Collective2 Collective2
Featured Strategy Quant AI pro +16.7% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 12/10/2023
Most recent certification approved 12/10/23 18:03 ET
Trades at broker Interactive Brokers (Stocks, Options, Futures)
Scaling percentage used 100%
# trading signals issued by system since certification 1,303
# trading signals executed in manager's Interactive Brokers (Stocks, Options, Futures) account 1,303
Percent signals followed since 12/10/2023 100%
This information was last updated 12/20/24 13:27 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 12/10/2023, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

Fusion MES
(146632068)

Powered by BrokerTransmit.
Read important disclosures.

Created by: Tony_Pei Tony_Pei
Started: 12/2023
Futures
Last trade: Today

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 $99.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

67.2%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(24.3%)
Max Drawdown
343
Num Trades
48.1%
Win Trades
1.3 : 1
Profit Factor
61.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                                             +15.3%+15.3%
2024+10.3%+4.6%+6.6%(11.9%)+14.8%(1.9%)+19.2%(3%)+11.4%(9.9%)+16.3%(9.8%)+48.7%

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

This strategy has placed 1,300 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
12/20/24 9:40 @MESH5 MICRO E-MINI S&P 500 SHORT 10 5928.20 12/20 11:40 6031.92 n/a ($5,195)
Includes Typical Broker Commissions trade costs of $9.40
12/19/24 16:05 @MESH5 MICRO E-MINI S&P 500 LONG 40 5925.38 12/20 8:25 5885.64 4.3%
Trade id #150369191
Max drawdown($7,443)
Time12/20/24 7:03
Quant open30
Worst price5875.75
Drawdown as % of equity-4.30%
 ($7,986)
Includes Typical Broker Commissions trade costs of $37.60
12/17/24 6:25 @MESH5 MICRO E-MINI S&P 500 LONG 50 6134.24 12/18 15:14 6087.05 5.74%
Trade id #150341489
Max drawdown($10,923)
Time12/18/24 15:12
Quant open20
Worst price6025.00
Drawdown as % of equity-5.74%
 ($11,844)
Includes Typical Broker Commissions trade costs of $47.00
12/17/24 3:50 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 6061.67 12/17 5:15 6062.78 0.11%
Trade id #150341000
Max drawdown($216)
Time12/17/24 5:00
Quant open10
Worst price6066.00
Drawdown as % of equity-0.11%
 ($65)
Includes Typical Broker Commissions trade costs of $9.40
12/17/24 3:15 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 6061.92 12/17 3:40 6060.75 0.05%
Trade id #150340904
Max drawdown($91)
Time12/17/24 3:32
Quant open10
Worst price6063.75
Drawdown as % of equity-0.05%
 $49
Includes Typical Broker Commissions trade costs of $9.40
12/17/24 2:11 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 6069.75 12/17 2:35 6068.52 0.01%
Trade id #150340571
Max drawdown($25)
Time12/17/24 2:15
Quant open10
Worst price6070.25
Drawdown as % of equity-0.01%
 $53
Includes Typical Broker Commissions trade costs of $9.40
12/17/24 1:35 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 6069.45 12/17 1:45 6068.50 n/a $39
Includes Typical Broker Commissions trade costs of $9.40
12/16/24 10:35 @MESZ4 MICRO E-MINI S&P 500 LONG 30 6082.03 12/17 1:07 6072.72 0.94%
Trade id #150334258
Max drawdown($1,804)
Time12/16/24 18:19
Quant open30
Worst price6070.00
Drawdown as % of equity-0.94%
 ($1,424)
Includes Typical Broker Commissions trade costs of $28.20
12/13/24 11:20 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 6053.00 12/13 11:40 6051.36 0.18%
Trade id #150320325
Max drawdown($350)
Time12/13/24 11:35
Quant open10
Worst price6060.00
Drawdown as % of equity-0.18%
 $73
Includes Typical Broker Commissions trade costs of $9.40
12/13/24 10:50 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 6056.00 12/13 10:55 6052.25 n/a $179
Includes Typical Broker Commissions trade costs of $9.40
12/13/24 9:30 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 6074.46 12/13 9:50 6081.50 0.27%
Trade id #150318104
Max drawdown($514)
Time12/13/24 9:47
Quant open10
Worst price6084.75
Drawdown as % of equity-0.27%
 ($361)
Includes Typical Broker Commissions trade costs of $9.40
12/11/24 9:55 @MESZ4 MICRO E-MINI S&P 500 LONG 60 6081.20 12/13 6:40 6078.26 2.24%
Trade id #150299726
Max drawdown($4,348)
Time12/12/24 0:00
Quant open30
Worst price6054.75
Drawdown as % of equity-2.24%
 ($937)
Includes Typical Broker Commissions trade costs of $56.40
12/10/24 16:00 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 6048.41 12/10 18:06 6052.00 0.16%
Trade id #150294042
Max drawdown($316)
Time12/10/24 18:00
Quant open10
Worst price6054.75
Drawdown as % of equity-0.16%
 ($188)
Includes Typical Broker Commissions trade costs of $9.40
12/10/24 15:35 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 6044.59 12/10 15:50 6043.16 0.07%
Trade id #150293297
Max drawdown($145)
Time12/10/24 15:41
Quant open10
Worst price6047.50
Drawdown as % of equity-0.07%
 $63
Includes Typical Broker Commissions trade costs of $9.40
12/10/24 5:30 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 6065.94 12/10 14:00 6058.75 0.24%
Trade id #150287163
Max drawdown($465)
Time12/10/24 10:45
Quant open10
Worst price6075.25
Drawdown as % of equity-0.24%
 $350
Includes Typical Broker Commissions trade costs of $9.40
12/9/24 11:15 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 6070.00 12/9 12:05 6076.06 0.26%
Trade id #150280117
Max drawdown($500)
Time12/9/24 11:58
Quant open10
Worst price6080.00
Drawdown as % of equity-0.26%
 ($312)
Includes Typical Broker Commissions trade costs of $9.40
12/9/24 10:00 @MESZ4 MICRO E-MINI S&P 500 LONG 30 6093.50 12/9 10:40 6079.09 1.25%
Trade id #150278553
Max drawdown($2,437)
Time12/9/24 10:38
Quant open30
Worst price6077.25
Drawdown as % of equity-1.25%
 ($2,189)
Includes Typical Broker Commissions trade costs of $28.20
12/9/24 6:25 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 6093.23 12/9 6:36 6089.50 0.03%
Trade id #150276835
Max drawdown($50)
Time12/9/24 6:30
Quant open10
Worst price6094.25
Drawdown as % of equity-0.03%
 $178
Includes Typical Broker Commissions trade costs of $9.40
11/29/24 10:10 @MESZ4 MICRO E-MINI S&P 500 LONG 50 6052.91 12/9 5:45 6084.28 0.37%
Trade id #150208602
Max drawdown($712)
Time12/2/24 0:00
Quant open30
Worst price6035.50
Drawdown as % of equity-0.37%
 $7,797
Includes Typical Broker Commissions trade costs of $47.00
11/29/24 10:00 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 6033.25 11/29 10:10 6039.25 0.19%
Trade id #150208441
Max drawdown($362)
Time11/29/24 10:10
Quant open10
Worst price6040.50
Drawdown as % of equity-0.19%
 ($309)
Includes Typical Broker Commissions trade costs of $9.40
11/29/24 9:35 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 6023.69 11/29 9:50 6027.82 0.19%
Trade id #150207898
Max drawdown($365)
Time11/29/24 9:47
Quant open10
Worst price6031.00
Drawdown as % of equity-0.19%
 ($216)
Includes Typical Broker Commissions trade costs of $9.40
11/29/24 8:50 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 6020.93 11/29 9:30 6021.04 0.21%
Trade id #150207289
Max drawdown($403)
Time11/29/24 9:12
Quant open10
Worst price6029.00
Drawdown as % of equity-0.21%
 ($15)
Includes Typical Broker Commissions trade costs of $9.40
11/21/24 11:05 @MESZ4 MICRO E-MINI S&P 500 LONG 80 5985.83 11/28 9:15 6013.67 0.76%
Trade id #150143271
Max drawdown($1,381)
Time11/22/24 0:00
Quant open30
Worst price5941.00
Drawdown as % of equity-0.76%
 $11,060
Includes Typical Broker Commissions trade costs of $75.20
11/20/24 15:35 @MESZ4 MICRO E-MINI S&P 500 LONG 30 5933.00 11/21 9:40 5922.38 2.33%
Trade id #150136229
Max drawdown($4,162)
Time11/21/24 4:28
Quant open30
Worst price5905.25
Drawdown as % of equity-2.33%
 ($1,622)
Includes Typical Broker Commissions trade costs of $28.20
11/20/24 10:25 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 5891.21 11/20 11:30 5893.29 0.55%
Trade id #150132296
Max drawdown($1,002)
Time11/20/24 11:01
Quant open10
Worst price5911.25
Drawdown as % of equity-0.55%
 ($113)
Includes Typical Broker Commissions trade costs of $9.40
11/19/24 10:30 @MESZ4 MICRO E-MINI S&P 500 LONG 50 5914.73 11/20 10:00 5923.01 0.53%
Trade id #150122564
Max drawdown($972)
Time11/20/24 10:00
Quant open30
Worst price5908.25
Drawdown as % of equity-0.53%
 $2,022
Includes Typical Broker Commissions trade costs of $47.00
11/19/24 9:05 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 5863.25 11/19 9:50 5885.21 0.88%
Trade id #150121039
Max drawdown($1,562)
Time11/19/24 9:43
Quant open10
Worst price5894.50
Drawdown as % of equity-0.88%
 ($1,107)
Includes Typical Broker Commissions trade costs of $9.40
11/19/24 3:50 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 5916.25 11/19 4:20 5909.79 0.11%
Trade id #150119174
Max drawdown($187)
Time11/19/24 4:02
Quant open10
Worst price5920.00
Drawdown as % of equity-0.11%
 $314
Includes Typical Broker Commissions trade costs of $9.40
11/18/24 8:35 @MESZ4 MICRO E-MINI S&P 500 SHORT 10 5893.50 11/18 9:35 5893.50 0.34%
Trade id #150109621
Max drawdown($612)
Time11/18/24 9:18
Quant open10
Worst price5905.75
Drawdown as % of equity-0.34%
 ($9)
Includes Typical Broker Commissions trade costs of $9.40
11/17/24 18:05 @MESZ4 MICRO E-MINI S&P 500 SHORT 30 5905.62 11/18 4:05 5906.35 0.48%
Trade id #150106981
Max drawdown($854)
Time11/17/24 23:53
Quant open20
Worst price5915.50
Drawdown as % of equity-0.48%
 ($136)
Includes Typical Broker Commissions trade costs of $28.20
Next

Statistics

  • Strategy began
    12/6/2023
  • Suggested Minimum Cap
    $180,000
  • Strategy Age (days)
    379.45
  • Age
    13 months ago
  • What it trades
    Futures
  • # Trades
    343
  • # Profitable
    165
  • % Profitable
    48.10%
  • Avg trade duration
    19.7 hours
  • Max peak-to-valley drawdown
    24.34%
  • drawdown period
    March 08, 2024 - April 12, 2024
  • Annual Return (Compounded)
    67.2%
  • Avg win
    $2,082
  • Avg loss
    $1,500
  • Model Account Values (Raw)
  • Cash
    $171,368
  • Margin Used
    ($7,965)
  • Buying Power
    $184,523
  • Ratios
  • W:L ratio
    1.29:1
  • Sharpe Ratio
    1.25
  • Sortino Ratio
    1.93
  • Calmar Ratio
    4.592
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    42.49%
  • Correlation to SP500
    0.42310
  • Return Percent SP500 (cumu) during strategy life
    28.97%
  • Return Statistics
  • Ann Return (w trading costs)
    67.2%
  • Slump
  • Current Slump as Pcnt Equity
    15.00%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.672%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    77.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    49.00%
  • Chance of 20% account loss
    13.00%
  • Chance of 30% account loss
    3.50%
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    857
  • Popularity (Last 6 weeks)
    969
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    941
  • Popularity (7 days, Percentile 1000 scale)
    956
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $1,473
  • Avg Win
    $2,082
  • Sum Trade PL (losers)
    $262,164.000
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $343,559.000
  • # Winners
    165
  • Num Months Winners
    8
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    257320
  • Win / Loss
  • # Losers
    178
  • % Winners
    48.1%
  • Frequency
  • Avg Position Time (mins)
    1179.65
  • Avg Position Time (hrs)
    19.66
  • Avg Trade Length
    0.8 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    5.22
  • Daily leverage (max)
    11.97
  • Regression
  • Alpha
    0.08
  • Beta
    1.31
  • Treynor Index
    0.12
  • 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)
    -1.01
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    8.830
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.366
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.461
  • Hold-and-Hope Ratio
    0.113
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.73005
  • SD
    0.27128
  • Sharpe ratio (Glass type estimate)
    2.69112
  • Sharpe ratio (Hedges UMVUE)
    2.50263
  • df
    11.00000
  • t
    2.69112
  • p
    0.01049
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.39263
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.89844
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.28113
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.72414
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.72900
  • Upside Potential Ratio
    12.16850
  • Upside part of mean
    0.82800
  • Downside part of mean
    -0.09795
  • Upside SD
    0.32748
  • Downside SD
    0.06804
  • N nonnegative terms
    9.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.26547
  • Mean of criterion
    0.73005
  • SD of predictor
    0.10149
  • SD of criterion
    0.27128
  • Covariance
    0.01727
  • r
    0.62736
  • b (slope, estimate of beta)
    1.67693
  • a (intercept, estimate of alpha)
    0.28487
  • Mean Square Error
    0.04909
  • DF error
    10.00000
  • t(b)
    2.54762
  • p(b)
    0.01449
  • t(a)
    1.00954
  • p(a)
    0.16826
  • Lowerbound of 95% confidence interval for beta
    0.21029
  • Upperbound of 95% confidence interval for beta
    3.14356
  • Lowerbound of 95% confidence interval for alpha
    -0.34386
  • Upperbound of 95% confidence interval for alpha
    0.91361
  • Treynor index (mean / b)
    0.43535
  • Jensen alpha (a)
    0.28487
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67757
  • SD
    0.25326
  • Sharpe ratio (Glass type estimate)
    2.67539
  • Sharpe ratio (Hedges UMVUE)
    2.48800
  • df
    11.00000
  • t
    2.67539
  • p
    0.01079
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38022
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.87968
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.26937
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.70663
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.73341
  • Upside Potential Ratio
    11.17140
  • Upside part of mean
    0.77768
  • Downside part of mean
    -0.10010
  • Upside SD
    0.30366
  • Downside SD
    0.06961
  • N nonnegative terms
    9.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.25735
  • Mean of criterion
    0.67757
  • SD of predictor
    0.10116
  • SD of criterion
    0.25326
  • Covariance
    0.01631
  • r
    0.63681
  • b (slope, estimate of beta)
    1.59433
  • a (intercept, estimate of alpha)
    0.26727
  • Mean Square Error
    0.04194
  • DF error
    10.00000
  • t(b)
    2.61183
  • p(b)
    0.01298
  • t(a)
    1.03550
  • p(a)
    0.16241
  • Lowerbound of 95% confidence interval for beta
    0.23421
  • Upperbound of 95% confidence interval for beta
    2.95445
  • Lowerbound of 95% confidence interval for alpha
    -0.30784
  • Upperbound of 95% confidence interval for alpha
    0.84238
  • Treynor index (mean / b)
    0.42499
  • Jensen alpha (a)
    0.26727
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06180
  • Expected Shortfall on VaR
    0.08970
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01110
  • Expected Shortfall on VaR
    0.02653
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.94823
  • Quartile 1
    1.00723
  • Median
    1.08301
  • Quartile 3
    1.09373
  • Maximum
    1.22686
  • Mean of quarter 1
    0.96968
  • Mean of quarter 2
    1.03874
  • Mean of quarter 3
    1.08905
  • Mean of quarter 4
    1.15519
  • Inter Quartile Range
    0.08650
  • 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
    0.08333
  • Mean of outliers high
    1.22686
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -575.33300
  • VaR(95%) (moments method)
    0.00199
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -2.57663
  • VaR(95%) (regression method)
    0.08368
  • Expected Shortfall (regression method)
    0.08487
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00034
  • Quartile 1
    0.01960
  • Median
    0.03886
  • Quartile 3
    0.04531
  • Maximum
    0.05177
  • Mean of quarter 1
    0.00034
  • Mean of quarter 2
    0.03886
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.05177
  • Inter Quartile Range
    0.02572
  • 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)
    1.02482
  • Compounded annual return (geometric extrapolation)
    1.02482
  • Calmar ratio (compounded annual return / max draw down)
    19.79550
  • Compounded annual return / average of 25% largest draw downs
    19.79550
  • Compounded annual return / Expected Shortfall lognormal
    11.42540
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.63799
  • SD
    0.37753
  • Sharpe ratio (Glass type estimate)
    1.68990
  • Sharpe ratio (Hedges UMVUE)
    1.68513
  • df
    266.00000
  • t
    1.70595
  • p
    0.04459
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.25848
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63518
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.26167
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.63193
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.66661
  • Upside Potential Ratio
    10.76320
  • Upside part of mean
    2.57512
  • Downside part of mean
    -1.93713
  • Upside SD
    0.29379
  • Downside SD
    0.23925
  • N nonnegative terms
    136.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    267.00000
  • Mean of predictor
    0.22973
  • Mean of criterion
    0.63799
  • SD of predictor
    0.12583
  • SD of criterion
    0.37753
  • Covariance
    0.02098
  • r
    0.44157
  • b (slope, estimate of beta)
    1.32487
  • a (intercept, estimate of alpha)
    0.33400
  • Mean Square Error
    0.11517
  • DF error
    265.00000
  • t(b)
    8.01162
  • p(b)
    -0.00000
  • t(a)
    0.98616
  • p(a)
    0.16248
  • Lowerbound of 95% confidence interval for beta
    0.99926
  • Upperbound of 95% confidence interval for beta
    1.65047
  • Lowerbound of 95% confidence interval for alpha
    -0.33250
  • Upperbound of 95% confidence interval for alpha
    0.99977
  • Treynor index (mean / b)
    0.48155
  • Jensen alpha (a)
    0.33364
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56646
  • SD
    0.37685
  • Sharpe ratio (Glass type estimate)
    1.50312
  • Sharpe ratio (Hedges UMVUE)
    1.49887
  • df
    266.00000
  • t
    1.51739
  • p
    0.06518
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44397
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.44747
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.44682
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.44457
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.31108
  • Upside Potential Ratio
    10.33410
  • Upside part of mean
    2.53293
  • Downside part of mean
    -1.96647
  • Upside SD
    0.28746
  • Downside SD
    0.24510
  • N nonnegative terms
    136.00000
  • N negative terms
    131.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    267.00000
  • Mean of predictor
    0.22170
  • Mean of criterion
    0.56646
  • SD of predictor
    0.12599
  • SD of criterion
    0.37685
  • Covariance
    0.02084
  • r
    0.43888
  • b (slope, estimate of beta)
    1.31270
  • a (intercept, estimate of alpha)
    0.27542
  • Mean Square Error
    0.11510
  • DF error
    265.00000
  • t(b)
    7.95108
  • p(b)
    -0.00000
  • t(a)
    0.81473
  • p(a)
    0.20798
  • Lowerbound of 95% confidence interval for beta
    0.98763
  • Upperbound of 95% confidence interval for beta
    1.63777
  • Lowerbound of 95% confidence interval for alpha
    -0.39019
  • Upperbound of 95% confidence interval for alpha
    0.94104
  • Treynor index (mean / b)
    0.43152
  • Jensen alpha (a)
    0.27542
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03549
  • Expected Shortfall on VaR
    0.04479
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01687
  • Expected Shortfall on VaR
    0.03269
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    267.00000
  • Minimum
    0.89868
  • Quartile 1
    0.98904
  • Median
    1.00039
  • Quartile 3
    1.01388
  • Maximum
    1.09164
  • Mean of quarter 1
    0.97529
  • Mean of quarter 2
    0.99547
  • Mean of quarter 3
    1.00717
  • Mean of quarter 4
    1.03231
  • Inter Quartile Range
    0.02484
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.01498
  • Mean of outliers low
    0.93085
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.02622
  • Mean of outliers high
    1.06064
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.09266
  • VaR(95%) (moments method)
    0.02416
  • Expected Shortfall (moments method)
    0.03390
  • Extreme Value Index (regression method)
    0.16351
  • VaR(95%) (regression method)
    0.02472
  • Expected Shortfall (regression method)
    0.03630
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00170
  • Quartile 1
    0.01473
  • Median
    0.06026
  • Quartile 3
    0.11417
  • Maximum
    0.17678
  • Mean of quarter 1
    0.00507
  • Mean of quarter 2
    0.04207
  • Mean of quarter 3
    0.08709
  • Mean of quarter 4
    0.14091
  • Inter Quartile Range
    0.09943
  • 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)
    -0.29875
  • VaR(95%) (moments method)
    0.15531
  • Expected Shortfall (moments method)
    0.17168
  • Extreme Value Index (regression method)
    0.05368
  • VaR(95%) (regression method)
    0.15895
  • Expected Shortfall (regression method)
    0.18760
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.81695
  • Compounded annual return (geometric extrapolation)
    0.81188
  • Calmar ratio (compounded annual return / max draw down)
    4.59245
  • Compounded annual return / average of 25% largest draw downs
    5.76154
  • Compounded annual return / Expected Shortfall lognormal
    18.12590
  • 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
    0.46661
  • SD
    0.39424
  • Sharpe ratio (Glass type estimate)
    1.18356
  • Sharpe ratio (Hedges UMVUE)
    1.17672
  • df
    130.00000
  • t
    0.83690
  • p
    0.46340
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.59415
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.95692
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.59878
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.95221
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.79821
  • Upside Potential Ratio
    9.65721
  • Upside part of mean
    2.50591
  • Downside part of mean
    -2.03930
  • Upside SD
    0.29621
  • Downside SD
    0.25949
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.12101
  • Mean of criterion
    0.46661
  • SD of predictor
    0.14107
  • SD of criterion
    0.39424
  • Covariance
    0.02421
  • r
    0.43524
  • b (slope, estimate of beta)
    1.21636
  • a (intercept, estimate of alpha)
    0.31942
  • Mean Square Error
    0.12696
  • DF error
    129.00000
  • t(b)
    5.49079
  • p(b)
    0.23193
  • t(a)
    0.63298
  • p(a)
    0.46459
  • Lowerbound of 95% confidence interval for beta
    0.77806
  • Upperbound of 95% confidence interval for beta
    1.65465
  • Lowerbound of 95% confidence interval for alpha
    -0.67898
  • Upperbound of 95% confidence interval for alpha
    1.31781
  • Treynor index (mean / b)
    0.38361
  • Jensen alpha (a)
    0.31942
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38911
  • SD
    0.39437
  • Sharpe ratio (Glass type estimate)
    0.98668
  • Sharpe ratio (Hedges UMVUE)
    0.98098
  • df
    130.00000
  • t
    0.69769
  • p
    0.46946
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.78953
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.75927
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.79339
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.75534
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.45749
  • Upside Potential Ratio
    9.22616
  • Upside part of mean
    2.46315
  • Downside part of mean
    -2.07404
  • Upside SD
    0.28921
  • Downside SD
    0.26698
  • N nonnegative terms
    66.00000
  • N negative terms
    65.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11107
  • Mean of criterion
    0.38911
  • SD of predictor
    0.14142
  • SD of criterion
    0.39437
  • Covariance
    0.02413
  • r
    0.43258
  • b (slope, estimate of beta)
    1.20629
  • a (intercept, estimate of alpha)
    0.25513
  • Mean Square Error
    0.12740
  • DF error
    129.00000
  • t(b)
    5.44942
  • p(b)
    0.23346
  • t(a)
    0.50483
  • p(a)
    0.47174
  • VAR (95 Confidence Intrvl)
    0.03500
  • Lowerbound of 95% confidence interval for beta
    0.76832
  • Upperbound of 95% confidence interval for beta
    1.64426
  • Lowerbound of 95% confidence interval for alpha
    -0.74477
  • Upperbound of 95% confidence interval for alpha
    1.25504
  • Treynor index (mean / b)
    0.32257
  • Jensen alpha (a)
    0.25513
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03785
  • Expected Shortfall on VaR
    0.04756
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01784
  • Expected Shortfall on VaR
    0.03505
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.89868
  • Quartile 1
    0.98937
  • Median
    1.00020
  • Quartile 3
    1.01252
  • Maximum
    1.09164
  • Mean of quarter 1
    0.97402
  • Mean of quarter 2
    0.99530
  • Mean of quarter 3
    1.00648
  • Mean of quarter 4
    1.03189
  • Inter Quartile Range
    0.02315
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.93037
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.03817
  • Mean of outliers high
    1.06298
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.22451
  • VaR(95%) (moments method)
    0.02616
  • Expected Shortfall (moments method)
    0.04091
  • Extreme Value Index (regression method)
    0.25025
  • VaR(95%) (regression method)
    0.02696
  • Expected Shortfall (regression method)
    0.04314
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00482
  • Quartile 1
    0.06624
  • Median
    0.11119
  • Quartile 3
    0.12400
  • Maximum
    0.15882
  • Mean of quarter 1
    0.03254
  • Mean of quarter 2
    0.09171
  • Mean of quarter 3
    0.11714
  • Mean of quarter 4
    0.14483
  • Inter Quartile Range
    0.05775
  • 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
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -351206000
  • Max Equity Drawdown (num days)
    35
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.46368
  • Compounded annual return (geometric extrapolation)
    0.51743
  • Calmar ratio (compounded annual return / max draw down)
    3.25805
  • Compounded annual return / average of 25% largest draw downs
    3.57258
  • Compounded annual return / Expected Shortfall lognormal
    10.87920

Strategy Description

This trading system only trades Micro E-mini S&P 500 Futures (symbol: MES). This system trades long or short positions, operates with full automation.

The system is constructed around several independent strategies. Each of these strategies trades on MES separately. This system is designed based on a fusion of non-correlated trend-following and mean-reversion methods. Each strategy has its own stoploss. The advantage of using a variety of strategies lies in their collective ability to aggregate profits from each strategy while simultaneously mitigating overall drawdowns.

This system is "TOS-certified", (Trades-Own-Strategy Badge) meaning I autotrade it with real money and transparent results through the BrokerTransmit program.

I trade this system with a $200,000 investment on my Interactive Brokers IRA account. My trading is capped at 30 MES contracts. Because of the restriction of C2 platform, The initial account balance is set to $100,000 which is the maxium number can be set in C2.

To maintain prudent leverage usage, employ the specified formula for determining the AutoTrade Scaling setting.
AutoTrade Scaling = [Your Total Assets] / 200,000.
For example, with an asset of $40,000, the AutoTrade Scaling would be 40,000 / 200,000 = 20%. In this scenario, you would be able to trade up to 6 MES contracts (30 contracts * 20% = 6 contracts).

To utilize this trading system, a minimum investment of $20,000 is required, and it allows for trading up to a maximum of 3 MES contracts.

Summary Statistics

Strategy began
2023-12-06
Suggested Minimum Capital
$180,000
Rank at C2 %
Top 5.9%
Rank # 
#43
# Trades
343
# Profitable
165
% Profitable
48.1%
Correlation S&P500
0.423
Sharpe Ratio
1.25
Sortino Ratio
1.93
Beta
1.31
Alpha
0.08
Leverage
5.22 Average
11.97 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

Collective2 calculates the maximum leverage used by a strategy in each day. We then display the average of these measurements (i.e. the average daily maximum leverage) and the greatest of these measurements (maximum daily leverage).

Leverage is the ratio of total notional value controlled by a strategy divided by its Model Account equity. Generally higher leverage implies greater risk.

Example of calculation:
The Strategy buys 100 shares of stock at $12 per share.
The Model Account equity during that day is $5,000.
The leverage is: $1200 / $5,000 = 0.24

This is a useful measurement, but it should be considered in context. This measurement doesn't take into account important factors, such as when multiple positions are held that are inversely correlated. Nor does the measurement take into account the volatility of the instruments being held.

In addition, certain asset classes are inherently more leveraged than others. For example, futures contracts are highly leveraged. Forex positions are often even more leveraged than futures.

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

These results are based on simulated or hypothetical performance results that have certain inherent limitations. Unlike the results shown in an actual performance record, these results do not represent actual trading. Also, because these trades have not actually been executed, these results may have under-or over-compensated for the impact, if any, of certain market factors, such as lack of liquidity. Simulated or hypothetical trading programs in general are also subject to the fact that they are designed with the benefit of hindsight. No representation is being made that any account will or is likely to achieve profits or losses similar to these being shown.

In addition, hypothetical trading does not involve financial risk, and no hypothetical trading record can completely account for the impact of financial risk in actual trading. For example, the ability to withstand losses or to adhere to a particular trading program in spite of trading losses are material points which can also adversely affect actual trading results. There are numerous other factors related to the markets in general or to the implementation of any specific trading program, which cannot be fully accounted for in the preparation of hypothetical performance results and all of which can adversely affect actual trading results.

Material assumptions and methods used when calculating results

The following are material assumptions used when calculating any hypothetical monthly results that appear on our web site.

  • Profits are reinvested. We assume profits (when there are profits) are reinvested in the trading strategy.
  • Starting investment size. For any trading strategy on our site, hypothetical results are based on the assumption that you invested the starting amount shown on the strategy's performance chart. In some cases, nominal dollar amounts on the equity chart have been re-scaled downward to make current go-forward trading sizes more manageable. In these cases, it may not have been possible to trade the strategy historically at the equity levels shown on the chart, and a higher minimum capital was required in the past.
  • All fees are included. When calculating cumulative returns, we try to estimate and include all the fees a typical trader incurs when AutoTrading using AutoTrade technology. This includes the subscription cost of the strategy, plus any per-trade AutoTrade fees, plus estimated broker commissions if any.
  • "Max Drawdown" Calculation Method. We calculate the Max Drawdown statistic as follows. Our computer software looks at the equity chart of the system in question and finds the largest percentage amount that the equity chart ever declines from a local "peak" to a subsequent point in time (thus this is formally called "Maximum Peak to Valley Drawdown.") While this is useful information when evaluating trading systems, you should keep in mind that past performance does not guarantee future results. Therefore, future drawdowns may be larger than the historical maximum drawdowns you see here.

Trading is risky

There is a substantial risk of loss in futures and forex trading. Online trading of stocks and options is extremely risky. Assume you will lose money. Don't trade with money you cannot afford to lose.

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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.