Collective2 Collective2
Featured Strategy Gold and Silver Followed by live capital $653.9 thousand Hypothetical

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


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SMA Trading ES500
(151231384)

Creato da: BruceT BruceT
Started: 03/2025
Futures
Last trade: Today
Trading style: Futures 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 $158.00 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
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.

112.8%
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.

(13.9%)
Max Drawdown
384
Num Trades
49.7%
Win Trades
1.6 : 1
Profit Factor
83.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2025              +8.8%+77.6%+11.5%+6.7%(9.3%)+1.9%                        +112.8%


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 628 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 52 days ago.

Show AutoTrade data Hide AutoTrade data
Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/27/25 15:31 QGCZ5 Gold 100 oz LONG 1 3449.4 8/27 19:50 3450.2 0.17%
Trade id #152726675
Max drawdown($180)
Time8/27/25 15:36
Quant open1
Worst price3447.6
Drawdown as % of equity-0.17%
 $72
Includes Typical Broker Commissions trade costs of $8.00
8/26/25 18:22 @MNQU5 MICRO E-MINI NASDAQ 100 LONG 10 23614.25 8/26 19:51 23614.50 0.09%
Trade id #152719172
Max drawdown($90)
Time8/26/25 19:17
Quant open10
Worst price23609.80
Drawdown as % of equity-0.09%
 ($4)
Includes Typical Broker Commissions trade costs of $9.40
8/26/25 10:11 @MNQU5 MICRO E-MINI NASDAQ 100 LONG 20 23514.70 8/26 16:22 23605.25 1.41%
Trade id #152710383
Max drawdown($1,428)
Time8/26/25 13:54
Quant open20
Worst price23479.00
Drawdown as % of equity-1.41%
 $3,603
Includes Typical Broker Commissions trade costs of $18.80
8/24/25 23:54 @EUU5 EUROFX LONG 4 1.16954 8/26 16:22 1.16530 3.82%
Trade id #152697423
Max drawdown($3,868)
Time8/26/25 3:19
Quant open4
Worst price1.16180
Drawdown as % of equity-3.82%
 ($2,151)
Includes Typical Broker Commissions trade costs of $32.00
8/25/25 20:59 QGCZ5 Gold 100 oz LONG 2 3429.2 8/25 22:18 3425.8 1.27%
Trade id #152706738
Max drawdown($1,300)
Time8/25/25 21:19
Quant open1
Worst price3420.5
Drawdown as % of equity-1.27%
 ($696)
Includes Typical Broker Commissions trade costs of $16.00
8/24/25 22:32 QMGCZ5 E-Micro Gold LONG 6 3408.7 8/25 15:58 3410.3 0.18%
Trade id #152697281
Max drawdown($192)
Time8/25/25 0:00
Quant open6
Worst price3405.5
Drawdown as % of equity-0.18%
 $92
Includes Typical Broker Commissions trade costs of $4.20
7/30/25 4:17 QGCQ5 Gold 100 oz LONG 2 3329.8 7/30 8:52 3313.2 3.09%
Trade id #152462647
Max drawdown($3,300)
Time7/30/25 8:52
Quant open2
Worst price3313.3
Drawdown as % of equity-3.09%
 ($3,336)
Includes Typical Broker Commissions trade costs of $16.00
7/30/25 1:20 @ADU5 AUSTRALIAN DOLLAR LONG 11 0.6515 7/30 4:17 0.6504 1.21%
Trade id #152461973
Max drawdown($1,320)
Time7/30/25 4:15
Quant open11
Worst price0.6503
Drawdown as % of equity-1.21%
 ($1,353)
Includes Typical Broker Commissions trade costs of $88.00
7/29/25 23:21 QGCQ5 Gold 100 oz SHORT 2 3324.0 7/30 1:20 3326.8 1.25%
Trade id #152461611
Max drawdown($1,360)
Time7/30/25 0:00
Quant open2
Worst price3330.8
Drawdown as % of equity-1.25%
 ($576)
Includes Typical Broker Commissions trade costs of $16.00
7/29/25 12:44 @MNQU5 MICRO E-MINI NASDAQ 100 SHORT 12 23478.00 7/29 12:59 23506.75 0.65%
Trade id #152457632
Max drawdown($714)
Time7/29/25 12:59
Quant open12
Worst price23507.80
Drawdown as % of equity-0.65%
 ($701)
Includes Typical Broker Commissions trade costs of $11.28
7/29/25 12:39 QGCQ5 Gold 100 oz LONG 2 3320.9 7/29 12:43 3319.8 0.27%
Trade id #152457582
Max drawdown($300)
Time7/29/25 12:42
Quant open2
Worst price3319.4
Drawdown as % of equity-0.27%
 ($236)
Includes Typical Broker Commissions trade costs of $16.00
7/29/25 11:30 QGCQ5 Gold 100 oz LONG 2 3324.2 7/29 11:48 3318.4 1.1%
Trade id #152456027
Max drawdown($1,220)
Time7/29/25 11:48
Quant open2
Worst price3318.1
Drawdown as % of equity-1.10%
 ($1,176)
Includes Typical Broker Commissions trade costs of $16.00
7/29/25 5:01 QGCQ5 Gold 100 oz SHORT 2 3322.5 7/29 8:58 3322.7 0.77%
Trade id #152452004
Max drawdown($860)
Time7/29/25 5:53
Quant open2
Worst price3326.8
Drawdown as % of equity-0.77%
 ($56)
Includes Typical Broker Commissions trade costs of $16.00
7/28/25 22:36 QGCQ5 Gold 100 oz SHORT 2 3316.5 7/29 1:32 3316.4 0.32%
Trade id #152450370
Max drawdown($360)
Time7/28/25 22:46
Quant open2
Worst price3318.3
Drawdown as % of equity-0.32%
 $4
Includes Typical Broker Commissions trade costs of $16.00
7/28/25 12:08 @MNQU5 MICRO E-MINI NASDAQ 100 LONG 10 23483.75 7/28 12:53 23476.50 0.18%
Trade id #152444038
Max drawdown($205)
Time7/28/25 12:11
Quant open10
Worst price23473.50
Drawdown as % of equity-0.18%
 ($154)
Includes Typical Broker Commissions trade costs of $9.40
7/28/25 10:35 @MNQU5 MICRO E-MINI NASDAQ 100 SHORT 8 23502.75 7/28 11:08 23496.50 0.22%
Trade id #152441623
Max drawdown($252)
Time7/28/25 10:42
Quant open8
Worst price23518.50
Drawdown as % of equity-0.22%
 $92
Includes Typical Broker Commissions trade costs of $7.52
7/28/25 6:18 @EUU5 EUROFX SHORT 8 1.17050 7/28 10:06 1.16755 0.18%
Trade id #152438587
Max drawdown($200)
Time7/28/25 6:43
Quant open8
Worst price1.17070
Drawdown as % of equity-0.18%
 $2,886
Includes Typical Broker Commissions trade costs of $64.00
7/6/25 23:44 @ADU5 AUSTRALIAN DOLLAR LONG 8 0.6525 7/28 6:10 0.6531 4.88%
Trade id #152237289
Max drawdown($5,155)
Time7/17/25 0:00
Quant open8
Worst price0.6461
Drawdown as % of equity-4.88%
 $341
Includes Typical Broker Commissions trade costs of $64.00
7/4/25 11:55 @ADU5 AUSTRALIAN DOLLAR LONG 8 0.6562 7/6 23:44 0.6524 2.8%
Trade id #152230222
Max drawdown($3,080)
Time7/6/25 23:42
Quant open8
Worst price0.6523
Drawdown as % of equity-2.80%
 ($3,064)
Includes Typical Broker Commissions trade costs of $64.00
7/1/25 20:57 @ADU5 AUSTRALIAN DOLLAR LONG 8 0.6589 7/4 10:42 0.6559 2.96%
Trade id #152203521
Max drawdown($3,355)
Time7/3/25 0:00
Quant open8
Worst price0.6547
Drawdown as % of equity-2.96%
 ($2,499)
Includes Typical Broker Commissions trade costs of $64.00
7/1/25 21:02 QGCQ5 Gold 100 oz LONG 1 3352.2 7/2 8:13 3349.3 1.31%
Trade id #152203530
Max drawdown($1,500)
Time7/2/25 3:26
Quant open1
Worst price3337.2
Drawdown as % of equity-1.31%
 ($298)
Includes Typical Broker Commissions trade costs of $8.00
7/1/25 13:45 QGCQ5 Gold 100 oz LONG 1 3350.8 7/1 14:02 3351.1 n/a $22
Includes Typical Broker Commissions trade costs of $8.00
7/1/25 13:40 @MNQU5 MICRO E-MINI NASDAQ 100 LONG 7 22726.39 7/1 13:45 22727.34 0.03%
Trade id #152200424
Max drawdown($36)
Time7/1/25 13:43
Quant open7
Worst price22723.80
Drawdown as % of equity-0.03%
 $6
Includes Typical Broker Commissions trade costs of $6.58
7/1/25 10:17 @ADU5 AUSTRALIAN DOLLAR LONG 7 0.6583 7/1 12:47 0.6576 0.64%
Trade id #152196138
Max drawdown($735)
Time7/1/25 11:16
Quant open7
Worst price0.6573
Drawdown as % of equity-0.64%
 ($511)
Includes Typical Broker Commissions trade costs of $56.00
7/1/25 12:32 @MNQU5 MICRO E-MINI NASDAQ 100 LONG 7 22686.03 7/1 12:45 22707.59 0.02%
Trade id #152199289
Max drawdown($28)
Time7/1/25 12:36
Quant open7
Worst price22684.00
Drawdown as % of equity-0.02%
 $295
Includes Typical Broker Commissions trade costs of $6.58
7/1/25 10:15 @MNQU5 MICRO E-MINI NASDAQ 100 SHORT 7 22832.03 7/1 10:16 22839.71 0.09%
Trade id #152196101
Max drawdown($108)
Time7/1/25 10:16
Quant open7
Worst price22839.70
Drawdown as % of equity-0.09%
 ($115)
Includes Typical Broker Commissions trade costs of $6.58
6/30/25 21:50 @ADU5 AUSTRALIAN DOLLAR LONG 6 0.6573 7/1 9:24 0.6583 0.39%
Trade id #152191052
Max drawdown($450)
Time6/30/25 22:01
Quant open6
Worst price0.6565
Drawdown as % of equity-0.39%
 $612
Includes Typical Broker Commissions trade costs of $48.00
6/30/25 9:02 @ADU5 AUSTRALIAN DOLLAR LONG 7 0.6543 6/30 12:31 0.6577 0.09%
Trade id #152183027
Max drawdown($105)
Time6/30/25 9:05
Quant open7
Worst price0.6542
Drawdown as % of equity-0.09%
 $2,359
Includes Typical Broker Commissions trade costs of $56.00
6/30/25 10:40 @MNQU5 MICRO E-MINI NASDAQ 100 LONG 6 22820.10 6/30 10:53 22819.20 0.09%
Trade id #152184997
Max drawdown($106)
Time6/30/25 10:46
Quant open6
Worst price22811.20
Drawdown as % of equity-0.09%
 ($17)
Includes Typical Broker Commissions trade costs of $5.64
6/30/25 9:01 @M6AU5 E-MICRO AUD/USD LONG 7 0.6545 6/30 9:03 0.6542 0.02%
Trade id #152183003
Max drawdown($21)
Time6/30/25 9:03
Quant open7
Worst price0.6542
Drawdown as % of equity-0.02%
 ($26)
Includes Typical Broker Commissions trade costs of $5.46

Successivo

Statistics

  • Strategy began
    3/31/2025
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    150.58
  • Age
    151 days ago
  • What it trades
    Futures
  • # Trades
    384
  • # Profitable
    191
  • % Profitable
    49.70%
  • Avg trade duration
    4.3 hours
  • Max peak-to-valley drawdown
    13.88%
  • drawdown period
    July 24, 2025 - Aug 26, 2025
  • Cumul. Return
    112.8%
  • Avg win
    $890.06
  • Avg loss
    $552.72
  • Model Account Values (Raw)
  • Cash
    $112,496
  • Margin Used
    $34,474
  • Buying Power
    $78,853
  • Ratios
  • W:L ratio
    1.59:1
  • Sharpe Ratio
    4.29
  • Sortino Ratio
    8.52
  • Calmar Ratio
    63.479
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    96.90%
  • Correlation to SP500
    -0.16390
  • Return Percent SP500 (cumu) during strategy life
    15.67%
  • Return Statistics
  • Ann Return (w trading costs)
    501.0%
  • Slump
  • Current Slump as Pcnt Equity
    10.20%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.24%
  • 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)
    1.128%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    621.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    10.50%
  • Chance of 20% account loss
    1.00%
  • 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
    97.49%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    802
  • Popularity (Last 6 weeks)
    969
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    917
  • Popularity (7 days, Percentile 1000 scale)
    794
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $552
  • Avg Win
    $891
  • Sum Trade PL (losers)
    $106,600.000
  • Age
  • Num Months filled monthly returns table
    6
  • Win / Loss
  • Sum Trade PL (winners)
    $170,227.000
  • # Winners
    191
  • Num Months Winners
    5
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    107112
  • Win / Loss
  • # Losers
    193
  • % Winners
    49.7%
  • Frequency
  • Avg Position Time (mins)
    260.65
  • Avg Position Time (hrs)
    4.34
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    6.14
  • Daily leverage (max)
    20.38
  • Regression
  • Alpha
    0.50
  • Beta
    -0.23
  • Treynor Index
    -2.06
  • 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)
    0.78
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    8.807
  • 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
    0.695
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.539
  • Hold-and-Hope Ratio
    0.117
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    3.06294
  • SD
    1.44068
  • Sharpe ratio (Glass type estimate)
    2.12603
  • Sharpe ratio (Hedges UMVUE)
    1.53840
  • df
    3.00000
  • t
    1.22747
  • p
    0.15359
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.76736
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.75609
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.07264
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.14944
  • Statistics related to Sortino ratio
  • Sortino ratio
    28.12850
  • Upside Potential Ratio
    29.86050
  • Upside part of mean
    3.25155
  • Downside part of mean
    -0.18860
  • Upside SD
    1.52533
  • Downside SD
    0.10889
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.35887
  • Mean of criterion
    3.06294
  • SD of predictor
    0.10470
  • SD of criterion
    1.44068
  • Covariance
    -0.11525
  • r
    -0.76400
  • b (slope, estimate of beta)
    -10.51230
  • a (intercept, estimate of alpha)
    6.83545
  • Mean Square Error
    1.29612
  • DF error
    2.00000
  • t(b)
    -1.67455
  • p(b)
    0.88200
  • t(a)
    2.28309
  • p(a)
    0.07494
  • Lowerbound of 95% confidence interval for beta
    -37.52290
  • Upperbound of 95% confidence interval for beta
    16.49840
  • Lowerbound of 95% confidence interval for alpha
    -6.04645
  • Upperbound of 95% confidence interval for alpha
    19.71730
  • Treynor index (mean / b)
    -0.29137
  • Jensen alpha (a)
    6.83545
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.29055
  • SD
    1.03704
  • Sharpe ratio (Glass type estimate)
    2.20873
  • Sharpe ratio (Hedges UMVUE)
    1.59824
  • df
    3.00000
  • t
    1.27521
  • p
    0.14601
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.71493
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.86352
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.02940
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.22588
  • Statistics related to Sortino ratio
  • Sortino ratio
    20.41580
  • Upside Potential Ratio
    22.14790
  • Upside part of mean
    2.48488
  • Downside part of mean
    -0.19433
  • Upside SD
    1.10961
  • Downside SD
    0.11220
  • N nonnegative terms
    3.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.34890
  • Mean of criterion
    2.29055
  • SD of predictor
    0.10209
  • SD of criterion
    1.03704
  • Covariance
    -0.07642
  • r
    -0.72180
  • b (slope, estimate of beta)
    -7.33214
  • a (intercept, estimate of alpha)
    4.84877
  • Mean Square Error
    0.77272
  • DF error
    2.00000
  • t(b)
    -1.47490
  • p(b)
    0.86090
  • t(a)
    2.10089
  • p(a)
    0.08522
  • Lowerbound of 95% confidence interval for beta
    -28.72190
  • Upperbound of 95% confidence interval for beta
    14.05760
  • Lowerbound of 95% confidence interval for alpha
    -5.08159
  • Upperbound of 95% confidence interval for alpha
    14.77910
  • Treynor index (mean / b)
    -0.31240
  • Jensen alpha (a)
    4.84877
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.26032
  • Expected Shortfall on VaR
    0.34346
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02232
  • Expected Shortfall on VaR
    0.04919
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.93946
  • Quartile 1
    1.04551
  • Median
    1.11125
  • Quartile 3
    1.32332
  • Maximum
    1.86833
  • Mean of quarter 1
    0.93946
  • Mean of quarter 2
    1.08086
  • Mean of quarter 3
    1.14164
  • Mean of quarter 4
    1.86833
  • Inter Quartile Range
    0.27781
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.25000
  • Mean of outliers high
    1.86833
  • 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
    0.06054
  • Quartile 1
    0.06054
  • Median
    0.06054
  • Quartile 3
    0.06054
  • Maximum
    0.06054
  • 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)
    3.49759
  • Compounded annual return (geometric extrapolation)
    9.16001
  • Calmar ratio (compounded annual return / max draw down)
    151.30500
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    26.67010
  • 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
    2.04319
  • SD
    0.34819
  • Sharpe ratio (Glass type estimate)
    5.86808
  • Sharpe ratio (Hedges UMVUE)
    5.82351
  • df
    99.00000
  • t
    3.62531
  • p
    0.00023
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.57845
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.13004
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54898
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    9.09805
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.18910
  • Upside Potential Ratio
    19.35190
  • Upside part of mean
    3.24385
  • Downside part of mean
    -1.20066
  • Upside SD
    0.32842
  • Downside SD
    0.16762
  • N nonnegative terms
    61.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    100.00000
  • Mean of predictor
    0.38834
  • Mean of criterion
    2.04319
  • SD of predictor
    0.24887
  • SD of criterion
    0.34819
  • Covariance
    -0.01342
  • r
    -0.15488
  • b (slope, estimate of beta)
    -0.21668
  • a (intercept, estimate of alpha)
    2.12700
  • Mean Square Error
    0.11953
  • DF error
    98.00000
  • t(b)
    -1.55191
  • p(b)
    0.93805
  • t(a)
    3.78365
  • p(a)
    0.00013
  • Lowerbound of 95% confidence interval for beta
    -0.49376
  • Upperbound of 95% confidence interval for beta
    0.06040
  • Lowerbound of 95% confidence interval for alpha
    1.01158
  • Upperbound of 95% confidence interval for alpha
    3.24310
  • Treynor index (mean / b)
    -9.42945
  • Jensen alpha (a)
    2.12734
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.97618
  • SD
    0.34457
  • Sharpe ratio (Glass type estimate)
    5.73522
  • Sharpe ratio (Hedges UMVUE)
    5.69166
  • df
    99.00000
  • t
    3.54323
  • p
    0.00030
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.45034
  • Upperbound of 95% confidence interval for Sharpe Ratio
    8.99287
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.42163
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    8.96169
  • Statistics related to Sortino ratio
  • Sortino ratio
    11.61880
  • Upside Potential Ratio
    18.76140
  • Upside part of mean
    3.19104
  • Downside part of mean
    -1.21486
  • Upside SD
    0.32174
  • Downside SD
    0.17009
  • N nonnegative terms
    61.00000
  • N negative terms
    39.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    100.00000
  • Mean of predictor
    0.35778
  • Mean of criterion
    1.97618
  • SD of predictor
    0.24657
  • SD of criterion
    0.34457
  • Covariance
    -0.01349
  • r
    -0.15883
  • b (slope, estimate of beta)
    -0.22196
  • a (intercept, estimate of alpha)
    2.05560
  • Mean Square Error
    0.11691
  • DF error
    98.00000
  • t(b)
    -1.59260
  • p(b)
    0.94276
  • t(a)
    3.69912
  • p(a)
    0.00018
  • Lowerbound of 95% confidence interval for beta
    -0.49855
  • Upperbound of 95% confidence interval for beta
    0.05462
  • Lowerbound of 95% confidence interval for alpha
    0.95283
  • Upperbound of 95% confidence interval for alpha
    3.15836
  • Treynor index (mean / b)
    -8.90316
  • Jensen alpha (a)
    2.05560
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02710
  • Expected Shortfall on VaR
    0.03568
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00885
  • Expected Shortfall on VaR
    0.01882
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    100.00000
  • Minimum
    0.96123
  • Quartile 1
    0.99602
  • Median
    1.00611
  • Quartile 3
    1.01931
  • Maximum
    1.06675
  • Mean of quarter 1
    0.98221
  • Mean of quarter 2
    1.00104
  • Mean of quarter 3
    1.01149
  • Mean of quarter 4
    1.03688
  • Inter Quartile Range
    0.02329
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.03000
  • Mean of outliers high
    1.05924
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.24051
  • VaR(95%) (moments method)
    0.01508
  • Expected Shortfall (moments method)
    0.01905
  • Extreme Value Index (regression method)
    -0.61426
  • VaR(95%) (regression method)
    0.01639
  • Expected Shortfall (regression method)
    0.01883
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00093
  • Quartile 1
    0.00325
  • Median
    0.03199
  • Quartile 3
    0.04280
  • Maximum
    0.10113
  • Mean of quarter 1
    0.00200
  • Mean of quarter 2
    0.01552
  • Mean of quarter 3
    0.03446
  • Mean of quarter 4
    0.07890
  • Inter Quartile Range
    0.03955
  • 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)
    -1.13011
  • VaR(95%) (moments method)
    0.09045
  • Expected Shortfall (moments method)
    0.09557
  • Extreme Value Index (regression method)
    0.38924
  • VaR(95%) (regression method)
    0.10060
  • Expected Shortfall (regression method)
    0.15481
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    3.00992
  • Compounded annual return (geometric extrapolation)
    6.41935
  • Calmar ratio (compounded annual return / max draw down)
    63.47930
  • Compounded annual return / average of 25% largest draw downs
    81.36480
  • Compounded annual return / Expected Shortfall lognormal
    179.89400
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.02700
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -388143000
  • Max Equity Drawdown (num days)
    33

Strategy Description

Trade Stock Index: SP500, momentum trade by the Dow Jones's Theory, including LONG and SHORT trades. Each trade always includes a stop loss.
Trade this strategy at Tradier

Summary Statistics


Strategy began
2025-03-31
Suggested Minimum Capital
$100,000
Rank at C2 %
Top 8.3%
Rank # 
#83
# Trades
384
# Profitable
191
% Profitable
49.7%
Correlation S&P500
-0.164
Sharpe Ratio
4.29
Sortino Ratio
8.52
Beta
-0.23
Alpha
0.50
Leverage
6.14 Average
20.38 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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  • 9/13/2018, 9:07:33 PM BTO 1 ETHUSD

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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.