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

Futures Mean Reversion
(121811251)

Created by: S2Trading S2Trading
Started: 01/2019
Futures
Last trade: Today
Trading style: Futures Trend-following

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 $149.00 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
Trend-following
Category: Equity

Trend-following

Buys when price goes up, and sells when price goes down, expecting price movements to continue. There are a number of different techniques and time-frames used, including moving averages and channel breakouts. Traders do not aim to forecast specific price levels; they simply jump on a trend and ride it. Typically, trend-following analysis is backward looking; that is, it attempts to recognize and profit from already-established trends.
58.7%
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.

(10.0%)
Max Drawdown
41
Num Trades
70.7%
Win Trades
6.1 : 1
Profit Factor
75.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2019+15.6%+5.7%+4.0%+5.1%(8.1%)+13.1%(0.5%)+0.6%+4.2%+8.5%+2.0%(0.9%)+58.7%

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 228 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/3/19 4:00 @MESZ9 MICRO E-MINI S&P 500 LONG 8 3103.02 12/4 4:32 3103.85 0.64%
Trade id #126452420
Max drawdown($1,005)
Time12/3/19 9:51
Quant open4
Worst price3069.50
Drawdown as % of equity-0.64%
$25
Includes Typical Broker Commissions trade costs of $7.52
12/2/19 2:46 DXMZ9 MINI-DAX INDEX LONG 3 13244.5 12/4 4:32 13178.4 2.26%
Trade id #126434879
Max drawdown($3,562)
Time12/3/19 0:00
Quant open2
Worst price12923.0
Drawdown as % of equity-2.26%
($1,121)
Includes Typical Broker Commissions trade costs of $24.00
11/21/19 11:02 DXMZ9 MINI-DAX INDEX LONG 2 13190.0 11/29 6:05 13232.0 0.09%
Trade id #126305075
Max drawdown($137)
Time11/22/19 0:00
Quant open1
Worst price13117.0
Drawdown as % of equity-0.09%
$446
Includes Typical Broker Commissions trade costs of $16.00
11/29/19 2:00 @MESZ9 MICRO E-MINI S&P 500 LONG 4 3144.50 11/29 4:21 3147.50 0.03%
Trade id #126415507
Max drawdown($55)
Time11/29/19 3:18
Quant open4
Worst price3141.75
Drawdown as % of equity-0.03%
$56
Includes Typical Broker Commissions trade costs of $3.76
11/11/19 10:00 @MESZ9 MICRO E-MINI S&P 500 LONG 12 3090.75 11/22 2:02 3102.17 0.08%
Trade id #126153360
Max drawdown($125)
Time11/13/19 0:00
Quant open4
Worst price3075.75
Drawdown as % of equity-0.08%
$674
Includes Typical Broker Commissions trade costs of $11.28
11/20/19 7:00 DXMZ9 MINI-DAX INDEX LONG 3 13120.2 11/21 9:24 13153.0 0.56%
Trade id #126281382
Max drawdown($888)
Time11/20/19 20:46
Quant open2
Worst price13040.0
Drawdown as % of equity-0.56%
$521
Includes Typical Broker Commissions trade costs of $24.00
11/11/19 3:00 DXMZ9 MINI-DAX INDEX LONG 3 13180.7 11/19 3:02 13242.0 0.27%
Trade id #126149323
Max drawdown($419)
Time11/11/19 6:14
Quant open2
Worst price13138.0
Drawdown as % of equity-0.27%
$994
Includes Typical Broker Commissions trade costs of $24.00
11/5/19 9:39 @MESZ9 MICRO E-MINI S&P 500 LONG 4 3075.25 11/7 2:03 3074.25 0.15%
Trade id #126075216
Max drawdown($240)
Time11/6/19 0:00
Quant open4
Worst price3063.25
Drawdown as % of equity-0.15%
($24)
Includes Typical Broker Commissions trade costs of $3.76
10/22/19 11:01 @MESZ9 MICRO E-MINI S&P 500 LONG 20 3014.50 11/4 2:01 3038.70 0.66%
Trade id #125895497
Max drawdown($1,000)
Time10/22/19 20:14
Quant open8
Worst price2982.00
Drawdown as % of equity-0.66%
$2,401
Includes Typical Broker Commissions trade costs of $18.80
10/31/19 10:25 DXMZ9 MINI-DAX INDEX LONG 1 12871.0 11/1 3:01 12934.0 0.09%
Trade id #126020934
Max drawdown($139)
Time10/31/19 14:48
Quant open1
Worst price12846.0
Drawdown as % of equity-0.09%
$344
Includes Typical Broker Commissions trade costs of $8.00
9/26/19 13:01 DXMZ9 MINI-DAX INDEX LONG 12 12055.1 10/31 3:08 12212.0 3.07%
Trade id #125522075
Max drawdown($4,214)
Time10/4/19 0:00
Quant open6
Worst price11864.0
Drawdown as % of equity-3.07%
$10,417
Includes Typical Broker Commissions trade costs of $96.00
10/7/19 2:01 @MESZ9 MICRO E-MINI S&P 500 LONG 28 2932.07 10/21 8:37 2964.68 2.2%
Trade id #125652796
Max drawdown($3,104)
Time10/10/19 0:00
Quant open16
Worst price2881.75
Drawdown as % of equity-2.20%
$4,539
Includes Typical Broker Commissions trade costs of $26.32
9/25/19 7:00 @MESZ9 MICRO E-MINI S&P 500 LONG 20 2973.85 10/4 12:02 2949.55 5.25%
Trade id #125498082
Max drawdown($7,131)
Time10/3/19 0:00
Quant open12
Worst price2855.00
Drawdown as % of equity-5.25%
($2,449)
Includes Typical Broker Commissions trade costs of $18.80
9/20/19 3:12 DXMZ9 MINI-DAX INDEX LONG 3 12377.0 9/26 3:39 12286.7 1.93%
Trade id #125430871
Max drawdown($2,746)
Time9/25/19 0:00
Quant open2
Worst price12126.0
Drawdown as % of equity-1.93%
($1,506)
Includes Typical Broker Commissions trade costs of $24.00
9/16/19 3:01 @MESZ9 MICRO E-MINI S&P 500 LONG 20 3000.30 9/24 2:01 3007.10 0.51%
Trade id #125364168
Max drawdown($732)
Time9/23/19 0:00
Quant open8
Worst price2982.00
Drawdown as % of equity-0.51%
$661
Includes Typical Broker Commissions trade costs of $18.80
9/12/19 9:42 DXMU9 MINI-DAX INDEX LONG 4 12378.5 9/20 3:14 12418.0 0.62%
Trade id #125326543
Max drawdown($885)
Time9/17/19 0:00
Quant open2
Worst price12303.0
Drawdown as % of equity-0.62%
$842
Includes Typical Broker Commissions trade costs of $32.00
9/5/19 13:02 @MESU9 MICRO E-MINI S&P 500 LONG 8 2970.12 9/11 2:01 2980.00 0.28%
Trade id #125235457
Max drawdown($405)
Time9/10/19 0:00
Quant open4
Worst price2957.25
Drawdown as % of equity-0.28%
$387
Includes Typical Broker Commissions trade costs of $7.52
8/19/19 3:01 DXMU9 MINI-DAX INDEX LONG 7 11678.1 9/6 3:02 11875.3 3.64%
Trade id #124983532
Max drawdown($4,710)
Time8/26/19 0:00
Quant open4
Worst price11468.0
Drawdown as % of equity-3.64%
$7,564
Includes Typical Broker Commissions trade costs of $56.00
8/29/19 8:01 @MESU9 MICRO E-MINI S&P 500 LONG 12 2917.42 9/5 2:00 2938.58 1.24%
Trade id #125137362
Max drawdown($1,705)
Time9/3/19 0:00
Quant open12
Worst price2889.00
Drawdown as % of equity-1.24%
$1,259
Includes Typical Broker Commissions trade costs of $11.28
8/23/19 11:02 @MESU9 MICRO E-MINI S&P 500 LONG 8 2891.67 8/27 2:01 2875.88 2.52%
Trade id #125060146
Max drawdown($3,266)
Time8/26/19 0:00
Quant open8
Worst price2810.00
Drawdown as % of equity-2.52%
($640)
Includes Typical Broker Commissions trade costs of $7.52
8/19/19 2:44 @MESU9 MICRO E-MINI S&P 500 LONG 16 2913.88 8/23 2:02 2931.81 1.03%
Trade id #124982994
Max drawdown($1,370)
Time8/21/19 0:00
Quant open12
Worst price2893.00
Drawdown as % of equity-1.03%
$1,420
Includes Typical Broker Commissions trade costs of $15.04
8/22/19 10:33 @ESU9 E-MINI S&P 500 LONG 4 2915.75 8/22 10:37 2910.75 1.5%
Trade id #125036259
Max drawdown($2,000)
Time8/22/19 10:37
Quant open4
Worst price2905.75
Drawdown as % of equity-1.50%
($1,032)
Includes Typical Broker Commissions trade costs of $32.00
6/20/19 2:47 @MESU9 MICRO E-MINI S&P 500 LONG 57 2979.42 8/19 2:42 2980.00 4.79%
Trade id #124155794
Max drawdown($6,465)
Time8/14/19 0:00
Quant open9
Worst price2835.75
Drawdown as % of equity-4.79%
$110
Includes Typical Broker Commissions trade costs of $53.58
6/20/19 2:44 EXU9 DJ EURO STOXX 50 LONG 24 3462.08 8/19 2:32 3450.71 7.88%
Trade id #124155768
Max drawdown($10,266)
Time8/15/19 0:00
Quant open4
Worst price3231.00
Drawdown as % of equity-7.88%
($3,220)
Includes Typical Broker Commissions trade costs of $192.00
5/27/19 3:54 @MESM9 MICRO E-MINI S&P 500 LONG 33 2831.67 6/20 2:49 2844.57 5.34%
Trade id #123828810
Max drawdown($7,049)
Time5/27/19 3:54
Quant open15
Worst price2732.25
Drawdown as % of equity-5.34%
$2,097
Includes Typical Broker Commissions trade costs of $31.02
5/27/19 3:54 EXM9 DJ EURO STOXX 50 LONG 12 3351.17 6/20 2:45 3375.50 2.88%
Trade id #123828813
Max drawdown($3,797)
Time5/27/19 3:54
Quant open4
Worst price3251.00
Drawdown as % of equity-2.88%
$3,197
Includes Typical Broker Commissions trade costs of $96.00
5/27/19 3:40 @MESM9 MICRO E-MINI S&P 500 LONG 3.600000000 2835.67 5/27 3:48 2835.00 0.02%
Trade id #123828461
Max drawdown($21)
Time5/27/19 3:45
Quant open4
Worst price2834.50
Drawdown as % of equity-0.02%
($15)
Includes Typical Broker Commissions trade costs of $3.37
5/27/19 3:26 EXM9 DJ EURO STOXX 50 LONG 0.400000000 3365.00 5/27 3:47 3360.00 0.02%
Trade id #123828394
Max drawdown($26)
Time5/27/19 3:45
Quant open0
Worst price3359.00
Drawdown as % of equity-0.02%
($25)
Includes Typical Broker Commissions trade costs of $3.20
4/23/19 3:04 @ESM9 E-MINI S&P 500 LONG 10.400000000 2881.04 5/27 3:38 2879.47 9.52%
Trade id #123396350
Max drawdown($11,996)
Time5/13/19 18:02
Quant open2
Worst price2799.75
Drawdown as % of equity-9.52%
($898)
Includes Typical Broker Commissions trade costs of $83.20
3/14/19 4:14 DXMM9 MINI-DAX INDEX LONG 12 12069.7 5/27 3:26 12131.1 1.6%
Trade id #122905349
Max drawdown($1,941)
Time3/25/19 2:53
Quant open1
Worst price11286.0
Drawdown as % of equity-1.60%
$4,030
Includes Typical Broker Commissions trade costs of $96.00

Statistics

  • Strategy began
    1/7/2019
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    333.01
  • Age
    11 months ago
  • What it trades
    Futures
  • # Trades
    41
  • # Profitable
    29
  • % Profitable
    70.70%
  • Avg trade duration
    15.0 days
  • Max peak-to-valley drawdown
    9.96%
  • drawdown period
    July 29, 2019 - Aug 05, 2019
  • Cumul. Return
    58.7%
  • Avg win
    $2,545
  • Avg loss
    $1,014
  • Model Account Values (Raw)
  • Cash
    $162,002
  • Margin Used
    $17,593
  • Buying Power
    $144,064
  • Ratios
  • W:L ratio
    6.07:1
  • Sharpe Ratio
    2.34
  • Sortino Ratio
    3.54
  • Calmar Ratio
    7.986
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    36.46%
  • Correlation to SP500
    0.70270
  • Return Percent SP500 (cumu) during strategy life
    22.27%
  • Return Statistics
  • Ann Return (w trading costs)
    65.0%
  • Slump
  • Current Slump as Pcnt Equity
    0.01%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.01%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.587%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    69.2%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    5.50%
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 70% account loss (Monte Carlo)
    n/a
  • Chance of 80% account loss (Monte Carlo)
    n/a
  • Chance of 60% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    9964.00%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 90% account loss (Monte Carlo)
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    639
  • Popularity (Last 6 weeks)
    993
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    138
  • Popularity (7 days, Percentile 1000 scale)
    919
  • 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
    $999
  • Avg Win
    $2,546
  • Sum Trade PL (losers)
    $11,986.000
  • AUM
  • AUM (AutoTrader num accounts)
    5
  • Age
  • Num Months (Age strategy)
    12
  • Win / Loss
  • Sum Trade PL (winners)
    $73,847.000
  • # Winners
    29
  • Num Months Winners
    9
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    721164
  • Win / Loss
  • # Losers
    12
  • % Winners
    70.7%
  • Frequency
  • Avg Position Time (mins)
    21565.20
  • Avg Position Time (hrs)
    359.42
  • Avg Trade Length
    15.0 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    1.68
  • Daily leverage (max)
    6.15
  • Regression
  • Alpha
    0.08
  • Beta
    1.02
  • Treynor Index
    0.13
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.02
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    16.73
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    65.94
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.76
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    1.451
  • 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
    0.00
  • Avg(MAE) / Avg(PL) - Winning trades
    0.601
  • Avg(MAE) / Avg(PL) - Losing trades
    -3.545
  • Hold-and-Hope Ratio
    0.696
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.56203
  • SD
    0.20843
  • Sharpe ratio (Glass type estimate)
    2.69645
  • Sharpe ratio (Hedges UMVUE)
    2.46421
  • df
    9.00000
  • t
    2.46151
  • p
    0.01803
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.16826
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.11424
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.03406
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.89437
  • Statistics related to Sortino ratio
  • Sortino ratio
    14.65370
  • Upside Potential Ratio
    15.98130
  • Upside part of mean
    0.61294
  • Downside part of mean
    -0.05092
  • Upside SD
    0.25289
  • Downside SD
    0.03835
  • N nonnegative terms
    7.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.20830
  • Mean of criterion
    0.56203
  • SD of predictor
    0.10974
  • SD of criterion
    0.20843
  • Covariance
    0.02165
  • r
    0.94642
  • b (slope, estimate of beta)
    1.79749
  • a (intercept, estimate of alpha)
    0.18761
  • Mean Square Error
    0.00510
  • DF error
    8.00000
  • t(b)
    8.28873
  • p(b)
    0.00002
  • t(a)
    2.07718
  • p(a)
    0.03571
  • Lowerbound of 95% confidence interval for beta
    1.29741
  • Upperbound of 95% confidence interval for beta
    2.29757
  • Lowerbound of 95% confidence interval for alpha
    -0.02067
  • Upperbound of 95% confidence interval for alpha
    0.39589
  • Treynor index (mean / b)
    0.31267
  • Jensen alpha (a)
    0.18761
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.53060
  • SD
    0.19582
  • Sharpe ratio (Glass type estimate)
    2.70967
  • Sharpe ratio (Hedges UMVUE)
    2.47630
  • df
    9.00000
  • t
    2.47358
  • p
    0.01768
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.17836
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.13026
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.04352
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.90908
  • Statistics related to Sortino ratio
  • Sortino ratio
    13.63770
  • Upside Potential Ratio
    14.96250
  • Upside part of mean
    0.58215
  • Downside part of mean
    -0.05155
  • Upside SD
    0.23761
  • Downside SD
    0.03891
  • N nonnegative terms
    7.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    10.00000
  • Mean of predictor
    0.20086
  • Mean of criterion
    0.53060
  • SD of predictor
    0.10711
  • SD of criterion
    0.19582
  • Covariance
    0.01986
  • r
    0.94676
  • b (slope, estimate of beta)
    1.73090
  • a (intercept, estimate of alpha)
    0.18293
  • Mean Square Error
    0.00447
  • DF error
    8.00000
  • t(b)
    8.31781
  • p(b)
    0.00002
  • t(a)
    2.16914
  • p(a)
    0.03095
  • Lowerbound of 95% confidence interval for beta
    1.25103
  • Upperbound of 95% confidence interval for beta
    2.21077
  • Lowerbound of 95% confidence interval for alpha
    -0.01154
  • Upperbound of 95% confidence interval for alpha
    0.37741
  • Treynor index (mean / b)
    0.30655
  • Jensen alpha (a)
    0.18293
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04759
  • Expected Shortfall on VaR
    0.06962
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00660
  • Expected Shortfall on VaR
    0.01551
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    10.00000
  • Minimum
    0.96818
  • Quartile 1
    1.00646
  • Median
    1.04180
  • Quartile 3
    1.07435
  • Maximum
    1.16829
  • Mean of quarter 1
    0.98818
  • Mean of quarter 2
    1.02526
  • Mean of quarter 3
    1.05687
  • Mean of quarter 4
    1.12094
  • Inter Quartile Range
    0.06789
  • 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)
    0.89688
  • VaR(95%) (regression method)
    0.03768
  • Expected Shortfall (regression method)
    0.47632
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00536
  • Quartile 1
    0.01198
  • Median
    0.01859
  • Quartile 3
    0.02521
  • Maximum
    0.03182
  • Mean of quarter 1
    0.00536
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.03182
  • Inter Quartile Range
    0.01323
  • 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)
    0.71122
  • Compounded annual return (geometric extrapolation)
    0.74806
  • Calmar ratio (compounded annual return / max draw down)
    23.50640
  • Compounded annual return / average of 25% largest draw downs
    23.50640
  • Compounded annual return / Expected Shortfall lognormal
    10.74450
  • 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
    0.50751
  • SD
    0.16793
  • Sharpe ratio (Glass type estimate)
    3.02223
  • Sharpe ratio (Hedges UMVUE)
    3.01269
  • df
    238.00000
  • t
    2.88652
  • p
    0.00213
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.94917
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.08908
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.94282
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.08257
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.61043
  • Upside Potential Ratio
    10.69220
  • Upside part of mean
    1.17699
  • Downside part of mean
    -0.66948
  • Upside SD
    0.13018
  • Downside SD
    0.11008
  • N nonnegative terms
    155.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    239.00000
  • Mean of predictor
    0.19994
  • Mean of criterion
    0.50751
  • SD of predictor
    0.12145
  • SD of criterion
    0.16793
  • Covariance
    0.01509
  • r
    0.73989
  • b (slope, estimate of beta)
    1.02299
  • a (intercept, estimate of alpha)
    0.30300
  • Mean Square Error
    0.01282
  • DF error
    237.00000
  • t(b)
    16.93170
  • p(b)
    -0.00000
  • t(a)
    2.54297
  • p(a)
    0.00581
  • Lowerbound of 95% confidence interval for beta
    0.90396
  • Upperbound of 95% confidence interval for beta
    1.14201
  • Lowerbound of 95% confidence interval for alpha
    0.06826
  • Upperbound of 95% confidence interval for alpha
    0.53769
  • Treynor index (mean / b)
    0.49611
  • Jensen alpha (a)
    0.30298
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.49294
  • SD
    0.16796
  • Sharpe ratio (Glass type estimate)
    2.93484
  • Sharpe ratio (Hedges UMVUE)
    2.92558
  • df
    238.00000
  • t
    2.80306
  • p
    0.00274
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.86286
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.00081
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.85671
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.99445
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.42149
  • Upside Potential Ratio
    10.48100
  • Upside part of mean
    1.16851
  • Downside part of mean
    -0.67557
  • Upside SD
    0.12881
  • Downside SD
    0.11149
  • N nonnegative terms
    155.00000
  • N negative terms
    84.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    239.00000
  • Mean of predictor
    0.19248
  • Mean of criterion
    0.49294
  • SD of predictor
    0.12175
  • SD of criterion
    0.16796
  • Covariance
    0.01513
  • r
    0.74004
  • b (slope, estimate of beta)
    1.02094
  • a (intercept, estimate of alpha)
    0.29644
  • Mean Square Error
    0.01282
  • DF error
    237.00000
  • t(b)
    16.93920
  • p(b)
    -0.00000
  • t(a)
    2.48912
  • p(a)
    0.00675
  • Lowerbound of 95% confidence interval for beta
    0.90221
  • Upperbound of 95% confidence interval for beta
    1.13968
  • Lowerbound of 95% confidence interval for alpha
    0.06182
  • Upperbound of 95% confidence interval for alpha
    0.53105
  • Treynor index (mean / b)
    0.48283
  • Jensen alpha (a)
    0.29644
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01507
  • Expected Shortfall on VaR
    0.01933
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00448
  • Expected Shortfall on VaR
    0.01025
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    239.00000
  • Minimum
    0.96199
  • Quartile 1
    0.99881
  • Median
    1.00187
  • Quartile 3
    1.00579
  • Maximum
    1.04318
  • Mean of quarter 1
    0.99014
  • Mean of quarter 2
    1.00041
  • Mean of quarter 3
    1.00371
  • Mean of quarter 4
    1.01395
  • Inter Quartile Range
    0.00698
  • Number outliers low
    17.00000
  • Percentage of outliers low
    0.07113
  • Mean of outliers low
    0.97792
  • Number of outliers high
    16.00000
  • Percentage of outliers high
    0.06695
  • Mean of outliers high
    1.02328
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.50625
  • VaR(95%) (moments method)
    0.00629
  • Expected Shortfall (moments method)
    0.01568
  • Extreme Value Index (regression method)
    0.06454
  • VaR(95%) (regression method)
    0.00884
  • Expected Shortfall (regression method)
    0.01417
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    33.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00118
  • Median
    0.00418
  • Quartile 3
    0.01395
  • Maximum
    0.08558
  • Mean of quarter 1
    0.00056
  • Mean of quarter 2
    0.00288
  • Mean of quarter 3
    0.00895
  • Mean of quarter 4
    0.04604
  • Inter Quartile Range
    0.01277
  • 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
    0.15152
  • Mean of outliers high
    0.05978
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.48940
  • VaR(95%) (moments method)
    0.03824
  • Expected Shortfall (moments method)
    0.04509
  • Extreme Value Index (regression method)
    -0.44195
  • VaR(95%) (regression method)
    0.06310
  • Expected Shortfall (regression method)
    0.07694
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.66675
  • Compounded annual return (geometric extrapolation)
    0.68346
  • Calmar ratio (compounded annual return / max draw down)
    7.98575
  • Compounded annual return / average of 25% largest draw downs
    14.84620
  • Compounded annual return / Expected Shortfall lognormal
    35.36430
  • 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
    0.39735
  • SD
    0.15432
  • Sharpe ratio (Glass type estimate)
    2.57478
  • Sharpe ratio (Hedges UMVUE)
    2.55990
  • df
    130.00000
  • t
    1.82065
  • p
    0.42116
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.21937
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.35935
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.22932
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.34912
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.00962
  • Upside Potential Ratio
    10.14650
  • Upside part of mean
    1.00550
  • Downside part of mean
    -0.60815
  • Upside SD
    0.12007
  • Downside SD
    0.09910
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16407
  • Mean of criterion
    0.39735
  • SD of predictor
    0.12638
  • SD of criterion
    0.15432
  • Covariance
    0.01421
  • r
    0.72875
  • b (slope, estimate of beta)
    0.88987
  • a (intercept, estimate of alpha)
    0.25134
  • Mean Square Error
    0.01125
  • DF error
    129.00000
  • t(b)
    12.08700
  • p(b)
    0.08126
  • t(a)
    1.66988
  • p(a)
    0.40772
  • Lowerbound of 95% confidence interval for beta
    0.74421
  • Upperbound of 95% confidence interval for beta
    1.03553
  • Lowerbound of 95% confidence interval for alpha
    -0.04645
  • Upperbound of 95% confidence interval for alpha
    0.54914
  • Treynor index (mean / b)
    0.44652
  • Jensen alpha (a)
    0.25134
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.38521
  • SD
    0.15420
  • Sharpe ratio (Glass type estimate)
    2.49811
  • Sharpe ratio (Hedges UMVUE)
    2.48367
  • df
    130.00000
  • t
    1.76643
  • p
    0.42345
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.29489
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.28177
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.30452
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.27187
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.83962
  • Upside Potential Ratio
    9.95050
  • Upside part of mean
    0.99829
  • Downside part of mean
    -0.61308
  • Upside SD
    0.11873
  • Downside SD
    0.10033
  • N nonnegative terms
    80.00000
  • N negative terms
    51.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.15605
  • Mean of criterion
    0.38521
  • SD of predictor
    0.12684
  • SD of criterion
    0.15420
  • Covariance
    0.01429
  • r
    0.73071
  • b (slope, estimate of beta)
    0.88835
  • a (intercept, estimate of alpha)
    0.24659
  • Mean Square Error
    0.01117
  • DF error
    129.00000
  • t(b)
    12.15680
  • p(b)
    0.08040
  • t(a)
    1.64517
  • p(a)
    0.40905
  • VAR (95 Confidence Intrvl)
    0.01500
  • Lowerbound of 95% confidence interval for beta
    0.74377
  • Upperbound of 95% confidence interval for beta
    1.03293
  • Lowerbound of 95% confidence interval for alpha
    -0.04997
  • Upperbound of 95% confidence interval for alpha
    0.54314
  • Treynor index (mean / b)
    0.43363
  • Jensen alpha (a)
    0.24659
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01410
  • Expected Shortfall on VaR
    0.01801
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00439
  • Expected Shortfall on VaR
    0.00985
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96475
  • Quartile 1
    0.99851
  • Median
    1.00106
  • Quartile 3
    1.00525
  • Maximum
    1.04318
  • Mean of quarter 1
    0.99128
  • Mean of quarter 2
    0.99997
  • Mean of quarter 3
    1.00282
  • Mean of quarter 4
    1.01245
  • Inter Quartile Range
    0.00674
  • Number outliers low
    8.00000
  • Percentage of outliers low
    0.06107
  • Mean of outliers low
    0.97896
  • Number of outliers high
    9.00000
  • Percentage of outliers high
    0.06870
  • Mean of outliers high
    1.02167
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.48546
  • VaR(95%) (moments method)
    0.00669
  • Expected Shortfall (moments method)
    0.01574
  • Extreme Value Index (regression method)
    0.26986
  • VaR(95%) (regression method)
    0.00773
  • Expected Shortfall (regression method)
    0.01423
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    19.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00115
  • Median
    0.00282
  • Quartile 3
    0.00660
  • Maximum
    0.08558
  • Mean of quarter 1
    0.00059
  • Mean of quarter 2
    0.00194
  • Mean of quarter 3
    0.00398
  • Mean of quarter 4
    0.03488
  • Inter Quartile Range
    0.00545
  • 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
    0.15790
  • Mean of outliers high
    0.05159
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.52934
  • VaR(95%) (moments method)
    0.03142
  • Expected Shortfall (moments method)
    0.08037
  • Extreme Value Index (regression method)
    0.79602
  • VaR(95%) (regression method)
    0.05339
  • Last 4 Months - Pcnt Negative
    0.25%
  • Expected Shortfall (regression method)
    0.29741
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -252982000
  • Max Equity Drawdown (num days)
    7
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.45888
  • Compounded annual return (geometric extrapolation)
    0.51153
  • Calmar ratio (compounded annual return / max draw down)
    5.97682
  • Compounded annual return / average of 25% largest draw downs
    14.66660
  • Compounded annual return / Expected Shortfall lognormal
    28.40240

Strategy Description

S2 Trading is a small algo company located in Norway. We have many years of experience in traditional trading (10+), but the last few years we have gone 100% algorithmic.
We have been trading this particular system live from january 2018, and backtested it over all available data. Since this is long-only mean reversion system, we do not use any hard stops, but the system will stop buying if certain parameters are met.
Currently we are only trading FDXM(mini-FDAX) and E-Micro contracts.

Summary Statistics

Strategy began
2019-01-07
Suggested Minimum Capital
$100,000
# Trades
41
# Profitable
29
% Profitable
70.7%
Correlation S&P500
0.703
Sharpe Ratio
2.34
Sortino Ratio
3.54
Beta
1.02
Alpha
0.08
Leverage
1.68 Average
6.15 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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