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EUROPEAN STOCK EXPOSURE
(131920147)

Created by: TraderTPP TraderTPP
Started: 10/2020
Futures
Last trade: 2 days ago
Trading style: Futures Financials / Indexes

Subscriptions not available

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

Subscription terms. Subscriptions to this system cost $100.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Futures
Financials / Indexes
Category: Equity

Financials / Indexes

Focuses on market indexes or interest rates futures.
93.6%
Annual Return (Compounded)

Rate of Return Calculations

Overview

To comply with NFA regulations, we display Cumulative Rate of Return for strategies with a track record of less than one year. For strategies with longer track records, we display Annualized (Compounded) Rate of Return.

How Annualized (Compounded) Rate of Return is calculated

= ((Ending_equity / Starting_equity) ^ (1 / age_in_years)) - 1

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(16.6%)
Max Drawdown
94
Num Trades
76.6%
Win Trades
3.1 : 1
Profit Factor
64.3%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                               (13.5%)+76.0%(3.7%)+46.7%
2021(1.3%)(0.7%)+11.1%+2.8%+4.9%+3.4%+8.9%+3.3%+3.4%+0.5%(1%)      +40.5%

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 95 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
11/18/21 11:53 @MNQZ1 MICRO E-MINI NASDAQ 100 SHORT 4 16569.81 11/26 7:17 16213.61 1.48%
Trade id #138248208
Max drawdown($1,499)
Time11/22/21 0:00
Quant open3
Worst price16767.50
Drawdown as % of equity-1.48%
$2,846
Includes Typical Broker Commissions trade costs of $3.76
11/19/21 3:15 MTZ1 CAC40 SHORT 1 7159.00 11/26 6:29 6834.00 0.16%
Trade id #138262073
Max drawdown($163)
Time11/19/21 3:30
Quant open1
Worst price7173.50
Drawdown as % of equity-0.16%
$3,660
Includes Typical Broker Commissions trade costs of $8.00
11/15/21 6:41 MTX1 CAC40 SHORT 1 7121.00 11/19 3:15 7171.83 0.7%
Trade id #138192247
Max drawdown($711)
Time11/19/21 2:49
Quant open1
Worst price7184.00
Drawdown as % of equity-0.70%
($585)
Includes Typical Broker Commissions trade costs of $8.00
10/20/21 3:16 LFZ1 FTSE 100 INDEX SHORT 2 7271.2 11/19 1:25 7267.5 3.17%
Trade id #137881594
Max drawdown($3,154)
Time11/12/21 0:00
Quant open2
Worst price7388.5
Drawdown as % of equity-3.17%
$85
Includes Typical Broker Commissions trade costs of $16.00
10/26/21 5:18 MTX1 CAC40 SHORT 1 6751.00 11/15 6:17 7120.50 4.22%
Trade id #137954445
Max drawdown($4,229)
Time11/15/21 6:17
Quant open1
Worst price7120.50
Drawdown as % of equity-4.22%
($4,238)
Includes Typical Broker Commissions trade costs of $8.00
11/4/21 4:51 @MNQZ1 MICRO E-MINI NASDAQ 100 SHORT 1 16196.90 11/11 3:48 16012.20 0.5%
Trade id #138070478
Max drawdown($503)
Time11/5/21 0:00
Quant open1
Worst price16448.50
Drawdown as % of equity-0.50%
$368
Includes Typical Broker Commissions trade costs of $0.94
11/3/21 13:58 @MYMZ1 MICRO E-MINI DOW LONG 2 35809 11/4 10:54 35964 0.01%
Trade id #138063026
Max drawdown($8)
Time11/3/21 14:02
Quant open2
Worst price35801
Drawdown as % of equity-0.01%
$153
Includes Typical Broker Commissions trade costs of $1.88
10/24/21 18:06 @MNQZ1 MICRO E-MINI NASDAQ 100 SHORT 2 15412.40 11/4 4:22 16057.50 1.72%
Trade id #137933325
Max drawdown($1,826)
Time10/29/21 0:00
Quant open2
Worst price15869.00
Drawdown as % of equity-1.72%
($2,582)
Includes Typical Broker Commissions trade costs of $1.88
10/22/21 2:26 @MNQZ1 MICRO E-MINI NASDAQ 100 SHORT 1 15404.20 10/22 15:53 15344.50 0.11%
Trade id #137913034
Max drawdown($119)
Time10/22/21 10:30
Quant open1
Worst price15463.80
Drawdown as % of equity-0.11%
$118
Includes Typical Broker Commissions trade costs of $0.94
10/15/21 2:02 MTX1 CAC40 SHORT 1 6713.00 10/21 15:52 6710.00 0.3%
Trade id #137819443
Max drawdown($325)
Time10/15/21 10:00
Quant open1
Worst price6741.00
Drawdown as % of equity-0.30%
$27
Includes Typical Broker Commissions trade costs of $8.00
10/15/21 9:31 @M2KZ1 MICRO E-MINI RUSSELL 2000 SHORT 1 2296.00 10/20 3:16 2273.50 0%
Trade id #137822678
Max drawdown($5)
Time10/15/21 9:56
Quant open1
Worst price2297.00
Drawdown as % of equity-0.00%
$112
Includes Typical Broker Commissions trade costs of $0.94
9/28/21 12:11 @MNQZ1 MICRO E-MINI NASDAQ 100 LONG 4 14637.94 10/19 3:35 14903.60 1.23%
Trade id #137565094
Max drawdown($1,294)
Time10/6/21 0:00
Quant open3
Worst price14422.20
Drawdown as % of equity-1.23%
$2,121
Includes Typical Broker Commissions trade costs of $3.76
9/28/21 3:48 MTV1 CAC40 LONG 1 6572.00 10/13 12:13 6618.00 1.86%
Trade id #137555058
Max drawdown($1,924)
Time10/1/21 0:00
Quant open1
Worst price6406.00
Drawdown as % of equity-1.86%
$524
Includes Typical Broker Commissions trade costs of $8.00
9/27/21 11:00 LFZ1 FTSE 100 INDEX LONG 1 7035.0 9/29 11:27 7076.5 0.77%
Trade id #137544547
Max drawdown($800)
Time9/28/21 0:00
Quant open1
Worst price6975.5
Drawdown as % of equity-0.77%
$550
Includes Typical Broker Commissions trade costs of $8.00
9/27/21 4:15 @M2KZ1 MICRO E-MINI RUSSELL 2000 SHORT 2 2253.90 9/28 12:10 2234.40 0.35%
Trade id #137537656
Max drawdown($369)
Time9/27/21 14:29
Quant open2
Worst price2290.80
Drawdown as % of equity-0.35%
$193
Includes Typical Broker Commissions trade costs of $1.88
9/17/21 2:16 LFZ1 FTSE 100 INDEX LONG 2 6944.2 9/27 2:31 6953.2 3.29%
Trade id #137409374
Max drawdown($3,330)
Time9/20/21 0:00
Quant open1
Worst price6791.5
Drawdown as % of equity-3.29%
$230
Includes Typical Broker Commissions trade costs of $16.00
9/20/21 9:38 @MNQZ1 MICRO E-MINI NASDAQ 100 LONG 1 15112.50 9/24 7:31 15218.80 0.62%
Trade id #137440067
Max drawdown($610)
Time9/20/21 15:17
Quant open1
Worst price14807.50
Drawdown as % of equity-0.62%
$212
Includes Typical Broker Commissions trade costs of $0.94
9/21/21 1:39 DXMZ1 MINI-DAX INDEX LONG 1 15163.0 9/22 13:59 15471.0 0.15%
Trade id #137454271
Max drawdown($152)
Time9/21/21 1:56
Quant open1
Worst price15137.0
Drawdown as % of equity-0.15%
$1,798
Includes Typical Broker Commissions trade costs of $8.00
9/16/21 16:10 @MNQZ1 MICRO E-MINI NASDAQ 100 LONG 1 15502.00 9/20 7:32 15100.00 0.81%
Trade id #137406022
Max drawdown($809)
Time9/20/21 7:32
Quant open1
Worst price15097.20
Drawdown as % of equity-0.81%
($805)
Includes Typical Broker Commissions trade costs of $0.94
9/16/21 15:58 MTV1 CAC40 SHORT 2 6645.00 9/16 15:58 6645.00 n/a ($16)
Includes Typical Broker Commissions trade costs of $16.00
9/15/21 11:29 MTU1 CAC40 LONG 1 6594.50 9/16 15:58 6657.50 0.16%
Trade id #137383060
Max drawdown($158)
Time9/15/21 11:48
Quant open1
Worst price6581.00
Drawdown as % of equity-0.16%
$733
Includes Typical Broker Commissions trade costs of $8.00
9/10/21 4:57 DXMU1 MINI-DAX INDEX LONG 1 15695.0 9/16 15:57 15700.0 0.87%
Trade id #137316486
Max drawdown($876)
Time9/10/21 15:56
Quant open1
Worst price15546.0
Drawdown as % of equity-0.87%
$21
Includes Typical Broker Commissions trade costs of $8.00
9/14/21 3:39 MTU1 CAC40 LONG 1 6622.50 9/14 15:57 6640.50 0.12%
Trade id #137359620
Max drawdown($123)
Time9/14/21 3:45
Quant open1
Worst price6612.00
Drawdown as % of equity-0.12%
$205
Includes Typical Broker Commissions trade costs of $8.00
8/23/21 10:12 @MNQU1 MICRO E-MINI NASDAQ 100 SHORT 6 15447.71 9/13 1:49 15526.92 2.85%
Trade id #137079410
Max drawdown($2,854)
Time9/1/21 0:00
Quant open4
Worst price15698.00
Drawdown as % of equity-2.85%
($957)
Includes Typical Broker Commissions trade costs of $5.64
9/3/21 8:26 MTU1 CAC40 LONG 2 6697.25 9/10 4:10 6706.50 2.23%
Trade id #137236929
Max drawdown($2,229)
Time9/9/21 0:00
Quant open2
Worst price6603.00
Drawdown as % of equity-2.23%
$203
Includes Typical Broker Commissions trade costs of $16.00
8/19/21 2:41 LFU1 FTSE 100 INDEX LONG 1 7046.5 9/1 7:17 7165.0 1.07%
Trade id #137029045
Max drawdown($1,048)
Time8/19/21 5:17
Quant open1
Worst price6970.5
Drawdown as % of equity-1.07%
$1,622
Includes Typical Broker Commissions trade costs of $8.00
8/16/21 3:20 @NKDU1 NIKKEI 225 INDEX LONG 1 27555 8/27 12:26 27810 3.56%
Trade id #136973631
Max drawdown($3,475)
Time8/20/21 0:00
Quant open1
Worst price26860
Drawdown as % of equity-3.56%
$1,267
Includes Typical Broker Commissions trade costs of $8.00
8/11/21 7:23 @MYMU1 MICRO E-MINI DOW SHORT 2 35166 8/19 4:17 34577 0.4%
Trade id #136913454
Max drawdown($382)
Time8/16/21 0:00
Quant open2
Worst price35548
Drawdown as % of equity-0.40%
$587
Includes Typical Broker Commissions trade costs of $1.88
8/2/21 3:45 MTQ1 CAC40 SHORT 2 6767.25 8/19 2:32 6731.50 3.58%
Trade id #136777912
Max drawdown($3,422)
Time8/13/21 0:00
Quant open2
Worst price6913.50
Drawdown as % of equity-3.58%
$819
Includes Typical Broker Commissions trade costs of $16.00
8/13/21 4:15 @MNQU1 MICRO E-MINI NASDAQ 100 LONG 1 15086.25 8/16 3:20 15112.50 0.07%
Trade id #136948478
Max drawdown($62)
Time8/13/21 8:00
Quant open1
Worst price15055.20
Drawdown as % of equity-0.07%
$52
Includes Typical Broker Commissions trade costs of $0.94

Statistics

  • Strategy began
    10/27/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    396.59
  • Age
    13 months ago
  • What it trades
    Futures
  • # Trades
    94
  • # Profitable
    72
  • % Profitable
    76.60%
  • Avg trade duration
    8.1 days
  • Max peak-to-valley drawdown
    16.59%
  • drawdown period
    Oct 27, 2020 - Oct 28, 2020
  • Annual Return (Compounded)
    93.6%
  • Avg win
    $1,133
  • Avg loss
    $1,182
  • Model Account Values (Raw)
  • Cash
    $109,914
  • Margin Used
    $7,317
  • Buying Power
    $98,240
  • Ratios
  • W:L ratio
    3.13:1
  • Sharpe Ratio
    2.04
  • Sortino Ratio
    3.72
  • Calmar Ratio
    8.37
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    70.61%
  • Correlation to SP500
    0.35660
  • Return Percent SP500 (cumu) during strategy life
    35.51%
  • Return Statistics
  • Ann Return (w trading costs)
    93.6%
  • Slump
  • Current Slump as Pcnt Equity
    5.40%
  • Instruments
  • Percent Trades Futures
    0.99%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.10%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.936%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.01%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    98.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    14.00%
  • Chance of 20% account loss
    2.00%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    556
  • Popularity (Last 6 weeks)
    916
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    858
  • Popularity (7 days, Percentile 1000 scale)
    783
  • 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
    $1,183
  • Avg Win
    $1,133
  • Sum Trade PL (losers)
    $26,023.000
  • AUM
  • AUM (AutoTrader num accounts)
    3
  • Age
  • Num Months filled monthly returns table
    14
  • Win / Loss
  • Sum Trade PL (winners)
    $81,581.000
  • # Winners
    72
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    314806
  • Win / Loss
  • # Losers
    22
  • % Winners
    76.6%
  • Frequency
  • Avg Position Time (mins)
    11702.20
  • Avg Position Time (hrs)
    195.04
  • Avg Trade Length
    8.1 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    2.15
  • Daily leverage (max)
    7.59
  • Regression
  • Alpha
    0.14
  • Beta
    0.79
  • Treynor Index
    0.25
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    1.59
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    2.262
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.989
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.475
  • Hold-and-Hope Ratio
    0.444
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.86423
  • SD
    0.53134
  • Sharpe ratio (Glass type estimate)
    1.62651
  • Sharpe ratio (Hedges UMVUE)
    1.51259
  • df
    11.00000
  • t
    1.62651
  • p
    0.06606
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.47794
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.66569
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.54677
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.57195
  • Statistics related to Sortino ratio
  • Sortino ratio
    31.61900
  • Upside Potential Ratio
    33.40740
  • Upside part of mean
    0.91311
  • Downside part of mean
    -0.04888
  • Upside SD
    0.56594
  • Downside SD
    0.02733
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.29008
  • Mean of criterion
    0.86423
  • SD of predictor
    0.11548
  • SD of criterion
    0.53134
  • Covariance
    0.02055
  • r
    0.33492
  • b (slope, estimate of beta)
    1.54106
  • a (intercept, estimate of alpha)
    0.41720
  • Mean Square Error
    0.27571
  • DF error
    10.00000
  • t(b)
    1.12404
  • p(b)
    0.14363
  • t(a)
    0.63337
  • p(a)
    0.27035
  • Lowerbound of 95% confidence interval for beta
    -1.51372
  • Upperbound of 95% confidence interval for beta
    4.59584
  • Lowerbound of 95% confidence interval for alpha
    -1.05047
  • Upperbound of 95% confidence interval for alpha
    1.88486
  • Treynor index (mean / b)
    0.56080
  • Jensen alpha (a)
    0.41720
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.74102
  • SD
    0.42524
  • Sharpe ratio (Glass type estimate)
    1.74258
  • Sharpe ratio (Hedges UMVUE)
    1.62053
  • df
    11.00000
  • t
    1.74258
  • p
    0.05463
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37970
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.79600
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.45311
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.69418
  • Statistics related to Sortino ratio
  • Sortino ratio
    26.92630
  • Upside Potential Ratio
    28.71210
  • Upside part of mean
    0.79017
  • Downside part of mean
    -0.04915
  • Upside SD
    0.45909
  • Downside SD
    0.02752
  • N nonnegative terms
    8.00000
  • N negative terms
    4.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.28009
  • Mean of criterion
    0.74102
  • SD of predictor
    0.11372
  • SD of criterion
    0.42524
  • Covariance
    0.01490
  • r
    0.30822
  • b (slope, estimate of beta)
    1.15257
  • a (intercept, estimate of alpha)
    0.41820
  • Mean Square Error
    0.18002
  • DF error
    10.00000
  • t(b)
    1.02455
  • p(b)
    0.16486
  • t(a)
    0.79132
  • p(a)
    0.22356
  • Lowerbound of 95% confidence interval for beta
    -1.35398
  • Upperbound of 95% confidence interval for beta
    3.65911
  • Lowerbound of 95% confidence interval for alpha
    -0.75933
  • Upperbound of 95% confidence interval for alpha
    1.59574
  • Treynor index (mean / b)
    0.64293
  • Jensen alpha (a)
    0.41820
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.13079
  • Expected Shortfall on VaR
    0.17341
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00723
  • Expected Shortfall on VaR
    0.01468
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    0.97993
  • Quartile 1
    0.99524
  • Median
    1.03069
  • Quartile 3
    1.06479
  • Maximum
    1.54548
  • Mean of quarter 1
    0.98825
  • Mean of quarter 2
    1.01826
  • Mean of quarter 3
    1.04373
  • Mean of quarter 4
    1.24715
  • Inter Quartile Range
    0.06955
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    1.00000
  • Percentage of outliers high
    0.08333
  • Mean of outliers high
    1.54548
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.70490
  • VaR(95%) (moments method)
    0.01282
  • Expected Shortfall (moments method)
    0.01489
  • Extreme Value Index (regression method)
    0.88762
  • VaR(95%) (regression method)
    0.01959
  • Expected Shortfall (regression method)
    0.16285
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00611
  • Quartile 1
    0.01287
  • Median
    0.01963
  • Quartile 3
    0.02639
  • Maximum
    0.03315
  • Mean of quarter 1
    0.00611
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03315
  • Inter Quartile Range
    0.01352
  • 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)
    1.15745
  • Compounded annual return (geometric extrapolation)
    1.15745
  • Calmar ratio (compounded annual return / max draw down)
    34.91750
  • Compounded annual return / average of 25% largest draw downs
    34.91750
  • Compounded annual return / Expected Shortfall lognormal
    6.67475
  • 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
    0.74281
  • SD
    0.29025
  • Sharpe ratio (Glass type estimate)
    2.55921
  • Sharpe ratio (Hedges UMVUE)
    2.55235
  • df
    280.00000
  • t
    2.65038
  • p
    0.00425
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.65263
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.46132
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.64804
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.45666
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.72628
  • Upside Potential Ratio
    10.09470
  • Upside part of mean
    1.58653
  • Downside part of mean
    -0.84373
  • Upside SD
    0.24769
  • Downside SD
    0.15716
  • N nonnegative terms
    152.00000
  • N negative terms
    129.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    281.00000
  • Mean of predictor
    0.26426
  • Mean of criterion
    0.74281
  • SD of predictor
    0.13205
  • SD of criterion
    0.29025
  • Covariance
    0.01315
  • r
    0.34311
  • b (slope, estimate of beta)
    0.75418
  • a (intercept, estimate of alpha)
    0.54400
  • Mean Square Error
    0.07459
  • DF error
    279.00000
  • t(b)
    6.10149
  • p(b)
    0.00000
  • t(a)
    2.04529
  • p(a)
    0.02088
  • Lowerbound of 95% confidence interval for beta
    0.51086
  • Upperbound of 95% confidence interval for beta
    0.99750
  • Lowerbound of 95% confidence interval for alpha
    0.02040
  • Upperbound of 95% confidence interval for alpha
    1.06661
  • Treynor index (mean / b)
    0.98492
  • Jensen alpha (a)
    0.54351
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.70035
  • SD
    0.28752
  • Sharpe ratio (Glass type estimate)
    2.43586
  • Sharpe ratio (Hedges UMVUE)
    2.42933
  • df
    280.00000
  • t
    2.52263
  • p
    0.00610
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.53050
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.33697
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52612
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.33253
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.25414
  • Upside Potential Ratio
    9.45846
  • Upside part of mean
    1.55712
  • Downside part of mean
    -0.85677
  • Upside SD
    0.23904
  • Downside SD
    0.16463
  • N nonnegative terms
    152.00000
  • N negative terms
    129.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    281.00000
  • Mean of predictor
    0.25540
  • Mean of criterion
    0.70035
  • SD of predictor
    0.13221
  • SD of criterion
    0.28752
  • Covariance
    0.01327
  • r
    0.34901
  • b (slope, estimate of beta)
    0.75899
  • a (intercept, estimate of alpha)
    0.50650
  • Mean Square Error
    0.07286
  • DF error
    279.00000
  • t(b)
    6.22087
  • p(b)
    0.00000
  • t(a)
    1.92959
  • p(a)
    0.02734
  • Lowerbound of 95% confidence interval for beta
    0.51882
  • Upperbound of 95% confidence interval for beta
    0.99916
  • Lowerbound of 95% confidence interval for alpha
    -0.01021
  • Upperbound of 95% confidence interval for alpha
    1.02321
  • Treynor index (mean / b)
    0.92273
  • Jensen alpha (a)
    0.50650
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02619
  • Expected Shortfall on VaR
    0.03338
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00678
  • Expected Shortfall on VaR
    0.01529
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    281.00000
  • Minimum
    0.87199
  • Quartile 1
    0.99657
  • Median
    1.00080
  • Quartile 3
    1.00698
  • Maximum
    1.11672
  • Mean of quarter 1
    0.98884
  • Mean of quarter 2
    0.99868
  • Mean of quarter 3
    1.00331
  • Mean of quarter 4
    1.02114
  • Inter Quartile Range
    0.01041
  • Number outliers low
    10.00000
  • Percentage of outliers low
    0.03559
  • Mean of outliers low
    0.96495
  • Number of outliers high
    17.00000
  • Percentage of outliers high
    0.06050
  • Mean of outliers high
    1.04942
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.60482
  • VaR(95%) (moments method)
    0.01140
  • Expected Shortfall (moments method)
    0.03104
  • Extreme Value Index (regression method)
    0.49711
  • VaR(95%) (regression method)
    0.00954
  • Expected Shortfall (regression method)
    0.02048
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    25.00000
  • Minimum
    0.00029
  • Quartile 1
    0.00373
  • Median
    0.00966
  • Quartile 3
    0.03630
  • Maximum
    0.12801
  • Mean of quarter 1
    0.00137
  • Mean of quarter 2
    0.00748
  • Mean of quarter 3
    0.02021
  • Mean of quarter 4
    0.07261
  • Inter Quartile Range
    0.03257
  • 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
    0.04000
  • Mean of outliers high
    0.12801
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.61084
  • VaR(95%) (moments method)
    0.07361
  • Expected Shortfall (moments method)
    0.08241
  • Extreme Value Index (regression method)
    -0.36055
  • VaR(95%) (regression method)
    0.08211
  • Expected Shortfall (regression method)
    0.09665
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.10375
  • Compounded annual return (geometric extrapolation)
    1.07146
  • Calmar ratio (compounded annual return / max draw down)
    8.36981
  • Compounded annual return / average of 25% largest draw downs
    14.75540
  • Compounded annual return / Expected Shortfall lognormal
    32.10360
  • 0.00000
  • 0.00000
  • Analysis based on DAILY values, last 6 months only
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.39874
  • SD
    0.16777
  • Sharpe ratio (Glass type estimate)
    2.37677
  • Sharpe ratio (Hedges UMVUE)
    2.36303
  • df
    130.00000
  • t
    1.68063
  • p
    0.42709
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.41455
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.15910
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.42362
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.14968
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.15039
  • Upside Potential Ratio
    11.46690
  • Upside part of mean
    1.10167
  • Downside part of mean
    -0.70292
  • Upside SD
    0.13895
  • Downside SD
    0.09607
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15696
  • Mean of criterion
    0.39874
  • SD of predictor
    0.10630
  • SD of criterion
    0.16777
  • Covariance
    0.00067
  • r
    0.03775
  • b (slope, estimate of beta)
    0.05958
  • a (intercept, estimate of alpha)
    0.38939
  • Mean Square Error
    0.02832
  • DF error
    129.00000
  • t(b)
    0.42902
  • p(b)
    0.47597
  • t(a)
    1.62924
  • p(a)
    0.40991
  • Lowerbound of 95% confidence interval for beta
    -0.21517
  • Upperbound of 95% confidence interval for beta
    0.33432
  • Lowerbound of 95% confidence interval for alpha
    -0.08348
  • Upperbound of 95% confidence interval for alpha
    0.86226
  • Treynor index (mean / b)
    6.69307
  • Jensen alpha (a)
    0.38939
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38452
  • SD
    0.16709
  • Sharpe ratio (Glass type estimate)
    2.30125
  • Sharpe ratio (Hedges UMVUE)
    2.28795
  • df
    130.00000
  • t
    1.62723
  • p
    0.42936
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.48888
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.08278
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.49777
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.07368
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.96205
  • Upside Potential Ratio
    11.25230
  • Upside part of mean
    1.09205
  • Downside part of mean
    -0.70753
  • Upside SD
    0.13730
  • Downside SD
    0.09705
  • N nonnegative terms
    67.00000
  • N negative terms
    64.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15128
  • Mean of criterion
    0.38452
  • SD of predictor
    0.10647
  • SD of criterion
    0.16709
  • Covariance
    0.00065
  • r
    0.03681
  • b (slope, estimate of beta)
    0.05778
  • a (intercept, estimate of alpha)
    0.37578
  • Mean Square Error
    0.02810
  • DF error
    129.00000
  • t(b)
    0.41841
  • p(b)
    0.47657
  • t(a)
    1.57907
  • p(a)
    0.41261
  • VAR (95 Confidence Intrvl)
    0.02600
  • Lowerbound of 95% confidence interval for beta
    -0.21544
  • Upperbound of 95% confidence interval for beta
    0.33099
  • Lowerbound of 95% confidence interval for alpha
    -0.09506
  • Upperbound of 95% confidence interval for alpha
    0.84662
  • Treynor index (mean / b)
    6.65516
  • Jensen alpha (a)
    0.37578
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01539
  • Expected Shortfall on VaR
    0.01962
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00605
  • Expected Shortfall on VaR
    0.01231
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.97173
  • Quartile 1
    0.99680
  • Median
    1.00018
  • Quartile 3
    1.00441
  • Maximum
    1.04187
  • Mean of quarter 1
    0.99101
  • Mean of quarter 2
    0.99856
  • Mean of quarter 3
    1.00214
  • Mean of quarter 4
    1.01483
  • Inter Quartile Range
    0.00762
  • Number outliers low
    6.00000
  • Percentage of outliers low
    0.04580
  • Mean of outliers low
    0.97649
  • Number of outliers high
    13.00000
  • Percentage of outliers high
    0.09924
  • Mean of outliers high
    1.02328
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.55065
  • VaR(95%) (moments method)
    0.00979
  • Expected Shortfall (moments method)
    0.02355
  • Extreme Value Index (regression method)
    0.24832
  • VaR(95%) (regression method)
    0.00883
  • Expected Shortfall (regression method)
    0.01443
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    15.00000
  • Minimum
    0.00029
  • Quartile 1
    0.00432
  • Median
    0.00816
  • Quartile 3
    0.01599
  • Maximum
    0.07651
  • Mean of quarter 1
    0.00183
  • Mean of quarter 2
    0.00662
  • Mean of quarter 3
    0.01104
  • Mean of quarter 4
    0.04723
  • Inter Quartile Range
    0.01166
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    3.00000
  • Percentage of outliers high
    0.20000
  • Mean of outliers high
    0.05721
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -5.29128
  • VaR(95%) (moments method)
    0.04095
  • Expected Shortfall (moments method)
    0.04096
  • Extreme Value Index (regression method)
    -1.09551
  • VaR(95%) (regression method)
    0.08135
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.08828
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -302382000
  • Max Equity Drawdown (num days)
    1
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.45803
  • Compounded annual return (geometric extrapolation)
    0.51048
  • Calmar ratio (compounded annual return / max draw down)
    6.67186
  • Compounded annual return / average of 25% largest draw downs
    10.80770
  • Compounded annual return / Expected Shortfall lognormal
    26.01410

Strategy Description

Trader Name: Manchester Equity House
Location: Manchester
Experience In Markets: 22 years
Job Title: Equity Trader
Preferred Markets: Equity Futures
Sharpe Ratio: 1.24

Description from the strategy designer:

The focus of MEH is to capitalize on stock markets worldwide. Our strategies typically build exposure to the long side of the stock markets, but in certain periods, and on certain occasions we may initiate the occasional short sell position, as well as building a market neutral portfolio when the market climate dictates.

Year on year equities will typically increase in value, and our strategies will aim to increase that natural appreciation in value, by a multiple of 2 to 3.

This particular strategy focuses on providing European exposure for your portfolio and will tend to invest into the FTSE100 in the UK, the DAX in Germany and the CAC in France. It will provide a good all rounded European equity portfolio.

Summary Statistics

Strategy began
2020-10-27
Suggested Minimum Capital
$100,000
Rank at C2 
#115
# Trades
94
# Profitable
72
% Profitable
76.6%
Correlation S&P500
0.357
Sharpe Ratio
2.04
Sortino Ratio
3.72
Beta
0.79
Alpha
0.14
Leverage
2.15 Average
7.59 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

#PERSONNAME#
subscribed on started simulation #SUBSCRIBEDDATE#

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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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.