Collective2 Collective2
Featured Strategy S2Prox0 +77.8% Annual Return (Compounded) since Dec 23, 2022 Hypothetical

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Dragon Macro Fund
(129830831)

Created by: carval carval
Started: 06/2020
Stocks
Last trade: 1,004 days ago
Trading style: Futures Macro / Fundamental

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
Macro / Fundamental
Category: Equity

Macro / Fundamental

Predicts large-scale events related to national economies, history, and international relations. The strategy typically employs forecasts and analysis of interest rate trends, international trade and payments, political changes, government policies, inter-government relations, and other broad systemic factors.
15.7%
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.

(49.9%)
Max Drawdown
38
Num Trades
63.2%
Win Trades
2.7 : 1
Profit Factor
58.7%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2020                                          +15.2%+4.2%+0.7%+1.4%+3.9%+8.6%+38.2%
2021+0.6%+2.5%+3.1%+10.1%(4.1%)(2.8%)(1.2%)+3.5%(4.1%)+14.5%(5%)(6.5%)+8.9%
2022(13.9%)+3.3%+8.4%(13.3%)(10.4%)(10.5%)+10.4%(2%)(4.6%)(2.9%)(6.8%)(3.2%)(39.4%)
2023+6.8%+3.2%+4.1%+2.7%(6.1%)+6.0%+9.2%(3.6%)(0.1%)+0.9%+16.4%+7.6%+55.8%
2024+0.2%+13.4%+4.9%  -                                                  +19.2%

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 6 trades in real-life brokerage accounts. The most recent trade in a real-money brokerage account occurred more than 1181 days ago.

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Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/28/20 9:30 ICLN2116G30 ICLN Jul16'21 30 call LONG 1 4.70 7/17/21 9:36 0.00 0.6%
Trade id #133043237
Max drawdown($469)
Time6/3/21 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-0.60%
 ($471)
Includes Typical Broker Commissions trade costs of $1.00
1/11/21 10:06 GBTC GRAYSCALE BITCOIN TRUST (BTC) LONG 375 39.42 2/23 9:39 46.51 6.14%
Trade id #133304673
Max drawdown($4,117)
Time1/27/21 0:00
Quant open375
Worst price28.44
Drawdown as % of equity-6.14%
 $2,652
Includes Typical Broker Commissions trade costs of $7.50
2/20/21 9:35 SPY SPDR S&P 500 LONG 100 380.00 2/23 9:33 384.10 n/a $408
Includes Typical Broker Commissions trade costs of $2.00
1/21/21 9:32 SPY2119B380 SPY Feb19'21 380 call LONG 1 10.13 2/20 9:35 0.00 0.96%
Trade id #133509931
Max drawdown($647)
Time1/29/21 0:00
Quant open1
Worst price3.66
Drawdown as % of equity-0.96%
 ($1,014)
Includes Typical Broker Commissions trade costs of $1.00
1/27/21 9:42 BCHG GRAYSCALE BITCOIN CASH TRUST (BCH) SHORT 375 21.00 1/27 10:10 21.50 0.53%
Trade id #133626273
Max drawdown($356)
Time1/27/21 9:45
Quant open375
Worst price21.95
Drawdown as % of equity-0.53%
 ($196)
Includes Typical Broker Commissions trade costs of $7.50
11/2/20 12:45 TLT2115A152 TLT Jan15'21 152 call LONG 1 9.45 1/16/21 9:36 0.00 1.29%
Trade id #132024486
Max drawdown($942)
Time1/15/21 0:00
Quant open1
Worst price0.03
Drawdown as % of equity-1.29%
 ($946)
Includes Typical Broker Commissions trade costs of $1.00
10/26/20 11:32 GBTC GRAYSCALE BITCOIN TRUST (BTC) LONG 374 15.92 1/11/21 9:39 36.08 0.59%
Trade id #131897878
Max drawdown($360)
Time10/26/20 13:44
Quant open340
Worst price13.88
Drawdown as % of equity-0.59%
 $7,535
Includes Typical Broker Commissions trade costs of $7.48
12/19/20 9:35 SPY SPDR S&P 500 SHORT 100 380.00 12/21 10:18 362.34 n/a $1,764
Includes Typical Broker Commissions trade costs of $2.00
10/15/20 9:54 SPY2018X380 SPY Dec18'20 380 put LONG 1 37.33 12/19 9:35 0.00 4.25%
Trade id #131713505
Max drawdown($2,828)
Time12/18/20 0:00
Quant open1
Worst price9.05
Drawdown as % of equity-4.25%
 ($3,734)
Includes Typical Broker Commissions trade costs of $1.00
11/9/20 10:05 SPY2119C354 SPY Mar19'21 354 call LONG 1 22.95 11/10 9:33 16.78 1.2%
Trade id #132151565
Max drawdown($726)
Time11/10/20 0:00
Quant open1
Worst price15.69
Drawdown as % of equity-1.20%
 ($619)
Includes Typical Broker Commissions trade costs of $2.00
10/28/20 10:37 EWG ISHARES MSCI GERMANY INDEX SHORT 100 26.51 11/9 9:30 30.15 0.58%
Trade id #131946094
Max drawdown($364)
Time11/9/20 9:30
Quant open100
Worst price30.15
Drawdown as % of equity-0.58%
 ($366)
Includes Typical Broker Commissions trade costs of $2.00
10/28/20 9:36 VXX2030J28 VXX Oct30'20 28 call LONG 1 0.54 10/31 9:35 0.00 0.09%
Trade id #131942535
Max drawdown($53)
Time10/30/20 0:00
Quant open1
Worst price0.01
Drawdown as % of equity-0.09%
 ($55)
Includes Typical Broker Commissions trade costs of $1.00
7/1/20 9:32 INTC INTEL LONG 84 59.91 10/28 9:56 44.82 2.08%
Trade id #129842419
Max drawdown($1,270)
Time10/28/20 9:51
Quant open84
Worst price44.78
Drawdown as % of equity-2.08%
 ($1,270)
Includes Typical Broker Commissions trade costs of $1.68
9/28/20 9:31 IVV ISHARES CORE S&P 500 ETF LONG 50 334.36 10/26 12:40 338.92 0.16%
Trade id #131391063
Max drawdown($98)
Time10/2/20 0:00
Quant open50
Worst price332.38
Drawdown as % of equity-0.16%
 $227
Includes Typical Broker Commissions trade costs of $1.00
9/21/20 9:31 SPY2030V328 SPY Oct30'20 328 put SHORT 1 11.65 10/12 13:12 1.05 n/a $1,058
Includes Typical Broker Commissions trade costs of $2.00
7/1/20 9:32 GOLD BARRICK GOLD CORP LONG 185 26.98 9/23 15:27 27.06 1.52%
Trade id #129842408
Max drawdown$891
Time8/5/20 9:29
Quant open
Worst price25.87
Drawdown as % of equity1.52%
 $11
Includes Typical Broker Commissions trade costs of $3.70
7/1/20 9:32 GLD SPDR GOLD SHARES LONG 119 167.05 9/23 11:59 175.03 3.94%
Trade id #129842401
Max drawdown$2,362
Time8/6/20 18:20
Quant open
Worst price175.03
Drawdown as % of equity3.94%
 $948
Includes Typical Broker Commissions trade costs of $2.38
9/17/20 9:33 SPX2119O3400 SPX Mar19'21 3400 put LONG 1 272.40 9/21 9:36 309.20 n/a $3,678
Includes Typical Broker Commissions trade costs of $2.00
9/9/20 12:01 KL KIRKLAND LAKE GOLD LTD LONG 188 53.34 9/21 9:36 50.51 1.8%
Trade id #131089310
Max drawdown$1,028
Time9/10/20 9:04
Quant open
Worst price49.68
Drawdown as % of equity1.80%
 ($536)
Includes Typical Broker Commissions trade costs of $3.76
9/17/20 10:26 @MNQU0 MICRO E-MINI NASDAQ 100 SHORT 1 11027.75 9/18 9:30 11121.75 0.4%
Trade id #131221650
Max drawdown$222
Time9/17/20 12:50
Quant open
Worst price11169.80
Drawdown as % of equity0.40%
 ($189)
Includes Typical Broker Commissions trade costs of $0.94
9/11/20 10:17 TQQQ PROSHARES ULTRAPRO QQQ SHORT 50 124.28 9/11 15:56 121.24 0.46%
Trade id #131131627
Max drawdown$262
Time9/11/20 13:32
Quant open
Worst price122.57
Drawdown as % of equity0.46%
 $151
Includes Typical Broker Commissions trade costs of $1.00
9/4/20 9:30 TQQQ PROSHARES ULTRAPRO QQQ SHORT 136 138.15 9/9 10:33 130.80 2.49%
Trade id #130999858
Max drawdown$1,402
Time9/4/20 10:44
Quant open
Worst price146.03
Drawdown as % of equity2.49%
 $997
Includes Typical Broker Commissions trade costs of $2.72
7/1/20 9:32 NOMD NOMAD FOODS LIMITED LONG 233 21.41 9/3 12:40 24.40 0.12%
Trade id #129842387
Max drawdown$69
Time8/6/20 8:00
Quant open
Worst price24.00
Drawdown as % of equity0.12%
 $692
Includes Typical Broker Commissions trade costs of $4.66
7/1/20 9:32 NEM NEWMONT CORP LONG 81 61.77 9/3 12:39 65.30 1.32%
Trade id #129842398
Max drawdown$795
Time8/5/20 10:45
Quant open
Worst price62.40
Drawdown as % of equity1.32%
 $284
Includes Typical Broker Commissions trade costs of $1.62
7/1/20 9:32 LRCX LAM RESEARCH LONG 15 322.15 9/3 12:39 343.32 1.35%
Trade id #129842410
Max drawdown$774
Time8/3/20 9:39
Quant open
Worst price336.05
Drawdown as % of equity1.35%
 $318
Includes Typical Broker Commissions trade costs of $0.30
7/1/20 9:32 IVV ISHARES CORE S&P 500 ETF LONG 32 310.74 8/27 13:25 349.66 0.66%
Trade id #129842416
Max drawdown$343
Time7/13/20 13:37
Quant open
Worst price313.24
Drawdown as % of equity0.66%
 $1,244
Includes Typical Broker Commissions trade costs of $0.64
7/1/20 9:32 ALGN ALIGN TECHNOLOGY LONG 18 275.95 7/31 9:53 294.70 1.24%
Trade id #129842414
Max drawdown$659
Time7/17/20 13:10
Quant open
Worst price289.73
Drawdown as % of equity1.24%
 $338
Includes Typical Broker Commissions trade costs of $0.36
Next

Statistics

  • Strategy began
    6/30/2020
  • Suggested Minimum Cap
    $50,000
  • Strategy Age (days)
    1380.87
  • Age
    46 months ago
  • What it trades
    Stocks, Options
  • # Trades
    38
  • # Profitable
    24
  • % Profitable
    63.20%
  • Avg trade duration
    400.5 days
  • Max peak-to-valley drawdown
    49.9%
  • drawdown period
    Nov 12, 2021 - Jan 03, 2023
  • Annual Return (Compounded)
    15.7%
  • Avg win
    $2,317
  • Avg loss
    $1,649
  • Model Account Values (Raw)
  • Cash
    $27,116
  • Margin Used
    $0
  • Buying Power
    $52,193
  • Ratios
  • W:L ratio
    2.71:1
  • Sharpe Ratio
    0.5
  • Sortino Ratio
    0.7
  • Calmar Ratio
    1.169
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    6.14%
  • Correlation to SP500
    0.36020
  • Return Percent SP500 (cumu) during strategy life
    63.27%
  • Return Statistics
  • Ann Return (w trading costs)
    15.7%
  • Slump
  • Current Slump as Pcnt Equity
    4.10%
  • Instruments
  • Percent Trades Futures
    0.03%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.63%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Instruments
  • Short Options - Percent Covered
    n/a
  • Return Statistics
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    0.157%
  • Instruments
  • Percent Trades Options
    0.23%
  • Percent Trades Stocks
    0.75%
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    15.5%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    22.50%
  • Chance of 20% account loss
    3.50%
  • 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
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    1
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $1,649
  • Avg Win
    $2,317
  • Sum Trade PL (losers)
    $23,089.000
  • Age
  • Num Months filled monthly returns table
    46
  • Win / Loss
  • Sum Trade PL (winners)
    $55,610.000
  • # Winners
    24
  • Num Months Winners
    27
  • Dividends
  • Dividends Received in Model Acct
    6959
  • Win / Loss
  • # Losers
    14
  • % Winners
    63.2%
  • Frequency
  • Avg Position Time (mins)
    576649.00
  • Avg Position Time (hrs)
    9610.82
  • Avg Trade Length
    400.5 days
  • Last Trade Ago
    999
  • Leverage
  • Daily leverage (average)
    1.44
  • Daily leverage (max)
    4.02
  • Regression
  • Alpha
    0.02
  • Beta
    0.60
  • Treynor Index
    0.07
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.03
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.15
  • MAE:Equity, average, winning trades
    0.04
  • MAE:Equity, average, losing trades
    0.03
  • Avg(MAE) / Avg(PL) - All trades
    1.491
  • 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
    0.15
  • Avg(MAE) / Avg(PL) - Winning trades
    0.548
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.028
  • Hold-and-Hope Ratio
    0.929
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.21988
  • SD
    0.39613
  • Sharpe ratio (Glass type estimate)
    0.55507
  • Sharpe ratio (Hedges UMVUE)
    0.52231
  • df
    13.00000
  • t
    0.59954
  • p
    0.39604
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.28216
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.37150
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.30334
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.34795
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.78707
  • Upside Potential Ratio
    2.23386
  • Upside part of mean
    0.62405
  • Downside part of mean
    -0.40417
  • Upside SD
    0.26776
  • Downside SD
    0.27936
  • N nonnegative terms
    11.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.35788
  • Mean of criterion
    0.21988
  • SD of predictor
    0.32860
  • SD of criterion
    0.39613
  • Covariance
    0.08773
  • r
    0.67397
  • b (slope, estimate of beta)
    0.81248
  • a (intercept, estimate of alpha)
    -0.07089
  • Mean Square Error
    0.09278
  • DF error
    12.00000
  • t(b)
    3.16028
  • p(b)
    0.16302
  • t(a)
    -0.23899
  • p(a)
    0.53441
  • Lowerbound of 95% confidence interval for beta
    0.25233
  • Upperbound of 95% confidence interval for beta
    1.37263
  • Lowerbound of 95% confidence interval for alpha
    -0.71719
  • Upperbound of 95% confidence interval for alpha
    0.57540
  • Treynor index (mean / b)
    0.27063
  • Jensen alpha (a)
    -0.07089
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.14059
  • SD
    0.41689
  • Sharpe ratio (Glass type estimate)
    0.33724
  • Sharpe ratio (Hedges UMVUE)
    0.31734
  • df
    13.00000
  • t
    0.36426
  • p
    0.43612
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -1.48819
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.15002
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -1.50133
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.13601
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.44448
  • Upside Potential Ratio
    1.86456
  • Upside part of mean
    0.58978
  • Downside part of mean
    -0.44918
  • Upside SD
    0.25095
  • Downside SD
    0.31631
  • N nonnegative terms
    11.00000
  • N negative terms
    3.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    14.00000
  • Mean of predictor
    0.30393
  • Mean of criterion
    0.14059
  • SD of predictor
    0.32330
  • SD of criterion
    0.41689
  • Covariance
    0.09551
  • r
    0.70864
  • b (slope, estimate of beta)
    0.91377
  • a (intercept, estimate of alpha)
    -0.13713
  • Mean Square Error
    0.09373
  • DF error
    12.00000
  • t(b)
    3.47922
  • p(b)
    0.14568
  • t(a)
    -0.46570
  • p(a)
    0.56662
  • Lowerbound of 95% confidence interval for beta
    0.34153
  • Upperbound of 95% confidence interval for beta
    1.48601
  • Lowerbound of 95% confidence interval for alpha
    -0.77873
  • Upperbound of 95% confidence interval for alpha
    0.50446
  • Treynor index (mean / b)
    0.15386
  • Jensen alpha (a)
    -0.13713
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.16992
  • Expected Shortfall on VaR
    0.20986
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.04010
  • Expected Shortfall on VaR
    0.09989
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    14.00000
  • Minimum
    0.74088
  • Quartile 1
    1.00565
  • Median
    1.03001
  • Quartile 3
    1.09619
  • Maximum
    1.15996
  • Mean of quarter 1
    0.88492
  • Mean of quarter 2
    1.01293
  • Mean of quarter 3
    1.05279
  • Mean of quarter 4
    1.13807
  • Inter Quartile Range
    0.09054
  • Number outliers low
    1.00000
  • Percentage of outliers low
    0.07143
  • Mean of outliers low
    0.74088
  • Number of outliers high
    0.00000
  • Percentage of outliers high
    0.00000
  • Mean of outliers high
    0.00000
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.00000
  • VaR(95%) (moments method)
    0.00000
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    -0.42919
  • VaR(95%) (regression method)
    0.22690
  • Expected Shortfall (regression method)
    0.29291
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.40373
  • Quartile 1
    0.40373
  • Median
    0.40373
  • Quartile 3
    0.40373
  • Maximum
    0.40373
  • Mean of quarter 1
    0.00000
  • Mean of quarter 2
    0.00000
  • Mean of quarter 3
    0.00000
  • Mean of quarter 4
    0.00000
  • Inter Quartile Range
    0.00000
  • 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)
    0.18620
  • Compounded annual return (geometric extrapolation)
    0.18353
  • Calmar ratio (compounded annual return / max draw down)
    0.45458
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    0.87453
  • 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
    0.54154
  • SD
    0.49177
  • Sharpe ratio (Glass type estimate)
    1.10121
  • Sharpe ratio (Hedges UMVUE)
    1.09865
  • df
    323.00000
  • t
    1.22459
  • p
    0.11081
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.66416
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.86491
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.66587
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.86317
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.66583
  • Upside Potential Ratio
    9.02309
  • Upside part of mean
    2.93329
  • Downside part of mean
    -2.39175
  • Upside SD
    0.36950
  • Downside SD
    0.32509
  • N nonnegative terms
    180.00000
  • N negative terms
    144.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    324.00000
  • Mean of predictor
    0.42608
  • Mean of criterion
    0.54154
  • SD of predictor
    0.27913
  • SD of criterion
    0.49177
  • Covariance
    0.06162
  • r
    0.44894
  • b (slope, estimate of beta)
    0.79093
  • a (intercept, estimate of alpha)
    0.20500
  • Mean Square Error
    0.19370
  • DF error
    322.00000
  • t(b)
    9.01545
  • p(b)
    0.00000
  • t(a)
    0.51453
  • p(a)
    0.30362
  • Lowerbound of 95% confidence interval for beta
    0.61833
  • Upperbound of 95% confidence interval for beta
    0.96353
  • Lowerbound of 95% confidence interval for alpha
    -0.57754
  • Upperbound of 95% confidence interval for alpha
    0.98662
  • Treynor index (mean / b)
    0.68469
  • Jensen alpha (a)
    0.20454
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.42163
  • SD
    0.48867
  • Sharpe ratio (Glass type estimate)
    0.86282
  • Sharpe ratio (Hedges UMVUE)
    0.86081
  • df
    323.00000
  • t
    0.95949
  • p
    0.16901
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.90156
  • Upperbound of 95% confidence interval for Sharpe Ratio
    2.62593
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.90292
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.62455
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.25669
  • Upside Potential Ratio
    8.54887
  • Upside part of mean
    2.86823
  • Downside part of mean
    -2.44660
  • Upside SD
    0.35520
  • Downside SD
    0.33551
  • N nonnegative terms
    180.00000
  • N negative terms
    144.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    324.00000
  • Mean of predictor
    0.38715
  • Mean of criterion
    0.42163
  • SD of predictor
    0.27785
  • SD of criterion
    0.48867
  • Covariance
    0.05981
  • r
    0.44052
  • b (slope, estimate of beta)
    0.77476
  • a (intercept, estimate of alpha)
    0.12169
  • Mean Square Error
    0.19305
  • DF error
    322.00000
  • t(b)
    8.80530
  • p(b)
    0.00000
  • t(a)
    0.30684
  • p(a)
    0.37958
  • Lowerbound of 95% confidence interval for beta
    0.60166
  • Upperbound of 95% confidence interval for beta
    0.94787
  • Lowerbound of 95% confidence interval for alpha
    -0.65852
  • Upperbound of 95% confidence interval for alpha
    0.90189
  • Treynor index (mean / b)
    0.54421
  • Jensen alpha (a)
    0.12169
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.04691
  • Expected Shortfall on VaR
    0.05880
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.01934
  • Expected Shortfall on VaR
    0.03982
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    324.00000
  • Minimum
    0.90101
  • Quartile 1
    0.98980
  • Median
    1.00314
  • Quartile 3
    1.01516
  • Maximum
    1.15070
  • Mean of quarter 1
    0.96674
  • Mean of quarter 2
    0.99730
  • Mean of quarter 3
    1.00877
  • Mean of quarter 4
    1.03588
  • Inter Quartile Range
    0.02536
  • Number outliers low
    16.00000
  • Percentage of outliers low
    0.04938
  • Mean of outliers low
    0.92837
  • Number of outliers high
    11.00000
  • Percentage of outliers high
    0.03395
  • Mean of outliers high
    1.09343
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.15379
  • VaR(95%) (moments method)
    0.02889
  • Expected Shortfall (moments method)
    0.04433
  • Extreme Value Index (regression method)
    -0.09977
  • VaR(95%) (regression method)
    0.03303
  • Expected Shortfall (regression method)
    0.04484
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    20.00000
  • Minimum
    0.00096
  • Quartile 1
    0.01283
  • Median
    0.02030
  • Quartile 3
    0.05140
  • Maximum
    0.48534
  • Mean of quarter 1
    0.00611
  • Mean of quarter 2
    0.01566
  • Mean of quarter 3
    0.02867
  • Mean of quarter 4
    0.20452
  • Inter Quartile Range
    0.03857
  • 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
    0.15000
  • Mean of outliers high
    0.27710
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    0.31931
  • VaR(95%) (moments method)
    0.21054
  • Expected Shortfall (moments method)
    0.37167
  • Extreme Value Index (regression method)
    0.94752
  • VaR(95%) (regression method)
    0.29476
  • Expected Shortfall (regression method)
    5.13705
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.60126
  • Compounded annual return (geometric extrapolation)
    0.56759
  • Calmar ratio (compounded annual return / max draw down)
    1.16946
  • Compounded annual return / average of 25% largest draw downs
    2.77526
  • Compounded annual return / Expected Shortfall lognormal
    9.65257
  • 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
    0.45166
  • SD
    0.68296
  • Sharpe ratio (Glass type estimate)
    0.66133
  • Sharpe ratio (Hedges UMVUE)
    0.65751
  • df
    130.00000
  • t
    0.46763
  • p
    0.47951
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.11285
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.43310
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.11545
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.43047
  • Statistics related to Sortino ratio
  • Sortino ratio
    1.02506
  • Upside Potential Ratio
    9.34348
  • Upside part of mean
    4.11692
  • Downside part of mean
    -3.66525
  • Upside SD
    0.51914
  • Downside SD
    0.44062
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.56566
  • Mean of criterion
    0.45166
  • SD of predictor
    0.39289
  • SD of criterion
    0.68296
  • Covariance
    0.13318
  • r
    0.49634
  • b (slope, estimate of beta)
    0.86279
  • a (intercept, estimate of alpha)
    -0.03638
  • Mean Square Error
    0.35425
  • DF error
    129.00000
  • t(b)
    6.49376
  • p(b)
    0.19752
  • t(a)
    -0.04305
  • p(a)
    0.50241
  • Lowerbound of 95% confidence interval for beta
    0.59992
  • Upperbound of 95% confidence interval for beta
    1.12567
  • Lowerbound of 95% confidence interval for alpha
    -1.70838
  • Upperbound of 95% confidence interval for alpha
    1.63561
  • Treynor index (mean / b)
    0.52349
  • Jensen alpha (a)
    -0.03638
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.22337
  • SD
    0.67592
  • Sharpe ratio (Glass type estimate)
    0.33047
  • Sharpe ratio (Hedges UMVUE)
    0.32856
  • df
    130.00000
  • t
    0.23368
  • p
    0.48975
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -2.44223
  • Upperbound of 95% confidence interval for Sharpe Ratio
    3.10197
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -2.44353
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    3.10065
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.48991
  • Upside Potential Ratio
    8.75072
  • Upside part of mean
    3.98982
  • Downside part of mean
    -3.76645
  • Upside SD
    0.49567
  • Downside SD
    0.45594
  • N nonnegative terms
    69.00000
  • N negative terms
    62.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.48914
  • Mean of criterion
    0.22337
  • SD of predictor
    0.39050
  • SD of criterion
    0.67592
  • Covariance
    0.12864
  • r
    0.48737
  • b (slope, estimate of beta)
    0.84358
  • a (intercept, estimate of alpha)
    -0.18926
  • Mean Square Error
    0.35105
  • DF error
    129.00000
  • t(b)
    6.33929
  • p(b)
    0.20249
  • t(a)
    -0.22520
  • p(a)
    0.51262
  • VAR (95 Confidence Intrvl)
    0.04700
  • Lowerbound of 95% confidence interval for beta
    0.58029
  • Upperbound of 95% confidence interval for beta
    1.10687
  • Lowerbound of 95% confidence interval for alpha
    -1.85208
  • Upperbound of 95% confidence interval for alpha
    1.47356
  • Treynor index (mean / b)
    0.26479
  • Jensen alpha (a)
    -0.18926
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.06558
  • Expected Shortfall on VaR
    0.08164
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.03130
  • Expected Shortfall on VaR
    0.06005
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.90101
  • Quartile 1
    0.97977
  • Median
    1.00211
  • Quartile 3
    1.01978
  • Maximum
    1.15070
  • Mean of quarter 1
    0.95120
  • Mean of quarter 2
    0.99361
  • Mean of quarter 3
    1.01049
  • Mean of quarter 4
    1.05228
  • Inter Quartile Range
    0.04001
  • Number outliers low
    4.00000
  • Percentage of outliers low
    0.03053
  • Mean of outliers low
    0.90898
  • Number of outliers high
    6.00000
  • Percentage of outliers high
    0.04580
  • Mean of outliers high
    1.11712
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -0.53943
  • VaR(95%) (moments method)
    0.04735
  • Expected Shortfall (moments method)
    0.05430
  • Extreme Value Index (regression method)
    -0.20016
  • VaR(95%) (regression method)
    0.04662
  • Expected Shortfall (regression method)
    0.05807
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    6.00000
  • Minimum
    0.00418
  • Quartile 1
    0.00838
  • Median
    0.02529
  • Quartile 3
    0.15887
  • Maximum
    0.48534
  • Mean of quarter 1
    0.00563
  • Mean of quarter 2
    0.01227
  • Mean of quarter 3
    0.03831
  • Mean of quarter 4
    0.34220
  • Inter Quartile Range
    0.15049
  • 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
    0.16667
  • Mean of outliers high
    0.48534
  • 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
    n/a
  • Expected Shortfall (regression method)
    0.00000
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -426620000
  • Max Equity Drawdown (num days)
    417
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.26774
  • Compounded annual return (geometric extrapolation)
    0.28567
  • Calmar ratio (compounded annual return / max draw down)
    0.58859
  • Compounded annual return / average of 25% largest draw downs
    0.83480
  • Compounded annual return / Expected Shortfall lognormal
    3.49919

Strategy Description

CORE Macro Investing strategy is a discretionary strategy focused on macroeconomics and cycle investing.
Key points:
• Medium to long-horizon based on Macro scenario with daily constant active management.
• All investments are based on quantitative and qualitative analysis.
• A Macroeconomic top to the bottom strategy, to probe the current markets situation to decide the asset allocation and afterward a bottom to the top strategy.

Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2020-06-30
Suggested Minimum Capital
$80,000
# Trades
38
# Profitable
24
% Profitable
63.2%
Net Dividends
$6,959
Correlation S&P500
0.360
Sharpe Ratio
0.50
Sortino Ratio
0.70
Beta
0.60
Alpha
0.02
Leverage
1.44 Average
4.02 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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