatico esamina il grafico del patrimonio del sistema in questione e trova la percentuale più grande in cui il grafico del patrimonio diminuisce mai da un "picco" locale a un punto successivo nel tempo (quindi questo è formalmente chiamato "Massimo calo dal picco alla valle"). Sebbene queste informazioni siano utili nella valutazione dei sistemi di trading, dovresti tenere presente che le prestazioni passate non garantiscono risultati futuri. Pertanto, i cali futuri potrebbero essere maggiori rispetto ai massimi cali storici che vedi qui.

Il trading è rischioso

C'è un rischio sostanziale di perdita nel trading di futures e forex. Il trading online di azioni e opzioni è estremamente rischioso. Presumi che perderai denaro. Non fare trading con denaro che non puoi permetterti di perdere.

Va bene, capito.

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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.