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Featured Strategy Cryptoverse Trades-Own-Strategy Certified Trades-Own-Strategy Certification Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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BattleFutures
(146495376)

Created by: TraderBen TraderBen
Started: 11/2023
Futures
Last trade: 151 days ago

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 $290.00 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.

25.2%
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.

(14.6%)
Max Drawdown
427
Num Trades
50.6%
Win Trades
1.3 : 1
Profit Factor
42.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                                      +8.9%+11.8%+21.7%
2024+6.4%+3.7%(5.2%)+7.3%(7%)+7.9%(7.1%)  -    -    -    -    -  +4.7%

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 1,184 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
7/22/24 12:50 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 19935.53 7/22 14:09 20024.17 n/a $1,765
Includes Typical Broker Commissions trade costs of $8.00
7/22/24 11:20 @ESU4 E-MINI S&P 500 SHORT 2 5588.50 7/22 12:49 5581.22 0.32%
Trade id #148709942
Max drawdown($200)
Time7/22/24 11:23
Quant open2
Worst price5590.50
Drawdown as % of equity-0.32%
 $712
Includes Typical Broker Commissions trade costs of $16.00
7/22/24 10:52 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 19972.20 7/22 11:09 19951.80 2.53%
Trade id #148709512
Max drawdown($1,564)
Time7/22/24 11:09
Quant open1
Worst price19894.00
Drawdown as % of equity-2.53%
 ($416)
Includes Typical Broker Commissions trade costs of $8.00
7/22/24 10:29 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 19964.00 7/22 10:50 19969.50 1.09%
Trade id #148709187
Max drawdown($675)
Time7/22/24 10:33
Quant open1
Worst price19930.20
Drawdown as % of equity-1.09%
 $102
Includes Typical Broker Commissions trade costs of $8.00
7/22/24 10:12 @ESU4 E-MINI S&P 500 LONG 1 5581.75 7/22 10:18 5582.25 0.04%
Trade id #148708994
Max drawdown($25)
Time7/22/24 10:18
Quant open1
Worst price5581.25
Drawdown as % of equity-0.04%
 $17
Includes Typical Broker Commissions trade costs of $8.00
7/22/24 9:45 @ESU4 E-MINI S&P 500 LONG 2 5601.25 7/22 9:52 5599.75 0.48%
Trade id #148708289
Max drawdown($300)
Time7/22/24 9:52
Quant open2
Worst price5598.25
Drawdown as % of equity-0.48%
 ($166)
Includes Typical Broker Commissions trade costs of $16.00
7/22/24 9:37 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 19942.75 7/22 9:43 19935.00 0.35%
Trade id #148708012
Max drawdown($215)
Time7/22/24 9:41
Quant open1
Worst price19932.00
Drawdown as % of equity-0.35%
 ($163)
Includes Typical Broker Commissions trade costs of $8.00
7/22/24 1:07 @ESU4 E-MINI S&P 500 LONG 1 5566.06 7/22 2:01 5562.06 0.41%
Trade id #148705530
Max drawdown($253)
Time7/22/24 2:01
Quant open1
Worst price5561.00
Drawdown as % of equity-0.41%
 ($208)
Includes Typical Broker Commissions trade costs of $8.00
7/18/24 15:29 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 19817.65 7/18 18:19 19963.00 0.17%
Trade id #148684700
Max drawdown($103)
Time7/18/24 15:32
Quant open1
Worst price19812.50
Drawdown as % of equity-0.17%
 $2,899
Includes Typical Broker Commissions trade costs of $8.00
7/18/24 15:25 QGCQ4 Gold 100 oz LONG 1 2445.9 7/18 15:29 2445.7 0.08%
Trade id #148684667
Max drawdown($47)
Time7/18/24 15:29
Quant open1
Worst price2445.4
Drawdown as % of equity-0.08%
 ($28)
Includes Typical Broker Commissions trade costs of $8.00
7/18/24 14:55 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 19844.80 7/18 15:12 19786.15 2.41%
Trade id #148684386
Max drawdown($1,461)
Time7/18/24 15:12
Quant open1
Worst price19771.80
Drawdown as % of equity-2.41%
 ($1,181)
Includes Typical Broker Commissions trade costs of $8.00
7/18/24 13:21 @ESU4 E-MINI S&P 500 LONG 2 5613.50 7/18 14:29 5592.38 3.48%
Trade id #148683602
Max drawdown($2,175)
Time7/18/24 14:29
Quant open2
Worst price5591.75
Drawdown as % of equity-3.48%
 ($2,129)
Includes Typical Broker Commissions trade costs of $16.00
7/17/24 14:30 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 20067.12 7/17 14:34 20047.05 0.71%
Trade id #148673859
Max drawdown($457)
Time7/17/24 14:34
Quant open1
Worst price20044.20
Drawdown as % of equity-0.71%
 ($410)
Includes Typical Broker Commissions trade costs of $8.00
7/17/24 13:29 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 20042.25 7/17 13:42 20043.90 0.01%
Trade id #148673140
Max drawdown($5)
Time7/17/24 13:42
Quant open1
Worst price20042.00
Drawdown as % of equity-0.01%
 $25
Includes Typical Broker Commissions trade costs of $8.00
7/17/24 13:17 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 20027.95 7/17 13:28 20029.10 n/a $15
Includes Typical Broker Commissions trade costs of $8.00
7/17/24 12:57 @NQU4 E-MINI NASDAQ 100 STK IDX LONG 1 20051.78 7/17 13:13 20019.00 1.09%
Trade id #148672956
Max drawdown($705)
Time7/17/24 13:13
Quant open1
Worst price20016.50
Drawdown as % of equity-1.09%
 ($664)
Includes Typical Broker Commissions trade costs of $8.00
7/17/24 11:29 @ESU4 E-MINI S&P 500 LONG 2 5651.16 7/17 12:13 5641.50 1.73%
Trade id #148671222
Max drawdown($1,115)
Time7/17/24 12:13
Quant open2
Worst price5640.00
Drawdown as % of equity-1.73%
 ($982)
Includes Typical Broker Commissions trade costs of $16.00
7/17/24 11:13 @ESU4 E-MINI S&P 500 LONG 1 5650.69 7/17 11:25 5648.94 0.26%
Trade id #148671017
Max drawdown($171)
Time7/17/24 11:25
Quant open1
Worst price5647.25
Drawdown as % of equity-0.26%
 ($96)
Includes Typical Broker Commissions trade costs of $8.00
7/17/24 10:07 @ESU4 E-MINI S&P 500 LONG 2 5655.12 7/17 11:04 5647.31 1.25%
Trade id #148669938
Max drawdown($837)
Time7/17/24 11:04
Quant open2
Worst price5646.75
Drawdown as % of equity-1.25%
 ($797)
Includes Typical Broker Commissions trade costs of $16.00
7/17/24 9:35 @ESU4 E-MINI S&P 500 LONG 2 5667.81 7/17 10:06 5656.25 2.14%
Trade id #148669258
Max drawdown($1,431)
Time7/17/24 10:06
Quant open2
Worst price5653.50
Drawdown as % of equity-2.14%
 ($1,172)
Includes Typical Broker Commissions trade costs of $16.00
7/15/24 13:07 @ESU4 E-MINI S&P 500 LONG 2 5693.50 7/15 13:30 5683.50 1.45%
Trade id #148652345
Max drawdown($1,025)
Time7/15/24 13:30
Quant open2
Worst price5683.25
Drawdown as % of equity-1.45%
 ($1,016)
Includes Typical Broker Commissions trade costs of $16.00
7/15/24 13:03 @ESU4 E-MINI S&P 500 SHORT 2 5685.50 7/15 13:07 5693.50 1.16%
Trade id #148652286
Max drawdown($825)
Time7/15/24 13:07
Quant open2
Worst price5693.75
Drawdown as % of equity-1.16%
 ($816)
Includes Typical Broker Commissions trade costs of $16.00
7/15/24 12:38 @ESU4 E-MINI S&P 500 LONG 2 5699.47 7/15 13:03 5685.50 2.29%
Trade id #148652053
Max drawdown($1,621)
Time7/15/24 13:03
Quant open2
Worst price5683.25
Drawdown as % of equity-2.29%
 ($1,413)
Includes Typical Broker Commissions trade costs of $16.00
7/15/24 11:43 @YMU4 MINI DOW LONG 2 40636 7/15 12:31 40565 1.13%
Trade id #148650656
Max drawdown($800)
Time7/15/24 12:31
Quant open2
Worst price40556
Drawdown as % of equity-1.13%
 ($730)
Includes Typical Broker Commissions trade costs of $16.00
7/12/24 10:44 @YMU4 MINI DOW LONG 3 40267 7/12 11:25 40364 n/a $1,430
Includes Typical Broker Commissions trade costs of $24.00
7/12/24 10:04 @RTYU4 Russell 2000 CME LONG 2 2177.15 7/12 10:41 2178.69 0.28%
Trade id #148633856
Max drawdown($195)
Time7/12/24 10:10
Quant open2
Worst price2175.20
Drawdown as % of equity-0.28%
 $138
Includes Typical Broker Commissions trade costs of $16.00
7/11/24 9:43 @YMU4 MINI DOW LONG 2 40016 7/11 10:14 40179 0.39%
Trade id #148621228
Max drawdown($265)
Time7/11/24 9:46
Quant open2
Worst price39990
Drawdown as % of equity-0.39%
 $1,612
Includes Typical Broker Commissions trade costs of $16.00
7/11/24 9:11 @YMU4 MINI DOW LONG 2 40064 7/11 9:36 39974 1.56%
Trade id #148620447
Max drawdown($1,067)
Time7/11/24 9:36
Quant open2
Worst price39957
Drawdown as % of equity-1.56%
 ($917)
Includes Typical Broker Commissions trade costs of $16.00
7/10/24 11:16 @YMU4 MINI DOW LONG 3 39659 7/10 12:08 39726 n/a $991
Includes Typical Broker Commissions trade costs of $24.00
7/10/24 11:14 @RTYU4 Russell 2000 CME SHORT 3 2051.64 7/10 11:16 2052.43 0.18%
Trade id #148611657
Max drawdown($119)
Time7/10/24 11:16
Quant open3
Worst price2052.43
Drawdown as % of equity-0.18%
 ($143)
Includes Typical Broker Commissions trade costs of $24.00
Next

Statistics

  • Strategy began
    11/20/2023
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    390.88
  • Age
    13 months ago
  • What it trades
    Futures
  • # Trades
    427
  • # Profitable
    216
  • % Profitable
    50.60%
  • Avg trade duration
    34.6 minutes
  • Max peak-to-valley drawdown
    14.57%
  • drawdown period
    May 15, 2024 - July 18, 2024
  • Annual Return (Compounded)
    25.2%
  • Avg win
    $498.24
  • Avg loss
    $405.11
  • Model Account Values (Raw)
  • Cash
    $72,141
  • Margin Used
    $0
  • Buying Power
    $72,141
  • Ratios
  • W:L ratio
    1.26:1
  • Sharpe Ratio
    1.28
  • Sortino Ratio
    1.83
  • Calmar Ratio
    5.872
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -5.66%
  • Correlation to SP500
    0.06800
  • Return Percent SP500 (cumu) during strategy life
    31.37%
  • Return Statistics
  • Ann Return (w trading costs)
    25.2%
  • Slump
  • Current Slump as Pcnt Equity
    11.50%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.55%
  • 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)
    0.252%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    40.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    7.00%
  • Chance of 20% account loss
    n/a
  • 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
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    703
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    485
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $405
  • Avg Win
    $498
  • Sum Trade PL (losers)
    $85,479.000
  • Age
  • Num Months filled monthly returns table
    14
  • Win / Loss
  • Sum Trade PL (winners)
    $107,620.000
  • # Winners
    216
  • Num Months Winners
    6
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    211
  • % Winners
    50.6%
  • Frequency
  • Avg Position Time (mins)
    34.62
  • Avg Position Time (hrs)
    0.58
  • Avg Trade Length
    0.0 days
  • Last Trade Ago
    146
  • Leverage
  • Daily leverage (average)
    6.70
  • Daily leverage (max)
    13.69
  • Regression
  • Alpha
    0.06
  • Beta
    0.08
  • Treynor Index
    0.77
  • 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)
    -1.60
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -7.916
  • 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
    0.547
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.245
  • Hold-and-Hope Ratio
    -0.126
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56939
  • SD
    0.29648
  • Sharpe ratio (Glass type estimate)
    1.92051
  • Sharpe ratio (Hedges UMVUE)
    1.70580
  • df
    7.00000
  • t
    1.56809
  • p
    0.08042
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.73186
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.45883
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85556
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.26717
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.78443
  • Upside Potential Ratio
    11.43630
  • Upside part of mean
    0.66552
  • Downside part of mean
    -0.09613
  • Upside SD
    0.31709
  • Downside SD
    0.05819
  • N nonnegative terms
    6.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.24394
  • Mean of criterion
    0.56939
  • SD of predictor
    0.09117
  • SD of criterion
    0.29648
  • Covariance
    0.00912
  • r
    0.33750
  • b (slope, estimate of beta)
    1.09749
  • a (intercept, estimate of alpha)
    0.30167
  • Mean Square Error
    0.09087
  • DF error
    6.00000
  • t(b)
    0.87823
  • p(b)
    0.20680
  • t(a)
    0.63009
  • p(a)
    0.27593
  • Lowerbound of 95% confidence interval for beta
    -1.96037
  • Upperbound of 95% confidence interval for beta
    4.15534
  • Lowerbound of 95% confidence interval for alpha
    -0.86987
  • Upperbound of 95% confidence interval for alpha
    1.47322
  • Treynor index (mean / b)
    0.51881
  • Jensen alpha (a)
    0.30167
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52201
  • SD
    0.27103
  • Sharpe ratio (Glass type estimate)
    1.92603
  • Sharpe ratio (Hedges UMVUE)
    1.71070
  • df
    7.00000
  • t
    1.57260
  • p
    0.07990
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.72759
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.46521
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85156
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.27297
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.82010
  • Upside Potential Ratio
    10.46980
  • Upside part of mean
    0.61965
  • Downside part of mean
    -0.09764
  • Upside SD
    0.28893
  • Downside SD
    0.05918
  • N nonnegative terms
    6.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    8.00000
  • Mean of predictor
    0.23738
  • Mean of criterion
    0.52201
  • SD of predictor
    0.09059
  • SD of criterion
    0.27103
  • Covariance
    0.00843
  • r
    0.34336
  • b (slope, estimate of beta)
    1.02722
  • a (intercept, estimate of alpha)
    0.27817
  • Mean Square Error
    0.07560
  • DF error
    6.00000
  • t(b)
    0.89549
  • p(b)
    0.20251
  • t(a)
    0.64233
  • p(a)
    0.27220
  • Lowerbound of 95% confidence interval for beta
    -1.77966
  • Upperbound of 95% confidence interval for beta
    3.83410
  • Lowerbound of 95% confidence interval for alpha
    -0.78151
  • Upperbound of 95% confidence interval for alpha
    1.33785
  • Treynor index (mean / b)
    0.50818
  • Jensen alpha (a)
    0.27817
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08166
  • Expected Shortfall on VaR
    0.11083
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01123
  • Expected Shortfall on VaR
    0.02537
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.96018
  • Quartile 1
    1.00226
  • Median
    1.02795
  • Quartile 3
    1.07204
  • Maximum
    1.23322
  • Mean of quarter 1
    0.97028
  • Mean of quarter 2
    1.01846
  • Mean of quarter 3
    1.04656
  • Mean of quarter 4
    1.16381
  • Inter Quartile Range
    0.06978
  • 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
    1.23322
  • 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
    2.00000
  • Minimum
    0.01961
  • Quartile 1
    0.02466
  • Median
    0.02972
  • Quartile 3
    0.03477
  • Maximum
    0.03982
  • Mean of quarter 1
    0.01961
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03982
  • Inter Quartile Range
    0.01010
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.66426
  • Compounded annual return (geometric extrapolation)
    0.73311
  • Calmar ratio (compounded annual return / max draw down)
    18.41210
  • Compounded annual return / average of 25% largest draw downs
    18.41210
  • Compounded annual return / Expected Shortfall lognormal
    6.61467
  • 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
    0.48033
  • SD
    0.15952
  • Sharpe ratio (Glass type estimate)
    3.01115
  • Sharpe ratio (Hedges UMVUE)
    2.99943
  • df
    193.00000
  • t
    2.59109
  • p
    0.38393
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.70993
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.30480
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.70215
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.29671
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.73326
  • Upside Potential Ratio
    11.27590
  • Upside part of mean
    1.14428
  • Downside part of mean
    -0.66395
  • Upside SD
    0.12608
  • Downside SD
    0.10148
  • N nonnegative terms
    99.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    194.00000
  • Mean of predictor
    0.37284
  • Mean of criterion
    0.48033
  • SD of predictor
    0.13673
  • SD of criterion
    0.15952
  • Covariance
    0.00064
  • r
    0.02929
  • b (slope, estimate of beta)
    0.03417
  • a (intercept, estimate of alpha)
    0.46800
  • Mean Square Error
    0.02556
  • DF error
    192.00000
  • t(b)
    0.40604
  • p(b)
    0.48535
  • t(a)
    2.48175
  • p(a)
    0.41185
  • Lowerbound of 95% confidence interval for beta
    -0.13182
  • Upperbound of 95% confidence interval for beta
    0.20017
  • Lowerbound of 95% confidence interval for alpha
    0.09597
  • Upperbound of 95% confidence interval for alpha
    0.83922
  • Treynor index (mean / b)
    14.05630
  • Jensen alpha (a)
    0.46759
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.46721
  • SD
    0.15943
  • Sharpe ratio (Glass type estimate)
    2.93050
  • Sharpe ratio (Hedges UMVUE)
    2.91910
  • df
    193.00000
  • t
    2.52169
  • p
    0.38691
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.63041
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.22320
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.62285
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.21534
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.55564
  • Upside Potential Ratio
    11.07980
  • Upside part of mean
    1.13631
  • Downside part of mean
    -0.66910
  • Upside SD
    0.12491
  • Downside SD
    0.10256
  • N nonnegative terms
    99.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    194.00000
  • Mean of predictor
    0.36327
  • Mean of criterion
    0.46721
  • SD of predictor
    0.13649
  • SD of criterion
    0.15943
  • Covariance
    0.00068
  • r
    0.03136
  • b (slope, estimate of beta)
    0.03663
  • a (intercept, estimate of alpha)
    0.45390
  • Mean Square Error
    0.02553
  • DF error
    192.00000
  • t(b)
    0.43474
  • p(b)
    0.48432
  • t(a)
    2.41216
  • p(a)
    0.41425
  • Lowerbound of 95% confidence interval for beta
    -0.12956
  • Upperbound of 95% confidence interval for beta
    0.20282
  • Lowerbound of 95% confidence interval for alpha
    0.08275
  • Upperbound of 95% confidence interval for alpha
    0.82505
  • Treynor index (mean / b)
    12.75480
  • Jensen alpha (a)
    0.45390
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01431
  • Expected Shortfall on VaR
    0.01836
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00566
  • Expected Shortfall on VaR
    0.01201
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    194.00000
  • Minimum
    0.96326
  • Quartile 1
    0.99920
  • Median
    1.00051
  • Quartile 3
    1.00745
  • Maximum
    1.03224
  • Mean of quarter 1
    0.99022
  • Mean of quarter 2
    0.99996
  • Mean of quarter 3
    1.00393
  • Mean of quarter 4
    1.01364
  • Inter Quartile Range
    0.00824
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.06186
  • Mean of outliers low
    0.97953
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.03608
  • Mean of outliers high
    1.02636
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.62469
  • VaR(95%) (moments method)
    0.00407
  • Expected Shortfall (moments method)
    0.00479
  • Extreme Value Index (regression method)
    0.05115
  • VaR(95%) (regression method)
    0.00929
  • Expected Shortfall (regression method)
    0.01506
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.00900
  • Quartile 1
    0.01179
  • Median
    0.02512
  • Quartile 3
    0.08730
  • Maximum
    0.10910
  • Mean of quarter 1
    0.01001
  • Mean of quarter 2
    0.01439
  • Mean of quarter 3
    0.06035
  • Mean of quarter 4
    0.09838
  • Inter Quartile Range
    0.07551
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.59806
  • Compounded annual return (geometric extrapolation)
    0.64069
  • Calmar ratio (compounded annual return / max draw down)
    5.87246
  • Compounded annual return / average of 25% largest draw downs
    6.51240
  • Compounded annual return / Expected Shortfall lognormal
    34.90270
  • 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
    -0.03137
  • SD
    0.15432
  • Sharpe ratio (Glass type estimate)
    -0.20327
  • Sharpe ratio (Hedges UMVUE)
    -0.20209
  • df
    130.00000
  • t
    -0.14373
  • p
    0.50630
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.97482
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.56901
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.97401
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.56982
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.26557
  • Upside Potential Ratio
    6.98566
  • Upside part of mean
    0.82513
  • Downside part of mean
    -0.85650
  • Upside SD
    0.09841
  • Downside SD
    0.11812
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.37103
  • Mean of criterion
    -0.03137
  • SD of predictor
    0.15145
  • SD of criterion
    0.15432
  • Covariance
    0.00233
  • r
    0.09980
  • b (slope, estimate of beta)
    0.10169
  • a (intercept, estimate of alpha)
    -0.06910
  • Mean Square Error
    0.02376
  • DF error
    129.00000
  • t(b)
    1.13919
  • p(b)
    0.43657
  • t(a)
    -0.31338
  • p(a)
    0.51756
  • Lowerbound of 95% confidence interval for beta
    -0.07492
  • Upperbound of 95% confidence interval for beta
    0.27831
  • Lowerbound of 95% confidence interval for alpha
    -0.50535
  • Upperbound of 95% confidence interval for alpha
    0.36715
  • Treynor index (mean / b)
    -0.30847
  • Jensen alpha (a)
    -0.06910
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.04323
  • SD
    0.15482
  • Sharpe ratio (Glass type estimate)
    -0.27925
  • Sharpe ratio (Hedges UMVUE)
    -0.27764
  • df
    130.00000
  • t
    -0.19746
  • p
    0.50866
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.05078
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.49325
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.04965
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.49438
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.36203
  • Upside Potential Ratio
    6.86854
  • Upside part of mean
    0.82025
  • Downside part of mean
    -0.86349
  • Upside SD
    0.09764
  • Downside SD
    0.11942
  • N nonnegative terms
    56.00000
  • N negative terms
    75.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.35939
  • Mean of criterion
    -0.04323
  • SD of predictor
    0.15113
  • SD of criterion
    0.15482
  • Covariance
    0.00237
  • r
    0.10139
  • b (slope, estimate of beta)
    0.10387
  • a (intercept, estimate of alpha)
    -0.08057
  • Mean Square Error
    0.02391
  • DF error
    129.00000
  • t(b)
    1.15758
  • p(b)
    0.43556
  • t(a)
    -0.36450
  • p(a)
    0.52042
  • VAR (95 Confidence Intrvl)
    0.01400
  • Lowerbound of 95% confidence interval for beta
    -0.07367
  • Upperbound of 95% confidence interval for beta
    0.28141
  • Lowerbound of 95% confidence interval for alpha
    -0.51788
  • Upperbound of 95% confidence interval for alpha
    0.35675
  • Treynor index (mean / b)
    -0.41623
  • Jensen alpha (a)
    -0.08057
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01577
  • Expected Shortfall on VaR
    0.01969
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00815
  • Expected Shortfall on VaR
    0.01629
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96326
  • Quartile 1
    0.99672
  • Median
    1.00000
  • Quartile 3
    1.00551
  • Maximum
    1.02536
  • Mean of quarter 1
    0.98776
  • Mean of quarter 2
    0.99950
  • Mean of quarter 3
    1.00200
  • Mean of quarter 4
    1.01075
  • Inter Quartile Range
    0.00879
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.97657
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.02448
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.29372
  • VaR(95%) (moments method)
    0.00994
  • Expected Shortfall (moments method)
    0.01239
  • Extreme Value Index (regression method)
    0.10415
  • VaR(95%) (regression method)
    0.01201
  • Expected Shortfall (regression method)
    0.01839
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.00900
  • Quartile 1
    0.01672
  • Median
    0.08719
  • Quartile 3
    0.08766
  • Maximum
    0.10910
  • Mean of quarter 1
    0.01286
  • Mean of quarter 2
    0.08719
  • Mean of quarter 3
    0.08766
  • Mean of quarter 4
    0.10910
  • Inter Quartile Range
    0.07094
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -355535000
  • Max Equity Drawdown (num days)
    64
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.01527
  • Compounded annual return (geometric extrapolation)
    -0.01521
  • Calmar ratio (compounded annual return / max draw down)
    -0.13942
  • Compounded annual return / average of 25% largest draw downs
    -0.13942
  • Compounded annual return / Expected Shortfall lognormal
    -0.77242

Strategy Description

This is a day trading model that I trade in my IRA with IBKR, which then feeds into C2.
Signals are systematic with a discretionary overlay and the actual trading is manual.

***Futures trading can be risky, and I am not responsible for any losses incurred by following this model***

Sizing is based on a $50K account risking 2 - 3% on average.
Although all efforts are made to minimize losses, overall account drawdowns of around 10 - 20% of the model size ($50K) should be expected over time, but obviously it could be more or less.



Summary Statistics

Strategy began
2023-11-20
Suggested Minimum Capital
$60,000
# Trades
427
# Profitable
216
% Profitable
50.6%
Correlation S&P500
0.068
Sharpe Ratio
1.28
Sortino Ratio
1.83
Beta
0.08
Alpha
0.06
Leverage
6.70 Average
13.69 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

#PERSONNAME#
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.