Collective2 Collective2
Featured Strategy MT3 Algotrading +80.0% Annual Return (Compounded) since Mar 31, 2023 Hypothetical

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Dekalog
(38699793)

Created by: AndrewShackloc2 AndrewShackloc2
Started: 02/2009
Futures
Last trade: 4,707 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. You can subscribe to this system for free.

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.

-0.7%
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.

(30.9%)
Max Drawdown
204
Num Trades
37.3%
Win Trades
1.0 : 1
Profit Factor
6.4%
Win Months
Hypothetical Monthly Returns (includes system fee and Typical Broker commissions and fees)
 JanFebMarAprMayJunJulAugSepOctNovDecYTD
2009         -  (5.2%)+0.1%+2.4%(0.1%)+3.8%(12.5%)+6.5%(1.4%)(0.1%)(0.2%)(7.8%)
2010(0.1%)(0.1%)(0.2%)(0.1%)(0.1%)(0.2%)(0.4%)(0.2%)+4.5%(7.4%)+0.2%+2.9%(1.6%)
2011+0.4%(0.1%)(0.2%)+2.6%+0.6%(0.1%)+0.5%+0.7%(0.1%)(0.1%)(0.2%)(1.8%)+2.1%
2012(0.9%)(0.1%)(0.2%)(0.1%)(0.2%)(0.1%)(0.1%)(0.2%)(0.1%)(0.1%)(0.2%)(0.1%)(2.6%)
2013(0.1%)(0.2%)(0.1%)(0.1%)(0.3%)(0.2%)(0.1%)(0.1%)(0.1%)  -    -    -  (1.4%)
2014  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2015  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2016  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2017  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2018  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2019  -    -    -    -    -    -    -    -    -    -  0.0
2020  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2021  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2022  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2023  -    -    -    -    -    -    -    -    -    -    -    -  0.0
2024  -    -    -    -    -    -    -    -    -    -    -        0.0

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

Download CSV
Long
Short
Both
Win
Loss
Both
Show More details Show Fewer details
Opened Date/TimeSymbolDescriptionSideQuantAvg PriceClosed Date/TimeAvg PriceDrawdownP/L
12/12/11 11:53 @ESH2 E-MINI S&P 500 SHORT 1 1222.50 1/3/12 5:30 1266.50 2.21%
Trade id #68887163
Max drawdown($2,200)
Time1/3/12 5:30
Quant open0
Worst price1266.50
Drawdown as % of equity-2.21%
 ($2,208)
Includes Typical Broker Commissions trade costs of $8.00
7/27/11 10:30 @SX1 SOYBEANS SHORT 1 1380 1/4 8/11 10:30 1350 0.22%
Trade id #63917062
Max drawdown($225)
Time8/2/11 13:51
Quant open-1
Worst price1384 3/4
Drawdown as % of equity-0.22%
 $1,505
Includes Typical Broker Commissions trade costs of $8.00
5/16/11 8:27 QNGN1 Natural Gas LONG 1 4.350 5/19 10:30 4.166 1.83%
Trade id #61407169
Max drawdown($1,840)
Time5/19/11 10:30
Quant open0
Worst price4.166
Drawdown as % of equity-1.83%
 ($1,848)
Includes Typical Broker Commissions trade costs of $8.00
4/27/11 7:14 @SX1 SOYBEANS SHORT 1 1364 2/4 5/5 10:30 1324 0.88%
Trade id #60182948
Max drawdown($875)
Time5/2/11 10:44
Quant open-1
Worst price1382
Drawdown as % of equity-0.88%
 $2,012
Includes Typical Broker Commissions trade costs of $8.00
4/12/11 7:39 QHGK1 Copper SHORT 1 444.35 4/20 10:21 432.00 n/a $3,080
Includes Typical Broker Commissions trade costs of $8.00
4/11/11 23:39 EUR/CAD EUR/CAD LONG 1 1.38610 4/15 7:18 1.39285 n/a $70
4/12/11 3:03 GBP/USD GBP/USD SHORT 1 1.62700 4/14 2:28 1.63600 0.09%
Trade id #59671839
Max drawdown($90)
Time4/14/11 2:28
Quant open0
Worst price1.63600
Drawdown as % of equity-0.09%
 ($90)
12/20/10 8:17 QNGH1 Natural Gas LONG 1 4.138 1/5/11 11:35 4.456 1.19%
Trade id #55964248
Max drawdown($1,100)
Time12/22/10 9:44
Quant open1
Worst price4.028
Drawdown as % of equity-1.19%
 $3,172
Includes Typical Broker Commissions trade costs of $8.00
10/14/10 13:06 @USZ0 US T-BOND SHORT 1 132 15/32 11/30 8:22 129 3/32 0.56%
Trade id #53847597
Max drawdown($551)
Time10/14/10 14:02
Quant open-1
Worst price133 1/32
Drawdown as % of equity-0.56%
 $3,378
Includes Typical Broker Commissions trade costs of $8.00
11/8/10 8:00 @OJF1 Orange Juice SHORT 1 155.95 11/29 8:14 153.75 0.94%
Trade id #54579522
Max drawdown($870)
Time11/9/10 13:30
Quant open-1
Worst price161.75
Drawdown as % of equity-0.94%
 $322
Includes Typical Broker Commissions trade costs of $8.00
9/13/10 8:46 EUR/CAD EUR/CAD LONG 6 1.32040 11/8 18:52 1.39360 0.17%
Trade id #52850231
Max drawdown($164)
Time9/14/10 9:25
Quant open6
Worst price1.31765
Drawdown as % of equity-0.17%
 $4,372
10/19/10 7:57 @CCZ0 COCOA SHORT 1 2747 10/25 7:19 2901 1.67%
Trade id #53973804
Max drawdown($1,540)
Time10/25/10 6:55
Quant open-1
Worst price2900
Drawdown as % of equity-1.67%
 ($1,548)
Includes Typical Broker Commissions trade costs of $8.00
10/19/10 8:10 @SMZ0 SOYBEAN MEAL SHORT 1 325.1 10/19 10:56 332.1 0.75%
Trade id #53974300
Max drawdown($700)
Time10/19/10 10:55
Quant open-1
Worst price332.0
Drawdown as % of equity-0.75%
 ($708)
Includes Typical Broker Commissions trade costs of $8.00
10/14/10 4:50 @DXZ0 US Dollar Index SHORT 1 76.655 10/19 9:10 78.180 1.61%
Trade id #53829154
Max drawdown($1,525)
Time10/19/10 9:06
Quant open-1
Worst price78.165
Drawdown as % of equity-1.61%
 ($1,533)
Includes Typical Broker Commissions trade costs of $8.00
10/14/10 4:43 QGCZ0 Gold 100 oz LONG 1 1382.4 10/19 9:02 1341.0 4.3%
Trade id #53829034
Max drawdown($4,140)
Time10/19/10 8:58
Quant open1
Worst price1342.6
Drawdown as % of equity-4.30%
 ($4,148)
Includes Typical Broker Commissions trade costs of $8.00
10/14/10 12:04 @LEZ0 LIVE CATTLE SHORT 1 98.300 10/15 4:39 99.675 0.56%
Trade id #53845418
Max drawdown($550)
Time10/15/10 4:31
Quant open-1
Worst price99.600
Drawdown as % of equity-0.56%
 ($558)
Includes Typical Broker Commissions trade costs of $8.00
10/6/10 9:00 @QGX0 MINY NATURAL GAS LONG 4 3.789 10/7 11:05 3.687 1.01%
Trade id #53574446
Max drawdown($1,020)
Time10/7/10 10:47
Quant open4
Worst price3.690
Drawdown as % of equity-1.01%
 ($1,052)
Includes Typical Broker Commissions trade costs of $32.00
9/13/10 10:11 FCV0 FEEDER CATTLE LONG 1 112.650 9/15 10:17 111.375 0.67%
Trade id #52855223
Max drawdown($638)
Time9/14/10 10:32
Quant open1
Worst price111.650
Drawdown as % of equity-0.67%
 ($646)
Includes Typical Broker Commissions trade costs of $8.00
7/22/10 8:17 @ESU0 E-MINI S&P 500 SHORT 1 1075.00 7/22 9:30 1079.00 n/a ($208)
Includes Typical Broker Commissions trade costs of $8.00
7/22/10 8:13 @ESU0 E-MINI S&P 500 LONG 1 1075.75 7/22 8:13 1075.75 n/a ($8)
Includes Typical Broker Commissions trade costs of $8.00
9/15/09 10:11 PBG0 PORK BELLIES SHORT 1 87.00 10/26 10:10 86.00 0.39%
Trade id #43058557
Max drawdown($440)
Time9/15/09 12:38
Quant open-1
Worst price88.10
Drawdown as % of equity-0.39%
 $392
Includes Typical Broker Commissions trade costs of $8.00
9/11/09 4:26 @OZ9 Oats LONG 1 207 1/4 10/26 9:03 254 2/4 0.15%
Trade id #43000081
Max drawdown($187)
Time9/11/09 11:32
Quant open1
Worst price203 2/4
Drawdown as % of equity-0.15%
 $2,355
Includes Typical Broker Commissions trade costs of $8.00
9/14/09 6:50 @GFV9 FEEDER CATTLE SHORT 1 99.000 10/22 6:08 94.300 0.14%
Trade id #43029697
Max drawdown($162)
Time9/14/09 10:58
Quant open-1
Worst price99.325
Drawdown as % of equity-0.14%
 $2,342
Includes Typical Broker Commissions trade costs of $8.00
9/14/09 6:55 @LEZ9 LIVE CATTLE SHORT 1 86.400 10/22 6:07 86.875 0.37%
Trade id #43029720
Max drawdown($360)
Time10/21/09 10:24
Quant open-1
Worst price87.300
Drawdown as % of equity-0.37%
 ($198)
Includes Typical Broker Commissions trade costs of $8.00
9/15/09 8:35 EUR/GBP EUR/GBP LONG 1 0.88720 10/16 9:05 0.91132 0.03%
Trade id #43054365
Max drawdown($32)
Time9/15/09 9:06
Quant open1
Worst price0.88523
Drawdown as % of equity-0.03%
 $395
9/13/09 17:31 GBP/JPY GBP/JPY SHORT 1 150.805 10/16 9:05 148.652 0.09%
Trade id #43022035
Max drawdown($105)
Time9/15/09 2:11
Quant open-1
Worst price151.766
Drawdown as % of equity-0.09%
 $237
9/15/09 8:38 GBP/CHF GBP/CHF SHORT 1 1.70949 10/16 9:05 1.66629 0.04%
Trade id #43054531
Max drawdown($42)
Time9/15/09 9:06
Quant open-1
Worst price1.71378
Drawdown as % of equity-0.04%
 $424
9/15/09 8:40 GBP/USD GBP/USD SHORT 1 1.64425 10/16 9:04 1.63251 0.11%
Trade id #43054604
Max drawdown($122)
Time9/17/09 4:01
Quant open-1
Worst price1.65650
Drawdown as % of equity-0.11%
 $117
9/21/09 4:22 @SMZ9 SOYBEAN MEAL SHORT 1 284.2 10/9 6:03 289.0 0.78%
Trade id #43232581
Max drawdown($770)
Time10/8/09 12:32
Quant open-1
Worst price291.9
Drawdown as % of equity-0.78%
 ($488)
Includes Typical Broker Commissions trade costs of $8.00
9/21/09 4:20 @SBH0 Sugar #11 SHORT 1 23.28 9/29 3:37 24.42 1.41%
Trade id #43232560
Max drawdown($1,366)
Time9/29/09 3:31
Quant open-1
Worst price24.50
Drawdown as % of equity-1.41%
 ($1,285)
Includes Typical Broker Commissions trade costs of $8.00
Next

Statistics

  • Strategy began
    2/23/2009
  • Suggested Minimum Cap
    $100,000
  • Strategy Age (days)
    5746.2
  • Age
    192 months ago
  • What it trades
    Futures, Forex
  • # Trades
    204
  • # Profitable
    76
  • % Profitable
    37.30%
  • Avg trade duration
    8.0 days
  • Max peak-to-valley drawdown
    30.93%
  • drawdown period
    Sept 10, 2009 - Nov 03, 2010
  • Annual Return (Compounded)
    -0.7%
  • Avg win
    $1,474
  • Avg loss
    $882.86
  • Model Account Values (Raw)
  • Cash
    $99,039
  • Margin Used
    $0
  • Buying Power
    $99,039
  • Ratios
  • W:L ratio
    0.99:1
  • Sharpe Ratio
    -0.29
  • Sortino Ratio
    -0.41
  • Calmar Ratio
    -0.006
  • CORRELATION STATISTICS
  • Return of Strat Pcnt - Return of SP500 Pcnt (cumu)
    -700.71%
  • Correlation to SP500
    0.01760
  • Return Percent SP500 (cumu) during strategy life
    703.04%
  • Return Statistics
  • Ann Return (w trading costs)
    -0.7%
  • Slump
  • Current Slump as Pcnt Equity
    39.20%
  • Instruments
  • Percent Trades Futures
    0.70%
  • Slump
  • Current Slump, time of slump as pcnt of strategy life
    0.96%
  • Return Statistics
  • Return Pcnt Since TOS Status
    n/a
  • Return Pcnt (Compound or Annual, age-based, NFA compliant)
    -0.007%
  • Instruments
  • Percent Trades Options
    n/a
  • Percent Trades Stocks
    n/a
  • Percent Trades Forex
    0.30%
  • Return Statistics
  • Ann Return (Compnd, No Fees)
    -0.1%
  • Risk of Ruin (Monte-Carlo)
  • Chance of 10% account loss
    100.00%
  • Chance of 20% account loss
    100.00%
  • 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
  • Chance of 100% account loss (Monte Carlo)
    n/a
  • Automation
  • Percentage Signals Automated
    n/a
  • Risk of Ruin (Monte-Carlo)
  • Chance of 50% account loss
    n/a
  • Popularity
  • Popularity (Today)
    0
  • Popularity (Last 6 weeks)
    0
  • Trading Style
  • Any stock shorts? 0/1
    0
  • Popularity
  • Popularity (7 days, Percentile 1000 scale)
    0
  • Trades-Own-System Certification
  • Trades Own System?
    -
  • TOS percent
    n/a
  • Win / Loss
  • Avg Loss
    $883
  • Avg Win
    $1,474
  • Sum Trade PL (losers)
    $113,006.000
  • Age
  • Num Months filled monthly returns table
    190
  • Win / Loss
  • Sum Trade PL (winners)
    $112,046.000
  • # Winners
    76
  • Num Months Winners
    13
  • Dividends
  • Dividends Received in Model Acct
    0
  • Win / Loss
  • # Losers
    128
  • % Winners
    37.2%
  • Frequency
  • Avg Position Time (mins)
    11518.40
  • Avg Position Time (hrs)
    191.97
  • Avg Trade Length
    8.0 days
  • Last Trade Ago
    4725
  • Regression
  • Alpha
    -0.01
  • Beta
    0.01
  • Treynor Index
    -0.92
  • Maximum Adverse Excursion (MAE)
  • MAE:Equity, average, all trades
    0.01
  • MAE:PL - Winning Trades - this strat Percentile of All Strats
    65.78
  • MAE:PL - worst single value for strategy
    -
  • MAE:PL - Losing Trades - this strat Percentile of All Strats
    57.82
  • MAE:PL (avg, winning trades)
    -
  • MAE:PL (avg, losing trades)
    -
  • MAE:PL (avg, all trades)
    -0.80
  • MAE:Equity, average, winning trades
    0.00
  • MAE:Equity, average, losing trades
    0.01
  • Avg(MAE) / Avg(PL) - All trades
    -15.234
  • 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
    0.02
  • Avg(MAE) / Avg(PL) - Winning trades
    0.278
  • Avg(MAE) / Avg(PL) - Losing trades
    -1.157
  • Hold-and-Hope Ratio
    -0.066
  • Analysis based on MONTHLY values, full history
  • RATIO STATISTICS
  • Ratio statistics of excess return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00051
  • SD
    0.06708
  • Sharpe ratio (Glass type estimate)
    0.00761
  • Sharpe ratio (Hedges UMVUE)
    0.00752
  • df
    66.00000
  • t
    0.01797
  • p
    0.49286
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.82189
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.83705
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.82195
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.83699
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.01068
  • Upside Potential Ratio
    0.94473
  • Upside part of mean
    0.04513
  • Downside part of mean
    -0.04462
  • Upside SD
    0.04638
  • Downside SD
    0.04777
  • N nonnegative terms
    55.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    67.00000
  • Mean of predictor
    0.40323
  • Mean of criterion
    0.00051
  • SD of predictor
    0.22392
  • SD of criterion
    0.06708
  • Covariance
    -0.00292
  • r
    -0.19469
  • b (slope, estimate of beta)
    -0.05833
  • a (intercept, estimate of alpha)
    0.02403
  • Mean Square Error
    0.00440
  • DF error
    65.00000
  • t(b)
    -1.60023
  • p(b)
    0.94280
  • t(a)
    0.75858
  • p(a)
    0.22542
  • Lowerbound of 95% confidence interval for beta
    -0.13112
  • Upperbound of 95% confidence interval for beta
    0.01447
  • Lowerbound of 95% confidence interval for alpha
    -0.03923
  • Upperbound of 95% confidence interval for alpha
    0.08729
  • Treynor index (mean / b)
    -0.00875
  • Jensen alpha (a)
    0.02403
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00173
  • SD
    0.06760
  • Sharpe ratio (Glass type estimate)
    -0.02556
  • Sharpe ratio (Hedges UMVUE)
    -0.02527
  • df
    66.00000
  • t
    -0.06039
  • p
    0.52399
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.85497
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.80400
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.85475
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.80421
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.03480
  • Upside Potential Ratio
    0.88821
  • Upside part of mean
    0.04409
  • Downside part of mean
    -0.04582
  • Upside SD
    0.04513
  • Downside SD
    0.04964
  • N nonnegative terms
    55.00000
  • N negative terms
    12.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    67.00000
  • Mean of predictor
    0.37360
  • Mean of criterion
    -0.00173
  • SD of predictor
    0.21598
  • SD of criterion
    0.06760
  • Covariance
    -0.00279
  • r
    -0.19116
  • b (slope, estimate of beta)
    -0.05983
  • a (intercept, estimate of alpha)
    0.02062
  • Mean Square Error
    0.00447
  • DF error
    65.00000
  • t(b)
    -1.57014
  • p(b)
    0.93938
  • t(a)
    0.65115
  • p(a)
    0.25862
  • Lowerbound of 95% confidence interval for beta
    -0.13593
  • Upperbound of 95% confidence interval for beta
    0.01627
  • Lowerbound of 95% confidence interval for alpha
    -0.04263
  • Upperbound of 95% confidence interval for alpha
    0.08388
  • Treynor index (mean / b)
    0.02888
  • Jensen alpha (a)
    0.02062
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.03173
  • Expected Shortfall on VaR
    0.03956
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00348
  • Expected Shortfall on VaR
    0.01018
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    67.00000
  • Minimum
    0.90667
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.07248
  • Mean of quarter 1
    0.98535
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.01482
  • Inter Quartile Range
    0.00000
  • Number outliers low
    12.00000
  • Percentage of outliers low
    0.17910
  • Mean of outliers low
    0.97924
  • Number of outliers high
    10.00000
  • Percentage of outliers high
    0.14925
  • Mean of outliers high
    1.02520
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    -4.52453
  • VaR(95%) (moments method)
    0.00097
  • Expected Shortfall (moments method)
    0.00098
  • Extreme Value Index (regression method)
    0.28294
  • VaR(95%) (regression method)
    0.02135
  • Expected Shortfall (regression method)
    0.05094
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    1.00000
  • Minimum
    0.13003
  • Quartile 1
    0.13003
  • Median
    0.13003
  • Quartile 3
    0.13003
  • Maximum
    0.13003
  • 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)
    -0.00172
  • Compounded annual return (geometric extrapolation)
    -0.00173
  • Calmar ratio (compounded annual return / max draw down)
    -0.01328
  • Compounded annual return / average of 25% largest draw downs
    0.00000
  • Compounded annual return / Expected Shortfall lognormal
    -0.04363
  • 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
    0.02704
  • SD
    0.24354
  • Sharpe ratio (Glass type estimate)
    0.11105
  • Sharpe ratio (Hedges UMVUE)
    0.11099
  • df
    1463.00000
  • t
    0.26249
  • p
    0.49563
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.71810
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.94020
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.71816
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.94014
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.17556
  • Upside Potential Ratio
    2.81826
  • Upside part of mean
    0.43413
  • Downside part of mean
    -0.40708
  • Upside SD
    0.18853
  • Downside SD
    0.15404
  • N nonnegative terms
    1328.00000
  • N negative terms
    136.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1464.00000
  • Mean of predictor
    0.46584
  • Mean of criterion
    0.02704
  • SD of predictor
    0.42703
  • SD of criterion
    0.24354
  • Covariance
    -0.00618
  • r
    -0.05946
  • b (slope, estimate of beta)
    -0.03391
  • a (intercept, estimate of alpha)
    0.04300
  • Mean Square Error
    0.05914
  • DF error
    1462.00000
  • t(b)
    -2.27750
  • p(b)
    0.52973
  • t(a)
    0.41547
  • p(a)
    0.49457
  • Lowerbound of 95% confidence interval for beta
    -0.06312
  • Upperbound of 95% confidence interval for beta
    -0.00470
  • Lowerbound of 95% confidence interval for alpha
    -0.15942
  • Upperbound of 95% confidence interval for alpha
    0.24510
  • Treynor index (mean / b)
    -0.79752
  • Jensen alpha (a)
    0.04284
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    -0.00173
  • SD
    0.23854
  • Sharpe ratio (Glass type estimate)
    -0.00724
  • Sharpe ratio (Hedges UMVUE)
    -0.00723
  • df
    1463.00000
  • t
    -0.01711
  • p
    0.50028
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    -0.83638
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.82190
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    -0.83637
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.82191
  • Statistics related to Sortino ratio
  • Sortino ratio
    -0.01068
  • Upside Potential Ratio
    2.58632
  • Upside part of mean
    0.41800
  • Downside part of mean
    -0.41973
  • Upside SD
    0.17534
  • Downside SD
    0.16162
  • N nonnegative terms
    1328.00000
  • N negative terms
    136.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    1464.00000
  • Mean of predictor
    0.37330
  • Mean of criterion
    -0.00173
  • SD of predictor
    0.43181
  • SD of criterion
    0.23854
  • Covariance
    -0.00663
  • r
    -0.06435
  • b (slope, estimate of beta)
    -0.03555
  • a (intercept, estimate of alpha)
    0.01154
  • Mean Square Error
    0.05671
  • DF error
    1462.00000
  • t(b)
    -2.46554
  • p(b)
    0.53217
  • t(a)
    0.11443
  • p(a)
    0.49850
  • Lowerbound of 95% confidence interval for beta
    -0.06383
  • Upperbound of 95% confidence interval for beta
    -0.00727
  • Lowerbound of 95% confidence interval for alpha
    -0.18635
  • Upperbound of 95% confidence interval for alpha
    0.20943
  • Treynor index (mean / b)
    0.04856
  • Jensen alpha (a)
    0.01154
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.02396
  • Expected Shortfall on VaR
    0.02993
  • assuming Pareto losses only (using partial moments from Sortino statistics)
  • VaR(95%)
    0.00058
  • Expected Shortfall on VaR
    0.00268
  • ORDER STATISTICS
  • Quartiles of return rates
  • Number of observations
    1464.00000
  • Minimum
    0.86114
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.25845
  • Mean of quarter 1
    0.99379
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00663
  • Inter Quartile Range
    0.00000
  • Number outliers low
    136.00000
  • Percentage of outliers low
    0.09290
  • Mean of outliers low
    0.98327
  • Number of outliers high
    141.00000
  • Percentage of outliers high
    0.09631
  • Mean of outliers high
    1.01720
  • Risk estimates for a one-period unit investment (based on Ex
  • Extreme Value Index (moments method)
    1.08791
  • VaR(95%) (moments method)
    0.00231
  • Expected Shortfall (moments method)
    0.00000
  • Extreme Value Index (regression method)
    0.65807
  • VaR(95%) (regression method)
    0.00355
  • Expected Shortfall (regression method)
    0.02207
  • DRAW DOWN STATISTICS
  • Quartiles of draw downs
  • Number of observations
    7.00000
  • Minimum
    0.04971
  • Quartile 1
    0.08883
  • Median
    0.14428
  • Quartile 3
    0.16008
  • Maximum
    0.27302
  • Mean of quarter 1
    0.05789
  • Mean of quarter 2
    0.12793
  • Mean of quarter 3
    0.14640
  • Mean of quarter 4
    0.22339
  • Inter Quartile Range
    0.07125
  • 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
    0.14286
  • Mean of outliers high
    0.27302
  • 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)
    -0.00172
  • Compounded annual return (geometric extrapolation)
    -0.00172
  • Calmar ratio (compounded annual return / max draw down)
    -0.00632
  • Compounded annual return / average of 25% largest draw downs
    -0.00772
  • Compounded annual return / Expected Shortfall lognormal
    -0.05762
  • 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
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.68350
  • Mean of criterion
    0.00000
  • SD of predictor
    0.41749
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Ratio statistics of excess log return rates
  • Statistics related to Sharpe ratio
  • Mean
    0.00000
  • SD
    0.00000
  • Sharpe ratio (Glass type estimate)
    0.00000
  • Sharpe ratio (Hedges UMVUE)
    0.00000
  • df
    0.00000
  • t
    0.00000
  • p
    0.00000
  • Lowerbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Upperbound of 95% confidence interval for Sharpe Ratio
    0.00000
  • Lowerbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Upperbound of 95% CI (Gibbons, Hedeker & Davis approximation
    0.00000
  • Statistics related to Sortino ratio
  • Sortino ratio
    0.00000
  • Upside Potential Ratio
    0.00000
  • Upside part of mean
    0.00000
  • Downside part of mean
    0.00000
  • Upside SD
    0.00000
  • Downside SD
    0.00000
  • N nonnegative terms
    131.00000
  • N negative terms
    0.00000
  • Statistics related to linear regression on benchmark
  • N of observations
    131.00000
  • Mean of predictor
    0.59593
  • Mean of criterion
    0.00000
  • SD of predictor
    0.41878
  • SD of criterion
    0.00000
  • Covariance
    0.00000
  • r
    0.00000
  • b (slope, estimate of beta)
    0.00000
  • a (intercept, estimate of alpha)
    0.00000
  • Mean Square Error
    0.00000
  • DF error
    0.00000
  • t(b)
    0.00000
  • p(b)
    0.00000
  • t(a)
    0.00000
  • p(a)
    0.00000
  • VAR (95 Confidence Intrvl)
    0.02400
  • Lowerbound of 95% confidence interval for beta
    0.00000
  • Upperbound of 95% confidence interval for beta
    0.00000
  • Lowerbound of 95% confidence interval for alpha
    0.00000
  • Upperbound of 95% confidence interval for alpha
    0.00000
  • Treynor index (mean / b)
    0.00000
  • Jensen alpha (a)
    0.00000
  • Risk estimates for a one-period unit investment (parametric)
  • assuming log normal returns and losses (using central moments from Sharpe statistics)
  • VaR(95%)
    0.00000
  • Expected Shortfall on VaR
    0.00000
  • 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
    131.00000
  • Minimum
    1.00000
  • Quartile 1
    1.00000
  • Median
    1.00000
  • Quartile 3
    1.00000
  • Maximum
    1.00000
  • Mean of quarter 1
    1.00000
  • Mean of quarter 2
    1.00000
  • Mean of quarter 3
    1.00000
  • Mean of quarter 4
    1.00000
  • 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 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
  • 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?
    -359710000
  • Max Equity Drawdown (num days)
    419
  • COMBINED STATISTICS
  • Annualized return (arithmetic extrapolation)
    0.00000
  • Compounded annual return (geometric extrapolation)
    0.00000
  • 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
    0.00000

Strategy Description

Parties interested in learning more about the Dekalog Trading System are invited to visit the dedicated Dekalog Trading System website at http://www.dekalog-trading-system.webs.com/ and to follow the Dekalog Blog at http://dekalogblog.blogspot.com/





Trade this strategy at Interactive Brokers

Summary Statistics

Strategy began
2009-02-23
Suggested Minimum Capital
$100,000
# Trades
204
# Profitable
76
% Profitable
37.3%
Correlation S&P500
0.018
Sharpe Ratio
-0.29
Sortino Ratio
-0.41
Beta
0.01
Alpha
-0.01

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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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.