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ares P2

Futures · Started Sep 2024

hypothetical · Annual Return (Compounded)
20.0%
Max Drawdown
13.0%
Trades
200
Win Trades
37.0%
Profit Factor
1.50
Win Months
45.8%
Subscribe Full access for $100/month

Hypothetical Monthly Returns (includes fees/commissions)

YearJanFebMarAprMayJunJulAugSepOctNovDecYTD
2024-0.33.02.313.018.7
2025-2.9-0.8-2.7-1.1-0.4-1.8-1.96.1-0.10.84.23.72.7
2026-2.016.8-6.11.7-0.23.04.0-0.116.7

Statistics

Overview

Strategy began9/21/2024
Suggested Minimum Capital$70,000
Age23 months
C2 RankTop 4.7%
What it tradesFutures
# Trades200
# Profitable74
% Profitable37.0%
Avg trade duration2.3 hours
Max peak-to-valley drawdown13.0%
drawdown periodJan 10, 2025 - Aug 04, 2025
Annual Return (Compounded)20.0%
Avg win$1,059
Avg loss$423

Ratios

W:L ratio1.47
Sharpe Ratio1.17
Sortino Ratio2.22
Calmar Ratio2.61

CORRELATION STATISTICS

Correlation to SP500-0.04
Return Percent SP500 (cumu) during strategy life34.6%
Return of Strat Pcnt - Return of SP500 Pcnt (cumu)7.7%

Return Statistics

Ann Return (w trading costs)20.0%
Return Pcnt (Compound or Annual, age-based, NFA compliant)0.2%
Return Pcnt Since TOS Status0.0%
Ann Return (Compnd, No Fees)23.5%

Slump

Current Slump as Pcnt Equity3.7%
Current Slump, time of slump as pcnt of strategy life0.0%

Instruments

Percent Trades Forex0.0%
Percent Trades Futures1.0%
Percent Trades Options0.0%
Short Options - Percent Covered100.0%
Percent Trades Stocks0.0%

Risk of Ruin (Monte-Carlo)

Chance of 10% account loss7.5%
Chance of 20% account loss0.5%
Chance of 30% account loss0.0%
Chance of 40% account loss0.0%
Chance of 50% account loss0.0%
Chance of 60% account loss (Monte Carlo)0.0%
Chance of 70% account loss (Monte Carlo)0.0%
Chance of 80% account loss (Monte Carlo)0.0%
Chance of 90% account loss (Monte Carlo)0.0%

Automation

Percentage Signals Automated0.0%

Popularity

Popularity (Today)623
Popularity (Last 6 weeks)960
C2 Score953
Popularity (7 days, Percentile 1000 scale)894

Trading Style

Any stock shorts? 0/10

Trades-Own-System Certification

Trades Own System?0
TOS percent0.0%

Win / Loss

Avg Loss$423
Avg Win$1,059
# Winners74
Sum Trade PL (losers)$53,292
Sum Trade PL (winners)$78,350
Num Months Winners11
# Losers126
% Winners37.0%

Dividends

Dividends Received in Model Acct0

Age

Num Months filled monthly returns table24

Frequency

Avg Position Time (mins)136.32
Avg Position Time (hrs)2.27
Avg Trade Length0.10
Last Trade Ago2

Leverage

Daily leverage (average)3.18
Daily leverage (max)7.90

Regression

Alpha0.05
Beta-0.03
Treynor Index-1.60

Maximum Adverse Excursion (MAE)

MAE:Equity, average, all trades0.01
MAE:Equity, 95th Percentile Value for this strat0.01
MAE:Equity, average, losing trades0.01
MAE:Equity, losing trades only, 95th Percentile Value for this strat
MAE:Equity, average, winning trades0
MAE:Equity, win trades only, 95th Percentile Value for this strat
Avg(MAE) / Avg(PL) - All trades9.43
MAE:PL (avg, all trades)-0.49
MAE:PL (avg, losing trades)
MAE:PL (avg, winning trades)
MAE:PL - worst single value for strategy
Avg(MAE) / Avg(PL) - Winning trades0.25
Avg(MAE) / Avg(PL) - Losing trades-1.29
Hold-and-Hope Ratio0.11

RATIO STATISTICS

Mean0.21
SD0.17
Sharpe ratio (Glass type estimate)1.26
Sharpe ratio (Hedges UMVUE)1.21
df21
t1.71
p0.28
Lowerbound of 95% confidence interval for Sharpe Ratio-0.25
Upperbound of 95% confidence interval for Sharpe Ratio2.74
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.28
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.71
Sortino ratio3.15
Upside Potential Ratio4.78
Upside part of mean0.32
Downside part of mean-0.11
Upside SD0.16
Downside SD0.07
N nonnegative terms13
N negative terms9
N of observations22
Mean of predictor0.13
Mean of criterion0.21
SD of predictor0.12
SD of criterion0.17
Covariance0.00
r0.05
b (slope, estimate of beta)0.07
a (intercept, estimate of alpha)0.20
Mean Square Error0.03
DF error20
t(b)0.24
p(b)0.47
t(a)1.52
p(a)0.34
Lowerbound of 95% confidence interval for beta-0.55
Upperbound of 95% confidence interval for beta0.70
Lowerbound of 95% confidence interval for alpha-0.07
Upperbound of 95% confidence interval for alpha0.47
Treynor index (mean / b)2.89
Jensen alpha (a)0.20
Mean0.19
SD0.16
Sharpe ratio (Glass type estimate)1.22
Sharpe ratio (Hedges UMVUE)1.18
df21
t1.65
p0.29
Lowerbound of 95% confidence interval for Sharpe Ratio-0.29
Upperbound of 95% confidence interval for Sharpe Ratio2.70
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-0.31
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation2.67
Sortino ratio2.86
Upside Potential Ratio4.48
Upside part of mean0.30
Downside part of mean-0.11
Upside SD0.15
Downside SD0.07
N nonnegative terms13
N negative terms9
N of observations22
Mean of predictor0.12
Mean of criterion0.19
SD of predictor0.12
SD of criterion0.16
Covariance0.00
r0.07
b (slope, estimate of beta)0.10
a (intercept, estimate of alpha)0.18
Mean Square Error0.03
DF error20
t(b)0.33
p(b)0.46
t(a)1.46
p(a)0.34
Lowerbound of 95% confidence interval for beta-0.51
Upperbound of 95% confidence interval for beta0.71
Lowerbound of 95% confidence interval for alpha-0.08
Upperbound of 95% confidence interval for alpha0.44
Treynor index (mean / b)2.01
Jensen alpha (a)0.18
VaR(95%)0.06
Expected Shortfall on VaR0.08
VaR(95%)0.02
Expected Shortfall on VaR0.04
Mean0.20
SD0.12
Sharpe ratio (Glass type estimate)1.64
Sharpe ratio (Hedges UMVUE)1.64
df494
t2.25
p0.01
Lowerbound of 95% confidence interval for Sharpe Ratio0.21
Upperbound of 95% confidence interval for Sharpe Ratio3.07
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.21
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.07
Sortino ratio3.15
Upside Potential Ratio10.24
Upside part of mean0.64
Downside part of mean-0.44
Upside SD0.10
Downside SD0.06
N nonnegative terms124
N negative terms371
N of observations495
Mean of predictor0.14
Mean of criterion0.20
SD of predictor0.16
SD of criterion0.12
Covariance-0.00
r-0.04
b (slope, estimate of beta)-0.03
a (intercept, estimate of alpha)0.20
Mean Square Error0.01
DF error493
t(b)-0.98
p(b)0.84
t(a)2.30
p(a)0.01
Lowerbound of 95% confidence interval for beta-0.10
Upperbound of 95% confidence interval for beta0.03
Lowerbound of 95% confidence interval for alpha0.03
Upperbound of 95% confidence interval for alpha0.37
Treynor index (mean / b)-6.06
Jensen alpha (a)0.20
Mean0.19
SD0.12
Sharpe ratio (Glass type estimate)1.59
Sharpe ratio (Hedges UMVUE)1.59
df494
t2.19
p0.01
Lowerbound of 95% confidence interval for Sharpe Ratio0.16
Upperbound of 95% confidence interval for Sharpe Ratio3.02
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation0.16
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation3.02
Sortino ratio3.01
Upside Potential Ratio10.09
Upside part of mean0.63
Downside part of mean-0.45
Upside SD0.10
Downside SD0.06
N nonnegative terms124
N negative terms371
N of observations495
Mean of predictor0.13
Mean of criterion0.19
SD of predictor0.16
SD of criterion0.12
Covariance-0.00
r-0.04
b (slope, estimate of beta)-0.03
a (intercept, estimate of alpha)0.19
Mean Square Error0.01
DF error493
t(b)-0.97
p(b)0.83
t(a)2.23
p(a)0.01
Lowerbound of 95% confidence interval for beta-0.10
Upperbound of 95% confidence interval for beta0.03
Lowerbound of 95% confidence interval for alpha0.02
Upperbound of 95% confidence interval for alpha0.36
Treynor index (mean / b)-5.92
Jensen alpha (a)0.19
VaR(95%)0.01
Expected Shortfall on VaR0.01
VaR(95%)0.00
Expected Shortfall on VaR0.01
Mean0.18
SD0.12
Sharpe ratio (Glass type estimate)1.47
Sharpe ratio (Hedges UMVUE)1.46
df130
t1.04
p0.45
Lowerbound of 95% confidence interval for Sharpe Ratio-1.31
Upperbound of 95% confidence interval for Sharpe Ratio4.25
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.31
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.24
Sortino ratio2.62
Upside Potential Ratio10.64
Upside part of mean0.74
Downside part of mean-0.56
Upside SD0.10
Downside SD0.07
N nonnegative terms34
N negative terms97
N of observations131
Mean of predictor0.21
Mean of criterion0.18
SD of predictor0.14
SD of criterion0.12
Covariance0.00
r0.04
b (slope, estimate of beta)0.03
a (intercept, estimate of alpha)0.18
Mean Square Error0.02
DF error129
t(b)0.45
p(b)0.47
t(a)0.99
p(a)0.44
Lowerbound of 95% confidence interval for beta-0.12
Upperbound of 95% confidence interval for beta0.19
Lowerbound of 95% confidence interval for alpha-0.17
Upperbound of 95% confidence interval for alpha0.52
Treynor index (mean / b)5.30
Jensen alpha (a)0.18
Mean0.17
SD0.12
Sharpe ratio (Glass type estimate)1.42
Sharpe ratio (Hedges UMVUE)1.41
df130
t1.00
p0.46
Lowerbound of 95% confidence interval for Sharpe Ratio-1.36
Upperbound of 95% confidence interval for Sharpe Ratio4.19
Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation-1.37
Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation4.19
Sortino ratio2.49
Upside Potential Ratio10.51
Upside part of mean0.74
Downside part of mean-0.56
Upside SD0.10
Downside SD0.07
N nonnegative terms34
N negative terms97
N of observations131
Mean of predictor0.20
Mean of criterion0.17
SD of predictor0.14
SD of criterion0.12
Covariance0.00
r0.04
b (slope, estimate of beta)0.04
a (intercept, estimate of alpha)0.17
Mean Square Error0.02
DF error129
t(b)0.46
p(b)0.47
t(a)0.96
p(a)0.45
Lowerbound of 95% confidence interval for beta-0.12
VAR (95 Confidence Intrvl)0.01
Upperbound of 95% confidence interval for beta0.19
Lowerbound of 95% confidence interval for alpha-0.18
Upperbound of 95% confidence interval for alpha0.52
Treynor index (mean / b)4.94
Jensen alpha (a)0.17
VaR(95%)0.01
Expected Shortfall on VaR0.01
VaR(95%)0.01
Expected Shortfall on VaR0.01

ORDER STATISTICS

Number of observations22
Minimum0.94
Quartile 10.99
Median1.02
Quartile 31.04
Maximum1.16
Mean of quarter 10.97
Mean of quarter 21.00
Mean of quarter 31.03
Mean of quarter 41.07
Inter Quartile Range0.05
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.05
Mean of outliers high1.16
Extreme Value Index (moments method)0.31
VaR(95%) (moments method)0.03
Expected Shortfall (moments method)0.05
Extreme Value Index (regression method)-1.34
VaR(95%) (regression method)0.03
Expected Shortfall (regression method)0.03
Number of observations495
Minimum0.98
Quartile 11.00
Median1
Quartile 31.00
Maximum1.04
Mean of quarter 10.99
Mean of quarter 21.00
Mean of quarter 31
Mean of quarter 41.01
Inter Quartile Range0.00
Number outliers low100
Percentage of outliers low0.20
Mean of outliers low0.99
Number of outliers high108
Percentage of outliers high0.22
Mean of outliers high1.01
Extreme Value Index (moments method)-0.89
VaR(95%) (moments method)0.00
Expected Shortfall (moments method)0.00
Extreme Value Index (regression method)-0.14
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.01
Number of observations131
Minimum0.99
Quartile 11.00
Median1
Quartile 31.00
Maximum1.03
Mean of quarter 10.99
Mean of quarter 21.00
Mean of quarter 31.00
Mean of quarter 41.01
Inter Quartile Range0.00
Number outliers low9
Percentage of outliers low0.07
Mean of outliers low0.99
Number of outliers high19
Percentage of outliers high0.15
Mean of outliers high1.02
Extreme Value Index (moments method)-0.23
VaR(95%) (moments method)0.01
Expected Shortfall (moments method)0.01
Extreme Value Index (regression method)-0.45
VaR(95%) (regression method)0.01
Expected Shortfall (regression method)0.01

DRAW DOWN STATISTICS

Number of observations4
Minimum0.02
Quartile 10.02
Median0.04
Quartile 30.06
Maximum0.07
Mean of quarter 10.02
Mean of quarter 20.02
Mean of quarter 30.06
Mean of quarter 40.07
Inter Quartile Range0.04
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high0
Percentage of outliers high0
Mean of outliers high0
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Number of observations24
Minimum0.00
Quartile 10.00
Median0.01
Quartile 30.03
Maximum0.09
Mean of quarter 10.00
Mean of quarter 20.01
Mean of quarter 30.02
Mean of quarter 40.05
Inter Quartile Range0.02
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high2
Percentage of outliers high0.08
Mean of outliers high0.08
Extreme Value Index (moments method)0.43
VaR(95%) (moments method)0.05
Expected Shortfall (moments method)0.10
Extreme Value Index (regression method)2.36
VaR(95%) (regression method)0.05
Expected Shortfall (regression method)0
Number of observations5
Minimum0.00
Quartile 10.02
Median0.03
Quartile 30.03
Maximum0.07
Mean of quarter 10.01
Mean of quarter 20.03
Mean of quarter 30.03
Mean of quarter 40.07
Inter Quartile Range0.01
Number outliers low0
Percentage of outliers low0
Mean of outliers low0
Number of outliers high1
Percentage of outliers high0.20
Mean of outliers high0.07
Extreme Value Index (moments method)0
VaR(95%) (moments method)0
Expected Shortfall (moments method)0
Extreme Value Index (regression method)0
VaR(95%) (regression method)0
Expected Shortfall (regression method)0
Strat Max DD how much worse than SP500 max DD during strat life?-391853536
Max Equity Drawdown (num days)206
Last 4 Months - Pcnt Negative0.5%

COMBINED STATISTICS

Annualized return (arithmetic extrapolation)0.27
Compounded annual return (geometric extrapolation)0.25
Calmar ratio (compounded annual return / max draw down)3.74
Compounded annual return / average of 25% largest draw downs3.74
Compounded annual return / Expected Shortfall lognormal3.30
j156mfCOMBRisPar0
j157mfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.27
Compounded annual return (geometric extrapolation)0.24
Calmar ratio (compounded annual return / max draw down)2.61
Compounded annual return / average of 25% largest draw downs5.24
Compounded annual return / Expected Shortfall lognormal16.91
j313dfCOMBRisPar0
j314dfCOMBRisPar0
Annualized return (arithmetic extrapolation)0.21
Compounded annual return (geometric extrapolation)0.22
Calmar ratio (compounded annual return / max draw down)3.45
Compounded annual return / average of 25% largest draw downs3.45
Compounded annual return / Expected Shortfall lognormal15.04

Trading record

Placed 398 trades in real-life brokerage accounts.

SymbolSideQtyOpenedClosedP/L
MNQ U6short5Aug 21, 2026Aug 21, 2026($41)
MNQ U6short6Aug 18, 2026Aug 18, 2026($691)
MNQ U6short7Aug 18, 2026Aug 18, 2026($640)
MNQ U6long4Aug 17, 2026Aug 17, 2026($590)
MNQ U6long4Aug 13, 2026Aug 13, 2026$1,293
MNQ U6long3Aug 7, 2026Aug 7, 2026($592)
MNQ U6long3Aug 7, 2026Aug 7, 2026($609)
MNQ U6long2Aug 4, 2026Aug 4, 2026$1,958
MNQ U6short1Jul 31, 2026Jul 31, 2026($388)
MNQ U6long2Jul 30, 2026Jul 30, 2026$655
MNQ U6short3Jul 27, 2026Jul 27, 2026$2,119
MNQ U6short5Jul 23, 2026Jul 23, 2026($49)
MNQ U6long2Jul 21, 2026Jul 21, 2026$58
MNQ U6short3Jul 21, 2026Jul 21, 2026($646)
MNQ U6short2Jul 16, 2026Jul 16, 2026($478)
MNQ U6short3Jul 15, 2026Jul 15, 2026$1,277
MNQ U6short3Jul 15, 2026Jul 15, 2026($536)
MNQ U6short2Jul 14, 2026Jul 14, 2026($531)
MNQ U6short4Jul 13, 2026Jul 13, 2026$170
MNQ U6short4Jul 13, 2026Jul 13, 2026($669)
MNQ U6long2Jul 9, 2026Jul 9, 2026$293
MNQ U6long2Jul 9, 2026Jul 9, 2026($507)
MNQ U6short2Jul 7, 2026Jul 7, 2026($9)
MNQ U6long2Jul 6, 2026Jul 6, 2026($583)
MNQ U6short3Jul 2, 2026Jul 2, 2026$2,675
MNQ U6long2Jun 30, 2026Jun 30, 2026$1,363
MNQ U6long2Jun 29, 2026Jun 29, 2026($607)
MNQ U6short2Jun 25, 2026Jun 25, 2026$1,421
MNQ U6short2Jun 17, 2026Jun 17, 2026($483)
MNQ M6long1Jun 11, 2026Jun 11, 2026($484)

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.