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Featured Strategy Quant AI pro +11.0% Cumul. Return since Dec 2, 2024 Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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NEURAL STARK STRATEGY
(146693277)

Created by: ROBERTSTARK ROBERTSTARK
Started: 12/2023
Futures
Last trade: 16 days ago
Trading style: Futures Commodities Financials / Indexes

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 $100.00 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
Commodities
Category: Equity

Commodities

Focuses on non-financial futures such as "softs" and grains, or metals and energy.
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
26.3%
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.

(11.3%)
Max Drawdown
60
Num Trades
73.3%
Win Trades
1.8 : 1
Profit Factor
76.9%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                                             +1.2%+1.2%
2024+8.5%(0.9%)(3.6%)+3.0%+1.1%+0.8%(5.1%)+1.6%+6.9%+4.6%+7.0%+0.6%+26.3%

Model Account Details

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

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

Trading Record

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/12/24 14:30 GBP/USD GBP/USD LONG 6 1.26635 12/12 11:04 1.27111 0.86%
Trade id #150068508
Max drawdown($542)
Time11/26/24 0:00
Quant open3
Worst price1.25068
Drawdown as % of equity-0.86%
 $286
11/25/24 20:23 @QGG5 MINY NATURAL GAS LONG 1 3.265 11/26 14:25 3.310 0.1%
Trade id #150174804
Max drawdown($62)
Time11/25/24 21:20
Quant open1
Worst price3.240
Drawdown as % of equity-0.10%
 $105
Includes Typical Broker Commissions trade costs of $8.00
11/22/24 13:35 QNGG5 Natural Gas LONG 1 3.170 11/24 18:10 3.352 0.57%
Trade id #150155764
Max drawdown($350)
Time11/22/24 14:21
Quant open1
Worst price3.135
Drawdown as % of equity-0.57%
 $1,812
Includes Typical Broker Commissions trade costs of $8.00
11/13/24 12:00 @QGG5 MINY NATURAL GAS LONG 3 3.042 11/21 8:08 3.170 1.12%
Trade id #150077571
Max drawdown($662)
Time11/15/24 0:00
Quant open2
Worst price2.875
Drawdown as % of equity-1.12%
 $939
Includes Typical Broker Commissions trade costs of $24.00
11/17/24 18:36 @QOZ4 miNY Gold LONG 1 2578.00 11/17 21:34 2596.00 0.25%
Trade id #150107064
Max drawdown($150)
Time11/17/24 19:26
Quant open1
Worst price2575.00
Drawdown as % of equity-0.25%
 $892
Includes Typical Broker Commissions trade costs of $8.00
11/12/24 14:30 @QOG5 miNY Gold LONG 1 2631.00 11/13 9:20 2641.50 0.23%
Trade id #150068522
Max drawdown($137)
Time11/12/24 18:56
Quant open1
Worst price2628.25
Drawdown as % of equity-0.23%
 $517
Includes Typical Broker Commissions trade costs of $8.00
10/21/24 13:46 @QGX4 MINY NATURAL GAS LONG 2 2.430 10/28 14:56 2.395 0.67%
Trade id #149741953
Max drawdown($400)
Time10/28/24 0:00
Quant open1
Worst price2.270
Drawdown as % of equity-0.67%
 ($191)
Includes Typical Broker Commissions trade costs of $16.00
9/30/24 13:56 @VXZ4 CBOE Volatility Index VIX LONG 1 18.20 10/24 12:13 18.95 0.77%
Trade id #149543144
Max drawdown($450)
Time10/22/24 0:00
Quant open1
Worst price17.75
Drawdown as % of equity-0.77%
 $742
Includes Typical Broker Commissions trade costs of $8.00
9/27/24 10:26 @QMZ4 MINY CRUDE OIL LONG 1 67.375 10/2 7:36 71.575 1.21%
Trade id #149524191
Max drawdown($687)
Time10/1/24 0:00
Quant open1
Worst price66.000
Drawdown as % of equity-1.21%
 $2,092
Includes Typical Broker Commissions trade costs of $8.00
9/18/24 12:35 @QGX4 MINY NATURAL GAS LONG 1 2.585 9/24 10:29 2.830 0.36%
Trade id #149435420
Max drawdown($200)
Time9/19/24 0:00
Quant open1
Worst price2.505
Drawdown as % of equity-0.36%
 $605
Includes Typical Broker Commissions trade costs of $8.00
8/12/24 10:56 @MYMZ4 MICRO E-MINI DOW SHORT 4 40736 9/18 14:00 41760 4.99%
Trade id #148891758
Max drawdown($2,657)
Time8/29/24 0:00
Quant open3
Worst price42074
Drawdown as % of equity-4.99%
 ($2,053)
Includes Typical Broker Commissions trade costs of $3.76
8/26/24 19:24 @QGV4 MINY NATURAL GAS LONG 7 2.160 9/17 13:35 2.288 1.89%
Trade id #149059969
Max drawdown($1,000)
Time8/28/24 0:00
Quant open4
Worst price2.020
Drawdown as % of equity-1.89%
 $2,182
Includes Typical Broker Commissions trade costs of $56.00
9/6/24 10:52 @QMX4 MINY CRUDE OIL LONG 3 67.000 9/12 11:06 67.525 3.17%
Trade id #149302229
Max drawdown($1,725)
Time9/11/24 0:00
Quant open2
Worst price65.275
Drawdown as % of equity-3.17%
 $764
Includes Typical Broker Commissions trade costs of $24.00
9/4/24 15:26 @QMX4 MINY CRUDE OIL LONG 1 68.375 9/5 13:15 68.400 0.18%
Trade id #149254263
Max drawdown($100)
Time9/4/24 16:01
Quant open1
Worst price68.175
Drawdown as % of equity-0.18%
 $5
Includes Typical Broker Commissions trade costs of $8.00
7/25/24 10:20 @QGU4 MINY NATURAL GAS LONG 10 2.057 8/27 15:31 2.027 6.08%
Trade id #148739586
Max drawdown($3,162)
Time8/5/24 0:00
Quant open7
Worst price1.880
Drawdown as % of equity-6.08%
 ($830)
Includes Typical Broker Commissions trade costs of $80.00
8/7/24 5:34 @QMV4 MINY CRUDE OIL LONG 1 73.000 8/7 11:02 74.250 0.07%
Trade id #148852964
Max drawdown($37)
Time8/7/24 5:40
Quant open1
Worst price72.925
Drawdown as % of equity-0.07%
 $617
Includes Typical Broker Commissions trade costs of $8.00
8/6/24 8:34 @QMV4 MINY CRUDE OIL LONG 1 71.700 8/6 10:01 72.450 0.19%
Trade id #148840164
Max drawdown($100)
Time8/6/24 8:54
Quant open1
Worst price71.500
Drawdown as % of equity-0.19%
 $367
Includes Typical Broker Commissions trade costs of $8.00
8/5/24 2:30 @QMV4 MINY CRUDE OIL LONG 1 71.875 8/5 18:31 73.275 0.95%
Trade id #148827287
Max drawdown($500)
Time8/5/24 5:12
Quant open1
Worst price70.875
Drawdown as % of equity-0.95%
 $692
Includes Typical Broker Commissions trade costs of $8.00
3/18/24 10:45 USD/JPY USD/JPY SHORT 5 151.749 8/5 2:30 151.794 3.03%
Trade id #147663444
Max drawdown($1,670)
Time5/29/24 0:00
Quant open4
Worst price157.711
Drawdown as % of equity-3.03%
 ($16)
7/29/24 9:43 @MYMU4 MICRO E-MINI DOW SHORT 2 40723 8/2 14:29 39960 1.36%
Trade id #148762544
Max drawdown($702)
Time7/31/24 0:00
Quant open2
Worst price41425
Drawdown as % of equity-1.36%
 $761
Includes Typical Broker Commissions trade costs of $1.88
6/17/24 20:07 @QGQ4 MINY NATURAL GAS LONG 7 2.668 7/26 3:54 2.309 15.81%
Trade id #148433836
Max drawdown($8,160)
Time7/17/24 0:00
Quant open5
Worst price2.015
Drawdown as % of equity-15.81%
 ($6,344)
Includes Typical Broker Commissions trade costs of $56.00
7/1/24 11:44 @VXQ4 CBOE Volatility Index VIX LONG 1 14.70 7/24 13:40 16.40 1.81%
Trade id #148545935
Max drawdown($950)
Time7/12/24 0:00
Quant open1
Worst price13.75
Drawdown as % of equity-1.81%
 $1,692
Includes Typical Broker Commissions trade costs of $8.00
6/20/24 9:49 @BOQ4 SOYBEAN OIL LONG 1 44.96 7/1 11:42 45.60 2.31%
Trade id #148454538
Max drawdown($1,296)
Time6/25/24 0:00
Quant open1
Worst price42.80
Drawdown as % of equity-2.31%
 $376
Includes Typical Broker Commissions trade costs of $8.00
6/12/24 10:39 @VXN4 CBOE Volatility Index VIX LONG 2 14.03 6/21 9:20 14.53 0.45%
Trade id #148389802
Max drawdown($250)
Time6/13/24 0:00
Quant open2
Worst price13.90
Drawdown as % of equity-0.45%
 $984
Includes Typical Broker Commissions trade costs of $16.00
6/12/24 13:27 @MYMU4 MICRO E-MINI DOW LONG 9 39068 6/21 6:46 39117 1.33%
Trade id #148392074
Max drawdown($730)
Time6/14/24 0:00
Quant open4
Worst price38698
Drawdown as % of equity-1.33%
 $214
Includes Typical Broker Commissions trade costs of $8.46
5/3/24 16:00 @VXM4 CBOE Volatility Index VIX LONG 2 14.52 6/14 9:37 12.77 7.39%
Trade id #148089540
Max drawdown($4,150)
Time6/12/24 0:00
Quant open2
Worst price12.45
Drawdown as % of equity-7.39%
 ($3,516)
Includes Typical Broker Commissions trade costs of $16.00
6/13/24 13:52 @QGN4 MINY NATURAL GAS LONG 1 2.965 6/13 14:03 2.950 0.09%
Trade id #148402645
Max drawdown($50)
Time6/13/24 13:57
Quant open1
Worst price2.945
Drawdown as % of equity-0.09%
 ($46)
Includes Typical Broker Commissions trade costs of $8.00
6/6/24 12:17 @MYMU4 MICRO E-MINI DOW LONG 2 39327 6/11 9:39 39051 0.55%
Trade id #148349987
Max drawdown($312)
Time6/11/24 9:37
Quant open2
Worst price39015
Drawdown as % of equity-0.55%
 ($278)
Includes Typical Broker Commissions trade costs of $1.88
6/10/24 8:59 @QOQ4 miNY Gold LONG 1 2323.50 6/11 9:31 2329.25 0.74%
Trade id #148369313
Max drawdown($412)
Time6/11/24 1:35
Quant open1
Worst price2315.25
Drawdown as % of equity-0.74%
 $280
Includes Typical Broker Commissions trade costs of $8.00
6/4/24 21:50 @QGQ4 MINY NATURAL GAS LONG 3 2.760 6/10 22:05 2.935 0.37%
Trade id #148331332
Max drawdown($200)
Time6/5/24 0:00
Quant open2
Worst price2.675
Drawdown as % of equity-0.37%
 $1,289
Includes Typical Broker Commissions trade costs of $24.00
Next

Statistics

  • Strategy began
    12/14/2023
  • Suggested Minimum Cap
    $60,000
  • Strategy Age (days)
    379.79
  • Age
    13 months ago
  • What it trades
    Futures
  • # Trades
    60
  • # Profitable
    44
  • % Profitable
    73.30%
  • Avg trade duration
    12.5 days
  • Max peak-to-valley drawdown
    11.32%
  • drawdown period
    June 11, 2024 - July 18, 2024
  • Annual Return (Compounded)
    26.3%
  • Avg win
    $862.57
  • Avg loss
    $1,346
  • Model Account Values (Raw)
  • Cash
    $66,079
  • Margin Used
    $1,661
  • Buying Power
    $64,526
  • Ratios
  • W:L ratio
    1.76:1
  • Sharpe Ratio
    1.19
  • Sortino Ratio
    2.06
  • Calmar Ratio
    3.498
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1.20%
  • Correlation to SP500
    -0.07500
  • Return Percent SP500 (cumu) during strategy life
    26.51%
  • Return Statistics
  • Ann Return (w trading costs)
    26.3%
  • Slump
  • Current Slump as Pcnt Equity
    0.40%
  • Instruments
  • Percent Trades Futures
    0.93%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.263%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.07%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    31.3%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    22.00%
  • Chance of 20% account loss
    0.50%
  • 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)
    360
  • Popularity (Last 6 weeks)
    832
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    982
  • Popularity (7 days, Percentile 1000 scale)
    712
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,346
  • Avg Win
    $863
  • Sum Trade PL (losers)
    $21,544.000
  • Age
  • Num Months filled monthly returns table
    13
  • Win / Loss
  • Sum Trade PL (winners)
    $37,953.000
  • # Winners
    44
  • Num Months Winners
    10
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    16
  • % Winners
    73.3%
  • Frequency
  • Avg Position Time (mins)
    17956.20
  • Avg Position Time (hrs)
    299.27
  • Avg Trade Length
    12.5 days
  • Last Trade Ago
    16
  • Leverage
  • Daily leverage (average)
    1.05
  • Daily leverage (max)
    11.15
  • Regression
  • Alpha
    0.07
  • Beta
    -0.09
  • Treynor Index
    -0.65
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.30
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.04
  • Avg(MAE) / Avg(PL) - All trades
    3.392
  • 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
    0.05
  • Avg(MAE) / Avg(PL) - Winning trades
    0.598
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.456
  • Hold-and-Hope Ratio
    0.298
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.25208
  • SD
    0.15114
  • Sharpe ratio (Glass type estimate)
    1.66785
  • Sharpe ratio (Hedges UMVUE)
    1.55103
  • df
    11.00000
  • t
    1.66785
  • p
    0.06177
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.44286
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.71198
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.51331
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.61537
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.77984
  • Upside Potential Ratio
    3.93475
  • Upside part of mean
    0.35680
  • Downside part of mean
    -0.10473
  • Upside SD
    0.13421
  • Downside SD
    0.09068
  • N nonnegative terms
    10.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.19618
  • Mean of criterion
    0.25208
  • SD of predictor
    0.08951
  • SD of criterion
    0.15114
  • Covariance
    0.00418
  • r
    0.30867
  • b (slope, estimate of beta)
    0.52121
  • a (intercept, estimate of alpha)
    0.14982
  • Mean Square Error
    0.02273
  • DF error
    10.00000
  • t(b)
    1.02622
  • p(b)
    0.16448
  • t(a)
    0.82901
  • p(a)
    0.21322
  • Lowerbound of 95% confidence interval for beta
    -0.61045
  • Upperbound of 95% confidence interval for beta
    1.65288
  • Lowerbound of 95% confidence interval for alpha
    -0.25286
  • Upperbound of 95% confidence interval for alpha
    0.55250
  • Treynor index (mean / b)
    0.48363
  • Jensen alpha (a)
    0.14982
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.23855
  • SD
    0.15154
  • Sharpe ratio (Glass type estimate)
    1.57413
  • Sharpe ratio (Hedges UMVUE)
    1.46388
  • df
    11.00000
  • t
    1.57413
  • p
    0.07188
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.52255
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.60726
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.58932
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.51708
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.52010
  • Upside Potential Ratio
    3.66982
  • Upside part of mean
    0.34738
  • Downside part of mean
    -0.10883
  • Upside SD
    0.12974
  • Downside SD
    0.09466
  • N nonnegative terms
    10.00000
  • N negative terms
    2.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.19060
  • Mean of criterion
    0.23855
  • SD of predictor
    0.08801
  • SD of criterion
    0.15154
  • Covariance
    0.00411
  • r
    0.30802
  • b (slope, estimate of beta)
    0.53040
  • a (intercept, estimate of alpha)
    0.13745
  • Mean Square Error
    0.02286
  • DF error
    10.00000
  • t(b)
    1.02382
  • p(b)
    0.16503
  • t(a)
    0.76110
  • p(a)
    0.23208
  • Lowerbound of 95% confidence interval for beta
    -0.62391
  • Upperbound of 95% confidence interval for beta
    1.68471
  • Lowerbound of 95% confidence interval for alpha
    -0.26494
  • Upperbound of 95% confidence interval for alpha
    0.53985
  • Treynor index (mean / b)
    0.44975
  • Jensen alpha (a)
    0.13745
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05074
  • Expected Shortfall on VaR
    0.06782
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00778
  • Expected Shortfall on VaR
    0.02256
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.91296
  • Quartile 1
    1.01698
  • Median
    1.02909
  • Quartile 3
    1.04640
  • Maximum
    1.09563
  • Mean of quarter 1
    0.97045
  • Mean of quarter 2
    1.02163
  • Mean of quarter 3
    1.03646
  • Mean of quarter 4
    1.06479
  • Inter Quartile Range
    0.02942
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.08333
  • Mean of outliers low
    0.91296
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    1.09563
  • 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)
    0.59697
  • VaR(95%) (regression method)
    0.08455
  • Expected Shortfall (regression method)
    0.32205
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.01303
  • Quartile 1
    0.03153
  • Median
    0.05004
  • Quartile 3
    0.06854
  • Maximum
    0.08704
  • Mean of quarter 1
    0.01303
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.08704
  • Inter Quartile Range
    0.03701
  • 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)
    0.30533
  • Compounded annual return (geometric extrapolation)
    0.30533
  • Calmar ratio (compounded annual return / max draw down)
    3.50785
  • Compounded annual return / average of 25% largest draw downs
    3.50785
  • Compounded annual return / Expected Shortfall lognormal
    4.50223
  • 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
    0.25534
  • SD
    0.15558
  • Sharpe ratio (Glass type estimate)
    1.64121
  • Sharpe ratio (Hedges UMVUE)
    1.63659
  • df
    267.00000
  • t
    1.65989
  • p
    0.04906
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30317
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.58262
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30627
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.57946
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.94547
  • Upside Potential Ratio
    11.64980
  • Upside part of mean
    1.00991
  • Downside part of mean
    -0.75457
  • Upside SD
    0.12980
  • Downside SD
    0.08669
  • N nonnegative terms
    120.00000
  • N negative terms
    148.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    268.00000
  • Mean of predictor
    0.21003
  • Mean of criterion
    0.25534
  • SD of predictor
    0.12600
  • SD of criterion
    0.15558
  • Covariance
    -0.00098
  • r
    -0.05011
  • b (slope, estimate of beta)
    -0.06187
  • a (intercept, estimate of alpha)
    0.26800
  • Mean Square Error
    0.02424
  • DF error
    266.00000
  • t(b)
    -0.81832
  • p(b)
    0.79305
  • t(a)
    1.73409
  • p(a)
    0.04203
  • Lowerbound of 95% confidence interval for beta
    -0.21075
  • Upperbound of 95% confidence interval for beta
    0.08700
  • Lowerbound of 95% confidence interval for alpha
    -0.03634
  • Upperbound of 95% confidence interval for alpha
    0.57301
  • Treynor index (mean / b)
    -4.12674
  • Jensen alpha (a)
    0.26834
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.24323
  • SD
    0.15471
  • Sharpe ratio (Glass type estimate)
    1.57220
  • Sharpe ratio (Hedges UMVUE)
    1.56778
  • df
    267.00000
  • t
    1.59010
  • p
    0.05650
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37170
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.51326
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.37468
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.51023
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.78795
  • Upside Potential Ratio
    11.47950
  • Upside part of mean
    1.00151
  • Downside part of mean
    -0.75828
  • Upside SD
    0.12829
  • Downside SD
    0.08724
  • N nonnegative terms
    120.00000
  • N negative terms
    148.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    268.00000
  • Mean of predictor
    0.20200
  • Mean of criterion
    0.24323
  • SD of predictor
    0.12617
  • SD of criterion
    0.15471
  • Covariance
    -0.00100
  • r
    -0.05109
  • b (slope, estimate of beta)
    -0.06265
  • a (intercept, estimate of alpha)
    0.25588
  • Mean Square Error
    0.02396
  • DF error
    266.00000
  • t(b)
    -0.83438
  • p(b)
    0.79759
  • t(a)
    1.66373
  • p(a)
    0.04867
  • Lowerbound of 95% confidence interval for beta
    -0.21048
  • Upperbound of 95% confidence interval for beta
    0.08519
  • Lowerbound of 95% confidence interval for alpha
    -0.04694
  • Upperbound of 95% confidence interval for alpha
    0.55871
  • Treynor index (mean / b)
    -3.88248
  • Jensen alpha (a)
    0.25588
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01468
  • Expected Shortfall on VaR
    0.01861
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00710
  • Expected Shortfall on VaR
    0.01297
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    268.00000
  • Minimum
    0.97866
  • Quartile 1
    0.99543
  • Median
    1.00000
  • Quartile 3
    1.00561
  • Maximum
    1.03835
  • Mean of quarter 1
    0.99059
  • Mean of quarter 2
    0.99813
  • Mean of quarter 3
    1.00204
  • Mean of quarter 4
    1.01357
  • Inter Quartile Range
    0.01018
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.00373
  • Mean of outliers low
    0.97866
  • Number of outliers high
    12.00000
  • Percentage of outliers high
    0.04478
  • Mean of outliers high
    1.02889
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00082
  • VaR(95%) (moments method)
    0.00923
  • Expected Shortfall (moments method)
    0.01215
  • Extreme Value Index (regression method)
    -0.32153
  • VaR(95%) (regression method)
    0.00919
  • Expected Shortfall (regression method)
    0.01085
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    18.00000
  • Minimum
    0.00119
  • Quartile 1
    0.00458
  • Median
    0.02054
  • Quartile 3
    0.02888
  • Maximum
    0.08903
  • Mean of quarter 1
    0.00301
  • Mean of quarter 2
    0.01384
  • Mean of quarter 3
    0.02293
  • Mean of quarter 4
    0.05846
  • Inter Quartile Range
    0.02431
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.11111
  • Mean of outliers high
    0.08532
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.25923
  • VaR(95%) (moments method)
    0.06326
  • Expected Shortfall (moments method)
    0.07758
  • Extreme Value Index (regression method)
    -0.26084
  • VaR(95%) (regression method)
    0.06192
  • Expected Shortfall (regression method)
    0.07394
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.31247
  • Compounded annual return (geometric extrapolation)
    0.31145
  • Calmar ratio (compounded annual return / max draw down)
    3.49825
  • Compounded annual return / average of 25% largest draw downs
    5.32728
  • Compounded annual return / Expected Shortfall lognormal
    16.74020
  • 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
    0.28967
  • SD
    0.15500
  • Sharpe ratio (Glass type estimate)
    1.86883
  • Sharpe ratio (Hedges UMVUE)
    1.85802
  • df
    130.00000
  • t
    1.32146
  • p
    0.44244
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91578
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.64642
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.92297
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.63902
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.49092
  • Upside Potential Ratio
    12.05710
  • Upside part of mean
    1.00048
  • Downside part of mean
    -0.71081
  • Upside SD
    0.13144
  • Downside SD
    0.08298
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15470
  • Mean of criterion
    0.28967
  • SD of predictor
    0.14330
  • SD of criterion
    0.15500
  • Covariance
    0.00002
  • r
    0.00104
  • b (slope, estimate of beta)
    0.00112
  • a (intercept, estimate of alpha)
    0.28950
  • Mean Square Error
    0.02421
  • DF error
    129.00000
  • t(b)
    0.01177
  • p(b)
    0.49934
  • t(a)
    1.31264
  • p(a)
    0.42707
  • Lowerbound of 95% confidence interval for beta
    -0.18731
  • Upperbound of 95% confidence interval for beta
    0.18955
  • Lowerbound of 95% confidence interval for alpha
    -0.14686
  • Upperbound of 95% confidence interval for alpha
    0.72585
  • Treynor index (mean / b)
    258.47400
  • Jensen alpha (a)
    0.28950
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.27767
  • SD
    0.15405
  • Sharpe ratio (Glass type estimate)
    1.80249
  • Sharpe ratio (Hedges UMVUE)
    1.79207
  • df
    130.00000
  • t
    1.27455
  • p
    0.44445
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.98135
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.57955
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.98828
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.57242
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.32490
  • Upside Potential Ratio
    11.87710
  • Upside part of mean
    0.99187
  • Downside part of mean
    -0.71420
  • Upside SD
    0.12988
  • Downside SD
    0.08351
  • N nonnegative terms
    61.00000
  • N negative terms
    70.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.14442
  • Mean of criterion
    0.27767
  • SD of predictor
    0.14364
  • SD of criterion
    0.15405
  • Covariance
    -0.00002
  • r
    -0.00076
  • b (slope, estimate of beta)
    -0.00081
  • a (intercept, estimate of alpha)
    0.27778
  • Mean Square Error
    0.02391
  • DF error
    129.00000
  • t(b)
    -0.00859
  • p(b)
    0.50048
  • t(a)
    1.26771
  • p(a)
    0.42953
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    -0.18762
  • Upperbound of 95% confidence interval for beta
    0.18600
  • Lowerbound of 95% confidence interval for alpha
    -0.15575
  • Upperbound of 95% confidence interval for alpha
    0.71132
  • Treynor index (mean / b)
    -342.40400
  • Jensen alpha (a)
    0.27778
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01449
  • Expected Shortfall on VaR
    0.01839
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00655
  • Expected Shortfall on VaR
    0.01214
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97866
  • Quartile 1
    0.99596
  • Median
    1.00000
  • Quartile 3
    1.00454
  • Maximum
    1.03835
  • Mean of quarter 1
    0.99114
  • Mean of quarter 2
    0.99832
  • Mean of quarter 3
    1.00184
  • Mean of quarter 4
    1.01357
  • Inter Quartile Range
    0.00858
  • Number outliers low
    2.00000
  • Percentage of outliers low
    0.01527
  • Mean of outliers low
    0.98032
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.02586
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.05130
  • VaR(95%) (moments method)
    0.00862
  • Expected Shortfall (moments method)
    0.01121
  • Extreme Value Index (regression method)
    -0.11231
  • VaR(95%) (regression method)
    0.00972
  • Expected Shortfall (regression method)
    0.01258
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00137
  • Quartile 1
    0.00412
  • Median
    0.00506
  • Quartile 3
    0.02315
  • Maximum
    0.08161
  • Mean of quarter 1
    0.00315
  • Mean of quarter 2
    0.00474
  • Mean of quarter 3
    0.02162
  • Mean of quarter 4
    0.07892
  • Inter Quartile Range
    0.01903
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.22222
  • Mean of outliers high
    0.07892
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -644.47700
  • VaR(95%) (moments method)
    0.05158
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -4.30253
  • VaR(95%) (regression method)
    0.16430
  • Last 4 Months - Pcnt Negative
    n/a
  • Expected Shortfall (regression method)
    0.16436
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -349439000
  • Max Equity Drawdown (num days)
    37
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.33015
  • Compounded annual return (geometric extrapolation)
    0.35740
  • Calmar ratio (compounded annual return / max draw down)
    4.37920
  • Compounded annual return / average of 25% largest draw downs
    4.52846
  • Compounded annual return / Expected Shortfall lognormal
    19.43090

Strategy Description

The strategy is looking at trends and specific levels of interest. The investment process is split between two processes short term trading (scalping) and position trading which can provide higher yields. We follow 30 financial and commodity markets in total on the software.
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-12-14
Suggested Minimum Capital
$60,000
Rank at C2 %
Top 1.8%
Rank # 
#13
# Trades
60
# Profitable
44
% Profitable
73.3%
Correlation S&P500
-0.075
Sharpe Ratio
1.19
Sortino Ratio
2.06
Beta
-0.09
Alpha
0.07
Leverage
1.05 Average
11.15 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

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