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Featured Strategy QUANT AI Gold and Silver +53.5% Cumul. Return since Sep 23, 2025 Hypothetical

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ES NQ Day Trades
(146006468)

Created by: Systematic_Trader Systematic_Trader
Started: 10/2023
Futures
Last trade: Yesterday
Trading style: Futures Trend-following Momentum

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.
Momentum
Category: Equity

Momentum

Aims to capitalize on the continuance of existing trends in the market. Trader takes a long position in an asset in an upward trend, and short-sells a security that has been in a downward trend. While similar to Trend-following, tends to be more forward-looking (predicting oncoming trend), while Momentum is more backward-looking (observing already-established price direction).
16.1%
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.

(53.9%)
Max Drawdown
984
Num Trades
43.5%
Win Trades
1.1 : 1
Profit Factor
50.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023                                                               +25.4%+8.4%(1.1%)+34.5%
2024+11.3%(0.5%)+4.5%+6.4%(4.8%)+1.5%(5.4%)+5.3%+19.6%(18.7%)(17.9%)+14.2%+7.8%
2025(23.3%)+16.9%+9.4%+39.6%(2%)(5.6%)(0.1%)+1.9%(5.9%)(13.5%)+25.6%(9.7%)+19.1%
2026(8%)+10.8%(17.7%)                                                      (16.1%)

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.

LiveSignal

Live broadcasts, recordings, and community highlights.
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Live Chat

HA spoke too soon, one day later, 15 out of 16 losing trades (so far, the day is young), autotrade -$22K, heading for a new MaxDD. Just watching it buy at the top, sell at the bott...
18 out of 19 losing trades, 13 out of 13 losing trades first 4 days of October for 0% win rate, -$27K new Max $$ DD, almost DOUBLE previous Max $$ DD (-$14K last month) so far. Bru...
ChrisPage, when trading this you should look at the backtested drawdown instead of the shorter term C2 drawdown. The former has a deeper % drawdown and is based on a much longer ra...
Sounds like a good idea, where would one find this for a strat? So far for me the cost of this strat is -$25K/month, not -$149/month...
HA exactly one month ago today signed up for this strat, sitting at almost -$30K. Now THAT is a high monthly subscription price.
Message the system manager. They'll send you the backtest info. The backtesting of all Systematic_Trader is done on unleveraged ETFs, so you'll have to figure out how that translat...
Open LiveSignal

Trading Record

This strategy has placed 1,559 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 97 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
3/25/26 13:40 @MESM6 MICRO E-MINI S&P 500 LONG 8 6661.75 3/25 15:59 6639.25 1.14%
Trade id #155230933
Max drawdown($1,260)
Time3/25/26 15:03
Quant open8
Worst price6630.25
Drawdown as % of equity-1.14%
 ($910)
Includes Typical Broker Commissions trade costs of $9.60
3/25/26 13:45 @MNQM6 MICRO E-MINI NASDAQ 100 LONG 8 24454.75 3/25 15:05 24340.00 2.06%
Trade id #155231051
Max drawdown($2,284)
Time3/25/26 15:03
Quant open8
Worst price24312.00
Drawdown as % of equity-2.06%
 ($1,844)
Includes Typical Broker Commissions trade costs of $7.52
3/25/26 11:20 @MNQM6 MICRO E-MINI NASDAQ 100 SHORT 8 24334.00 3/25 13:45 24455.00 2.28%
Trade id #155228084
Max drawdown($2,556)
Time3/25/26 13:43
Quant open8
Worst price24493.80
Drawdown as % of equity-2.28%
 ($1,944)
Includes Typical Broker Commissions trade costs of $7.52
3/25/26 11:20 @MESM6 MICRO E-MINI S&P 500 SHORT 8 6630.50 3/25 13:40 6661.50 1.14%
Trade id #155228081
Max drawdown($1,280)
Time3/25/26 13:39
Quant open8
Worst price6662.50
Drawdown as % of equity-1.14%
 ($1,250)
Includes Typical Broker Commissions trade costs of $9.60
3/25/26 9:35 @MESM6 MICRO E-MINI S&P 500 LONG 8 6676.00 3/25 11:20 6630.00 2.02%
Trade id #155224982
Max drawdown($2,380)
Time3/25/26 11:17
Quant open8
Worst price6616.50
Drawdown as % of equity-2.02%
 ($1,850)
Includes Typical Broker Commissions trade costs of $9.60
3/25/26 9:35 @MNQM6 MICRO E-MINI NASDAQ 100 LONG 8 24476.75 3/25 11:20 24332.50 2.58%
Trade id #155224994
Max drawdown($3,032)
Time3/25/26 11:18
Quant open8
Worst price24287.20
Drawdown as % of equity-2.58%
 ($2,316)
Includes Typical Broker Commissions trade costs of $7.52
3/24/26 12:40 @MESM6 MICRO E-MINI S&P 500 SHORT 8 6617.25 3/24 15:59 6602.00 0.85%
Trade id #155189023
Max drawdown($980)
Time3/24/26 14:39
Quant open8
Worst price6641.75
Drawdown as % of equity-0.85%
 $600
Includes Typical Broker Commissions trade costs of $9.60
3/24/26 12:40 @MNQM6 MICRO E-MINI NASDAQ 100 SHORT 8 24250.00 3/24 15:59 24197.75 1.37%
Trade id #155189020
Max drawdown($1,584)
Time3/24/26 14:39
Quant open8
Worst price24349.00
Drawdown as % of equity-1.37%
 $828
Includes Typical Broker Commissions trade costs of $7.52
3/24/26 11:25 @MESM6 MICRO E-MINI S&P 500 LONG 8 6639.75 3/24 12:40 6616.75 0.82%
Trade id #155186909
Max drawdown($970)
Time3/24/26 12:40
Quant open8
Worst price6615.50
Drawdown as % of equity-0.82%
 ($930)
Includes Typical Broker Commissions trade costs of $9.60
3/24/26 9:41 @MNQM6 MICRO E-MINI NASDAQ 100 SHORT 8 24175.50 3/24 11:25 24367.25 2.82%
Trade id #155184703
Max drawdown($3,348)
Time3/24/26 11:25
Quant open8
Worst price24384.80
Drawdown as % of equity-2.82%
 ($3,076)
Includes Typical Broker Commissions trade costs of $7.52
3/24/26 9:41 @MESM6 MICRO E-MINI S&P 500 SHORT 8 6582.00 3/24 11:05 6623.00 1.76%
Trade id #155184707
Max drawdown($2,150)
Time3/24/26 10:52
Quant open8
Worst price6635.75
Drawdown as % of equity-1.76%
 ($1,650)
Includes Typical Broker Commissions trade costs of $9.60
3/23/26 12:01 @MNQM6 MICRO E-MINI NASDAQ 100 SHORT 8 24396.25 3/23 15:59 24412.75 1.85%
Trade id #155168634
Max drawdown($2,252)
Time3/23/26 14:37
Quant open8
Worst price24537.00
Drawdown as % of equity-1.85%
 ($272)
Includes Typical Broker Commissions trade costs of $7.52
3/23/26 12:30 @MESM6 MICRO E-MINI S&P 500 SHORT 8 6620.25 3/23 14:00 6658.00 1.28%
Trade id #155169057
Max drawdown($1,590)
Time3/23/26 13:59
Quant open8
Worst price6660.00
Drawdown as % of equity-1.28%
 ($1,520)
Includes Typical Broker Commissions trade costs of $9.60
3/23/26 9:41 @MESM6 MICRO E-MINI S&P 500 LONG 8 6654.25 3/23 12:30 6619.75 1.22%
Trade id #155165059
Max drawdown($1,530)
Time3/23/26 12:29
Quant open8
Worst price6616.00
Drawdown as % of equity-1.22%
 ($1,390)
Includes Typical Broker Commissions trade costs of $9.60
3/23/26 9:41 @MNQM6 MICRO E-MINI NASDAQ 100 LONG 8 24503.50 3/23 12:01 24394.00 1.64%
Trade id #155165054
Max drawdown($2,124)
Time3/23/26 11:59
Quant open8
Worst price24370.80
Drawdown as % of equity-1.64%
 ($1,760)
Includes Typical Broker Commissions trade costs of $7.52
3/20/26 13:15 @MESM6 MICRO E-MINI S&P 500 SHORT 8 6600.50 3/20 15:59 6558.00 0.09%
Trade id #155131196
Max drawdown($110)
Time3/20/26 13:22
Quant open8
Worst price6603.25
Drawdown as % of equity-0.09%
 $1,690
Includes Typical Broker Commissions trade costs of $9.60
3/18/26 10:15 @MESH6 MICRO E-MINI S&P 500 SHORT 8 6688.25 3/18 15:59 6625.00 0.12%
Trade id #155091884
Max drawdown($150)
Time3/18/26 11:07
Quant open8
Worst price6692.00
Drawdown as % of equity-0.12%
 $2,520
Includes Typical Broker Commissions trade costs of $9.60
3/18/26 10:30 @MNQH6 MICRO E-MINI NASDAQ 100 SHORT 8 24612.75 3/18 15:59 24435.75 1.34%
Trade id #155092268
Max drawdown($1,632)
Time3/18/26 11:08
Quant open8
Worst price24714.80
Drawdown as % of equity-1.34%
 $2,824
Includes Typical Broker Commissions trade costs of $7.52
3/17/26 9:35 @MNQH6 MICRO E-MINI NASDAQ 100 LONG 8 24841.25 3/17 15:59 24791.25 1.48%
Trade id #155075125
Max drawdown($1,828)
Time3/17/26 11:36
Quant open8
Worst price24727.00
Drawdown as % of equity-1.48%
 ($808)
Includes Typical Broker Commissions trade costs of $7.52
3/17/26 9:35 @MESH6 MICRO E-MINI S&P 500 LONG 8 6749.00 3/17 15:59 6720.50 1.14%
Trade id #155075123
Max drawdown($1,410)
Time3/17/26 12:07
Quant open8
Worst price6713.75
Drawdown as % of equity-1.14%
 ($1,150)
Includes Typical Broker Commissions trade costs of $9.60
3/16/26 9:35 @MNQH6 MICRO E-MINI NASDAQ 100 LONG 8 24700.00 3/16 15:59 24677.00 1.26%
Trade id #155057983
Max drawdown($1,564)
Time3/16/26 10:50
Quant open8
Worst price24602.20
Drawdown as % of equity-1.26%
 ($376)
Includes Typical Broker Commissions trade costs of $7.52
3/16/26 9:35 @MESH6 MICRO E-MINI S&P 500 LONG 8 6702.25 3/16 15:59 6704.00 0.57%
Trade id #155057995
Max drawdown($710)
Time3/16/26 12:25
Quant open8
Worst price6684.50
Drawdown as % of equity-0.57%
 $60
Includes Typical Broker Commissions trade costs of $9.60
3/13/26 10:45 @MESH6 MICRO E-MINI S&P 500 SHORT 8 6687.25 3/13 15:59 6637.50 0.09%
Trade id #155022707
Max drawdown($110)
Time3/13/26 10:50
Quant open8
Worst price6690.00
Drawdown as % of equity-0.09%
 $1,980
Includes Typical Broker Commissions trade costs of $9.60
3/13/26 10:45 @MNQH6 MICRO E-MINI NASDAQ 100 SHORT 8 24593.75 3/13 15:59 24402.00 0.05%
Trade id #155022703
Max drawdown($64)
Time3/13/26 10:50
Quant open8
Worst price24597.80
Drawdown as % of equity-0.05%
 $3,060
Includes Typical Broker Commissions trade costs of $7.52
3/12/26 9:35 @MESH6 MICRO E-MINI S&P 500 SHORT 8 6723.75 3/12 15:59 6676.75 0.29%
Trade id #155002162
Max drawdown($330)
Time3/12/26 9:39
Quant open8
Worst price6732.00
Drawdown as % of equity-0.29%
 $1,870
Includes Typical Broker Commissions trade costs of $9.60
3/12/26 9:45 @MNQH6 MICRO E-MINI NASDAQ 100 SHORT 8 24751.25 3/12 15:59 24549.00 0.22%
Trade id #155002525
Max drawdown($252)
Time3/12/26 9:50
Quant open8
Worst price24767.00
Drawdown as % of equity-0.22%
 $3,228
Includes Typical Broker Commissions trade costs of $7.52
3/11/26 14:10 @MNQH6 MICRO E-MINI NASDAQ 100 SHORT 8 24919.25 3/11 15:59 24989.50 1.22%
Trade id #154989969
Max drawdown($1,400)
Time3/11/26 15:55
Quant open8
Worst price25006.80
Drawdown as % of equity-1.22%
 ($1,132)
Includes Typical Broker Commissions trade costs of $7.52
3/11/26 11:30 @MESH6 MICRO E-MINI S&P 500 SHORT 8 6765.50 3/11 15:59 6779.25 0.67%
Trade id #154986768
Max drawdown($770)
Time3/11/26 13:27
Quant open8
Worst price6784.75
Drawdown as % of equity-0.67%
 ($560)
Includes Typical Broker Commissions trade costs of $9.60
3/11/26 10:05 @MNQH6 MICRO E-MINI NASDAQ 100 LONG 8 25133.00 3/11 11:30 24941.00 2.94%
Trade id #154984892
Max drawdown($3,444)
Time3/11/26 11:30
Quant open8
Worst price24917.80
Drawdown as % of equity-2.94%
 ($3,080)
Includes Typical Broker Commissions trade costs of $7.52
3/10/26 9:50 @MESH6 MICRO E-MINI S&P 500 LONG 8 6788.75 3/10 15:59 6783.75 0.81%
Trade id #154967907
Max drawdown($950)
Time3/10/26 10:09
Quant open8
Worst price6765.00
Drawdown as % of equity-0.81%
 ($210)
Includes Typical Broker Commissions trade costs of $9.60

Statistics

  • Strategy began
    10/3/2023
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    904.8
  • Age
    30 months ago
  • What it trades
    Futures
  • # Trades
    984
  • # Profitable
    428
  • % Profitable
    43.50%
  • Avg trade duration
    3.4 hours
  • Max peak-to-valley drawdown
    53.91%
  • drawdown period
    Sept 17, 2024 - Feb 13, 2025
  • Annual Return (Compounded)
    16.1%
  • Avg win
    $1,791
  • Avg loss
    $1,294
  • Model Account Values (Raw)
  • Cash
    $122,344
  • Margin Used
    $0
  • Buying Power
    $122,344
  • Ratios
  • W:L ratio
    1.07:1
  • Sharpe Ratio
    0.4
  • Sortino Ratio
    0.63
  • Calmar Ratio
    0.41
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -10.94%
  • Correlation to SP500
    0.17180
  • Return Percent SP500 (cumu) during strategy life
    55.86%
  • Return Statistics
  • Ann Return (w trading costs)
    16.1%
  • Slump
  • Current Slump as Pcnt Equity
    39.20%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.36%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.161%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    21.9%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    70.50%
  • Chance of 20% account loss
    46.50%
  • Chance of 30% account loss
    28.50%
  • Chance of 40% account loss
    15.00%
  • Chance of 60% account loss (Monte Carlo)
    1.00%
  • 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
    95.23%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    4.50%
  • Popularity
  • Popularity (Today)
    707
  • Popularity (Last 6 weeks)
    870
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    237
  • Popularity (7 days, Percentile 1000 scale)
    743
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,294
  • Avg Win
    $1,792
  • Sum Trade PL (losers)
    $719,499.000
  • Age
  • Num Months filled monthly returns table
    30
  • Win / Loss
  • Sum Trade PL (winners)
    $766,943.000
  • # Winners
    428
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    556
  • % Winners
    43.5%
  • Frequency
  • Avg Position Time (mins)
    202.87
  • Avg Position Time (hrs)
    3.38
  • Avg Trade Length
    0.1 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    5.19
  • Daily leverage (max)
    11.97
  • Regression
  • Alpha
    0.03
  • Beta
    0.42
  • Treynor Index
    0.12
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -1.44
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -26.997
  • 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
    0.394
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.216
  • Hold-and-Hope Ratio
    -0.037
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.31190
  • SD
    0.49974
  • Sharpe ratio (Glass type estimate)
    0.62412
  • Sharpe ratio (Hedges UMVUE)
    0.60723
  • df
    28.00000
  • t
    0.97024
  • p
    0.17012
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65256
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.88993
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66354
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.87800
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.23037
  • Upside Potential Ratio
    2.95569
  • Upside part of mean
    0.74927
  • Downside part of mean
    -0.43737
  • Upside SD
    0.43009
  • Downside SD
    0.25350
  • N nonnegative terms
    11.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.16736
  • Mean of criterion
    0.31190
  • SD of predictor
    0.12968
  • SD of criterion
    0.49974
  • Covariance
    -0.01720
  • r
    -0.26544
  • b (slope, estimate of beta)
    -1.02287
  • a (intercept, estimate of alpha)
    0.48309
  • Mean Square Error
    0.24074
  • DF error
    27.00000
  • t(b)
    -1.43056
  • p(b)
    0.91799
  • t(a)
    1.43118
  • p(a)
    0.08193
  • Lowerbound of 95% confidence interval for beta
    -2.48995
  • Upperbound of 95% confidence interval for beta
    0.44421
  • Lowerbound of 95% confidence interval for alpha
    -0.20950
  • Upperbound of 95% confidence interval for alpha
    1.17568
  • Treynor index (mean / b)
    -0.30493
  • Jensen alpha (a)
    0.48309
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.19647
  • SD
    0.47729
  • Sharpe ratio (Glass type estimate)
    0.41164
  • Sharpe ratio (Hedges UMVUE)
    0.40049
  • df
    28.00000
  • t
    0.63992
  • p
    0.26371
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85732
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.67339
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.86464
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.66563
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.68484
  • Upside Potential Ratio
    2.33759
  • Upside part of mean
    0.67061
  • Downside part of mean
    -0.47414
  • Upside SD
    0.37532
  • Downside SD
    0.28688
  • N nonnegative terms
    11.00000
  • N negative terms
    18.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    29.00000
  • Mean of predictor
    0.15778
  • Mean of criterion
    0.19647
  • SD of predictor
    0.12991
  • SD of criterion
    0.47729
  • Covariance
    -0.01570
  • r
    -0.25316
  • b (slope, estimate of beta)
    -0.93011
  • a (intercept, estimate of alpha)
    0.34322
  • Mean Square Error
    0.22110
  • DF error
    27.00000
  • t(b)
    -1.35972
  • p(b)
    0.90742
  • t(a)
    1.06871
  • p(a)
    0.14733
  • Lowerbound of 95% confidence interval for beta
    -2.33366
  • Upperbound of 95% confidence interval for beta
    0.47343
  • Lowerbound of 95% confidence interval for alpha
    -0.31573
  • Upperbound of 95% confidence interval for alpha
    1.00216
  • Treynor index (mean / b)
    -0.21123
  • Jensen alpha (a)
    0.34322
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.18962
  • Expected Shortfall on VaR
    0.23398
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.09588
  • Expected Shortfall on VaR
    0.18064
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    29.00000
  • Minimum
    0.71021
  • Quartile 1
    0.95381
  • Median
    0.99442
  • Quartile 3
    1.11911
  • Maximum
    1.45035
  • Mean of quarter 1
    0.89160
  • Mean of quarter 2
    0.97908
  • Mean of quarter 3
    1.03256
  • Mean of quarter 4
    1.22957
  • Inter Quartile Range
    0.16530
  • 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
    0.03448
  • Mean of outliers high
    1.45035
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.56554
  • VaR(95%) (moments method)
    0.13043
  • Expected Shortfall (moments method)
    0.31643
  • Extreme Value Index (regression method)
    1.08046
  • VaR(95%) (regression method)
    0.14113
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    5.00000
  • Minimum
    0.02299
  • Quartile 1
    0.03440
  • Median
    0.09428
  • Quartile 3
    0.13554
  • Maximum
    0.41796
  • Mean of quarter 1
    0.02870
  • Mean of quarter 2
    0.09428
  • Mean of quarter 3
    0.13554
  • Mean of quarter 4
    0.41796
  • Inter Quartile Range
    0.10113
  • 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
    0.20000
  • Mean of outliers high
    0.41796
  • 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)
    0.29787
  • Compounded annual return (geometric extrapolation)
    0.25154
  • Calmar ratio (compounded annual return / max draw down)
    0.60183
  • Compounded annual return / average of 25% largest draw downs
    0.60183
  • Compounded annual return / Expected Shortfall lognormal
    1.07504
  • 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
    0.21267
  • SD
    0.35416
  • Sharpe ratio (Glass type estimate)
    0.60048
  • Sharpe ratio (Hedges UMVUE)
    0.59978
  • df
    638.00000
  • t
    0.93778
  • p
    0.17436
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.65516
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.85573
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.65567
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.85522
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.95967
  • Upside Potential Ratio
    7.49456
  • Upside part of mean
    1.66082
  • Downside part of mean
    -1.44815
  • Upside SD
    0.27622
  • Downside SD
    0.22160
  • N nonnegative terms
    230.00000
  • N negative terms
    409.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    639.00000
  • Mean of predictor
    0.16593
  • Mean of criterion
    0.21267
  • SD of predictor
    0.15421
  • SD of criterion
    0.35416
  • Covariance
    0.00955
  • r
    0.17495
  • b (slope, estimate of beta)
    0.40178
  • a (intercept, estimate of alpha)
    0.14600
  • Mean Square Error
    0.12178
  • DF error
    637.00000
  • t(b)
    4.48465
  • p(b)
    0.00000
  • t(a)
    0.65192
  • p(a)
    0.25734
  • Lowerbound of 95% confidence interval for beta
    0.22585
  • Upperbound of 95% confidence interval for beta
    0.57771
  • Lowerbound of 95% confidence interval for alpha
    -0.29377
  • Upperbound of 95% confidence interval for alpha
    0.58577
  • Treynor index (mean / b)
    0.52931
  • Jensen alpha (a)
    0.14600
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.15167
  • SD
    0.34727
  • Sharpe ratio (Glass type estimate)
    0.43675
  • Sharpe ratio (Hedges UMVUE)
    0.43623
  • df
    638.00000
  • t
    0.68207
  • p
    0.24772
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.81864
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.69184
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.81901
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.69147
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.66647
  • Upside Potential Ratio
    7.14115
  • Upside part of mean
    1.62510
  • Downside part of mean
    -1.47343
  • Upside SD
    0.26212
  • Downside SD
    0.22757
  • N nonnegative terms
    230.00000
  • N negative terms
    409.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    639.00000
  • Mean of predictor
    0.15405
  • Mean of criterion
    0.15167
  • SD of predictor
    0.15375
  • SD of criterion
    0.34727
  • Covariance
    0.00802
  • r
    0.15021
  • b (slope, estimate of beta)
    0.33928
  • a (intercept, estimate of alpha)
    0.09940
  • Mean Square Error
    0.11806
  • DF error
    637.00000
  • t(b)
    3.83465
  • p(b)
    0.00007
  • t(a)
    0.45094
  • p(a)
    0.32609
  • Lowerbound of 95% confidence interval for beta
    0.16554
  • Upperbound of 95% confidence interval for beta
    0.51302
  • Lowerbound of 95% confidence interval for alpha
    -0.33347
  • Upperbound of 95% confidence interval for alpha
    0.53227
  • Treynor index (mean / b)
    0.44703
  • Jensen alpha (a)
    0.09940
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03411
  • Expected Shortfall on VaR
    0.04270
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01469
  • Expected Shortfall on VaR
    0.03012
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    639.00000
  • Minimum
    0.88970
  • Quartile 1
    0.99611
  • Median
    1.00000
  • Quartile 3
    1.00630
  • Maximum
    1.25432
  • Mean of quarter 1
    0.97864
  • Mean of quarter 2
    0.99956
  • Mean of quarter 3
    1.00136
  • Mean of quarter 4
    1.02412
  • Inter Quartile Range
    0.01019
  • Number outliers low
    68.00000
  • Percentage of outliers low
    0.10642
  • Mean of outliers low
    0.96460
  • Number of outliers high
    59.00000
  • Percentage of outliers high
    0.09233
  • Mean of outliers high
    1.04311
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00972
  • VaR(95%) (moments method)
    0.01302
  • Expected Shortfall (moments method)
    0.01880
  • Extreme Value Index (regression method)
    -0.08133
  • VaR(95%) (regression method)
    0.02050
  • Expected Shortfall (regression method)
    0.02941
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    21.00000
  • Minimum
    0.00046
  • Quartile 1
    0.00965
  • Median
    0.02775
  • Quartile 3
    0.05830
  • Maximum
    0.48019
  • Mean of quarter 1
    0.00308
  • Mean of quarter 2
    0.02196
  • Mean of quarter 3
    0.04610
  • Mean of quarter 4
    0.22103
  • Inter Quartile Range
    0.04864
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    4.00000
  • Percentage of outliers high
    0.19048
  • Mean of outliers high
    0.25110
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.63370
  • VaR(95%) (moments method)
    0.16877
  • Expected Shortfall (moments method)
    0.19415
  • Extreme Value Index (regression method)
    0.41070
  • VaR(95%) (regression method)
    0.24462
  • Expected Shortfall (regression method)
    0.50341
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.22533
  • Compounded annual return (geometric extrapolation)
    0.19671
  • Calmar ratio (compounded annual return / max draw down)
    0.40965
  • Compounded annual return / average of 25% largest draw downs
    0.88996
  • Compounded annual return / Expected Shortfall lognormal
    4.60624
  • 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
    -0.27902
  • SD
    0.31326
  • Sharpe ratio (Glass type estimate)
    -0.89069
  • Sharpe ratio (Hedges UMVUE)
    -0.88554
  • df
    130.00000
  • t
    -0.62981
  • p
    0.52758
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.66292
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.88492
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.65944
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.88835
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.17630
  • Upside Potential Ratio
    7.00501
  • Upside part of mean
    1.66159
  • Downside part of mean
    -1.94061
  • Upside SD
    0.20351
  • Downside SD
    0.23720
  • N nonnegative terms
    55.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05089
  • Mean of criterion
    -0.27902
  • SD of predictor
    0.12426
  • SD of criterion
    0.31326
  • Covariance
    -0.00253
  • r
    -0.06494
  • b (slope, estimate of beta)
    -0.16372
  • a (intercept, estimate of alpha)
    -0.28735
  • Mean Square Error
    0.09848
  • DF error
    129.00000
  • t(b)
    -0.73916
  • p(b)
    0.54131
  • t(a)
    -0.64728
  • p(a)
    0.53620
  • Lowerbound of 95% confidence interval for beta
    -0.60196
  • Upperbound of 95% confidence interval for beta
    0.27452
  • Lowerbound of 95% confidence interval for alpha
    -1.16568
  • Upperbound of 95% confidence interval for alpha
    0.59098
  • Treynor index (mean / b)
    1.70422
  • Jensen alpha (a)
    -0.28735
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.32812
  • SD
    0.31455
  • Sharpe ratio (Glass type estimate)
    -1.04314
  • Sharpe ratio (Hedges UMVUE)
    -1.03711
  • df
    130.00000
  • t
    -0.73761
  • p
    0.53228
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.81591
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.73350
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.81178
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.73757
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.35704
  • Upside Potential Ratio
    6.78737
  • Upside part of mean
    1.64114
  • Downside part of mean
    -1.96926
  • Upside SD
    0.20034
  • Downside SD
    0.24179
  • N nonnegative terms
    55.00000
  • N negative terms
    76.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.05857
  • Mean of criterion
    -0.32812
  • SD of predictor
    0.12452
  • SD of criterion
    0.31455
  • Covariance
    -0.00258
  • r
    -0.06588
  • b (slope, estimate of beta)
    -0.16642
  • a (intercept, estimate of alpha)
    -0.33787
  • Mean Square Error
    0.09928
  • DF error
    129.00000
  • t(b)
    -0.74990
  • p(b)
    0.54191
  • t(a)
    -0.75792
  • p(a)
    0.54236
  • VAR (95 Confidence Intrvl)
    0.03400
  • Lowerbound of 95% confidence interval for beta
    -0.60551
  • Upperbound of 95% confidence interval for beta
    0.27266
  • Lowerbound of 95% confidence interval for alpha
    -1.21987
  • Upperbound of 95% confidence interval for alpha
    0.54413
  • Treynor index (mean / b)
    1.97163
  • Jensen alpha (a)
    -0.33787
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03267
  • Expected Shortfall on VaR
    0.04047
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01873
  • Expected Shortfall on VaR
    0.03530
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.93554
  • Quartile 1
    0.98866
  • Median
    1.00000
  • Quartile 3
    1.00937
  • Maximum
    1.05234
  • Mean of quarter 1
    0.97427
  • Mean of quarter 2
    0.99657
  • Mean of quarter 3
    1.00308
  • Mean of quarter 4
    1.02237
  • Inter Quartile Range
    0.02070
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.94683
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.04817
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.05509
  • VaR(95%) (moments method)
    0.02556
  • Expected Shortfall (moments method)
    0.03484
  • Extreme Value Index (regression method)
    -0.06450
  • VaR(95%) (regression method)
    0.02676
  • Expected Shortfall (regression method)
    0.03481
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.02485
  • Quartile 1
    0.09092
  • Median
    0.15699
  • Quartile 3
    0.17881
  • Maximum
    0.20063
  • Mean of quarter 1
    0.02485
  • Mean of quarter 2
    0.15699
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.20063
  • Inter Quartile Range
    0.08789
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Last 4 Months - Pcnt Negative
    0.75%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -386831000
  • Max Equity Drawdown (num days)
    149
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.27877
  • Compounded annual return (geometric extrapolation)
    -0.25934
  • Calmar ratio (compounded annual return / max draw down)
    -1.29264
  • Compounded annual return / average of 25% largest draw downs
    -1.29264
  • Compounded annual return / Expected Shortfall lognormal
    -6.40826

Strategy Description

Trades ES NQ Futures intraday. Longs are taken with 1 NQ and/or 1 ES, Shorts are taken with 10 MNQ and/or 10 MES.
Trade this strategy at Tradier

LiveSignal

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Live Chat

HA spoke too soon, one day later, 15 out of 16 losing trades (so far, the day is young), autotrade -$22K, heading for a new MaxDD. Just watching it buy at the top, sell at the bott...
18 out of 19 losing trades, 13 out of 13 losing trades first 4 days of October for 0% win rate, -$27K new Max $$ DD, almost DOUBLE previous Max $$ DD (-$14K last month) so far. Bru...
ChrisPage, when trading this you should look at the backtested drawdown instead of the shorter term C2 drawdown. The former has a deeper % drawdown and is based on a much longer ra...
Sounds like a good idea, where would one find this for a strat? So far for me the cost of this strat is -$25K/month, not -$149/month...
HA exactly one month ago today signed up for this strat, sitting at almost -$30K. Now THAT is a high monthly subscription price.
Message the system manager. They'll send you the backtest info. The backtesting of all Systematic_Trader is done on unleveraged ETFs, so you'll have to figure out how that translat...
Open LiveSignal

Summary Statistics

Strategy began
2023-10-03
Suggested Minimum Capital
$100,000
# Trades
984
# Profitable
428
% Profitable
43.5%
Correlation S&P500
0.172
Sharpe Ratio
0.40
Sortino Ratio
0.63
Beta
0.42
Alpha
0.03
Leverage
5.19 Average
11.97 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

subscribed on started simulation

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.