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These are hypothetical performance results that have certain inherent limitations. Learn more

FT Forex 3
(143824480)

Created by: Proff Proff
Started: 03/2023
Forex
Last trade: 169 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.

38.6%
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.

(5.5%)
Max Drawdown
1056
Num Trades
57.1%
Win Trades
1.6 : 1
Profit Factor
53.8%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023              (3.1%)+3.3%+9.8%+3.8%+6.1%+4.9%+7.1%+4.2%  -    -  +41.5%
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
10/10/23 10:49 CAD/JPY CAD/JPY LONG 20 109.499 10/11 3:06 109.594 0.2%
Trade id #146088321
Max drawdown($114)
Time10/10/23 13:15
Quant open10
Worst price109.300
Drawdown as % of equity-0.20%
$127
10/10/23 10:49 AUD/JPY AUD/JPY LONG 10 95.450 10/11 3:06 95.614 0.11%
Trade id #146088314
Max drawdown($65)
Time10/10/23 13:32
Quant open10
Worst price95.352
Drawdown as % of equity-0.11%
$110
10/10/23 10:47 AUD/CAD AUD/CAD LONG 10 0.87167 10/11 2:05 0.87170 0%
Trade id #146088302
Max drawdown($1)
Time10/11/23 2:05
Quant open10
Worst price0.87165
Drawdown as % of equity-0.00%
$2
10/10/23 10:52 NZD/CAD NZD/CAD LONG 10 0.81932 10/10 23:28 0.81930 0.02%
Trade id #146088366
Max drawdown($8)
Time10/10/23 11:01
Quant open10
Worst price0.81920
Drawdown as % of equity-0.02%
($1)
10/10/23 10:52 GBP/NZD GBP/NZD SHORT 10 2.03325 10/10 21:11 2.03500 0.24%
Trade id #146088358
Max drawdown($139)
Time10/10/23 13:39
Quant open10
Worst price2.03557
Drawdown as % of equity-0.24%
($106)
10/10/23 10:52 GBP/CHF GBP/CHF LONG 10 1.11032 10/10 17:06 1.11006 0.16%
Trade id #146088352
Max drawdown($90)
Time10/10/23 11:15
Quant open10
Worst price1.10950
Drawdown as % of equity-0.16%
($29)
10/9/23 7:11 AUD/USD AUD/USD LONG 60 0.63643 10/9 11:21 0.63758 0.4%
Trade id #146072412
Max drawdown($229)
Time10/9/23 8:45
Quant open30
Worst price0.63559
Drawdown as % of equity-0.40%
$688
10/9/23 7:03 AUD/USD AUD/USD SHORT 10 0.63595 10/9 7:09 0.63617 0.04%
Trade id #146072394
Max drawdown($23)
Time10/9/23 7:09
Quant open10
Worst price0.63618
Drawdown as % of equity-0.04%
($22)
10/9/23 0:46 AUD/USD AUD/USD SHORT 10 0.63493 10/9 5:25 0.63670 0.33%
Trade id #146071002
Max drawdown($184)
Time10/9/23 5:24
Quant open10
Worst price0.63677
Drawdown as % of equity-0.33%
($177)
10/6/23 10:33 AUD/USD AUD/USD LONG 40 0.63547 10/9 0:46 0.63807 0.56%
Trade id #146055851
Max drawdown($308)
Time10/6/23 11:01
Quant open40
Worst price0.63470
Drawdown as % of equity-0.56%
$1,039
10/6/23 10:38 CHF/JPY CHF/JPY LONG 10 163.532 10/6 15:12 164.201 0.24%
Trade id #146056039
Max drawdown($129)
Time10/6/23 10:56
Quant open10
Worst price163.338
Drawdown as % of equity-0.24%
$448
10/6/23 10:38 GBP/USD GBP/USD LONG 10 1.21955 10/6 15:12 1.22425 0.22%
Trade id #146056003
Max drawdown($119)
Time10/6/23 10:57
Quant open10
Worst price1.21836
Drawdown as % of equity-0.22%
$470
10/5/23 10:22 AUD/USD AUD/USD LONG 35 0.63520 10/6 8:30 0.63512 1.82%
Trade id #146041314
Max drawdown($1,003)
Time10/6/23 8:30
Quant open35
Worst price0.63233
Drawdown as % of equity-1.82%
($27)
10/4/23 3:52 USD/HKD USD/HKD SHORT 3 7.83047 10/5 10:23 7.82937 0.01%
Trade id #146023901
Max drawdown($2)
Time10/4/23 6:04
Quant open3
Worst price7.83124
Drawdown as % of equity-0.01%
$4
10/4/23 3:47 AUD/USD AUD/USD LONG 10 0.63275 10/4 13:31 0.63190 0.16%
Trade id #146023884
Max drawdown($87)
Time10/4/23 13:31
Quant open10
Worst price0.63188
Drawdown as % of equity-0.16%
($86)
10/4/23 3:51 NZD/CHF NZD/CHF SHORT 3 0.54192 10/4 12:17 0.54231 0.07%
Trade id #146023899
Max drawdown($36)
Time10/4/23 4:16
Quant open3
Worst price0.54303
Drawdown as % of equity-0.07%
($13)
10/4/23 9:58 EUR/SEK EUR/SEK LONG 20 11.61855 10/4 12:16 11.62532 0.33%
Trade id #146027337
Max drawdown($181)
Time10/4/23 10:01
Quant open20
Worst price11.60850
Drawdown as % of equity-0.33%
$123
10/4/23 7:38 EUR/SEK EUR/SEK LONG 20 11.60461 10/4 7:57 11.58948 0.65%
Trade id #146025215
Max drawdown($358)
Time10/4/23 7:57
Quant open20
Worst price11.58480
Drawdown as % of equity-0.65%
($274)
10/4/23 3:49 EUR/SEK EUR/SEK LONG 10 11.62433 10/4 7:22 11.58899 0.58%
Trade id #146023888
Max drawdown($321)
Time10/4/23 7:22
Quant open10
Worst price11.58880
Drawdown as % of equity-0.58%
($320)
10/4/23 3:50 GBP/AUD GBP/AUD SHORT 3 1.91175 10/4 5:17 1.91817 0.23%
Trade id #146023893
Max drawdown($126)
Time10/4/23 5:16
Quant open3
Worst price1.91844
Drawdown as % of equity-0.23%
($122)
10/3/23 11:35 EUR/CAD EUR/CAD SHORT 15 1.43479 10/4 5:17 1.43801 0.67%
Trade id #146010166
Max drawdown($374)
Time10/4/23 5:17
Quant open15
Worst price1.43822
Drawdown as % of equity-0.67%
($353)
10/3/23 9:42 EUR/CHF EUR/CHF SHORT 5 0.96568 10/3 11:01 0.96506 0.05%
Trade id #146006688
Max drawdown($26)
Time10/3/23 10:08
Quant open5
Worst price0.96617
Drawdown as % of equity-0.05%
$34
10/3/23 9:41 EUR/USD EUR/USD SHORT 5 1.04785 10/3 11:01 1.04729 0.06%
Trade id #146006679
Max drawdown($36)
Time10/3/23 9:56
Quant open5
Worst price1.04857
Drawdown as % of equity-0.06%
$28
10/3/23 9:40 EUR/GBP EUR/GBP SHORT 5 0.86675 10/3 11:01 0.86723 0.06%
Trade id #146006664
Max drawdown($32)
Time10/3/23 10:59
Quant open5
Worst price0.86729
Drawdown as % of equity-0.06%
($29)
10/3/23 9:41 EUR/CAD EUR/CAD SHORT 5 1.43449 10/3 11:00 1.43725 0.18%
Trade id #146006673
Max drawdown($98)
Time10/3/23 10:59
Quant open5
Worst price1.43719
Drawdown as % of equity-0.18%
($101)
10/3/23 10:18 USD/HUF USD/HUF LONG 10 370.81950 10/3 10:52 372.01700 0.12%
Trade id #146008023
Max drawdown($67)
Time10/3/23 10:21
Quant open5
Worst price370.15300
Drawdown as % of equity-0.12%
$322
10/3/23 3:46 EUR/CHF EUR/CHF LONG 5 0.96560 10/3 9:42 0.96566 0.16%
Trade id #146003903
Max drawdown($87)
Time10/3/23 4:34
Quant open5
Worst price0.96399
Drawdown as % of equity-0.16%
$3
10/3/23 3:45 EUR/USD EUR/USD LONG 5 1.04811 10/3 9:41 1.04785 0.17%
Trade id #146003899
Max drawdown($95)
Time10/3/23 8:42
Quant open5
Worst price1.04621
Drawdown as % of equity-0.17%
($13)
10/3/23 3:46 EUR/CAD EUR/CAD LONG 5 1.43623 10/3 9:41 1.43449 0.24%
Trade id #146003901
Max drawdown($131)
Time10/3/23 9:28
Quant open5
Worst price1.43262
Drawdown as % of equity-0.24%
($63)
10/3/23 3:46 EUR/GBP EUR/GBP LONG 5 0.86786 10/3 9:40 0.86675 0.15%
Trade id #146003905
Max drawdown($83)
Time10/3/23 9:27
Quant open5
Worst price0.86647
Drawdown as % of equity-0.15%
($67)

Statistics

  • Strategy began
    3/9/2023
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    384.83
  • Age
    13 months ago
  • What it trades
    Forex
  • # Trades
    1056
  • # Profitable
    603
  • % Profitable
    57.10%
  • Avg trade duration
    4.9 hours
  • Max peak-to-valley drawdown
    5.49%
  • drawdown period
    March 10, 2023 - March 23, 2023
  • Annual Return (Compounded)
    38.6%
  • Avg win
    $77.21
  • Avg loss
    $63.28
  • Model Account Values (Raw)
  • Cash
    $58,396
  • Margin Used
    $0
  • Buying Power
    $58,396
  • Ratios
  • W:L ratio
    1.62:1
  • Sharpe Ratio
    2.42
  • Sortino Ratio
    5.76
  • Calmar Ratio
    8.524
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    7.53%
  • Correlation to SP500
    -0.00430
  • Return Percent SP500 (cumu) during strategy life
    33.95%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    38.6%
  • Slump
  • Current Slump as Pcnt Equity
    0.80%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.44%
  • 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)
    0.386%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    41.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 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
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    766
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    329
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $63
  • Avg Win
    $77
  • Sum Trade PL (losers)
    $28,666.000
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $46,559.000
  • # Winners
    603
  • Num Months Winners
    7
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    453
  • % Winners
    57.1%
  • Frequency
  • Avg Position Time (mins)
    292.65
  • Avg Position Time (hrs)
    4.88
  • Avg Trade Length
    0.2 days
  • Last Trade Ago
    169
  • Leverage
  • Daily leverage (average)
    9.09
  • Daily leverage (max)
    47.76
  • Regression
  • Alpha
    0.09
  • Beta
    -0.00
  • Treynor Index
    -21.94
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.10
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    5.559
  • 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
    0.293
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.064
  • Hold-and-Hope Ratio
    0.178
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39019
  • SD
    0.16916
  • Sharpe ratio (Glass type estimate)
    2.30663
  • Sharpe ratio (Hedges UMVUE)
    2.12843
  • df
    10.00000
  • t
    2.20843
  • p
    0.02585
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.01636
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.53804
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.12119
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.37806
  • Statistics related to Sortino ratio
  • Sortino ratio
    62.08070
  • Upside Potential Ratio
    64.38140
  • Upside part of mean
    0.40465
  • Downside part of mean
    -0.01446
  • Upside SD
    0.19662
  • Downside SD
    0.00629
  • N nonnegative terms
    6.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.26594
  • Mean of criterion
    0.39019
  • SD of predictor
    0.11435
  • SD of criterion
    0.16916
  • Covariance
    -0.00925
  • r
    -0.47820
  • b (slope, estimate of beta)
    -0.70741
  • a (intercept, estimate of alpha)
    0.57832
  • Mean Square Error
    0.02452
  • DF error
    9.00000
  • t(b)
    -1.63349
  • p(b)
    0.93160
  • t(a)
    2.89096
  • p(a)
    0.00893
  • Lowerbound of 95% confidence interval for beta
    -1.68708
  • Upperbound of 95% confidence interval for beta
    0.27226
  • Lowerbound of 95% confidence interval for alpha
    0.12579
  • Upperbound of 95% confidence interval for alpha
    1.03085
  • Treynor index (mean / b)
    -0.55157
  • Jensen alpha (a)
    0.57832
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.37131
  • SD
    0.15990
  • Sharpe ratio (Glass type estimate)
    2.32217
  • Sharpe ratio (Hedges UMVUE)
    2.14277
  • df
    10.00000
  • t
    2.22330
  • p
    0.02521
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.00398
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.55636
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.10947
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.39500
  • Statistics related to Sortino ratio
  • Sortino ratio
    59.13090
  • Upside Potential Ratio
    61.43140
  • Upside part of mean
    0.38575
  • Downside part of mean
    -0.01445
  • Upside SD
    0.18626
  • Downside SD
    0.00628
  • N nonnegative terms
    6.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    11.00000
  • Mean of predictor
    0.25685
  • Mean of criterion
    0.37131
  • SD of predictor
    0.11041
  • SD of criterion
    0.15990
  • Covariance
    -0.00848
  • r
    -0.48055
  • b (slope, estimate of beta)
    -0.69591
  • a (intercept, estimate of alpha)
    0.55005
  • Mean Square Error
    0.02185
  • DF error
    9.00000
  • t(b)
    -1.64390
  • p(b)
    0.93270
  • t(a)
    2.91296
  • p(a)
    0.00861
  • Lowerbound of 95% confidence interval for beta
    -1.65355
  • Upperbound of 95% confidence interval for beta
    0.26173
  • Lowerbound of 95% confidence interval for alpha
    0.12289
  • Upperbound of 95% confidence interval for alpha
    0.97722
  • Treynor index (mean / b)
    -0.53355
  • Jensen alpha (a)
    0.55005
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04398
  • Expected Shortfall on VaR
    0.06211
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00268
  • Expected Shortfall on VaR
    0.00420
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    11.00000
  • Minimum
    0.99881
  • Quartile 1
    1.00000
  • Median
    1.00595
  • Quartile 3
    1.07303
  • Maximum
    1.14199
  • Mean of quarter 1
    0.99946
  • Mean of quarter 2
    1.00198
  • Mean of quarter 3
    1.04083
  • Mean of quarter 4
    1.09910
  • Inter Quartile Range
    0.07303
  • 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
    2.00000
  • Minimum
    0.00043
  • Quartile 1
    0.00062
  • Median
    0.00081
  • Quartile 3
    0.00100
  • Maximum
    0.00119
  • Mean of quarter 1
    0.00043
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00119
  • Inter Quartile Range
    0.00038
  • 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)
    0.48205
  • Compounded annual return (geometric extrapolation)
    0.49065
  • Calmar ratio (compounded annual return / max draw down)
    413.08100
  • Compounded annual return / average of 25% largest draw downs
    413.08100
  • Compounded annual return / Expected Shortfall lognormal
    7.89967
  • 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
    0.34729
  • SD
    0.11217
  • Sharpe ratio (Glass type estimate)
    3.09621
  • Sharpe ratio (Hedges UMVUE)
    3.08724
  • df
    259.00000
  • t
    3.08437
  • p
    0.00113
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.10786
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.07874
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.10187
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.07261
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.33073
  • Upside Potential Ratio
    11.78460
  • Upside part of mean
    0.55829
  • Downside part of mean
    -0.21100
  • Upside SD
    0.10368
  • Downside SD
    0.04738
  • N nonnegative terms
    57.00000
  • N negative terms
    203.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    260.00000
  • Mean of predictor
    0.27411
  • Mean of criterion
    0.34729
  • SD of predictor
    0.12140
  • SD of criterion
    0.11217
  • Covariance
    -0.00008
  • r
    -0.00564
  • b (slope, estimate of beta)
    -0.00521
  • a (intercept, estimate of alpha)
    0.34900
  • Mean Square Error
    0.01263
  • DF error
    258.00000
  • t(b)
    -0.09064
  • p(b)
    0.53607
  • t(a)
    3.06137
  • p(a)
    0.00122
  • Lowerbound of 95% confidence interval for beta
    -0.11849
  • Upperbound of 95% confidence interval for beta
    0.10806
  • Lowerbound of 95% confidence interval for alpha
    0.12441
  • Upperbound of 95% confidence interval for alpha
    0.57303
  • Treynor index (mean / b)
    -66.61320
  • Jensen alpha (a)
    0.34872
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34085
  • SD
    0.11099
  • Sharpe ratio (Glass type estimate)
    3.07090
  • Sharpe ratio (Hedges UMVUE)
    3.06200
  • df
    259.00000
  • t
    3.05916
  • p
    0.00123
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    1.08284
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.05320
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.07692
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.04708
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.13891
  • Upside Potential Ratio
    11.58140
  • Upside part of mean
    0.55297
  • Downside part of mean
    -0.21211
  • Upside SD
    0.10216
  • Downside SD
    0.04775
  • N nonnegative terms
    57.00000
  • N negative terms
    203.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    260.00000
  • Mean of predictor
    0.26662
  • Mean of criterion
    0.34085
  • SD of predictor
    0.12124
  • SD of criterion
    0.11099
  • Covariance
    -0.00007
  • r
    -0.00540
  • b (slope, estimate of beta)
    -0.00494
  • a (intercept, estimate of alpha)
    0.34217
  • Mean Square Error
    0.01237
  • DF error
    258.00000
  • t(b)
    -0.08671
  • p(b)
    0.53452
  • t(a)
    3.03709
  • p(a)
    0.00132
  • Lowerbound of 95% confidence interval for beta
    -0.11718
  • Upperbound of 95% confidence interval for beta
    0.10730
  • Lowerbound of 95% confidence interval for alpha
    0.12031
  • Upperbound of 95% confidence interval for alpha
    0.56403
  • Treynor index (mean / b)
    -68.96810
  • Jensen alpha (a)
    0.34217
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00993
  • Expected Shortfall on VaR
    0.01276
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00240
  • Expected Shortfall on VaR
    0.00525
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    260.00000
  • Minimum
    0.97368
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.05467
  • Mean of quarter 1
    0.99711
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00862
  • Inter Quartile Range
    0.00000
  • Number outliers low
    39.00000
  • Percentage of outliers low
    0.15000
  • Mean of outliers low
    0.99518
  • Number of outliers high
    60.00000
  • Percentage of outliers high
    0.23077
  • Mean of outliers high
    1.00934
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.28417
  • VaR(95%) (moments method)
    0.00213
  • Expected Shortfall (moments method)
    0.00363
  • Extreme Value Index (regression method)
    -0.10867
  • VaR(95%) (regression method)
    0.00370
  • Expected Shortfall (regression method)
    0.00764
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    12.00000
  • Minimum
    0.00006
  • Quartile 1
    0.00155
  • Median
    0.00625
  • Quartile 3
    0.02029
  • Maximum
    0.05232
  • Mean of quarter 1
    0.00041
  • Mean of quarter 2
    0.00352
  • Mean of quarter 3
    0.01183
  • Mean of quarter 4
    0.03811
  • Inter Quartile Range
    0.01875
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    0.05232
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -2.80503
  • VaR(95%) (moments method)
    0.04346
  • Expected Shortfall (moments method)
    0.04392
  • Extreme Value Index (regression method)
    -0.31145
  • VaR(95%) (regression method)
    0.05382
  • Expected Shortfall (regression method)
    0.06467
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.44528
  • Compounded annual return (geometric extrapolation)
    0.44594
  • Calmar ratio (compounded annual return / max draw down)
    8.52380
  • Compounded annual return / average of 25% largest draw downs
    11.70140
  • Compounded annual return / Expected Shortfall lognormal
    34.95310
  • 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
    0.21649
  • SD
    0.09068
  • Sharpe ratio (Glass type estimate)
    2.38737
  • Sharpe ratio (Hedges UMVUE)
    2.37357
  • df
    130.00000
  • t
    1.68813
  • p
    0.42677
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40407
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.16984
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41321
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.16036
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.74754
  • Upside Potential Ratio
    13.24320
  • Upside part of mean
    0.29413
  • Downside part of mean
    -0.07764
  • Upside SD
    0.08858
  • Downside SD
    0.02221
  • N nonnegative terms
    14.00000
  • N negative terms
    117.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.30268
  • Mean of criterion
    0.21649
  • SD of predictor
    0.12100
  • SD of criterion
    0.09068
  • Covariance
    -0.00029
  • r
    -0.02632
  • b (slope, estimate of beta)
    -0.01973
  • a (intercept, estimate of alpha)
    0.22246
  • Mean Square Error
    0.00828
  • DF error
    129.00000
  • t(b)
    -0.29905
  • p(b)
    0.51675
  • t(a)
    1.70817
  • p(a)
    0.40567
  • Lowerbound of 95% confidence interval for beta
    -0.15024
  • Upperbound of 95% confidence interval for beta
    0.11078
  • Lowerbound of 95% confidence interval for alpha
    -0.03521
  • Upperbound of 95% confidence interval for alpha
    0.48013
  • Treynor index (mean / b)
    -10.97480
  • Jensen alpha (a)
    0.22246
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21241
  • SD
    0.08888
  • Sharpe ratio (Glass type estimate)
    2.38998
  • Sharpe ratio (Hedges UMVUE)
    2.37616
  • df
    130.00000
  • t
    1.68997
  • p
    0.42669
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.40150
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.17248
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.41065
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.16297
  • Statistics related to Sortino ratio
  • Sortino ratio
    9.51462
  • Upside Potential Ratio
    13.00310
  • Upside part of mean
    0.29029
  • Downside part of mean
    -0.07788
  • Upside SD
    0.08667
  • Downside SD
    0.02232
  • N nonnegative terms
    14.00000
  • N negative terms
    117.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.29522
  • Mean of criterion
    0.21241
  • SD of predictor
    0.12087
  • SD of criterion
    0.08888
  • Covariance
    -0.00028
  • r
    -0.02598
  • b (slope, estimate of beta)
    -0.01910
  • a (intercept, estimate of alpha)
    0.21805
  • Mean Square Error
    0.00795
  • DF error
    129.00000
  • t(b)
    -0.29519
  • p(b)
    0.51654
  • t(a)
    1.70924
  • p(a)
    0.40561
  • VAR (95 Confidence Intrvl)
    0.01000
  • Lowerbound of 95% confidence interval for beta
    -0.14715
  • Upperbound of 95% confidence interval for beta
    0.10894
  • Lowerbound of 95% confidence interval for alpha
    -0.03435
  • Upperbound of 95% confidence interval for alpha
    0.47045
  • Treynor index (mean / b)
    -11.11890
  • Jensen alpha (a)
    0.21805
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00819
  • Expected Shortfall on VaR
    0.01046
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00096
  • Expected Shortfall on VaR
    0.00213
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98864
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.05467
  • Mean of quarter 1
    0.99920
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00450
  • Inter Quartile Range
    0.00000
  • Number outliers low
    5.00000
  • Percentage of outliers low
    0.03817
  • Mean of outliers low
    0.99473
  • Number of outliers high
    14.00000
  • Percentage of outliers high
    0.10687
  • Mean of outliers high
    1.01061
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.17112
  • VaR(95%) (moments method)
    -0.00008
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.46218
  • VaR(95%) (regression method)
    -0.00071
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00186
  • Quartile 1
    0.00633
  • Median
    0.01079
  • Quartile 3
    0.01108
  • Maximum
    0.01136
  • Mean of quarter 1
    0.00186
  • Mean of quarter 2
    0.01079
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.01136
  • Inter Quartile Range
    0.00475
  • 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
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -352705000
  • Max Equity Drawdown (num days)
    13
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.25535
  • Compounded annual return (geometric extrapolation)
    0.27165
  • Calmar ratio (compounded annual return / max draw down)
    23.90780
  • Compounded annual return / average of 25% largest draw downs
    23.90780
  • Compounded annual return / Expected Shortfall lognormal
    25.97570

Strategy Description

Summary Statistics

Strategy began
2023-03-09
Suggested Minimum Capital
$60,000
# Trades
1056
# Profitable
603
% Profitable
57.1%
Correlation S&P500
-0.004
Sharpe Ratio
2.42
Sortino Ratio
5.76
Beta
-0.00
Alpha
0.09
Leverage
9.09 Average
47.76 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.