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ForceX
(96506348)

Created by: GiovanniSalerno GiovanniSalerno
Started: 08/2015
Futures
Last trade: Today
Trading style: Futures Short Term

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 $250.00 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
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
11.5%
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.

(27.0%)
Max Drawdown
336
Num Trades
75.0%
Win Trades
1.3 : 1
Profit Factor
57.1%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2015                                                 +3.4%(1.3%)+4.6%+22.2%+4.1%+35.9%
2016+1.4%+17.6%  -  (10.4%)+0.2%(5.6%)+10.7%+6.6%(7.6%)+4.2%+5.8%+0.8%+22.5%
2017+1.4%(2.3%)+4.6%(4.3%)(1.9%)(8.5%)+9.2%+2.3%(1.4%)+1.8%(3.3%)(3.2%)(6.5%)
2018+10.8%(3.1%)(7.6%)+2.8%(8%)+5.9%(1.2%)+4.0%+2.8%(7.1%)(7.1%)+3.2%(6.5%)
2019(1.9%)+3.4%+0.3%+6.0%(1.5%)+0.5%  -  +0.3%                        +6.9%

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 187 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/22/19 2:00 XGU9 DAX INDEX LONG 1 11766.50 8/22 3:17 11782.00 n/a $422
Includes Typical Broker Commissions trade costs of $8.00
8/20/19 8:44 XGU9 DAX INDEX LONG 1 11682.00 8/20 15:40 11632.00 6.1%
Trade id #125000126
Max drawdown($1,956)
Time8/20/19 9:52
Quant open1
Worst price11611.50
Drawdown as % of equity-6.10%
($1,396)
Includes Typical Broker Commissions trade costs of $8.00
8/16/19 2:03 XGU9 DAX INDEX SHORT 1 11471.50 8/16 3:00 11444.50 1.99%
Trade id #124959731
Max drawdown($624)
Time8/16/19 2:03
Quant open1
Worst price11494.00
Drawdown as % of equity-1.99%
$741
Includes Typical Broker Commissions trade costs of $8.00
8/15/19 2:38 XGU9 DAX INDEX SHORT 1 11526.50 8/15 3:03 11507.00 1.17%
Trade id #124943889
Max drawdown($361)
Time8/15/19 2:38
Quant open1
Worst price11539.50
Drawdown as % of equity-1.17%
$536
Includes Typical Broker Commissions trade costs of $8.00
8/9/19 4:40 XGU9 DAX INDEX LONG 1 11770.50 8/9 7:01 11699.50 6.04%
Trade id #124851033
Max drawdown($1,984)
Time8/9/19 4:40
Quant open1
Worst price11699.50
Drawdown as % of equity-6.04%
($1,996)
Includes Typical Broker Commissions trade costs of $8.00
8/9/19 4:25 XGU9 DAX INDEX LONG 1 11767.00 8/9 4:31 11785.50 0.17%
Trade id #124850851
Max drawdown($55)
Time8/9/19 4:25
Quant open1
Worst price11765.00
Drawdown as % of equity-0.17%
$509
Includes Typical Broker Commissions trade costs of $8.00
8/9/19 3:32 XGU9 DAX INDEX LONG 1 11759.50 8/9 3:37 11777.50 0.31%
Trade id #124850249
Max drawdown($97)
Time8/9/19 3:32
Quant open1
Worst price11756.00
Drawdown as % of equity-0.31%
$496
Includes Typical Broker Commissions trade costs of $8.00
8/6/19 4:26 XGU9 DAX INDEX SHORT 1 11701.00 8/6 8:22 11682.50 3.58%
Trade id #124784870
Max drawdown($1,119)
Time8/6/19 4:26
Quant open1
Worst price11741.00
Drawdown as % of equity-3.58%
$509
Includes Typical Broker Commissions trade costs of $8.00
8/6/19 2:23 XGU9 DAX INDEX SHORT 1 11704.50 8/6 2:35 11686.00 0.14%
Trade id #124783626
Max drawdown($42)
Time8/6/19 2:23
Quant open1
Worst price11706.00
Drawdown as % of equity-0.14%
$510
Includes Typical Broker Commissions trade costs of $8.00
7/31/19 3:11 XGU9 DAX INDEX SHORT 1 12148.00 7/31 11:56 12184.50 5.87%
Trade id #124690664
Max drawdown($1,882)
Time7/31/19 3:11
Quant open1
Worst price12216.00
Drawdown as % of equity-5.87%
($1,023)
Includes Typical Broker Commissions trade costs of $8.00
7/31/19 2:00 XGU9 DAX INDEX SHORT 1 12158.50 7/31 2:20 12144.00 0.66%
Trade id #124690292
Max drawdown($209)
Time7/31/19 2:00
Quant open1
Worst price12166.00
Drawdown as % of equity-0.66%
$397
Includes Typical Broker Commissions trade costs of $8.00
7/26/19 4:04 XGU9 DAX INDEX SHORT 1 12377.50 7/26 8:18 12371.50 2.96%
Trade id #124627321
Max drawdown($931)
Time7/26/19 4:04
Quant open1
Worst price12411.00
Drawdown as % of equity-2.96%
$159
Includes Typical Broker Commissions trade costs of $8.00
7/19/19 2:00 XGU9 DAX INDEX SHORT 1 12287.50 7/19 3:14 12275.00 1.63%
Trade id #124527469
Max drawdown($507)
Time7/19/19 2:00
Quant open1
Worst price12305.50
Drawdown as % of equity-1.63%
$344
Includes Typical Broker Commissions trade costs of $8.00
7/5/19 3:01 XGU9 DAX INDEX LONG 1 12615.50 7/5 6:25 12576.50 3.49%
Trade id #124342495
Max drawdown($1,098)
Time7/5/19 6:25
Quant open1
Worst price12576.50
Drawdown as % of equity-3.49%
($1,106)
Includes Typical Broker Commissions trade costs of $8.00
7/4/19 6:15 XGU9 DAX INDEX LONG 1 12605.50 7/4 7:51 12622.00 0.18%
Trade id #124334488
Max drawdown($56)
Time7/4/19 6:15
Quant open1
Worst price12603.50
Drawdown as % of equity-0.18%
$458
Includes Typical Broker Commissions trade costs of $8.00
7/2/19 5:49 XGU9 DAX INDEX LONG 1 12490.50 7/2 6:20 12500.00 1.83%
Trade id #124303256
Max drawdown($578)
Time7/2/19 5:49
Quant open1
Worst price12470.00
Drawdown as % of equity-1.83%
$260
Includes Typical Broker Commissions trade costs of $8.00
7/2/19 4:42 XGU9 DAX INDEX LONG 1 12483.00 7/2 5:37 12502.00 0.55%
Trade id #124302438
Max drawdown($169)
Time7/2/19 4:42
Quant open1
Worst price12477.00
Drawdown as % of equity-0.55%
$529
Includes Typical Broker Commissions trade costs of $8.00
7/1/19 11:23 XGU9 DAX INDEX LONG 1 12515.00 7/1 15:40 12523.50 1.64%
Trade id #124290350
Max drawdown($507)
Time7/1/19 11:23
Quant open1
Worst price12497.00
Drawdown as % of equity-1.64%
$232
Includes Typical Broker Commissions trade costs of $8.00
6/20/19 10:34 XGU9 DAX INDEX LONG 1 12357.50 6/20 15:40 12353.00 n/a ($135)
Includes Typical Broker Commissions trade costs of $8.00
6/19/19 9:50 XGM9 DAX INDEX LONG 1 12309.00 6/19 14:01 12318.00 2.63%
Trade id #124143056
Max drawdown($813)
Time6/19/19 9:50
Quant open1
Worst price12280.00
Drawdown as % of equity-2.63%
$245
Includes Typical Broker Commissions trade costs of $8.00
6/19/19 8:29 XGM9 DAX INDEX LONG 1 12311.00 6/19 9:11 12327.50 0.69%
Trade id #124141525
Max drawdown($210)
Time6/19/19 8:29
Quant open1
Worst price12303.50
Drawdown as % of equity-0.69%
$454
Includes Typical Broker Commissions trade costs of $8.00
6/11/19 11:33 XGM9 DAX INDEX LONG 1 12163.50 6/11 15:40 12141.50 2.66%
Trade id #124031295
Max drawdown($1,204)
Time6/11/19 12:57
Quant open1
Worst price12120.50
Drawdown as % of equity-2.66%
($631)
Includes Typical Broker Commissions trade costs of $8.00
6/5/19 8:39 XGM9 DAX INDEX LONG 1 11952.50 6/5 8:44 11970.00 0.03%
Trade id #123945466
Max drawdown($14)
Time6/5/19 8:41
Quant open1
Worst price11952.00
Drawdown as % of equity-0.03%
$486
Includes Typical Broker Commissions trade costs of $8.00
5/30/19 2:00 XGM9 DAX INDEX SHORT 1 11877.50 5/30 6:55 11872.50 2.41%
Trade id #123869043
Max drawdown($1,082)
Time5/30/19 5:41
Quant open-1
Worst price11916.00
Drawdown as % of equity-2.41%
$131
Includes Typical Broker Commissions trade costs of $8.00
5/24/19 2:20 XGM9 DAX INDEX SHORT 1 11992.00 5/24 7:33 12076.50 5.14%
Trade id #123806316
Max drawdown($2,363)
Time5/24/19 7:33
Quant open0
Worst price12076.50
Drawdown as % of equity-5.14%
($2,371)
Includes Typical Broker Commissions trade costs of $8.00
5/24/19 2:00 XGM9 DAX INDEX SHORT 1 12013.50 5/24 2:05 11994.00 0.3%
Trade id #123806221
Max drawdown($98)
Time5/24/19 2:00
Quant open1
Worst price12017.00
Drawdown as % of equity-0.30%
$537
Includes Typical Broker Commissions trade costs of $8.00
5/21/19 3:33 XGM9 DAX INDEX SHORT 1 12093.00 5/21 9:50 12126.00 5.05%
Trade id #123748502
Max drawdown($2,352)
Time5/21/19 6:53
Quant open-1
Worst price12177.00
Drawdown as % of equity-5.05%
($928)
Includes Typical Broker Commissions trade costs of $8.00
5/21/19 2:00 XGM9 DAX INDEX SHORT 1 12101.50 5/21 3:22 12082.00 0.52%
Trade id #123747668
Max drawdown($252)
Time5/21/19 3:03
Quant open-1
Worst price12110.50
Drawdown as % of equity-0.52%
$535
Includes Typical Broker Commissions trade costs of $8.00
5/17/19 6:08 XGM9 DAX INDEX LONG 1 12210.00 5/17 7:28 12184.50 1.66%
Trade id #123706956
Max drawdown($809)
Time5/17/19 7:13
Quant open1
Worst price12181.00
Drawdown as % of equity-1.66%
($720)
Includes Typical Broker Commissions trade costs of $8.00
5/17/19 4:05 XGM9 DAX INDEX LONG 1 12227.00 5/17 5:37 12246.50 1.69%
Trade id #123706027
Max drawdown($809)
Time5/17/19 4:56
Quant open1
Worst price12198.00
Drawdown as % of equity-1.69%
$536
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    8/7/2015
  • Suggested Minimum Cap
    $30,000
  • Strategy Age (days)
    1476.21
  • Age
    49 months ago
  • What it trades
    Futures
  • # Trades
    336
  • # Profitable
    252
  • % Profitable
    75.00%
  • Avg trade duration
    1.7 hours
  • Max peak-to-valley drawdown
    27.03%
  • drawdown period
    Feb 15, 2018 - Jan 07, 2019
  • Annual Return (Compounded)
    11.5%
  • Avg win
    $435.12
  • Avg loss
    $983.50
  • Model Account Values (Raw)
  • Cash
    $47,035
  • Margin Used
    $0
  • Buying Power
    $47,035
  • Ratios
  • W:L ratio
    1.33:1
  • Sharpe Ratio
    0.46
  • Sortino Ratio
    0.61
  • Calmar Ratio
    1.956
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.01160
  • Return Statistics
  • Ann Return (w trading costs)
    11.5%
  • Ann Return (Compnd, No Fees)
    23.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    32.50%
  • Chance of 20% account loss
    5.00%
  • Chance of 30% account loss
    2.00%
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    342
  • Popularity (Last 6 weeks)
    681
  • C2 Score
    240
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $984
  • Avg Win
    $435
  • # Winners
    252
  • # Losers
    84
  • % Winners
    75.0%
  • Frequency
  • Avg Position Time (mins)
    103.47
  • Avg Position Time (hrs)
    1.72
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    10.87
  • Daily leverage (max)
    24.30
  • Regression
  • Alpha
    0.03
  • Beta
    0.02
  • Treynor Index
    1.80
  • Maximum Adverse Excursion (MAE)
  • Avg(MAE) / Avg(PL) - All trades
    9.354
  • Avg(MAE) / Avg(PL) - Winning trades
    1.043
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.484
  • Hold-and-Hope Ratio
    0.107
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22353
  • SD
    0.19180
  • Sharpe ratio (Glass type estimate)
    1.16544
  • Sharpe ratio (Hedges UMVUE)
    1.14497
  • df
    43.00000
  • t
    2.23164
  • p
    0.01545
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.10645
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.21165
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09320
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.19674
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.82136
  • Upside Potential Ratio
    4.51574
  • Upside part of mean
    0.35777
  • Downside part of mean
    -0.13424
  • Upside SD
    0.18395
  • Downside SD
    0.07923
  • N nonnegative terms
    27.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    44.00000
  • Mean of predictor
    0.06670
  • Mean of criterion
    0.22353
  • SD of predictor
    0.12951
  • SD of criterion
    0.19180
  • Covariance
    -0.00136
  • r
    -0.05482
  • b (slope, estimate of beta)
    -0.08119
  • a (intercept, estimate of alpha)
    0.22895
  • Mean Square Error
    0.03755
  • DF error
    42.00000
  • t(b)
    -0.35583
  • p(b)
    0.63813
  • t(a)
    2.23722
  • p(a)
    0.01532
  • Lowerbound of 95% confidence interval for beta
    -0.54167
  • Upperbound of 95% confidence interval for beta
    0.37928
  • Lowerbound of 95% confidence interval for alpha
    0.02243
  • Upperbound of 95% confidence interval for alpha
    0.43546
  • Treynor index (mean / b)
    -2.75311
  • Jensen alpha (a)
    0.22895
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20433
  • SD
    0.18300
  • Sharpe ratio (Glass type estimate)
    1.11655
  • Sharpe ratio (Hedges UMVUE)
    1.09694
  • df
    43.00000
  • t
    2.13804
  • p
    0.01912
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.06015
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.16065
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04746
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.14643
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.50654
  • Upside Potential Ratio
    4.18944
  • Upside part of mean
    0.34151
  • Downside part of mean
    -0.13718
  • Upside SD
    0.17193
  • Downside SD
    0.08152
  • N nonnegative terms
    27.00000
  • N negative terms
    17.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    44.00000
  • Mean of predictor
    0.05808
  • Mean of criterion
    0.20433
  • SD of predictor
    0.13106
  • SD of criterion
    0.18300
  • Covariance
    -0.00133
  • r
    -0.05554
  • b (slope, estimate of beta)
    -0.07755
  • a (intercept, estimate of alpha)
    0.20883
  • Mean Square Error
    0.03418
  • DF error
    42.00000
  • t(b)
    -0.36049
  • p(b)
    0.63986
  • t(a)
    2.14506
  • p(a)
    0.01889
  • Lowerbound of 95% confidence interval for beta
    -0.51167
  • Upperbound of 95% confidence interval for beta
    0.35657
  • Lowerbound of 95% confidence interval for alpha
    0.01236
  • Upperbound of 95% confidence interval for alpha
    0.40530
  • Treynor index (mean / b)
    -2.63486
  • Jensen alpha (a)
    0.20883
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06748
  • Expected Shortfall on VaR
    0.08767
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02178
  • Expected Shortfall on VaR
    0.04433
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    44.00000
  • Minimum
    0.91823
  • Quartile 1
    0.98769
  • Median
    1.01514
  • Quartile 3
    1.04837
  • Maximum
    1.22244
  • Mean of quarter 1
    0.96241
  • Mean of quarter 2
    1.00027
  • Mean of quarter 3
    1.03062
  • Mean of quarter 4
    1.09052
  • Inter Quartile Range
    0.06068
  • 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
    0.04545
  • Mean of outliers high
    1.18357
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.26501
  • VaR(95%) (moments method)
    0.03909
  • Expected Shortfall (moments method)
    0.06391
  • Extreme Value Index (regression method)
    0.27030
  • VaR(95%) (regression method)
    0.04377
  • Expected Shortfall (regression method)
    0.07291
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    8.00000
  • Minimum
    0.01662
  • Quartile 1
    0.03463
  • Median
    0.06134
  • Quartile 3
    0.06880
  • Maximum
    0.09678
  • Mean of quarter 1
    0.01906
  • Mean of quarter 2
    0.04899
  • Mean of quarter 3
    0.06616
  • Mean of quarter 4
    0.08310
  • Inter Quartile Range
    0.03416
  • 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)
    0.36633
  • Compounded annual return (geometric extrapolation)
    0.26141
  • Calmar ratio (compounded annual return / max draw down)
    2.70124
  • Compounded annual return / average of 25% largest draw downs
    3.14591
  • Compounded annual return / Expected Shortfall lognormal
    2.98195
  • 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
    0.21747
  • SD
    0.16540
  • Sharpe ratio (Glass type estimate)
    1.31481
  • Sharpe ratio (Hedges UMVUE)
    1.31379
  • df
    965.00000
  • t
    2.52465
  • p
    0.00587
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.29207
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.33689
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.29138
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.33620
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.85216
  • Upside Potential Ratio
    6.61143
  • Upside part of mean
    0.77628
  • Downside part of mean
    -0.55880
  • Upside SD
    0.11715
  • Downside SD
    0.11741
  • N nonnegative terms
    356.00000
  • N negative terms
    610.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    966.00000
  • Mean of predictor
    0.07514
  • Mean of criterion
    0.21747
  • SD of predictor
    0.14435
  • SD of criterion
    0.16540
  • Covariance
    0.00008
  • r
    0.00318
  • b (slope, estimate of beta)
    0.00365
  • a (intercept, estimate of alpha)
    0.21700
  • Mean Square Error
    0.02739
  • DF error
    964.00000
  • t(b)
    0.09880
  • p(b)
    0.46066
  • t(a)
    2.51887
  • p(a)
    0.00597
  • Lowerbound of 95% confidence interval for beta
    -0.06878
  • Upperbound of 95% confidence interval for beta
    0.07607
  • Lowerbound of 95% confidence interval for alpha
    0.04798
  • Upperbound of 95% confidence interval for alpha
    0.38641
  • Treynor index (mean / b)
    59.64350
  • Jensen alpha (a)
    0.21720
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.20365
  • SD
    0.16590
  • Sharpe ratio (Glass type estimate)
    1.22757
  • Sharpe ratio (Hedges UMVUE)
    1.22661
  • df
    965.00000
  • t
    2.35713
  • p
    0.00931
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20508
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.24947
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20442
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.24881
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.70256
  • Upside Potential Ratio
    6.43290
  • Upside part of mean
    0.76946
  • Downside part of mean
    -0.56581
  • Upside SD
    0.11552
  • Downside SD
    0.11961
  • N nonnegative terms
    356.00000
  • N negative terms
    610.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    966.00000
  • Mean of predictor
    0.06469
  • Mean of criterion
    0.20365
  • SD of predictor
    0.14465
  • SD of criterion
    0.16590
  • Covariance
    0.00007
  • r
    0.00299
  • b (slope, estimate of beta)
    0.00343
  • a (intercept, estimate of alpha)
    0.20343
  • Mean Square Error
    0.02755
  • DF error
    964.00000
  • t(b)
    0.09273
  • p(b)
    0.46307
  • t(a)
    2.35246
  • p(a)
    0.00943
  • Lowerbound of 95% confidence interval for beta
    -0.06906
  • Upperbound of 95% confidence interval for beta
    0.07591
  • Lowerbound of 95% confidence interval for alpha
    0.03373
  • Upperbound of 95% confidence interval for alpha
    0.37313
  • Treynor index (mean / b)
    59.45480
  • Jensen alpha (a)
    0.20343
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01595
  • Expected Shortfall on VaR
    0.02015
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00555
  • Expected Shortfall on VaR
    0.01227
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    966.00000
  • Minimum
    0.92497
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00305
  • Maximum
    1.06502
  • Mean of quarter 1
    0.99175
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00051
  • Mean of quarter 4
    1.01148
  • Inter Quartile Range
    0.00305
  • Number outliers low
    104.00000
  • Percentage of outliers low
    0.10766
  • Mean of outliers low
    0.98203
  • Number of outliers high
    144.00000
  • Percentage of outliers high
    0.14907
  • Mean of outliers high
    1.01560
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.02126
  • VaR(95%) (moments method)
    0.00545
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.23803
  • VaR(95%) (regression method)
    0.00740
  • Expected Shortfall (regression method)
    0.01551
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    29.00000
  • Minimum
    0.00019
  • Quartile 1
    0.00171
  • Median
    0.00684
  • Quartile 3
    0.06372
  • Maximum
    0.13320
  • Mean of quarter 1
    0.00086
  • Mean of quarter 2
    0.00431
  • Mean of quarter 3
    0.03342
  • Mean of quarter 4
    0.10207
  • Inter Quartile Range
    0.06201
  • 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)
    -1.25738
  • VaR(95%) (moments method)
    0.10799
  • Expected Shortfall (moments method)
    0.11194
  • Extreme Value Index (regression method)
    -0.88658
  • VaR(95%) (regression method)
    0.11711
  • Expected Shortfall (regression method)
    0.12447
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.36573
  • Compounded annual return (geometric extrapolation)
    0.26056
  • Calmar ratio (compounded annual return / max draw down)
    1.95620
  • Compounded annual return / average of 25% largest draw downs
    2.55285
  • Compounded annual return / Expected Shortfall lognormal
    12.93060
  • 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
    0.19124
  • SD
    0.14562
  • Sharpe ratio (Glass type estimate)
    1.31334
  • Sharpe ratio (Hedges UMVUE)
    1.30575
  • df
    130.00000
  • t
    0.92867
  • p
    0.45941
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.46548
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.08733
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.47060
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.08210
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.90671
  • Upside Potential Ratio
    7.93812
  • Upside part of mean
    0.79620
  • Downside part of mean
    -0.60496
  • Upside SD
    0.10546
  • Downside SD
    0.10030
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30735
  • Mean of criterion
    0.19124
  • SD of predictor
    0.14894
  • SD of criterion
    0.14562
  • Covariance
    0.00291
  • r
    0.13440
  • b (slope, estimate of beta)
    0.13140
  • a (intercept, estimate of alpha)
    0.15086
  • Mean Square Error
    0.02098
  • DF error
    129.00000
  • t(b)
    1.54045
  • p(b)
    0.41470
  • t(a)
    0.73046
  • p(a)
    0.45917
  • Lowerbound of 95% confidence interval for beta
    -0.03737
  • Upperbound of 95% confidence interval for beta
    0.30017
  • Lowerbound of 95% confidence interval for alpha
    -0.25776
  • Upperbound of 95% confidence interval for alpha
    0.55947
  • Treynor index (mean / b)
    1.45542
  • Jensen alpha (a)
    0.15086
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.18065
  • SD
    0.14547
  • Sharpe ratio (Glass type estimate)
    1.24186
  • Sharpe ratio (Hedges UMVUE)
    1.23468
  • df
    130.00000
  • t
    0.87813
  • p
    0.46160
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.53635
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.01548
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.54118
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.01055
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.78162
  • Upside Potential Ratio
    7.79743
  • Upside part of mean
    0.79065
  • Downside part of mean
    -0.61000
  • Upside SD
    0.10413
  • Downside SD
    0.10140
  • N nonnegative terms
    52.00000
  • N negative terms
    79.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.29614
  • Mean of criterion
    0.18065
  • SD of predictor
    0.14898
  • SD of criterion
    0.14547
  • Covariance
    0.00290
  • r
    0.13400
  • b (slope, estimate of beta)
    0.13085
  • a (intercept, estimate of alpha)
    0.14191
  • Mean Square Error
    0.02094
  • DF error
    129.00000
  • t(b)
    1.53581
  • p(b)
    0.41495
  • t(a)
    0.68816
  • p(a)
    0.46152
  • Lowerbound of 95% confidence interval for beta
    -0.03772
  • Upperbound of 95% confidence interval for beta
    0.29941
  • Lowerbound of 95% confidence interval for alpha
    -0.26609
  • Upperbound of 95% confidence interval for alpha
    0.54990
  • Treynor index (mean / b)
    1.38064
  • Jensen alpha (a)
    0.14191
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01399
  • Expected Shortfall on VaR
    0.01768
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00589
  • Expected Shortfall on VaR
    0.01245
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96524
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00499
  • Maximum
    1.04716
  • Mean of quarter 1
    0.99109
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00182
  • Mean of quarter 4
    1.01047
  • Inter Quartile Range
    0.00499
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.12977
  • Mean of outliers low
    0.98479
  • Number of outliers high
    8.00000
  • Percentage of outliers high
    0.06107
  • Mean of outliers high
    1.01927
  • 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)
    -0.17938
  • VaR(95%) (regression method)
    0.00812
  • Expected Shortfall (regression method)
    0.01242
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.02828
  • Quartile 1
    0.03199
  • Median
    0.03467
  • Quartile 3
    0.03476
  • Maximum
    0.05541
  • Mean of quarter 1
    0.03014
  • Mean of quarter 2
    0.03467
  • Mean of quarter 3
    0.03476
  • Mean of quarter 4
    0.05541
  • Inter Quartile Range
    0.00276
  • 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
    0.20000
  • Mean of outliers high
    0.05541
  • 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)
    0.21982
  • Compounded annual return (geometric extrapolation)
    0.23191
  • Calmar ratio (compounded annual return / max draw down)
    4.18496
  • Compounded annual return / average of 25% largest draw downs
    4.18496
  • Compounded annual return / Expected Shortfall lognormal
    13.11330

Strategy Description

Designed on the DAX Futures Index, the ForceX stratedy consists of entering the market in the direction of the trend during a retracement or pullback. The system is a day- trading strategy. In general, the time of exposure to the market may vary from a few minutes to a few hours. The position is always closed before 22:00, local market time.

The entry parameters are filtered for the short-term tendency (approx. 2 days), the ATR volatility, the analysis of the short-term movements (to determine a retracement or puIlback), and other parameters.

The profit objective will vary according to the volatility.
A Stop-Loss is bigger than the profit but less often reaches (only 25% of the trades). He Is also automatically calculate d when e ntering the market. As time goes by, the Stop-Loss will automatically decreases.

See the hypothetical performance since 2008 at www.gsconsultinginvest.com
Since 2011 on real account.

Summary Statistics

Strategy began
2015-08-07
Suggested Minimum Capital
$30,000
# Trades
336
# Profitable
252
% Profitable
75.0%
Correlation S&P500
0.012
Sharpe Ratio
0.46
Sortino Ratio
0.61
Beta
0.02
Alpha
0.03
Leverage
10.87 Average
24.30 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

Most values on this page (including the Strategy Equity Chart, above) have been adjusted by estimated trading commissions and subscription costs.

Some advanced users find it useful to see "raw" Model Account values. These numbers do not include any commissions, fees, subscription costs, or dividend actions.

Strategy developers can "archive" strategies at any time. This means the strategy Model Account is reset to its initial level and the trade list cleared. However, all archived track records are permanently preserved for evaluation by potential subscribers.

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.