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

TS FuturesTrader
(127914794)

Created by: TSFuturesTrader TSFuturesTrader
Started: 03/2020
Futures
Last trade: 1,137 days ago
Trading style: Futures Short Term
Subscriptions not currently available.

Subscriptions not available

No subscriptions are currently available for this strategy because the strategy manager has capped the maximum number of subscribers.

Subscription terms. Subscriptions to this system cost $200.00 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
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
101.5%
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.

(98.7%)
Max Drawdown
351
Num Trades
75.2%
Win Trades
6.2 : 1
Profit Factor
45.2%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020              +8.2%+12.3%+26.0%+13.9%(2.6%)(64.3%)+203.7%(1.3%)+13.1%(16.9%)+70.9%
2021+41.3%(38%)+14.3%(62.3%)+602.7%(11%)+419.9%  -    -    -    -  0.0
2022(18.9%)  -    -    -  +2.1%+0.6%(0.2%)(0.7%)(17%)
2023  -  +0.8%+0.3%  -  +0.4%(1.1%)  -  (0.7%)  -  (1.2%)(1.1%)
2024(0.5%)+0.5%(0.6%)                                                      (0.6%)

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.

Trading Record

This strategy has placed 189 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1196 days ago.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
2/3/21 7:24 @ESH1 E-MINI S&P 500 SHORT 2 3840.50 2/14 21:37 3945.00 24.77%
Trade id #133814141
Max drawdown($10,650)
Time2/14/21 21:24
Quant open2
Worst price3947.00
Drawdown as % of equity-24.77%
($10,466)
Includes Typical Broker Commissions trade costs of $16.00
2/11/21 20:00 @SK1 SOYBEANS SHORT 4 1370 1/4 2/14 21:37 1371 3/4 1.37%
Trade id #134022149
Max drawdown($850)
Time2/12/21 0:00
Quant open2
Worst price1376 1/4
Drawdown as % of equity-1.37%
($345)
Includes Typical Broker Commissions trade costs of $32.00
2/1/21 9:48 @NQH1 E-MINI NASDAQ 100 STK IDX SHORT 2 13047.62 2/14 19:17 13733.40 55.16%
Trade id #133752782
Max drawdown($28,865)
Time2/10/21 0:00
Quant open2
Worst price13769.20
Drawdown as % of equity-55.16%
($27,447)
Includes Typical Broker Commissions trade costs of $16.00
12/16/20 6:24 @SH1 SOYBEANS SHORT 3 1290 2/4 2/10/21 9:51 1372 2/4 28.39%
Trade id #132845046
Max drawdown($21,587)
Time1/15/21 0:00
Quant open3
Worst price1434 2/4
Drawdown as % of equity-28.39%
($12,299)
Includes Typical Broker Commissions trade costs of $24.00
1/27/21 6:32 @CK1 CORN SHORT 4 543 1/4 2/10 8:32 548 1/4 7.54%
Trade id #133620887
Max drawdown($4,312)
Time2/9/21 0:00
Quant open3
Worst price572
Drawdown as % of equity-7.54%
($1,032)
Includes Typical Broker Commissions trade costs of $32.00
2/8/21 6:00 @SN1 SOYBEANS SHORT 1 1349 2/4 2/8 9:42 1357 1/4 0.65%
Trade id #133905481
Max drawdown($487)
Time2/8/21 9:38
Quant open1
Worst price1359 1/4
Drawdown as % of equity-0.65%
($396)
Includes Typical Broker Commissions trade costs of $8.00
2/4/21 9:36 @SN1 SOYBEANS SHORT 1 1346 1/4 2/7 21:47 1352 1/4 0.99%
Trade id #133845843
Max drawdown($787)
Time2/5/21 0:00
Quant open1
Worst price1362
Drawdown as % of equity-0.99%
($308)
Includes Typical Broker Commissions trade costs of $8.00
2/4/21 9:03 QCLJ1 CRUDE OIL SHORT 1 55.77 2/4 10:14 55.32 0.14%
Trade id #133844551
Max drawdown($130)
Time2/4/21 9:07
Quant open1
Worst price55.90
Drawdown as % of equity-0.14%
$442
Includes Typical Broker Commissions trade costs of $8.00
2/3/21 10:00 QCLJ1 CRUDE OIL SHORT 1 55.63 2/3 14:34 55.50 0.5%
Trade id #133818477
Max drawdown($530)
Time2/3/21 11:54
Quant open1
Worst price56.16
Drawdown as % of equity-0.50%
$122
Includes Typical Broker Commissions trade costs of $8.00
2/2/21 12:33 QCLJ1 CRUDE OIL SHORT 1 54.52 2/3 2:57 55.10 0.55%
Trade id #133799168
Max drawdown($580)
Time2/3/21 2:57
Quant open1
Worst price55.10
Drawdown as % of equity-0.55%
($588)
Includes Typical Broker Commissions trade costs of $8.00
1/29/21 8:00 QCLJ1 CRUDE OIL SHORT 1 52.25 2/1 13:11 53.14 0.73%
Trade id #133696892
Max drawdown($890)
Time2/1/21 13:11
Quant open1
Worst price53.14
Drawdown as % of equity-0.73%
($898)
Includes Typical Broker Commissions trade costs of $8.00
1/31/21 20:29 @NQH1 E-MINI NASDAQ 100 STK IDX LONG 1 12862.25 1/31 22:38 12931.00 0.25%
Trade id #133738435
Max drawdown($305)
Time1/31/21 21:00
Quant open1
Worst price12847.00
Drawdown as % of equity-0.25%
$1,367
Includes Typical Broker Commissions trade costs of $8.00
1/27/21 21:14 QCLJ1 CRUDE OIL SHORT 1 52.62 1/28 16:50 52.01 0.74%
Trade id #133648610
Max drawdown($810)
Time1/28/21 9:01
Quant open1
Worst price53.43
Drawdown as % of equity-0.74%
$602
Includes Typical Broker Commissions trade costs of $8.00
1/28/21 15:33 @NQH1 E-MINI NASDAQ 100 STK IDX SHORT 1 13253.25 1/28 16:31 13168.00 0.27%
Trade id #133678709
Max drawdown($295)
Time1/28/21 15:40
Quant open1
Worst price13268.00
Drawdown as % of equity-0.27%
$1,697
Includes Typical Broker Commissions trade costs of $8.00
1/27/21 5:39 @SN1 SOYBEANS SHORT 2 1360 1/4 1/28 10:49 1347 0.66%
Trade id #133620227
Max drawdown($725)
Time1/28/21 7:50
Quant open2
Worst price1367 2/4
Drawdown as % of equity-0.66%
$1,309
Includes Typical Broker Commissions trade costs of $16.00
1/28/21 7:08 @ESH1 E-MINI S&P 500 LONG 1 3744.50 1/28 9:08 3771.00 0.66%
Trade id #133657660
Max drawdown($725)
Time1/28/21 8:14
Quant open1
Worst price3730.00
Drawdown as % of equity-0.66%
$1,317
Includes Typical Broker Commissions trade costs of $8.00
1/18/21 9:15 @NQH1 E-MINI NASDAQ 100 STK IDX SHORT 3 12857.67 1/27 16:09 12957.00 57.56%
Trade id #133434528
Max drawdown($44,525)
Time1/26/21 0:00
Quant open3
Worst price13599.80
Drawdown as % of equity-57.56%
($5,984)
Includes Typical Broker Commissions trade costs of $24.00
1/19/21 9:47 @ESH1 E-MINI S&P 500 SHORT 3 3813.25 1/27 9:44 3767.00 9.5%
Trade id #133453828
Max drawdown($7,350)
Time1/26/21 0:00
Quant open3
Worst price3862.25
Drawdown as % of equity-9.50%
$6,914
Includes Typical Broker Commissions trade costs of $24.00
1/21/21 6:24 @NQM1 E-MINI NASDAQ 100 STK IDX SHORT 4 13420.44 1/27 9:43 13303.20 5.4%
Trade id #133505754
Max drawdown($4,177)
Time1/26/21 0:00
Quant open1
Worst price13583.00
Drawdown as % of equity-5.40%
$9,347
Includes Typical Broker Commissions trade costs of $32.00
12/18/20 8:00 @SK1 SOYBEANS SHORT 2 1276 3/4 1/26/21 8:28 1358 2/4 20.2%
Trade id #132904542
Max drawdown($15,625)
Time1/14/21 0:00
Quant open2
Worst price1433
Drawdown as % of equity-20.20%
($8,191)
Includes Typical Broker Commissions trade costs of $16.00
12/15/20 11:04 @MNQH1 MICRO E-MINI NASDAQ 100 SHORT 5 12590.56 1/21/21 9:04 13328.50 12.58%
Trade id #132823090
Max drawdown($7,959)
Time1/21/21 0:25
Quant open5
Worst price13386.50
Drawdown as % of equity-12.58%
($7,384)
Includes Typical Broker Commissions trade costs of $4.70
1/20/21 7:53 QCLJ1 CRUDE OIL SHORT 1 53.34 1/20 16:30 52.78 0.39%
Trade id #133477847
Max drawdown($340)
Time1/20/21 9:10
Quant open1
Worst price53.68
Drawdown as % of equity-0.39%
$552
Includes Typical Broker Commissions trade costs of $8.00
1/20/21 9:33 @SN1 SOYBEANS LONG 2 1345 1/20 10:02 1351 2/4 0.03%
Trade id #133479994
Max drawdown($25)
Time1/20/21 9:42
Quant open2
Worst price1344 3/4
Drawdown as % of equity-0.03%
$634
Includes Typical Broker Commissions trade costs of $16.00
1/5/21 7:03 @SN1 SOYBEANS SHORT 4 1349 4/4 1/19 20:26 1348 4/4 17.47%
Trade id #133175252
Max drawdown($13,512)
Time1/14/21 0:00
Quant open4
Worst price1417 2/4
Drawdown as % of equity-17.47%
$181
Includes Typical Broker Commissions trade costs of $32.00
1/15/21 6:27 @CH1 CORN SHORT 2 533 4/4 1/19 12:15 524 1/4 0.33%
Trade id #133395595
Max drawdown($262)
Time1/15/21 7:34
Quant open2
Worst price536 2/4
Drawdown as % of equity-0.33%
$947
Includes Typical Broker Commissions trade costs of $16.00
1/6/21 7:51 @ESH1 E-MINI S&P 500 SHORT 2 3752.75 1/15 16:11 3751.50 8.4%
Trade id #133208050
Max drawdown($6,500)
Time1/14/21 0:00
Quant open2
Worst price3817.75
Drawdown as % of equity-8.40%
$109
Includes Typical Broker Commissions trade costs of $16.00
1/13/21 10:16 @NQH1 E-MINI NASDAQ 100 STK IDX SHORT 3 12939.83 1/15 5:46 12882.50 5.34%
Trade id #133350264
Max drawdown($4,130)
Time1/14/21 0:00
Quant open2
Worst price13028.80
Drawdown as % of equity-5.34%
$3,416
Includes Typical Broker Commissions trade costs of $24.00
1/13/21 3:39 QCLJ1 CRUDE OIL SHORT 1 53.35 1/13 9:37 52.59 0.28%
Trade id #133342712
Max drawdown($210)
Time1/13/21 8:45
Quant open1
Worst price53.56
Drawdown as % of equity-0.28%
$752
Includes Typical Broker Commissions trade costs of $8.00
1/12/21 14:25 @NQH1 E-MINI NASDAQ 100 STK IDX SHORT 2 12883.88 1/13 8:06 12842.25 1.73%
Trade id #133334340
Max drawdown($1,165)
Time1/12/21 22:51
Quant open1
Worst price12935.00
Drawdown as % of equity-1.73%
$1,649
Includes Typical Broker Commissions trade costs of $16.00
1/12/21 8:14 QCLJ1 CRUDE OIL SHORT 1 52.80 1/12 14:24 53.20 0.52%
Trade id #133323034
Max drawdown($410)
Time1/12/21 14:24
Quant open1
Worst price53.21
Drawdown as % of equity-0.52%
($408)
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    3/9/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1477.28
  • Age
    49 months ago
  • What it trades
    Futures
  • # Trades
    351
  • # Profitable
    264
  • % Profitable
    75.20%
  • Avg trade duration
    12.6 days
  • Max peak-to-valley drawdown
    98.66%
  • drawdown period
    July 28, 2020 - Sept 02, 2020
  • Annual Return (Compounded)
    101.5%
  • Avg win
    $3,669
  • Avg loss
    $1,801
  • Model Account Values (Raw)
  • Cash
    $90,508
  • Margin Used
    $105,219
  • Buying Power
    $566,077
  • Ratios
  • W:L ratio
    6.18:1
  • Sharpe Ratio
    0.64
  • Sortino Ratio
    4.75
  • Calmar Ratio
    13.73
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1523.49%
  • Correlation to SP500
    -0.07030
  • Return Percent SP500 (cumu) during strategy life
    91.09%
  • Return Statistics
  • Ann Return (w trading costs)
    101.5%
  • Slump
  • Current Slump as Pcnt Equity
    22.70%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.52%
  • 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)
    1.015%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    101.6%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,802
  • Avg Win
    $3,670
  • Sum Trade PL (losers)
    $156,737.000
  • Age
  • Num Months filled monthly returns table
    49
  • Win / Loss
  • Sum Trade PL (winners)
    $968,763.000
  • # Winners
    264
  • Num Months Winners
    19
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    87
  • % Winners
    75.2%
  • Frequency
  • Avg Position Time (mins)
    18190.80
  • Avg Position Time (hrs)
    303.18
  • Avg Trade Length
    12.6 days
  • Last Trade Ago
    1134
  • Leverage
  • Daily leverage (average)
    6.96
  • Daily leverage (max)
    472.52
  • Regression
  • Alpha
    1.05
  • Beta
    -1.67
  • Treynor Index
    -0.59
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.05
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    3.99
  • MAE:Equity, average, winning trades
    0.03
  • MAE:Equity, average, losing trades
    0.11
  • Avg(MAE) / Avg(PL) - All trades
    -18.561
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.469
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.823
  • Hold-and-Hope Ratio
    1.565
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    9.26627
  • SD
    8.96011
  • Sharpe ratio (Glass type estimate)
    1.03417
  • Sharpe ratio (Hedges UMVUE)
    0.96792
  • df
    12.00000
  • t
    1.07640
  • p
    0.35163
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.91314
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.94091
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.95455
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.89040
  • Statistics related to Sortino ratio
  • Sortino ratio
    32.35220
  • Upside Potential Ratio
    33.89290
  • Upside part of mean
    9.70757
  • Downside part of mean
    -0.44130
  • Upside SD
    9.01006
  • Downside SD
    0.28642
  • N nonnegative terms
    10.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.31034
  • Mean of criterion
    9.26627
  • SD of predictor
    0.10851
  • SD of criterion
    8.96011
  • Covariance
    -0.33266
  • r
    -0.34216
  • b (slope, estimate of beta)
    -28.25340
  • a (intercept, estimate of alpha)
    18.03440
  • Mean Square Error
    77.32870
  • DF error
    11.00000
  • t(b)
    -1.20770
  • p(b)
    0.87376
  • t(a)
    1.61894
  • p(a)
    0.06687
  • Lowerbound of 95% confidence interval for beta
    -79.74420
  • Upperbound of 95% confidence interval for beta
    23.23740
  • Lowerbound of 95% confidence interval for alpha
    -6.48371
  • Upperbound of 95% confidence interval for alpha
    42.55250
  • Treynor index (mean / b)
    -0.32797
  • Jensen alpha (a)
    18.03440
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.63636
  • SD
    2.26456
  • Sharpe ratio (Glass type estimate)
    1.16418
  • Sharpe ratio (Hedges UMVUE)
    1.08960
  • df
    12.00000
  • t
    1.21172
  • p
    0.33491
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.79702
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.08021
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.84327
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.02247
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.27065
  • Upside Potential Ratio
    9.80002
  • Upside part of mean
    3.12386
  • Downside part of mean
    -0.48750
  • Upside SD
    2.28284
  • Downside SD
    0.31876
  • N nonnegative terms
    10.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    13.00000
  • Mean of predictor
    0.30060
  • Mean of criterion
    2.63636
  • SD of predictor
    0.10475
  • SD of criterion
    2.26456
  • Covariance
    -0.09047
  • r
    -0.38142
  • b (slope, estimate of beta)
    -8.24627
  • a (intercept, estimate of alpha)
    5.11521
  • Mean Square Error
    4.78055
  • DF error
    11.00000
  • t(b)
    -1.36850
  • p(b)
    0.90077
  • t(a)
    1.84413
  • p(a)
    0.04612
  • Lowerbound of 95% confidence interval for beta
    -21.50890
  • Upperbound of 95% confidence interval for beta
    5.01639
  • Lowerbound of 95% confidence interval for alpha
    -0.98984
  • Upperbound of 95% confidence interval for alpha
    11.22030
  • Treynor index (mean / b)
    -0.31970
  • Jensen alpha (a)
    5.11521
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.57496
  • Expected Shortfall on VaR
    0.66793
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04741
  • Expected Shortfall on VaR
    0.11284
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    13.00000
  • Minimum
    0.78478
  • Quartile 1
    1.01334
  • Median
    1.06426
  • Quartile 3
    1.17868
  • Maximum
    10.36780
  • Mean of quarter 1
    0.88556
  • Mean of quarter 2
    1.05481
  • Mean of quarter 3
    1.13686
  • Mean of quarter 4
    4.31716
  • Inter Quartile Range
    0.16534
  • 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
    0.07692
  • Mean of outliers high
    10.36780
  • 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)
    -2.16529
  • VaR(95%) (regression method)
    0.27237
  • Expected Shortfall (regression method)
    0.27696
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.06626
  • Quartile 1
    0.14070
  • Median
    0.21514
  • Quartile 3
    0.28958
  • Maximum
    0.36402
  • Mean of quarter 1
    0.06626
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.36402
  • Inter Quartile Range
    0.14888
  • 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)
    15.62460
  • Compounded annual return (geometric extrapolation)
    13.35740
  • Calmar ratio (compounded annual return / max draw down)
    36.69390
  • Compounded annual return / average of 25% largest draw downs
    36.69390
  • Compounded annual return / Expected Shortfall lognormal
    19.99830
  • 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
    11.87590
  • SD
    7.89121
  • Sharpe ratio (Glass type estimate)
    1.50495
  • Sharpe ratio (Hedges UMVUE)
    1.50103
  • df
    288.00000
  • t
    1.58060
  • p
    0.05753
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.36651
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.37390
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.36915
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.37122
  • Statistics related to Sortino ratio
  • Sortino ratio
    10.30480
  • Upside Potential Ratio
    15.54940
  • Upside part of mean
    17.92010
  • Downside part of mean
    -6.04418
  • Upside SD
    7.82725
  • Downside SD
    1.15246
  • N nonnegative terms
    149.00000
  • N negative terms
    140.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    289.00000
  • Mean of predictor
    0.48726
  • Mean of criterion
    11.87590
  • SD of predictor
    0.36074
  • SD of criterion
    7.89121
  • Covariance
    -0.04800
  • r
    -0.01686
  • b (slope, estimate of beta)
    -0.36886
  • a (intercept, estimate of alpha)
    12.05600
  • Mean Square Error
    62.47040
  • DF error
    287.00000
  • t(b)
    -0.28570
  • p(b)
    0.61234
  • t(a)
    1.59639
  • p(a)
    0.05575
  • Lowerbound of 95% confidence interval for beta
    -2.91001
  • Upperbound of 95% confidence interval for beta
    2.17229
  • Lowerbound of 95% confidence interval for alpha
    -2.80832
  • Upperbound of 95% confidence interval for alpha
    26.91960
  • Treynor index (mean / b)
    -32.19620
  • Jensen alpha (a)
    12.05560
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    2.57566
  • SD
    3.34740
  • Sharpe ratio (Glass type estimate)
    0.76945
  • Sharpe ratio (Hedges UMVUE)
    0.76745
  • df
    288.00000
  • t
    0.80813
  • p
    0.20984
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.09843
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.63602
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.09977
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.63466
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.65800
  • Upside Potential Ratio
    6.17829
  • Upside part of mean
    9.59783
  • Downside part of mean
    -7.02217
  • Upside SD
    2.96282
  • Downside SD
    1.55348
  • N nonnegative terms
    149.00000
  • N negative terms
    140.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    289.00000
  • Mean of predictor
    0.42124
  • Mean of criterion
    2.57566
  • SD of predictor
    0.36408
  • SD of criterion
    3.34740
  • Covariance
    -0.04233
  • r
    -0.03474
  • b (slope, estimate of beta)
    -0.31938
  • a (intercept, estimate of alpha)
    2.71020
  • Mean Square Error
    11.23050
  • DF error
    287.00000
  • t(b)
    -0.58884
  • p(b)
    0.72178
  • t(a)
    0.84720
  • p(a)
    0.19879
  • Lowerbound of 95% confidence interval for beta
    -1.38695
  • Upperbound of 95% confidence interval for beta
    0.74819
  • Lowerbound of 95% confidence interval for alpha
    -3.58625
  • Upperbound of 95% confidence interval for alpha
    9.00665
  • Treynor index (mean / b)
    -8.06457
  • Jensen alpha (a)
    2.71020
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.28131
  • Expected Shortfall on VaR
    0.33893
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.05036
  • Expected Shortfall on VaR
    0.11321
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    289.00000
  • Minimum
    0.37630
  • Quartile 1
    0.98525
  • Median
    1.00086
  • Quartile 3
    1.01358
  • Maximum
    6.22671
  • Mean of quarter 1
    0.91436
  • Mean of quarter 2
    0.99447
  • Mean of quarter 3
    1.00626
  • Mean of quarter 4
    1.26846
  • Inter Quartile Range
    0.02833
  • Number outliers low
    30.00000
  • Percentage of outliers low
    0.10381
  • Mean of outliers low
    0.83060
  • Number of outliers high
    35.00000
  • Percentage of outliers high
    0.12111
  • Mean of outliers high
    1.52253
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.89277
  • VaR(95%) (moments method)
    0.08087
  • Expected Shortfall (moments method)
    0.80376
  • Extreme Value Index (regression method)
    0.54623
  • VaR(95%) (regression method)
    0.06759
  • Expected Shortfall (regression method)
    0.17606
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00069
  • Quartile 1
    0.00666
  • Median
    0.02808
  • Quartile 3
    0.07548
  • Maximum
    0.91129
  • Mean of quarter 1
    0.00312
  • Mean of quarter 2
    0.01518
  • Mean of quarter 3
    0.05234
  • Mean of quarter 4
    0.40887
  • Inter Quartile Range
    0.06882
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    5.00000
  • Percentage of outliers high
    0.20833
  • Mean of outliers high
    0.47503
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -1.06166
  • VaR(95%) (moments method)
    0.26834
  • Expected Shortfall (moments method)
    0.29594
  • Extreme Value Index (regression method)
    0.03446
  • VaR(95%) (regression method)
    0.54556
  • Expected Shortfall (regression method)
    0.86261
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    15.11280
  • Compounded annual return (geometric extrapolation)
    12.51190
  • Calmar ratio (compounded annual return / max draw down)
    13.72990
  • Compounded annual return / average of 25% largest draw downs
    30.60090
  • Compounded annual return / Expected Shortfall lognormal
    36.91570
  • 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
    16.71290
  • SD
    9.05785
  • Sharpe ratio (Glass type estimate)
    1.84513
  • Sharpe ratio (Hedges UMVUE)
    1.83446
  • df
    130.00000
  • t
    1.30470
  • p
    0.44316
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.93913
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.62248
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.94630
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.61522
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.67020
  • Upside Potential Ratio
    20.21060
  • Upside part of mean
    24.70890
  • Downside part of mean
    -7.99604
  • Upside SD
    8.99943
  • Downside SD
    1.22257
  • 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
    0.53710
  • Mean of criterion
    16.71290
  • SD of predictor
    0.31110
  • SD of criterion
    9.05785
  • Covariance
    0.29672
  • r
    0.10530
  • b (slope, estimate of beta)
    3.06583
  • a (intercept, estimate of alpha)
    15.06620
  • Mean Square Error
    81.76390
  • DF error
    129.00000
  • t(b)
    1.20266
  • p(b)
    0.43309
  • t(a)
    1.17148
  • p(a)
    0.43480
  • Lowerbound of 95% confidence interval for beta
    -1.97786
  • Upperbound of 95% confidence interval for beta
    8.10951
  • Lowerbound of 95% confidence interval for alpha
    -10.37940
  • Upperbound of 95% confidence interval for alpha
    40.51180
  • Treynor index (mean / b)
    5.45134
  • Jensen alpha (a)
    15.06620
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    4.30940
  • SD
    3.83446
  • Sharpe ratio (Glass type estimate)
    1.12386
  • Sharpe ratio (Hedges UMVUE)
    1.11736
  • df
    130.00000
  • t
    0.79469
  • p
    0.46524
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.65337
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.89698
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.65777
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.89250
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.78336
  • Upside Potential Ratio
    8.60239
  • Upside part of mean
    13.31880
  • Downside part of mean
    -9.00943
  • Upside SD
    3.50209
  • Downside SD
    1.54827
  • 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
    0.48767
  • Mean of criterion
    4.30940
  • SD of predictor
    0.31548
  • SD of criterion
    3.83446
  • Covariance
    0.07179
  • r
    0.05935
  • b (slope, estimate of beta)
    0.72136
  • a (intercept, estimate of alpha)
    3.95762
  • Mean Square Error
    14.76490
  • DF error
    129.00000
  • t(b)
    0.67527
  • p(b)
    0.46224
  • t(a)
    0.72497
  • p(a)
    0.45948
  • VAR (95 Confidence Intrvl)
    0.28100
  • Lowerbound of 95% confidence interval for beta
    -1.39220
  • Upperbound of 95% confidence interval for beta
    2.83491
  • Lowerbound of 95% confidence interval for alpha
    -6.84323
  • Upperbound of 95% confidence interval for alpha
    14.75850
  • Treynor index (mean / b)
    5.97402
  • Jensen alpha (a)
    3.95762
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.31148
  • Expected Shortfall on VaR
    0.37405
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.07226
  • Expected Shortfall on VaR
    0.15144
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.44371
  • Quartile 1
    0.97418
  • Median
    0.99878
  • Quartile 3
    1.01346
  • Maximum
    6.22671
  • Mean of quarter 1
    0.88791
  • Mean of quarter 2
    0.99120
  • Mean of quarter 3
    1.00438
  • Mean of quarter 4
    1.37029
  • Inter Quartile Range
    0.03928
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.14504
  • Mean of outliers low
    0.83843
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.16031
  • Mean of outliers high
    1.55894
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.31758
  • VaR(95%) (moments method)
    0.09334
  • Expected Shortfall (moments method)
    0.17094
  • Extreme Value Index (regression method)
    0.02525
  • VaR(95%) (regression method)
    0.10256
  • Expected Shortfall (regression method)
    0.15148
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00632
  • Quartile 1
    0.04422
  • Median
    0.13278
  • Quartile 3
    0.32177
  • Maximum
    0.70652
  • Mean of quarter 1
    0.01962
  • Mean of quarter 2
    0.07811
  • Mean of quarter 3
    0.18744
  • Mean of quarter 4
    0.53653
  • Inter Quartile Range
    0.27755
  • 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
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -530340000
  • Max Equity Drawdown (num days)
    36
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    15.49300
  • Compounded annual return (geometric extrapolation)
    75.50150
  • Calmar ratio (compounded annual return / max draw down)
    106.86300
  • Compounded annual return / average of 25% largest draw downs
    140.72100
  • Compounded annual return / Expected Shortfall lognormal
    201.85000

Strategy Description

The reason for the sharp drawdown was because at that time we were trading a longer term algo in the strategy and we allowed the strategy to build a sizable position. The TS strategy worked, but we realized after that equity swing, that the size of position with the longer term algo strategy was over weighted and to long a time frame for the crazy volatility we are seeing in the markets today. So, we have now limited the size of positions we take per trade and are utilizing a combination of shorter term timeframes for entry, exits and stops. Yes, TS Futures Trader had a sharp quick drawdown, but an even larger sharp quick reversal with a much larger gain than the drawdown. But that was OK because we should always use futures trading as a small % of your overall investment portfolio. So, there should have been no real hurt to ones overall portfolio. It was so quick a turnaround one may not even have noticed it as a large drawdown in their overall portfolio. We believe in the TS Futures Strategy. It has really preformed extremely well. Our adjustments in trading time frame and limited position size will eliminate the kind of volatile drawdown recently experienced. Just a reminder. If you subscribe to TS, only begin trading with new signals. Don't enter into current open trades.

Summary Statistics

Strategy began
2020-03-09
Suggested Minimum Capital
$880,000
# Trades
351
# Profitable
264
% Profitable
75.2%
Correlation S&P500
-0.070
Sharpe Ratio
0.64
Sortino Ratio
4.75
Beta
-1.67
Alpha
1.05
Leverage
6.96 Average
472.52 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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