Collective2 Collective2
Featured Strategy MT3 Algotrading Followed by live capital $3.12 million Hypothetical

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These are hypothetical performance results that have certain inherent limitations. Learn more
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Trades-Own-Strategy Certification

This system has earned Trades-Own-Strategy (TOS) Certification. This means that the manager of this system trades his own strategy in a real-life, funded brokerage account.

Trades-Own-Strategy (TOS) Certification Details
Certification process started 04/02/2023
Most recent certification approved 4/2/23 20:30 ET
Trades at broker Interactive Brokers (Europe)
Scaling percentage used 100%
# trading signals issued by system since certification 5,771
# trading signals executed in manager's Interactive Brokers (Europe) account 5,717
Percent signals followed since 04/02/2023 99.1%
This information was last updated 10/22/24 22:21 ET

Warning: System trading results are still hypothetical.

Even though the system developer is currently trading his own system in a real-life brokerage account, the trading results presented on this Web site must still be regarded as purely hypothetical results. This is because (among other reasons) the system developer may not have traded all signals, particularly those that occurred before 04/02/2023, and the system developer's results may not match the system results presented here. In addition, not all subscribers have received the same trades or prices as the system manager has. For these reasons, and others, it is extremely important you remember the following:

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. Hypothetical performance results have many inherent limitations, some of which are described below. No representation is being made that any account will or is likely to achieve profits or losses similar to those shown. In fact, there are frequently sharp differences between hypothetical performance results and the actual results subsequently achieved by any particular trading program.

One of the limitations of hypothetical performance results is that they are generally prepared with the benefit of hindsight. 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.

You may be interested to learn more technical details about how Collective2 calculates the hypothetical results you see on this web site.

MT3 Algotrading
(144135459)

Powered by BrokerTransmit.
Read important disclosures.

Created by: MORAVIAN MORAVIAN
Started: 03/2023
Stocks, Futures
Last trade: Today
Trading style: Equity 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 $125.00 per month.

C2Star

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

You can read more about C2Star certification requirements here.

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

Trading Category: Equity
Trend-following
Category: Equity

Trend-following

Tries to take advantage of long, medium or short-term moves that seem to play out in various markets. 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).
81.2%
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.

(20.1%)
Max Drawdown
2403
Num Trades
40.4%
Win Trades
1.3 : 1
Profit Factor
65.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2023              (0.3%)(4.1%)(3.7%)+8.5%(7.7%)+10.9%  -  +3.7%+19.1%+13.2%+43.0%
2024+24.4%+8.9%+4.8%+4.2%+16.4%+2.3%+7.5%(5.4%)+1.8%(2.4%)            +78.3%

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 5,717 trades in real-life brokerage accounts. To see live brokerage data, select Show AutoTrade Data, and click on a Live AutoTrade Indicator symbol.

Show AutoTrade data Hide AutoTrade data
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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
10/22/24 13:40 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 2 20557.81 10/22 16:50 20525.30 0.26%
Trade id #149797971
Max drawdown($202)
Time10/22/24 16:01
Quant open2
Worst price20507.20
Drawdown as % of equity-0.26%
 ($132)
Includes Typical Broker Commissions trade costs of $1.88
10/21/24 18:03 @M2KZ4 MICRO E-MINI RUSSELL 2000 LONG 1 2255.90 10/22 15:00 2245.96 0.14%
Trade id #149773083
Max drawdown($109)
Time10/22/24 5:48
Quant open1
Worst price2233.90
Drawdown as % of equity-0.14%
 ($51)
Includes Typical Broker Commissions trade costs of $0.94
10/22/24 11:14 TSLA TESLA INC. SHORT 83 215.77 10/22 14:03 217.87 0.23%
Trade id #149793139
Max drawdown($177)
Time10/22/24 14:03
Quant open83
Worst price217.91
Drawdown as % of equity-0.23%
 ($177)
Includes Typical Broker Commissions trade costs of $1.66
10/21/24 10:30 QCOM QUALCOMM SHORT 107 168.92 10/22 10:30 170.70 0.26%
Trade id #149733514
Max drawdown($198)
Time10/22/24 10:30
Quant open107
Worst price170.78
Drawdown as % of equity-0.26%
 ($192)
Includes Typical Broker Commissions trade costs of $2.14
10/21/24 13:38 AMD ADVANCED MICRO DEVICES INC. C LONG 116 157.18 10/22 9:32 154.06 0.51%
Trade id #149741933
Max drawdown($392)
Time10/22/24 9:32
Quant open116
Worst price153.80
Drawdown as % of equity-0.51%
 ($364)
Includes Typical Broker Commissions trade costs of $2.32
10/21/24 13:35 NVDA NVIDIA LONG 128 141.87 10/22 9:31 141.98 0.03%
Trade id #149741924
Max drawdown($24)
Time10/21/24 13:43
Quant open128
Worst price141.68
Drawdown as % of equity-0.03%
 $11
Includes Typical Broker Commissions trade costs of $2.56
10/21/24 6:00 @M2KZ4 MICRO E-MINI RUSSELL 2000 SHORT 1 2290.74 10/21 18:02 2255.82 0.01%
Trade id #149722478
Max drawdown($6)
Time10/21/24 9:33
Quant open1
Worst price2292.10
Drawdown as % of equity-0.01%
 $174
Includes Typical Broker Commissions trade costs of $0.94
10/21/24 10:06 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 2 20531.60 10/21 10:46 20388.62 0.77%
Trade id #149727474
Max drawdown($599)
Time10/21/24 10:46
Quant open2
Worst price20381.80
Drawdown as % of equity-0.77%
 ($574)
Includes Typical Broker Commissions trade costs of $1.88
10/18/24 13:30 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 1 20492.82 10/21 6:45 20380.09 0.3%
Trade id #149697648
Max drawdown($231)
Time10/21/24 6:45
Quant open1
Worst price20377.00
Drawdown as % of equity-0.30%
 ($226)
Includes Typical Broker Commissions trade costs of $0.94
10/20/24 18:00 @M2KZ4 MICRO E-MINI RUSSELL 2000 LONG 1 2294.16 10/21 6:00 2290.68 0.02%
Trade id #149718898
Max drawdown($18)
Time10/21/24 6:00
Quant open1
Worst price2290.50
Drawdown as % of equity-0.02%
 ($18)
Includes Typical Broker Commissions trade costs of $0.94
10/18/24 10:20 MCD MCDONALD'S LONG 57 315.63 10/18 15:30 315.80 0.03%
Trade id #149695275
Max drawdown($22)
Time10/18/24 10:36
Quant open57
Worst price315.24
Drawdown as % of equity-0.03%
 $9
Includes Typical Broker Commissions trade costs of $1.14
10/17/24 13:32 TSLA TESLA INC. LONG 82 221.85 10/18 15:30 221.35 0.28%
Trade id #149687946
Max drawdown($214)
Time10/18/24 9:34
Quant open82
Worst price219.23
Drawdown as % of equity-0.28%
 ($43)
Includes Typical Broker Commissions trade costs of $1.64
10/18/24 11:15 JPM JPMORGAN CHASE LONG 80 225.19 10/18 15:30 225.53 0.03%
Trade id #149695742
Max drawdown($22)
Time10/18/24 13:18
Quant open80
Worst price224.91
Drawdown as % of equity-0.03%
 $25
Includes Typical Broker Commissions trade costs of $1.60
10/18/24 11:00 AVGO BROADCOM LIMITED ORDINARY SHARES SHORT 101 180.32 10/18 15:30 179.56 0.17%
Trade id #149695637
Max drawdown($134)
Time10/18/24 11:31
Quant open101
Worst price181.65
Drawdown as % of equity-0.17%
 $75
Includes Typical Broker Commissions trade costs of $2.02
10/16/24 21:13 @MESZ4 MICRO E-MINI S&P 500 LONG 4 5893.57 10/18 15:00 5896.92 0.12%
Trade id #149680288
Max drawdown($92)
Time10/16/24 22:41
Quant open2
Worst price5871.25
Drawdown as % of equity-0.12%
 $63
Includes Typical Broker Commissions trade costs of $3.76
10/18/24 6:03 @M2KZ4 MICRO E-MINI RUSSELL 2000 SHORT 1 2304.74 10/18 15:00 2293.82 0.03%
Trade id #149693119
Max drawdown($26)
Time10/18/24 9:04
Quant open1
Worst price2310.10
Drawdown as % of equity-0.03%
 $54
Includes Typical Broker Commissions trade costs of $0.94
10/17/24 11:30 JPM JPMORGAN CHASE LONG 81 225.83 10/18 9:32 223.22 0.27%
Trade id #149685819
Max drawdown($213)
Time10/18/24 9:32
Quant open81
Worst price223.20
Drawdown as % of equity-0.27%
 ($214)
Includes Typical Broker Commissions trade costs of $1.62
10/17/24 18:05 @M2KZ4 MICRO E-MINI RUSSELL 2000 LONG 1 2295.12 10/18 6:03 2305.38 0.03%
Trade id #149690370
Max drawdown($27)
Time10/17/24 20:31
Quant open1
Worst price2289.70
Drawdown as % of equity-0.03%
 $50
Includes Typical Broker Commissions trade costs of $0.94
10/16/24 1:46 QMGCZ4 E-Micro Gold LONG 1 2685.9 10/17 22:34 2726.8 0.04%
Trade id #149670029
Max drawdown($28)
Time10/16/24 12:04
Quant open1
Worst price2683.1
Drawdown as % of equity-0.04%
 $408
Includes Typical Broker Commissions trade costs of $0.70
10/17/24 6:02 @M2KZ4 MICRO E-MINI RUSSELL 2000 SHORT 1 2306.35 10/17 18:04 2295.10 0.03%
Trade id #149682700
Max drawdown($26)
Time10/17/24 8:37
Quant open1
Worst price2311.60
Drawdown as % of equity-0.03%
 $55
Includes Typical Broker Commissions trade costs of $0.94
10/16/24 12:55 NVDA NVIDIA LONG 136 134.78 10/17 15:48 137.40 0.02%
Trade id #149675835
Max drawdown($11)
Time10/16/24 13:02
Quant open136
Worst price134.69
Drawdown as % of equity-0.02%
 $353
Includes Typical Broker Commissions trade costs of $2.72
10/15/24 10:30 TSLA TESLA INC. SHORT 84 219.03 10/17 13:32 221.81 0.4%
Trade id #149663050
Max drawdown($318)
Time10/16/24 0:00
Quant open84
Worst price222.82
Drawdown as % of equity-0.40%
 ($236)
Includes Typical Broker Commissions trade costs of $1.68
10/16/24 10:08 MCD MCDONALD'S LONG 59 313.52 10/17 10:27 312.90 0.12%
Trade id #149673397
Max drawdown($97)
Time10/16/24 10:47
Quant open59
Worst price311.86
Drawdown as % of equity-0.12%
 ($38)
Includes Typical Broker Commissions trade costs of $1.18
10/17/24 8:30 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 1 20526.73 10/17 9:35 20445.73 0.24%
Trade id #149683245
Max drawdown($188)
Time10/17/24 9:35
Quant open1
Worst price20432.20
Drawdown as % of equity-0.24%
 ($163)
Includes Typical Broker Commissions trade costs of $0.94
10/15/24 10:15 AMD ADVANCED MICRO DEVICES INC. C SHORT 116 159.12 10/17 9:30 159.91 0.17%
Trade id #149662827
Max drawdown($130)
Time10/17/24 9:30
Quant open116
Worst price160.25
Drawdown as % of equity-0.17%
 ($93)
Includes Typical Broker Commissions trade costs of $2.32
10/14/24 11:00 AVGO BROADCOM LIMITED ORDINARY SHARES SHORT 103 180.71 10/17 9:30 181.61 0.27%
Trade id #149653007
Max drawdown($218)
Time10/14/24 15:49
Quant open103
Worst price182.83
Drawdown as % of equity-0.27%
 ($95)
Includes Typical Broker Commissions trade costs of $2.06
10/16/24 18:03 @M2KZ4 MICRO E-MINI RUSSELL 2000 LONG 1 2305.33 10/17 6:02 2306.22 0.03%
Trade id #149678561
Max drawdown($21)
Time10/16/24 22:41
Quant open1
Worst price2301.10
Drawdown as % of equity-0.03%
 $3
Includes Typical Broker Commissions trade costs of $0.94
10/16/24 6:03 @M2KZ4 MICRO E-MINI RUSSELL 2000 SHORT 1 2277.33 10/16 18:03 2305.54 0.2%
Trade id #149671190
Max drawdown($157)
Time10/16/24 14:15
Quant open1
Worst price2308.90
Drawdown as % of equity-0.20%
 ($142)
Includes Typical Broker Commissions trade costs of $0.94
10/15/24 15:06 CRM SALESFORCE INC SHORT 64 288.23 10/16 15:11 290.22 0.16%
Trade id #149666547
Max drawdown($127)
Time10/16/24 15:11
Quant open64
Worst price290.23
Drawdown as % of equity-0.16%
 ($128)
Includes Typical Broker Commissions trade costs of $1.28
10/14/24 10:00 MCD MCDONALD'S LONG 61 306.39 10/16 9:30 310.75 0.02%
Trade id #149652272
Max drawdown($13)
Time10/14/24 10:07
Quant open61
Worst price306.16
Drawdown as % of equity-0.02%
 $265
Includes Typical Broker Commissions trade costs of $1.22
Next

Statistics

  • Strategy began
    3/31/2023
  • Suggested Minimum Cap
    $80,000
  • Strategy Age (days)
    571.29
  • Age
    19 months ago
  • What it trades
    Stocks, Futures
  • # Trades
    2403
  • # Profitable
    972
  • % Profitable
    40.40%
  • Avg trade duration
    1.6 days
  • Max peak-to-valley drawdown
    20.1%
  • drawdown period
    July 18, 2023 - Aug 16, 2023
  • Annual Return (Compounded)
    81.2%
  • Avg win
    $251.78
  • Avg loss
    $135.78
  • Model Account Values (Raw)
  • Cash
    $80,700
  • Margin Used
    $29,140
  • Buying Power
    $51,797
  • Ratios
  • W:L ratio
    1.26:1
  • Sharpe Ratio
    1.58
  • Sortino Ratio
    2.79
  • Calmar Ratio
    4.769
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    112.56%
  • Correlation to SP500
    0.37590
  • Return Percent SP500 (cumu) during strategy life
    42.39%
  • Verified
  • C2Star
    0
  • Return Statistics
  • Ann Return (w trading costs)
    81.2%
  • Slump
  • Current Slump as Pcnt Equity
    10.10%
  • Instruments
  • Percent Trades Futures
    0.50%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.19%
  • 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)
    0.812%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    0.50%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    88.7%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    24.00%
  • Chance of 20% account loss
    3.50%
  • Chance of 30% account loss
    1.50%
  • 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)
    960
  • Popularity (Last 6 weeks)
    997
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • C2 Score
    940
  • Popularity (7 days, Percentile 1000 scale)
    995
  • Trades-Own-System Certification
  • Trades Own System?
    Yes
  • TOS percent
    100%
  • Win / Loss
  • Avg Loss
    $136
  • Avg Win
    $252
  • Sum Trade PL (losers)
    $194,298.000
  • Age
  • Num Months filled monthly returns table
    20
  • Win / Loss
  • Sum Trade PL (winners)
    $244,733.000
  • # Winners
    972
  • Num Months Winners
    14
  • Dividends
  • Dividends Received in Model Acct
    827
  • AUM
  • AUM (AutoTrader live capital)
    3122580
  • Win / Loss
  • # Losers
    1431
  • % Winners
    40.5%
  • Frequency
  • Avg Position Time (mins)
    2299.15
  • Avg Position Time (hrs)
    38.32
  • Avg Trade Length
    1.6 days
  • Last Trade Ago
    0
  • Leverage
  • Daily leverage (average)
    3.34
  • Daily leverage (max)
    14.75
  • Regression
  • Alpha
    0.11
  • Beta
    1.05
  • Treynor Index
    0.17
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.00
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.44
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.00
  • Avg(MAE) / Avg(PL) - All trades
    2.638
  • 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
    0.175
  • Avg(MAE) / Avg(PL) - Losing trades
    -0.858
  • Hold-and-Hope Ratio
    0.376
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.69698
  • SD
    0.29004
  • Sharpe ratio (Glass type estimate)
    2.40304
  • Sharpe ratio (Hedges UMVUE)
    2.29518
  • df
    17.00000
  • t
    2.94312
  • p
    0.15215
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.58513
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.16475
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.51862
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.07173
  • Statistics related to Sortino ratio
  • Sortino ratio
    8.07621
  • Upside Potential Ratio
    9.64537
  • Upside part of mean
    0.83240
  • Downside part of mean
    -0.13542
  • Upside SD
    0.33539
  • Downside SD
    0.08630
  • N nonnegative terms
    13.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.19982
  • Mean of criterion
    0.69698
  • SD of predictor
    0.11809
  • SD of criterion
    0.29004
  • Covariance
    0.00976
  • r
    0.28503
  • b (slope, estimate of beta)
    0.70007
  • a (intercept, estimate of alpha)
    0.55710
  • Mean Square Error
    0.08212
  • DF error
    16.00000
  • t(b)
    1.18945
  • p(b)
    0.35749
  • t(a)
    2.12735
  • p(a)
    0.26522
  • Lowerbound of 95% confidence interval for beta
    -0.54763
  • Upperbound of 95% confidence interval for beta
    1.94776
  • Lowerbound of 95% confidence interval for alpha
    0.00195
  • Upperbound of 95% confidence interval for alpha
    1.11224
  • Treynor index (mean / b)
    0.99559
  • Jensen alpha (a)
    0.55710
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.64071
  • SD
    0.27314
  • Sharpe ratio (Glass type estimate)
    2.34576
  • Sharpe ratio (Hedges UMVUE)
    2.24046
  • df
    17.00000
  • t
    2.87296
  • p
    0.15698
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.53672
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.09939
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47182
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.00911
  • Statistics related to Sortino ratio
  • Sortino ratio
    7.20012
  • Upside Potential Ratio
    8.76190
  • Upside part of mean
    0.77969
  • Downside part of mean
    -0.13898
  • Upside SD
    0.31105
  • Downside SD
    0.08899
  • N nonnegative terms
    13.00000
  • N negative terms
    5.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    18.00000
  • Mean of predictor
    0.19135
  • Mean of criterion
    0.64071
  • SD of predictor
    0.11625
  • SD of criterion
    0.27314
  • Covariance
    0.00882
  • r
    0.27783
  • b (slope, estimate of beta)
    0.65280
  • a (intercept, estimate of alpha)
    0.51580
  • Mean Square Error
    0.07315
  • DF error
    16.00000
  • t(b)
    1.15687
  • p(b)
    0.36108
  • t(a)
    2.09836
  • p(a)
    0.26772
  • Lowerbound of 95% confidence interval for beta
    -0.54342
  • Upperbound of 95% confidence interval for beta
    1.84901
  • Lowerbound of 95% confidence interval for alpha
    -0.00530
  • Upperbound of 95% confidence interval for alpha
    1.03690
  • Treynor index (mean / b)
    0.98149
  • Jensen alpha (a)
    0.51580
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.07346
  • Expected Shortfall on VaR
    0.10311
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01701
  • Expected Shortfall on VaR
    0.03833
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    18.00000
  • Minimum
    0.92327
  • Quartile 1
    0.99435
  • Median
    1.06463
  • Quartile 3
    1.12286
  • Maximum
    1.23315
  • Mean of quarter 1
    0.96170
  • Mean of quarter 2
    1.02506
  • Mean of quarter 3
    1.09725
  • Mean of quarter 4
    1.15792
  • Inter Quartile Range
    0.12851
  • 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)
    -0.31682
  • VaR(95%) (moments method)
    0.03250
  • Expected Shortfall (moments method)
    0.04107
  • Extreme Value Index (regression method)
    0.06319
  • VaR(95%) (regression method)
    0.05521
  • Expected Shortfall (regression method)
    0.08516
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    4.00000
  • Minimum
    0.01098
  • Quartile 1
    0.03954
  • Median
    0.05160
  • Quartile 3
    0.05978
  • Maximum
    0.07674
  • Mean of quarter 1
    0.01098
  • Mean of quarter 2
    0.04906
  • Mean of quarter 3
    0.05413
  • Mean of quarter 4
    0.07674
  • Inter Quartile Range
    0.02024
  • Number outliers low
    0.00000
  • Percentage of outliers low
    0.00000
  • Mean of outliers low
    0.00000
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.15084
  • Compounded annual return (geometric extrapolation)
    0.95154
  • Calmar ratio (compounded annual return / max draw down)
    12.40030
  • Compounded annual return / average of 25% largest draw downs
    12.40030
  • Compounded annual return / Expected Shortfall lognormal
    9.22825
  • 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
    0.66962
  • SD
    0.32542
  • Sharpe ratio (Glass type estimate)
    2.05770
  • Sharpe ratio (Hedges UMVUE)
    2.05389
  • df
    406.00000
  • t
    2.56465
  • p
    0.00534
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.47755
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.63534
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.47502
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.63276
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.66043
  • Upside Potential Ratio
    11.27190
  • Upside part of mean
    2.06202
  • Downside part of mean
    -1.39240
  • Upside SD
    0.27182
  • Downside SD
    0.18293
  • N nonnegative terms
    208.00000
  • N negative terms
    199.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    407.00000
  • Mean of predictor
    0.20698
  • Mean of criterion
    0.66962
  • SD of predictor
    0.12094
  • SD of criterion
    0.32542
  • Covariance
    0.01515
  • r
    0.38491
  • b (slope, estimate of beta)
    1.03570
  • a (intercept, estimate of alpha)
    0.45500
  • Mean Square Error
    0.09043
  • DF error
    405.00000
  • t(b)
    8.39291
  • p(b)
    -0.00000
  • t(a)
    1.87636
  • p(a)
    0.03066
  • Lowerbound of 95% confidence interval for beta
    0.79311
  • Upperbound of 95% confidence interval for beta
    1.27829
  • Lowerbound of 95% confidence interval for alpha
    -0.02171
  • Upperbound of 95% confidence interval for alpha
    0.93222
  • Treynor index (mean / b)
    0.64654
  • Jensen alpha (a)
    0.45525
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.61685
  • SD
    0.32140
  • Sharpe ratio (Glass type estimate)
    1.91927
  • Sharpe ratio (Hedges UMVUE)
    1.91572
  • df
    406.00000
  • t
    2.39211
  • p
    0.00860
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.34003
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.49617
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.33767
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.49377
  • Statistics related to Sortino ratio
  • Sortino ratio
    3.30930
  • Upside Potential Ratio
    10.87050
  • Upside part of mean
    2.02625
  • Downside part of mean
    -1.40940
  • Upside SD
    0.26410
  • Downside SD
    0.18640
  • N nonnegative terms
    208.00000
  • N negative terms
    199.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    407.00000
  • Mean of predictor
    0.19958
  • Mean of criterion
    0.61685
  • SD of predictor
    0.12096
  • SD of criterion
    0.32140
  • Covariance
    0.01491
  • r
    0.38356
  • b (slope, estimate of beta)
    1.01918
  • a (intercept, estimate of alpha)
    0.41344
  • Mean Square Error
    0.08832
  • DF error
    405.00000
  • t(b)
    8.35827
  • p(b)
    -0.00000
  • t(a)
    1.72498
  • p(a)
    0.04265
  • Lowerbound of 95% confidence interval for beta
    0.77947
  • Upperbound of 95% confidence interval for beta
    1.25888
  • Lowerbound of 95% confidence interval for alpha
    -0.05773
  • Upperbound of 95% confidence interval for alpha
    0.88461
  • Treynor index (mean / b)
    0.60525
  • Jensen alpha (a)
    0.41344
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02985
  • Expected Shortfall on VaR
    0.03784
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01203
  • Expected Shortfall on VaR
    0.02405
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    407.00000
  • Minimum
    0.93541
  • Quartile 1
    0.99342
  • Median
    1.00036
  • Quartile 3
    1.00932
  • Maximum
    1.13268
  • Mean of quarter 1
    0.98201
  • Mean of quarter 2
    0.99700
  • Mean of quarter 3
    1.00466
  • Mean of quarter 4
    1.02699
  • Inter Quartile Range
    0.01591
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.03931
  • Mean of outliers low
    0.95592
  • Number of outliers high
    28.00000
  • Percentage of outliers high
    0.06880
  • Mean of outliers high
    1.05155
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.38439
  • VaR(95%) (moments method)
    0.01845
  • Expected Shortfall (moments method)
    0.03455
  • Extreme Value Index (regression method)
    0.18328
  • VaR(95%) (regression method)
    0.01631
  • Expected Shortfall (regression method)
    0.02486
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    32.00000
  • Minimum
    0.00124
  • Quartile 1
    0.00524
  • Median
    0.01799
  • Quartile 3
    0.05277
  • Maximum
    0.18988
  • Mean of quarter 1
    0.00355
  • Mean of quarter 2
    0.01157
  • Mean of quarter 3
    0.03487
  • Mean of quarter 4
    0.11073
  • Inter Quartile Range
    0.04753
  • 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
    0.09375
  • Mean of outliers high
    0.16053
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.65872
  • VaR(95%) (moments method)
    0.11436
  • Expected Shortfall (moments method)
    0.12922
  • Extreme Value Index (regression method)
    -0.10258
  • VaR(95%) (regression method)
    0.12419
  • Expected Shortfall (regression method)
    0.16194
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    1.10890
  • Compounded annual return (geometric extrapolation)
    0.90553
  • Calmar ratio (compounded annual return / max draw down)
    4.76882
  • Compounded annual return / average of 25% largest draw downs
    8.17757
  • Compounded annual return / Expected Shortfall lognormal
    23.92950
  • 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
    0.52500
  • SD
    0.17386
  • Sharpe ratio (Glass type estimate)
    3.01966
  • Sharpe ratio (Hedges UMVUE)
    3.00220
  • df
    130.00000
  • t
    2.13522
  • p
    0.40796
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.21805
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.80994
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.20648
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.79793
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.18357
  • Upside Potential Ratio
    15.77770
  • Upside part of mean
    1.33958
  • Downside part of mean
    -0.81457
  • Upside SD
    0.15440
  • Downside SD
    0.08490
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.29100
  • Mean of criterion
    0.52500
  • SD of predictor
    0.13104
  • SD of criterion
    0.17386
  • Covariance
    0.00682
  • r
    0.29937
  • b (slope, estimate of beta)
    0.39719
  • a (intercept, estimate of alpha)
    0.40942
  • Mean Square Error
    0.02773
  • DF error
    129.00000
  • t(b)
    3.56360
  • p(b)
    0.31230
  • t(a)
    1.72219
  • p(a)
    0.40492
  • Lowerbound of 95% confidence interval for beta
    0.17667
  • Upperbound of 95% confidence interval for beta
    0.61772
  • Lowerbound of 95% confidence interval for alpha
    -0.06094
  • Upperbound of 95% confidence interval for alpha
    0.87978
  • Treynor index (mean / b)
    1.32178
  • Jensen alpha (a)
    0.40942
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.50959
  • SD
    0.17261
  • Sharpe ratio (Glass type estimate)
    2.95226
  • Sharpe ratio (Hedges UMVUE)
    2.93520
  • df
    130.00000
  • t
    2.08756
  • p
    0.40995
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.15185
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.74160
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.14052
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.72987
  • Statistics related to Sortino ratio
  • Sortino ratio
    5.96963
  • Upside Potential Ratio
    15.55350
  • Upside part of mean
    1.32770
  • Downside part of mean
    -0.81812
  • Upside SD
    0.15255
  • Downside SD
    0.08536
  • N nonnegative terms
    63.00000
  • N negative terms
    68.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.28227
  • Mean of criterion
    0.50959
  • SD of predictor
    0.13128
  • SD of criterion
    0.17261
  • Covariance
    0.00680
  • r
    0.30004
  • b (slope, estimate of beta)
    0.39451
  • a (intercept, estimate of alpha)
    0.39823
  • Mean Square Error
    0.02732
  • DF error
    129.00000
  • t(b)
    3.57243
  • p(b)
    0.31189
  • t(a)
    1.68862
  • p(a)
    0.40672
  • VAR (95 Confidence Intrvl)
    0.03000
  • Lowerbound of 95% confidence interval for beta
    0.17602
  • Upperbound of 95% confidence interval for beta
    0.61301
  • Lowerbound of 95% confidence interval for alpha
    -0.06837
  • Upperbound of 95% confidence interval for alpha
    0.86482
  • Treynor index (mean / b)
    1.29169
  • Jensen alpha (a)
    0.39823
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01547
  • Expected Shortfall on VaR
    0.01984
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00742
  • Expected Shortfall on VaR
    0.01274
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.98210
  • Quartile 1
    0.99472
  • Median
    0.99967
  • Quartile 3
    1.00806
  • Maximum
    1.04066
  • Mean of quarter 1
    0.99076
  • Mean of quarter 2
    0.99713
  • Mean of quarter 3
    1.00402
  • Mean of quarter 4
    1.01659
  • Inter Quartile Range
    0.01334
  • 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
    0.03053
  • Mean of outliers high
    1.03477
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.03786
  • VaR(95%) (moments method)
    0.00976
  • Expected Shortfall (moments method)
    0.01258
  • Extreme Value Index (regression method)
    -0.08863
  • VaR(95%) (regression method)
    0.00953
  • Expected Shortfall (regression method)
    0.01164
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    10.00000
  • Minimum
    0.00124
  • Quartile 1
    0.00391
  • Median
    0.01466
  • Quartile 3
    0.03221
  • Maximum
    0.08826
  • Mean of quarter 1
    0.00288
  • Mean of quarter 2
    0.00722
  • Mean of quarter 3
    0.02522
  • Mean of quarter 4
    0.05466
  • Inter Quartile Range
    0.02830
  • 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
    0.10000
  • Mean of outliers high
    0.08826
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.50133
  • VaR(95%) (moments method)
    0.06381
  • Expected Shortfall (moments method)
    0.07425
  • Extreme Value Index (regression method)
    1.04294
  • VaR(95%) (regression method)
    0.09910
  • Last 4 Months - Pcnt Negative
    0.50%
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -339773000
  • Max Equity Drawdown (num days)
    29
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.61665
  • Compounded annual return (geometric extrapolation)
    0.71171
  • Calmar ratio (compounded annual return / max draw down)
    8.06341
  • Compounded annual return / average of 25% largest draw downs
    13.02160
  • Compounded annual return / Expected Shortfall lognormal
    35.86530

Strategy Description

Our MT-3 algorithmic trading system is a trading system based on more than 200 algo trading models. Each model is created for specific futures, stocks and their timeframe including LONG and SHORT trades. Each trade always includes a stop loss. The strategy works with futures such as MNQ, MES, MGC, MCL, DXS, MYM, BD and highly capitalized stocks.

Our MT-3 algorithmic trading system has an excellent risk/reward ratio. We focus on making sure our system does not lose money rather than making money, although the performance of the system is not bad.

Our MT-3 Algorithmic trading's platform setup includes Multicharts and TWS (Interactive Brokers) running on the Contabo platform in St. Louis, USA 24 hours a day, 7 days a week.

Our MT-3 algorithmic trading system is tradable from USD 30,000 for stocks.

More at https://www.moraviantech.com/trading-systems/mt-3

About Moravian Technologies
We at Moravian Technologies craft spectacular trading systems that work. We also take care of operations of automated trading systems on client SMAs, provide consulting services in business development, trading and software development and we develop custom trading software ourselves.

https://www.moraviantech.com
Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2023-03-31
Suggested Minimum Capital
$80,000
Rank at C2 %
Top 6.0%
Rank # 
#45
# Trades
2403
# Profitable
972
% Profitable
40.4%
Net Dividends
$826
Correlation S&P500
0.376
Sharpe Ratio
1.58
Sortino Ratio
2.79
Beta
1.05
Alpha
0.11
Leverage
3.34 Average
14.75 Maximum
Summary
Higher leverage = greater risk.

More information about leverage

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

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

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

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

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

Latest Activity

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

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

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

About the results you see on this Web site

Past results are not necessarily indicative of future results.

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

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

Material assumptions and methods used when calculating results

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

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

Trading is risky

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

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Suggested Minimum Capital

This is our estimate of the minimum amount of capital to follow a strategy, assuming you use the smallest reasonable AutoTrade Scaling % for the strategy.