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

Quant AI pro
(150222268)

Created by: Futures-Trader Futures-Trader
Started: 12/2024
Futures
Last trade: 2 days ago
Trading style: Futures Short Term

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 $1,000.00 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
Short Term
Category: Equity

Short Term

Makes short-term trades or bases analysis on short-term market movements.
16.8%
Cumul. Return

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 Cumulative Rate of Return is calculated

= (Ending_equity - Starting_equity) / Starting_equity

Remember that, following NFA requirements, strategy subscription costs and estimated commissions are included in marked-to-market equity calculations.

All results are hypothetical.

(2.7%)
Max Drawdown
24
Num Trades
70.8%
Win Trades
5.3 : 1
Profit Factor
-
Win Months

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

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Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/19/24 16:00 @RTYH5 Russell 2000 CME LONG 2 2245.30 12/20 10:00 2257.20 2.95%
Trade id #150369101
Max drawdown($3,361)
Time12/20/24 0:00
Quant open2
Worst price2211.69
Drawdown as % of equity-2.95%
$1,174
Includes Typical Broker Commissions trade costs of $16.00
12/19/24 12:00 QNGF5 Natural Gas LONG 1 3.557 12/19 14:30 3.583 0.68%
Trade id #150366151
Max drawdown($780)
Time12/19/24 13:28
Quant open1
Worst price3.479
Drawdown as % of equity-0.68%
$252
Includes Typical Broker Commissions trade costs of $8.00
12/18/24 16:00 @RTYH5 Russell 2000 CME LONG 2 2256.80 12/19 10:00 2269.70 1.62%
Trade id #150358501
Max drawdown($1,850)
Time12/18/24 16:10
Quant open2
Worst price2238.30
Drawdown as % of equity-1.62%
$1,274
Includes Typical Broker Commissions trade costs of $16.00
12/18/24 9:45 QCLG5 CRUDE OIL LONG 1 70.40 12/18 14:30 69.97 0.39%
Trade id #150352429
Max drawdown($450)
Time12/18/24 14:30
Quant open1
Worst price69.95
Drawdown as % of equity-0.39%
($438)
Includes Typical Broker Commissions trade costs of $8.00
12/17/24 16:00 @RTYH5 Russell 2000 CME LONG 2 2363.40 12/18 10:00 2372.90 0.4%
Trade id #150347582
Max drawdown($450)
Time12/17/24 18:03
Quant open2
Worst price2358.90
Drawdown as % of equity-0.40%
$934
Includes Typical Broker Commissions trade costs of $16.00
12/16/24 14:30 QNGF5 Natural Gas LONG 1 3.216 12/17 8:00 3.183 0.33%
Trade id #150337397
Max drawdown($380)
Time12/17/24 7:56
Quant open1
Worst price3.178
Drawdown as % of equity-0.33%
($338)
Includes Typical Broker Commissions trade costs of $8.00
12/16/24 4:30 QNGF5 Natural Gas SHORT 1 3.164 12/16 14:00 3.217 0.8%
Trade id #150331533
Max drawdown($890)
Time12/16/24 10:55
Quant open1
Worst price3.253
Drawdown as % of equity-0.80%
($538)
Includes Typical Broker Commissions trade costs of $8.00
12/16/24 9:35 @MNQH5 MICRO E-MINI NASDAQ 100 LONG 14 22211.00 12/16 10:45 22296.75 0.43%
Trade id #150333282
Max drawdown($476)
Time12/16/24 9:38
Quant open14
Worst price22194.00
Drawdown as % of equity-0.43%
$2,388
Includes Typical Broker Commissions trade costs of $13.16
12/13/24 9:00 QNGF5 Natural Gas SHORT 2 3.330 12/13 14:30 3.280 0.17%
Trade id #150317797
Max drawdown($190)
Time12/13/24 9:05
Quant open1
Worst price3.400
Drawdown as % of equity-0.17%
$974
Includes Typical Broker Commissions trade costs of $16.00
12/13/24 9:38 @ESZ4 E-MINI S&P 500 LONG 2 6077.25 12/13 9:53 6078.00 n/a $59
Includes Typical Broker Commissions trade costs of $16.00
12/12/24 9:00 QNGF5 Natural Gas SHORT 1 3.363 12/13 8:00 3.429 1.78%
Trade id #150308233
Max drawdown($1,960)
Time12/12/24 13:06
Quant open1
Worst price3.559
Drawdown as % of equity-1.78%
($668)
Includes Typical Broker Commissions trade costs of $8.00
12/11/24 10:15 QCLF5 CRUDE OIL LONG 2 69.53 12/11 14:30 70.34 0.8%
Trade id #150300099
Max drawdown($880)
Time12/11/24 10:44
Quant open2
Worst price69.09
Drawdown as % of equity-0.80%
$1,604
Includes Typical Broker Commissions trade costs of $16.00
12/11/24 9:35 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 14 21610.25 12/11 10:53 21691.00 0.41%
Trade id #150299189
Max drawdown($441)
Time12/11/24 9:38
Quant open14
Worst price21594.50
Drawdown as % of equity-0.41%
$2,248
Includes Typical Broker Commissions trade costs of $13.16
12/10/24 10:34 @ESZ4 E-MINI S&P 500 SHORT 2 6072.50 12/10 11:44 6063.00 0.26%
Trade id #150289541
Max drawdown($275)
Time12/10/24 10:45
Quant open2
Worst price6075.25
Drawdown as % of equity-0.26%
$934
Includes Typical Broker Commissions trade costs of $16.00
12/9/24 7:00 QNGF5 Natural Gas LONG 2 3.220 12/10 10:26 3.142 1.41%
Trade id #150276972
Max drawdown($1,505)
Time12/10/24 9:12
Quant open1
Worst price3.069
Drawdown as % of equity-1.41%
($1,576)
Includes Typical Broker Commissions trade costs of $16.00
12/5/24 15:30 QGCG5 Gold 100 oz LONG 1 2651.9 12/8 18:00 2665.4 1.65%
Trade id #150258371
Max drawdown($1,630)
Time12/5/24 20:10
Quant open1
Worst price2635.6
Drawdown as % of equity-1.65%
$1,342
Includes Typical Broker Commissions trade costs of $8.00
12/6/24 9:30 @NQZ4 E-MINI NASDAQ 100 STK IDX LONG 2 21507.00 12/6 11:44 21623.25 n/a $4,634
Includes Typical Broker Commissions trade costs of $16.00
12/6/24 9:30 @MNQZ4 MICRO E-MINI NASDAQ 100 LONG 14 21507.50 12/6 11:41 21630.75 n/a $3,438
Includes Typical Broker Commissions trade costs of $13.16
12/5/24 14:31 QNGF5 Natural Gas SHORT 1 3.080 12/6 8:00 3.039 0.14%
Trade id #150258016
Max drawdown($140)
Time12/5/24 16:12
Quant open1
Worst price3.094
Drawdown as % of equity-0.14%
$402
Includes Typical Broker Commissions trade costs of $8.00
12/5/24 9:00 QNGF5 Natural Gas SHORT 1 3.112 12/5 10:00 3.128 0.19%
Trade id #150250264
Max drawdown($190)
Time12/5/24 9:57
Quant open1
Worst price3.131
Drawdown as % of equity-0.19%
($168)
Includes Typical Broker Commissions trade costs of $8.00
12/4/24 9:00 QNGF5 Natural Gas SHORT 1 3.018 12/5 8:00 3.076 0.93%
Trade id #150240397
Max drawdown($920)
Time12/5/24 0:00
Quant open1
Worst price3.110
Drawdown as % of equity-0.93%
($588)
Includes Typical Broker Commissions trade costs of $8.00
12/4/24 13:00 QCLF5 CRUDE OIL SHORT 2 68.79 12/4 14:31 68.59 0.41%
Trade id #150244397
Max drawdown($400)
Time12/4/24 13:02
Quant open2
Worst price68.99
Drawdown as % of equity-0.41%
$384
Includes Typical Broker Commissions trade costs of $16.00
12/2/24 15:57 QRBF5 RBOB Gasoline LONG 1 1.9177 12/2 19:00 1.9185 0.03%
Trade id #150226680
Max drawdown($33)
Time12/2/24 16:01
Quant open1
Worst price1.9169
Drawdown as % of equity-0.03%
$26
Includes Typical Broker Commissions trade costs of $8.00

Statistics

  • Strategy began
    12/2/2024
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    19.97
  • Age
    20 days ago
  • What it trades
    Futures
  • # Trades
    24
  • # Profitable
    17
  • % Profitable
    70.80%
  • Avg trade duration
    13.3 hours
  • Max peak-to-valley drawdown
    2.68%
  • drawdown period
    Dec 19, 2024 - Dec 20, 2024
  • Avg win
    $1,314
  • Avg loss
    $607.14
  • Model Account Values (Raw)
  • Cash
    $118,032
  • Margin Used
    $16,458
  • Buying Power
    $101,644
  • Ratios
  • W:L ratio
    5.26:1
  • Sharpe Ratio
  • Sortino Ratio
  • Calmar Ratio
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    18.70%
  • Return Percent SP500 (cumu) during strategy life
    -1.92%
  • Return Statistics
  • Ann Return (w trading costs)
    1116.8%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Futures
    1.00%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    n/a
  • Instruments
  • Percent Trades Stocks
    n/a
  • Slump
  • Current Slump as Pcnt Equity
    n/a
  • 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)
    0.168%
  • Instruments
  • Percent Trades Forex
    n/a
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    1709.6%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    n/a
  • Chance of 20% account loss
    n/a
  • Chance of 30% account loss
    n/a
  • 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
    98.18%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    980
  • Popularity (Last 6 weeks)
    953
  • Popularity (7 days, Percentile 1000 scale)
    977
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • C2 Score
    932
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Win
    $1,315
  • Avg Loss
    $607
  • Sum Trade PL (losers)
    $4,250.000
  • Sum Trade PL (winners)
    $22,352.000
  • # Winners
    17
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • Num Months Winners
    1
  • Age
  • Num Months filled monthly returns table
    1
  • Win / Loss
  • # Losers
    7
  • % Winners
    70.8%
  • Frequency
  • Avg Position Time (mins)
    798.77
  • Avg Position Time (hrs)
    13.31
  • Avg Trade Length
    0.6 days
  • Last Trade Ago
    2
  • Leverage
  • Daily leverage (average)
    3.93
  • Daily leverage (max)
    17.35
  • Maximum Adverse Excursion (MAE)
  • Hold-and-Hope Ratio
    0.554
  • Analysis based on DAILY values, last 6 months only
  • DRAW DOWN STATISTICS
  • Risk estimates based on draw downs (based on Extreme Value T
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • Max Equity Drawdown (num days)
    1
  • Last 4 Months - Pcnt Negative
    n/a
  • Strat Max DD how much worse than SP500 max DD during strat life?
    -422943000

Strategy Description

Futures portfolio consisting of stock indices and commodities. The majority of systems are intraday while a few are swing. Backtested to 2007 where the highest drawdown was 45K at current position sizes.

Personally, I trade live in my Tradestation account ALL signals generated in this strategy. I trade the portfolio with 250K initial capital but can be traded with 150K or even 125K but it would be considered aggressive and little risky in regards to margin call on some occasions, depending on which broker you have for intraday margin.

The maximum stop per position is 3% of 250K = 7,5K Several simultaneous positions can be opened, but is has never happened that the maximum stop hits two markets at the same time and even for one market, other exits usually take precedence over a possible maximum stop.

According to C2, you may not start a portfolio larger than 100K and you may not bring in new subscribers when the portfolio exceeds 125 K. Therefore, it is important to emphasize that the model size of C2 may be too small to trade with if I occasionally rescale below 125 K to be able to bring in any subscribers.

Summary Statistics

Strategy began
2024-12-02
Suggested Minimum Capital
$100,000
Rank at C2 %
Top 6.8%
Rank # 
#102
# Trades
24
# Profitable
17
% Profitable
70.8%
Sharpe Ratio
-
Sortino Ratio
0.00
Beta
0.00
Alpha
0.00
Leverage
3.93 Average
17.35 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

#PERSONNAME#
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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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.