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NQ El Dorado
(110475089)

Created by: InTheMoneyResearch InTheMoneyResearch
Started: 03/2017
Futures
Last trade: 2 days ago
Trading style: Futures Momentum Financials / Indexes

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $149.00 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
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
26.1%
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.

(19.7%)
Max Drawdown
72
Num Trades
27.8%
Win Trades
1.6 : 1
Profit Factor
56.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2017              +2.6%+5.6%+15.6%(1.6%)+14.3%(2.2%)(2.2%)+7.8%(1.4%)+10.6%+58.7%
2018+3.0%+10.6%(0.8%)+5.5%(4.6%)+5.8%(2.9%)+4.3%+0.5%(0.4%)+6.0%(0.6%)+28.6%
2019(4.5%)+1.7%+1.1%+1.1%(7.5%)+1.3%(4.4%)(3.5%)                        (14.2%)

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 85 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/1/19 11:02 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 2 8003.25 8/1 13:29 7926.00 1.74%
Trade id #124718036
Max drawdown($3,090)
Time8/1/19 13:29
Quant open2
Worst price7926.00
Drawdown as % of equity-1.74%
($3,106)
Includes Typical Broker Commissions trade costs of $16.00
8/1/19 9:39 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 2 7924.00 8/1 11:02 8003.00 1.75%
Trade id #124714681
Max drawdown($3,160)
Time8/1/19 11:02
Quant open2
Worst price8003.00
Drawdown as % of equity-1.75%
($3,176)
Includes Typical Broker Commissions trade costs of $16.00
7/23/19 12:15 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 4 7943.88 7/31 14:43 7907.00 1.58%
Trade id #124580680
Max drawdown($2,950)
Time7/31/19 14:43
Quant open2
Worst price7907.00
Drawdown as % of equity-1.58%
($2,982)
Includes Typical Broker Commissions trade costs of $32.00
7/18/19 18:05 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 4 7968.25 7/19 10:49 7922.00 6.45%
Trade id #124524810
Max drawdown($12,240)
Time7/18/19 18:05
Quant open4
Worst price7815.25
Drawdown as % of equity-6.45%
($3,732)
Includes Typical Broker Commissions trade costs of $32.00
7/18/19 14:19 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 4 7899.00 7/18 18:05 7967.25 2.88%
Trade id #124521185
Max drawdown($5,460)
Time7/18/19 18:05
Quant open4
Worst price7967.25
Drawdown as % of equity-2.88%
($5,492)
Includes Typical Broker Commissions trade costs of $32.00
7/10/19 8:03 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 4 7861.62 7/17 10:53 7923.00 0.11%
Trade id #124398975
Max drawdown($210)
Time7/10/19 8:03
Quant open2
Worst price7827.00
Drawdown as % of equity-0.11%
$4,878
Includes Typical Broker Commissions trade costs of $32.00
6/28/19 16:04 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 4 7749.50 7/8 9:37 7795.00 0.08%
Trade id #124272309
Max drawdown($150)
Time6/28/19 16:04
Quant open2
Worst price7706.50
Drawdown as % of equity-0.08%
$3,608
Includes Typical Broker Commissions trade costs of $32.00
6/28/19 9:30 @NQU9 E-MINI NASDAQ 100 STK IDX LONG 2 7706.25 6/28 9:39 7687.00 0.41%
Trade id #124266224
Max drawdown($770)
Time6/28/19 9:39
Quant open2
Worst price7687.00
Drawdown as % of equity-0.41%
($786)
Includes Typical Broker Commissions trade costs of $16.00
6/26/19 10:11 @NQU9 E-MINI NASDAQ 100 STK IDX SHORT 4 7691.50 6/28 9:30 7706.25 1.07%
Trade id #124238516
Max drawdown($2,000)
Time6/26/19 10:11
Quant open4
Worst price7716.50
Drawdown as % of equity-1.07%
($1,212)
Includes Typical Broker Commissions trade costs of $32.00
5/16/19 6:09 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 2 7539.50 5/20 5:24 7472.50 1.37%
Trade id #123691437
Max drawdown($2,680)
Time5/20/19 5:24
Quant open0
Worst price7472.50
Drawdown as % of equity-1.37%
($2,696)
Includes Typical Broker Commissions trade costs of $16.00
5/3/19 9:54 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 2 7806.00 5/5 18:01 7731.00 1.49%
Trade id #123520163
Max drawdown($3,000)
Time5/5/19 18:01
Quant open0
Worst price7731.00
Drawdown as % of equity-1.49%
($3,016)
Includes Typical Broker Commissions trade costs of $16.00
5/1/19 9:34 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 8 7851.12 5/1 15:41 7793.50 4.39%
Trade id #123489607
Max drawdown($9,220)
Time5/1/19 15:41
Quant open4
Worst price7793.50
Drawdown as % of equity-4.39%
($9,284)
Includes Typical Broker Commissions trade costs of $64.00
4/29/19 6:54 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 8 7845.88 4/29 20:15 7796.00 3.8%
Trade id #123460356
Max drawdown($7,980)
Time4/29/19 20:15
Quant open4
Worst price7796.00
Drawdown as % of equity-3.80%
($8,044)
Includes Typical Broker Commissions trade costs of $64.00
3/29/19 10:50 @NQM9 E-MINI NASDAQ 100 STK IDX LONG 4 7441.62 4/15 10:29 7630.75 0.18%
Trade id #123127565
Max drawdown($360)
Time3/29/19 10:56
Quant open2
Worst price7356.00
Drawdown as % of equity-0.18%
$15,098
Includes Typical Broker Commissions trade costs of $32.00
2/28/19 16:06 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 4 7116.62 3/4 11:50 7102.75 0.53%
Trade id #122739128
Max drawdown($1,110)
Time3/4/19 11:50
Quant open2
Worst price7102.75
Drawdown as % of equity-0.53%
($1,142)
Includes Typical Broker Commissions trade costs of $32.00
2/24/19 18:00 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 2 7108.50 2/25 21:45 7080.00 0.56%
Trade id #122659716
Max drawdown($1,140)
Time2/25/19 21:45
Quant open0
Worst price7080.00
Drawdown as % of equity-0.56%
($1,156)
Includes Typical Broker Commissions trade costs of $16.00
2/12/19 3:00 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 4 6990.00 2/21 9:45 7032.00 0.32%
Trade id #122470347
Max drawdown($640)
Time2/12/19 9:32
Quant open2
Worst price6954.00
Drawdown as % of equity-0.32%
$3,328
Includes Typical Broker Commissions trade costs of $32.00
2/1/19 7:57 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 2 6872.00 2/7 11:34 6872.00 0.27%
Trade id #122310965
Max drawdown($550)
Time2/3/19 18:01
Quant open2
Worst price6858.25
Drawdown as % of equity-0.27%
($16)
Includes Typical Broker Commissions trade costs of $16.00
1/8/19 20:19 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 4 6605.38 1/14 5:34 6527.00 3.11%
Trade id #121858606
Max drawdown($6,270)
Time1/14/19 5:34
Quant open2
Worst price6527.00
Drawdown as % of equity-3.11%
($6,302)
Includes Typical Broker Commissions trade costs of $32.00
12/27/18 16:00 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 4 6344.50 1/2/19 3:02 6243.25 3.91%
Trade id #121687881
Max drawdown($8,100)
Time1/2/19 3:02
Quant open2
Worst price6243.25
Drawdown as % of equity-3.91%
($8,132)
Includes Typical Broker Commissions trade costs of $32.00
12/12/18 8:51 @NQH9 E-MINI NASDAQ 100 STK IDX LONG 2 6835.88 12/13 20:03 6736.00 1.86%
Trade id #121459639
Max drawdown($3,995)
Time12/13/18 20:03
Quant open0
Worst price6736.00
Drawdown as % of equity-1.86%
($4,011)
Includes Typical Broker Commissions trade costs of $16.00
11/26/18 23:57 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 4 6690.00 12/2 18:16 7070.50 1.13%
Trade id #121179229
Max drawdown($2,120)
Time11/27/18 9:42
Quant open2
Worst price6613.25
Drawdown as % of equity-1.13%
$30,408
Includes Typical Broker Commissions trade costs of $32.00
11/1/18 11:30 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 4 7062.83 11/2 12:53 6935.40 5.35%
Trade id #120669814
Max drawdown($10,195)
Time11/2/18 12:53
Quant open2
Worst price6935.38
Drawdown as % of equity-5.35%
($10,227)
Includes Typical Broker Commissions trade costs of $32.00
10/31/18 10:02 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 2 6991.75 10/31 11:03 6974.75 0.34%
Trade id #120640837
Max drawdown($680)
Time10/31/18 11:03
Quant open0
Worst price6974.75
Drawdown as % of equity-0.34%
($696)
Includes Typical Broker Commissions trade costs of $16.00
9/25/18 19:17 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 4 7617.00 10/1 12:41 7701.38 1.63%
Trade id #120032784
Max drawdown($3,160)
Time9/26/18 16:02
Quant open4
Worst price7577.50
Drawdown as % of equity-1.63%
$6,718
Includes Typical Broker Commissions trade costs of $32.00
9/21/18 2:42 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 2 7627.50 9/21 10:20 7602.25 0.53%
Trade id #119962972
Max drawdown($1,010)
Time9/21/18 7:29
Quant open2
Worst price7602.25
Drawdown as % of equity-0.53%
($1,026)
Includes Typical Broker Commissions trade costs of $16.00
9/13/18 9:31 @NQZ8 E-MINI NASDAQ 100 STK IDX LONG 2 7568.50 9/17 18:20 7454.25 2.36%
Trade id #119839576
Max drawdown($4,570)
Time9/17/18 18:20
Quant open0
Worst price7454.25
Drawdown as % of equity-2.36%
($4,586)
Includes Typical Broker Commissions trade costs of $16.00
8/23/18 14:05 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 6 7506.00 8/30 15:00 7642.00 0.6%
Trade id #119574242
Max drawdown($1,090)
Time8/23/18 15:51
Quant open2
Worst price7417.50
Drawdown as % of equity-0.60%
$16,272
Includes Typical Broker Commissions trade costs of $48.00
8/14/18 11:49 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 2 7459.81 8/15 7:33 7393.44 1.46%
Trade id #119432997
Max drawdown($2,655)
Time8/15/18 7:33
Quant open0
Worst price7393.44
Drawdown as % of equity-1.46%
($2,671)
Includes Typical Broker Commissions trade costs of $16.00
8/6/18 12:10 @NQU8 E-MINI NASDAQ 100 STK IDX LONG 6 7469.38 8/10 13:56 7423.50 2.99%
Trade id #119301375
Max drawdown($5,505)
Time8/10/18 13:56
Quant open4
Worst price7403.75
Drawdown as % of equity-2.99%
($5,553)
Includes Typical Broker Commissions trade costs of $48.00

Statistics

  • Strategy began
    3/28/2017
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    877.79
  • Age
    29 months ago
  • What it trades
    Futures
  • # Trades
    72
  • # Profitable
    20
  • % Profitable
    27.80%
  • Avg trade duration
    4.5 days
  • Max peak-to-valley drawdown
    19.66%
  • drawdown period
    Dec 12, 2018 - Aug 22, 2019
  • Annual Return (Compounded)
    26.1%
  • Avg win
    $10,787
  • Avg loss
    $2,586
  • Model Account Values (Raw)
  • Cash
    $181,468
  • Margin Used
    $11,850
  • Buying Power
    $169,348
  • Ratios
  • W:L ratio
    1.60:1
  • Sharpe Ratio
    1.1
  • Sortino Ratio
    1.71
  • Calmar Ratio
    1.641
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.21640
  • Return Statistics
  • Ann Return (w trading costs)
    26.1%
  • Ann Return (Compnd, No Fees)
    28.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    24.00%
  • Chance of 20% account loss
    3.00%
  • Chance of 30% account loss
    0.50%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    365
  • Popularity (Last 6 weeks)
    875
  • C2 Score
    880
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $2,633
  • Avg Win
    $10,282
  • # Winners
    21
  • # Losers
    51
  • % Winners
    29.2%
  • Frequency
  • Avg Position Time (mins)
    6411.65
  • Avg Position Time (hrs)
    106.86
  • Avg Trade Length
    4.5 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    3.50
  • Daily leverage (max)
    6.25
  • Regression
  • Alpha
    0.06
  • Beta
    0.27
  • Treynor Index
    0.23
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    2.289
  • Avg(MAE) / Avg(PL) - Winning trades
    0.105
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.120
  • Hold-and-Hope Ratio
    0.459
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25526
  • SD
    0.25093
  • Sharpe ratio (Glass type estimate)
    1.01727
  • Sharpe ratio (Hedges UMVUE)
    0.98870
  • df
    27.00000
  • t
    1.55390
  • p
    0.06593
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30291
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.31951
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.32121
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.29862
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.10368
  • Upside Potential Ratio
    3.78001
  • Upside part of mean
    0.45867
  • Downside part of mean
    -0.20341
  • Upside SD
    0.22676
  • Downside SD
    0.12134
  • N nonnegative terms
    15.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.06327
  • Mean of criterion
    0.25526
  • SD of predictor
    0.15138
  • SD of criterion
    0.25093
  • Covariance
    0.00881
  • r
    0.23191
  • b (slope, estimate of beta)
    0.38441
  • a (intercept, estimate of alpha)
    0.23094
  • Mean Square Error
    0.06187
  • DF error
    26.00000
  • t(b)
    1.21567
  • p(b)
    0.11752
  • t(a)
    1.40765
  • p(a)
    0.08554
  • Lowerbound of 95% confidence interval for beta
    -0.26557
  • Upperbound of 95% confidence interval for beta
    1.03439
  • Lowerbound of 95% confidence interval for alpha
    -0.10629
  • Upperbound of 95% confidence interval for alpha
    0.56817
  • Treynor index (mean / b)
    0.66403
  • Jensen alpha (a)
    0.23094
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22344
  • SD
    0.24265
  • Sharpe ratio (Glass type estimate)
    0.92085
  • Sharpe ratio (Hedges UMVUE)
    0.89500
  • df
    27.00000
  • t
    1.40663
  • p
    0.08547
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39347
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21888
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41012
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.20011
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.76204
  • Upside Potential Ratio
    3.42382
  • Upside part of mean
    0.43417
  • Downside part of mean
    -0.21073
  • Upside SD
    0.21179
  • Downside SD
    0.12681
  • N nonnegative terms
    15.00000
  • N negative terms
    13.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    28.00000
  • Mean of predictor
    0.05179
  • Mean of criterion
    0.22344
  • SD of predictor
    0.15321
  • SD of criterion
    0.24265
  • Covariance
    0.00945
  • r
    0.25425
  • b (slope, estimate of beta)
    0.40265
  • a (intercept, estimate of alpha)
    0.20259
  • Mean Square Error
    0.05719
  • DF error
    26.00000
  • t(b)
    1.34048
  • p(b)
    0.09584
  • t(a)
    1.28769
  • p(a)
    0.10460
  • Lowerbound of 95% confidence interval for beta
    -0.21479
  • Upperbound of 95% confidence interval for beta
    1.02010
  • Lowerbound of 95% confidence interval for alpha
    -0.12080
  • Upperbound of 95% confidence interval for alpha
    0.52598
  • Treynor index (mean / b)
    0.55492
  • Jensen alpha (a)
    0.20259
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.09208
  • Expected Shortfall on VaR
    0.11797
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03722
  • Expected Shortfall on VaR
    0.07396
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    28.00000
  • Minimum
    0.89613
  • Quartile 1
    0.98434
  • Median
    1.00583
  • Quartile 3
    1.05575
  • Maximum
    1.19720
  • Mean of quarter 1
    0.94091
  • Mean of quarter 2
    0.99643
  • Mean of quarter 3
    1.03902
  • Mean of quarter 4
    1.11804
  • Inter Quartile Range
    0.07142
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.07143
  • Mean of outliers high
    1.18738
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.03094
  • VaR(95%) (moments method)
    0.05222
  • Expected Shortfall (moments method)
    0.07217
  • Extreme Value Index (regression method)
    -0.33294
  • VaR(95%) (regression method)
    0.05143
  • Expected Shortfall (regression method)
    0.06224
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.00278
  • Quartile 1
    0.00586
  • Median
    0.02714
  • Quartile 3
    0.06364
  • Maximum
    0.16847
  • Mean of quarter 1
    0.00389
  • Mean of quarter 2
    0.01693
  • Mean of quarter 3
    0.02732
  • Mean of quarter 4
    0.13421
  • Inter Quartile Range
    0.05778
  • 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
    0.14286
  • Mean of outliers high
    0.16847
  • 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)
    0.34185
  • Compounded annual return (geometric extrapolation)
    0.28576
  • Calmar ratio (compounded annual return / max draw down)
    1.69623
  • Compounded annual return / average of 25% largest draw downs
    2.12914
  • Compounded annual return / Expected Shortfall lognormal
    2.42228
  • 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
    0.23660
  • SD
    0.17552
  • Sharpe ratio (Glass type estimate)
    1.34800
  • Sharpe ratio (Hedges UMVUE)
    1.34636
  • df
    617.00000
  • t
    2.07030
  • p
    0.01942
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06911
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62586
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.06799
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62472
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.18781
  • Upside Potential Ratio
    8.07623
  • Upside part of mean
    0.87340
  • Downside part of mean
    -0.63680
  • Upside SD
    0.13884
  • Downside SD
    0.10814
  • N nonnegative terms
    184.00000
  • N negative terms
    434.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    618.00000
  • Mean of predictor
    0.07252
  • Mean of criterion
    0.23660
  • SD of predictor
    0.13745
  • SD of criterion
    0.17552
  • Covariance
    0.00552
  • r
    0.22890
  • b (slope, estimate of beta)
    0.29230
  • a (intercept, estimate of alpha)
    0.21500
  • Mean Square Error
    0.02924
  • DF error
    616.00000
  • t(b)
    5.83613
  • p(b)
    0.00000
  • t(a)
    1.93361
  • p(a)
    0.02681
  • Lowerbound of 95% confidence interval for beta
    0.19394
  • Upperbound of 95% confidence interval for beta
    0.39065
  • Lowerbound of 95% confidence interval for alpha
    -0.00337
  • Upperbound of 95% confidence interval for alpha
    0.43417
  • Treynor index (mean / b)
    0.80944
  • Jensen alpha (a)
    0.21540
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22119
  • SD
    0.17475
  • Sharpe ratio (Glass type estimate)
    1.26576
  • Sharpe ratio (Hedges UMVUE)
    1.26422
  • df
    617.00000
  • t
    1.94400
  • p
    0.02618
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01281
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.54336
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.01388
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.54233
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.01818
  • Upside Potential Ratio
    7.88212
  • Upside part of mean
    0.86387
  • Downside part of mean
    -0.64268
  • Upside SD
    0.13661
  • Downside SD
    0.10960
  • N nonnegative terms
    184.00000
  • N negative terms
    434.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    618.00000
  • Mean of predictor
    0.06305
  • Mean of criterion
    0.22119
  • SD of predictor
    0.13779
  • SD of criterion
    0.17475
  • Covariance
    0.00547
  • r
    0.22721
  • b (slope, estimate of beta)
    0.28816
  • a (intercept, estimate of alpha)
    0.20302
  • Mean Square Error
    0.02901
  • DF error
    616.00000
  • t(b)
    5.79067
  • p(b)
    0.00000
  • t(a)
    1.83003
  • p(a)
    0.03386
  • Lowerbound of 95% confidence interval for beta
    0.19043
  • Upperbound of 95% confidence interval for beta
    0.38588
  • Lowerbound of 95% confidence interval for alpha
    -0.01484
  • Upperbound of 95% confidence interval for alpha
    0.42089
  • Treynor index (mean / b)
    0.76760
  • Jensen alpha (a)
    0.20302
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01677
  • Expected Shortfall on VaR
    0.02119
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00682
  • Expected Shortfall on VaR
    0.01427
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    618.00000
  • Minimum
    0.95546
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00241
  • Maximum
    1.05578
  • Mean of quarter 1
    0.99061
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00023
  • Mean of quarter 4
    1.01319
  • Inter Quartile Range
    0.00241
  • Number outliers low
    105.00000
  • Percentage of outliers low
    0.16990
  • Mean of outliers low
    0.98687
  • Number of outliers high
    111.00000
  • Percentage of outliers high
    0.17961
  • Mean of outliers high
    1.01675
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.56895
  • VaR(95%) (moments method)
    0.00378
  • Expected Shortfall (moments method)
    0.00460
  • Extreme Value Index (regression method)
    -0.05214
  • VaR(95%) (regression method)
    0.00975
  • Expected Shortfall (regression method)
    0.01528
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00013
  • Quartile 1
    0.01118
  • Median
    0.04953
  • Quartile 3
    0.08025
  • Maximum
    0.17241
  • Mean of quarter 1
    0.00578
  • Mean of quarter 2
    0.02536
  • Mean of quarter 3
    0.06776
  • Mean of quarter 4
    0.11403
  • Inter Quartile Range
    0.06906
  • 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)
    -0.10809
  • VaR(95%) (moments method)
    0.12659
  • Expected Shortfall (moments method)
    0.15244
  • Extreme Value Index (regression method)
    0.72975
  • VaR(95%) (regression method)
    0.13722
  • Expected Shortfall (regression method)
    0.34618
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33899
  • Compounded annual return (geometric extrapolation)
    0.28287
  • Calmar ratio (compounded annual return / max draw down)
    1.64068
  • Compounded annual return / average of 25% largest draw downs
    2.48065
  • Compounded annual return / Expected Shortfall lognormal
    13.34960
  • 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
    -0.23242
  • SD
    0.16185
  • Sharpe ratio (Glass type estimate)
    -1.43605
  • Sharpe ratio (Hedges UMVUE)
    -1.42775
  • df
    130.00000
  • t
    -1.01544
  • p
    0.54435
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.21069
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.34391
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.20498
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.34948
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.75117
  • Upside Potential Ratio
    4.42276
  • Upside part of mean
    0.58700
  • Downside part of mean
    -0.81943
  • Upside SD
    0.09266
  • Downside SD
    0.13272
  • N nonnegative terms
    35.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10085
  • Mean of criterion
    -0.23242
  • SD of predictor
    0.13397
  • SD of criterion
    0.16185
  • Covariance
    0.00407
  • r
    0.18749
  • b (slope, estimate of beta)
    0.22650
  • a (intercept, estimate of alpha)
    -0.25527
  • Mean Square Error
    0.02547
  • DF error
    129.00000
  • t(b)
    2.16788
  • p(b)
    0.38134
  • t(a)
    -1.12977
  • p(a)
    0.56291
  • Lowerbound of 95% confidence interval for beta
    0.01978
  • Upperbound of 95% confidence interval for beta
    0.43322
  • Lowerbound of 95% confidence interval for alpha
    -0.70230
  • Upperbound of 95% confidence interval for alpha
    0.19177
  • Treynor index (mean / b)
    -1.02613
  • Jensen alpha (a)
    -0.25527
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.24561
  • SD
    0.16282
  • Sharpe ratio (Glass type estimate)
    -1.50843
  • Sharpe ratio (Hedges UMVUE)
    -1.49971
  • df
    130.00000
  • t
    -1.06662
  • p
    0.54657
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.28351
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.27222
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.27750
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.27809
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.82397
  • Upside Potential Ratio
    4.32740
  • Upside part of mean
    0.58271
  • Downside part of mean
    -0.82832
  • Upside SD
    0.09169
  • Downside SD
    0.13466
  • N nonnegative terms
    35.00000
  • N negative terms
    96.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09188
  • Mean of criterion
    -0.24561
  • SD of predictor
    0.13449
  • SD of criterion
    0.16282
  • Covariance
    0.00407
  • r
    0.18567
  • b (slope, estimate of beta)
    0.22478
  • a (intercept, estimate of alpha)
    -0.26626
  • Mean Square Error
    0.02580
  • DF error
    129.00000
  • t(b)
    2.14609
  • p(b)
    0.38248
  • t(a)
    -1.17118
  • p(a)
    0.56519
  • Lowerbound of 95% confidence interval for beta
    0.01755
  • Upperbound of 95% confidence interval for beta
    0.43202
  • Lowerbound of 95% confidence interval for alpha
    -0.71606
  • Upperbound of 95% confidence interval for alpha
    0.18354
  • Treynor index (mean / b)
    -1.09264
  • Jensen alpha (a)
    -0.26626
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01733
  • Expected Shortfall on VaR
    0.02145
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00903
  • Expected Shortfall on VaR
    0.01855
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96062
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00071
  • Maximum
    1.03566
  • Mean of quarter 1
    0.98789
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00003
  • Mean of quarter 4
    1.00898
  • Inter Quartile Range
    0.00071
  • Number outliers low
    29.00000
  • Percentage of outliers low
    0.22137
  • Mean of outliers low
    0.98624
  • Number of outliers high
    31.00000
  • Percentage of outliers high
    0.23664
  • Mean of outliers high
    1.00950
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -7.31556
  • VaR(95%) (moments method)
    0.00172
  • Expected Shortfall (moments method)
    0.00172
  • Extreme Value Index (regression method)
    -0.26792
  • VaR(95%) (regression method)
    0.01073
  • Expected Shortfall (regression method)
    0.01511
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00018
  • Quartile 1
    0.00123
  • Median
    0.01345
  • Quartile 3
    0.02841
  • Maximum
    0.16891
  • Mean of quarter 1
    0.00027
  • Mean of quarter 2
    0.00388
  • Mean of quarter 3
    0.02303
  • Mean of quarter 4
    0.09956
  • Inter Quartile Range
    0.02718
  • 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
    0.16667
  • Mean of outliers high
    0.16891
  • 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)
    -0.20627
  • Compounded annual return (geometric extrapolation)
    -0.19563
  • Calmar ratio (compounded annual return / max draw down)
    -1.15819
  • Compounded annual return / average of 25% largest draw downs
    -1.96498
  • Compounded annual return / Expected Shortfall lognormal
    -9.12193

Strategy Description

Please read the document and perform your due diligence before subscribing/trading this system. The link below is to the basic system parameters, such as how much capital is required for the system, the system objectives, what is expected of the system, etc

https://docs.google.com/document/d/e/2PACX-1vSYoGW5YKvkxT294RQsqmf5GnYzBduYtYJJyBaJDd86hcitgnXKV4v-pa1Qa0TiZ3KGXV1Y0y3fXvfg/pub


Summary Statistics

Strategy began
2017-03-28
Suggested Minimum Capital
$100,000
Rank at C2 
#69
# Trades
72
# Profitable
20
% Profitable
27.8%
Correlation S&P500
0.216
Sharpe Ratio
1.10
Sortino Ratio
1.71
Beta
0.27
Alpha
0.06
Leverage
3.50 Average
6.25 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.