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Collective2 Strategy
(118816746)

Created by: C2-LEADER C2-LEADER
Started: 07/2018
Forex
Last trade: Yesterday
Trading style: Futures Trend-following Currencies

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 $199.00 per month.

Trading Category: Futures
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
Currencies
Category: Equity

Currencies

Focuses on currency futures.
25.6%
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.

(11.3%)
Max Drawdown
138
Num Trades
59.4%
Win Trades
1.8 : 1
Profit Factor
80.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2018                                          +6.0%+1.5%+12.2%+8.4%(4%)      +25.6%

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.

System developer has asked us to delay this information by 24 hours.

Trading Record

This strategy has placed 18 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
11/2/18 12:00 AUD/USD AUD/USD SHORT 2 0.71986 11/7 4:05 0.72800 1.18%
Trade id #120699839
Max drawdown($163)
Time11/7/18 4:05
Quant open0
Worst price0.72800
Drawdown as % of equity-1.18%
($167)
Includes Typical Broker Commissions trade costs of $4.00
11/5/18 6:22 EUR/USD EUR/USD SHORT 2 1.13744 11/6 19:55 1.14700 1.38%
Trade id #120722608
Max drawdown($191)
Time11/6/18 19:55
Quant open0
Worst price1.14700
Drawdown as % of equity-1.38%
($195)
Includes Typical Broker Commissions trade costs of $4.00
11/2/18 12:06 NZD/USD NZD/USD SHORT 2 0.66460 11/6 16:45 0.67103 0.91%
Trade id #120700062
Max drawdown($129)
Time11/6/18 16:45
Quant open0
Worst price0.67103
Drawdown as % of equity-0.91%
($133)
Includes Typical Broker Commissions trade costs of $4.00
10/30/18 11:27 GBP/JPY GBP/JPY LONG 2 143.719 10/31 23:26 145.000 0.64%
Trade id #120621376
Max drawdown($89)
Time10/30/18 13:15
Quant open2
Worst price143.215
Drawdown as % of equity-0.64%
$223
Includes Typical Broker Commissions trade costs of $4.00
10/28/18 21:28 AUD/USD AUD/USD SHORT 4 0.70867 10/29 23:04 0.70890 0.63%
Trade id #120587123
Max drawdown($88)
Time10/29/18 4:03
Quant open-4
Worst price0.71089
Drawdown as % of equity-0.63%
($13)
Includes Typical Broker Commissions trade costs of $4.00
10/25/18 23:13 AUD/CAD AUD/CAD SHORT 3 0.92226 10/29 23:03 0.92905 1.43%
Trade id #120553543
Max drawdown($200)
Time10/29/18 4:03
Quant open-3
Worst price0.93103
Drawdown as % of equity-1.43%
($159)
Includes Typical Broker Commissions trade costs of $4.00
10/26/18 1:48 NZD/CHF NZD/CHF SHORT 1 0.64706 10/29 23:03 0.65560 0.62%
Trade id #120554647
Max drawdown($86)
Time10/29/18 22:41
Quant open-1
Worst price0.65572
Drawdown as % of equity-0.62%
($89)
Includes Typical Broker Commissions trade costs of $4.00
10/26/18 1:52 NZD/USD NZD/USD SHORT 2 0.64714 10/29 23:03 0.65418 1.2%
Trade id #120554680
Max drawdown($168)
Time10/29/18 6:15
Quant open-2
Worst price0.65556
Drawdown as % of equity-1.20%
($145)
Includes Typical Broker Commissions trade costs of $4.00
10/26/18 1:50 NZD/JPY NZD/JPY SHORT 1 72.570 10/29 22:35 73.700 0.7%
Trade id #120554659
Max drawdown($100)
Time10/29/18 22:35
Quant open0
Worst price73.700
Drawdown as % of equity-0.70%
($104)
Includes Typical Broker Commissions trade costs of $4.00
10/29/18 7:02 GBP/JPY GBP/JPY LONG 2 144.030 10/29 11:30 144.095 0.15%
Trade id #120592340
Max drawdown($21)
Time10/29/18 9:05
Quant open2
Worst price143.911
Drawdown as % of equity-0.15%
$8
Includes Typical Broker Commissions trade costs of $4.00
10/25/18 9:55 GBP/USD GBP/USD SHORT 1 1.28437 10/25 23:54 1.28129 0.02%
Trade id #120537575
Max drawdown($3)
Time10/25/18 9:57
Quant open-1
Worst price1.28473
Drawdown as % of equity-0.02%
$27
Includes Typical Broker Commissions trade costs of $4.00
10/25/18 23:19 NZD/CHF NZD/CHF SHORT 3 0.64953 10/25 23:54 0.64811 0.07%
Trade id #120553608
Max drawdown($9)
Time10/25/18 23:21
Quant open-3
Worst price0.64985
Drawdown as % of equity-0.07%
$39
Includes Typical Broker Commissions trade costs of $4.00
10/23/18 0:00 EUR/CAD EUR/CAD SHORT 6 1.49412 10/25 23:54 1.48773 0.57%
Trade id #120479003
Max drawdown($79)
Time10/23/18 11:17
Quant open-2
Worst price1.50515
Drawdown as % of equity-0.57%
$283
Includes Typical Broker Commissions trade costs of $10.00
10/25/18 9:48 GBP/NZD GBP/NZD SHORT 1 1.96623 10/25 23:54 1.97797 0.52%
Trade id #120537194
Max drawdown($76)
Time10/25/18 23:54
Quant open0
Worst price1.97797
Drawdown as % of equity-0.52%
($80)
Includes Typical Broker Commissions trade costs of $4.00
10/25/18 23:05 NZD/JPY NZD/JPY SHORT 2 73.041 10/25 23:54 72.678 0.01%
Trade id #120553466
Max drawdown($1)
Time10/25/18 23:07
Quant open-2
Worst price73.052
Drawdown as % of equity-0.01%
$61
Includes Typical Broker Commissions trade costs of $4.00
10/25/18 9:47 GBP/AUD GBP/AUD SHORT 1 1.81433 10/25 23:54 1.82259 0.4%
Trade id #120537144
Max drawdown($58)
Time10/25/18 23:54
Quant open-1
Worst price1.82261
Drawdown as % of equity-0.40%
($62)
Includes Typical Broker Commissions trade costs of $4.00
10/25/18 23:10 NZD/USD NZD/USD SHORT 6 0.65012 10/25 23:54 0.64794 0.01%
Trade id #120553513
Max drawdown($1)
Time10/25/18 23:12
Quant open-6
Worst price0.65015
Drawdown as % of equity-0.01%
$127
Includes Typical Broker Commissions trade costs of $4.00
10/25/18 9:59 EUR/AUD EUR/AUD SHORT 2 1.60620 10/25 23:53 1.61661 1.02%
Trade id #120537727
Max drawdown($147)
Time10/25/18 23:50
Quant open-2
Worst price1.61667
Drawdown as % of equity-1.02%
($150)
Includes Typical Broker Commissions trade costs of $4.00
10/23/18 0:01 NZD/CAD NZD/CAD SHORT 4 0.85646 10/25 9:13 0.85299 0.4%
Trade id #120479032
Max drawdown($55)
Time10/23/18 6:22
Quant open-2
Worst price0.86014
Drawdown as % of equity-0.40%
$98
Includes Typical Broker Commissions trade costs of $8.00
10/21/18 20:30 AUD/CAD AUD/CAD SHORT 4 0.92838 10/25 8:00 0.92301 0.27%
Trade id #120459607
Max drawdown($36)
Time10/22/18 2:28
Quant open-2
Worst price0.93241
Drawdown as % of equity-0.27%
$157
Includes Typical Broker Commissions trade costs of $8.00
10/22/18 10:05 NZD/USD NZD/USD SHORT 6 0.65523 10/25 7:59 0.65336 0.05%
Trade id #120467463
Max drawdown($6)
Time10/22/18 10:24
Quant open-2
Worst price0.65708
Drawdown as % of equity-0.05%
$106
Includes Typical Broker Commissions trade costs of $6.00
10/21/18 20:34 AUD/USD AUD/USD SHORT 5 0.70856 10/25 7:33 0.70832 0.5%
Trade id #120459625
Max drawdown($68)
Time10/22/18 2:28
Quant open-2
Worst price0.71252
Drawdown as % of equity-0.50%
$4
Includes Typical Broker Commissions trade costs of $8.00
10/23/18 0:02 NZD/CHF NZD/CHF SHORT 2 0.65173 10/25 6:47 0.65150 0.33%
Trade id #120479041
Max drawdown($46)
Time10/23/18 4:12
Quant open-2
Worst price0.65405
Drawdown as % of equity-0.33%
$1
Includes Typical Broker Commissions trade costs of $4.00
10/22/18 0:29 AUD/CHF AUD/CHF SHORT 2 0.70836 10/24 7:34 0.70800 0.17%
Trade id #120461498
Max drawdown($23)
Time10/22/18 2:25
Quant open-2
Worst price0.70951
Drawdown as % of equity-0.17%
$3
Includes Typical Broker Commissions trade costs of $4.00
10/22/18 10:07 NZD/JPY NZD/JPY SHORT 3 73.998 10/24 0:53 73.950 0.26%
Trade id #120467523
Max drawdown($35)
Time10/22/18 10:52
Quant open-3
Worst price74.132
Drawdown as % of equity-0.26%
$9
Includes Typical Broker Commissions trade costs of $4.00
10/17/18 20:39 GBP/AUD GBP/AUD SHORT 2 1.83777 10/18 21:34 1.83390 0.33%
Trade id #120411645
Max drawdown($45)
Time10/17/18 21:36
Quant open-2
Worst price1.84099
Drawdown as % of equity-0.33%
$51
Includes Typical Broker Commissions trade costs of $4.00
10/18/18 6:48 NZD/CAD NZD/CAD LONG 2 0.85722 10/18 21:33 0.85571 0.41%
Trade id #120415541
Max drawdown($56)
Time10/18/18 18:04
Quant open2
Worst price0.85355
Drawdown as % of equity-0.41%
($27)
Includes Typical Broker Commissions trade costs of $4.00
10/18/18 0:36 GBP/NZD GBP/NZD SHORT 3 1.99853 10/18 21:33 1.98946 0.16%
Trade id #120413242
Max drawdown($21)
Time10/18/18 0:54
Quant open-3
Worst price1.99963
Drawdown as % of equity-0.16%
$174
Includes Typical Broker Commissions trade costs of $4.00
10/17/18 20:49 EUR/AUD EUR/AUD SHORT 4 1.61393 10/18 21:33 1.61357 0.24%
Trade id #120411696
Max drawdown($33)
Time10/17/18 21:35
Quant open-2
Worst price1.61624
Drawdown as % of equity-0.24%
$4
Includes Typical Broker Commissions trade costs of $6.00
10/18/18 6:50 AUD/USD AUD/USD LONG 3 0.71488 10/18 20:07 0.70900 1.28%
Trade id #120415562
Max drawdown($176)
Time10/18/18 20:07
Quant open0
Worst price0.70900
Drawdown as % of equity-1.28%
($180)
Includes Typical Broker Commissions trade costs of $4.00

Statistics

  • Strategy began
    7/8/2018
  • Suggested Minimum Cap
    $15,000
  • Strategy Age (days)
    127.74
  • Age
    128 days ago
  • What it trades
    Forex
  • # Trades
    138
  • # Profitable
    82
  • % Profitable
    59.40%
  • Avg trade duration
    2.3 days
  • Max peak-to-valley drawdown
    11.32%
  • drawdown period
    Oct 24, 2018 - Nov 09, 2018
  • Cumul. Return
    30.3%
  • Avg win
    $111.48
  • Avg loss
    $92.45
  • Model Account Values (Raw)
  • Cash
    $14,236
  • Margin Used
    $2,314
  • Buying Power
    $11,652
  • Ratios
  • W:L ratio
    1.77:1
  • Sharpe Ratio
    3.553
  • Sortino Ratio
    7.866
  • Calmar Ratio
    22.278
  • CORRELATION STATISTICS
  • Correlation to SP500
    -0.07500
  • Return Statistics
  • Ann Return (w trading costs)
    109.3%
  • Ann Return (Compnd, No Fees)
    160.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    8.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    641
  • Popularity (Last 6 weeks)
    964
  • C2 Score
    77.2
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $91
  • Avg Win
    $111
  • # Winners
    82
  • # Losers
    56
  • % Winners
    59.4%
  • Frequency
  • Avg Position Time (mins)
    3264.15
  • Avg Position Time (hrs)
    54.40
  • Avg Trade Length
    2.3 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.99173
  • SD
    0.21349
  • Sharpe ratio (Glass type estimate)
    4.64542
  • Sharpe ratio (Hedges UMVUE)
    3.36143
  • df
    3.00000
  • t
    2.68203
  • p
    0.03746
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.39544
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.39878
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.96969
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.69255
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.99173
  • Downside part of mean
    0.00000
  • Upside SD
    0.34080
  • Downside SD
    0.00000
  • N nonnegative terms
    4.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.00580
  • Mean of criterion
    0.99173
  • SD of predictor
    0.07017
  • SD of criterion
    0.21349
  • Covariance
    0.00472
  • r
    0.31532
  • b (slope, estimate of beta)
    0.95926
  • a (intercept, estimate of alpha)
    0.98616
  • Mean Square Error
    0.06157
  • DF error
    2.00000
  • t(b)
    0.46990
  • p(b)
    0.34234
  • t(a)
    2.29377
  • p(a)
    0.07439
  • Lowerbound of 95% confidence interval for beta
    -7.82430
  • Upperbound of 95% confidence interval for beta
    9.74281
  • Lowerbound of 95% confidence interval for alpha
    -0.86369
  • Upperbound of 95% confidence interval for alpha
    2.83602
  • Treynor index (mean / b)
    1.03385
  • Jensen alpha (a)
    0.98616
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.93655
  • SD
    0.19352
  • Sharpe ratio (Glass type estimate)
    4.83948
  • Sharpe ratio (Hedges UMVUE)
    3.50185
  • df
    3.00000
  • t
    2.79407
  • p
    0.03409
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.30443
  • Upperbound of 95% confidence interval for Sharpe Ratio
    9.70258
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.89992
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    7.90363
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.93655
  • Downside part of mean
    0.00000
  • Upside SD
    0.31809
  • Downside SD
    0.00000
  • N nonnegative terms
    4.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    4.00000
  • Mean of predictor
    0.00395
  • Mean of criterion
    0.93655
  • SD of predictor
    0.07011
  • SD of criterion
    0.19352
  • Covariance
    0.00447
  • r
    0.32955
  • b (slope, estimate of beta)
    0.90960
  • a (intercept, estimate of alpha)
    0.93296
  • Mean Square Error
    0.05008
  • DF error
    2.00000
  • t(b)
    0.49363
  • p(b)
    0.33522
  • t(a)
    2.40664
  • p(a)
    0.06892
  • Lowerbound of 95% confidence interval for beta
    -7.01883
  • Upperbound of 95% confidence interval for beta
    8.83803
  • Lowerbound of 95% confidence interval for alpha
    -0.73501
  • Upperbound of 95% confidence interval for alpha
    2.60092
  • Treynor index (mean / b)
    1.02963
  • Jensen alpha (a)
    0.93296
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01375
  • Expected Shortfall on VaR
    0.03630
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    4.00000
  • Minimum
    1.03978
  • Quartile 1
    1.04014
  • Median
    1.06475
  • Quartile 3
    1.10957
  • Maximum
    1.17062
  • Mean of quarter 1
    1.03978
  • Mean of quarter 2
    1.04027
  • Mean of quarter 3
    1.08923
  • Mean of quarter 4
    1.17062
  • Inter Quartile Range
    0.06943
  • 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
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.13752
  • Compounded annual return (geometric extrapolation)
    1.62336
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    44.72110
  • 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
    0.97499
  • SD
    0.27209
  • Sharpe ratio (Glass type estimate)
    3.58330
  • Sharpe ratio (Hedges UMVUE)
    3.55336
  • df
    90.00000
  • t
    2.11180
  • p
    0.01874
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.20720
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.94015
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.18743
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.91929
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.86606
  • Upside Potential Ratio
    16.19130
  • Upside part of mean
    2.00689
  • Downside part of mean
    -1.03190
  • Upside SD
    0.24796
  • Downside SD
    0.12395
  • N nonnegative terms
    44.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    91.00000
  • Mean of predictor
    -0.08189
  • Mean of criterion
    0.97499
  • SD of predictor
    0.14093
  • SD of criterion
    0.27209
  • Covariance
    -0.00315
  • r
    -0.08202
  • b (slope, estimate of beta)
    -0.15835
  • a (intercept, estimate of alpha)
    0.96200
  • Mean Square Error
    0.07436
  • DF error
    89.00000
  • t(b)
    -0.77636
  • p(b)
    0.78020
  • t(a)
    2.07776
  • p(a)
    0.02031
  • Lowerbound of 95% confidence interval for beta
    -0.56361
  • Upperbound of 95% confidence interval for beta
    0.24692
  • Lowerbound of 95% confidence interval for alpha
    0.04203
  • Upperbound of 95% confidence interval for alpha
    1.88201
  • Treynor index (mean / b)
    -6.15730
  • Jensen alpha (a)
    0.96202
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.93722
  • SD
    0.26841
  • Sharpe ratio (Glass type estimate)
    3.49171
  • Sharpe ratio (Hedges UMVUE)
    3.46253
  • df
    90.00000
  • t
    2.05783
  • p
    0.02125
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.11785
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.84678
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.09863
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.82644
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.48552
  • Upside Potential Ratio
    15.78860
  • Upside part of mean
    1.97680
  • Downside part of mean
    -1.03958
  • Upside SD
    0.24275
  • Downside SD
    0.12520
  • N nonnegative terms
    44.00000
  • N negative terms
    47.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    91.00000
  • Mean of predictor
    -0.09177
  • Mean of criterion
    0.93722
  • SD of predictor
    0.14150
  • SD of criterion
    0.26841
  • Covariance
    -0.00318
  • r
    -0.08374
  • b (slope, estimate of beta)
    -0.15883
  • a (intercept, estimate of alpha)
    0.92264
  • Mean Square Error
    0.07234
  • DF error
    89.00000
  • t(b)
    -0.79274
  • p(b)
    0.78498
  • t(a)
    2.02000
  • p(a)
    0.02320
  • Lowerbound of 95% confidence interval for beta
    -0.55695
  • Upperbound of 95% confidence interval for beta
    0.23928
  • Lowerbound of 95% confidence interval for alpha
    0.01508
  • Upperbound of 95% confidence interval for alpha
    1.83020
  • Treynor index (mean / b)
    -5.90062
  • Jensen alpha (a)
    0.92264
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02342
  • Expected Shortfall on VaR
    0.03015
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00930
  • Expected Shortfall on VaR
    0.01762
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    91.00000
  • Minimum
    0.96629
  • Quartile 1
    0.99523
  • Median
    1.00000
  • Quartile 3
    1.01145
  • Maximum
    1.06694
  • Mean of quarter 1
    0.98684
  • Mean of quarter 2
    0.99779
  • Mean of quarter 3
    1.00491
  • Mean of quarter 4
    1.02581
  • Inter Quartile Range
    0.01621
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01099
  • Mean of outliers low
    0.96629
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.04396
  • Mean of outliers high
    1.05409
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.54115
  • VaR(95%) (moments method)
    0.01203
  • Expected Shortfall (moments method)
    0.01393
  • Extreme Value Index (regression method)
    0.02777
  • VaR(95%) (regression method)
    0.01409
  • Expected Shortfall (regression method)
    0.02017
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00040
  • Quartile 1
    0.00364
  • Median
    0.00865
  • Quartile 3
    0.04722
  • Maximum
    0.07295
  • Mean of quarter 1
    0.00225
  • Mean of quarter 2
    0.00486
  • Mean of quarter 3
    0.01387
  • Mean of quarter 4
    0.06527
  • Inter Quartile Range
    0.04359
  • 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)
    -4.48053
  • VaR(95%) (moments method)
    0.07028
  • Expected Shortfall (moments method)
    0.07030
  • Extreme Value Index (regression method)
    -0.97589
  • VaR(95%) (regression method)
    0.07633
  • Expected Shortfall (regression method)
    0.07851
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.14659
  • Compounded annual return (geometric extrapolation)
    1.62512
  • Calmar ratio (compounded annual return / max draw down)
    22.27800
  • Compounded annual return / average of 25% largest draw downs
    24.89890
  • Compounded annual return / Expected Shortfall lognormal
    53.90960

Strategy Description

Dear Investors,

This is a swing trading strategy. Swing trading attempts to capture gains in any instrument within an overnight hold to several weeks. I use a combination of fundamental and technical analysis to analyzing the price trends and patterns.
Most of my trades are market orders, so I’d recommend using the AutoTrade. However, if you don't use AutoTrade you can receive signals by email, texts and real-time signal alerts. There is no delay and they're free!

Please read this topic to learn how C2 "Max Drawdown Calculation Method" affects my strategy: https://forums.collective2.com/t/max-drawdown-calculation-method/12278

If you have any questions please do not hesitate to contact me by PM or at my forum thread here: https://forums.collective2.com/t/collective2-strategy/11798

Happy trading,
C2-Leader

Summary Statistics

Strategy began
2018-07-08
Suggested Minimum Capital
$15,000
# Trades
138
# Profitable
82
% Profitable
59.4%
Correlation S&P500
-0.075
Sharpe Ratio
3.553

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.

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