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

EUROPEAN STOCK EXPOSURE
(131920147)

Started: 10/2020
Futures
Last trade: Today
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.
37.2%
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.

(23.2%)
Max Drawdown
267
Num Trades
71.2%
Win Trades
1.6 : 1
Profit Factor
57.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Interactive Brokers commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                                               (13.5%)+76.0%(3.7%)+46.7%
2021(1.3%)(0.8%)+11.1%+2.8%+4.9%+3.4%+8.9%+3.2%+3.4%+0.5%+0.3%+4.3%+48.4%
2022+1.1%(1.5%)(3.8%)(4.7%)+7.1%(7.8%)+4.8%(5.3%)(9.8%)+14.3%(3.2%)      (10.7%)

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 504 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
10/25/22 3:36 MTX2 CAC40 SHORT 1 6159.50 11/18 5:25 6640.86 5.51%
Trade id #142295997
Max drawdown($5,480)
Time11/15/22 0:00
Quant open1
Worst price6688.00
Drawdown as % of equity-5.51%
($4,998)
Includes Typical Broker Commissions trade costs of $8.00
11/15/22 8:20 @M2KZ2 MICRO E-MINI RUSSELL 2000 LONG 1 1884.07 11/15 8:44 1894.66 0.01%
Trade id #142566555
Max drawdown($13)
Time11/15/22 8:24
Quant open1
Worst price1881.30
Drawdown as % of equity-0.01%
$52
Includes Typical Broker Commissions trade costs of $0.94
11/14/22 13:36 @M2KZ2 MICRO E-MINI RUSSELL 2000 SHORT 1 1891.70 11/15 8:20 1884.09 0.11%
Trade id #142558907
Max drawdown($108)
Time11/15/22 0:00
Quant open1
Worst price1913.30
Drawdown as % of equity-0.11%
$37
Includes Typical Broker Commissions trade costs of $0.94
11/11/22 12:21 @MYMZ2 MICRO E-MINI DOW LONG 1 33542 11/14 5:06 33642 0.03%
Trade id #142537404
Max drawdown($28)
Time11/11/22 12:41
Quant open1
Worst price33486
Drawdown as % of equity-0.03%
$49
Includes Typical Broker Commissions trade costs of $0.94
11/10/22 8:16 @M2KZ2 MICRO E-MINI RUSSELL 2000 LONG 1 1769.76 11/10 11:30 1864.80 0.03%
Trade id #142516604
Max drawdown($25)
Time11/10/22 8:30
Quant open1
Worst price1764.60
Drawdown as % of equity-0.03%
$474
Includes Typical Broker Commissions trade costs of $0.94
11/10/22 8:15 @MNQZ2 MICRO E-MINI NASDAQ 100 LONG 1 10889.67 11/10 10:27 11390.14 0.16%
Trade id #142516594
Max drawdown($161)
Time11/10/22 8:30
Quant open1
Worst price10809.00
Drawdown as % of equity-0.16%
$1,000
Includes Typical Broker Commissions trade costs of $0.94
11/7/22 13:01 @MYMZ2 MICRO E-MINI DOW SHORT 1 32667 11/9 15:36 32608 0.34%
Trade id #142470738
Max drawdown($349)
Time11/8/22 0:00
Quant open1
Worst price33367
Drawdown as % of equity-0.34%
$28
Includes Typical Broker Commissions trade costs of $0.94
11/2/22 15:50 @MNQZ2 MICRO E-MINI NASDAQ 100 LONG 2 10893.55 11/9 1:51 11044.20 0.65%
Trade id #142416901
Max drawdown($671)
Time11/4/22 0:00
Quant open1
Worst price10636.00
Drawdown as % of equity-0.65%
$601
Includes Typical Broker Commissions trade costs of $1.88
10/26/22 10:24 DXSZ2 MICRO-DAX INDEX SHORT 1 13154 11/3 11:04 13145 0.3%
Trade id #142321008
Max drawdown($303)
Time11/1/22 0:00
Quant open1
Worst price13465
Drawdown as % of equity-0.30%
$7
Includes Typical Broker Commissions trade costs of $0.80
10/25/22 10:15 @MYMZ2 MICRO E-MINI DOW SHORT 2 32255 11/3 11:04 32051 0.84%
Trade id #142300446
Max drawdown($852)
Time11/2/22 0:00
Quant open2
Worst price33108
Drawdown as % of equity-0.84%
$202
Includes Typical Broker Commissions trade costs of $1.88
10/24/22 14:58 @M2KZ2 MICRO E-MINI RUSSELL 2000 SHORT 2 1810.59 11/3 11:04 1788.78 0.6%
Trade id #142291059
Max drawdown($604)
Time11/1/22 0:00
Quant open1
Worst price1876.40
Drawdown as % of equity-0.60%
$216
Includes Typical Broker Commissions trade costs of $1.88
9/16/22 2:16 LFZ2 FTSE 100 INDEX LONG 2 7128.4 11/1 5:06 7198.6 10.63%
Trade id #141825105
Max drawdown($9,616)
Time10/13/22 0:00
Quant open2
Worst price6712.5
Drawdown as % of equity-10.63%
$1,602
Includes Typical Broker Commissions trade costs of $16.00
10/25/22 11:30 @MESZ2 MICRO E-MINI S&P 500 SHORT 1 3854.00 10/27 15:57 3817.00 0.22%
Trade id #142302205
Max drawdown($217)
Time10/26/22 0:00
Quant open1
Worst price3897.50
Drawdown as % of equity-0.22%
$184
Includes Typical Broker Commissions trade costs of $0.94
10/21/22 2:11 MTX2 CAC40 LONG 1 6036.50 10/25 3:36 6160.14 0.87%
Trade id #142255868
Max drawdown($818)
Time10/21/22 8:20
Quant open1
Worst price5953.50
Drawdown as % of equity-0.87%
$1,212
Includes Typical Broker Commissions trade costs of $8.00
10/24/22 3:32 @M2KZ2 MICRO E-MINI RUSSELL 2000 LONG 1 1740.54 10/24 14:58 1755.51 0.06%
Trade id #142279917
Max drawdown($55)
Time10/24/22 10:24
Quant open1
Worst price1729.40
Drawdown as % of equity-0.06%
$74
Includes Typical Broker Commissions trade costs of $0.94
10/21/22 15:51 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 1 11354.64 10/24 1:35 11389.59 0.17%
Trade id #142269381
Max drawdown($163)
Time10/24/22 0:45
Quant open1
Worst price11436.20
Drawdown as % of equity-0.17%
($71)
Includes Typical Broker Commissions trade costs of $0.94
10/21/22 5:38 @MYMZ2 MICRO E-MINI DOW LONG 1 30221 10/21 15:51 31107 0.06%
Trade id #142257899
Max drawdown($58)
Time10/21/22 8:50
Quant open1
Worst price30104
Drawdown as % of equity-0.06%
$442
Includes Typical Broker Commissions trade costs of $0.94
10/20/22 3:18 @M2KZ2 MICRO E-MINI RUSSELL 2000 LONG 2 1717.75 10/21 15:51 1748.22 0.24%
Trade id #142240031
Max drawdown($223)
Time10/21/22 8:52
Quant open2
Worst price1695.40
Drawdown as % of equity-0.24%
$303
Includes Typical Broker Commissions trade costs of $1.88
9/16/22 2:16 MTV2 CAC40 LONG 1 6102.83 10/21 2:11 6032.08 4.94%
Trade id #141825113
Max drawdown($4,607)
Time9/29/22 0:00
Quant open1
Worst price5628.50
Drawdown as % of equity-4.94%
($700)
Includes Typical Broker Commissions trade costs of $8.00
10/19/22 1:52 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 1 11294.35 10/19 5:10 11245.75 0.02%
Trade id #142220933
Max drawdown($22)
Time10/19/22 1:55
Quant open1
Worst price11305.80
Drawdown as % of equity-0.02%
$96
Includes Typical Broker Commissions trade costs of $0.94
10/18/22 9:00 @MNQZ2 MICRO E-MINI NASDAQ 100 SHORT 1 11390.40 10/18 11:55 11150.46 0.08%
Trade id #142204248
Max drawdown($82)
Time10/18/22 9:33
Quant open1
Worst price11431.80
Drawdown as % of equity-0.08%
$479
Includes Typical Broker Commissions trade costs of $0.94
10/13/22 15:38 DXSZ2 MICRO-DAX INDEX SHORT 1 12473 10/17 0:24 12454 0.23%
Trade id #142163042
Max drawdown($219)
Time10/14/22 0:00
Quant open1
Worst price12698
Drawdown as % of equity-0.23%
$18
Includes Typical Broker Commissions trade costs of $0.80
10/14/22 10:10 @MYMZ2 MICRO E-MINI DOW SHORT 1 30089 10/17 0:24 29866 n/a $111
Includes Typical Broker Commissions trade costs of $0.94
10/13/22 8:20 @M2KZ2 MICRO E-MINI RUSSELL 2000 SHORT 2 1712.83 10/13 8:54 1659.96 0.13%
Trade id #142151453
Max drawdown($116)
Time10/13/22 8:29
Quant open2
Worst price1724.50
Drawdown as % of equity-0.13%
$527
Includes Typical Broker Commissions trade costs of $1.88
10/7/22 9:13 @M2KZ2 MICRO E-MINI RUSSELL 2000 LONG 2 1718.95 10/13 8:19 1713.39 0.55%
Trade id #142079803
Max drawdown($517)
Time10/11/22 0:00
Quant open2
Worst price1667.20
Drawdown as % of equity-0.55%
($58)
Includes Typical Broker Commissions trade costs of $1.88
9/22/22 7:24 @M2KZ2 MICRO E-MINI RUSSELL 2000 LONG 1 1764.80 10/6 12:05 1756.60 0.65%
Trade id #141889476
Max drawdown($586)
Time9/28/22 0:00
Quant open1
Worst price1647.50
Drawdown as % of equity-0.65%
($42)
Includes Typical Broker Commissions trade costs of $0.94
9/23/22 6:11 @MESZ2 MICRO E-MINI S&P 500 LONG 1 3740.00 10/5 5:17 3776.25 0.96%
Trade id #141902976
Max drawdown($845)
Time10/3/22 0:00
Quant open1
Worst price3571.00
Drawdown as % of equity-0.96%
$180
Includes Typical Broker Commissions trade costs of $0.94
9/26/22 8:43 DXSZ2 MICRO-DAX INDEX LONG 1 12292 10/4 13:23 12604 0.53%
Trade id #141926519
Max drawdown($468)
Time10/3/22 0:00
Quant open1
Worst price11823
Drawdown as % of equity-0.53%
$310
Includes Typical Broker Commissions trade costs of $0.80
9/28/22 1:56 @MYMZ2 MICRO E-MINI DOW LONG 2 29093 10/4 10:00 29915 0.52%
Trade id #141955271
Max drawdown($455)
Time10/3/22 0:00
Quant open2
Worst price28638
Drawdown as % of equity-0.52%
$820
Includes Typical Broker Commissions trade costs of $1.88
10/3/22 1:49 @MNQZ2 MICRO E-MINI NASDAQ 100 LONG 1 10999.40 10/3 15:50 11302.78 0.13%
Trade id #142006653
Max drawdown($111)
Time10/3/22 5:07
Quant open1
Worst price10943.50
Drawdown as % of equity-0.13%
$606
Includes Typical Broker Commissions trade costs of $0.94

Statistics

  • Strategy began
    10/27/2020
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    763.36
  • Age
    25 months ago
  • What it trades
    Futures
  • # Trades
    267
  • # Profitable
    190
  • % Profitable
    71.20%
  • Avg trade duration
    7.2 days
  • Max peak-to-valley drawdown
    23.22%
  • drawdown period
    Feb 11, 2022 - Oct 02, 2022
  • Annual Return (Compounded)
    37.4%
  • Avg win
    $770.38
  • Avg loss
    $1,226
  • Model Account Values (Raw)
  • Cash
    $106,633
  • Margin Used
    $4,586
  • Buying Power
    $97,360
  • Ratios
  • W:L ratio
    1.55:1
  • Sharpe Ratio
    1.13
  • Sortino Ratio
    1.88
  • Calmar Ratio
    2.114
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    78.16%
  • Correlation to SP500
    0.32160
  • Return Percent SP500 (cumu) during strategy life
    16.61%
  • Return Statistics
  • Ann Return (w trading costs)
    37.4%
  • Slump
  • Current Slump as Pcnt Equity
    17.60%
  • Instruments
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.38%
  • Instruments
  • Short Options - Percent Covered
    100.00%
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.374%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.00%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    40.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    32.00%
  • Chance of 20% account loss
    9.00%
  • Chance of 30% account loss
    0.50%
  • 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
  • Chance of 100% 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)
    431
  • Popularity (Last 6 weeks)
    741
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    903
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,226
  • Avg Win
    $771
  • Sum Trade PL (losers)
    $94,435.000
  • Age
  • Num Months filled monthly returns table
    26
  • Win / Loss
  • Sum Trade PL (winners)
    $146,452.000
  • # Winners
    190
  • Num Months Winners
    15
  • Dividends
  • Dividends Received in Model Acct
    0
  • AUM
  • AUM (AutoTrader live capital)
    908326
  • Win / Loss
  • # Losers
    77
  • % Winners
    71.2%
  • Frequency
  • Avg Position Time (mins)
    10395.70
  • Avg Position Time (hrs)
    173.26
  • Avg Trade Length
    7.2 days
  • Last Trade Ago
    1
  • Leverage
  • Daily leverage (average)
    1.78
  • Daily leverage (max)
    7.59
  • Regression
  • Alpha
    0.09
  • Beta
    0.43
  • Treynor Index
    0.22
  • 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)
    0.72
  • MAE:Equity, average, winning trades
    0.01
  • MAE:Equity, average, losing trades
    0.02
  • Avg(MAE) / Avg(PL) - All trades
    6.334
  • MAE:Equity, losing trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, win trades only, 95th Percentile Value for this strat
    -
  • MAE:Equity, 95th Percentile Value for this strat
    0.01
  • Avg(MAE) / Avg(PL) - Winning trades
    1.084
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.333
  • Hold-and-Hope Ratio
    0.161
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.43376
  • SD
    0.41289
  • Sharpe ratio (Glass type estimate)
    1.05054
  • Sharpe ratio (Hedges UMVUE)
    1.01584
  • df
    23.00000
  • t
    1.48568
  • p
    0.07547
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37869
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.45812
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.40081
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.43249
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.04695
  • Upside Potential Ratio
    6.90839
  • Upside part of mean
    0.59374
  • Downside part of mean
    -0.15998
  • Upside SD
    0.41433
  • Downside SD
    0.08594
  • N nonnegative terms
    13.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.03732
  • Mean of criterion
    0.43376
  • SD of predictor
    0.16706
  • SD of criterion
    0.41289
  • Covariance
    0.02977
  • r
    0.43157
  • b (slope, estimate of beta)
    1.06662
  • a (intercept, estimate of alpha)
    0.39394
  • Mean Square Error
    0.14503
  • DF error
    22.00000
  • t(b)
    2.24399
  • p(b)
    0.01761
  • t(a)
    1.45975
  • p(a)
    0.07925
  • Lowerbound of 95% confidence interval for beta
    0.08086
  • Upperbound of 95% confidence interval for beta
    2.05238
  • Lowerbound of 95% confidence interval for alpha
    -0.16573
  • Upperbound of 95% confidence interval for alpha
    0.95362
  • Treynor index (mean / b)
    0.40666
  • Jensen alpha (a)
    0.39394
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.36317
  • SD
    0.34265
  • Sharpe ratio (Glass type estimate)
    1.05988
  • Sharpe ratio (Hedges UMVUE)
    1.02488
  • df
    23.00000
  • t
    1.49890
  • p
    0.07375
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.37000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.46797
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.39232
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.44207
  • Statistics related to Sortino ratio
  • Sortino ratio
    4.12046
  • Upside Potential Ratio
    5.97463
  • Upside part of mean
    0.52659
  • Downside part of mean
    -0.16342
  • Upside SD
    0.34020
  • Downside SD
    0.08814
  • N nonnegative terms
    13.00000
  • N negative terms
    11.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    24.00000
  • Mean of predictor
    0.02375
  • Mean of criterion
    0.36317
  • SD of predictor
    0.16809
  • SD of criterion
    0.34265
  • Covariance
    0.02613
  • r
    0.45369
  • b (slope, estimate of beta)
    0.92484
  • a (intercept, estimate of alpha)
    0.34121
  • Mean Square Error
    0.09748
  • DF error
    22.00000
  • t(b)
    2.38790
  • p(b)
    0.01298
  • t(a)
    1.54418
  • p(a)
    0.06840
  • Lowerbound of 95% confidence interval for beta
    0.12162
  • Upperbound of 95% confidence interval for beta
    1.72805
  • Lowerbound of 95% confidence interval for alpha
    -0.11704
  • Upperbound of 95% confidence interval for alpha
    0.79945
  • Treynor index (mean / b)
    0.39268
  • Jensen alpha (a)
    0.34121
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.12404
  • Expected Shortfall on VaR
    0.15895
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.02938
  • Expected Shortfall on VaR
    0.05512
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    24.00000
  • Minimum
    0.93840
  • Quartile 1
    0.98579
  • Median
    1.02389
  • Quartile 3
    1.05187
  • Maximum
    1.54548
  • Mean of quarter 1
    0.95595
  • Mean of quarter 2
    0.99814
  • Mean of quarter 3
    1.03575
  • Mean of quarter 4
    1.16406
  • Inter Quartile Range
    0.06608
  • 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
    0.04167
  • Mean of outliers high
    1.54548
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -3.92649
  • VaR(95%) (moments method)
    0.04155
  • Expected Shortfall (moments method)
    0.04161
  • Extreme Value Index (regression method)
    -1.61432
  • VaR(95%) (regression method)
    0.04624
  • Expected Shortfall (regression method)
    0.04764
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    3.00000
  • Minimum
    0.00611
  • Quartile 1
    0.01963
  • Median
    0.03315
  • Quartile 3
    0.09950
  • Maximum
    0.16586
  • Mean of quarter 1
    0.00611
  • Mean of quarter 2
    0.03315
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.16586
  • Inter Quartile Range
    0.07987
  • 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)
    0.59308
  • Compounded annual return (geometric extrapolation)
    0.47857
  • Calmar ratio (compounded annual return / max draw down)
    2.88542
  • Compounded annual return / average of 25% largest draw downs
    2.88542
  • Compounded annual return / Expected Shortfall lognormal
    3.01081
  • 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
    0.35791
  • SD
    0.25134
  • Sharpe ratio (Glass type estimate)
    1.42396
  • Sharpe ratio (Hedges UMVUE)
    1.42199
  • df
    542.00000
  • t
    2.04997
  • p
    0.02042
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.05924
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.78740
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.05792
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.78606
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.36312
  • Upside Potential Ratio
    8.92552
  • Upside part of mean
    1.35181
  • Downside part of mean
    -0.99391
  • Upside SD
    0.20151
  • Downside SD
    0.15146
  • N nonnegative terms
    283.00000
  • N negative terms
    260.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    543.00000
  • Mean of predictor
    0.06517
  • Mean of criterion
    0.35791
  • SD of predictor
    0.19220
  • SD of criterion
    0.25134
  • Covariance
    0.01610
  • r
    0.33324
  • b (slope, estimate of beta)
    0.43579
  • a (intercept, estimate of alpha)
    0.33000
  • Mean Square Error
    0.05626
  • DF error
    541.00000
  • t(b)
    8.22092
  • p(b)
    -0.00000
  • t(a)
    1.99943
  • p(a)
    0.02303
  • Lowerbound of 95% confidence interval for beta
    0.33166
  • Upperbound of 95% confidence interval for beta
    0.53992
  • Lowerbound of 95% confidence interval for alpha
    0.00578
  • Upperbound of 95% confidence interval for alpha
    0.65323
  • Treynor index (mean / b)
    0.82128
  • Jensen alpha (a)
    0.32950
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.32641
  • SD
    0.24973
  • Sharpe ratio (Glass type estimate)
    1.30708
  • Sharpe ratio (Hedges UMVUE)
    1.30527
  • df
    542.00000
  • t
    1.88170
  • p
    0.03021
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.05717
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.67016
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.05839
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.66892
  • Statistics related to Sortino ratio
  • Sortino ratio
    2.08664
  • Upside Potential Ratio
    8.51615
  • Upside part of mean
    1.33218
  • Downside part of mean
    -1.00577
  • Upside SD
    0.19541
  • Downside SD
    0.15643
  • N nonnegative terms
    283.00000
  • N negative terms
    260.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    543.00000
  • Mean of predictor
    0.04670
  • Mean of criterion
    0.32641
  • SD of predictor
    0.19242
  • SD of criterion
    0.24973
  • Covariance
    0.01615
  • r
    0.33607
  • b (slope, estimate of beta)
    0.43616
  • a (intercept, estimate of alpha)
    0.30605
  • Mean Square Error
    0.05542
  • DF error
    541.00000
  • t(b)
    8.29936
  • p(b)
    -0.00000
  • t(a)
    1.87130
  • p(a)
    0.03092
  • Lowerbound of 95% confidence interval for beta
    0.33292
  • Upperbound of 95% confidence interval for beta
    0.53939
  • Lowerbound of 95% confidence interval for alpha
    -0.01522
  • Upperbound of 95% confidence interval for alpha
    0.62731
  • Treynor index (mean / b)
    0.74839
  • Jensen alpha (a)
    0.30605
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02384
  • Expected Shortfall on VaR
    0.03010
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00835
  • Expected Shortfall on VaR
    0.01775
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    543.00000
  • Minimum
    0.87199
  • Quartile 1
    0.99565
  • Median
    1.00053
  • Quartile 3
    1.00701
  • Maximum
    1.11672
  • Mean of quarter 1
    0.98688
  • Mean of quarter 2
    0.99821
  • Mean of quarter 3
    1.00310
  • Mean of quarter 4
    1.01772
  • Inter Quartile Range
    0.01135
  • Number outliers low
    19.00000
  • Percentage of outliers low
    0.03499
  • Mean of outliers low
    0.96588
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.03867
  • Mean of outliers high
    1.04777
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.40757
  • VaR(95%) (moments method)
    0.01298
  • Expected Shortfall (moments method)
    0.02530
  • Extreme Value Index (regression method)
    0.19460
  • VaR(95%) (regression method)
    0.01174
  • Expected Shortfall (regression method)
    0.01836
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    30.00000
  • Minimum
    0.00029
  • Quartile 1
    0.00403
  • Median
    0.00981
  • Quartile 3
    0.04249
  • Maximum
    0.20113
  • Mean of quarter 1
    0.00135
  • Mean of quarter 2
    0.00751
  • Mean of quarter 3
    0.01931
  • Mean of quarter 4
    0.08547
  • Inter Quartile Range
    0.03846
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.06667
  • Mean of outliers high
    0.16457
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.34332
  • VaR(95%) (moments method)
    0.09784
  • Expected Shortfall (moments method)
    0.16568
  • Extreme Value Index (regression method)
    0.60610
  • VaR(95%) (regression method)
    0.09877
  • Expected Shortfall (regression method)
    0.23116
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.52308
  • Compounded annual return (geometric extrapolation)
    0.42521
  • Calmar ratio (compounded annual return / max draw down)
    2.11409
  • Compounded annual return / average of 25% largest draw downs
    4.97482
  • Compounded annual return / Expected Shortfall lognormal
    14.12690
  • 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
    -0.14474
  • SD
    0.20448
  • Sharpe ratio (Glass type estimate)
    -0.70785
  • Sharpe ratio (Hedges UMVUE)
    -0.70376
  • df
    130.00000
  • t
    -0.50053
  • p
    0.52193
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.47967
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.06662
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.47689
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.06936
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.02678
  • Upside Potential Ratio
    7.71106
  • Upside part of mean
    1.08701
  • Downside part of mean
    -1.23175
  • Upside SD
    0.14731
  • Downside SD
    0.14097
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.09623
  • Mean of criterion
    -0.14474
  • SD of predictor
    0.24831
  • SD of criterion
    0.20448
  • Covariance
    0.01790
  • r
    0.35255
  • b (slope, estimate of beta)
    0.29032
  • a (intercept, estimate of alpha)
    -0.11681
  • Mean Square Error
    0.03690
  • DF error
    129.00000
  • t(b)
    4.27897
  • p(b)
    0.28030
  • t(a)
    -0.42985
  • p(a)
    0.52407
  • Lowerbound of 95% confidence interval for beta
    0.15608
  • Upperbound of 95% confidence interval for beta
    0.42457
  • Lowerbound of 95% confidence interval for alpha
    -0.65444
  • Upperbound of 95% confidence interval for alpha
    0.42083
  • Treynor index (mean / b)
    -0.49855
  • Jensen alpha (a)
    -0.11681
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.16541
  • SD
    0.20371
  • Sharpe ratio (Glass type estimate)
    -0.81200
  • Sharpe ratio (Hedges UMVUE)
    -0.80731
  • df
    130.00000
  • t
    -0.57417
  • p
    0.52515
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -3.58412
  • Upperbound of 95% confidence interval for Sharpe Ratio
    1.96301
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -3.58085
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    1.96624
  • Statistics related to Sortino ratio
  • Sortino ratio
    -1.16010
  • Upside Potential Ratio
    7.54841
  • Upside part of mean
    1.07629
  • Downside part of mean
    -1.24170
  • Upside SD
    0.14476
  • Downside SD
    0.14258
  • N nonnegative terms
    60.00000
  • N negative terms
    71.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    -0.12680
  • Mean of criterion
    -0.16541
  • SD of predictor
    0.24812
  • SD of criterion
    0.20371
  • Covariance
    0.01789
  • r
    0.35397
  • b (slope, estimate of beta)
    0.29062
  • a (intercept, estimate of alpha)
    -0.12856
  • Mean Square Error
    0.03658
  • DF error
    129.00000
  • t(b)
    4.29858
  • p(b)
    0.27946
  • t(a)
    -0.47507
  • p(a)
    0.52660
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    0.15685
  • Upperbound of 95% confidence interval for beta
    0.42438
  • Lowerbound of 95% confidence interval for alpha
    -0.66399
  • Upperbound of 95% confidence interval for alpha
    0.40686
  • Treynor index (mean / b)
    -0.56918
  • Jensen alpha (a)
    -0.12856
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02111
  • Expected Shortfall on VaR
    0.02623
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01146
  • Expected Shortfall on VaR
    0.02094
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96088
  • Quartile 1
    0.99191
  • Median
    0.99934
  • Quartile 3
    1.00646
  • Maximum
    1.06427
  • Mean of quarter 1
    0.98504
  • Mean of quarter 2
    0.99655
  • Mean of quarter 3
    1.00206
  • Mean of quarter 4
    1.01464
  • Inter Quartile Range
    0.01456
  • Number outliers low
    3.00000
  • Percentage of outliers low
    0.02290
  • Mean of outliers low
    0.96505
  • Number of outliers high
    2.00000
  • Percentage of outliers high
    0.01527
  • Mean of outliers high
    1.04751
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.30795
  • VaR(95%) (moments method)
    0.01687
  • Expected Shortfall (moments method)
    0.02658
  • Extreme Value Index (regression method)
    -0.15144
  • VaR(95%) (regression method)
    0.01389
  • Expected Shortfall (regression method)
    0.01649
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    2.00000
  • Minimum
    0.00004
  • Quartile 1
    0.03983
  • Median
    0.07961
  • Quartile 3
    0.11939
  • Maximum
    0.15917
  • Mean of quarter 1
    0.00004
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.15917
  • Inter Quartile Range
    0.07956
  • 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?
    -368159000
  • Max Equity Drawdown (num days)
    233
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    -0.13289
  • Compounded annual return (geometric extrapolation)
    -0.12847
  • Calmar ratio (compounded annual return / max draw down)
    -0.80714
  • Compounded annual return / average of 25% largest draw downs
    -0.80714
  • Compounded annual return / Expected Shortfall lognormal
    -4.89785

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
# Trades
267
# Profitable
190
% Profitable
71.2%
Correlation S&P500
0.322
Sharpe Ratio
1.13
Sortino Ratio
1.88
Beta
0.43
Alpha
0.09
Leverage
1.78 Average
7.59 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

The Portfolio Platform 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.

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.

0