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This is an archived track record. This track record was archived on 8/19/20 11:44 ET. (See latest track record)
These are hypothetical performance results that have certain inherent limitations. Learn more

ES1 and US 10Yr
(128962913)

Created by: Frank Frank
Started: 05/2020
Futures
Last trade: 1,318 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 $125.00 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.

30.8%
Cumul. Return

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

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

All results are hypothetical.

(7.0%)
Max Drawdown
17
Num Trades
58.8%
Win Trades
1.9 : 1
Profit Factor
6.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                            +1.3%(2%)+5.9%+2.6%  -    -    -    -  +7.8%
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -  
2024  -    -    -                                                        0.0

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
8/18/20 3:37 @M6BU0 E-MICRO GBP/USD LONG 3 1.3168 8/19 11:44 1.3199 0.05%
Trade id #130662432
Max drawdown($28)
Time8/18/20 4:31
Quant open3
Worst price1.3153
Drawdown as % of equity-0.05%
$56
Includes Typical Broker Commissions trade costs of $2.34
7/21/20 11:48 @M6EU0 E-MICRO EUR/USD LONG 4 1.1576 8/19 11:44 1.1870 0.04%
Trade id #130190839
Max drawdown($18)
Time7/21/20 11:57
Quant open3
Worst price1.1504
Drawdown as % of equity-0.04%
$1,466
Includes Typical Broker Commissions trade costs of $3.12
6/10/20 10:07 @FVU0 US T-NOTE 5 YR LONG 3 125 22/64 8/19 11:44 125 44/64 0.25%
Trade id #129468953
Max drawdown($124)
Time6/10/20 14:01
Quant open2
Worst price125 15/64
Drawdown as % of equity-0.25%
$1,015
Includes Typical Broker Commissions trade costs of $24.00
6/10/20 10:06 @MESU0 MICRO E-MINI S&P 500 LONG 10 3101.50 8/19 11:44 3163.05 4.58%
Trade id #129468937
Max drawdown($2,208)
Time6/15/20 0:00
Quant open3
Worst price2924.25
Drawdown as % of equity-4.58%
$3,069
Includes Typical Broker Commissions trade costs of $9.40
6/10/20 10:04 @MJYU0 E-MICRO JPY/USD LONG 2 0.009331 8/19 11:44 0.009463 0.39%
Trade id #129468899
Max drawdown($192)
Time7/1/20 0:00
Quant open2
Worst price0.009254
Drawdown as % of equity-0.39%
$328
Includes Typical Broker Commissions trade costs of $1.56
8/10/20 6:46 @M6BU0 E-MICRO GBP/USD SHORT 3 1.3034 8/18 3:37 1.3167 0.49%
Trade id #130534432
Max drawdown($260)
Time8/18/20 3:20
Quant open3
Worst price1.3173
Drawdown as % of equity-0.49%
($251)
Includes Typical Broker Commissions trade costs of $2.34
7/29/20 10:18 @M6BU0 E-MICRO GBP/USD LONG 3 1.2994 8/10 6:46 1.3034 0.16%
Trade id #130339063
Max drawdown($84)
Time7/30/20 0:00
Quant open3
Worst price1.2949
Drawdown as % of equity-0.16%
$73
Includes Typical Broker Commissions trade costs of $2.34
5/11/20 12:27 SHY ISHARES BARCLAYS 1-3 YEAR TREA LONG 434 86.62 7/30 13:42 86.60 0.14%
Trade id #128963117
Max drawdown($69)
Time6/8/20 0:00
Quant open433
Worst price86.46
Drawdown as % of equity-0.14%
($18)
Includes Typical Broker Commissions trade costs of $8.68
6/18/20 15:07 @M6BU0 E-MICRO GBP/USD SHORT 3 1.2418 7/29 10:17 1.2993 2.13%
Trade id #129645867
Max drawdown($1,091)
Time7/29/20 9:34
Quant open3
Worst price1.3000
Drawdown as % of equity-2.13%
($1,080)
Includes Typical Broker Commissions trade costs of $2.34
6/10/20 10:05 @M6EU0 E-MICRO EUR/USD SHORT 3 1.1385 7/21 11:48 1.1509 0.92%
Trade id #129468924
Max drawdown($468)
Time7/21/20 11:20
Quant open3
Worst price1.1510
Drawdown as % of equity-0.92%
($467)
Includes Typical Broker Commissions trade costs of $2.34
6/10/20 10:07 @M6BU0 E-MICRO GBP/USD LONG 3 1.2762 6/18 15:06 1.2418 1.34%
Trade id #129468972
Max drawdown($663)
Time6/18/20 10:33
Quant open3
Worst price1.2408
Drawdown as % of equity-1.34%
($647)
Includes Typical Broker Commissions trade costs of $2.34
6/9/20 12:22 @M6BM0 E-MICRO GBP/USD LONG 3 1.2744 6/10 10:07 1.2753 0.13%
Trade id #129438983
Max drawdown($63)
Time6/9/20 19:47
Quant open3
Worst price1.2710
Drawdown as % of equity-0.13%
$15
Includes Typical Broker Commissions trade costs of $2.34
5/11/20 12:24 @FVM0 US T-NOTE 5 YR LONG 2 125 31/64 6/10 10:07 125 34/64 2.53%
Trade id #128963061
Max drawdown($1,250)
Time6/5/20 0:00
Quant open2
Worst price124 55/64
Drawdown as % of equity-2.53%
$78
Includes Typical Broker Commissions trade costs of $16.00
5/11/20 12:23 @MESM0 MICRO E-MINI S&P 500 LONG 8 3026.41 6/10 10:06 3114.28 5.53%
Trade id #128963055
Max drawdown($2,710)
Time5/13/20 0:00
Quant open4
Worst price2786.25
Drawdown as % of equity-5.53%
$3,507
Includes Typical Broker Commissions trade costs of $7.52
5/11/20 12:23 @M6EM0 E-MICRO EUR/USD SHORT 3 1.0819 6/10 10:05 1.1362 4.22%
Trade id #128963049
Max drawdown($2,141)
Time6/10/20 7:21
Quant open3
Worst price1.1390
Drawdown as % of equity-4.22%
($2,038)
Includes Typical Broker Commissions trade costs of $2.34
5/11/20 12:22 @MJYM0 E-MICRO JPY/USD LONG 2 0.009291 6/10 10:05 0.009315 0.95%
Trade id #128963022
Max drawdown($467)
Time6/5/20 0:00
Quant open2
Worst price0.009104
Drawdown as % of equity-0.95%
$58
Includes Typical Broker Commissions trade costs of $1.56
5/11/20 12:22 @M6BM0 E-MICRO GBP/USD SHORT 4 1.2333 6/9 12:22 1.2589 1.52%
Trade id #128963030
Max drawdown($770)
Time6/9/20 11:35
Quant open3
Worst price1.2744
Drawdown as % of equity-1.52%
($643)
Includes Typical Broker Commissions trade costs of $3.12

Statistics

  • Strategy began
    5/11/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1414.41
  • Age
    47 months ago
  • What it trades
    Futures
  • # Trades
    17
  • # Profitable
    10
  • % Profitable
    58.80%
  • Avg trade duration
    34.1 days
  • Max peak-to-valley drawdown
    6.98%
  • drawdown period
    June 10, 2020 - June 15, 2020
  • Cumul. Return
    7.8%
  • Avg win
    $973.50
  • Avg loss
    $731.71
  • Model Account Values (Raw)
  • Cash
    $54,642
  • Margin Used
    $0
  • Buying Power
    $54,642
  • Ratios
  • W:L ratio
    1.91:1
  • Sharpe Ratio
    0.04
  • Sortino Ratio
    0.06
  • Calmar Ratio
    2.609
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -8.03%
  • Correlation to SP500
    0.14680
  • Return Percent SP500 (cumu) during strategy life
    79.32%
  • Return Statistics
  • Ann Return (w trading costs)
    30.8%
  • Slump
  • Current Slump as Pcnt Equity
    0.60%
  • Instruments
  • Percent Trades Futures
    0.95%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.93%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.079%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.05%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    2.3%
  • Automation
  • Percentage Signals Automated
    8.77%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    441
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    431
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $732
  • Avg Win
    $974
  • Sum Trade PL (losers)
    $5,122.000
  • Age
  • Num Months filled monthly returns table
    47
  • Win / Loss
  • Sum Trade PL (winners)
    $9,735.000
  • # Winners
    10
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    30
  • Win / Loss
  • # Losers
    7
  • % Winners
    58.8%
  • Frequency
  • Avg Position Time (mins)
    49122.40
  • Avg Position Time (hrs)
    818.71
  • Avg Trade Length
    34.1 days
  • Last Trade Ago
    1314
  • Leverage
  • Daily leverage (average)
    8.53
  • Daily leverage (max)
    12.69
  • Regression
  • Alpha
    -0.00
  • Beta
    0.03
  • Treynor Index
    0.02
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    0.86
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    2.734
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.734
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.067
  • Hold-and-Hope Ratio
    0.366
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23991
  • SD
    0.11930
  • Sharpe ratio (Glass type estimate)
    2.01091
  • Sharpe ratio (Hedges UMVUE)
    1.13453
  • df
    2.00000
  • t
    1.00545
  • p
    0.21028
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.49261
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.15725
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.94002
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.20908
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.49319
  • Upside Potential Ratio
    10.49320
  • Upside part of mean
    0.29640
  • Downside part of mean
    -0.05649
  • Upside SD
    0.11614
  • Downside SD
    0.02825
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.50721
  • Mean of criterion
    0.23991
  • SD of predictor
    0.15655
  • SD of criterion
    0.11930
  • Covariance
    0.00972
  • r
    0.52039
  • b (slope, estimate of beta)
    0.39658
  • a (intercept, estimate of alpha)
    0.03876
  • Mean Square Error
    0.02076
  • DF error
    1.00000
  • t(b)
    0.60941
  • p(b)
    0.32578
  • t(a)
    0.08846
  • p(a)
    0.47191
  • Lowerbound of 95% confidence interval for beta
    -7.87212
  • Upperbound of 95% confidence interval for beta
    8.66529
  • Lowerbound of 95% confidence interval for alpha
    -5.52851
  • Upperbound of 95% confidence interval for alpha
    5.60604
  • Treynor index (mean / b)
    0.60494
  • Jensen alpha (a)
    0.03876
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23246
  • SD
    0.11669
  • Sharpe ratio (Glass type estimate)
    1.99202
  • Sharpe ratio (Hedges UMVUE)
    1.12388
  • df
    2.00000
  • t
    0.99601
  • p
    0.21209
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.50347
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.13210
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.94784
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.19559
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.19027
  • Upside Potential Ratio
    10.19030
  • Upside part of mean
    0.28922
  • Downside part of mean
    -0.05676
  • Upside SD
    0.11303
  • Downside SD
    0.02838
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.48814
  • Mean of criterion
    0.23246
  • SD of predictor
    0.15020
  • SD of criterion
    0.11669
  • Covariance
    0.00945
  • r
    0.53914
  • b (slope, estimate of beta)
    0.41889
  • a (intercept, estimate of alpha)
    0.02798
  • Mean Square Error
    0.01932
  • DF error
    1.00000
  • t(b)
    0.64014
  • p(b)
    0.31875
  • t(a)
    0.06608
  • p(a)
    0.47900
  • Lowerbound of 95% confidence interval for beta
    -7.89554
  • Upperbound of 95% confidence interval for beta
    8.73331
  • Lowerbound of 95% confidence interval for alpha
    -5.35238
  • Upperbound of 95% confidence interval for alpha
    5.40834
  • Treynor index (mean / b)
    0.55494
  • Jensen alpha (a)
    0.02798
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03540
  • Expected Shortfall on VaR
    0.04881
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00857
  • Expected Shortfall on VaR
    0.01614
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.98821
  • Quartile 1
    1.00494
  • Median
    1.02168
  • Quartile 3
    1.03938
  • Maximum
    1.05708
  • Mean of quarter 1
    0.98821
  • Mean of quarter 2
    1.02168
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.05708
  • Inter Quartile Range
    0.03444
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.01180
  • Quartile 1
    0.01180
  • Median
    0.01180
  • Quartile 3
    0.01180
  • Maximum
    0.01180
  • 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)
    0.26903
  • Compounded annual return (geometric extrapolation)
    0.29740
  • Calmar ratio (compounded annual return / max draw down)
    25.21350
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    6.09362
  • 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
    0.31407
  • SD
    0.12866
  • Sharpe ratio (Glass type estimate)
    2.44107
  • Sharpe ratio (Hedges UMVUE)
    2.41519
  • df
    71.00000
  • t
    1.27966
  • p
    0.10242
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.32762
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.19287
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.34465
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.17504
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.73013
  • Upside Potential Ratio
    11.28190
  • Upside part of mean
    0.94991
  • Downside part of mean
    -0.63584
  • Upside SD
    0.09803
  • Downside SD
    0.08420
  • N nonnegative terms
    40.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    72.00000
  • Mean of predictor
    0.53053
  • Mean of criterion
    0.31407
  • SD of predictor
    0.20726
  • SD of criterion
    0.12866
  • Covariance
    0.01076
  • r
    0.40344
  • b (slope, estimate of beta)
    0.25044
  • a (intercept, estimate of alpha)
    0.07100
  • Mean Square Error
    0.01406
  • DF error
    70.00000
  • t(b)
    3.68897
  • p(b)
    0.00022
  • t(a)
    0.79122
  • p(a)
    0.21574
  • Lowerbound of 95% confidence interval for beta
    0.11504
  • Upperbound of 95% confidence interval for beta
    0.38584
  • Lowerbound of 95% confidence interval for alpha
    -0.27556
  • Upperbound of 95% confidence interval for alpha
    0.63797
  • Treynor index (mean / b)
    1.25407
  • Jensen alpha (a)
    0.18120
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.30569
  • SD
    0.12868
  • Sharpe ratio (Glass type estimate)
    2.37561
  • Sharpe ratio (Hedges UMVUE)
    2.35043
  • df
    71.00000
  • t
    1.24535
  • p
    0.10855
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.39172
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.12650
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.40831
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.10916
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.60169
  • Upside Potential Ratio
    11.13470
  • Upside part of mean
    0.94504
  • Downside part of mean
    -0.63935
  • Upside SD
    0.09737
  • Downside SD
    0.08487
  • N nonnegative terms
    40.00000
  • N negative terms
    32.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    72.00000
  • Mean of predictor
    0.50855
  • Mean of criterion
    0.30569
  • SD of predictor
    0.20902
  • SD of criterion
    0.12868
  • Covariance
    0.01088
  • r
    0.40463
  • b (slope, estimate of beta)
    0.24911
  • a (intercept, estimate of alpha)
    0.17901
  • Mean Square Error
    0.01405
  • DF error
    70.00000
  • t(b)
    3.70198
  • p(b)
    0.00021
  • t(a)
    0.78290
  • p(a)
    0.21816
  • Lowerbound of 95% confidence interval for beta
    0.11490
  • Upperbound of 95% confidence interval for beta
    0.38331
  • Lowerbound of 95% confidence interval for alpha
    -0.27701
  • Upperbound of 95% confidence interval for alpha
    0.63503
  • Treynor index (mean / b)
    1.22715
  • Jensen alpha (a)
    0.17901
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01184
  • Expected Shortfall on VaR
    0.01511
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00516
  • Expected Shortfall on VaR
    0.01050
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    72.00000
  • Minimum
    0.97471
  • Quartile 1
    0.99715
  • Median
    1.00147
  • Quartile 3
    1.00635
  • Maximum
    1.02517
  • Mean of quarter 1
    0.99146
  • Mean of quarter 2
    0.99924
  • Mean of quarter 3
    1.00362
  • Mean of quarter 4
    1.01090
  • Inter Quartile Range
    0.00920
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.02778
  • Mean of outliers low
    0.97891
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.01389
  • Mean of outliers high
    1.02517
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.08974
  • VaR(95%) (moments method)
    0.00761
  • Expected Shortfall (moments method)
    0.01109
  • Extreme Value Index (regression method)
    0.31443
  • VaR(95%) (regression method)
    0.00913
  • Expected Shortfall (regression method)
    0.01622
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00046
  • Quartile 1
    0.00165
  • Median
    0.00695
  • Quartile 3
    0.02236
  • Maximum
    0.04663
  • Mean of quarter 1
    0.00107
  • Mean of quarter 2
    0.00638
  • Mean of quarter 3
    0.02139
  • Mean of quarter 4
    0.03484
  • Inter Quartile Range
    0.02071
  • 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)
    0.29072
  • VaR(95%) (moments method)
    0.03835
  • Expected Shortfall (moments method)
    0.05698
  • Extreme Value Index (regression method)
    4.05929
  • VaR(95%) (regression method)
    0.11905
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.34937
  • Compounded annual return (geometric extrapolation)
    0.39598
  • Calmar ratio (compounded annual return / max draw down)
    8.49282
  • Compounded annual return / average of 25% largest draw downs
    11.36410
  • Compounded annual return / Expected Shortfall lognormal
    26.20360
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.00700
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -276332000
  • Max Equity Drawdown (num days)
    5

Strategy Description

The strategy of Golden Bay SPX is to invest globally long and short, using leverage, in a diversified range of contracts following a systematic process based on the statistical analysis of historical data such as price, volume, volatility etc. Cash will be invested in short term Treasury bonds reduce by the margin required to implement the strategy. We do make an effort to control risk through leverage and stop loss to reduce as low as possible drawdowns.

Summary Statistics

Strategy began
2020-05-11
Suggested Minimum Capital
$50,000
# Trades
17
# Profitable
10
% Profitable
58.8%
Net Dividends
Correlation S&P500
0.147
Sharpe Ratio
0.04
Sortino Ratio
0.06
Beta
0.03
Alpha
-0.00
Leverage
8.53 Average
12.69 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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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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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.