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

Aerospace Engineering
(130650608)

Created by: reconFactor reconFactor
Started: 08/2020
Forex
Last trade: Yesterday

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $125.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

9.8%
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.

(5.0%)
Max Drawdown
118
Num Trades
57.6%
Win Trades
1.7 : 1
Profit Factor
60.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                 (1.4%)+5.4%+7.6%(2.2%)+0.5%+9.8%

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 46 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/2/20 9:25 GBP/NZD GBP/NZD LONG 5 1.88974 12/2 22:20 1.89368 0.12%
Trade id #132592716
Max drawdown($65)
Time12/2/20 17:00
Quant open5
Worst price1.88790
Drawdown as % of equity-0.12%
$139
12/2/20 10:12 GBP/CAD GBP/CAD LONG 5 1.72349 12/2 22:20 1.72933 0.03%
Trade id #132595381
Max drawdown($15)
Time12/2/20 10:26
Quant open5
Worst price1.72309
Drawdown as % of equity-0.03%
$226
12/2/20 6:46 EUR/NZD EUR/NZD LONG 5 1.70857 12/2 22:20 1.71480 0%
Trade id #132588908
Max drawdown($2)
Time12/2/20 6:50
Quant open5
Worst price1.70850
Drawdown as % of equity-0.00%
$220
12/2/20 6:36 EUR/USD EUR/USD SHORT 5 1.20449 12/2 22:19 1.21245 0.67%
Trade id #132588793
Max drawdown($368)
Time12/2/20 16:36
Quant open5
Worst price1.21185
Drawdown as % of equity-0.67%
($398)
12/1/20 18:36 GBP/JPY GBP/JPY SHORT 7 139.926 12/2 6:19 139.827 0.64%
Trade id #132579858
Max drawdown($348)
Time12/2/20 2:57
Quant open7
Worst price140.448
Drawdown as % of equity-0.64%
$66
11/23/20 12:09 USD/JPY USD/JPY SHORT 3 104.408 12/2 6:19 104.700 0.18%
Trade id #132405752
Max drawdown($101)
Time11/24/20 0:00
Quant open3
Worst price104.763
Drawdown as % of equity-0.18%
($84)
11/30/20 19:45 GBP/CAD GBP/CAD SHORT 5 1.73158 12/2 6:17 1.72862 0.67%
Trade id #132555192
Max drawdown($363)
Time12/1/20 0:00
Quant open5
Worst price1.74099
Drawdown as % of equity-0.67%
$114
11/25/20 19:59 CHF/JPY CHF/JPY SHORT 4 114.963 12/2 4:31 116.250 0.91%
Trade id #132468638
Max drawdown($498)
Time12/2/20 4:31
Quant open4
Worst price116.267
Drawdown as % of equity-0.91%
($492)
12/1/20 11:36 GBP/USD GBP/USD SHORT 5 1.34079 12/1 12:51 1.34278 0.18%
Trade id #132570980
Max drawdown($100)
Time12/1/20 12:51
Quant open5
Worst price1.34280
Drawdown as % of equity-0.18%
($100)
11/30/20 1:50 AUD/CHF AUD/CHF SHORT 3 0.66676 12/1 12:46 0.66286 0.12%
Trade id #132519849
Max drawdown($65)
Time11/30/20 23:18
Quant open3
Worst price0.66872
Drawdown as % of equity-0.12%
$130
11/23/20 9:16 EUR/AUD EUR/AUD LONG 3 1.62552 12/1 10:56 1.63752 0.53%
Trade id #132398701
Max drawdown($293)
Time11/24/20 0:00
Quant open3
Worst price1.61229
Drawdown as % of equity-0.53%
$265
11/30/20 1:54 EUR/GBP EUR/GBP SHORT 3 0.89674 11/30 12:28 0.89546 0.25%
Trade id #132519887
Max drawdown($134)
Time11/30/20 7:33
Quant open3
Worst price0.90011
Drawdown as % of equity-0.25%
$51
11/19/20 19:17 GBP/NZD GBP/NZD LONG 5 1.91846 11/27 11:27 1.89503 1.5%
Trade id #132358040
Max drawdown($823)
Time11/27/20 11:27
Quant open5
Worst price1.89498
Drawdown as % of equity-1.50%
($823)
11/25/20 9:39 GBP/USD GBP/USD SHORT 5 1.33339 11/26 11:59 1.33571 0.58%
Trade id #132452699
Max drawdown($319)
Time11/25/20 20:38
Quant open5
Worst price1.33977
Drawdown as % of equity-0.58%
($116)
11/23/20 23:21 NZD/JPY NZD/JPY SHORT 4 72.843 11/25 11:34 73.120 0.2%
Trade id #132416214
Max drawdown($109)
Time11/25/20 11:30
Quant open4
Worst price73.128
Drawdown as % of equity-0.20%
($106)
11/23/20 10:07 EUR/JPY EUR/JPY SHORT 5 123.314 11/24 21:07 124.427 0.97%
Trade id #132401321
Max drawdown($536)
Time11/24/20 21:03
Quant open5
Worst price124.434
Drawdown as % of equity-0.97%
($532)
11/23/20 11:23 GBP/USD GBP/USD LONG 3 1.32847 11/23 12:28 1.33053 0.02%
Trade id #132404045
Max drawdown($9)
Time11/23/20 11:26
Quant open3
Worst price1.32816
Drawdown as % of equity-0.02%
$62
11/17/20 10:04 USD/JPY USD/JPY LONG 5 104.155 11/23 10:58 104.472 0.43%
Trade id #132299388
Max drawdown($240)
Time11/18/20 0:00
Quant open5
Worst price103.652
Drawdown as % of equity-0.43%
$152
11/23/20 9:30 USD/CAD USD/CAD LONG 4 1.30667 11/23 10:52 1.30890 0.01%
Trade id #132398909
Max drawdown($7)
Time11/23/20 9:33
Quant open4
Worst price1.30643
Drawdown as % of equity-0.01%
$68
11/18/20 20:42 NZD/CAD NZD/CAD SHORT 3 0.90400 11/23 10:50 0.90605 0.23%
Trade id #132334398
Max drawdown($128)
Time11/23/20 9:00
Quant open3
Worst price0.90961
Drawdown as % of equity-0.23%
($47)
11/17/20 9:33 CAD/JPY CAD/JPY LONG 3 79.577 11/20 10:03 79.458 0.18%
Trade id #132298021
Max drawdown($100)
Time11/19/20 0:00
Quant open3
Worst price79.229
Drawdown as % of equity-0.18%
($34)
11/16/20 19:34 EUR/CAD EUR/CAD SHORT 4 1.55021 11/20 10:01 1.54947 0.45%
Trade id #132288896
Max drawdown($251)
Time11/17/20 0:00
Quant open4
Worst price1.55844
Drawdown as % of equity-0.45%
$23
11/16/20 0:06 AUD/NZD AUD/NZD LONG 3 1.05992 11/19 12:03 1.05285 0.26%
Trade id #132266410
Max drawdown($147)
Time11/19/20 12:03
Quant open3
Worst price1.05280
Drawdown as % of equity-0.26%
($146)
11/18/20 10:57 EUR/GBP EUR/GBP LONG 2 0.89268 11/19 9:46 0.89537 0.03%
Trade id #132323986
Max drawdown($15)
Time11/18/20 11:49
Quant open2
Worst price0.89210
Drawdown as % of equity-0.03%
$71
11/16/20 11:03 GBP/NZD GBP/NZD LONG 3 1.91204 11/17 10:19 1.92540 0.09%
Trade id #132278723
Max drawdown($52)
Time11/16/20 17:03
Quant open3
Worst price1.90950
Drawdown as % of equity-0.09%
$276
11/16/20 0:25 GBP/AUD GBP/AUD SHORT 3 1.81405 11/16 10:30 1.80543 0.05%
Trade id #132266539
Max drawdown($25)
Time11/16/20 0:53
Quant open3
Worst price1.81521
Drawdown as % of equity-0.05%
$189
10/30/20 10:30 EUR/NZD EUR/NZD LONG 5 1.75860 10/30 13:31 1.76249 0.03%
Trade id #131989148
Max drawdown($18)
Time10/30/20 12:28
Quant open5
Worst price1.75803
Drawdown as % of equity-0.03%
$128
10/27/20 20:59 AUD/NZD AUD/NZD LONG 5 1.06385 10/30 13:31 1.06266 0.26%
Trade id #131931651
Max drawdown($142)
Time10/30/20 10:17
Quant open5
Worst price1.05955
Drawdown as % of equity-0.26%
($39)
10/28/20 12:13 GBP/CHF GBP/CHF LONG 4 1.18178 10/30 10:02 1.18623 0.22%
Trade id #131948956
Max drawdown($122)
Time10/29/20 0:00
Quant open4
Worst price1.17898
Drawdown as % of equity-0.22%
$194
10/26/20 11:03 EUR/CAD EUR/CAD SHORT 3 1.56000 10/27 20:04 1.55455 0.12%
Trade id #131897156
Max drawdown($67)
Time10/26/20 12:59
Quant open3
Worst price1.56299
Drawdown as % of equity-0.12%
$124

Statistics

  • Strategy began
    8/17/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    107.56
  • Age
    108 days ago
  • What it trades
    Forex
  • # Trades
    118
  • # Profitable
    68
  • % Profitable
    57.60%
  • Avg trade duration
    2.2 days
  • Max peak-to-valley drawdown
    4.99%
  • drawdown period
    Aug 25, 2020 - Sept 21, 2020
  • Cumul. Return
    9.8%
  • Avg win
    $200.16
  • Avg loss
    $162.74
  • Model Account Values (Raw)
  • Cash
    $55,510
  • Margin Used
    $3,871
  • Buying Power
    $51,603
  • Ratios
  • W:L ratio
    1.67:1
  • Sharpe Ratio
    2.38
  • Sortino Ratio
    4.07
  • Calmar Ratio
    10.145
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    1.27%
  • Correlation to SP500
    -0.14630
  • Return Percent SP500 (cumu) during strategy life
    8.49%
  • Verified
  • C2Star
    1
  • Return Statistics
  • Ann Return (w trading costs)
    36.0%
  • Slump
  • Current Slump as Pcnt Equity
    3.00%
  • Instruments
  • Percent Trades Futures
    n/a
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.09%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.098%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    1.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    42.1%
  • Automation
  • Percentage Signals Automated
    n/a
  • Popularity
  • Popularity (Today)
    675
  • Popularity (Last 6 weeks)
    946
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    848
  • Popularity (7 days, Percentile 1000 scale)
    887
  • Management
  • No Subs Allowed Flag (1: no subs)
    0
  • Strat abandoned?
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $165
  • Avg Win
    $197
  • Sum Trade PL (losers)
    $8,105.000
  • AUM
  • AUM (AutoTrader num accounts)
    1
  • Age
  • Num Months filled monthly returns table
    5
  • Win / Loss
  • Sum Trade PL (winners)
    $13,616.000
  • # Winners
    69
  • Num Months Winners
    3
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    55487
  • Win / Loss
  • # Losers
    49
  • % Winners
    58.5%
  • Frequency
  • Avg Position Time (mins)
    3118.00
  • Avg Position Time (hrs)
    51.97
  • Avg Trade Length
    2.2 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    3.18
  • Daily leverage (max)
    6.14
  • Regression
  • Alpha
    0.09
  • Beta
    -0.08
  • Treynor Index
    -1.06
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -2.46
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    4.204
  • 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
    0.603
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.686
  • Hold-and-Hope Ratio
    0.238
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.52760
  • SD
    0.22923
  • Sharpe ratio (Glass type estimate)
    2.30159
  • Sharpe ratio (Hedges UMVUE)
    1.29853
  • df
    2.00000
  • t
    1.15080
  • p
    0.18441
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.33184
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.55416
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.82277
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.41984
  • Statistics related to Sortino ratio
  • Sortino ratio
    18.35910
  • Upside Potential Ratio
    20.35910
  • Upside part of mean
    0.58507
  • Downside part of mean
    -0.05748
  • Upside SD
    0.23959
  • Downside SD
    0.02874
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.26465
  • Mean of criterion
    0.52760
  • SD of predictor
    0.06423
  • SD of criterion
    0.22923
  • Covariance
    0.00923
  • r
    0.62683
  • b (slope, estimate of beta)
    2.23715
  • a (intercept, estimate of alpha)
    -0.06447
  • Mean Square Error
    0.06380
  • DF error
    1.00000
  • t(b)
    0.80450
  • p(b)
    0.28435
  • t(a)
    -0.07223
  • p(a)
    0.52295
  • Lowerbound of 95% confidence interval for beta
    -33.09640
  • Upperbound of 95% confidence interval for beta
    37.57070
  • Lowerbound of 95% confidence interval for alpha
    -11.40670
  • Upperbound of 95% confidence interval for alpha
    11.27780
  • Treynor index (mean / b)
    0.23583
  • Jensen alpha (a)
    -0.06447
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.50043
  • SD
    0.21784
  • Sharpe ratio (Glass type estimate)
    2.29719
  • Sharpe ratio (Hedges UMVUE)
    1.29605
  • df
    2.00000
  • t
    1.14860
  • p
    0.18478
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.33420
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.54807
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.82450
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.41661
  • Statistics related to Sortino ratio
  • Sortino ratio
    17.28820
  • Upside Potential Ratio
    19.28820
  • Upside part of mean
    0.55832
  • Downside part of mean
    -0.05789
  • Upside SD
    0.22731
  • Downside SD
    0.02895
  • N nonnegative terms
    2.00000
  • N negative terms
    1.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    3.00000
  • Mean of predictor
    0.26045
  • Mean of criterion
    0.50043
  • SD of predictor
    0.06313
  • SD of criterion
    0.21784
  • Covariance
    0.00882
  • r
    0.64131
  • b (slope, estimate of beta)
    2.21308
  • a (intercept, estimate of alpha)
    -0.07598
  • Mean Square Error
    0.05588
  • DF error
    1.00000
  • t(b)
    0.83581
  • p(b)
    0.27839
  • t(a)
    -0.09087
  • p(a)
    0.52885
  • Lowerbound of 95% confidence interval for beta
    -31.43070
  • Upperbound of 95% confidence interval for beta
    35.85680
  • Lowerbound of 95% confidence interval for alpha
    -10.69990
  • Upperbound of 95% confidence interval for alpha
    10.54800
  • Treynor index (mean / b)
    0.22612
  • Jensen alpha (a)
    -0.07598
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.05987
  • Expected Shortfall on VaR
    0.08400
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00872
  • Expected Shortfall on VaR
    0.01642
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    3.00000
  • Minimum
    0.98563
  • Quartile 1
    1.00801
  • Median
    1.03039
  • Quartile 3
    1.07313
  • Maximum
    1.11587
  • Mean of quarter 1
    0.98563
  • Mean of quarter 2
    1.03039
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    1.11587
  • Inter Quartile Range
    0.06512
  • 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
    1.00000
  • Minimum
    0.01437
  • Quartile 1
    0.01437
  • Median
    0.01437
  • Quartile 3
    0.01437
  • Maximum
    0.01437
  • 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)
    0.53308
  • Compounded annual return (geometric extrapolation)
    0.64942
  • Calmar ratio (compounded annual return / max draw down)
    45.19680
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    7.73090
  • 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
    0.35522
  • SD
    0.10652
  • Sharpe ratio (Glass type estimate)
    3.33473
  • Sharpe ratio (Hedges UMVUE)
    3.30172
  • df
    76.00000
  • t
    1.80782
  • p
    0.03730
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.32989
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.97798
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.35156
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.95499
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.91914
  • Upside Potential Ratio
    13.47970
  • Upside part of mean
    0.80894
  • Downside part of mean
    -0.45372
  • Upside SD
    0.08989
  • Downside SD
    0.06001
  • N nonnegative terms
    48.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    0.29683
  • Mean of criterion
    0.35522
  • SD of predictor
    0.19832
  • SD of criterion
    0.10652
  • Covariance
    -0.00327
  • r
    -0.15496
  • b (slope, estimate of beta)
    -0.08324
  • a (intercept, estimate of alpha)
    0.38000
  • Mean Square Error
    0.01122
  • DF error
    75.00000
  • t(b)
    -1.35844
  • p(b)
    0.91080
  • t(a)
    1.93592
  • p(a)
    0.02832
  • Lowerbound of 95% confidence interval for beta
    -0.20530
  • Upperbound of 95% confidence interval for beta
    0.03883
  • Lowerbound of 95% confidence interval for alpha
    -0.01103
  • Upperbound of 95% confidence interval for alpha
    0.77088
  • Treynor index (mean / b)
    -4.26764
  • Jensen alpha (a)
    0.37993
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.34940
  • SD
    0.10630
  • Sharpe ratio (Glass type estimate)
    3.28678
  • Sharpe ratio (Hedges UMVUE)
    3.25424
  • df
    76.00000
  • t
    1.78183
  • p
    0.03939
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37653
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.92904
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39796
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.90644
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.79251
  • Upside Potential Ratio
    13.34460
  • Upside part of mean
    0.80494
  • Downside part of mean
    -0.45554
  • Upside SD
    0.08934
  • Downside SD
    0.06032
  • N nonnegative terms
    48.00000
  • N negative terms
    29.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    77.00000
  • Mean of predictor
    0.27717
  • Mean of criterion
    0.34940
  • SD of predictor
    0.19906
  • SD of criterion
    0.10630
  • Covariance
    -0.00326
  • r
    -0.15397
  • b (slope, estimate of beta)
    -0.08222
  • a (intercept, estimate of alpha)
    0.37219
  • Mean Square Error
    0.01118
  • DF error
    75.00000
  • t(b)
    -1.34948
  • p(b)
    0.90938
  • t(a)
    1.90116
  • p(a)
    0.03056
  • Lowerbound of 95% confidence interval for beta
    -0.20360
  • Upperbound of 95% confidence interval for beta
    0.03915
  • Lowerbound of 95% confidence interval for alpha
    -0.01780
  • Upperbound of 95% confidence interval for alpha
    0.76218
  • Treynor index (mean / b)
    -4.24952
  • Jensen alpha (a)
    0.37219
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00942
  • Expected Shortfall on VaR
    0.01214
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00329
  • Expected Shortfall on VaR
    0.00688
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    77.00000
  • Minimum
    0.98484
  • Quartile 1
    0.99744
  • Median
    1.00009
  • Quartile 3
    1.00450
  • Maximum
    1.01684
  • Mean of quarter 1
    0.99381
  • Mean of quarter 2
    0.99950
  • Mean of quarter 3
    1.00237
  • Mean of quarter 4
    1.01014
  • Inter Quartile Range
    0.00706
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.01299
  • Mean of outliers low
    0.98484
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.02597
  • Mean of outliers high
    1.01638
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.45495
  • VaR(95%) (moments method)
    0.00701
  • Expected Shortfall (moments method)
    0.01419
  • Extreme Value Index (regression method)
    0.20613
  • VaR(95%) (regression method)
    0.00509
  • Expected Shortfall (regression method)
    0.00739
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    9.00000
  • Minimum
    0.00023
  • Quartile 1
    0.00142
  • Median
    0.00584
  • Quartile 3
    0.01215
  • Maximum
    0.04122
  • Mean of quarter 1
    0.00083
  • Mean of quarter 2
    0.00375
  • Mean of quarter 3
    0.01049
  • Mean of quarter 4
    0.03398
  • Inter Quartile Range
    0.01072
  • 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
    0.11111
  • Mean of outliers high
    0.04122
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -9.29626
  • VaR(95%) (moments method)
    0.02567
  • Expected Shortfall (moments method)
    0.02567
  • Extreme Value Index (regression method)
    -1.01161
  • VaR(95%) (regression method)
    0.04854
  • Expected Shortfall (regression method)
    0.05211
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.36797
  • Compounded annual return (geometric extrapolation)
    0.41822
  • Calmar ratio (compounded annual return / max draw down)
    10.14550
  • Compounded annual return / average of 25% largest draw downs
    12.30700
  • Compounded annual return / Expected Shortfall lognormal
    34.46050
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess log return rates
  • Statistics related to linear regression on benchmark
  • VAR (95 Confidence Intrvl)
    0.00900
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Last 4 Months - Pcnt Negative
    0.25%
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -295092000
  • Max Equity Drawdown (num days)
    27

Strategy Description

Aerospace Engineering is designed to take flight and generate sustainable growth over time.
This is a momentum based, trend following, target trading system that trades based on a deep understanding of where the market is likely to change directions or continue with the trend. Strict risk management controls are maintained on every trade and all open positions, stops and limits are actively managed.

All possible combinations of only the following currency pairs are considered: USD, EUR, GBP, JPY, CHF, AUD, NZD, CAD.

This system utilizes both day trading and swing trading methods and thus trades may be open for hours or, when appropriate, they may be held open for days or weeks. In order to mitigate risk a form of hedging is sometimes used through correlated pairs. Trade sizes and total leverage are factored into each position.

Recommendations:
Be patient with this system: there will be periods of gain and also periods of reasonable drawdown.
Be careful not to over-leverage this (or any) system and absolute minimum capital for a 1:1 scaling should not be under $25,000.

Good communication and clear understanding are paramount to consistently achieving defined goals. Reach out to me: good, clear questions or ideas are always welcomed.

Summary Statistics

Strategy began
2020-08-17
Suggested Minimum Capital
$50,000
Rank at C2 
#102
# Trades
118
# Profitable
68
% Profitable
57.6%
Correlation S&P500
-0.146
Sharpe Ratio
2.38
Sortino Ratio
4.07
Beta
-0.08
Alpha
0.09
Leverage
3.18 Average
6.14 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.