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

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


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ABC Index
(149399195)

Creato da: Allen_2024 Allen_2024
Started: 09/2024
Futures
Last trade: Today
Trading style: Futures Trend-following

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 $160.00 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
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.

197.3%
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.

(23.3%)
Max Drawdown
503
Num Trades
57.9%
Win Trades
1.6 : 1
Profit Factor
90.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024                                                        +37.0%+45.3%+4.3%+0.8%+109.6%
2025+7.1%+3.7%+9.8%+27.3%(14%)+6.3%                                    +41.9%


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 916 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
6/17/25 13:25 @MNQU5 MICRO E-MINI NASDAQ 100 SHORT 20 21998.50 6/17 14:34 21953.00 0.66%
Trade id #152078543
Max drawdown($443)
Time6/17/25 13:38
Quant open10
Worst price22049.50
Drawdown as % of equity-0.66%
 $1,801
Includes Typical Broker Commissions trade costs of $18.80
6/17/25 11:13 @MNQM5 MICRO E-MINI NASDAQ 100 LONG 10 21899.24 6/17 11:29 21864.05 1.16%
Trade id #152076812
Max drawdown($784)
Time6/17/25 11:29
Quant open10
Worst price21860.00
Drawdown as % of equity-1.16%
 ($713)
Includes Typical Broker Commissions trade costs of $9.40
6/17/25 11:13 @MNQU5 MICRO E-MINI NASDAQ 100 LONG 10 22125.06 6/17 11:29 22090.86 1.18%
Trade id #152076807
Max drawdown($801)
Time6/17/25 11:29
Quant open10
Worst price22085.00
Drawdown as % of equity-1.18%
 ($693)
Includes Typical Broker Commissions trade costs of $9.40
6/17/25 10:37 @MNQU5 MICRO E-MINI NASDAQ 100 SHORT 10 22084.15 6/17 11:07 22109.01 0.81%
Trade id #152076412
Max drawdown($557)
Time6/17/25 11:07
Quant open10
Worst price22112.00
Drawdown as % of equity-0.81%
 ($506)
Includes Typical Broker Commissions trade costs of $9.40
6/17/25 10:38 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 10 21867.14 6/17 11:07 21883.03 0.55%
Trade id #152076430
Max drawdown($377)
Time6/17/25 11:07
Quant open10
Worst price21886.00
Drawdown as % of equity-0.55%
 ($327)
Includes Typical Broker Commissions trade costs of $9.40
6/17/25 10:11 @MNQU5 MICRO E-MINI NASDAQ 100 LONG 10 22112.94 6/17 10:37 22081.59 1%
Trade id #152076095
Max drawdown($703)
Time6/17/25 10:37
Quant open10
Worst price22077.80
Drawdown as % of equity-1.00%
 ($636)
Includes Typical Broker Commissions trade costs of $9.40
6/17/25 10:09 @MNQM5 MICRO E-MINI NASDAQ 100 LONG 10 21882.35 6/17 10:37 21859.24 0.85%
Trade id #152076066
Max drawdown($601)
Time6/17/25 10:37
Quant open10
Worst price21852.20
Drawdown as % of equity-0.85%
 ($471)
Includes Typical Broker Commissions trade costs of $9.40
6/17/25 9:37 @MNQU5 MICRO E-MINI NASDAQ 100 SHORT 10 22083.65 6/17 10:09 22107.11 0.67%
Trade id #152075585
Max drawdown($472)
Time6/17/25 10:09
Quant open10
Worst price22107.20
Drawdown as % of equity-0.67%
 ($478)
Includes Typical Broker Commissions trade costs of $9.40
6/17/25 9:06 @MNQU5 MICRO E-MINI NASDAQ 100 SHORT 10 22045.58 6/17 9:24 22055.17 0.47%
Trade id #152075047
Max drawdown($333)
Time6/17/25 9:21
Quant open10
Worst price22062.20
Drawdown as % of equity-0.47%
 ($201)
Includes Typical Broker Commissions trade costs of $9.40
6/16/25 18:38 @MNQU5 MICRO E-MINI NASDAQ 100 SHORT 10 22114.56 6/16 19:27 22093.09 0.08%
Trade id #152070773
Max drawdown($58)
Time6/16/25 19:16
Quant open10
Worst price22117.50
Drawdown as % of equity-0.08%
 $420
Includes Typical Broker Commissions trade costs of $9.40
6/16/25 15:23 @MNQU5 MICRO E-MINI NASDAQ 100 LONG 10 22176.86 6/16 15:57 22150.87 0.85%
Trade id #152068889
Max drawdown($602)
Time6/16/25 15:54
Quant open10
Worst price22146.80
Drawdown as % of equity-0.85%
 ($529)
Includes Typical Broker Commissions trade costs of $9.40
6/16/25 15:49 @MNQM5 MICRO E-MINI NASDAQ 100 LONG 10 21947.83 6/16 15:57 21925.09 0.76%
Trade id #152069131
Max drawdown($541)
Time6/16/25 15:54
Quant open10
Worst price21920.80
Drawdown as % of equity-0.76%
 ($464)
Includes Typical Broker Commissions trade costs of $9.40
6/16/25 15:11 @MNQU5 MICRO E-MINI NASDAQ 100 SHORT 10 22143.24 6/16 15:21 22175.70 1.06%
Trade id #152068782
Max drawdown($765)
Time6/16/25 15:21
Quant open10
Worst price22181.50
Drawdown as % of equity-1.06%
 ($658)
Includes Typical Broker Commissions trade costs of $9.40
6/16/25 14:47 @MNQU5 MICRO E-MINI NASDAQ 100 SHORT 10 22150.21 6/16 14:57 22174.09 0.7%
Trade id #152068619
Max drawdown($505)
Time6/16/25 14:57
Quant open10
Worst price22175.50
Drawdown as % of equity-0.70%
 ($487)
Includes Typical Broker Commissions trade costs of $9.40
6/16/25 12:26 @MNQU5 MICRO E-MINI NASDAQ 100 SHORT 10 22164.26 6/16 12:42 22158.18 0.32%
Trade id #152067461
Max drawdown($234)
Time6/16/25 12:37
Quant open10
Worst price22176.00
Drawdown as % of equity-0.32%
 $113
Includes Typical Broker Commissions trade costs of $9.40
6/16/25 11:32 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 10 21962.19 6/16 12:18 21965.28 0.51%
Trade id #152066130
Max drawdown($371)
Time6/16/25 11:46
Quant open10
Worst price21980.80
Drawdown as % of equity-0.51%
 ($71)
Includes Typical Broker Commissions trade costs of $9.40
6/16/25 10:17 @MNQM5 MICRO E-MINI NASDAQ 100 LONG 10 21958.39 6/16 10:40 21959.69 0.2%
Trade id #152064961
Max drawdown($147)
Time6/16/25 10:23
Quant open10
Worst price21951.00
Drawdown as % of equity-0.20%
 $17
Includes Typical Broker Commissions trade costs of $9.40
6/16/25 9:56 @MNQM5 MICRO E-MINI NASDAQ 100 LONG 10 21944.83 6/16 10:05 21945.52 0.56%
Trade id #152064489
Max drawdown($411)
Time6/16/25 9:59
Quant open10
Worst price21924.20
Drawdown as % of equity-0.56%
 $5
Includes Typical Broker Commissions trade costs of $9.40
6/16/25 9:47 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 4 21849.41 6/16 9:55 21944.21 0.91%
Trade id #152064259
Max drawdown($660)
Time6/16/25 9:55
Quant open4
Worst price21932.00
Drawdown as % of equity-0.91%
 ($762)
Includes Typical Broker Commissions trade costs of $3.76
6/16/25 9:32 @MNQM5 MICRO E-MINI NASDAQ 100 LONG 10 21852.42 6/16 9:39 21858.48 0.68%
Trade id #152063750
Max drawdown($498)
Time6/16/25 9:35
Quant open10
Worst price21827.50
Drawdown as % of equity-0.68%
 $112
Includes Typical Broker Commissions trade costs of $9.40
6/16/25 9:31 @MNQU5 MICRO E-MINI NASDAQ 100 LONG 4 22087.10 6/16 9:39 22090.50 0.4%
Trade id #152063721
Max drawdown($292)
Time6/16/25 9:35
Quant open4
Worst price22050.50
Drawdown as % of equity-0.40%
 $23
Includes Typical Broker Commissions trade costs of $3.76
6/16/25 9:19 @MNQU5 MICRO E-MINI NASDAQ 100 SHORT 4 22032.01 6/16 9:31 22074.90 0.54%
Trade id #152063229
Max drawdown($393)
Time6/16/25 9:31
Quant open4
Worst price22081.20
Drawdown as % of equity-0.54%
 ($347)
Includes Typical Broker Commissions trade costs of $3.76
6/13/25 9:49 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 10 21740.41 6/13 10:14 21702.11 0.29%
Trade id #152048151
Max drawdown($209)
Time6/13/25 10:00
Quant open4
Worst price21780.80
Drawdown as % of equity-0.29%
 $757
Includes Typical Broker Commissions trade costs of $9.40
6/13/25 8:52 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 4 21650.29 6/13 9:01 21648.82 0.15%
Trade id #152046580
Max drawdown($107)
Time6/13/25 8:58
Quant open4
Worst price21663.80
Drawdown as % of equity-0.15%
 $8
Includes Typical Broker Commissions trade costs of $3.76
6/12/25 11:20 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 4 21927.48 6/12 11:23 21906.78 n/a $162
Includes Typical Broker Commissions trade costs of $3.76
6/12/25 10:11 @MNQM5 MICRO E-MINI NASDAQ 100 LONG 4 21894.33 6/12 10:20 21915.83 n/a $168
Includes Typical Broker Commissions trade costs of $3.76
6/12/25 9:39 @MNQM5 MICRO E-MINI NASDAQ 100 LONG 10 21869.57 6/12 9:49 21881.42 0.16%
Trade id #152003133
Max drawdown($116)
Time6/12/25 9:45
Quant open10
Worst price21863.80
Drawdown as % of equity-0.16%
 $228
Includes Typical Broker Commissions trade costs of $9.40
6/12/25 3:39 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 6 21820.43 6/12 3:46 21794.80 n/a $302
Includes Typical Broker Commissions trade costs of $5.64
6/11/25 9:40 @MNQM5 MICRO E-MINI NASDAQ 100 LONG 4 21979.80 6/11 9:54 21996.44 0.72%
Trade id #151990730
Max drawdown($518)
Time6/11/25 9:47
Quant open4
Worst price21915.00
Drawdown as % of equity-0.72%
 $129
Includes Typical Broker Commissions trade costs of $3.76
6/11/25 9:31 @MNQM5 MICRO E-MINI NASDAQ 100 SHORT 4 21992.30 6/11 9:32 21971.98 n/a $159
Includes Typical Broker Commissions trade costs of $3.76

Successivo

Statistics

  • Strategy began
    9/16/2024
  • Suggested Minimum Cap
    $70,000
  • Strategy Age (days)
    274.59
  • Age
    9 months ago
  • What it trades
    Futures
  • # Trades
    503
  • # Profitable
    291
  • % Profitable
    57.90%
  • Avg trade duration
    48.4 minutes
  • Max peak-to-valley drawdown
    23.29%
  • drawdown period
    May 22, 2025 - June 02, 2025
  • Cumul. Return
    197.3%
  • Avg win
    $479.55
  • Avg loss
    $420.82
  • Model Account Values (Raw)
  • Cash
    $73,491
  • Margin Used
    $18,822
  • Buying Power
    $54,614
  • Ratios
  • W:L ratio
    1.56:1
  • Sharpe Ratio
    3.5
  • Sortino Ratio
    7.55
  • Calmar Ratio
    23.701
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    191.08%
  • Correlation to SP500
    0.23060
  • Return Percent SP500 (cumu) during strategy life
    6.56%
  • Return Statistics
  • Ann Return (w trading costs)
    318.8%
  • Slump
  • Current Slump as Pcnt Equity
    17.90%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.10%
  • 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)
    1.973%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    362.0%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    6.50%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    99.93%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    994
  • Popularity (Last 6 weeks)
    999
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    931
  • Popularity (7 days, Percentile 1000 scale)
    982
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $421
  • Avg Win
    $480
  • Sum Trade PL (losers)
    $89,288.000
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $139,550.000
  • # Winners
    291
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    355760
  • Win / Loss
  • # Losers
    212
  • % Winners
    57.9%
  • Frequency
  • Avg Position Time (mins)
    48.38
  • Avg Position Time (hrs)
    0.81
  • Avg Trade Length
    0.0 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    6.14
  • Daily leverage (max)
    15.96
  • Regression
  • Alpha
    0.41
  • Beta
    0.41
  • Treynor Index
    1.00
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.23
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    20.199
  • 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
    0.659
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.060
  • Hold-and-Hope Ratio
    0.052
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.21597
  • SD
    1.13092
  • Sharpe ratio (Glass type estimate)
    1.95944
  • Sharpe ratio (Hedges UMVUE)
    1.74038
  • df
    7.00000
  • t
    1.59988
  • p
    0.07683
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.70137
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.50460
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82736
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.30812
  • Statistics related to Sortino ratio
  • Sortino ratio
    33.07390
  • Upside Potential Ratio
    34.29870
  • Upside part of mean
    2.29803
  • Downside part of mean
    -0.08206
  • Upside SD
    1.23444
  • Downside SD
    0.06700
  • N nonnegative terms
    7.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.04538
  • Mean of criterion
    2.21597
  • SD of predictor
    0.12338
  • SD of criterion
    1.13092
  • Covariance
    0.01848
  • r
    0.13243
  • b (slope, estimate of beta)
    1.21392
  • a (intercept, estimate of alpha)
    2.16089
  • Mean Square Error
    1.46597
  • DF error
    6.00000
  • t(b)
    0.32727
  • p(b)
    0.37729
  • t(a)
    1.44792
  • p(a)
    0.09890
  • Lowerbound of 95% confidence interval for beta
    -7.86221
  • Upperbound of 95% confidence interval for beta
    10.29010
  • Lowerbound of 95% confidence interval for alpha
    -1.49095
  • Upperbound of 95% confidence interval for alpha
    5.81273
  • Treynor index (mean / b)
    1.82547
  • Jensen alpha (a)
    2.16089
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.71696
  • SD
    0.79555
  • Sharpe ratio (Glass type estimate)
    2.15821
  • Sharpe ratio (Hedges UMVUE)
    1.91693
  • df
    7.00000
  • t
    1.76217
  • p
    0.06071
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.54761
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.74063
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.68508
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.51894
  • Statistics related to Sortino ratio
  • Sortino ratio
    24.97820
  • Upside Potential Ratio
    26.20290
  • Upside part of mean
    1.80115
  • Downside part of mean
    -0.08419
  • Upside SD
    0.89147
  • Downside SD
    0.06874
  • N nonnegative terms
    7.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.03862
  • Mean of criterion
    1.71696
  • SD of predictor
    0.12243
  • SD of criterion
    0.79555
  • Covariance
    0.00582
  • r
    0.05970
  • b (slope, estimate of beta)
    0.38793
  • a (intercept, estimate of alpha)
    1.70198
  • Mean Square Error
    0.73575
  • DF error
    6.00000
  • t(b)
    0.14650
  • p(b)
    0.44416
  • t(a)
    1.61249
  • p(a)
    0.07899
  • Lowerbound of 95% confidence interval for beta
    -6.09152
  • Upperbound of 95% confidence interval for beta
    6.86737
  • Lowerbound of 95% confidence interval for alpha
    -0.88077
  • Upperbound of 95% confidence interval for alpha
    4.28473
  • Treynor index (mean / b)
    4.42601
  • Jensen alpha (a)
    1.70198
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.20917
  • Expected Shortfall on VaR
    0.27902
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00439
  • Expected Shortfall on VaR
    0.01451
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.94762
  • Quartile 1
    1.03197
  • Median
    1.07835
  • Quartile 3
    1.13988
  • Maximum
    1.95931
  • Mean of quarter 1
    0.98450
  • Mean of quarter 2
    1.05551
  • Mean of quarter 3
    1.08662
  • Mean of quarter 4
    1.62134
  • Inter Quartile Range
    0.10791
  • 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
    0.12500
  • Mean of outliers high
    1.95931
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.05238
  • Quartile 1
    0.05238
  • Median
    0.05238
  • Quartile 3
    0.05238
  • Maximum
    0.05238
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    3.30045
  • Compounded annual return (geometric extrapolation)
    4.72515
  • Calmar ratio (compounded annual return / max draw down)
    90.21320
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    16.93510
  • 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
    1.64456
  • SD
    0.34423
  • Sharpe ratio (Glass type estimate)
    4.77758
  • Sharpe ratio (Hedges UMVUE)
    4.75850
  • df
    188.00000
  • t
    4.05778
  • p
    0.35811
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.41398
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.12906
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.40127
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.11573
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.46500
  • Upside Potential Ratio
    14.27970
  • Upside part of mean
    2.24404
  • Downside part of mean
    -0.59948
  • Upside SD
    0.32170
  • Downside SD
    0.15715
  • N nonnegative terms
    115.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    189.00000
  • Mean of predictor
    0.07647
  • Mean of criterion
    1.64456
  • SD of predictor
    0.20506
  • SD of criterion
    0.34423
  • Covariance
    0.01477
  • r
    0.20928
  • b (slope, estimate of beta)
    0.35131
  • a (intercept, estimate of alpha)
    1.61800
  • Mean Square Error
    0.11391
  • DF error
    187.00000
  • t(b)
    2.92674
  • p(b)
    0.36774
  • t(a)
    4.06993
  • p(a)
    0.32089
  • Lowerbound of 95% confidence interval for beta
    0.11452
  • Upperbound of 95% confidence interval for beta
    0.58811
  • Lowerbound of 95% confidence interval for alpha
    0.83359
  • Upperbound of 95% confidence interval for alpha
    2.40181
  • Treynor index (mean / b)
    4.68121
  • Jensen alpha (a)
    1.61770
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.58224
  • SD
    0.33698
  • Sharpe ratio (Glass type estimate)
    4.69541
  • Sharpe ratio (Hedges UMVUE)
    4.67665
  • df
    188.00000
  • t
    3.98799
  • p
    0.36036
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.33358
  • Upperbound of 95% confidence interval for Sharpe Ratio
    7.04528
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.32110
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.03221
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.75175
  • Upside Potential Ratio
    13.52550
  • Upside part of mean
    2.19453
  • Downside part of mean
    -0.61230
  • Upside SD
    0.31013
  • Downside SD
    0.16225
  • N nonnegative terms
    115.00000
  • N negative terms
    74.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    189.00000
  • Mean of predictor
    0.05557
  • Mean of criterion
    1.58224
  • SD of predictor
    0.20489
  • SD of criterion
    0.33698
  • Covariance
    0.01339
  • r
    0.19400
  • b (slope, estimate of beta)
    0.31906
  • a (intercept, estimate of alpha)
    1.56451
  • Mean Square Error
    0.10986
  • DF error
    187.00000
  • t(b)
    2.70423
  • p(b)
    0.37728
  • t(a)
    4.00839
  • p(a)
    0.32332
  • Lowerbound of 95% confidence interval for beta
    0.08631
  • Upperbound of 95% confidence interval for beta
    0.55181
  • Lowerbound of 95% confidence interval for alpha
    0.79453
  • Upperbound of 95% confidence interval for alpha
    2.33448
  • Treynor index (mean / b)
    4.95912
  • Jensen alpha (a)
    1.56451
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02781
  • Expected Shortfall on VaR
    0.03620
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00421
  • Expected Shortfall on VaR
    0.01023
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    189.00000
  • Minimum
    0.91018
  • Quartile 1
    1.00000
  • Median
    1.00159
  • Quartile 3
    1.00750
  • Maximum
    1.13189
  • Mean of quarter 1
    0.99115
  • Mean of quarter 2
    1.00038
  • Mean of quarter 3
    1.00425
  • Mean of quarter 4
    1.03007
  • Inter Quartile Range
    0.00750
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.05820
  • Mean of outliers low
    0.96727
  • Number of outliers high
    25.00000
  • Percentage of outliers high
    0.13228
  • Mean of outliers high
    1.04645
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.11208
  • VaR(95%) (moments method)
    0.00489
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.32250
  • VaR(95%) (regression method)
    0.00668
  • Expected Shortfall (regression method)
    0.01613
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00024
  • Quartile 1
    0.00216
  • Median
    0.00445
  • Quartile 3
    0.00837
  • Maximum
    0.16892
  • Mean of quarter 1
    0.00092
  • Mean of quarter 2
    0.00321
  • Mean of quarter 3
    0.00603
  • Mean of quarter 4
    0.05606
  • Inter Quartile Range
    0.00621
  • 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
    0.10526
  • Mean of outliers high
    0.12096
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.99572
  • VaR(95%) (moments method)
    0.05127
  • Expected Shortfall (moments method)
    13.05880
  • Extreme Value Index (regression method)
    1.56613
  • VaR(95%) (regression method)
    0.08895
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.04249
  • Compounded annual return (geometric extrapolation)
    4.00353
  • Calmar ratio (compounded annual return / max draw down)
    23.70100
  • Compounded annual return / average of 25% largest draw downs
    71.41020
  • Compounded annual return / Expected Shortfall lognormal
    110.58900
  • 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
    0.81212
  • SD
    0.29244
  • Sharpe ratio (Glass type estimate)
    2.77705
  • Sharpe ratio (Hedges UMVUE)
    2.76100
  • df
    130.00000
  • t
    1.96367
  • p
    0.41514
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.02034
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.56411
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.03105
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.55305
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.77557
  • Upside Potential Ratio
    8.47996
  • Upside part of mean
    1.44208
  • Downside part of mean
    -0.62996
  • Upside SD
    0.24180
  • Downside SD
    0.17006
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.03112
  • Mean of criterion
    0.81212
  • SD of predictor
    0.23532
  • SD of criterion
    0.29244
  • Covariance
    0.01817
  • r
    0.26396
  • b (slope, estimate of beta)
    0.32802
  • a (intercept, estimate of alpha)
    0.82233
  • Mean Square Error
    0.08018
  • DF error
    129.00000
  • t(b)
    3.10821
  • p(b)
    0.33393
  • t(a)
    2.05345
  • p(a)
    0.38734
  • Lowerbound of 95% confidence interval for beta
    0.11922
  • Upperbound of 95% confidence interval for beta
    0.53683
  • Lowerbound of 95% confidence interval for alpha
    0.03001
  • Upperbound of 95% confidence interval for alpha
    1.61466
  • Treynor index (mean / b)
    2.47581
  • Jensen alpha (a)
    0.82233
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.76930
  • SD
    0.28815
  • Sharpe ratio (Glass type estimate)
    2.66978
  • Sharpe ratio (Hedges UMVUE)
    2.65435
  • df
    130.00000
  • t
    1.88782
  • p
    0.41833
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12594
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.45554
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13617
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.44487
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.36822
  • Upside Potential Ratio
    8.03090
  • Upside part of mean
    1.41434
  • Downside part of mean
    -0.64504
  • Upside SD
    0.23160
  • Downside SD
    0.17611
  • N nonnegative terms
    77.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05856
  • Mean of criterion
    0.76930
  • SD of predictor
    0.23512
  • SD of criterion
    0.28815
  • Covariance
    0.01621
  • r
    0.23921
  • b (slope, estimate of beta)
    0.29316
  • a (intercept, estimate of alpha)
    0.78646
  • Mean Square Error
    0.07889
  • DF error
    129.00000
  • t(b)
    2.79807
  • p(b)
    0.34918
  • t(a)
    1.97975
  • p(a)
    0.39122
  • VAR (95 Confidence Intrvl)
    0.02800
  • Lowerbound of 95% confidence interval for beta
    0.08587
  • Upperbound of 95% confidence interval for beta
    0.50045
  • Lowerbound of 95% confidence interval for alpha
    0.00049
  • Upperbound of 95% confidence interval for alpha
    1.57244
  • Treynor index (mean / b)
    2.62415
  • Jensen alpha (a)
    0.78646
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02600
  • Expected Shortfall on VaR
    0.03320
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00459
  • Expected Shortfall on VaR
    0.01110
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.91018
  • Quartile 1
    1.00000
  • Median
    1.00119
  • Quartile 3
    1.00573
  • Maximum
    1.13189
  • Mean of quarter 1
    0.99062
  • Mean of quarter 2
    1.00028
  • Mean of quarter 3
    1.00322
  • Mean of quarter 4
    1.01870
  • Inter Quartile Range
    0.00573
  • Number outliers low
    9.00000
  • Percentage of outliers low
    0.06870
  • Mean of outliers low
    0.96920
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.08397
  • Mean of outliers high
    1.03821
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.13883
  • VaR(95%) (moments method)
    0.00497
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.58840
  • VaR(95%) (regression method)
    0.00798
  • Expected Shortfall (regression method)
    0.02953
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    11.00000
  • Minimum
    0.00032
  • Quartile 1
    0.00224
  • Median
    0.00315
  • Quartile 3
    0.00671
  • Maximum
    0.16892
  • Mean of quarter 1
    0.00108
  • Mean of quarter 2
    0.00298
  • Mean of quarter 3
    0.00460
  • Mean of quarter 4
    0.06324
  • Inter Quartile Range
    0.00447
  • 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
    0.09091
  • Mean of outliers high
    0.16892
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.36503
  • VaR(95%) (moments method)
    0.05934
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    4.50224
  • VaR(95%) (regression method)
    0.35572
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -365933000
  • Max Equity Drawdown (num days)
    11
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.97948
  • Compounded annual return (geometric extrapolation)
    1.21933
  • Calmar ratio (compounded annual return / max draw down)
    7.21843
  • Compounded annual return / average of 25% largest draw downs
    19.28050
  • Compounded annual return / Expected Shortfall lognormal
    36.72810

Strategy Description

It's long term trend trading MNQ by 20 days MA. It's not 100% but half Auto-trading system, . All trades including stop-loss will not hold losing positions overnight.
It has abandoned the super fast trading style after a 23% drawdown. It will focus on Trend trading now.
June 3, 2025

Summary Statistics


Strategy began
2024-09-16
Suggested Minimum Capital
$70,000
Rank at C2 %
Top 6.9%
Rank # 
#256
# Trades
503
# Profitable
291
% Profitable
57.9%
Correlation S&P500
0.231
Sharpe Ratio
3.50
Sortino Ratio
7.55
Beta
0.41
Alpha
0.41
Leverage
6.14 Average
15.96 Maximum

Sommario
Leva finanziaria più alta = maggiore rischio.

Ulteriori informazioni sulla leva finanziaria

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

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

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

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

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

Latest Activity

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Trade journal

  • 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.