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PegasiCap
(119232154)

Created by: PegasiCapital PegasiCapital
Started: 08/2018
Futures
Last trade: 2 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 $200.00 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.

30.1%
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.

(4.5%)
Max Drawdown
114
Num Trades
57.0%
Win Trades
2.1 : 1
Profit Factor
76.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                                 +0.3%+3.7%+0.5%+4.3%+11.2%+21.3%
2019  -  +3.2%+0.2%+1.8%(1.1%)(0.1%)+0.7%+4.3%                        +9.3%

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.

System developer has asked us to delay this information by 12 hours.

Trading Record

This strategy has placed 104 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/21/19 2:37 @ESU9 E-MINI S&P 500 LONG 1 2907.75 8/21 16:04 2927.50 0.13%
Trade id #125014579
Max drawdown($87)
Time8/21/19 2:48
Quant open1
Worst price2906.00
Drawdown as % of equity-0.13%
$980
Includes Typical Broker Commissions trade costs of $8.00
8/15/19 2:54 @ESU9 E-MINI S&P 500 LONG 1 2863.25 8/15 3:12 2857.00 0.3%
Trade id #124944056
Max drawdown($200)
Time8/15/19 2:54
Quant open1
Worst price2859.25
Drawdown as % of equity-0.30%
($321)
Includes Typical Broker Commissions trade costs of $8.00
8/13/19 14:04 @ESU9 E-MINI S&P 500 LONG 1 2930.50 8/13 14:31 2933.44 0.13%
Trade id #124913112
Max drawdown($87)
Time8/13/19 14:04
Quant open1
Worst price2928.75
Drawdown as % of equity-0.13%
$139
Includes Typical Broker Commissions trade costs of $8.00
8/8/19 8:07 @ESU9 E-MINI S&P 500 LONG 1 2891.08 8/8 15:50 2934.75 0.34%
Trade id #124832273
Max drawdown($216)
Time8/8/19 8:07
Quant open1
Worst price2886.75
Drawdown as % of equity-0.34%
$2,175
Includes Typical Broker Commissions trade costs of $8.00
8/7/19 14:51 @ESU9 E-MINI S&P 500 LONG 1 2882.50 8/7 15:37 2887.46 0.56%
Trade id #124821209
Max drawdown($350)
Time8/7/19 14:51
Quant open1
Worst price2875.50
Drawdown as % of equity-0.56%
$240
Includes Typical Broker Commissions trade costs of $8.00
8/1/19 5:42 @ESU9 E-MINI S&P 500 LONG 1 2987.33 8/1 9:16 2978.00 0.74%
Trade id #124711649
Max drawdown($467)
Time8/1/19 9:16
Quant open1
Worst price2978.00
Drawdown as % of equity-0.74%
($475)
Includes Typical Broker Commissions trade costs of $8.00
7/22/19 2:00 @ESU9 E-MINI S&P 500 LONG 1 2979.75 7/22 15:08 2990.75 0.1%
Trade id #124558760
Max drawdown($62)
Time7/22/19 2:00
Quant open1
Worst price2978.50
Drawdown as % of equity-0.10%
$542
Includes Typical Broker Commissions trade costs of $8.00
7/2/19 9:52 @ESU9 E-MINI S&P 500 LONG 1 2965.75 7/2 14:16 2969.25 0.58%
Trade id #124307435
Max drawdown($362)
Time7/2/19 9:52
Quant open1
Worst price2958.50
Drawdown as % of equity-0.58%
$167
Includes Typical Broker Commissions trade costs of $8.00
7/2/19 3:46 @ESU9 E-MINI S&P 500 SHORT 1 2965.50 7/2 4:08 2964.50 0.08%
Trade id #124301792
Max drawdown($50)
Time7/2/19 3:46
Quant open1
Worst price2966.50
Drawdown as % of equity-0.08%
$42
Includes Typical Broker Commissions trade costs of $8.00
7/2/19 2:55 @ESU9 E-MINI S&P 500 LONG 1 2971.50 7/2 3:03 2969.25 0.2%
Trade id #124301197
Max drawdown($125)
Time7/2/19 2:55
Quant open1
Worst price2969.00
Drawdown as % of equity-0.20%
($121)
Includes Typical Broker Commissions trade costs of $8.00
6/28/19 12:39 @ESU9 E-MINI S&P 500 LONG 1 2943.25 6/28 16:05 2950.00 0.66%
Trade id #124270112
Max drawdown($412)
Time6/28/19 12:39
Quant open1
Worst price2935.00
Drawdown as % of equity-0.66%
$330
Includes Typical Broker Commissions trade costs of $8.00
6/28/19 2:54 @ESU9 E-MINI S&P 500 LONG 1 2934.50 6/28 8:13 2937.00 0.04%
Trade id #124263884
Max drawdown($25)
Time6/28/19 2:54
Quant open1
Worst price2934.00
Drawdown as % of equity-0.04%
$117
Includes Typical Broker Commissions trade costs of $8.00
6/27/19 16:37 @ESU9 E-MINI S&P 500 LONG 1 2933.00 6/28 2:31 2933.75 0.24%
Trade id #124259847
Max drawdown($150)
Time6/27/19 16:37
Quant open1
Worst price2930.00
Drawdown as % of equity-0.24%
$30
Includes Typical Broker Commissions trade costs of $8.00
6/27/19 12:05 @ESU9 E-MINI S&P 500 LONG 1 2928.00 6/27 15:29 2929.25 0.08%
Trade id #124256960
Max drawdown($50)
Time6/27/19 12:05
Quant open1
Worst price2927.00
Drawdown as % of equity-0.08%
$55
Includes Typical Broker Commissions trade costs of $8.00
6/27/19 8:22 @ESU9 E-MINI S&P 500 LONG 1 2924.50 6/27 10:53 2928.00 0.12%
Trade id #124252004
Max drawdown($75)
Time6/27/19 8:22
Quant open1
Worst price2923.00
Drawdown as % of equity-0.12%
$167
Includes Typical Broker Commissions trade costs of $8.00
6/26/19 3:26 @ESU9 E-MINI S&P 500 LONG 1 2923.25 6/26 5:55 2936.25 0.08%
Trade id #124232968
Max drawdown($50)
Time6/26/19 3:26
Quant open1
Worst price2922.25
Drawdown as % of equity-0.08%
$642
Includes Typical Broker Commissions trade costs of $8.00
6/24/19 7:33 @ESU9 E-MINI S&P 500 LONG 1 2956.00 6/24 15:54 2951.75 0.44%
Trade id #124201002
Max drawdown($275)
Time6/24/19 7:33
Quant open1
Worst price2950.50
Drawdown as % of equity-0.44%
($221)
Includes Typical Broker Commissions trade costs of $8.00
6/24/19 6:05 @ESU9 E-MINI S&P 500 LONG 1 2959.25 6/24 7:08 2954.50 0.38%
Trade id #124200607
Max drawdown($238)
Time6/24/19 7:08
Quant open1
Worst price2954.50
Drawdown as % of equity-0.38%
($246)
Includes Typical Broker Commissions trade costs of $8.00
6/21/19 10:04 @ESU9 E-MINI S&P 500 LONG 1 2954.00 6/21 10:08 2955.25 0.04%
Trade id #124181088
Max drawdown($25)
Time6/21/19 10:04
Quant open1
Worst price2953.50
Drawdown as % of equity-0.04%
$55
Includes Typical Broker Commissions trade costs of $8.00
6/21/19 3:28 @ESU9 E-MINI S&P 500 LONG 1 2956.50 6/21 4:13 2957.00 n/a $17
Includes Typical Broker Commissions trade costs of $8.00
6/20/19 13:39 @ESU9 E-MINI S&P 500 LONG 1 2950.75 6/20 14:48 2954.25 n/a $167
Includes Typical Broker Commissions trade costs of $8.00
6/18/19 6:20 @ESU9 E-MINI S&P 500 LONG 1 2904.75 6/18 15:54 2923.00 0.04%
Trade id #124121644
Max drawdown($25)
Time6/18/19 6:22
Quant open1
Worst price2904.25
Drawdown as % of equity-0.04%
$905
Includes Typical Broker Commissions trade costs of $8.00
6/17/19 10:36 @ESM9 E-MINI S&P 500 LONG 1 2897.50 6/18 3:41 2886.00 0.89%
Trade id #124108741
Max drawdown($575)
Time6/18/19 3:41
Quant open0
Worst price2886.00
Drawdown as % of equity-0.89%
($583)
Includes Typical Broker Commissions trade costs of $8.00
6/14/19 3:29 @ESM9 E-MINI S&P 500 SHORT 1 2887.25 6/16 22:52 2899.25 1.04%
Trade id #124080302
Max drawdown($675)
Time6/16/19 21:46
Quant open-1
Worst price2900.75
Drawdown as % of equity-1.04%
($608)
Includes Typical Broker Commissions trade costs of $8.00
6/13/19 7:31 @ESM9 E-MINI S&P 500 LONG 1 2891.50 6/13 11:06 2883.00 0.65%
Trade id #124063277
Max drawdown($425)
Time6/13/19 11:06
Quant open0
Worst price2883.00
Drawdown as % of equity-0.65%
($433)
Includes Typical Broker Commissions trade costs of $8.00
6/13/19 3:43 @ESM9 E-MINI S&P 500 LONG 1 2886.00 6/13 5:56 2889.75 0.08%
Trade id #124061800
Max drawdown($50)
Time6/13/19 4:04
Quant open1
Worst price2885.00
Drawdown as % of equity-0.08%
$180
Includes Typical Broker Commissions trade costs of $8.00
6/12/19 14:09 @ESM9 E-MINI S&P 500 SHORT 1 2878.75 6/12 14:47 2882.25 0.27%
Trade id #124054313
Max drawdown($175)
Time6/12/19 14:47
Quant open0
Worst price2882.25
Drawdown as % of equity-0.27%
($183)
Includes Typical Broker Commissions trade costs of $8.00
6/12/19 9:37 @ESM9 E-MINI S&P 500 LONG 1 2884.00 6/12 10:34 2878.00 0.49%
Trade id #124048988
Max drawdown($325)
Time6/12/19 10:33
Quant open1
Worst price2877.50
Drawdown as % of equity-0.49%
($308)
Includes Typical Broker Commissions trade costs of $8.00
6/5/19 8:58 @ESM9 E-MINI S&P 500 SHORT 1 2811.75 6/5 11:01 2806.25 0.76%
Trade id #123945626
Max drawdown($500)
Time6/5/19 9:30
Quant open-1
Worst price2821.75
Drawdown as % of equity-0.76%
$267
Includes Typical Broker Commissions trade costs of $8.00
6/4/19 3:20 @ESM9 E-MINI S&P 500 LONG 1 2754.50 6/4 4:09 2758.00 n/a $167
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    8/1/2018
  • Suggested Minimum Cap
    $70,000
  • Strategy Age (days)
    386.41
  • Age
    13 months ago
  • What it trades
    Futures
  • # Trades
    114
  • # Profitable
    65
  • % Profitable
    57.00%
  • Avg trade duration
    4.9 hours
  • Max peak-to-valley drawdown
    4.5%
  • drawdown period
    April 24, 2019 - June 18, 2019
  • Annual Return (Compounded)
    30.1%
  • Avg win
    $567.82
  • Avg loss
    $351.04
  • Model Account Values (Raw)
  • Cash
    $69,707
  • Margin Used
    $0
  • Buying Power
    $69,707
  • Ratios
  • W:L ratio
    2.15:1
  • Sharpe Ratio
    1.98
  • Sortino Ratio
    5.69
  • Calmar Ratio
    9.808
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.17980
  • Return Statistics
  • Ann Return (w trading costs)
    30.1%
  • Ann Return (Compnd, No Fees)
    36.8%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    885
  • Popularity (Last 6 weeks)
    916
  • C2 Score
    977
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $351
  • Avg Win
    $568
  • # Winners
    65
  • # Losers
    49
  • % Winners
    57.0%
  • Frequency
  • Avg Position Time (mins)
    291.47
  • Avg Position Time (hrs)
    4.86
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    2.46
  • Daily leverage (max)
    4.19
  • Regression
  • Alpha
    0.07
  • Beta
    0.12
  • Treynor Index
    0.58
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    1.391
  • Avg(MAE) / Avg(PL) - Winning trades
    0.238
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.024
  • Hold-and-Hope Ratio
    0.719
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30214
  • SD
    0.11351
  • Sharpe ratio (Glass type estimate)
    2.66166
  • Sharpe ratio (Hedges UMVUE)
    2.47524
  • df
    11.00000
  • t
    2.66166
  • p
    0.01106
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.36938
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.86327
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.25910
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.69138
  • Statistics related to Sortino ratio
  • Sortino ratio
    36.96120
  • Upside Potential Ratio
    37.96120
  • Upside part of mean
    0.31031
  • Downside part of mean
    -0.00817
  • Upside SD
    0.13911
  • Downside SD
    0.00817
  • N nonnegative terms
    11.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    -0.01309
  • Mean of criterion
    0.30214
  • SD of predictor
    0.12913
  • SD of criterion
    0.11351
  • Covariance
    -0.00750
  • r
    -0.51197
  • b (slope, estimate of beta)
    -0.45004
  • a (intercept, estimate of alpha)
    0.29625
  • Mean Square Error
    0.01046
  • DF error
    10.00000
  • t(b)
    -1.88473
  • p(b)
    0.95559
  • t(a)
    2.89541
  • p(a)
    0.00798
  • Lowerbound of 95% confidence interval for beta
    -0.98208
  • Upperbound of 95% confidence interval for beta
    0.08200
  • Lowerbound of 95% confidence interval for alpha
    0.06827
  • Upperbound of 95% confidence interval for alpha
    0.52422
  • Treynor index (mean / b)
    -0.67135
  • Jensen alpha (a)
    0.29625
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29229
  • SD
    0.10789
  • Sharpe ratio (Glass type estimate)
    2.70916
  • Sharpe ratio (Hedges UMVUE)
    2.51941
  • df
    11.00000
  • t
    2.70916
  • p
    0.01016
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.40676
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.92000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29460
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.74422
  • Statistics related to Sortino ratio
  • Sortino ratio
    35.69380
  • Upside Potential Ratio
    36.69380
  • Upside part of mean
    0.30048
  • Downside part of mean
    -0.00819
  • Upside SD
    0.13313
  • Downside SD
    0.00819
  • N nonnegative terms
    11.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    -0.02072
  • Mean of criterion
    0.29229
  • SD of predictor
    0.12943
  • SD of criterion
    0.10789
  • Covariance
    -0.00718
  • r
    -0.51386
  • b (slope, estimate of beta)
    -0.42834
  • a (intercept, estimate of alpha)
    0.28341
  • Mean Square Error
    0.00942
  • DF error
    10.00000
  • t(b)
    -1.89418
  • p(b)
    0.95627
  • t(a)
    2.91619
  • p(a)
    0.00770
  • Lowerbound of 95% confidence interval for beta
    -0.93220
  • Upperbound of 95% confidence interval for beta
    0.07552
  • Lowerbound of 95% confidence interval for alpha
    0.06687
  • Upperbound of 95% confidence interval for alpha
    0.49996
  • Treynor index (mean / b)
    -0.68238
  • Jensen alpha (a)
    0.28341
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02651
  • Expected Shortfall on VaR
    0.03904
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00021
  • Expected Shortfall on VaR
    0.00107
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.99415
  • Quartile 1
    1.00675
  • Median
    1.01625
  • Quartile 3
    1.03880
  • Maximum
    1.11508
  • Mean of quarter 1
    1.00001
  • Mean of quarter 2
    1.01193
  • Mean of quarter 3
    1.02831
  • Mean of quarter 4
    1.06977
  • Inter Quartile Range
    0.03205
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    1.11508
  • 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
    0.00585
  • Quartile 1
    0.00585
  • Median
    0.00585
  • Quartile 3
    0.00585
  • Maximum
    0.00585
  • 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)
    0.37740
  • Compounded annual return (geometric extrapolation)
    0.37740
  • Calmar ratio (compounded annual return / max draw down)
    64.55580
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    9.66779
  • 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
    0.30374
  • SD
    0.10619
  • Sharpe ratio (Glass type estimate)
    2.86036
  • Sharpe ratio (Hedges UMVUE)
    2.85229
  • df
    266.00000
  • t
    2.88753
  • p
    0.00210
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.90106
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.81442
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.89570
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.80889
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.21582
  • Upside Potential Ratio
    13.19310
  • Upside part of mean
    0.48774
  • Downside part of mean
    -0.18401
  • Upside SD
    0.10109
  • Downside SD
    0.03697
  • N nonnegative terms
    71.00000
  • N negative terms
    196.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    267.00000
  • Mean of predictor
    0.01804
  • Mean of criterion
    0.30374
  • SD of predictor
    0.16312
  • SD of criterion
    0.10619
  • Covariance
    0.00325
  • r
    0.18741
  • b (slope, estimate of beta)
    0.12200
  • a (intercept, estimate of alpha)
    0.30200
  • Mean Square Error
    0.01092
  • DF error
    265.00000
  • t(b)
    3.10578
  • p(b)
    0.00105
  • t(a)
    2.91275
  • p(a)
    0.00194
  • Lowerbound of 95% confidence interval for beta
    0.04465
  • Upperbound of 95% confidence interval for beta
    0.19934
  • Lowerbound of 95% confidence interval for alpha
    0.09770
  • Upperbound of 95% confidence interval for alpha
    0.50537
  • Treynor index (mean / b)
    2.48975
  • Jensen alpha (a)
    0.30153
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.29806
  • SD
    0.10409
  • Sharpe ratio (Glass type estimate)
    2.86356
  • Sharpe ratio (Hedges UMVUE)
    2.85548
  • df
    266.00000
  • t
    2.89076
  • p
    0.00208
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.90422
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.81765
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.89885
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.81211
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.01453
  • Upside Potential Ratio
    12.98020
  • Upside part of mean
    0.48274
  • Downside part of mean
    -0.18468
  • Upside SD
    0.09874
  • Downside SD
    0.03719
  • N nonnegative terms
    71.00000
  • N negative terms
    196.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    267.00000
  • Mean of predictor
    0.00477
  • Mean of criterion
    0.29806
  • SD of predictor
    0.16328
  • SD of criterion
    0.10409
  • Covariance
    0.00317
  • r
    0.18666
  • b (slope, estimate of beta)
    0.11899
  • a (intercept, estimate of alpha)
    0.29750
  • Mean Square Error
    0.01050
  • DF error
    265.00000
  • t(b)
    3.09291
  • p(b)
    0.00110
  • t(a)
    2.93134
  • p(a)
    0.00183
  • Lowerbound of 95% confidence interval for beta
    0.04324
  • Upperbound of 95% confidence interval for beta
    0.19474
  • Lowerbound of 95% confidence interval for alpha
    0.09767
  • Upperbound of 95% confidence interval for alpha
    0.49732
  • Treynor index (mean / b)
    2.50494
  • Jensen alpha (a)
    0.29750
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00940
  • Expected Shortfall on VaR
    0.01205
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00202
  • Expected Shortfall on VaR
    0.00436
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    267.00000
  • Minimum
    0.98003
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00048
  • Maximum
    1.07608
  • Mean of quarter 1
    0.99751
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00002
  • Mean of quarter 4
    1.00751
  • Inter Quartile Range
    0.00048
  • Number outliers low
    31.00000
  • Percentage of outliers low
    0.11610
  • Mean of outliers low
    0.99472
  • Number of outliers high
    60.00000
  • Percentage of outliers high
    0.22472
  • Mean of outliers high
    1.00830
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -2.32594
  • VaR(95%) (moments method)
    0.00225
  • Expected Shortfall (moments method)
    0.00243
  • Extreme Value Index (regression method)
    0.27956
  • VaR(95%) (regression method)
    0.00229
  • Expected Shortfall (regression method)
    0.00515
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00145
  • Quartile 1
    0.00556
  • Median
    0.00854
  • Quartile 3
    0.01420
  • Maximum
    0.03929
  • Mean of quarter 1
    0.00298
  • Mean of quarter 2
    0.00663
  • Mean of quarter 3
    0.01107
  • Mean of quarter 4
    0.03018
  • Inter Quartile Range
    0.00865
  • 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
    0.16667
  • Mean of outliers high
    0.03549
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -13.92960
  • VaR(95%) (moments method)
    0.03193
  • Expected Shortfall (moments method)
    0.03193
  • Extreme Value Index (regression method)
    -1.67201
  • VaR(95%) (regression method)
    0.04591
  • Expected Shortfall (regression method)
    0.04729
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.38664
  • Compounded annual return (geometric extrapolation)
    0.38538
  • Calmar ratio (compounded annual return / max draw down)
    9.80829
  • Compounded annual return / average of 25% largest draw downs
    12.76880
  • Compounded annual return / Expected Shortfall lognormal
    31.97920
  • 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
    0.18072
  • SD
    0.06764
  • Sharpe ratio (Glass type estimate)
    2.67168
  • Sharpe ratio (Hedges UMVUE)
    2.65624
  • df
    130.00000
  • t
    1.88916
  • p
    0.41827
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.12407
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.45735
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.13431
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.44679
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.55163
  • Upside Potential Ratio
    11.44020
  • Upside part of mean
    0.37241
  • Downside part of mean
    -0.19169
  • Upside SD
    0.06005
  • Downside SD
    0.03255
  • N nonnegative terms
    36.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.10592
  • Mean of criterion
    0.18072
  • SD of predictor
    0.13220
  • SD of criterion
    0.06764
  • Covariance
    0.00154
  • r
    0.17258
  • b (slope, estimate of beta)
    0.08831
  • a (intercept, estimate of alpha)
    0.17137
  • Mean Square Error
    0.00447
  • DF error
    129.00000
  • t(b)
    1.99002
  • p(b)
    0.39068
  • t(a)
    1.80944
  • p(a)
    0.40026
  • Lowerbound of 95% confidence interval for beta
    0.00051
  • Upperbound of 95% confidence interval for beta
    0.17611
  • Lowerbound of 95% confidence interval for alpha
    -0.01601
  • Upperbound of 95% confidence interval for alpha
    0.35875
  • Treynor index (mean / b)
    2.04652
  • Jensen alpha (a)
    0.17137
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.17838
  • SD
    0.06737
  • Sharpe ratio (Glass type estimate)
    2.64786
  • Sharpe ratio (Hedges UMVUE)
    2.63255
  • df
    130.00000
  • t
    1.87232
  • p
    0.41898
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.14755
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.43331
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.15766
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.42277
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.45826
  • Upside Potential Ratio
    11.33940
  • Upside part of mean
    0.37059
  • Downside part of mean
    -0.19220
  • Upside SD
    0.05964
  • Downside SD
    0.03268
  • N nonnegative terms
    36.00000
  • N negative terms
    95.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.09719
  • Mean of criterion
    0.17838
  • SD of predictor
    0.13259
  • SD of criterion
    0.06737
  • Covariance
    0.00153
  • r
    0.17080
  • b (slope, estimate of beta)
    0.08679
  • a (intercept, estimate of alpha)
    0.16995
  • Mean Square Error
    0.00444
  • DF error
    129.00000
  • t(b)
    1.96887
  • p(b)
    0.39180
  • t(a)
    1.80156
  • p(a)
    0.40068
  • Lowerbound of 95% confidence interval for beta
    -0.00043
  • Upperbound of 95% confidence interval for beta
    0.17400
  • Lowerbound of 95% confidence interval for alpha
    -0.01669
  • Upperbound of 95% confidence interval for alpha
    0.35659
  • Treynor index (mean / b)
    2.05547
  • Jensen alpha (a)
    0.16995
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00615
  • Expected Shortfall on VaR
    0.00787
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00210
  • Expected Shortfall on VaR
    0.00437
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98796
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00055
  • Maximum
    1.02117
  • Mean of quarter 1
    0.99740
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00004
  • Mean of quarter 4
    1.00572
  • Inter Quartile Range
    0.00055
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.14504
  • Mean of outliers low
    0.99557
  • Number of outliers high
    30.00000
  • Percentage of outliers high
    0.22901
  • Mean of outliers high
    1.00621
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -5.43118
  • VaR(95%) (moments method)
    0.00171
  • Expected Shortfall (moments method)
    0.00172
  • Extreme Value Index (regression method)
    -0.24227
  • VaR(95%) (regression method)
    0.00233
  • Expected Shortfall (regression method)
    0.00348
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00452
  • Quartile 1
    0.00617
  • Median
    0.00886
  • Quartile 3
    0.01200
  • Maximum
    0.03169
  • Mean of quarter 1
    0.00521
  • Mean of quarter 2
    0.00698
  • Mean of quarter 3
    0.01074
  • Mean of quarter 4
    0.02205
  • Inter Quartile Range
    0.00583
  • 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
    0.03169
  • 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)
    0.21731
  • Compounded annual return (geometric extrapolation)
    0.22911
  • Calmar ratio (compounded annual return / max draw down)
    7.23086
  • Compounded annual return / average of 25% largest draw downs
    10.39000
  • Compounded annual return / Expected Shortfall lognormal
    29.10460

Strategy Description

Trades mostly EMINI S&P 500 and Forex focusing on GBPJPY and occasionally EURUSD. Discretionary trading methodology informed through observation and bespoke technical analysis interpretation . Trade duration can last from just minutes to days depending on volatility. Market orders only and stop loss on all trades.

Summary Statistics

Strategy began
2018-08-01
Suggested Minimum Capital
$70,000
Rank at C2 %
Top 2.3%
Rank # 
#13
# Trades
114
# Profitable
65
% Profitable
57.0%
Correlation S&P500
0.180
Sharpe Ratio
1.98
Sortino Ratio
5.69
Beta
0.12
Alpha
0.07
Leverage
2.46 Average
4.19 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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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.