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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M8888
(146821622)

Created by: M8888 M8888
Started: 03/2024
Futures
Last trade: 8 days ago
Trading style: Futures Currencies

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 $100.00 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.

Trading Category: Futures
Currencies
Category: Equity

Currencies

Focuses on currency futures.
129.7%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(67.4%)
Max Drawdown
223
Num Trades
80.7%
Win Trades
1.5 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2024              (0.4%)+12.6%+16.1%(7.3%)+122.2%+47.7%+27.4%(25.7%)+23.0%(50.1%)+129.7%

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 987 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
12/9/24 4:54 @JYZ4 JAPANESE YEN LONG 11 0.006632 12/12 8:41 0.006582 20.52%
Trade id #150276588
Max drawdown($11,725)
Time12/12/24 1:19
Quant open11
Worst price0.006547
Drawdown as % of equity-20.52%
 ($6,988)
Includes Typical Broker Commissions trade costs of $88.00
12/9/24 1:27 @BPZ4 BRITISH POUND LONG 3 1.2726 12/9 1:59 1.2731 0.03%
Trade id #150275880
Max drawdown($18)
Time12/9/24 1:31
Quant open3
Worst price1.2725
Drawdown as % of equity-0.03%
 $70
Includes Typical Broker Commissions trade costs of $24.00
12/6/24 3:43 @BPZ4 BRITISH POUND SHORT 8 1.2789 12/6 9:31 1.2774 1.5%
Trade id #150261503
Max drawdown($995)
Time12/6/24 8:39
Quant open6
Worst price1.2811
Drawdown as % of equity-1.50%
 $659
Includes Typical Broker Commissions trade costs of $64.00
12/5/24 10:57 @BPZ4 BRITISH POUND SHORT 2 1.2762 12/5 16:46 1.2759 n/a $22
Includes Typical Broker Commissions trade costs of $16.00
12/5/24 9:32 @BPZ4 BRITISH POUND SHORT 4 1.2766 12/5 10:39 1.2748 0.18%
Trade id #150250714
Max drawdown($118)
Time12/5/24 9:41
Quant open4
Worst price1.2771
Drawdown as % of equity-0.18%
 $424
Includes Typical Broker Commissions trade costs of $32.00
12/5/24 4:12 @BPZ4 BRITISH POUND LONG 1 1.2720 12/5 9:27 1.2755 0.06%
Trade id #150249107
Max drawdown($37)
Time12/5/24 4:25
Quant open1
Worst price1.2714
Drawdown as % of equity-0.06%
 $211
Includes Typical Broker Commissions trade costs of $8.00
12/4/24 13:31 @BPZ4 BRITISH POUND LONG 6 1.2700 12/5 2:55 1.2712 0.77%
Trade id #150244630
Max drawdown($500)
Time12/4/24 14:02
Quant open6
Worst price1.2687
Drawdown as % of equity-0.77%
 $377
Includes Typical Broker Commissions trade costs of $48.00
12/4/24 11:37 @BPZ4 BRITISH POUND LONG 2 1.2708 12/4 12:21 1.2716 0.05%
Trade id #150242943
Max drawdown($31)
Time12/4/24 11:45
Quant open1
Worst price1.2705
Drawdown as % of equity-0.05%
 $84
Includes Typical Broker Commissions trade costs of $16.00
12/4/24 0:40 @BPZ4 BRITISH POUND LONG 15 1.2685 12/4 11:36 1.2703 4.42%
Trade id #150238780
Max drawdown($2,756)
Time12/4/24 4:04
Quant open9
Worst price1.2630
Drawdown as % of equity-4.42%
 $1,567
Includes Typical Broker Commissions trade costs of $120.00
12/4/24 0:43 @SFZ4 SWISS FRANC LONG 2 1.1293 12/4 10:16 1.1318 0.67%
Trade id #150238786
Max drawdown($420)
Time12/4/24 4:18
Quant open2
Worst price1.1277
Drawdown as % of equity-0.67%
 $601
Includes Typical Broker Commissions trade costs of $16.00
12/2/24 2:05 @BPZ4 BRITISH POUND LONG 39 1.2675 12/4 0:37 1.2688 10.16%
Trade id #150219055
Max drawdown($5,674)
Time12/2/24 10:45
Quant open15
Worst price1.2617
Drawdown as % of equity-10.16%
 $2,791
Includes Typical Broker Commissions trade costs of $312.00
12/3/24 20:33 @SFZ4 SWISS FRANC LONG 2 1.1293 12/4 0:37 1.1296 0.46%
Trade id #150238108
Max drawdown($281)
Time12/3/24 23:04
Quant open2
Worst price1.1282
Drawdown as % of equity-0.46%
 $50
Includes Typical Broker Commissions trade costs of $16.00
12/3/24 5:18 GBP/USD GBP/USD LONG 1 1.26769 12/3 5:18 1.26760 0%
Trade id #150229706
Max drawdown($1)
Time12/3/24 5:18
Quant open1
Worst price1.26760
Drawdown as % of equity-0.00%
 ($1)
12/3/24 5:14 GBP/USD GBP/USD LONG 1 1.26813 12/3 5:15 1.26798 0%
Trade id #150229697
Max drawdown($2)
Time12/3/24 5:15
Quant open1
Worst price1.26798
Drawdown as % of equity-0.00%
 ($2)
12/3/24 2:34 @SFZ4 SWISS FRANC LONG 2 1.1293 12/3 4:51 1.1312 0.19%
Trade id #150229124
Max drawdown($112)
Time12/3/24 3:11
Quant open2
Worst price1.1288
Drawdown as % of equity-0.19%
 $468
Includes Typical Broker Commissions trade costs of $16.00
12/2/24 0:42 @BPZ4 BRITISH POUND LONG 5 1.2691 12/2 2:04 1.2705 0.32%
Trade id #150218811
Max drawdown($187)
Time12/2/24 0:59
Quant open5
Worst price1.2685
Drawdown as % of equity-0.32%
 $394
Includes Typical Broker Commissions trade costs of $40.00
12/1/24 19:20 GBP/USD GBP/USD LONG 1 1.26959 12/1 19:21 1.26950 0%
Trade id #150217961
Max drawdown($1)
Time12/1/24 19:21
Quant open1
Worst price1.26950
Drawdown as % of equity-0.00%
 ($1)
12/1/24 19:15 GBP/USD GBP/USD LONG 1 1.26948 12/1 19:18 1.26940 0%
Trade id #150217936
Max drawdown($1)
Time12/1/24 19:18
Quant open1
Worst price1.26937
Drawdown as % of equity-0.00%
 ($1)
11/29/24 12:04 @JYZ4 JAPANESE YEN SHORT 6 0.006682 12/1 19:09 0.006674 2.66%
Trade id #150210819
Max drawdown($1,550)
Time11/29/24 13:08
Quant open6
Worst price0.006703
Drawdown as % of equity-2.66%
 $590
Includes Typical Broker Commissions trade costs of $48.00
11/29/24 10:54 @JYZ4 JAPANESE YEN SHORT 1 0.006668 11/29 11:09 0.006664 0.13%
Trade id #150209206
Max drawdown($75)
Time11/29/24 10:57
Quant open1
Worst price0.006674
Drawdown as % of equity-0.13%
 $42
Includes Typical Broker Commissions trade costs of $8.00
11/29/24 5:26 @JYZ4 JAPANESE YEN SHORT 3 0.006680 11/29 10:51 0.006666 0.45%
Trade id #150206544
Max drawdown($262)
Time11/29/24 6:07
Quant open3
Worst price0.006687
Drawdown as % of equity-0.45%
 $513
Includes Typical Broker Commissions trade costs of $24.00
11/29/24 3:43 @JYZ4 JAPANESE YEN SHORT 2 0.006678 11/29 4:41 0.006671 0.24%
Trade id #150206281
Max drawdown($137)
Time11/29/24 4:11
Quant open2
Worst price0.006683
Drawdown as % of equity-0.24%
 $147
Includes Typical Broker Commissions trade costs of $16.00
11/29/24 3:25 @BPZ4 BRITISH POUND SHORT 1 1.2710 11/29 4:41 1.2696 0.05%
Trade id #150206200
Max drawdown($31)
Time11/29/24 3:38
Quant open1
Worst price1.2715
Drawdown as % of equity-0.05%
 $80
Includes Typical Broker Commissions trade costs of $8.00
11/28/24 20:51 @JYZ4 JAPANESE YEN SHORT 12 0.006680 11/29 3:19 0.006672 3.71%
Trade id #150204984
Max drawdown($2,012)
Time11/29/24 2:29
Quant open7
Worst price0.006701
Drawdown as % of equity-3.71%
 $1,091
Includes Typical Broker Commissions trade costs of $96.00
11/28/24 20:54 @BPZ4 BRITISH POUND SHORT 7 1.2721 11/29 3:14 1.2701 2.15%
Trade id #150204996
Max drawdown($1,165)
Time11/29/24 2:26
Quant open6
Worst price1.2750
Drawdown as % of equity-2.15%
 $826
Includes Typical Broker Commissions trade costs of $56.00
11/28/24 2:38 @BPZ4 BRITISH POUND LONG 2 1.2648 11/28 6:14 1.2672 0.06%
Trade id #150200369
Max drawdown($31)
Time11/28/24 2:45
Quant open1
Worst price1.2645
Drawdown as % of equity-0.06%
 $290
Includes Typical Broker Commissions trade costs of $16.00
11/28/24 1:42 GBP/USD GBP/USD LONG 1 1.26631 11/28 1:50 1.26620 0%
Trade id #150200257
Max drawdown($2)
Time11/28/24 1:50
Quant open1
Worst price1.26606
Drawdown as % of equity-0.00%
 ($1)
11/28/24 1:42 GBP/USD GBP/USD LONG 1 1.26636 11/28 1:42 1.26623 0%
Trade id #150200254
Max drawdown($1)
Time11/28/24 1:42
Quant open1
Worst price1.26623
Drawdown as % of equity-0.00%
 ($1)
11/28/24 1:41 GBP/USD GBP/USD LONG 1 1.26636 11/28 1:42 1.26630 0%
Trade id #150200250
Max drawdown($1)
Time11/28/24 1:42
Quant open1
Worst price1.26630
Drawdown as % of equity-0.00%
 ($1)
11/26/24 23:15 @JYZ4 JAPANESE YEN SHORT 7 0.006615 11/27 22:47 0.006610 7.38%
Trade id #150191247
Max drawdown($3,962)
Time11/27/24 11:50
Quant open5
Worst price0.006663
Drawdown as % of equity-7.38%
 $407
Includes Typical Broker Commissions trade costs of $56.00
Next

Statistics

  • Strategy began
    3/25/2024
  • Suggested Minimum Cap
    $25,000
  • Strategy Age (days)
    269.69
  • Age
    9 months ago
  • What it trades
    Futures
  • # Trades
    223
  • # Profitable
    180
  • % Profitable
    80.70%
  • Avg trade duration
    1.4 days
  • Max peak-to-valley drawdown
    67.42%
  • drawdown period
    Dec 09, 2024 - Dec 19, 2024
  • Cumul. Return
    129.7%
  • Avg win
    $585.54
  • Avg loss
    $1,678
  • Model Account Values (Raw)
  • Cash
    $66,214
  • Margin Used
    $34,800
  • Buying Power
    $10,939
  • Ratios
  • W:L ratio
    1.46:1
  • Sharpe Ratio
    1.27
  • Sortino Ratio
    2.12
  • Calmar Ratio
    3.991
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    117.27%
  • Correlation to SP500
    -0.00900
  • Return Percent SP500 (cumu) during strategy life
    14.48%
  • Return Statistics
  • Ann Return (w trading costs)
    204.4%
  • Slump
  • Current Slump as Pcnt Equity
    133.10%
  • Instruments
  • Percent Trades Futures
    0.98%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.04%
  • 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)
    1.297%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.02%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    300.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    73.50%
  • Chance of 20% account loss
    55.50%
  • Chance of 30% account loss
    28.00%
  • Chance of 40% account loss
    18.00%
  • Chance of 60% account loss (Monte Carlo)
    4.00%
  • 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
    7.00%
  • Popularity
  • Popularity (Today)
    785
  • Popularity (Last 6 weeks)
    967
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    911
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,928
  • Avg Win
    $586
  • Sum Trade PL (losers)
    $82,883.000
  • Age
  • Num Months filled monthly returns table
    10
  • Win / Loss
  • Sum Trade PL (winners)
    $105,397.000
  • # Winners
    180
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    50028
  • Win / Loss
  • # Losers
    43
  • % Winners
    80.7%
  • Frequency
  • Avg Position Time (mins)
    2009.17
  • Avg Position Time (hrs)
    33.49
  • Avg Trade Length
    1.4 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    11.92
  • Daily leverage (max)
    40.85
  • Regression
  • Alpha
    0.50
  • Beta
    -0.08
  • Treynor Index
    -6.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.38
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.08
  • Avg(MAE) / Avg(PL) - All trades
    14.114
  • 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
    0.833
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.182
  • Hold-and-Hope Ratio
    0.171
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.57915
  • SD
    0.96154
  • Sharpe ratio (Glass type estimate)
    2.68231
  • Sharpe ratio (Hedges UMVUE)
    2.38244
  • df
    7.00000
  • t
    2.19010
  • p
    0.03233
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.15510
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.38045
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32304
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.08791
  • Statistics related to Sortino ratio
  • Sortino ratio
    12.04420
  • Upside Potential Ratio
    13.33570
  • Upside part of mean
    2.85572
  • Downside part of mean
    -0.27657
  • Upside SD
    1.14781
  • Downside SD
    0.21414
  • 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
    0.18332
  • Mean of criterion
    2.57915
  • SD of predictor
    0.08609
  • SD of criterion
    0.96154
  • Covariance
    -0.02116
  • r
    -0.25559
  • b (slope, estimate of beta)
    -2.85470
  • a (intercept, estimate of alpha)
    3.10248
  • Mean Square Error
    1.00819
  • DF error
    6.00000
  • t(b)
    -0.64757
  • p(b)
    0.72938
  • t(a)
    2.10835
  • p(a)
    0.03978
  • Lowerbound of 95% confidence interval for beta
    -13.64170
  • Upperbound of 95% confidence interval for beta
    7.93227
  • Lowerbound of 95% confidence interval for alpha
    -0.49825
  • Upperbound of 95% confidence interval for alpha
    6.70321
  • Treynor index (mean / b)
    -0.90348
  • Jensen alpha (a)
    3.10248
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.05721
  • SD
    0.79373
  • Sharpe ratio (Glass type estimate)
    2.59181
  • Sharpe ratio (Hedges UMVUE)
    2.30205
  • df
    7.00000
  • t
    2.11620
  • p
    0.03606
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.22160
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.26822
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.38426
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.98837
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.76617
  • Upside Potential Ratio
    10.05220
  • Upside part of mean
    2.35900
  • Downside part of mean
    -0.30179
  • Upside SD
    0.92134
  • Downside SD
    0.23468
  • 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
    0.17835
  • Mean of criterion
    2.05721
  • SD of predictor
    0.08537
  • SD of criterion
    0.79373
  • Covariance
    -0.01726
  • r
    -0.25470
  • b (slope, estimate of beta)
    -2.36814
  • a (intercept, estimate of alpha)
    2.47955
  • Mean Square Error
    0.68734
  • DF error
    6.00000
  • t(b)
    -0.64515
  • p(b)
    0.72865
  • t(a)
    2.05240
  • p(a)
    0.04298
  • Lowerbound of 95% confidence interval for beta
    -11.35000
  • Upperbound of 95% confidence interval for beta
    6.61377
  • Lowerbound of 95% confidence interval for alpha
    -0.47666
  • Upperbound of 95% confidence interval for alpha
    5.43576
  • Treynor index (mean / b)
    -0.86870
  • Jensen alpha (a)
    2.47955
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18572
  • Expected Shortfall on VaR
    0.25749
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03076
  • Expected Shortfall on VaR
    0.07602
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    8.00000
  • Minimum
    0.82776
  • Quartile 1
    1.05267
  • Median
    1.16829
  • Quartile 3
    1.37987
  • Maximum
    1.60130
  • Mean of quarter 1
    0.91014
  • Mean of quarter 2
    1.08743
  • Mean of quarter 3
    1.27029
  • Mean of quarter 4
    1.60117
  • Inter Quartile Range
    0.32720
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • 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
    0.17843
  • Quartile 1
    0.17843
  • Median
    0.17843
  • Quartile 3
    0.17843
  • Maximum
    0.17843
  • 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)
    4.52273
  • Compounded annual return (geometric extrapolation)
    7.04550
  • Calmar ratio (compounded annual return / max draw down)
    39.48550
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    27.36220
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.75966
  • SD
    1.10174
  • Sharpe ratio (Glass type estimate)
    1.59716
  • Sharpe ratio (Hedges UMVUE)
    1.59091
  • df
    192.00000
  • t
    1.37081
  • p
    0.45078
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.69407
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.88429
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.69822
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.88005
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.75814
  • Upside Potential Ratio
    8.85298
  • Upside part of mean
    5.64811
  • Downside part of mean
    -3.88844
  • Upside SD
    0.90130
  • Downside SD
    0.63799
  • N nonnegative terms
    108.00000
  • N negative terms
    85.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    193.00000
  • Mean of predictor
    0.13980
  • Mean of criterion
    1.75966
  • SD of predictor
    0.13095
  • SD of criterion
    1.10174
  • Covariance
    -0.00052
  • r
    -0.00363
  • b (slope, estimate of beta)
    -0.03053
  • a (intercept, estimate of alpha)
    1.76400
  • Mean Square Error
    1.22018
  • DF error
    191.00000
  • t(b)
    -0.05015
  • p(b)
    0.50231
  • t(a)
    1.36757
  • p(a)
    0.43741
  • Lowerbound of 95% confidence interval for beta
    -1.23134
  • Upperbound of 95% confidence interval for beta
    1.17027
  • Lowerbound of 95% confidence interval for alpha
    -0.78020
  • Upperbound of 95% confidence interval for alpha
    4.30807
  • Treynor index (mean / b)
    -57.63300
  • Jensen alpha (a)
    1.76393
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.17227
  • SD
    1.08523
  • Sharpe ratio (Glass type estimate)
    1.08020
  • Sharpe ratio (Hedges UMVUE)
    1.07597
  • df
    192.00000
  • t
    0.92711
  • p
    0.46662
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.20735
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.36496
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.21016
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.36211
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.56206
  • Upside Potential Ratio
    7.07797
  • Upside part of mean
    5.31177
  • Downside part of mean
    -4.13950
  • Upside SD
    0.78338
  • Downside SD
    0.75047
  • N nonnegative terms
    108.00000
  • N negative terms
    85.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    193.00000
  • Mean of predictor
    0.13120
  • Mean of criterion
    1.17227
  • SD of predictor
    0.13121
  • SD of criterion
    1.08523
  • Covariance
    0.00090
  • r
    0.00635
  • b (slope, estimate of beta)
    0.05252
  • a (intercept, estimate of alpha)
    1.16538
  • Mean Square Error
    1.18385
  • DF error
    191.00000
  • t(b)
    0.08777
  • p(b)
    0.49596
  • t(a)
    0.91752
  • p(a)
    0.45786
  • Lowerbound of 95% confidence interval for beta
    -1.12788
  • Upperbound of 95% confidence interval for beta
    1.23293
  • Lowerbound of 95% confidence interval for alpha
    -1.33993
  • Upperbound of 95% confidence interval for alpha
    3.67068
  • Treynor index (mean / b)
    22.31840
  • Jensen alpha (a)
    1.16538
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.10040
  • Expected Shortfall on VaR
    0.12499
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03065
  • Expected Shortfall on VaR
    0.06745
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    193.00000
  • Minimum
    0.59611
  • Quartile 1
    0.98526
  • Median
    1.00213
  • Quartile 3
    1.02709
  • Maximum
    1.55703
  • Mean of quarter 1
    0.94602
  • Mean of quarter 2
    0.99588
  • Mean of quarter 3
    1.01191
  • Mean of quarter 4
    1.07474
  • Inter Quartile Range
    0.04183
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.02591
  • Mean of outliers low
    0.83541
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.04663
  • Mean of outliers high
    1.18702
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.03783
  • VaR(95%) (moments method)
    0.04057
  • Expected Shortfall (moments method)
    0.05561
  • Extreme Value Index (regression method)
    0.11996
  • VaR(95%) (regression method)
    0.04341
  • Expected Shortfall (regression method)
    0.06553
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    23.00000
  • Minimum
    0.00049
  • Quartile 1
    0.00418
  • Median
    0.01220
  • Quartile 3
    0.11349
  • Maximum
    0.58154
  • Mean of quarter 1
    0.00212
  • Mean of quarter 2
    0.00807
  • Mean of quarter 3
    0.05651
  • Mean of quarter 4
    0.27569
  • Inter Quartile Range
    0.10932
  • 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
    0.13043
  • Mean of outliers high
    0.42056
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.29226
  • VaR(95%) (moments method)
    0.28879
  • Expected Shortfall (moments method)
    0.49572
  • Extreme Value Index (regression method)
    1.13788
  • VaR(95%) (regression method)
    0.31809
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.92875
  • Compounded annual return (geometric extrapolation)
    2.32070
  • Calmar ratio (compounded annual return / max draw down)
    3.99060
  • Compounded annual return / average of 25% largest draw downs
    8.41794
  • Compounded annual return / Expected Shortfall lognormal
    18.56760
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.40542
  • SD
    1.23057
  • Sharpe ratio (Glass type estimate)
    1.14209
  • Sharpe ratio (Hedges UMVUE)
    1.13549
  • df
    130.00000
  • t
    0.80758
  • p
    0.46467
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.63536
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.91520
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.63975
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.91073
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.89248
  • Upside Potential Ratio
    7.98597
  • Upside part of mean
    5.93065
  • Downside part of mean
    -4.52523
  • Upside SD
    0.97917
  • Downside SD
    0.74263
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.11593
  • Mean of criterion
    1.40542
  • SD of predictor
    0.14078
  • SD of criterion
    1.23057
  • Covariance
    -0.00620
  • r
    -0.03579
  • b (slope, estimate of beta)
    -0.31285
  • a (intercept, estimate of alpha)
    1.44169
  • Mean Square Error
    1.52408
  • DF error
    129.00000
  • t(b)
    -0.40676
  • p(b)
    0.52278
  • t(a)
    0.82469
  • p(a)
    0.45394
  • Lowerbound of 95% confidence interval for beta
    -1.83461
  • Upperbound of 95% confidence interval for beta
    1.20890
  • Lowerbound of 95% confidence interval for alpha
    -2.01711
  • Upperbound of 95% confidence interval for alpha
    4.90049
  • Treynor index (mean / b)
    -4.49224
  • Jensen alpha (a)
    1.44169
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.67420
  • SD
    1.21805
  • Sharpe ratio (Glass type estimate)
    0.55351
  • Sharpe ratio (Hedges UMVUE)
    0.55031
  • df
    130.00000
  • t
    0.39139
  • p
    0.48285
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.22008
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.32517
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.22230
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.32292
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.76391
  • Upside Potential Ratio
    6.28223
  • Upside part of mean
    5.54447
  • Downside part of mean
    -4.87027
  • Upside SD
    0.83375
  • Downside SD
    0.88256
  • N nonnegative terms
    73.00000
  • N negative terms
    58.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10603
  • Mean of criterion
    0.67420
  • SD of predictor
    0.14113
  • SD of criterion
    1.21805
  • Covariance
    -0.00403
  • r
    -0.02345
  • b (slope, estimate of beta)
    -0.20239
  • a (intercept, estimate of alpha)
    0.69566
  • Mean Square Error
    1.49432
  • DF error
    129.00000
  • t(b)
    -0.26641
  • p(b)
    0.51493
  • t(a)
    0.40197
  • p(a)
    0.47749
  • VAR (95 Confidence Intrvl)
    0.10000
  • Lowerbound of 95% confidence interval for beta
    -1.70544
  • Upperbound of 95% confidence interval for beta
    1.30067
  • Lowerbound of 95% confidence interval for alpha
    -2.72846
  • Upperbound of 95% confidence interval for alpha
    4.11978
  • Treynor index (mean / b)
    -3.33128
  • Jensen alpha (a)
    0.69566
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.11415
  • Expected Shortfall on VaR
    0.14124
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03580
  • Expected Shortfall on VaR
    0.07873
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.59611
  • Quartile 1
    0.97983
  • Median
    1.00455
  • Quartile 3
    1.02767
  • Maximum
    1.55703
  • Mean of quarter 1
    0.93619
  • Mean of quarter 2
    0.99587
  • Mean of quarter 3
    1.01445
  • Mean of quarter 4
    1.07565
  • Inter Quartile Range
    0.04784
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.83541
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.02290
  • Mean of outliers high
    1.30003
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.35002
  • VaR(95%) (moments method)
    0.06353
  • Expected Shortfall (moments method)
    0.11372
  • Extreme Value Index (regression method)
    0.16065
  • VaR(95%) (regression method)
    0.05422
  • Expected Shortfall (regression method)
    0.07975
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    16.00000
  • Minimum
    0.00049
  • Quartile 1
    0.00359
  • Median
    0.01182
  • Quartile 3
    0.06171
  • Maximum
    0.58154
  • Mean of quarter 1
    0.00140
  • Mean of quarter 2
    0.00701
  • Mean of quarter 3
    0.02672
  • Mean of quarter 4
    0.34301
  • Inter Quartile Range
    0.05812
  • 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
    0.18750
  • Mean of outliers high
    0.41880
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -9.21961
  • VaR(95%) (moments method)
    0.27588
  • Expected Shortfall (moments method)
    0.27588
  • Extreme Value Index (regression method)
    -0.70049
  • VaR(95%) (regression method)
    0.51156
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.59480
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -367791000
  • Max Equity Drawdown (num days)
    10
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.84113
  • Compounded annual return (geometric extrapolation)
    1.01800
  • Calmar ratio (compounded annual return / max draw down)
    1.75052
  • Compounded annual return / average of 25% largest draw downs
    2.96784
  • Compounded annual return / Expected Shortfall lognormal
    7.20772

Strategy Description

Hello,

1) Trading experience since 2006. Experience in managing a fund of 20 million USD. The plan and goal for the future is to open a hedge fund.
2) My public verified trading results | 2011 + 12.11% | 2012 + 105.51% | 2013 + 272.49% | 2014 + 182.49% | 2015 + 121.17% | 2016 + 65.57% | 2017 + 18.24% | 2018 + 88.6% | 2019 +16.5%.
3) Manual trading is based on the use of advanced mathematical algorithms that generate accurate entry and exit signals, as well as on the analysis of intraday currency futures of the Chicago Mercantile Exchange (CME Group).
4) Trading is carried out both on a trend and on a reversal, on FX futures CME - British Pound Futures, Euro FX Futures, Australian Dollar Futures, Japanese Yen Futures, Swiss Franc Futures, Canadian Dollar Futures.
5) Each trade is protected by stop loss.
6) Not a martingale.

It is important to know when connecting my system “M8888” (FX futures CME) to autotrade:

1) There are no restrictions on the connection of autotrader. Any broker from the list - Interactive Brokers, Tradovate, StoneX, Trade Pro, GarWood, AMP Clearing, AGM Markets, Ninja Trader, CTS Platform (any broker), CQG Platform (any broker), Rithmic Platform (any broker), ETNA Trader (any broker).
2) Attention! I recommend that subscribers in the settings set the maximum risk parameters per month no more than 10-15-20%. Be sure to do this.
3) Attention! To be honest with you, this is not my first profile here. I had great periods here, when the number of paid subscribers was about 100 and the amount under management was about 7 million USD (this is the period from February 2018 to July 2019). For 2018, a profit of 88% was shown, but then 95% of customers left due to a profit of 16% per year!!! From experience I can say that low drawdowns and moderate profit (10-25% per year) are of little interest here, and when you start showing such a result 80-90 percent of clients leave. Strategies with large profits, which lead to large drawdowns in the future, are very popular. This is a pattern and a vicious circle. The more profit the more drawdown awaits you in the future. Therefore, I began to use my system with aggressive risks, which led to a series of failures. Therefore, when subscribing to the system, be sure to set the risk limit acceptable for you in your profile.
4) In the period from November 2021 to October 2022, I had the ARK system here, until May 2022 there was a stable growth of customers, excellent results for six months, a profit of more than 250%, the number of paid subscribers is slightly more than 100, funds are 15 million USD. Then I started trading more conservatively (less risky) and the number of subscribers dropped by 9 times in 3 months!!! I started trading again but more aggressively and this eventually resulted in an error, there was a large drawdown when selling USD/JPY due to the high leverage I took, the idea was right to sell 145-147-150 take profit 135-133 -131, but very poor execution resulted in a loss. I'm the only one to blame for this and there's no excuse for it. Now I'm back. Take a break from trading. During this time, I have optimized my system, leaving only the best algorithms there, and optimizing risk management. I believe in my system. Archive of my systems here for this 2018-2022 system: https://collective2.com/details/117695605, https://collective2.com/details/121833418, https://collective2.com/details/139046671

Useful recommendations when copying my system “M8888” (FX futures CME):

1) Do not idealize the results of my trading. Stable every month for a long period of time, at least over a period of several years, you are unlikely to receive a plus every month, this is not a bank deposit. There will be periods of subsidence, since everything in this world is cyclical and the results in trading are no exception, after growth always follows a decline or for some time there is a stagnation in growth and this should be perceived normally.
2) Diversify your savings - do not put all your eggs in one basket.
3) Constantly and continuously monitor the results, it is desirable to do this several times a week, so you will be calmer.
4) Understand that profitability is not linear, it is not a bank deposit, that income received in the past cannot serve as a guarantee of receiving such income in the future.
5) Do not worry and don’t share your feelings with me about where the market will go or what you think is wrong at the moment (I don’t have a psychological session service), because there is a stop loss for every deal , there is a risk limit. Excessive anxiety only ruins the result.
6) There are periods, several trading sessions, several trading weeks when there is no trading activity, this is normal. Permanent presence in the market and constant trading in no way affects the better profit, does not make it anymore, sometimes just a few trading sessions make the result for a whole month. You need to be able to wait, work out only clear signals and then the result will be much better.
7) There is a possibility that you may lose some or all of your investments and therefore you should not invest money that you cannot afford to lose. You should be aware of all the risks associated with foreign exchange trading and seek advice from an independent financial advisor if you have any doubts.


Michael
August 15, 2024*

Summary Statistics

Strategy began
2024-03-25
Suggested Minimum Capital
$25,000
# Trades
223
# Profitable
180
% Profitable
80.7%
Correlation S&P500
-0.009
Sharpe Ratio
1.27
Sortino Ratio
2.12
Beta
-0.08
Alpha
0.50
Leverage
11.92 Average
40.85 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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