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These are hypothetical performance results that have certain inherent limitations. Learn more
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AFBF
(145456398)

Created by: RKBF RKBF
Started: 08/2023
Futures
Last trade: 169 days ago
Trading style: Futures Momentum Short Term
Subscriptions not currently available.

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 $180.00 per month.

C2Star

C2Star is a certification program for trading strategies. In order to become "C2Star Certified," a strategy must apply tight risk controls, and must exhibit excellent performance characteristics, including low drawdowns.

You can read more about C2Star certification requirements here.

Note that: all trading strategies are risky, and C2Star Certification does not imply that a strategy is low risk.

Trading Category: Futures
Momentum
Category: Equity

Momentum

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

Short Term

Makes short-term trades or bases analysis on short-term market movements.
480.3%
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.

(57.3%)
Max Drawdown
74
Num Trades
67.6%
Win Trades
38.9 : 1
Profit Factor
37.5%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                 (22.9%)+44.5%+3.1%(39.1%)(29%)(50.3%)
2024+1068.7%  -    -                                                        

Model Account Details

A trading strategy on Collective2. Follow it in your broker account, or use a free simulated trading account.

Advanced users may want to use this information to adjust their AutoTrade scaling, or merely to understand the magnitudes of the nearby chart.

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/31/23 11:35 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 2 14406.00 10/31 12:36 14389.75 0.55%
Trade id #146289308
Max drawdown($159)
Time10/31/23 11:47
Quant open2
Worst price14366.20
Drawdown as % of equity-0.55%
 ($67)
Includes Typical Broker Commissions trade costs of $1.88
10/31/23 11:24 @MNQZ3 MICRO E-MINI NASDAQ 100 SHORT 2 14390.00 10/31 11:34 14405.25 0.28%
Trade id #146289153
Max drawdown($80)
Time10/31/23 11:27
Quant open2
Worst price14410.00
Drawdown as % of equity-0.28%
 ($63)
Includes Typical Broker Commissions trade costs of $1.88
10/31/23 10:03 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 2 14342.75 10/31 10:19 14389.75 0.29%
Trade id #146287565
Max drawdown($83)
Time10/31/23 10:06
Quant open2
Worst price14322.00
Drawdown as % of equity-0.29%
 $186
Includes Typical Broker Commissions trade costs of $1.88
10/25/23 9:36 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 6 14438.33 10/26 9:37 14427.75 5.82%
Trade id #146229596
Max drawdown($1,630)
Time10/26/23 7:35
Quant open6
Worst price14302.50
Drawdown as % of equity-5.82%
 ($133)
Includes Typical Broker Commissions trade costs of $5.64
10/20/23 10:32 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 2 14746.50 10/20 13:00 14770.50 1.19%
Trade id #146186011
Max drawdown($346)
Time10/20/23 11:33
Quant open2
Worst price14660.00
Drawdown as % of equity-1.19%
 $94
Includes Typical Broker Commissions trade costs of $1.88
10/17/23 11:02 @MNQZ3 MICRO E-MINI NASDAQ 100 SHORT 2 15188.00 10/18 9:52 15148.25 1.7%
Trade id #146151642
Max drawdown($485)
Time10/17/23 12:30
Quant open2
Worst price15309.20
Drawdown as % of equity-1.70%
 $157
Includes Typical Broker Commissions trade costs of $1.88
10/17/23 9:20 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 2 15155.75 10/17 10:25 15187.75 1.47%
Trade id #146149024
Max drawdown($423)
Time10/17/23 9:54
Quant open2
Worst price15050.00
Drawdown as % of equity-1.47%
 $126
Includes Typical Broker Commissions trade costs of $1.88
10/16/23 11:02 @MNQZ3 MICRO E-MINI NASDAQ 100 SHORT 2 15299.25 10/16 13:00 15285.50 0.3%
Trade id #146140731
Max drawdown($86)
Time10/16/23 11:09
Quant open2
Worst price15320.80
Drawdown as % of equity-0.30%
 $53
Includes Typical Broker Commissions trade costs of $1.88
10/12/23 10:07 @M2KZ3 MICRO E-MINI RUSSELL 2000 LONG 4 1758.15 10/16 11:02 1758.00 1.79%
Trade id #146110144
Max drawdown($505)
Time10/16/23 4:15
Quant open4
Worst price1732.90
Drawdown as % of equity-1.79%
 ($7)
Includes Typical Broker Commissions trade costs of $3.76
10/12/23 10:05 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 2 15403.25 10/12 10:13 15446.75 n/a $172
Includes Typical Broker Commissions trade costs of $1.88
10/11/23 11:05 @MNQZ3 MICRO E-MINI NASDAQ 100 SHORT 4 15343.50 10/11 11:45 15306.75 0.36%
Trade id #146100025
Max drawdown($101)
Time10/11/23 11:12
Quant open2
Worst price15383.00
Drawdown as % of equity-0.36%
 $290
Includes Typical Broker Commissions trade costs of $3.76
10/11/23 9:39 @MNQZ3 MICRO E-MINI NASDAQ 100 SHORT 2 15370.25 10/11 10:20 15315.25 n/a $218
Includes Typical Broker Commissions trade costs of $1.88
10/10/23 12:01 @MNQZ3 MICRO E-MINI NASDAQ 100 SHORT 2 15367.75 10/10 21:06 15286.50 0.13%
Trade id #146090034
Max drawdown($37)
Time10/10/23 12:13
Quant open2
Worst price15377.00
Drawdown as % of equity-0.13%
 $323
Includes Typical Broker Commissions trade costs of $1.88
10/1/23 23:10 @MNQZ3 MICRO E-MINI NASDAQ 100 SHORT 6 14980.25 10/1 23:47 14977.75 0.09%
Trade id #145987751
Max drawdown($24)
Time10/1/23 23:13
Quant open6
Worst price14982.20
Drawdown as % of equity-0.09%
 $24
Includes Typical Broker Commissions trade costs of $5.64
9/29/23 5:22 @MNQZ3 MICRO E-MINI NASDAQ 100 SHORT 4 14964.88 9/29 11:51 14936.75 1.78%
Trade id #145968599
Max drawdown($487)
Time9/29/23 10:54
Quant open4
Worst price15025.80
Drawdown as % of equity-1.78%
 $221
Includes Typical Broker Commissions trade costs of $3.76
9/29/23 3:33 @MNQZ3 MICRO E-MINI NASDAQ 100 SHORT 2 14944.50 9/29 4:25 14961.50 0.26%
Trade id #145968258
Max drawdown($73)
Time9/29/23 4:25
Quant open2
Worst price14962.80
Drawdown as % of equity-0.26%
 ($70)
Includes Typical Broker Commissions trade costs of $1.88
9/26/23 10:03 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 2 14775.25 9/28 11:45 14875.50 2.77%
Trade id #145933467
Max drawdown($752)
Time9/27/23 0:00
Quant open2
Worst price14587.20
Drawdown as % of equity-2.77%
 $399
Includes Typical Broker Commissions trade costs of $1.88
9/26/23 6:19 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 2 14859.00 9/26 7:45 14877.00 0.28%
Trade id #145931018
Max drawdown($76)
Time9/26/23 7:11
Quant open2
Worst price14840.00
Drawdown as % of equity-0.28%
 $70
Includes Typical Broker Commissions trade costs of $1.88
9/26/23 5:10 @MNQZ3 MICRO E-MINI NASDAQ 100 SHORT 2 14842.00 9/26 6:18 14858.50 0.38%
Trade id #145930783
Max drawdown($103)
Time9/26/23 5:35
Quant open2
Worst price14867.80
Drawdown as % of equity-0.38%
 ($68)
Includes Typical Broker Commissions trade costs of $1.88
9/26/23 4:26 @MNQZ3 MICRO E-MINI NASDAQ 100 SHORT 4 14874.50 9/26 4:48 14856.75 0.04%
Trade id #145930678
Max drawdown($10)
Time9/26/23 4:29
Quant open4
Worst price14875.80
Drawdown as % of equity-0.04%
 $138
Includes Typical Broker Commissions trade costs of $3.76
9/25/23 11:30 @MNQZ3 MICRO E-MINI NASDAQ 100 SHORT 2 14892.50 9/26 3:17 14799.00 0.95%
Trade id #145924531
Max drawdown($254)
Time9/25/23 16:39
Quant open2
Worst price14956.00
Drawdown as % of equity-0.95%
 $372
Includes Typical Broker Commissions trade costs of $1.88
9/25/23 10:07 @MNQZ3 MICRO E-MINI NASDAQ 100 SHORT 3 14859.75 9/25 10:32 14837.00 0.45%
Trade id #145923428
Max drawdown($120)
Time9/25/23 10:17
Quant open3
Worst price14879.80
Drawdown as % of equity-0.45%
 $134
Includes Typical Broker Commissions trade costs of $2.82
9/25/23 9:40 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 2 14846.25 9/25 9:58 14873.50 0.06%
Trade id #145922806
Max drawdown($16)
Time9/25/23 9:44
Quant open2
Worst price14842.20
Drawdown as % of equity-0.06%
 $107
Includes Typical Broker Commissions trade costs of $1.88
9/25/23 9:02 @MNQZ3 MICRO E-MINI NASDAQ 100 SHORT 4 14809.00 9/25 9:16 14808.00 0.25%
Trade id #145921458
Max drawdown($66)
Time9/25/23 9:05
Quant open4
Worst price14817.20
Drawdown as % of equity-0.25%
 $4
Includes Typical Broker Commissions trade costs of $3.76
9/21/23 7:37 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 2 15001.00 9/22 11:48 15000.50 2.54%
Trade id #145887898
Max drawdown($661)
Time9/21/23 20:31
Quant open2
Worst price14835.80
Drawdown as % of equity-2.54%
 ($4)
Includes Typical Broker Commissions trade costs of $1.88
9/20/23 5:11 @MNQZ3 MICRO E-MINI NASDAQ 100 SHORT 2 15399.00 9/20 11:43 15339.50 0.57%
Trade id #145875030
Max drawdown($150)
Time9/20/23 9:10
Quant open2
Worst price15436.50
Drawdown as % of equity-0.57%
 $236
Includes Typical Broker Commissions trade costs of $1.88
9/19/23 11:31 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 2 15283.75 9/19 20:32 15371.25 0.4%
Trade id #145867802
Max drawdown($103)
Time9/19/23 12:08
Quant open2
Worst price15258.00
Drawdown as % of equity-0.40%
 $348
Includes Typical Broker Commissions trade costs of $1.88
9/18/23 9:41 @MNQZ3 MICRO E-MINI NASDAQ 100 SHORT 2 15404.25 9/19 10:23 15307.50 0.88%
Trade id #145854535
Max drawdown($226)
Time9/18/23 12:30
Quant open2
Worst price15460.80
Drawdown as % of equity-0.88%
 $385
Includes Typical Broker Commissions trade costs of $1.88
9/18/23 9:37 @MNQZ3 MICRO E-MINI NASDAQ 100 LONG 4 15431.00 9/18 9:41 15403.75 1.08%
Trade id #145854458
Max drawdown($278)
Time9/18/23 9:41
Quant open4
Worst price15396.20
Drawdown as % of equity-1.08%
 ($222)
Includes Typical Broker Commissions trade costs of $3.76
9/18/23 3:07 @MNQZ3 MICRO E-MINI NASDAQ 100 SHORT 5 15402.00 9/18 3:34 15427.50 1.02%
Trade id #145851897
Max drawdown($265)
Time9/18/23 3:34
Quant open5
Worst price15428.50
Drawdown as % of equity-1.02%
 ($260)
Includes Typical Broker Commissions trade costs of $4.70
Next

Statistics

  • Strategy began
    8/7/2023
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    250.82
  • Age
    9 months ago
  • What it trades
    Futures
  • # Trades
    74
  • # Profitable
    50
  • % Profitable
    67.60%
  • Avg trade duration
    3.0 days
  • Max peak-to-valley drawdown
    57.35%
  • drawdown period
    Oct 20, 2023 - Dec 20, 2023
  • Cumul. Return
    480.3%
  • Avg win
    $2,481
  • Avg loss
    $133.00
  • Model Account Values (Raw)
  • Cash
    $29,843
  • Margin Used
    $8,904
  • Buying Power
    $136,991
  • Ratios
  • W:L ratio
    38.88:1
  • Sharpe Ratio
    1.02
  • Sortino Ratio
    36.82
  • Calmar Ratio
    232.489
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    466.93%
  • Correlation to SP500
    -0.21390
  • Return Percent SP500 (cumu) during strategy life
    10.90%
  • Return Statistics
  • Ann Return (w trading costs)
    1155.7%
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • 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)
    4.803%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1130.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • Chance of 30% account loss
    71.00%
  • Chance of 40% account loss
    11.00%
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    1.50%
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    443
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $133
  • Avg Win
    $2,482
  • Sum Trade PL (losers)
    $3,192.000
  • Age
  • Num Months filled monthly returns table
    8
  • Win / Loss
  • Sum Trade PL (winners)
    $124,090.000
  • # Winners
    50
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    24
  • % Winners
    67.6%
  • Frequency
  • Avg Position Time (mins)
    4269.60
  • Avg Position Time (hrs)
    71.16
  • Avg Trade Length
    3.0 days
  • Last Trade Ago
    165
  • Leverage
  • Daily leverage (average)
    4.53
  • Daily leverage (max)
    12.63
  • Regression
  • Alpha
    6.10
  • Beta
    -24.82
  • Treynor Index
    -0.19
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -7.66
  • MAE:Equity, average, winning trades
    0.02
  • MAE:Equity, average, losing trades
    0.06
  • Avg(MAE) / Avg(PL) - All trades
    -3.168
  • 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
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    2.266
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.241
  • Hold-and-Hope Ratio
    3.340
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.29273
  • SD
    1.08427
  • Sharpe ratio (Glass type estimate)
    -1.19226
  • Sharpe ratio (Hedges UMVUE)
    -0.86272
  • df
    3.00000
  • t
    -0.68835
  • p
    0.72966
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -4.61990
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.40867
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.32695
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.60151
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.49781
  • Upside Potential Ratio
    1.05447
  • Upside part of mean
    0.91009
  • Downside part of mean
    -2.20282
  • Upside SD
    0.52544
  • Downside SD
    0.86308
  • N nonnegative terms
    1.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.15825
  • Mean of criterion
    -1.29273
  • SD of predictor
    0.19725
  • SD of criterion
    1.08427
  • Covariance
    -0.19304
  • r
    -0.90261
  • b (slope, estimate of beta)
    -4.96163
  • a (intercept, estimate of alpha)
    -0.50757
  • Mean Square Error
    0.32674
  • DF error
    2.00000
  • t(b)
    -2.96549
  • p(b)
    0.95131
  • t(a)
    -0.49526
  • p(a)
    0.66526
  • Lowerbound of 95% confidence interval for beta
    -12.16050
  • Upperbound of 95% confidence interval for beta
    2.23723
  • Lowerbound of 95% confidence interval for alpha
    -4.91717
  • Upperbound of 95% confidence interval for alpha
    3.90203
  • Treynor index (mean / b)
    0.26055
  • Jensen alpha (a)
    -0.50757
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -1.92904
  • SD
    1.23951
  • Sharpe ratio (Glass type estimate)
    -1.55629
  • Sharpe ratio (Hedges UMVUE)
    -1.12614
  • df
    3.00000
  • t
    -0.89853
  • p
    0.78244
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -5.04511
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.14692
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -4.63844
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.38617
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.72356
  • Upside Potential Ratio
    0.70873
  • Upside part of mean
    0.79322
  • Downside part of mean
    -2.72226
  • Upside SD
    0.45797
  • Downside SD
    1.11922
  • N nonnegative terms
    1.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.14302
  • Mean of criterion
    -1.92904
  • SD of predictor
    0.19099
  • SD of criterion
    1.23951
  • Covariance
    -0.22638
  • r
    -0.95627
  • b (slope, estimate of beta)
    -6.20612
  • a (intercept, estimate of alpha)
    -1.04146
  • Mean Square Error
    0.19715
  • DF error
    2.00000
  • t(b)
    -4.62367
  • p(b)
    0.97813
  • t(a)
    -1.31388
  • p(a)
    0.84032
  • Lowerbound of 95% confidence interval for beta
    -11.98140
  • Upperbound of 95% confidence interval for beta
    -0.43089
  • Lowerbound of 95% confidence interval for alpha
    -4.45201
  • Upperbound of 95% confidence interval for alpha
    2.36909
  • Treynor index (mean / b)
    0.31083
  • Jensen alpha (a)
    -1.04146
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.52731
  • Expected Shortfall on VaR
    0.58956
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.48019
  • Expected Shortfall on VaR
    0.62261
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    0.54405
  • Quartile 1
    0.77680
  • Median
    0.86433
  • Quartile 3
    0.98213
  • Maximum
    1.30569
  • Mean of quarter 1
    0.54405
  • Mean of quarter 2
    0.85438
  • Mean of quarter 3
    0.87428
  • Mean of quarter 4
    1.30569
  • Inter Quartile Range
    0.20533
  • 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
    0.25000
  • Mean of outliers high
    1.30569
  • 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
    2.00000
  • Minimum
    0.12572
  • Quartile 1
    0.22808
  • Median
    0.33045
  • Quartile 3
    0.43281
  • Maximum
    0.53517
  • Mean of quarter 1
    0.12572
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.53517
  • Inter Quartile Range
    0.20473
  • 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)
    -1.40814
  • Compounded annual return (geometric extrapolation)
    -0.85060
  • Calmar ratio (compounded annual return / max draw down)
    -1.58940
  • Compounded annual return / average of 25% largest draw downs
    -1.58940
  • Compounded annual return / Expected Shortfall lognormal
    -1.44277
  • 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
    26.06320
  • SD
    16.67430
  • Sharpe ratio (Glass type estimate)
    1.56307
  • Sharpe ratio (Hedges UMVUE)
    1.55057
  • df
    94.00000
  • t
    0.94122
  • p
    0.17450
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.70357
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.82154
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.71186
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.81300
  • Statistics related to Sortino ratio
  • Sortino ratio
    51.02440
  • Upside Potential Ratio
    57.96120
  • Upside part of mean
    29.60640
  • Downside part of mean
    -3.54327
  • Upside SD
    16.65650
  • Downside SD
    0.51080
  • N nonnegative terms
    41.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    95.00000
  • Mean of predictor
    0.31767
  • Mean of criterion
    26.06320
  • SD of predictor
    0.16603
  • SD of criterion
    16.67430
  • Covariance
    -0.57179
  • r
    -0.20654
  • b (slope, estimate of beta)
    -20.74240
  • a (intercept, estimate of alpha)
    32.65200
  • Mean Square Error
    269.03400
  • DF error
    93.00000
  • t(b)
    -2.03567
  • p(b)
    0.97769
  • t(a)
    1.19036
  • p(a)
    0.11847
  • Lowerbound of 95% confidence interval for beta
    -40.97670
  • Upperbound of 95% confidence interval for beta
    -0.50809
  • Lowerbound of 95% confidence interval for alpha
    -21.81960
  • Upperbound of 95% confidence interval for alpha
    87.12450
  • Treynor index (mean / b)
    -1.25652
  • Jensen alpha (a)
    32.65250
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    4.84465
  • SD
    4.04303
  • Sharpe ratio (Glass type estimate)
    1.19827
  • Sharpe ratio (Hedges UMVUE)
    1.18868
  • df
    94.00000
  • t
    0.72155
  • p
    0.23618
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.06429
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.45450
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.07064
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.44801
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.93239
  • Upside Potential Ratio
    15.72510
  • Upside part of mean
    8.52878
  • Downside part of mean
    -3.68413
  • Upside SD
    3.99618
  • Downside SD
    0.54237
  • N nonnegative terms
    41.00000
  • N negative terms
    54.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    95.00000
  • Mean of predictor
    0.30398
  • Mean of criterion
    4.84465
  • SD of predictor
    0.16454
  • SD of criterion
    4.04303
  • Covariance
    -0.16303
  • r
    -0.24507
  • b (slope, estimate of beta)
    -6.02155
  • a (intercept, estimate of alpha)
    6.67510
  • Mean Square Error
    15.52960
  • DF error
    93.00000
  • t(b)
    -2.43768
  • p(b)
    0.99166
  • t(a)
    1.01333
  • p(a)
    0.15677
  • Lowerbound of 95% confidence interval for beta
    -10.92690
  • Upperbound of 95% confidence interval for beta
    -1.11623
  • Lowerbound of 95% confidence interval for alpha
    -6.40602
  • Upperbound of 95% confidence interval for alpha
    19.75620
  • Treynor index (mean / b)
    -0.80455
  • Jensen alpha (a)
    6.67510
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.32454
  • Expected Shortfall on VaR
    0.38897
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03345
  • Expected Shortfall on VaR
    0.06814
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    95.00000
  • Minimum
    0.81768
  • Quartile 1
    0.98861
  • Median
    1.00000
  • Quartile 3
    1.00782
  • Maximum
    11.02840
  • Mean of quarter 1
    0.95040
  • Mean of quarter 2
    0.99630
  • Mean of quarter 3
    1.00341
  • Mean of quarter 4
    1.44421
  • Inter Quartile Range
    0.01921
  • Number outliers low
    11.00000
  • Percentage of outliers low
    0.11579
  • Mean of outliers low
    0.92062
  • Number of outliers high
    7.00000
  • Percentage of outliers high
    0.07368
  • Mean of outliers high
    2.48615
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.17842
  • VaR(95%) (moments method)
    0.03945
  • Expected Shortfall (moments method)
    0.06322
  • Extreme Value Index (regression method)
    0.35319
  • VaR(95%) (regression method)
    0.04364
  • Expected Shortfall (regression method)
    0.08275
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00391
  • Quartile 1
    0.00785
  • Median
    0.01140
  • Quartile 3
    0.16801
  • Maximum
    0.55768
  • Mean of quarter 1
    0.00574
  • Mean of quarter 2
    0.00870
  • Mean of quarter 3
    0.01410
  • Mean of quarter 4
    0.38850
  • Inter Quartile Range
    0.16016
  • 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
    0.55768
  • 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)
    13.38100
  • Compounded annual return (geometric extrapolation)
    129.65400
  • Calmar ratio (compounded annual return / max draw down)
    232.48900
  • Compounded annual return / average of 25% largest draw downs
    333.73300
  • Compounded annual return / Expected Shortfall lognormal
    333.32500
  • 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)
    0.32500
  • 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
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -484168000
  • Max Equity Drawdown (num days)
    61

Strategy Description

This strategy is designed for trading futures on micro indices with a deposit of $20,000 or more.
The entry into the transaction is carried out during the trading day, and the exit from the transaction may be different. An open deal can be in operation for up to 14 days.
Additional purchases of up to 10 contracts are also possible. The total drawdown can be up to 25%-35%.

Summary Statistics

Strategy began
2023-08-07
Suggested Minimum Capital
$100,000
# Trades
74
# Profitable
50
% Profitable
67.6%
Correlation S&P500
-0.214
Sharpe Ratio
1.02
Sortino Ratio
36.82
Beta
-24.82
Alpha
6.10
Leverage
4.53 Average
12.63 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.