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Simplicity Trading
(107448037)

Created by: JosefWright JosefWright
Started: 11/2016
Futures
Last trade: 2 days ago

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 $199.00 per month.

208.6%
Annual Return (Compounded)
14.0%
Max Drawdown
38
Num Trades
94.7%
Win Trades
15.7 : 1
Profit Factor
100.0%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2016                                                                      +4.2%+35.7%+41.4%
2017+18.3%+7.9%+17.2%+5.1%+3.6%+12.8%+11.0%+8.8%+1.1%+0.4%+1.1%+3.9%+136.9%

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 74 trades in real-life brokerage accounts.

Download CSV
Long
Short
Both
Win
Loss
Both
Opened Date/TimeSymbolDescriptionSideQtyAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/1/17 14:20 EXZ7 DJ EURO STOXX 50 LONG 3 3541.13 12/4 9:42 3580.37 0.26%
Trade id #115150024
Max drawdown($145)
Time12/1/17 15:02
Quant open3
Worst price3537.00
Drawdown as % of equity-0.26%
$1,370
Includes Typical Broker Commissions trade costs of $24.00
11/9/17 15:58 EXZ7 DJ EURO STOXX 50 LONG 12 3577.88 11/21 15:56 3569.41 10.91%
Trade id #114778662
Max drawdown($5,379)
Time11/15/17 9:40
Quant open6
Worst price3515.00
Drawdown as % of equity-10.91%
($1,289)
Includes Typical Broker Commissions trade costs of $96.00
11/14/17 15:58 @ESZ7 E-MINI S&P 500 LONG 2 2570.29 11/21 15:55 2591.25 2.23%
Trade id #114855729
Max drawdown($1,100)
Time11/15/17 9:40
Quant open1
Worst price2555.50
Drawdown as % of equity-2.23%
$2,080
Includes Typical Broker Commissions trade costs of $16.00
10/19/17 15:58 EXZ7 DJ EURO STOXX 50 LONG 3 3591.63 10/26 8:26 3604.28 0.37%
Trade id #114379427
Max drawdown($205)
Time10/25/17 12:25
Quant open0
Worst price3568.00
Drawdown as % of equity-0.37%
$420
Includes Typical Broker Commissions trade costs of $24.00
9/25/17 15:59 @ESZ7 E-MINI S&P 500 LONG 1.001 2495.19 9/29 10:41 2511.00 0.09%
Trade id #113848712
Max drawdown($49)
Time9/26/17 11:28
Quant open0
Worst price2492.25
Drawdown as % of equity-0.09%
$783
Includes Typical Broker Commissions trade costs of $8.00
8/17/17 15:58 @ESU7 E-MINI S&P 500 LONG 1.999 2427.39 8/22 15:01 2446.88 0.74%
Trade id #113209604
Max drawdown($388)
Time8/21/17 10:24
Quant open0
Worst price2415.75
Drawdown as % of equity-0.74%
$1,932
Includes Typical Broker Commissions trade costs of $16.00
8/10/17 15:59 @ESU7 E-MINI S&P 500 LONG 1.001 2437.27 8/14 11:01 2464.50 0.23%
Trade id #113092753
Max drawdown($116)
Time8/11/17 7:51
Quant open0
Worst price2430.25
Drawdown as % of equity-0.23%
$1,355
Includes Typical Broker Commissions trade costs of $8.00
8/1/17 10:28 @ESU7 E-MINI S&P 500 LONG 1.001 2469.53 8/7 14:18 2476.25 0.21%
Trade id #112919474
Max drawdown($104)
Time8/2/17 11:00
Quant open0
Worst price2463.25
Drawdown as % of equity-0.21%
$329
Includes Typical Broker Commissions trade costs of $8.00
8/1/17 4:52 EXU7 DJ EURO STOXX 50 LONG 2.666 3461.86 8/4 9:25 3489.00 0.6%
Trade id #112912929
Max drawdown($301)
Time8/3/17 3:56
Quant open0
Worst price3433.00
Drawdown as % of equity-0.60%
$836
Includes Typical Broker Commissions trade costs of $21.32
7/21/17 15:56 EXU7 DJ EURO STOXX 50 LONG 5.333 3454.29 7/26 5:45 3490.07 0.61%
Trade id #112729068
Max drawdown($292)
Time7/24/17 5:22
Quant open0
Worst price3425.00
Drawdown as % of equity-0.61%
$2,175
Includes Typical Broker Commissions trade costs of $42.65
7/6/17 15:56 EXU7 DJ EURO STOXX 50 LONG 2.333 3445.00 7/10 15:49 3475.00 0.04%
Trade id #112452200
Max drawdown($17)
Time7/7/17 3:26
Quant open0
Worst price3443.00
Drawdown as % of equity-0.04%
$779
Includes Typical Broker Commissions trade costs of $18.66
6/29/17 16:01 @ESU7 E-MINI S&P 500 LONG 0.667 2419.99 7/10 15:49 2427.75 0.35%
Trade id #112291855
Max drawdown($163)
Time7/6/17 15:45
Quant open0
Worst price2405.25
Drawdown as % of equity-0.35%
$254
Includes Typical Broker Commissions trade costs of $5.34
6/29/17 15:56 EXU7 DJ EURO STOXX 50 LONG 4.668 3453.39 7/4 11:27 3482.00 0.56%
Trade id #112291631
Max drawdown($255)
Time6/30/17 11:31
Quant open0
Worst price3425.00
Drawdown as % of equity-0.56%
$1,479
Includes Typical Broker Commissions trade costs of $37.33
6/27/17 15:57 EXU7 DJ EURO STOXX 50 LONG 2.333 3511.00 6/28 15:44 3534.37 0.46%
Trade id #112243840
Max drawdown($204)
Time6/28/17 4:23
Quant open0
Worst price3488.00
Drawdown as % of equity-0.46%
$602
Includes Typical Broker Commissions trade costs of $18.66
6/27/17 15:56 @ESU7 E-MINI S&P 500 LONG 0.667 2418.48 6/28 15:43 2438.50 0.12%
Trade id #112243829
Max drawdown($52)
Time6/28/17 4:24
Quant open0
Worst price2413.75
Drawdown as % of equity-0.12%
$663
Includes Typical Broker Commissions trade costs of $5.34
6/16/17 2:00 EXU7 DJ EURO STOXX 50 LONG 2.333 3527.25 6/19 2:24 3561.96 0.19%
Trade id #112090663
Max drawdown($80)
Time6/16/17 10:36
Quant open0
Worst price3518.00
Drawdown as % of equity-0.19%
$888
Includes Typical Broker Commissions trade costs of $18.66
6/13/17 2:00 EXM7 DJ EURO STOXX 50 LONG 2.333 3545.00 6/13 15:43 3564.99 n/a $504
Includes Typical Broker Commissions trade costs of $18.66
6/6/17 15:58 EXM7 DJ EURO STOXX 50 LONG 4.668 3546.27 6/9 11:05 3587.48 0.19%
Trade id #111940607
Max drawdown($78)
Time6/7/17 12:52
Quant open0
Worst price3533.00
Drawdown as % of equity-0.19%
$2,114
Includes Typical Broker Commissions trade costs of $37.32
5/31/17 15:54 EXM7 DJ EURO STOXX 50 LONG 2.333 3550.00 6/1 15:57 3574.99 0.04%
Trade id #111858681
Max drawdown($17)
Time5/31/17 16:00
Quant open0
Worst price3548.00
Drawdown as % of equity-0.04%
$635
Includes Typical Broker Commissions trade costs of $18.66
5/30/17 15:54 EXM7 DJ EURO STOXX 50 LONG 2.333 3546.01 5/31 7:53 3572.00 0.09%
Trade id #111837312
Max drawdown($35)
Time5/31/17 3:38
Quant open0
Worst price3542.00
Drawdown as % of equity-0.09%
$662
Includes Typical Broker Commissions trade costs of $18.66
5/17/17 15:58 EXM7 DJ EURO STOXX 50 LONG 1.999 3537.00 5/19 5:44 3563.00 0.58%
Trade id #111651894
Max drawdown($223)
Time5/18/17 5:58
Quant open0
Worst price3507.00
Drawdown as % of equity-0.58%
$564
Includes Typical Broker Commissions trade costs of $16.00
5/17/17 15:58 @ESM7 E-MINI S&P 500 LONG 0.667 2355.75 5/18 16:02 2364.50 0.33%
Trade id #111651899
Max drawdown($125)
Time5/18/17 5:58
Quant open0
Worst price2344.50
Drawdown as % of equity-0.33%
$287
Includes Typical Broker Commissions trade costs of $5.34
4/13/17 15:59 EXM7 DJ EURO STOXX 50 LONG 6.667 3358.00 4/20 5:13 3374.00 1.71%
Trade id #110983831
Max drawdown($615)
Time4/18/17 12:02
Quant open0
Worst price3326.00
Drawdown as % of equity-1.71%
$1,095
Includes Typical Broker Commissions trade costs of $53.35
4/12/17 16:03 @ESM7 E-MINI S&P 500 LONG 4.001 2339.87 4/17 16:04 2344.50 1.14%
Trade id #110951255
Max drawdown($408)
Time4/16/17 18:01
Quant open0
Worst price2322.75
Drawdown as % of equity-1.14%
$894
Includes Typical Broker Commissions trade costs of $32.00
3/23/17 18:00 @ESM7 E-MINI S&P 500 LONG 1.999 2340.00 3/28 11:56 2351.00 1.14%
Trade id #110410285
Max drawdown($395)
Time3/27/17 2:43
Quant open0
Worst price2317.75
Drawdown as % of equity-1.14%
$1,083
Includes Typical Broker Commissions trade costs of $16.00
3/21/17 16:50 @ESM7 E-MINI S&P 500 LONG 1.665 2340.75 3/23 12:21 2354.75 0.7%
Trade id #110364437
Max drawdown($236)
Time3/22/17 2:38
Quant open0
Worst price2332.25
Drawdown as % of equity-0.70%
$1,153
Includes Typical Broker Commissions trade costs of $13.32
3/8/17 16:00 @ESH7 E-MINI S&P 500 LONG 3.334 2363.00 3/10 10:24 2374.50 1.52%
Trade id #110119647
Max drawdown($500)
Time3/9/17 14:17
Quant open0
Worst price2354.00
Drawdown as % of equity-1.52%
$1,890
Includes Typical Broker Commissions trade costs of $26.68
2/27/17 2:01 EXH7 DJ EURO STOXX 50 LONG 2.666 3313.00 3/1 3:49 3360.00 0.37%
Trade id #109861076
Max drawdown($113)
Time2/28/17 7:23
Quant open0
Worst price3301.00
Drawdown as % of equity-0.37%
$1,300
Includes Typical Broker Commissions trade costs of $21.32
2/6/17 15:51 EXH7 DJ EURO STOXX 50 LONG 5.333 3234.00 2/9 6:28 3267.00 1.52%
Trade id #109320620
Max drawdown($433)
Time2/8/17 9:53
Quant open0
Worst price3211.00
Drawdown as % of equity-1.52%
$1,836
Includes Typical Broker Commissions trade costs of $42.65
2/6/17 3:56 EXH7 DJ EURO STOXX 50 LONG 1.999 3263.00 2/6 5:55 3277.00 0.02%
Trade id #109296482
Max drawdown($7)
Time2/6/17 3:58
Quant open0
Worst price3262.00
Drawdown as % of equity-0.02%
$285
Includes Typical Broker Commissions trade costs of $16.00

Statistics

  • Strategy began
    11/23/2016
  • Starting Unit Size
    $50,000
  • Strategy Age (days)
    388.13
  • Age
    13 months ago
  • What it trades
    Futures
  • # Trades
    38
  • # Profitable
    36
  • % Profitable
    94.70%
  • Avg trade duration
    3.7 days
  • Max peak-to-valley drawdown
    14.01%
  • drawdown period
    Oct 24, 2017 - Nov 15, 2017
  • Annual Return (Compounded)
    208.6%
  • Avg win
    $1,266
  • Avg loss
    $1,450
  • Model Account Values (Raw)
  • Cash
    $58,589
  • Margin Used
    $9,155
  • Buying Power
    $50,186
  • Ratios
  • W:L ratio
    15.71:1
  • Sharpe Ratio
    4.408
  • Sortino Ratio
    15.794
  • Calmar Ratio
    23.457
  • CORRELATION STATISTICS
  • Correlation to SP500
    0.31400
  • Return Statistics
  • Ann Return (w trading costs)
    208.6%
  • Ann Return (Compnd, No Fees)
    229.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    9.00%
  • Chance of 20% account loss
    0.50%
  • Chance of 30% account loss
    n/a
  • Chance of 40% account loss
    n/a
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    970
  • Popularity (Last 6 weeks)
    999
  • C2 Score
    99.1
  • Trades-Own-System Certification
  • Trades Own System?
    0
  • TOS percent
    n/a
  • Subscription Price
  • Billing Period (days)
    30
  • Trial Days
    0
  • Win / Loss
  • Avg Loss
    $1,450
  • Avg Win
    $1,266
  • # Winners
    36
  • # Losers
    2
  • % Winners
    94.7%
  • Frequency
  • Avg Position Time (mins)
    5315.42
  • Avg Position Time (hrs)
    88.59
  • Avg Trade Length
    3.7 days
  • Last Trade Ago
    1
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.37599
  • SD
    0.51272
  • Sharpe ratio (Glass type estimate)
    2.68371
  • Sharpe ratio (Hedges UMVUE)
    2.49574
  • df
    11.00000
  • t
    2.68371
  • p
    0.01063
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.38679
  • Upperbound of 95% confidence interval for Sharpe Ratio
    4.88961
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.27559
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    4.71589
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.37599
  • Downside part of mean
    0.00000
  • Upside SD
    0.63147
  • Downside SD
    0.00000
  • N nonnegative terms
    12.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.15438
  • Mean of criterion
    1.37599
  • SD of predictor
    0.04701
  • SD of criterion
    0.51272
  • Covariance
    0.00279
  • r
    0.11588
  • b (slope, estimate of beta)
    1.26393
  • a (intercept, estimate of alpha)
    1.18086
  • Mean Square Error
    0.28529
  • DF error
    10.00000
  • t(b)
    0.36893
  • p(b)
    0.35993
  • t(a)
    1.57095
  • p(a)
    0.07363
  • Lowerbound of 95% confidence interval for beta
    -6.36943
  • Upperbound of 95% confidence interval for beta
    8.89728
  • Lowerbound of 95% confidence interval for alpha
    -0.49399
  • Upperbound of 95% confidence interval for alpha
    2.85571
  • Treynor index (mean / b)
    1.08866
  • Jensen alpha (a)
    1.18086
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.21867
  • SD
    0.40299
  • Sharpe ratio (Glass type estimate)
    3.02406
  • Sharpe ratio (Hedges UMVUE)
    2.81225
  • df
    11.00000
  • t
    3.02406
  • p
    0.00579
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.65222
  • Upperbound of 95% confidence interval for Sharpe Ratio
    5.29963
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.52699
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    5.09751
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    1.21867
  • Downside part of mean
    0.00000
  • Upside SD
    0.52214
  • Downside SD
    0.00000
  • N nonnegative terms
    12.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    12.00000
  • Mean of predictor
    0.15206
  • Mean of criterion
    1.21867
  • SD of predictor
    0.04645
  • SD of criterion
    0.40299
  • Covariance
    0.00157
  • r
    0.08372
  • b (slope, estimate of beta)
    0.72645
  • a (intercept, estimate of alpha)
    1.10821
  • Mean Square Error
    0.17739
  • DF error
    10.00000
  • t(b)
    0.26569
  • p(b)
    0.39794
  • t(a)
    1.87255
  • p(a)
    0.04531
  • Lowerbound of 95% confidence interval for beta
    -5.36573
  • Upperbound of 95% confidence interval for beta
    6.81863
  • Lowerbound of 95% confidence interval for alpha
    -0.21044
  • Upperbound of 95% confidence interval for alpha
    2.42686
  • Treynor index (mean / b)
    1.67757
  • Jensen alpha (a)
    1.10821
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.08588
  • Expected Shortfall on VaR
    0.12846
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    12.00000
  • Minimum
    1.00800
  • Quartile 1
    1.04993
  • Median
    1.07950
  • Quartile 3
    1.12816
  • Maximum
    1.56275
  • Mean of quarter 1
    1.01741
  • Mean of quarter 2
    1.06030
  • Mean of quarter 3
    1.10784
  • Mean of quarter 4
    1.28242
  • Inter Quartile Range
    0.07823
  • 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
    0.08333
  • Mean of outliers high
    1.56275
  • 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)
    0.00000
  • VaR(95%) (regression method)
    0.00000
  • Expected Shortfall (regression method)
    0.00000
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    0.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00000
  • Median
    0.00000
  • Quartile 3
    0.00000
  • Maximum
    0.00000
  • 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)
    2.47843
  • Compounded annual return (geometric extrapolation)
    2.47843
  • Calmar ratio (compounded annual return / max draw down)
    0.00000
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    19.29350
  • 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
    1.23178
  • SD
    0.27868
  • Sharpe ratio (Glass type estimate)
    4.42006
  • Sharpe ratio (Hedges UMVUE)
    4.40777
  • df
    270.00000
  • t
    4.49534
  • p
    0.00001
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.45327
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.37895
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.44510
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.37045
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.79420
  • Upside Potential Ratio
    19.53080
  • Upside part of mean
    1.52319
  • Downside part of mean
    -0.29141
  • Upside SD
    0.27764
  • Downside SD
    0.07799
  • N nonnegative terms
    97.00000
  • N negative terms
    174.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    271.00000
  • Mean of predictor
    0.16176
  • Mean of criterion
    1.23178
  • SD of predictor
    0.06910
  • SD of criterion
    0.27868
  • Covariance
    0.00619
  • r
    0.32143
  • b (slope, estimate of beta)
    1.29640
  • a (intercept, estimate of alpha)
    1.02200
  • Mean Square Error
    0.06990
  • DF error
    269.00000
  • t(b)
    5.56722
  • p(b)
    0.00000
  • t(a)
    3.89113
  • p(a)
    0.00006
  • Lowerbound of 95% confidence interval for beta
    0.83793
  • Upperbound of 95% confidence interval for beta
    1.75487
  • Lowerbound of 95% confidence interval for alpha
    0.50493
  • Upperbound of 95% confidence interval for alpha
    1.53922
  • Treynor index (mean / b)
    0.95015
  • Jensen alpha (a)
    1.02208
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    1.19210
  • SD
    0.26837
  • Sharpe ratio (Glass type estimate)
    4.44195
  • Sharpe ratio (Hedges UMVUE)
    4.42960
  • df
    270.00000
  • t
    4.51760
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    2.47481
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.40120
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    2.46658
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.39263
  • Statistics related to Sortino ratio
  • Sortino ratio
    15.04290
  • Upside Potential Ratio
    18.75900
  • Upside part of mean
    1.48658
  • Downside part of mean
    -0.29448
  • Upside SD
    0.26627
  • Downside SD
    0.07925
  • N nonnegative terms
    97.00000
  • N negative terms
    174.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    271.00000
  • Mean of predictor
    0.15931
  • Mean of criterion
    1.19210
  • SD of predictor
    0.06910
  • SD of criterion
    0.26837
  • Covariance
    0.00599
  • r
    0.32315
  • b (slope, estimate of beta)
    1.25506
  • a (intercept, estimate of alpha)
    0.99215
  • Mean Square Error
    0.06474
  • DF error
    269.00000
  • t(b)
    5.60059
  • p(b)
    0.00000
  • t(a)
    3.92591
  • p(a)
    0.00005
  • Lowerbound of 95% confidence interval for beta
    0.81385
  • Upperbound of 95% confidence interval for beta
    1.69625
  • Lowerbound of 95% confidence interval for alpha
    0.49459
  • Upperbound of 95% confidence interval for alpha
    1.48971
  • Treynor index (mean / b)
    0.94984
  • Jensen alpha (a)
    0.99215
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02247
  • Expected Shortfall on VaR
    0.02920
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00291
  • Expected Shortfall on VaR
    0.00662
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    271.00000
  • Minimum
    0.96110
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00429
  • Maximum
    1.13634
  • Mean of quarter 1
    0.99584
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00092
  • Mean of quarter 4
    1.02241
  • Inter Quartile Range
    0.00429
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.04428
  • Mean of outliers low
    0.98133
  • Number of outliers high
    41.00000
  • Percentage of outliers high
    0.15129
  • Mean of outliers high
    1.03239
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.68349
  • VaR(95%) (moments method)
    0.00266
  • Expected Shortfall (moments method)
    0.01189
  • Extreme Value Index (regression method)
    -0.02267
  • VaR(95%) (regression method)
    0.00395
  • Expected Shortfall (regression method)
    0.00774
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    24.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00019
  • Median
    0.00187
  • Quartile 3
    0.00772
  • Maximum
    0.10177
  • Mean of quarter 1
    0.00002
  • Mean of quarter 2
    0.00084
  • Mean of quarter 3
    0.00549
  • Mean of quarter 4
    0.03723
  • Inter Quartile Range
    0.00753
  • 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
    0.16667
  • Mean of outliers high
    0.04905
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    -0.11652
  • VaR(95%) (moments method)
    0.02731
  • Expected Shortfall (moments method)
    0.03755
  • Extreme Value Index (regression method)
    0.61913
  • VaR(95%) (regression method)
    0.05231
  • Expected Shortfall (regression method)
    0.16418
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    2.44808
  • Compounded annual return (geometric extrapolation)
    2.38720
  • Calmar ratio (compounded annual return / max draw down)
    23.45740
  • Compounded annual return / average of 25% largest draw downs
    64.11730
  • Compounded annual return / Expected Shortfall lognormal
    81.76370
  • 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
    0.58814
  • SD
    0.16370
  • Sharpe ratio (Glass type estimate)
    3.59282
  • Sharpe ratio (Hedges UMVUE)
    3.57205
  • df
    130.00000
  • t
    2.54051
  • p
    0.39126
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.78023
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.39210
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.76645
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.37766
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.90626
  • Upside Potential Ratio
    10.37390
  • Upside part of mean
    0.88345
  • Downside part of mean
    -0.29530
  • Upside SD
    0.14374
  • Downside SD
    0.08516
  • N nonnegative terms
    45.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16514
  • Mean of criterion
    0.58814
  • SD of predictor
    0.06774
  • SD of criterion
    0.16370
  • Covariance
    0.00327
  • r
    0.29446
  • b (slope, estimate of beta)
    0.71163
  • a (intercept, estimate of alpha)
    0.47063
  • Mean Square Error
    0.02466
  • DF error
    129.00000
  • t(b)
    3.49958
  • p(b)
    0.31529
  • t(a)
    2.09519
  • p(a)
    0.38515
  • Lowerbound of 95% confidence interval for beta
    0.30930
  • Upperbound of 95% confidence interval for beta
    1.11396
  • Lowerbound of 95% confidence interval for alpha
    0.02621
  • Upperbound of 95% confidence interval for alpha
    0.91505
  • Treynor index (mean / b)
    0.82648
  • Jensen alpha (a)
    0.47063
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.57430
  • SD
    0.16228
  • Sharpe ratio (Glass type estimate)
    3.53892
  • Sharpe ratio (Hedges UMVUE)
    3.51846
  • df
    130.00000
  • t
    2.50239
  • p
    0.39281
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.72746
  • Upperbound of 95% confidence interval for Sharpe Ratio
    6.33719
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.71386
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    6.32307
  • Statistics related to Sortino ratio
  • Sortino ratio
    6.62772
  • Upside Potential Ratio
    10.07810
  • Upside part of mean
    0.87328
  • Downside part of mean
    -0.29898
  • Upside SD
    0.14101
  • Downside SD
    0.08665
  • N nonnegative terms
    45.00000
  • N negative terms
    86.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.16279
  • Mean of criterion
    0.57430
  • SD of predictor
    0.06776
  • SD of criterion
    0.16228
  • Covariance
    0.00323
  • r
    0.29350
  • b (slope, estimate of beta)
    0.70290
  • a (intercept, estimate of alpha)
    0.45988
  • Mean Square Error
    0.02425
  • DF error
    129.00000
  • t(b)
    3.48710
  • p(b)
    0.31587
  • t(a)
    2.06525
  • p(a)
    0.38672
  • Lowerbound of 95% confidence interval for beta
    0.30408
  • Upperbound of 95% confidence interval for beta
    1.10171
  • Lowerbound of 95% confidence interval for alpha
    0.01931
  • Upperbound of 95% confidence interval for alpha
    0.90044
  • Treynor index (mean / b)
    0.81705
  • Jensen alpha (a)
    0.45988
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.01420
  • Expected Shortfall on VaR
    0.01831
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00299
  • Expected Shortfall on VaR
    0.00682
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    131.00000
  • Minimum
    0.96160
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00313
  • Maximum
    1.06473
  • Mean of quarter 1
    0.99580
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00037
  • Mean of quarter 4
    1.01317
  • Inter Quartile Range
    0.00313
  • Number outliers low
    7.00000
  • Percentage of outliers low
    0.05344
  • Mean of outliers low
    0.98247
  • Number of outliers high
    21.00000
  • Percentage of outliers high
    0.16031
  • Mean of outliers high
    1.01826
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    0.89682
  • VaR(95%) (moments method)
    0.00245
  • Expected Shortfall (moments method)
    0.03274
  • Extreme Value Index (regression method)
    -0.22711
  • VaR(95%) (regression method)
    0.00421
  • Expected Shortfall (regression method)
    0.00779
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    14.00000
  • Minimum
    0.00000
  • Quartile 1
    0.00002
  • Median
    0.00116
  • Quartile 3
    0.00606
  • Maximum
    0.10177
  • Mean of quarter 1
    0.00001
  • Mean of quarter 2
    0.00047
  • Mean of quarter 3
    0.00281
  • Mean of quarter 4
    0.03122
  • Inter Quartile Range
    0.00604
  • 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
    0.07143
  • Mean of outliers high
    0.10177
  • Risk estimates based on draw downs (based on Extreme Value T
  • Extreme Value Index (moments method)
    1.16870
  • VaR(95%) (moments method)
    0.03323
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    3.64452
  • VaR(95%) (regression method)
    0.07109
  • Expected Shortfall (regression method)
    0.00000
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.70270
  • Compounded annual return (geometric extrapolation)
    0.82615
  • Calmar ratio (compounded annual return / max draw down)
    8.11799
  • Compounded annual return / average of 25% largest draw downs
    26.46020
  • Compounded annual return / Expected Shortfall lognormal
    45.11590

Strategy Description

***Simplicity Trading is designed for investors with a minimum pot of 50k. We have developed a second system called 'Simplicity Trading Lite' that is designed for smaller pots (10k minimum).

Key Features:
· The system is based on a trend following approach, trading pullbacks
· Trades can be long or short reflecting the longer term trend, historically the system is long circa 60% of the time
· This is a purely mechanical system with no discretionary elements
· Trades are placed manually when signals are generated, usually around the close of the US markets but this may vary
· This is not a high frequency systems, we would expect 1-2 trades per week on average
· The system trades only two markets the S&P500 and EUSTOXX50
· The system has been actively traded on a real account for 5 years and refined during this time
· The system has been backtested from 2001 and in this testing has produced consistently profitable results
· Based on this backtesting staking levels are set to target an average return of around 5-6% per month, with compounding this aims to produce an annual return of circa 80%
· At these levels drawdown can be expected in the range of 5-15% in normal trading scenarios, in extreme cases we have seen short term drawdown of up to 30% in backtesting. Future results and drawdown may of course be larger or smaller than seen to date. Backtesting data is hypothetical and has not been verified by C2.
· While no system can guarantee risk-free or low-risk trading, and while unforeseen events can cause you to lose all your money we do make an effort to control risk. Current trading size on Collective2 is based on the level of risk seen in backtesting as described above.
· Please message us if you have any other questions

Summary Statistics

Strategy began
2016-11-23
Minimum Capital Required
$50,000
# Trades
38
# Profitable
36
% Profitable
94.7%
Correlation S&P500
0.314
Sharpe Ratio
4.408

Latest Activity

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subscribed on started simulation #SUBSCRIBEDDATE#

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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